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, 2009
ITEM 1. | REPORTS TO STOCKHOLDERS. | |
The Semi-Annual Reports to Stockholders are filed herewith. |
Holding | % of Net Assets | Line of Business | ||||||
Exxon Mobil Corp. | 4.2 | % | Energy | |||||
Microsoft Corp. | 2.2 | Software & Services | ||||||
Johnson & Johnson | 1.9 | Pharmaceuticals, Biotechnology & Life Sciences | ||||||
The Procter & Gamble Co. | 1.8 | Household & Personal Products | ||||||
AT&T, Inc. | 1.8 | Telecommunication Services | ||||||
International Business Machines Corp. | 1.7 | Technology Hardware & Equipment | ||||||
JPMorgan Chase & Co. | 1.6 | Diversified Financials | ||||||
Chevron Corp. | 1.6 | Energy | ||||||
Apple, Inc. | 1.6 | Technology Hardware & Equipment | ||||||
General Electric Co. | 1.5 | Capital Goods |
Holding | % of Net Assets | Line of Business | ||||||
Equinix, Inc. | 2.9 | % | Software & Services | |||||
Charles River Laboratories International, Inc. | 2.7 | Pharmaceuticals, Biotechnology & Life Sciences | ||||||
PetSmart, Inc. | 2.3 | Retailing | ||||||
Global Payments, Inc. | 2.3 | Software & Services | ||||||
Cameron International Corp. | 2.3 | Energy | ||||||
American Tower Corp. Class A | 2.2 | Telecommunication Services | ||||||
Activision Blizzard, Inc. | 2.2 | Software & Services | ||||||
Coach, Inc. | 2.2 | Consumer Durables & Apparel | ||||||
St. Jude Medical, Inc. | 2.2 | Health Care Equipment & Services | ||||||
C. R. Bard, Inc. | 2.2 | Health Care Equipment & Services |
Principal | Interest | Maturity | ||||||||||||
Amount | Rate | Date | Value | |||||||||||
Corporate Bonds – 18.6% | ||||||||||||||
Banks – 5.2% | ||||||||||||||
ANZ Capital Trust I(a)(b) | ||||||||||||||
$ | 500,000 | 4.484 | % | 01/29/49 | $ | 490,300 | ||||||||
Bank of America Corp. | ||||||||||||||
200,000 | 5.750 | 12/01/17 | 178,729 | |||||||||||
175,000 | 7.625 | 06/01/19 | 174,396 | |||||||||||
Bear Stearns Companies, Inc. | ||||||||||||||
550,000 | 6.400 | 10/02/17 | 554,345 | |||||||||||
950,000 | 7.250 | 02/01/18 | 1,007,514 | |||||||||||
Capital One Bank USA NA | ||||||||||||||
500,000 | 8.800 | 07/15/19 | 510,812 | |||||||||||
Charles Schwab Corp. | ||||||||||||||
450,000 | 4.950 | 06/01/14 | 457,729 | |||||||||||
Citigroup, Inc. | ||||||||||||||
300,000 | 5.875 | 05/29/37 | 234,293 | |||||||||||
100,000 | 6.875 | 03/05/38 | 87,766 | |||||||||||
JPMorgan Chase Bank NA | ||||||||||||||
400,000 | 6.000 | 10/01/17 | 389,335 | |||||||||||
Merrill Lynch & Co., Inc. | ||||||||||||||
450,000 | 5.450 | 02/05/13 | 438,753 | |||||||||||
325,000 | 6.400 | 08/28/17 | 287,710 | |||||||||||
600,000 | 6.875 | 04/25/18 | 549,845 | |||||||||||
Morgan Stanley & Co. | ||||||||||||||
275,000 | 5.750 | 08/31/12 | 286,579 | |||||||||||
400,000 | 5.950 | 12/28/17 | 383,991 | |||||||||||
725,000 | 6.625 | 04/01/18 | 719,323 | |||||||||||
PNC Bank NA | ||||||||||||||
325,000 | 6.875 | 04/01/18 | 321,288 | |||||||||||
Resona Bank Ltd.(a)(b)(c) | ||||||||||||||
1,250,000 | 5.850 | 09/29/49 | 887,500 | |||||||||||
Santander Issuances SA(a)(c) | ||||||||||||||
200,000 | 5.805 | 06/20/16 | 160,876 | |||||||||||
Wachovia Bank NA | ||||||||||||||
250,000 | 7.800 | 08/18/10 | 262,461 | |||||||||||
675,000 | 6.600 | 01/15/38 | 658,002 | |||||||||||
Wells Fargo Capital XIII(b)(c) | ||||||||||||||
125,000 | 7.700 | 12/29/49 | 102,500 | |||||||||||
9,144,047 | ||||||||||||||
Chemicals – 0.2% | ||||||||||||||
Dow Chemical Co. | ||||||||||||||
325,000 | 7.600 | 05/15/14 | 334,750 | |||||||||||
Consumer Products – 0.2% | ||||||||||||||
Whirlpool Corp. | ||||||||||||||
125,000 | 8.000 | 05/01/12 | 129,385 | |||||||||||
175,000 | 8.600 | 05/01/14 | 180,105 | |||||||||||
309,490 | ||||||||||||||
Electric – 1.7% | ||||||||||||||
Arizona Public Service Co. | ||||||||||||||
250,000 | 6.375 | 10/15/11 | 262,181 | |||||||||||
225,000 | 6.250 | 08/01/16 | 212,997 | |||||||||||
CenterPoint Energy, Inc. Series B | ||||||||||||||
1,000,000 | 7.250 | 09/01/10 | 1,016,159 | |||||||||||
Commonwealth Edison Co. | ||||||||||||||
250,000 | 5.875 | 02/01/33 | 239,564 | |||||||||||
300,000 | 5.900 | 03/15/36 | 287,806 | |||||||||||
MidAmerican Energy Holdings Co. | ||||||||||||||
450,000 | 6.125 | 04/01/36 | 444,751 | |||||||||||
Progress Energy, Inc. | ||||||||||||||
200,000 | 5.625 | 01/15/16 | 203,290 | |||||||||||
350,000 | 7.000 | 10/30/31 | 380,742 | |||||||||||
3,047,490 | ||||||||||||||
Energy – 1.0% | ||||||||||||||
Canadian Natural Resources Ltd. | ||||||||||||||
50,000 | 5.850 | 02/01/35 | 46,771 | |||||||||||
400,000 | 6.500 | 02/15/37 | 404,383 | |||||||||||
75,000 | 6.250 | 03/15/38 | 72,907 | |||||||||||
EQT Corp. | ||||||||||||||
70,000 | 8.125 | 06/01/19 | 74,926 | |||||||||||
StatoilHydro ASA | ||||||||||||||
300,000 | 5.250 | 04/15/19 | 308,736 | |||||||||||
Transocean, Inc. | ||||||||||||||
375,000 | 6.800 | 03/15/38 | 401,103 | |||||||||||
XTO Energy, Inc. | ||||||||||||||
350,000 | 6.500 | 12/15/18 | 375,494 | |||||||||||
1,684,320 | ||||||||||||||
Environmental – 0.2% | ||||||||||||||
Waste Management, Inc. | ||||||||||||||
400,000 | 7.375 | 03/11/19 | 428,649 | |||||||||||
Financial Companies – 0.4% | ||||||||||||||
International Lease Finance Corp. | ||||||||||||||
275,000 | 4.950 | 02/01/11 | 236,500 | |||||||||||
SLM Corp. | ||||||||||||||
450,000 | 5.400 | 10/25/11 | 404,725 | |||||||||||
641,225 | ||||||||||||||
Food & Beverage – 0.2% | ||||||||||||||
Anheuser-Busch InBev Worldwide, Inc.(a) | ||||||||||||||
350,000 | 7.750 | 01/15/19 | 382,780 | |||||||||||
Gaming – 0.1% | ||||||||||||||
International Game Technology | ||||||||||||||
250,000 | 7.500 | 06/15/19 | 251,320 | |||||||||||
Healthcare – 0.7% | ||||||||||||||
Express Scripts, Inc. | ||||||||||||||
175,000 | 5.250 | 06/15/12 | 178,506 | |||||||||||
175,000 | 6.250 | 06/15/14 | 176,403 | |||||||||||
Pfizer, Inc. | ||||||||||||||
380,000 | 6.200 | 03/15/19 | 415,577 | |||||||||||
Roche Holdings, Inc.(a) | ||||||||||||||
400,000 | 6.000 | 03/01/19 | 426,512 | |||||||||||
1,196,998 | ||||||||||||||
Life Insurance – 0.5% | ||||||||||||||
MetLife Capital Trust X(a)(b)(c) | ||||||||||||||
300,000 | 9.250 | 04/08/38 | 267,000 | |||||||||||
Phoenix Life Insurance Co.(a)(b) | ||||||||||||||
450,000 | 7.150 | 12/15/34 | 124,629 | |||||||||||
Principal | Interest | Maturity | ||||||||||||
Amount | Rate | Date | Value | |||||||||||
Corporate Bonds – (continued) | ||||||||||||||
Life Insurance – (continued) | ||||||||||||||
Swiss Reinsurance Capital I LP(a)(b)(c) | ||||||||||||||
$ | 600,000 | 6.854 | % | 05/29/49 | $ | 330,240 | ||||||||
Symetra Financial Corp.(a)(c) | ||||||||||||||
325,000 | 8.300 | 10/15/37 | 140,563 | |||||||||||
862,432 | ||||||||||||||
Media Cable – 1.5% | ||||||||||||||
Comcast Corp. | ||||||||||||||
625,000 | 6.450 | 03/15/37 | 611,970 | |||||||||||
COX Communications, Inc. | ||||||||||||||
1,075,000 | 4.625 | 01/15/10 | 1,080,095 | |||||||||||
Rogers Cable, Inc. | ||||||||||||||
200,000 | 7.875 | 05/01/12 | 219,891 | |||||||||||
Time Warner Cable, Inc. | ||||||||||||||
425,000 | 5.400 | 07/02/12 | 439,280 | |||||||||||
Time Warner Entertainment Co. LP | ||||||||||||||
225,000 | 8.375 | 03/15/23 | 246,428 | |||||||||||
2,597,664 | ||||||||||||||
Metals and Mining – 0.3% | ||||||||||||||
ArcelorMittal | ||||||||||||||
650,000 | 6.125 | 06/01/18 | 568,750 | |||||||||||
Pipelines – 1.6% | ||||||||||||||
Boardwalk Pipelines LP | ||||||||||||||
575,000 | 5.875 | 11/15/16 | 537,428 | |||||||||||
Energy Transfer Partners LP | ||||||||||||||
625,000 | 5.950 | 02/01/15 | 625,726 | |||||||||||
125,000 | 6.700 | 07/01/18 | 127,788 | |||||||||||
Enterprise Products Operating LP Series B | ||||||||||||||
450,000 | 5.600 | 10/15/14 | 461,142 | |||||||||||
325,000 | 5.000 | 03/01/15 | 310,696 | |||||||||||
Tennessee Gas Pipeline Co. | ||||||||||||||
150,000 | 8.000 | 02/01/16 | 158,404 | |||||||||||
TEPPCO Partners LP | ||||||||||||||
550,000 | 6.650 | 04/15/18 | 558,315 | |||||||||||
2,779,499 | ||||||||||||||
Property/Casualty Insurance – 1.8% | ||||||||||||||
Ace INA Holdings, Inc. | ||||||||||||||
500,000 | 5.800 | 03/15/18 | 497,456 | |||||||||||
Arch Capital Group Ltd. | ||||||||||||||
350,000 | 7.350 | 05/01/34 | 262,500 | |||||||||||
Aspen Insurance Holdings Ltd. | ||||||||||||||
350,000 | 6.000 | 08/15/14 | 324,909 | |||||||||||
Endurance Specialty Holdings Ltd. | ||||||||||||||
375,000 | 6.150 | 10/15/15 | 326,655 | |||||||||||
Marsh & McClennan Companies, Inc. | ||||||||||||||
600,000 | 5.150 | 09/15/10 | 603,652 | |||||||||||
QBE Insurance Group Ltd.(a) | ||||||||||||||
225,000 | 9.750 | 03/14/14 | 235,129 | |||||||||||
White Mountains Reinsurance Group Ltd.(a) | ||||||||||||||
600,000 | 6.375 | 03/20/17 | 456,263 | |||||||||||
ZFS Finance USA Trust IV(a)(b)(c) | ||||||||||||||
675,000 | 5.875 | 05/09/32 | 487,958 | |||||||||||
3,194,522 | ||||||||||||||
REITs – 0.5% | ||||||||||||||
Simon Property Group LP | ||||||||||||||
525,000 | 6.125 | 05/30/18 | 488,336 | |||||||||||
Westfield Capital Corp. Ltd.(a) | ||||||||||||||
225,000 | 4.375 | 11/15/10 | 220,223 | |||||||||||
Westfield Group(a) | ||||||||||||||
125,000 | 5.400 | 10/01/12 | 119,951 | |||||||||||
125,000 | 7.500 | 06/02/14 | 123,941 | |||||||||||
952,451 | ||||||||||||||
Retailers – 0.7% | ||||||||||||||
AutoZone, Inc. | ||||||||||||||
475,000 | 5.750 | 01/15/15 | 473,681 | |||||||||||
CVS/Caremark Corp. | ||||||||||||||
425,000 | 5.750 | 06/01/17 | 427,196 | |||||||||||
Marks & Spencer PLC(a) | ||||||||||||||
400,000 | 7.125 | 12/01/37 | 275,420 | |||||||||||
1,176,297 | ||||||||||||||
Tobacco – 0.6% | ||||||||||||||
Altria Group, Inc. | ||||||||||||||
275,000 | 9.700 | 11/10/18 | 314,639 | |||||||||||
BAT International Finance PLC(a) | ||||||||||||||
300,000 | 9.500 | 11/15/18 | 352,603 | |||||||||||
Philip Morris International, Inc. | ||||||||||||||
400,000 | 5.650 | 05/16/18 | 419,277 | |||||||||||
1,086,519 | ||||||||||||||
Wireless Telecommunications – 0.6% | ||||||||||||||
New Cingular Wireless Services, Inc. | ||||||||||||||
675,000 | 7.875 | 03/01/11 | 729,570 | |||||||||||
300,000 | 8.750 | 03/01/31 | 365,225 | |||||||||||
1,094,795 | ||||||||||||||
Wirelines Telecommunications – 0.6% | ||||||||||||||
Telecom Italia Capital SA | ||||||||||||||
225,000 | 4.000 | 01/15/10 | 226,078 | |||||||||||
300,000 | 4.875 | 10/01/10 | 302,353 | |||||||||||
Telefonica Europe BV | ||||||||||||||
300,000 | 7.750 | 09/15/10 | 316,659 | |||||||||||
Verizon Communications, Inc. | ||||||||||||||
150,000 | 6.400 | 02/15/38 | 147,778 | |||||||||||
992,868 | ||||||||||||||
TOTAL CORPORATE BONDS | ||||||||||||||
(Cost $34,381,144) | $ | 32,726,866 | ||||||||||||
Mortgage-Backed Obligations – 63.3% | ||||||||||||||
Adjustable Rate FHLMC(c) – 2.5% | ||||||||||||||
$ | 2,159,276 | 4.846 | % | 09/01/35 | $ | 2,239,043 | ||||||||
2,144,838 | 4.746 | 10/01/35 | 2,203,020 | |||||||||||
4,442,063 | ||||||||||||||
Adjustable Rate FNMA(c) – 3.4% | ||||||||||||||
805,670 | 3.332 | 05/01/33 | 820,392 | |||||||||||
1,239,750 | 3.073 | 05/01/35 | 1,265,177 | |||||||||||
Principal | Interest | Maturity | ||||||||||||
Amount | Rate | Date | Value | |||||||||||
Mortgage-Backed Obligations – (continued) | ||||||||||||||
Adjustable Rate FNMA(c) – (continued) | ||||||||||||||
$ | 2,025,044 | 5.331 | % | 09/01/35 | $ | 2,109,916 | ||||||||
1,711,925 | 5.096 | 12/01/35 | 1,787,280 | |||||||||||
5,982,765 | ||||||||||||||
Adjustable Rate Non-Agency(c) – 13.7% | ||||||||||||||
American Home Mortgage Assets Trust Series 2007-1, Class A1 | ||||||||||||||
2,461,473 | 2.040 | 02/25/47 | 809,839 | |||||||||||
Bear Stearns Adjustable Rate Mortgage Trust Series 2004-1, Class 21A1 | ||||||||||||||
45,032 | 4.271 | 04/25/34 | 31,919 | |||||||||||
Bear Stearns Adjustable Rate Mortgage Trust Series 2005-3, Class 2A1 | ||||||||||||||
104,663 | 5.084 | 06/25/35 | 62,945 | |||||||||||
Bear Stearns Mortgage Funding Trust Series 2006-AR1, Class 2A1 | ||||||||||||||
1,661,344 | 0.534 | 08/25/36 | 686,614 | |||||||||||
Chase Mortgage Finance Corp. Series 2007-A1, Class 2A1 | ||||||||||||||
1,861,557 | 4.179 | 02/25/37 | 1,637,707 | |||||||||||
Countrywide Alternative Loan Trust Series 2005-38, Class A1 | ||||||||||||||
326,044 | 2.840 | 09/25/35 | 153,024 | |||||||||||
Countrywide Alternative Loan Trust Series 2006-OA10, Class 4A1 | ||||||||||||||
1,808,273 | 0.504 | 08/25/46 | 735,637 | |||||||||||
Countrywide Alternative Loan Trust Series 2006-OA16, Class A2 | ||||||||||||||
3,377,966 | 0.504 | 10/25/46 | 1,370,113 | |||||||||||
Countrywide Home Loan Mortgage Pass-Through Trust Series 2003-52, Class A1 | ||||||||||||||
150,473 | 5.269 | 02/19/34 | 109,176 | |||||||||||
Countrywide Home Loan Mortgage Pass-Through Trust Series 2004-HYB6, Class A2 | ||||||||||||||
27,472 | 4.515 | 11/20/34 | 20,156 | |||||||||||
Countrywide Home Loan Mortgage Pass-Through Trust Series 2005-HYB4, Class 2A1 | ||||||||||||||
150,265 | 4.891 | 08/20/35 | 84,361 | |||||||||||
Downey Savings & Loan Association Mortgage Loan Trust Series 2006-AR2, Class 2A1A | ||||||||||||||
1,433,952 | 0.513 | 11/19/37 | 556,338 | |||||||||||
Harborview Mortgage Loan Trust Series 2005-14, Class 5A1A | ||||||||||||||
673,535 | 5.725 | 12/19/35 | 337,243 | |||||||||||
Indymac Index Mortgage Loan Trust Series 2005-AR15, Class A1 | ||||||||||||||
604,337 | 5.302 | 09/25/35 | 310,051 | |||||||||||
Indymac Index Mortgage Loan Trust Series 2006-AR2, Class 1A1A | ||||||||||||||
1,298,004 | 0.534 | 04/25/46 | 496,393 | |||||||||||
Indymac Index Mortgage Loan Trust Series 2006-AR4, Class A1A | ||||||||||||||
1,316,935 | 0.524 | 05/25/46 | 515,267 | |||||||||||
J.P. Morgan Mortgage Trust Series 2007-A1, Class 1A1 | ||||||||||||||
718,365 | 4.254 | 07/25/35 | 602,622 | |||||||||||
J.P. Morgan Mortgage Trust Series 2007-A1, Class 2A2 | ||||||||||||||
661,224 | 4.741 | 07/25/35 | 529,852 | |||||||||||
J.P. Morgan Mortgage Trust Series 2007-A1, Class 5A2 | ||||||||||||||
650,046 | 4.773 | 07/25/35 | 522,321 | |||||||||||
Lehman XS Trust Series 2005-7N, Class 1A1A | ||||||||||||||
537,304 | 0.584 | 12/25/35 | 243,378 | |||||||||||
Lehman XS Trust Series 2007-16N, Class 2A2 | ||||||||||||||
925,133 | 1.164 | 09/25/47 | 338,114 | |||||||||||
Luminent Mortgage Trust Series 2006-2, Class A1A | ||||||||||||||
1,361,624 | 0.514 | 02/25/46 | 525,415 | |||||||||||
Luminent Mortgage Trust Series 2006-5, Class A1A | ||||||||||||||
611,296 | 0.504 | 07/25/36 | 253,350 | |||||||||||
Master Adjustable Rate Mortgages Trust Series 2006-OA2, Class 4A1A | ||||||||||||||
737,261 | 2.190 | 12/25/46 | 204,517 | |||||||||||
Merrill Lynch Mortgage Investors, Inc. Series 2005-A9, Class 2A1C | ||||||||||||||
3,000,000 | 5.155 | 12/25/35 | 1,437,927 | |||||||||||
Residential Accredit Loans, Inc. Series 2005-QO5, Class A1 | ||||||||||||||
1,030,909 | 2.340 | 01/25/46 | 463,744 | |||||||||||
Residential Accredit Loans, Inc. Series 2007-QH9, Class A1 | ||||||||||||||
2,825,710 | 6.540 | 11/25/37 | 786,366 | |||||||||||
Residential Funding Mortgage Securities I Series 2005-SA4, Class 2A2 | ||||||||||||||
664,797 | 5.184 | 09/25/35 | 477,163 | |||||||||||
Structured Adjustable Rate Mortgage Loan Trust Series 2004-5, Class 3A2 | ||||||||||||||
60,399 | 3.766 | 05/25/34 | 48,195 | |||||||||||
Structured Adjustable Rate Mortgage Loan Trust Series 2004-12, Class 3A1 | ||||||||||||||
28,396 | 5.192 | 09/25/34 | 18,303 | |||||||||||
Structured Adjustable Rate Mortgage Loan Trust Series 2004-16, Class 3A1 | ||||||||||||||
106,502 | 5.355 | 11/25/34 | 71,702 | |||||||||||
Structured Asset Mortgage Investments, Inc. Series 2007-AR6, Class A1 | ||||||||||||||
2,212,758 | 2.840 | 08/25/47 | 834,784 | |||||||||||
Thornburg Mortgage Securities Trust Series 2006-4, Class A2B | ||||||||||||||
2,073,240 | 0.434 | 07/25/36 | 1,864,361 | |||||||||||
Thornburg Mortgage Securities Trust Series 2006-5, Class A1 | ||||||||||||||
1,820,524 | 0.434 | 09/25/46 | 1,620,365 | |||||||||||
Washington Mutual Alternative Mortgage Pass-Through Certificates Series 2006-AR9, Class 2A | ||||||||||||||
2,373,623 | 2.180 | 11/25/46 | 817,022 | |||||||||||
Washington Mutual Mortgage Pass-Through Certificates Series 2004-AR3, Class A2 | ||||||||||||||
41,803 | 3.144 | 06/25/34 | 33,502 | |||||||||||
Washington Mutual Mortgage Pass-Through Certificates Series 2005-AR10, Class 1A3 | ||||||||||||||
2,000,000 | 4.830 | 09/25/35 | 1,030,188 | |||||||||||
Washington Mutual Mortgage Pass-Through Certificates Series 2006-AR11, Class 1A | ||||||||||||||
2,520,247 | 2.300 | 09/25/46 | 915,407 | |||||||||||
Washington Mutual Mortgage Pass-Through Certificates Series 2006-AR11, Class 3A1A | ||||||||||||||
703,415 | 2.260 | 09/25/46 | 254,126 | |||||||||||
Washington Mutual Mortgage Pass-Through Certificates Series 2007-OA2, Class 1A | ||||||||||||||
758,531 | 2.040 | 03/25/47 | 254,730 | |||||||||||
Principal | Interest | Maturity | ||||||||||||
Amount | Rate | Date | Value | |||||||||||
Mortgage-Backed Obligations – (continued) | ||||||||||||||
Adjustable Rate Non-Agency(c) – (continued) | ||||||||||||||
Wells Fargo Alternative Loan Trust Series 2007-PA6, Class A1 | ||||||||||||||
$ | 2,363,259 | 6.590 | % | 12/28/37 | $ | 1,209,302 | ||||||||
Wells Fargo Mortgage Backed Securities Trust Series 2006-AR10, Class 5A3 | ||||||||||||||
1,178,635 | 5.607 | 07/25/36 | 808,848 | |||||||||||
24,082,387 | ||||||||||||||
Collateralized Mortgage Obligations – 3.4% | ||||||||||||||
Interest Only(c)(d) – 0.0% | ||||||||||||||
FHLMC Series 2006-3167, Class XI | ||||||||||||||
182,153 | 0.000 | 10/15/35 | 187 | |||||||||||
FNMA Series 2004-71, Class DI | ||||||||||||||
507,341 | 0.000 | 04/25/34 | 3,298 | |||||||||||
3,485 | ||||||||||||||
Planned Amortization Class – 1.8% | ||||||||||||||
FNMA Series 2003-92, Class PD | ||||||||||||||
3,000,000 | 4.500 | 03/25/17 | 3,092,748 | |||||||||||
Regular Floater(c) – 1.6% | ||||||||||||||
FHLMC Series 2005-3038, Class XA(e) | ||||||||||||||
56,302 | 0.000 | 09/15/35 | 52,688 | |||||||||||
FHLMC Series 2006-3167, Class X(e) | ||||||||||||||
95,785 | 0.000 | 06/15/36 | 88,034 | |||||||||||
FHLMC Series 2007-3275, Class UF(e) | ||||||||||||||
58,366 | 0.000 | 02/15/37 | 58,366 | |||||||||||
FHLMC Series 2007-3342, Class FT | ||||||||||||||
1,680,861 | 0.769 | 07/15/37 | 1,654,562 | |||||||||||
FNMA Series 2006-68, Class FM | ||||||||||||||
872,549 | 0.764 | 08/25/36 | 859,714 | |||||||||||
FNMA Series 2006-81, Class LF(e) | ||||||||||||||
50,606 | 0.000 | 09/25/36 | 49,912 | |||||||||||
FNMA Series 2007-56, Class GY(e) | ||||||||||||||
70,181 | 0.000 | 06/25/37 | 67,965 | |||||||||||
2,831,241 | ||||||||||||||
TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS | $ | 5,927,474 | ||||||||||||
Commercial Mortgage-Backed Securities – 5.2% | ||||||||||||||
Adjustable Rate Non-Agency(c) – 1.5% | ||||||||||||||
Wachovia Bank Commercial Mortgage Trust Series 2005-C21, Class A4 | ||||||||||||||
$ | 3,000,000 | 5.384 | % | 10/15/44 | $ | 2,661,208 | ||||||||
Sequential Fixed Rate – 3.7% | ||||||||||||||
GE Capital Commercial Mortgage Corp. Series 2002-1A, Class A3 | ||||||||||||||
2,700,000 | 6.269 | 12/10/35 | 2,764,871 | |||||||||||
J.P. Morgan Chase Commercial Mortgage Securities Corp. Series 2005-LDP2, Class A4 | ||||||||||||||
1,500,000 | 4.738 | 07/15/42 | 1,249,262 | |||||||||||
Morgan Stanley Dean Witter Capital I Series 2003-TOP9, Class A2 | ||||||||||||||
2,700,000 | 4.740 | 11/13/36 | 2,594,497 | |||||||||||
6,608,630 | ||||||||||||||
TOTAL COMMERCIAL MORTGAGE-BACKED SECURITIES | $ | 9,269,838 | ||||||||||||
Federal Agencies – 35.1% | ||||||||||||||
FHLMC – 5.6% | ||||||||||||||
19,541 | 7.000 | 08/01/10 | 20,159 | |||||||||||
9,392 | 7.000 | 11/01/11 | 9,837 | |||||||||||
10,260 | 7.000 | 12/01/11 | 10,746 | |||||||||||
54,924 | 7.500 | 06/01/15 | 58,602 | |||||||||||
193,641 | 7.000 | 07/01/16 | 206,094 | |||||||||||
1,078,094 | 5.500 | 02/01/18 | 1,136,690 | |||||||||||
77,887 | 5.500 | 04/01/18 | 82,120 | |||||||||||
148,529 | 4.500 | 05/01/18 | 154,094 | |||||||||||
32,047 | 4.500 | 06/01/18 | 33,247 | |||||||||||
129,850 | 4.500 | 09/01/18 | 134,715 | |||||||||||
149,091 | 5.500 | 09/01/18 | 157,194 | |||||||||||
102,922 | 4.500 | 10/01/18 | 106,777 | |||||||||||
105,074 | 4.500 | 11/01/18 | 109,010 | |||||||||||
731,268 | 4.500 | 12/01/18 | 758,663 | |||||||||||
39,556 | 4.500 | 01/01/19 | 41,038 | |||||||||||
75,909 | 4.500 | 03/01/19 | 78,641 | |||||||||||
18,368 | 9.500 | 08/01/19 | 20,226 | |||||||||||
869 | 9.500 | 08/01/20 | 959 | |||||||||||
277,651 | 6.500 | 10/01/20 | 299,635 | |||||||||||
90,374 | 6.000 | 03/01/29 | 95,349 | |||||||||||
924 | 6.000 | 04/01/29 | 975 | |||||||||||
57,788 | 7.500 | 12/01/29 | 63,097 | |||||||||||
979 | 7.500 | 11/01/30 | 1,069 | |||||||||||
526,852 | 7.000 | 05/01/32 | 571,180 | |||||||||||
2,193 | 6.000 | 08/01/32 | 2,305 | |||||||||||
314,120 | 7.000 | 12/01/32 | 340,550 | |||||||||||
95,609 | 5.000 | 11/01/35 | 97,641 | |||||||||||
194,195 | 5.000 | 12/01/35 | 198,309 | |||||||||||
50,601 | 5.000 | 03/01/36 | 51,677 | |||||||||||
419,281 | 5.000 | 06/01/36 | 428,195 | |||||||||||
22,827 | 6.000 | 11/01/36 | 23,829 | |||||||||||
71,584 | 6.000 | 09/01/37 | 75,395 | |||||||||||
109,368 | 6.000 | 11/01/37 | 114,191 | |||||||||||
100,266 | 6.000 | 02/01/38 | 105,636 | |||||||||||
24,448 | 6.000 | 04/01/38 | 25,526 | |||||||||||
563,051 | 5.500 | 06/01/38 | 582,017 | |||||||||||
389,121 | 6.000 | 07/01/38 | 409,610 | |||||||||||
21,087 | 6.000 | 09/01/38 | 22,010 | |||||||||||
70,474 | 6.000 | 10/01/38 | 74,303 | |||||||||||
25,948 | 6.000 | 11/01/38 | 27,277 | |||||||||||
25,612 | 6.000 | 02/01/39 | 26,760 | |||||||||||
3,000,000 | 5.000 | 06/01/39 | 3,054,087 | |||||||||||
9,809,435 | ||||||||||||||
FNMA – 27.9% | ||||||||||||||
339 | 9.000 | 02/01/10 | 348 | |||||||||||
37,966 | 6.000 | 08/01/13 | 40,272 | |||||||||||
143,099 | 7.500 | 08/01/15 | 152,424 | |||||||||||
53,274 | 6.000 | 04/01/16 | 56,785 | |||||||||||
124,879 | 6.500 | 05/01/16 | 132,511 | |||||||||||
191,297 | 6.500 | 09/01/16 | 202,989 | |||||||||||
241,668 | 6.500 | 11/01/16 | 256,439 | |||||||||||
55,688 | 6.000 | 12/01/16 | 59,359 | |||||||||||
480,487 | 6.000 | 02/01/17 | 511,957 | |||||||||||
68,484 | 7.500 | 04/01/17 | 72,565 | |||||||||||
756,581 | 6.000 | 10/01/17 | 806,133 | |||||||||||
Principal | Interest | Maturity | ||||||||||||
Amount | Rate | Date | Value | |||||||||||
Mortgage-Backed Obligations – (continued) | ||||||||||||||
FNMA – (continued) | ||||||||||||||
$ | 102,252 | 5.000 | % | 02/01/18 | $ | 107,086 | ||||||||
810,725 | 5.500 | 02/01/18 | 855,154 | |||||||||||
606,558 | 5.000 | 04/01/18 | 635,233 | |||||||||||
1,057,495 | 5.000 | 05/01/18 | 1,108,384 | |||||||||||
549,747 | 4.500 | 06/01/18 | 570,355 | |||||||||||
122,391 | 5.000 | 06/01/18 | 128,177 | |||||||||||
71,275 | 6.500 | 08/01/18 | 76,664 | |||||||||||
338,044 | 7.000 | 08/01/18 | 371,594 | |||||||||||
3,103,745 | 4.000 | 09/01/18 | 3,165,514 | |||||||||||
198,673 | 5.000 | 11/01/18 | 208,065 | |||||||||||
159,224 | 4.500 | 12/01/18 | 162,700 | |||||||||||
135,033 | 5.000 | 02/01/19 | 141,137 | |||||||||||
1,024,036 | 5.000 | 03/01/19 | 1,070,325 | |||||||||||
777,537 | 5.000 | 04/01/19 | 812,684 | |||||||||||
511,019 | 5.000 | 08/01/19 | 534,118 | |||||||||||
223,227 | 5.000 | 10/01/19 | 233,318 | |||||||||||
925,339 | 5.000 | 11/01/19 | 967,167 | |||||||||||
878,727 | 4.500 | 05/01/23 | 898,419 | |||||||||||
16,148 | 5.000 | 06/01/23 | 16,721 | |||||||||||
1,154,094 | 5.500 | 09/01/23 | 1,211,903 | |||||||||||
186,393 | 5.500 | 10/01/23 | 196,150 | |||||||||||
505 | 7.000 | 07/01/25 | 552 | |||||||||||
8,514 | 7.000 | 11/01/25 | 9,314 | |||||||||||
61,456 | 9.000 | 11/01/25 | 67,296 | |||||||||||
280,485 | 7.000 | 08/01/26 | 308,054 | |||||||||||
3,978 | 7.000 | 08/01/27 | 4,370 | |||||||||||
18,771 | 7.000 | 09/01/27 | 20,617 | |||||||||||
113,629 | 6.000 | 12/01/27 | 119,386 | |||||||||||
670 | 7.000 | 01/01/28 | 736 | |||||||||||
572,852 | 6.000 | 02/01/29 | 605,727 | |||||||||||
520,045 | 6.000 | 06/01/29 | 549,864 | |||||||||||
5,977 | 7.000 | 09/01/29 | 6,556 | |||||||||||
77,853 | 8.000 | 10/01/29 | 85,113 | |||||||||||
35,782 | 7.000 | 12/01/29 | 39,243 | |||||||||||
1,595 | 8.500 | 04/01/30 | 1,740 | |||||||||||
7,966 | 8.000 | 05/01/30 | 8,659 | |||||||||||
465 | 8.500 | 06/01/30 | 507 | |||||||||||
36,565 | 7.000 | 05/01/32 | 40,006 | |||||||||||
257,018 | 7.000 | 06/01/32 | 280,914 | |||||||||||
317,521 | 7.000 | 08/01/32 | 347,042 | |||||||||||
80,962 | 8.000 | 08/01/32 | 88,209 | |||||||||||
198,711 | 5.500 | 03/01/33 | 205,932 | |||||||||||
597,420 | 5.000 | 05/01/33 | 611,240 | |||||||||||
159,510 | 5.500 | 05/01/33 | 165,307 | |||||||||||
19,496 | 5.000 | 06/01/33 | 19,947 | |||||||||||
26,999 | 5.500 | 06/01/33 | 27,980 | |||||||||||
32,398 | 5.000 | 07/01/33 | 33,147 | |||||||||||
319,687 | 5.500 | 07/01/33 | 331,304 | |||||||||||
49,595 | 5.000 | 08/01/33 | 50,742 | |||||||||||
26,614 | 5.000 | 09/01/33 | 27,230 | |||||||||||
4,340 | 5.500 | 09/01/33 | 4,502 | |||||||||||
83,130 | 5.000 | 10/01/33 | 85,054 | |||||||||||
54,136 | 5.000 | 11/01/33 | 55,389 | |||||||||||
40,009 | 5.000 | 02/01/34 | 40,935 | |||||||||||
5,501 | 5.500 | 02/01/34 | 5,705 | |||||||||||
42,326 | 5.000 | 03/01/34 | 43,305 | |||||||||||
29,563 | 5.000 | 04/01/34 | 30,247 | |||||||||||
477,508 | 5.500 | 04/01/34 | 494,861 | |||||||||||
153,132 | 5.500 | 06/01/34 | 158,696 | |||||||||||
634,624 | 5.000 | 07/01/34 | 648,943 | |||||||||||
60,939 | 5.500 | 12/01/34 | 63,198 | |||||||||||
421,680 | 6.000 | 04/01/35 | 443,979 | |||||||||||
19,788 | 5.000 | 09/01/35 | 20,223 | |||||||||||
7,456 | 5.500 | 09/01/35 | 7,731 | |||||||||||
21,256 | 6.000 | 09/01/36 | 22,245 | |||||||||||
19,738 | 6.000 | 10/01/36 | 20,656 | |||||||||||
211,213 | 6.000 | 11/01/36 | 221,036 | |||||||||||
2,960 | 5.500 | 12/01/36 | 3,068 | |||||||||||
19,968 | 5.500 | 01/01/37 | 20,631 | |||||||||||
1,012 | 5.500 | 02/01/37 | 1,049 | |||||||||||
5,370 | 5.500 | 03/01/37 | 5,566 | |||||||||||
119,386 | 5.500 | 04/01/37 | 123,558 | |||||||||||
436,579 | 5.500 | 05/01/37 | 452,058 | |||||||||||
10,884 | 5.500 | 06/01/37 | 11,272 | |||||||||||
1,000,245 | 6.000 | 06/01/37 | 1,046,654 | |||||||||||
46,125 | 5.500 | 07/01/37 | 47,689 | |||||||||||
20,367 | 6.000 | 07/01/37 | 21,409 | |||||||||||
73,062 | 5.500 | 08/01/37 | 75,515 | |||||||||||
82,689 | 6.000 | 08/01/37 | 86,572 | |||||||||||
98,222 | 6.000 | 09/01/37 | 102,747 | |||||||||||
36,228 | 5.500 | 10/01/37 | 37,525 | |||||||||||
48,918 | 6.000 | 10/01/37 | 51,309 | |||||||||||
71,457 | 6.000 | 11/01/37 | 74,898 | |||||||||||
129,420 | 6.000 | 12/01/37 | 136,482 | |||||||||||
58,102 | 5.500 | 01/01/38 | 60,174 | |||||||||||
304,619 | 5.500 | 02/01/38 | 315,461 | |||||||||||
244,531 | 6.000 | 02/01/38 | 256,854 | |||||||||||
720,033 | 5.500 | 03/01/38 | 744,427 | |||||||||||
959,536 | 6.000 | 03/01/38 | 1,004,458 | |||||||||||
699,902 | 5.500 | 04/01/38 | 725,345 | |||||||||||
239,969 | 5.500 | 05/01/38 | 249,098 | |||||||||||
61,978 | 6.000 | 05/01/38 | 65,389 | |||||||||||
1,505,802 | 5.500 | 06/01/38 | 1,562,891 | |||||||||||
86,837 | 6.000 | 06/01/38 | 91,523 | |||||||||||
1,358,343 | 5.500 | 07/01/38 | 1,410,551 | |||||||||||
155,405 | 6.000 | 07/01/38 | 163,942 | |||||||||||
464,910 | 5.500 | 08/01/38 | 481,802 | |||||||||||
51,389 | 6.000 | 08/01/38 | 54,249 | |||||||||||
544,280 | 5.500 | 09/01/38 | 564,385 | |||||||||||
452,050 | 6.000 | 09/01/38 | 474,599 | |||||||||||
360,814 | 5.500 | 10/01/38 | 373,777 | |||||||||||
75,865 | 6.000 | 10/01/38 | 80,088 | |||||||||||
251,694 | 5.500 | 11/01/38 | 261,268 | |||||||||||
74,684 | 6.000 | 11/01/38 | 78,841 | |||||||||||
136,802 | 5.500 | 12/01/38 | 141,398 | |||||||||||
1,846,293 | 5.000 | 01/01/39 | 1,888,002 | |||||||||||
193,146 | 5.500 | 01/01/39 | 199,814 | |||||||||||
26,546 | 6.000 | 01/01/39 | 27,743 | |||||||||||
57,989 | 5.500 | 02/01/39 | 60,075 | |||||||||||
9,260 | 5.500 | 03/01/39 | 9,594 | |||||||||||
1,000,000 | 5.500 | TBA-15yr(f | ) | 1,043,125 | ||||||||||
1,000,000 | 4.500 | TBA-30yr(f | ) | 997,812 | ||||||||||
7,000,000 | 5.000 | TBA-30yr(f | ) | 7,126,875 | ||||||||||
Principal | Interest | Maturity | ||||||||||||
Amount | Rate | Date | Value | |||||||||||
Mortgage-Backed Obligations – (continued) | ||||||||||||||
FNMA – (continued) | ||||||||||||||
$ | 1,000,000 | 5.500 | % | TBA-30yr(f | ) | $ | 1,032,188 | |||||||
3,000,000 | 6.000 | TBA-30yr(f | ) | 3,135,000 | ||||||||||
49,164,839 | ||||||||||||||
GNMA – 1.6% | ||||||||||||||
18,396 | 7.000 | 03/15/12 | 18,821 | |||||||||||
20,620 | 7.000 | 10/15/25 | 22,462 | |||||||||||
24,776 | 7.000 | 11/15/25 | 26,990 | |||||||||||
4,276 | 7.000 | 02/15/26 | 4,660 | |||||||||||
17,671 | 7.000 | 04/15/26 | 19,258 | |||||||||||
7,099 | 7.000 | 03/15/27 | 7,723 | |||||||||||
1,311 | 7.000 | 06/15/27 | 1,427 | |||||||||||
8,373 | 7.000 | 10/15/27 | 9,109 | |||||||||||
148,725 | 7.000 | 11/15/27 | 161,791 | |||||||||||
7,729 | 7.000 | 01/15/28 | 8,411 | |||||||||||
47,792 | 7.000 | 02/15/28 | 52,009 | |||||||||||
16,837 | 7.000 | 03/15/28 | 18,323 | |||||||||||
4,324 | 7.000 | 04/15/28 | 4,706 | |||||||||||
969 | 7.000 | 05/15/28 | 1,055 | |||||||||||
19,323 | 7.000 | 06/15/28 | 21,027 | |||||||||||
38,202 | 7.000 | 07/15/28 | 41,572 | |||||||||||
114,839 | 7.000 | 08/15/28 | 124,971 | |||||||||||
55,393 | 7.000 | 09/15/28 | 60,280 | |||||||||||
5,429 | 7.000 | 11/15/28 | 5,908 | |||||||||||
5,693 | 7.500 | 11/15/30 | 6,112 | |||||||||||
3,699 | 7.000 | 10/15/31 | 4,025 | |||||||||||
653 | 7.000 | 12/15/31 | 711 | |||||||||||
37,009 | 7.500 | 10/15/32 | 40,335 | |||||||||||
1,132,990 | 6.000 | 08/20/34 | 1,187,926 | |||||||||||
256,236 | 6.000 | 08/15/38 | 267,237 | |||||||||||
350,653 | 6.000 | 09/15/38 | 365,707 | |||||||||||
278,874 | 6.000 | 12/15/38 | 291,401 | |||||||||||
2,773,957 | ||||||||||||||
TOTAL FEDERAL AGENCIES | $ | 61,748,231 | ||||||||||||
TOTAL MORTGAGE-BACKED OBLIGATIONS | ||||||||||||||
(Cost $134,979,372) | $ | 111,452,758 | ||||||||||||
Agency Debentures – 3.3% | ||||||||||||||
Export Development Canada | ||||||||||||||
$ | 700,000 | 3.125 | % | 04/24/14 | $ | 703,928 | ||||||||
FHLMC | ||||||||||||||
2,300,000 | 3.000 | 07/28/14 | 2,308,333 | |||||||||||
FNMA(g) | ||||||||||||||
200,000 | 0.000 | 10/09/19 | 101,820 | |||||||||||
Tennessee Valley Authority | ||||||||||||||
700,000 | 4.375 | 06/15/15 | 740,365 | |||||||||||
Tennessee Valley Authority(i) | ||||||||||||||
2,000,000 | 5.375 | 04/01/56 | 1,998,767 | |||||||||||
TOTAL AGENCY DEBENTURES | ||||||||||||||
(Cost $5,804,827) | $ | 5,853,213 | ||||||||||||
Asset-Backed Securities – 0.5% | ||||||||||||||
Home Equity – 0.5% | ||||||||||||||
GMAC Mortgage Corp. Loan Trust Series 2007-HE3, Class 1A1 | ||||||||||||||
$ | 228,160 | 7.000 | % | 09/25/37 | $ | 102,252 | ||||||||
GMAC Mortgage Corp. Loan Trust Series 2007-HE3, Class 2A1 | ||||||||||||||
251,545 | 7.000 | 09/25/37 | 83,064 | |||||||||||
HFC Home Equity Loan Asset Backed Certificates Series 2007-3, Class APT(c) | ||||||||||||||
1,037,016 | 1.515 | 11/20/36 | 679,508 | |||||||||||
TOTAL ASSET-BACKED SECURITIES | ||||||||||||||
(Cost $1,517,621) | $ | 864,824 | ||||||||||||
Foreign Debt Obligations – 6.0% | ||||||||||||||
Sovereign – 0.6% | ||||||||||||||
Province of Ontario, Canada | ||||||||||||||
$ | 1,100,000 | 4.100 | % | 06/16/14 | $ | 1,120,502 | ||||||||
Supranational – 5.4% | ||||||||||||||
Asian Development Bank | ||||||||||||||
5,000,000 | 1.000 | 10/01/15 | 4,192,305 | |||||||||||
European Investment Bank | ||||||||||||||
1,800,000 | 3.000 | 04/08/14 | 1,796,619 | |||||||||||
Inter-American Development Bank | ||||||||||||||
1,700,000 | 3.000 | 04/22/14 | 1,695,863 | |||||||||||
International Finance Corp. | ||||||||||||||
1,700,000 | 3.000 | 04/22/14 | 1,695,863 | |||||||||||
9,380,650 | ||||||||||||||
TOTAL FOREIGN DEBT OBLIGATIONS | ||||||||||||||
(Cost $10,209,445) | $ | 10,501,152 | ||||||||||||
Government Guarantee Obligations(h) – 3.2% | ||||||||||||||
Landwirtschaftliche Rentenbank | ||||||||||||||
$ | 1,400,000 | 4.125 | % | 07/15/13 | $ | 1,431,108 | ||||||||
LeasePlan Corp. NV(a) | ||||||||||||||
1,000,000 | 3.000 | 05/07/12 | 1,011,507 | |||||||||||
Royal Bank of Scotland Group PLC(a) | ||||||||||||||
1,800,000 | 2.625 | 05/11/12 | 1,804,841 | |||||||||||
Societe Financement de l’Economie Francaise(a) | ||||||||||||||
1,300,000 | 3.375 | 05/05/14 | 1,305,559 | |||||||||||
TOTAL GOVERNMENT GUARANTEE OBLIGATIONS | ||||||||||||||
(Cost $5,537,754) | $ | 5,553,015 | ||||||||||||
U.S. Treasury Obligations – 3.6% | ||||||||||||||
United States Treasury Bond | ||||||||||||||
$ | 500,000 | 4.250 | % | 05/15/39 | $ | 494,845 | ||||||||
United States Treasury Inflation Protected Securities | ||||||||||||||
2,200,000 | 1.625 | 01/15/15 | 2,445,355 | |||||||||||
200,000 | 3.625 | 04/15/28 | 320,868 |
Principal | Interest | Maturity | ||||||||||||
Amount | Rate | Date | Value | |||||||||||
U.S. Treasury Obligations – (continued) | ||||||||||||||
United States Treasury Principal-Only STRIPS(g) | ||||||||||||||
$ | 3,400,000 | 0.000 | % | 11/15/21 | $ | 1,976,454 | ||||||||
200,000 | 0.000 | 11/15/26 | 91,758 | |||||||||||
2,100,000 | 0.000 | 11/15/27 | 918,939 | |||||||||||
TOTAL U.S. TREASURY OBLIGATIONS | ||||||||||||||
(Cost $6,083,772) | $ | 6,248,219 | ||||||||||||
Interest | ||||||
Shares | Rate | Value | ||||
Preferred Stock – 0.2% | ||||||
Banks – 0.2% | ||||||
Royal Bank of Scotland Group PLC ADR | ||||||
475,000 | 9.118% | $ | 387,125 | |||
(Cost $487,251) | ||||||
Shares | Rate | Value | ||||
Investment Company(c) – 4.7% | ||||||
JPMorgan U.S. Government Money Market Fund – Capital Shares | ||||||
8,307,796 | 0.236% | $ | 8,307,796 | |||
(Cost $8,307,796) | ||||||
TOTAL INVESTMENTS – 103.4% | ||||||
(Cost $207,308,982) | $ | 181,894,968 | ||||
LIABILITIES IN EXCESS OF OTHER ASSETS – (3.4)% | (5,900,348 | ) | ||||
NET ASSETS – 100.0% | $ | 175,994,620 | ||||
(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 $9,603,795, which represents approximately 5.5% of net assets as of June 30, 2009. |
(b) | Securities with “Call” features with resetting interest rate. Maturity dates disclosed are the final maturity dates. | |
(c) | Variable rate security. Interest rate disclosed is that which is in effect at June 30, 2009. | |
(d) | Represents security with notional or nominal principal amount. The actual effective yield of this security is different than the stated interest rate. | |
(e) | Security is issued with a zero coupon, and interest rate is contingent upon LIBOR reaching a predetermined level. | |
(f) | TBA (To Be Announced) Securities are purchased on a forward commitment basis with an approximate principal amount and no defined maturity date. The actual principal and maturity date will be determined upon settlement when the specific mortgage pools are assigned. Total market value of TBA securities, (excluding forward sales contracts, if any) amounts to $13,335,000, which represents approximately 7.6% of net assets as of June 30, 2009. | |
(g) | Security issued with a zero coupon. Income is recognized through the accretion of discount. | |
(h) | Represents securities which are guaranteed by a foreign government. Total market value of these securities amounts to $5,553,015, which represents approximately 3.2% of net assets as of June 30, 2009. | |
(i) | All or a portion of security is segregated as collateral for initial margin requirements on futures transactions. |
Investment Abbreviations: | ||||
ADR | — | American Depositary Receipt | ||
FHLMC | — | Federal Home Loan Mortgage Corp. | ||
FNMA | — | Federal National Mortgage Association | ||
GNMA | — | Government National Mortgage Association | ||
LIBOR | — | London Inter Bank Offered Rate | ||
REIT | — | Real Estate Investment Trust | ||
STRIPS | — | Separate Trading of Registered Interest and Principal of Securities | ||
Open Forward Foreign Currency | Contract | Expiration | Value on | Current | Unrealized | |||||||||||||
Exchange Contracts with Unrealized Gain | Type | Date | Settlement Date | Value | Gain | |||||||||||||
Australian Dollar | Purchase | 09/16/09 | $ | 822,896 | $ | 823,965 | $ | 1,069 | ||||||||||
Australian Dollar | Sale | 09/16/09 | 158,137 | 157,844 | 293 | |||||||||||||
British Pound | Purchase | 09/16/09 | 761,516 | 778,840 | 17,324 | |||||||||||||
Canadian Dollar | Sale | 09/16/09 | 155,600 | 150,305 | 5,295 | |||||||||||||
Japanese Yen | Purchase | 09/16/09 | 436,000 | 436,317 | 317 | |||||||||||||
New Zealand Dollar | Purchase | 09/16/09 | 268,151 | 274,710 | 6,559 | |||||||||||||
Norwegian Krone | Purchase | 09/16/09 | 371,704 | 374,008 | 2,304 | |||||||||||||
Swedish Krona | Sale | 09/16/09 | 115,000 | 114,214 | 786 | |||||||||||||
Swiss Franc | Sale | 09/16/09 | 393,000 | 387,241 | 5,759 | |||||||||||||
TOTAL | $ | 39,706 | ||||||||||||||||
Open Forward Foreign Currency | Contract | Expiration | Value on | Current | Unrealized | |||||||||||||
Exchange Contracts with Unrealized Loss | Type | Date | Settlement Date | Value | Loss | |||||||||||||
Australian Dollar | Sale | 09/16/09 | $ | 68,443 | $ | 69,708 | $ | (1,265 | ) | |||||||||
Australian Dollar | Purchase | 09/16/09 | 226,010 | 224,347 | (1,663 | ) | ||||||||||||
British Pound | Purchase | 09/16/09 | 122,092 | 120,088 | (2,004 | ) | ||||||||||||
British Pound | Sale | 09/16/09 | 321,893 | 324,074 | (2,181 | ) | ||||||||||||
Canadian Dollar | Purchase | 09/16/09 | 567,000 | 547,308 | (19,692 | ) | ||||||||||||
Euro | Sale | 09/16/09 | 611,208 | 618,592 | (7,384 | ) | ||||||||||||
Japanese Yen | Purchase | 09/16/09 | 231,000 | 229,920 | (1,080 | ) | ||||||||||||
Japanese Yen | Sale | 09/16/09 | 982,545 | 999,172 | (16,627 | ) | ||||||||||||
New Zealand Dollar | Purchase | 09/16/09 | 172,587 | 172,157 | (430 | ) | ||||||||||||
New Zealand Dollar | Sale | 09/16/09 | 90,783 | 91,193 | (410 | ) | ||||||||||||
Norwegian Krone | Purchase | 09/16/09 | 91,000 | 89,827 | (1,173 | ) | ||||||||||||
Swedish Krona | Sale | 09/16/09 | 110,851 | 112,917 | (2,066 | ) | ||||||||||||
Swiss Franc | Purchase | 09/16/09 | 228,000 | 224,829 | (3,171 | ) | ||||||||||||
Swiss Franc | Sale | 09/16/09 | 526,000 | 529,898 | (3,898 | ) | ||||||||||||
TOTAL | $ | (63,044 | ) | |||||||||||||||
Open Forward Foreign Currency | ||||||||||||||||
Cross Contracts with Unrealized Gain | Expiration | Purchase | Sale | Unrealized | ||||||||||||
(Purchase/Sale) | Date | Current Value | Current Value | Gain | ||||||||||||
Australian Dollar/Japanese Yen | 09/16/09 | $ | 109,833 | $ | 110,571 | $ | 738 | |||||||||
British Pound/Japanese Yen | 09/16/09 | 124,972 | 125,024 | 52 | ||||||||||||
Euro/Australian Dollar | 09/16/09 | 180,423 | 182,357 | 1,934 | ||||||||||||
Euro/British Pound | 09/16/09 | 182,069 | 182,357 | 288 | ||||||||||||
Euro/Canadian Dollar | 09/16/09 | 95,068 | 98,192 | 3,124 | ||||||||||||
Japanese Yen/Australian Dollar | 09/16/09 | 298,862 | 299,099 | 237 | ||||||||||||
Swedish Krona/Norwegian Krone | 09/16/09 | 273,485 | 281,259 | 7,774 | ||||||||||||
Swiss Franc/Canadian Dollar | 09/16/09 | 171,718 | 174,796 | 3,078 | ||||||||||||
TOTAL | $ | 17,225 | ||||||||||||||
Open Forward Foreign Currency | ||||||||||||||||
Cross Contracts with Unrealized Loss | Expiration | Purchase | Sale | Unrealized | ||||||||||||
(Purchase/Sale) | Date | Current Value | Current Value | Loss | ||||||||||||
Euro/Australian Dollar | 09/16/09 | $ | 349,321 | $ | 346,478 | $ | (2,843 | ) | ||||||||
Euro/New Zealand Dollar | 09/16/09 | 232,953 | 230,050 | (2,903 | ) | |||||||||||
Japanese Yen/Australian Dollar | 09/16/09 | 116,981 | 114,611 | (2,370 | ) | |||||||||||
Japanese Yen/British Pound | 09/16/09 | 120,088 | 119,877 | (211 | ) | |||||||||||
Japanese Yen/Euro | 09/16/09 | 119,233 | 119,033 | (200 | ) | |||||||||||
New Zealand Dollar/British Pound | 09/16/09 | 141,474 | 140,750 | (724 | ) | |||||||||||
Swiss Franc/Australian Dollar | 09/16/09 | 279,633 | 274,577 | (5,056 | ) | |||||||||||
Swiss Franc/Japanese Yen | 09/16/09 | 348,251 | 339,003 | (9,248 | ) | |||||||||||
TOTAL | $ | (23,555 | ) | |||||||||||||
Number of | ||||||||||||||||
Contracts | Settlement | Notional | Unrealized | |||||||||||||
Type | Long (Short) | Month | Value | Gain (Loss) | ||||||||||||
Eurodollars | 7 | September 2009 | $ | 1,738,275 | $ | 34,539 | ||||||||||
Eurodollars | 6 | December 2009 | 1,486,425 | 4,874 | ||||||||||||
Eurodollars | 11 | September 2010 | 2,697,200 | 2,239 | ||||||||||||
U.S. Treasury Bond | 31 | September 2009 | 3,669,141 | 35,086 | ||||||||||||
2 Year U.S. Treasury Notes | 127 | September 2009 | 27,459,781 | (62,720 | ) | |||||||||||
5 Year U.S. Treasury Notes | (46 | ) | September 2009 | (5,277,063 | ) | (31,367 | ) | |||||||||
10 Year U.S. Treasury Notes | 102 | September 2009 | 11,859,094 | 118,873 | ||||||||||||
TOTAL | $ | 101,524 | ||||||||||||||
Shares | Description | Value | ||||
Common Stocks – 98.5% | ||||||
Automobiles & Components – 0.5% | ||||||
67,713 | Ford Motor Co.* | $ | 411,018 | |||
5,000 | Harley-Davidson, Inc. | 81,050 | ||||
12,835 | Johnson Controls, Inc. | 278,776 | ||||
5,600 | The Goodyear Tire & Rubber Co.* | 63,056 | ||||
833,900 | ||||||
Banks – 2.8% | ||||||
13,900 | BB&T Corp. | 305,522 | ||||
3,450 | Comerica, Inc. | 72,967 | ||||
15,905 | Fifth Third Bancorp | 112,925 | ||||
4,782 | First Horizon National Corp.* | 57,388 | ||||
11,400 | Hudson City Bancorp, Inc. | 151,506 | ||||
8,349 | Huntington Bancshares, Inc. | 34,899 | ||||
15,300 | KeyCorp | 80,172 | ||||
1,800 | M&T Bank Corp. | 91,674 | ||||
6,100 | Marshall & Ilsley Corp. | 29,280 | ||||
7,700 | People’s United Financial, Inc. | 115,808 | ||||
9,957 | PNC Financial Services Group, Inc. | 386,431 | ||||
24,925 | Regions Financial Corp. | 100,697 | ||||
9,900 | SunTrust Banks, Inc. | 162,855 | ||||
40,651 | U.S. Bancorp | 728,466 | ||||
37,540 | Washington Mutual, Inc. | 3,792 | ||||
99,434 | Wells Fargo & Co. | 2,412,269 | ||||
2,800 | Zions Bancorporation | 32,368 | ||||
4,879,019 | ||||||
Capital Goods – 7.0% | ||||||
14,939 | 3M Co. | 897,834 | ||||
12,771 | Caterpillar, Inc. | 421,954 | ||||
3,600 | Cooper Industries Ltd. Class A | 111,780 | ||||
4,300 | Cummins, Inc. | 151,403 | ||||
5,400 | Danaher Corp. | 333,396 | ||||
9,179 | Deere & Co. | 366,701 | ||||
4,050 | Dover Corp. | 134,014 | ||||
3,600 | Eaton Corp. | 160,596 | ||||
16,204 | Emerson Electric Co. | 525,010 | ||||
2,800 | Fastenal Co. | 92,876 | ||||
1,200 | Flowserve Corp. | 83,772 | ||||
3,782 | Fluor Corp. | 193,979 | ||||
8,306 | General Dynamics Corp. | 460,069 | ||||
226,267 | General Electric Co. | 2,651,849 | ||||
2,600 | Goodrich Corp. | 129,922 | ||||
16,008 | Honeywell International, Inc. | 502,651 | ||||
8,200 | Illinois Tool Works, Inc. | 306,188 | ||||
4,000 | ITT Corp. | 178,000 | ||||
2,600 | Jacobs Engineering Group, Inc.* | 109,434 | ||||
2,500 | L-3 Communications Holdings, Inc. | 173,450 | ||||
6,982 | Lockheed Martin Corp. | 563,098 | ||||
7,400 | Masco Corp. | 70,892 | ||||
6,992 | Northrop Grumman Corp. | 319,395 | ||||
7,842 | PACCAR, Inc. | 254,943 | ||||
2,700 | Pall Corp. | 71,712 | ||||
3,548 | Parker Hannifin Corp. | 152,422 | ||||
3,000 | Precision Castparts Corp. | 219,090 | ||||
4,100 | Quanta Services, Inc.* | 94,833 | ||||
8,379 | Raytheon Co. | 372,279 | ||||
3,000 | Rockwell Automation, Inc. | 96,360 | ||||
3,460 | Rockwell Collins, Inc. | 144,386 | ||||
5,100 | Textron, Inc. | 49,266 | ||||
15,467 | The Boeing Co. | 657,347 | ||||
3,500 | The Manitowoc Co., Inc. | 18,410 | ||||
20,037 | United Technologies Corp. | 1,041,123 | ||||
1,328 | W.W. Grainger, Inc. | 108,737 | ||||
12,219,171 | ||||||
Commercial & Professional Services – 0.7% | ||||||
2,400 | Avery Dennison Corp. | 61,632 | ||||
2,800 | Cintas Corp. | 63,952 | ||||
2,750 | Equifax, Inc. | 71,775 | ||||
3,900 | Iron Mountain, Inc.* | 112,125 | ||||
3,000 | Monster Worldwide, Inc.* | 35,430 | ||||
4,500 | Pitney Bowes, Inc. | 98,685 | ||||
4,200 | R.R. Donnelley & Sons Co. | 48,804 | ||||
7,010 | Republic Services, Inc. | 171,114 | ||||
3,200 | Robert Half International, Inc. | 75,584 | ||||
1,800 | Stericycle, Inc.* | 92,754 | ||||
1,200 | The Dun & Bradstreet Corp. | 97,452 | ||||
10,449 | Waste Management, Inc. | 294,244 | ||||
1,223,551 | ||||||
Consumer Durables & Apparel – 0.9% | ||||||
1,382 | Black & Decker Corp. | 39,608 | ||||
3,100 | Centex Corp. | 26,226 | ||||
6,900 | Coach, Inc. | 185,472 | ||||
5,800 | D.R. Horton, Inc. | 54,288 | ||||
6,500 | Eastman Kodak Co. | 19,240 | ||||
3,200 | Fortune Brands, Inc. | 111,168 | ||||
1,100 | Harman International Industries, Inc. | 20,680 | ||||
2,521 | Hasbro, Inc. | 61,109 | ||||
1,900 | KB HOME | 25,992 | ||||
3,700 | Leggett & Platt, Inc. | 56,351 | ||||
3,100 | Lennar Corp. Class A | 30,039 | ||||
7,951 | Mattel, Inc. | 127,614 | ||||
6,433 | Newell Rubbermaid, Inc. | 66,968 | ||||
8,259 | NIKE, Inc. Class B | 427,651 | ||||
1,200 | Polo Ralph Lauren Corp. | 64,248 | ||||
4,900 | Pulte Homes, Inc. | 43,267 | ||||
1,403 | Snap-On, Inc. | 40,322 | ||||
1,800 | The Stanley Works | 60,912 | ||||
1,900 | VF Corp. | 105,165 | ||||
1,659 | Whirlpool Corp. | 70,607 | ||||
1,636,927 | ||||||
Consumer Services – 1.7% | ||||||
2,300 | Apollo Group, Inc. Class A* | 163,576 | ||||
9,300 | Carnival Corp. | 239,661 | ||||
3,000 | Darden Restaurants, Inc. | 98,940 | ||||
1,300 | DeVry, Inc. | 65,052 | ||||
7,500 | H&R Block, Inc. | 129,225 | ||||
6,500 | International Game Technology | 103,350 | ||||
Shares | Description | Value | ||||
Common Stocks – (continued) | ||||||
Consumer Services – (continued) | ||||||
6,323 | Marriott International, Inc. Class A | $ | 139,554 | |||
23,633 | McDonald’s Corp. | 1,358,661 | ||||
15,556 | Starbucks Corp.* | 216,073 | ||||
3,900 | Starwood Hotels & Resorts Worldwide, Inc. | 86,580 | ||||
3,426 | Wyndham Worldwide Corp. | 41,523 | ||||
1,300 | Wynn Resorts Ltd.* | 45,890 | ||||
9,997 | Yum! Brands, Inc. | 333,300 | ||||
3,021,385 | ||||||
Diversified Financials – 7.3% | ||||||
25,169 | American Express Co. | 584,928 | ||||
5,480 | Ameriprise Financial, Inc. | 133,000 | ||||
172,739 | Bank of America Corp. | 2,280,155 | ||||
9,433 | Capital One Financial Corp. | 206,394 | ||||
7,900 | CIT Group, Inc. | 16,985 | ||||
117,105 | Citigroup, Inc. | 347,802 | ||||
1,418 | CME Group, Inc. | 441,154 | ||||
10,317 | Discover Financial Services | 105,956 | ||||
12,000 | E*Trade Financial Corp.* | 15,360 | ||||
2,000 | Federated Investors, Inc. Class B | 48,180 | ||||
3,230 | Franklin Resources, Inc. | 232,592 | ||||
1,600 | IntercontinentalExchange, Inc.* | 182,784 | ||||
8,400 | Invesco Ltd. | 149,688 | ||||
3,700 | Janus Capital Group, Inc. | 42,180 | ||||
83,394 | JPMorgan Chase & Co. | 2,844,569 | ||||
3,100 | Legg Mason, Inc. | 75,578 | ||||
3,800 | Leucadia National Corp.* | 80,142 | ||||
4,000 | Moody’s Corp. | 105,400 | ||||
28,834 | Morgan Stanley | 822,057 | ||||
5,000 | Northern Trust Corp. | 268,400 | ||||
5,500 | NYSE Euronext | 149,875 | ||||
10,571 | SLM Corp.* | 108,564 | ||||
10,367 | State Street Corp. | 489,322 | ||||
5,400 | T. Rowe Price Group, Inc. | 225,018 | ||||
25,415 | The Bank of New York Mellon Corp. | 744,914 | ||||
19,986 | The Charles Schwab Corp. | 350,554 | ||||
10,743 | The Goldman Sachs Group, Inc.(a) | 1,583,948 | ||||
3,200 | The NASDAQ OMX Group, Inc.* | 68,192 | ||||
12,703,691 | ||||||
Energy – 12.2% | ||||||
10,518 | Anadarko Petroleum Corp. | 477,412 | ||||
7,216 | Apache Corp. | 520,634 | ||||
6,593 | Baker Hughes, Inc. | 240,249 | ||||
6,400 | BJ Services Co. | 87,232 | ||||
2,100 | Cabot Oil & Gas Corp. | 64,344 | ||||
4,800 | Cameron International Corp.* | 135,840 | ||||
12,317 | Chesapeake Energy Corp. | 244,246 | ||||
42,784 | Chevron Corp. | 2,834,440 | ||||
31,602 | ConocoPhillips | 1,329,180 | ||||
4,000 | Consol Energy, Inc. | 135,840 | ||||
5,500 | Denbury Resources, Inc.* | 81,015 | ||||
9,416 | Devon Energy Corp. | 513,172 | ||||
1,500 | Diamond Offshore Drilling, Inc. | 124,575 | ||||
14,630 | El Paso Corp. | 135,035 | ||||
3,000 | ENSCO International, Inc. | 104,610 | ||||
5,393 | EOG Resources, Inc. | 366,292 | ||||
104,335 | Exxon Mobil Corp. | 7,294,060 | ||||
2,700 | FMC Technologies, Inc.* | 101,466 | ||||
19,244 | Halliburton Co. | 398,351 | ||||
6,000 | Hess Corp. | 322,500 | ||||
15,108 | Marathon Oil Corp. | 455,204 | ||||
2,000 | Massey Energy Co. | 39,080 | ||||
4,100 | Murphy Oil Corp. | 222,712 | ||||
6,400 | Nabors Industries Ltd.* | 99,712 | ||||
8,818 | National-Oilwell Varco, Inc.* | 287,996 | ||||
3,700 | Noble Energy, Inc. | 218,189 | ||||
17,300 | Occidental Petroleum Corp. | 1,138,513 | ||||
5,606 | Peabody Energy Corp. | 169,077 | ||||
2,500 | Pioneer Natural Resources Co. | 63,750 | ||||
3,400 | Range Resources Corp. | 140,794 | ||||
2,300 | Rowan Companies, Inc. | 44,436 | ||||
25,633 | Schlumberger Ltd. | 1,387,002 | ||||
4,800 | Smith International, Inc. | 123,600 | ||||
7,300 | Southwestern Energy Co.* | 283,605 | ||||
13,933 | Spectra Energy Corp. | 235,746 | ||||
2,600 | Sunoco, Inc. | 60,320 | ||||
3,000 | Tesoro Corp. | 38,190 | ||||
12,183 | The Williams Companies, Inc. | 190,177 | ||||
11,513 | Valero Energy Corp. | 194,455 | ||||
12,400 | XTO Energy, Inc. | 472,936 | ||||
21,375,987 | ||||||
Food & Staples Retailing – 3.0% | ||||||
9,287 | Costco Wholesale Corp. | 424,416 | ||||
31,081 | CVS/Caremark Corp. | 990,551 | ||||
9,000 | Safeway, Inc. | 183,330 | ||||
4,273 | SUPERVALU, Inc. | 55,335 | ||||
12,600 | Sysco Corp. | 283,248 | ||||
13,832 | The Kroger Co. | 304,996 | ||||
21,200 | Walgreen Co. | 623,280 | ||||
47,709 | Wal-Mart Stores, Inc. | 2,311,024 | ||||
3,000 | Whole Foods Market, Inc. | 56,940 | ||||
5,233,120 | ||||||
Food, Beverage & Tobacco – 6.0% | ||||||
44,480 | Altria Group, Inc. | 729,027 | ||||
13,749 | Archer-Daniels-Midland Co. | 368,061 | ||||
2,050 | Brown-Forman Corp. Class B | 88,109 | ||||
4,300 | Campbell Soup Co. | 126,506 | ||||
6,900 | Coca-Cola Enterprises, Inc. | 114,885 | ||||
9,800 | ConAgra Foods, Inc. | 186,788 | ||||
4,200 | Constellation Brands, Inc. Class A* | 53,256 | ||||
3,300 | Dean Foods Co.* | 63,327 | ||||
5,600 | Dr. Pepper Snapple Group, Inc.* | 118,664 | ||||
7,100 | General Mills, Inc. | 397,742 | ||||
6,700 | H.J. Heinz Co. | 239,190 | ||||
1,600 | Hormel Foods Corp. | 55,264 | ||||
5,400 | Kellogg Co. | 251,478 | ||||
31,657 | Kraft Foods, Inc. Class A | 802,188 | ||||
Shares | Description | Value | ||||
Common Stocks – (continued) | ||||||
Food, Beverage & Tobacco – (continued) | ||||||
3,547 | Lorillard, Inc. | $ | 240,380 | |||
2,900 | McCormick & Co., Inc. | 94,337 | ||||
3,100 | Molson Coors Brewing Co. Class B | 131,223 | ||||
3,025 | Pepsi Bottling Group, Inc. | 102,366 | ||||
33,375 | PepsiCo, Inc. | 1,834,290 | ||||
41,881 | Philip Morris International, Inc. | 1,826,849 | ||||
3,745 | Reynolds American, Inc. | 144,632 | ||||
14,900 | Sara Lee Corp. | 145,424 | ||||
42,684 | The Coca-Cola Co. | 2,048,405 | ||||
3,500 | The Hershey Co. | 126,000 | ||||
2,634 | The J. M. Smucker Co. | 128,171 | ||||
6,900 | Tyson Foods, Inc. Class A | 87,009 | ||||
10,503,571 | ||||||
Health Care Equipment & Services – 4.2% | ||||||
9,489 | Aetna, Inc. | 237,699 | ||||
6,360 | AmerisourceBergen Corp. | 112,826 | ||||
13,000 | Baxter International, Inc. | 688,480 | ||||
5,200 | Becton, Dickinson and Co. | 370,812 | ||||
32,106 | Boston Scientific Corp.* | 325,555 | ||||
2,167 | C.R. Bard, Inc. | 161,333 | ||||
7,632 | Cardinal Health, Inc. | 233,158 | ||||
5,819 | CIGNA Corp. | 140,180 | ||||
3,100 | Coventry Health Care, Inc.* | 58,001 | ||||
2,300 | DaVita, Inc.* | 113,758 | ||||
3,200 | DENTSPLY International, Inc. | 97,664 | ||||
5,846 | Express Scripts, Inc.* | 401,912 | ||||
3,290 | Hospira, Inc.* | 126,731 | ||||
3,500 | Humana, Inc.* | 112,910 | ||||
3,954 | IMS Health, Inc. | 50,216 | ||||
790 | Intuitive Surgical, Inc.* | 129,291 | ||||
2,300 | Laboratory Corp. of America Holdings* | 155,917 | ||||
5,764 | McKesson Corp. | 253,616 | ||||
10,237 | Medco Health Solutions, Inc.* | 466,910 | ||||
24,058 | Medtronic, Inc. | 839,384 | ||||
2,081 | Patterson Companies, Inc.* | 45,158 | ||||
3,200 | Quest Diagnostics, Inc. | 180,576 | ||||
7,493 | St. Jude Medical, Inc.* | 307,962 | ||||
5,200 | Stryker Corp. | 206,648 | ||||
8,150 | Tenet Healthcare Corp.* | 22,983 | ||||
25,662 | UnitedHealth Group, Inc. | 641,037 | ||||
2,600 | Varian Medical Systems, Inc.* | 91,364 | ||||
10,460 | WellPoint, Inc.* | 532,309 | ||||
4,617 | Zimmer Holdings, Inc.* | 196,684 | ||||
7,301,074 | ||||||
Household & Personal Products – 2.8% | ||||||
9,300 | Avon Products, Inc. | 239,754 | ||||
10,686 | Colgate-Palmolive Co. | 755,928 | ||||
8,840 | Kimberly-Clark Corp. | 463,481 | ||||
3,000 | The Clorox Co. | 167,490 | ||||
2,600 | The Estee Lauder Companies, Inc. Class A | 84,942 | ||||
62,309 | The Procter & Gamble Co. | 3,183,990 | ||||
4,895,585 | ||||||
Insurance – 2.3% | ||||||
9,992 | Aflac, Inc. | 310,651 | ||||
56,823 | American International Group, Inc. | 65,915 | ||||
6,050 | Aon Corp. | 229,113 | ||||
2,500 | Assurant, Inc. | 60,225 | ||||
3,468 | Cincinnati Financial Corp. | 77,510 | ||||
8,600 | Genworth Financial, Inc. Class A | 60,114 | ||||
7,273 | Hartford Financial Services Group, Inc. | 86,331 | ||||
5,358 | Lincoln National Corp. | 92,211 | ||||
7,647 | Loews Corp. | 209,528 | ||||
11,288 | Marsh & McLennan Companies, Inc. | 227,227 | ||||
4,450 | MBIA, Inc.* | 19,268 | ||||
17,581 | MetLife, Inc. | 527,606 | ||||
6,832 | Principal Financial Group, Inc. | 128,715 | ||||
9,848 | Prudential Financial, Inc. | 366,543 | ||||
11,338 | The Allstate Corp. | 276,647 | ||||
7,508 | The Chubb Corp. | 299,419 | ||||
14,600 | The Progressive Corp.* | 220,606 | ||||
12,499 | The Travelers Companies, Inc. | 512,959 | ||||
1,741 | Torchmark Corp. | 64,487 | ||||
6,918 | Unum Group | 109,719 | ||||
7,600 | XL Capital Ltd. Class A | 87,096 | ||||
4,031,890 | ||||||
Materials – 3.2% | ||||||
4,500 | Air Products & Chemicals, Inc. | 290,655 | ||||
2,200 | AK Steel Holding Corp. | 42,218 | ||||
20,968 | Alcoa, Inc. | 216,599 | ||||
2,151 | Allegheny Technologies, Inc. | 75,134 | ||||
2,000 | Ball Corp. | 90,320 | ||||
2,300 | Bemis Co., Inc. | 57,960 | ||||
1,090 | CF Industries Holdings, Inc. | 80,813 | ||||
19,338 | E.I. du Pont de Nemours & Co. | 495,440 | ||||
1,600 | Eastman Chemical Co. | 60,640 | ||||
3,512 | Ecolab, Inc. | 136,933 | ||||
8,860 | Freeport-McMoRan Copper & Gold, Inc. | 443,975 | ||||
1,700 | International Flavors & Fragrances, Inc. | 55,624 | ||||
9,259 | International Paper Co. | 140,089 | ||||
3,598 | MeadWestvaco Corp. | 59,043 | ||||
11,654 | Monsanto Co. | 866,358 | ||||
10,488 | Newmont Mining Corp. | 428,644 | ||||
6,800 | Nucor Corp. | 302,124 | ||||
3,700 | Owens-Illinois, Inc.* | 103,637 | ||||
2,700 | Pactiv Corp.* | 58,590 | ||||
3,600 | PPG Industries, Inc. | 158,040 | ||||
6,600 | Praxair, Inc. | 469,062 | ||||
3,616 | Sealed Air Corp. | 66,715 | ||||
2,700 | Sigma-Aldrich Corp. | 133,812 | ||||
22,613 | The Dow Chemical Co. | 364,974 | ||||
1,500 | Titanium Metals Corp. | 13,785 | ||||
3,120 | United States Steel Corp. | 111,509 | ||||
Shares | Description | Value | ||||
Common Stocks – (continued) | ||||||
Materials – (continued) | ||||||
2,400 | Vulcan Materials Co. | $ | 103,440 | |||
4,592 | Weyerhaeuser Co. | 139,735 | ||||
5,565,868 | ||||||
Media – 2.5% | ||||||
14,564 | CBS Corp. Class B | 100,783 | ||||
62,015 | Comcast Corp. Class A | 898,597 | ||||
5,071 | Gannett Co., Inc. | 18,103 | ||||
900 | Meredith Corp. | 22,995 | ||||
49,286 | News Corp. Class A | 448,995 | ||||
6,648 | Omnicom Group, Inc. | 209,944 | ||||
1,900 | Scripps Networks Interactive, Inc. Class A | 52,877 | ||||
11,200 | The DIRECTV Group, Inc.* | 276,752 | ||||
10,271 | The Interpublic Group of Companies, Inc.* | 51,869 | ||||
6,808 | The McGraw-Hill Companies, Inc. | 204,989 | ||||
2,200 | The New York Times Co. Class A | 12,122 | ||||
39,529 | The Walt Disney Co. | 922,212 | ||||
133 | The Washington Post Co. Class B | 46,840 | ||||
7,596 | Time Warner Cable, Inc. | 240,565 | ||||
25,699 | Time Warner, Inc. | 647,358 | ||||
12,944 | Viacom, Inc. Class B* | 293,829 | ||||
4,448,830 | ||||||
Pharmaceuticals, Biotechnology & Life Sciences – 9.6% | ||||||
33,000 | Abbott Laboratories | 1,552,320 | ||||
6,500 | Allergan, Inc. | 309,270 | ||||
21,658 | Amgen, Inc.* | 1,146,575 | ||||
6,215 | Biogen Idec, Inc.* | 280,607 | ||||
42,238 | Bristol-Myers Squibb Co. | 857,854 | ||||
9,800 | Celgene Corp.* | 468,832 | ||||
1,400 | Cephalon, Inc.* | 79,310 | ||||
21,742 | Eli Lilly & Co. | 753,143 | ||||
6,300 | Forest Laboratories, Inc.* | 158,193 | ||||
5,700 | Genzyme Corp.* | 317,319 | ||||
19,400 | Gilead Sciences, Inc.* | 908,696 | ||||
58,882 | Johnson & Johnson | 3,344,498 | ||||
5,666 | King Pharmaceuticals, Inc.* | 54,564 | ||||
3,670 | Life Technologies Corp.* | 153,112 | ||||
44,929 | Merck & Co., Inc. | 1,256,215 | ||||
1,200 | Millipore Corp.* | 84,252 | ||||
6,800 | Mylan, Inc.* | 88,740 | ||||
2,800 | PerkinElmer, Inc. | 48,720 | ||||
144,108 | Pfizer, Inc. | 2,161,620 | ||||
35,046 | Schering-Plough Corp. | 880,355 | ||||
9,068 | Thermo Fisher Scientific, Inc.* | 369,702 | ||||
2,000 | Waters Corp.* | 102,940 | ||||
2,400 | Watson Pharmaceuticals, Inc.* | 80,856 | ||||
28,446 | Wyeth | 1,291,164 | ||||
16,748,857 | ||||||
Real Estate – 1.0% | ||||||
2,980 | Apartment Investment & Management Co. Class A (REIT) | 26,373 | ||||
1,691 | AvalonBay Communities, Inc. (REIT) | 94,595 | ||||
2,627 | Boston Properties, Inc. (REIT) | 125,308 | ||||
4,300 | CB Richard Ellis Group, Inc. Class A* | 40,248 | ||||
214 | Developers Diversified Realty Corp. (REIT) | 1,044 | ||||
5,900 | Equity Residential (REIT) | 131,157 | ||||
5,600 | HCP, Inc. (REIT) | 118,664 | ||||
2,400 | Health Care REIT, Inc. (REIT) | 81,840 | ||||
12,357 | Host Hotels & Resorts, Inc. (REIT) | 103,675 | ||||
5,400 | Kimco Realty Corp. (REIT) | 54,270 | ||||
3,500 | Plum Creek Timber Co., Inc. (REIT) | 104,230 | ||||
9,300 | ProLogis (REIT) | 74,958 | ||||
2,751 | Public Storage, Inc. (REIT) | 180,135 | ||||
6,011 | Simon Property Group, Inc. (REIT) | 309,131 | ||||
3,200 | Ventas, Inc. (REIT) | 95,552 | ||||
3,155 | Vornado Realty Trust (REIT) | 142,075 | ||||
1,683,255 | ||||||
Retailing – 3.2% | ||||||
1,777 | Abercrombie & Fitch Co. Class A | 45,118 | ||||
6,868 | Amazon.com, Inc.* | 574,577 | ||||
2,172 | AutoNation, Inc.* | 37,684 | ||||
779 | AutoZone, Inc.* | 117,715 | ||||
5,472 | Bed Bath & Beyond, Inc.* | 168,264 | ||||
7,250 | Best Buy Co., Inc. | 242,803 | ||||
1,700 | Big Lots, Inc.* | 35,751 | ||||
4,400 | Expedia, Inc.* | 66,484 | ||||
3,100 | Family Dollar Stores, Inc. | 87,730 | ||||
3,600 | GameStop Corp. Class A* | 79,236 | ||||
3,498 | Genuine Parts Co. | 117,393 | ||||
4,900 | J.C. Penney Co., Inc. | 140,679 | ||||
6,519 | Kohl’s Corp.* | 278,687 | ||||
5,700 | Limited Brands, Inc. | 68,229 | ||||
31,500 | Lowe’s Companies, Inc. | 611,415 | ||||
8,734 | Macy’s, Inc. | 102,712 | ||||
3,224 | Nordstrom, Inc. | 64,125 | ||||
6,600 | Office Depot, Inc.* | 30,096 | ||||
3,000 | O’Reilly Automotive, Inc.* | 114,240 | ||||
2,900 | RadioShack Corp. | 40,484 | ||||
1,200 | Sears Holdings Corp.* | 79,824 | ||||
15,197 | Staples, Inc. | 306,523 | ||||
16,200 | Target Corp. | 639,414 | ||||
9,650 | The Gap, Inc. | 158,260 | ||||
36,494 | The Home Depot, Inc. | 862,353 | ||||
2,100 | The Sherwin-Williams Co. | 112,875 | ||||
8,793 | The TJX Companies, Inc. | 276,628 | ||||
2,700 | Tiffany & Co. | 68,472 | ||||
5,527,771 | ||||||
Semiconductors & Semiconductor Equipment – 2.5% | ||||||
11,600 | Advanced Micro Devices, Inc.* | 44,892 | ||||
6,574 | Altera Corp. | 107,025 | ||||
6,100 | Analog Devices, Inc. | 151,158 | ||||
28,300 | Applied Materials, Inc. | 310,451 | ||||
Shares | Description | Value | ||||
Common Stocks – (continued) | ||||||
Semiconductors & Semiconductor Equipment – (continued) | ||||||
9,050 | Broadcom Corp. Class A* | $ | 224,349 | |||
119,249 | Intel Corp. | 1,973,571 | ||||
3,725 | KLA-Tencor Corp. | 94,056 | ||||
4,600 | Linear Technology Corp. | 107,410 | ||||
14,300 | LSI Corp.* | 65,208 | ||||
4,800 | MEMC Electronic Materials, Inc.* | 85,488 | ||||
4,000 | Microchip Technology, Inc. | 90,200 | ||||
16,943 | Micron Technology, Inc.* | 85,732 | ||||
4,400 | National Semiconductor Corp. | 55,220 | ||||
2,265 | Novellus Systems, Inc.* | 37,826 | ||||
11,950 | NVIDIA Corp.* | 134,915 | ||||
3,400 | Teradyne, Inc.* | 23,324 | ||||
27,358 | Texas Instruments, Inc. | 582,725 | ||||
6,000 | Xilinx, Inc. | 122,760 | ||||
4,296,310 | ||||||
Software & Services – 7.0% | ||||||
11,215 | Adobe Systems, Inc.* | 317,384 | ||||
2,100 | Affiliated Computer Services, Inc. Class A* | 93,282 | ||||
3,700 | Akamai Technologies, Inc.* | 70,966 | ||||
4,900 | Autodesk, Inc.* | 93,002 | ||||
10,800 | Automatic Data Processing, Inc. | 382,752 | ||||
4,100 | BMC Software, Inc.* | 138,539 | ||||
8,704 | CA, Inc. | 151,711 | ||||
3,700 | Citrix Systems, Inc.* | 117,993 | ||||
6,435 | Cognizant Technology Solutions Corp. Class A* | 171,814 | ||||
3,200 | Computer Sciences Corp.* | 141,760 | ||||
4,700 | Compuware Corp.* | 32,242 | ||||
2,900 | Convergys Corp.* | 26,912 | ||||
22,944 | eBay, Inc.* | 393,031 | ||||
7,100 | Electronic Arts, Inc.* | 154,212 | ||||
4,300 | Fidelity National Information Services, Inc. | 85,828 | ||||
3,250 | Fiserv, Inc.* | 148,525 | ||||
5,117 | Google, Inc. Class A* | 2,157,276 | ||||
6,800 | Intuit, Inc.* | 191,488 | ||||
1,500 | Mastercard, Inc. Class A | 250,965 | ||||
3,200 | McAfee, Inc.* | 135,008 | ||||
163,603 | Microsoft Corp. | 3,888,843 | ||||
7,400 | Novell, Inc.* | 33,522 | ||||
81,237 | Oracle Corp. | 1,740,097 | ||||
6,731 | Paychex, Inc. | 169,621 | ||||
2,300 | Salesforce.com, Inc.* | 87,791 | ||||
17,412 | Symantec Corp.* | 270,931 | ||||
4,500 | Total System Services, Inc. | 60,255 | ||||
4,402 | VeriSign, Inc.* | 81,349 | ||||
14,919 | Western Union Co. | 244,672 | ||||
29,900 | Yahoo!, Inc.* | 468,234 | ||||
12,300,005 | ||||||
Technology Hardware & Equipment – 8.6% | ||||||
7,396 | Agilent Technologies, Inc.* | 150,213 | ||||
3,600 | Amphenol Corp. Class A | 113,904 | ||||
19,058 | Apple, Inc.* | 2,714,431 | ||||
2,385 | Ciena Corp.* | 24,685 | ||||
123,167 | Cisco Systems, Inc.* | 2,295,833 | ||||
33,125 | Corning, Inc. | 531,987 | ||||
37,600 | Dell, Inc.* | 516,248 | ||||
43,172 | EMC Corp.* | 565,553 | ||||
3,200 | FLIR Systems, Inc.* | 72,192 | ||||
3,000 | Harris Corp. | 85,080 | ||||
50,941 | Hewlett-Packard Co. | 1,968,869 | ||||
28,209 | International Business Machines Corp. | 2,945,584 | ||||
5,000 | Jabil Circuit, Inc. | 37,100 | ||||
4,625 | JDS Uniphase Corp.* | 26,455 | ||||
11,400 | Juniper Networks, Inc.* | 269,040 | ||||
1,600 | Lexmark International, Inc. Class A* | 25,360 | ||||
3,225 | Molex, Inc. | 50,149 | ||||
48,535 | Motorola, Inc. | 321,787 | ||||
7,211 | NetApp, Inc.* | 142,201 | ||||
2,300 | QLogic Corp.* | 29,164 | ||||
35,320 | QUALCOMM, Inc. | 1,596,464 | ||||
4,800 | SanDisk Corp.* | 70,512 | ||||
16,114 | Sun Microsystems, Inc.* | 148,571 | ||||
8,700 | Tellabs, Inc.* | 49,851 | ||||
3,900 | Teradata Corp.* | 91,377 | ||||
4,700 | Western Digital Corp.* | 124,550 | ||||
18,900 | Xerox Corp. | 122,472 | ||||
15,089,632 | ||||||
Telecommunication Services – 3.5% | ||||||
8,500 | American Tower Corp. Class A* | 268,005 | ||||
126,068 | AT&T, Inc. | 3,131,529 | ||||
2,100 | CenturyTel, Inc. | 64,470 | ||||
2,940 | Embarq Corp. | 123,656 | ||||
7,300 | Frontier Communications Corp. | 52,122 | ||||
5,400 | MetroPCS Communications, Inc.* | 71,874 | ||||
32,563 | Qwest Communications International, Inc. | 135,137 | ||||
61,210 | Sprint Nextel Corp.* | 294,420 | ||||
60,670 | Verizon Communications, Inc. | 1,864,389 | ||||
8,981 | Windstream Corp. | 75,081 | ||||
6,080,683 | ||||||
Transportation – 2.0% | ||||||
5,922 | Burlington Northern Santa Fe Corp. | 435,504 | ||||
3,600 | C.H. Robinson Worldwide, Inc. | 187,740 | ||||
8,462 | CSX Corp. | 293,039 | ||||
4,400 | Expeditors International of Washington, Inc. | 146,696 | ||||
6,700 | FedEx Corp. | 372,654 | ||||
7,935 | Norfolk Southern Corp. | 298,912 | ||||
1,300 | Ryder System, Inc. | 36,296 | ||||
16,218 | Southwest Airlines Co. | 109,147 | ||||
10,820 | Union Pacific Corp. | 563,289 | ||||
21,311 | United Parcel Service, Inc. Class B | 1,065,337 | ||||
3,508,614 | ||||||
Shares | Description | Value | ||||
Common Stocks – (continued) | ||||||
Utilities – 4.0% | ||||||
14,700 | AES Corp.* | $ | 170,667 | |||
3,500 | Allegheny Energy, Inc. | 89,775 | ||||
4,677 | Ameren Corp. | 116,410 | ||||
10,091 | American Electric Power Co., Inc. | 291,529 | ||||
7,198 | CenterPoint Energy, Inc. | 79,754 | ||||
5,000 | CMS Energy Corp. | 60,400 | ||||
5,800 | Consolidated Edison, Inc. | 217,036 | ||||
4,350 | Constellation Energy Group, Inc. | 115,623 | ||||
12,447 | Dominion Resources, Inc. | 415,979 | ||||
3,600 | DTE Energy Co. | 115,200 | ||||
27,342 | Duke Energy Corp. | 398,920 | ||||
11,397 | Dynegy, Inc. Class A* | 25,871 | ||||
7,069 | Edison International | 222,391 | ||||
4,148 | Entergy Corp. | 321,553 | ||||
2,700 | EQT Corp. | 94,257 | ||||
14,181 | Exelon Corp. | 726,209 | ||||
6,434 | FirstEnergy Corp. | 249,317 | ||||
8,746 | FPL Group, Inc. | 497,297 | ||||
1,731 | Integrys Energy Group, Inc. | 51,913 | ||||
1,000 | Nicor, Inc. | 34,620 | ||||
5,900 | NiSource, Inc. | 68,794 | ||||
3,890 | Northeast Utilities | 86,786 | ||||
4,900 | Pepco Holdings, Inc. | 65,856 | ||||
7,931 | PG&E Corp. | 304,868 | ||||
2,300 | Pinnacle West Capital Corp. | 69,345 | ||||
7,951 | PPL Corp. | 262,065 | ||||
5,777 | Progress Energy, Inc. | 218,544 | ||||
10,742 | Public Service Enterprise Group, Inc. | 350,511 | ||||
3,800 | Questar Corp. | 118,028 | ||||
2,700 | SCANA Corp. | 87,669 | ||||
5,313 | Sempra Energy | 263,684 | ||||
16,867 | Southern Co. | 525,576 | ||||
4,500 | TECO Energy, Inc. | 53,685 | ||||
2,600 | Wisconsin Energy Corp. | 105,846 | ||||
9,610 | Xcel Energy, Inc. | 176,920 | ||||
7,052,898 | ||||||
TOTAL COMMON STOCKS | ||||||
(Cost $199,203,476) | $ | 172,161,594 | ||||
Principal | Interest | Maturity | ||||||||||
Amount | Rate | Date | Value | |||||||||
U.S. Government Obligation – 0.2% | ||||||||||||
United States Treasury Bill(b)(c) | ||||||||||||
$ | 355,000 | 0.000 | % | 09/10/09 | $ | 354,870 | ||||||
(Cost $354,890) | ||||||||||||
Shares | Rate | Value | ||||
Investment Company(d) – 1.3% | ||||||
JPMorgan U.S. Government Money Market Fund – Capital Shares | ||||||
2,238,476 | 0.236% | $ | 2,238,476 | |||
(Cost $2,238,476) | ||||||
TOTAL INVESTMENTS – 100.0% | ||||||
(Cost $201,796,842) | $ | 174,754,940 | ||||
OTHER ASSETS IN EXCESS OF LIABILITIES – 0.0% | 43,310 | |||||
NET ASSETS – 100.0% | $ | 174,798,250 | ||||
* | Non-income producing security. | |
(a) | Represents an affiliated issuer. | |
(b) | All or a portion of security is segregated as collateral for initial margin requirements on futures transactions. | |
(c) | Security issued with a zero coupon. Income is recognized through the accretion of discount. | |
(d) | Variable rate security. Interest rate disclosed is that which is in effect at June 30, 2009. |
Number of | Settlement | Notional | Unrealized | |||||||||||||
Type | Contracts Long | Month | Value | Loss | ||||||||||||
S&P 500 E-mini | 69 | September 2009 | $ | 3,158,475 | $ | (110,276 | ) | |||||||||
Principal | Interest | Maturity | ||||||||||||
Amount | Rate | Date | Value | |||||||||||
Mortgage-Backed Obligations – 69.1% | ||||||||||||||
Adjustable Rate FHLMC(a) – 1.6% | ||||||||||||||
$ | 719,759 | 4.846 | % | 09/01/35 | $ | 746,348 | ||||||||
536,210 | 4.746 | 10/01/35 | 550,755 | |||||||||||
1,297,103 | ||||||||||||||
Adjustable Rate FNMA(a) – 1.9% | ||||||||||||||
268,557 | 3.332 | 05/01/33 | 273,464 | |||||||||||
619,875 | 3.073 | 05/01/35 | 632,588 | |||||||||||
570,412 | 5.096 | 12/01/35 | 595,521 | |||||||||||
1,501,573 | ||||||||||||||
Adjustable Rate Non-Agency(a) – 4.8% | ||||||||||||||
First Horizon Alternative Mortgage Securities Series 2005-AA7, Class 2A1 | ||||||||||||||
528,883 | 5.403 | 09/25/35 | 259,217 | |||||||||||
Harborview Mortgage Loan Trust Series 2006-6, Class 3A1A | ||||||||||||||
539,047 | 5.944 | 08/19/36 | 250,657 | |||||||||||
Indymac Index Mortgage Loan Trust Series 2006-AR2, Class 1A1A | ||||||||||||||
519,202 | 0.534 | 04/25/46 | 198,557 | |||||||||||
J.P. Morgan Mortgage Trust Series 2007-A1, Class 2A2 | ||||||||||||||
661,224 | 4.741 | 07/25/35 | 529,852 | |||||||||||
Lehman XS Trust Series 2007-4N, Class 3A2A | ||||||||||||||
827,040 | 2.090 | 03/25/47 | 312,267 | |||||||||||
Luminent Mortgage Trust Series 2006-2, Class A1A | ||||||||||||||
544,650 | 0.514 | 02/25/46 | 210,166 | |||||||||||
Merrill Lynch Mortgage Investors, Inc. Series 2005-A9, Class 2A1C | ||||||||||||||
1,000,000 | 5.155 | 12/25/35 | 479,309 | |||||||||||
Residential Accredit Loans, Inc. Series 2005-QO5, Class A1 | ||||||||||||||
515,455 | 2.340 | 01/25/46 | 231,872 | |||||||||||
Residential Accredit Loans, Inc. Series 2007-QH9, Class A1 | ||||||||||||||
941,903 | 6.540 | 11/25/37 | 262,122 | |||||||||||
Structured Asset Mortgage Investments, Inc. Series 2007-AR6, Class A1 | ||||||||||||||
829,784 | 2.840 | 08/25/47 | 313,044 | |||||||||||
Washington Mutual Mortgage Pass-Through Certificates Series 2005-AR10, Class 1A3 | ||||||||||||||
1,000,000 | 4.830 | 09/25/35 | 515,094 | |||||||||||
Washington Mutual Mortgage Pass-Through Certificates Series 2006-AR11, Class 3A1A | ||||||||||||||
703,415 | 2.260 | 09/25/46 | 254,126 | |||||||||||
3,816,283 | ||||||||||||||
Collateralized Mortgage Obligations – 8.8% | ||||||||||||||
Interest Only(a)(b) – 0.0% | ||||||||||||||
FNMA Series 2004-47, Class EI | ||||||||||||||
352,741 | 0.000 | 06/25/34 | 3,552 | |||||||||||
FNMA Series 2004-62, Class DI | ||||||||||||||
161,806 | 0.000 | 07/25/33 | 2,286 | |||||||||||
5,838 | ||||||||||||||
Planned Amortization Class – 4.1% | ||||||||||||||
FHLMC Series 2003-2719, Class GC | ||||||||||||||
3,279,361 | 5.000 | 06/15/26 | 3,329,027 | |||||||||||
Regular Floater(a) – 2.1% | ||||||||||||||
FHLMC Series 2007-3325, Class SX(c) | ||||||||||||||
67,324 | 0.000 | 06/15/37 | 59,388 | |||||||||||
FNMA Series 2007-2, Class FM | ||||||||||||||
769,971 | 0.564 | 02/25/37 | 750,017 | |||||||||||
FNMA Series 2007-20, Class FP | ||||||||||||||
809,834 | 0.614 | 03/25/37 | 794,863 | |||||||||||
FNMA Series 2007-53, Class UF(c) | ||||||||||||||
67,295 | 0.000 | 06/25/37 | 63,724 | |||||||||||
1,667,992 | ||||||||||||||
Sequential Fixed Rate – 2.6% | ||||||||||||||
Banc of America Funding Corp. Series 2007-8, Class 2A1 | ||||||||||||||
674,833 | 7.000 | 10/25/37 | 460,706 | |||||||||||
FHLMC Series 2007-3284, Class CA | ||||||||||||||
638,086 | 5.000 | 10/15/21 | 666,796 | |||||||||||
FNMA Series 2007-36, Class AB | ||||||||||||||
907,815 | 5.000 | 11/25/21 | 947,359 | |||||||||||
2,074,861 | ||||||||||||||
TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS | $ | 7,077,718 | ||||||||||||
Commercial Mortgage-Backed Security – 0.5% | ||||||||||||||
Adjustable Rate Non-Agency(a) – 0.5% | ||||||||||||||
Bear Stearns Commercial Mortgage Securities Series 2006-PW12, Class A4 | ||||||||||||||
$ | 500,000 | 5.903 | % | 09/11/38 | $ | 427,088 | ||||||||
Federal Agencies – 51.5% | ||||||||||||||
FHLMC – 8.2% | ||||||||||||||
$ | 1,246,814 | 4.500 | % | 12/01/18 | $ | 1,293,524 | ||||||||
1,057,649 | 4.500 | 06/01/19 | 1,097,272 | |||||||||||
6,374 | 10.000 | 03/01/21 | 7,030 | |||||||||||
13,388 | 6.500 | 06/01/23 | 14,230 | |||||||||||
31,870 | 5.000 | 11/01/35 | 32,547 | |||||||||||
261,965 | 5.000 | 04/01/36 | 267,534 | |||||||||||
22,827 | 6.000 | 11/01/36 | 23,829 | |||||||||||
2,131 | 5.500 | 01/01/37 | 2,202 | |||||||||||
11,178 | 5.500 | 03/01/37 | 11,544 | |||||||||||
46,955 | 5.500 | 04/01/37 | 48,489 | |||||||||||
4,902 | 5.500 | 06/01/37 | 5,062 | |||||||||||
66,115 | 5.500 | 07/01/37 | 68,276 | |||||||||||
5,223 | 5.500 | 08/01/37 | 5,394 | |||||||||||
109,368 | 6.000 | 11/01/37 | 114,191 | |||||||||||
67,574 | 5.500 | 12/01/37 | 69,783 | |||||||||||
95,810 | 5.500 | 02/01/38 | 98,942 | |||||||||||
166,066 | 5.500 | 04/01/38 | 171,627 | |||||||||||
24,448 | 6.000 | 04/01/38 | 25,526 | |||||||||||
824,776 | 5.500 | 05/01/38 | 853,922 | |||||||||||
536,483 | 5.500 | 06/01/38 | 553,911 | |||||||||||
146,542 | 5.500 | 08/01/38 | 151,760 | |||||||||||
21,087 | 6.000 | 09/01/38 | 22,010 | |||||||||||
34,325 | 5.500 | 10/01/38 | 35,440 | |||||||||||
450,766 | 5.500 | 12/01/38 | 465,408 | |||||||||||
56,609 | 5.500 | 01/01/39 | 58,448 | |||||||||||
21,921 | 5.500 | 02/01/39 | 22,650 | |||||||||||
25,612 | 6.000 | 02/01/39 | 26,760 | |||||||||||
8,248 | 5.500 | 04/01/39 | 8,588 | |||||||||||
1,000,000 | 5.000 | 06/01/39 | 1,017,917 | |||||||||||
6,573,816 | ||||||||||||||
Principal | Interest | Maturity | ||||||||||||
Amount | Rate | Date | Value | |||||||||||
Mortgage-Backed Obligations – (continued) | ||||||||||||||
FNMA – 42.6% | ||||||||||||||
$ | 3,876 | 5.000 | % | 02/01/14 | $ | 3,984 | ||||||||
54,197 | 5.000 | 11/01/17 | 56,534 | |||||||||||
297,427 | 5.000 | 12/01/17 | 310,251 | |||||||||||
206,653 | 5.000 | 01/01/18 | 215,562 | |||||||||||
87,645 | 5.000 | 02/01/18 | 91,788 | |||||||||||
223,427 | 5.000 | 03/01/18 | 233,989 | |||||||||||
878,922 | 5.000 | 04/01/18 | 920,473 | |||||||||||
345,940 | 5.000 | 05/01/18 | 362,294 | |||||||||||
711,820 | 5.000 | 06/01/18 | 745,470 | |||||||||||
19,393 | 5.000 | 07/01/18 | 20,310 | |||||||||||
1,241,498 | 4.000 | 09/01/18 | 1,266,205 | |||||||||||
471,433 | 5.000 | 11/01/18 | 493,720 | |||||||||||
591,216 | 5.000 | 12/01/18 | 619,165 | |||||||||||
43,599 | 5.000 | 01/01/19 | 45,660 | |||||||||||
115,743 | 5.000 | 02/01/19 | 120,974 | |||||||||||
478,396 | 5.000 | 03/01/19 | 500,020 | |||||||||||
928,644 | 5.500 | 03/01/19 | 982,332 | |||||||||||
1,027,002 | 5.000 | 04/01/19 | 1,074,689 | |||||||||||
550,520 | 5.000 | 06/01/19 | 576,545 | |||||||||||
341,704 | 6.000 | 09/01/19 | 364,084 | |||||||||||
511,933 | 5.000 | 12/01/19 | 535,257 | |||||||||||
427,571 | 6.000 | 12/01/20 | 455,575 | |||||||||||
17,108 | 8.000 | 09/01/21 | 18,712 | |||||||||||
29,500 | 5.000 | 04/01/23 | 30,547 | |||||||||||
814,852 | 4.500 | 06/01/23 | 832,836 | |||||||||||
103,296 | 5.000 | 06/01/23 | 106,962 | |||||||||||
79 | 6.000 | 03/01/32 | 84 | |||||||||||
588,109 | 5.500 | 12/01/32 | 609,249 | |||||||||||
198,711 | 5.500 | 03/01/33 | 205,932 | |||||||||||
194,008 | 5.500 | 04/01/33 | 201,058 | |||||||||||
597,420 | 5.000 | 05/01/33 | 611,240 | |||||||||||
159,510 | 5.500 | 05/01/33 | 165,307 | |||||||||||
10,048 | 6.000 | 05/01/33 | 10,589 | |||||||||||
19,496 | 5.000 | 06/01/33 | 19,947 | |||||||||||
26,999 | 5.500 | 06/01/33 | 27,980 | |||||||||||
32,398 | 5.000 | 07/01/33 | 33,147 | |||||||||||
319,687 | 5.500 | 07/01/33 | 331,304 | |||||||||||
49,595 | 5.000 | 08/01/33 | 50,742 | |||||||||||
26,614 | 5.000 | 09/01/33 | 27,230 | |||||||||||
83,130 | 5.000 | 10/01/33 | 85,054 | |||||||||||
54,136 | 5.000 | 11/01/33 | 55,389 | |||||||||||
3,557 | 6.000 | 12/01/33 | 3,744 | |||||||||||
273,403 | 5.500 | 01/01/34 | 283,337 | |||||||||||
40,009 | 5.000 | 02/01/34 | 40,935 | |||||||||||
42,326 | 5.000 | 03/01/34 | 43,305 | |||||||||||
29,563 | 5.000 | 04/01/34 | 30,247 | |||||||||||
476,629 | 5.500 | 04/01/34 | 493,948 | |||||||||||
153,132 | 5.500 | 06/01/34 | 158,696 | |||||||||||
2,503 | 6.000 | 12/01/34 | 2,632 | |||||||||||
5,890 | 6.000 | 04/01/35 | 6,189 | |||||||||||
32,056 | 6.000 | 07/01/35 | 33,680 | |||||||||||
71,985 | 6.000 | 11/01/35 | 75,633 | |||||||||||
94,187 | 6.000 | 01/01/36 | 98,959 | |||||||||||
8,490 | 6.000 | 02/01/36 | 8,910 | |||||||||||
32,406 | 6.500 | 03/01/36 | 34,539 | |||||||||||
1,400,000 | 5.500 | 09/01/36 | 1,453,430 | |||||||||||
21,256 | 6.000 | 09/01/36 | 22,245 | |||||||||||
230,147 | 6.000 | 10/01/36 | 241,594 | |||||||||||
333,007 | 6.000 | 11/01/36 | 348,905 | |||||||||||
19,968 | 5.500 | 01/01/37 | 20,631 | |||||||||||
69,652 | 6.000 | 01/01/37 | 73,126 | |||||||||||
106,281 | 5.500 | 04/01/37 | 109,982 | |||||||||||
425,634 | 5.500 | 05/01/37 | 440,719 | |||||||||||
98,137 | 6.000 | 05/01/37 | 102,986 | |||||||||||
360,401 | 5.500 | 07/01/37 | 372,505 | |||||||||||
304,304 | 6.000 | 08/01/37 | 319,138 | |||||||||||
304,830 | 6.000 | 09/01/37 | 319,532 | |||||||||||
29,536 | 6.000 | 10/01/37 | 30,921 | |||||||||||
42,036 | 6.000 | 11/01/37 | 43,973 | |||||||||||
64,484 | 5.500 | 02/01/38 | 66,955 | |||||||||||
29,763 | 6.000 | 02/01/38 | 31,105 | |||||||||||
363,611 | 5.000 | 03/01/38 | 371,111 | |||||||||||
825,728 | 5.500 | 03/01/38 | 852,660 | |||||||||||
829,462 | 6.000 | 03/01/38 | 867,672 | |||||||||||
178,164 | 5.500 | 04/01/38 | 184,734 | |||||||||||
221,909 | 5.500 | 05/01/38 | 230,250 | |||||||||||
595,984 | 5.500 | 06/01/38 | 618,469 | |||||||||||
146,373 | 5.500 | 07/01/38 | 152,050 | |||||||||||
266,172 | 5.500 | 08/01/38 | 275,780 | |||||||||||
468,632 | 6.000 | 08/01/38 | 492,009 | |||||||||||
146,110 | 5.500 | 09/01/38 | 151,509 | |||||||||||
93,842 | 5.500 | 10/01/38 | 96,940 | |||||||||||
432,664 | 6.000 | 10/01/38 | 454,314 | |||||||||||
332,207 | 6.000 | 11/01/38 | 348,831 | |||||||||||
96,348 | 5.500 | 12/01/38 | 99,488 | |||||||||||
83,064 | 5.500 | 01/01/39 | 85,771 | |||||||||||
26,546 | 6.000 | 01/01/39 | 27,743 | |||||||||||
1,000,000 | 4.500 | TBA-30yr | (d) | 997,812 | ||||||||||
3,000,000 | 5.000 | TBA-30yr | (d) | 3,054,375 | ||||||||||
2,000,000 | 5.500 | TBA-30yr | (d) | 2,064,376 | ||||||||||
4,000,000 | 6.000 | TBA-30yr | (d) | 4,180,000 | ||||||||||
34,336,585 | ||||||||||||||
GNMA – 0.7% | ||||||||||||||
563,741 | 6.000 | 12/15/38 | 589,066 | |||||||||||
TOTAL FEDERAL AGENCIES | $ | 41,499,467 | ||||||||||||
TOTAL MORTGAGE-BACKED OBLIGATIONS | ||||||||||||||
(Cost $59,354,460) | $ | 55,619,232 | ||||||||||||
Agency Debentures – 16.5% | ||||||||||||||
FFCB | ||||||||||||||
$ | 500,000 | 5.400 | % | 06/08/17 | $ | 545,844 | ||||||||
FHLMC | ||||||||||||||
1,400,000 | 2.050 | 03/09/11 | 1,411,421 | |||||||||||
800,000 | 2.000 | 03/16/11 | 806,520 | |||||||||||
1,500,000 | 5.125 | 11/17/17 | 1,648,104 | |||||||||||
3,500,000 | 1.750 | 07/27/11 | 3,512,444 | |||||||||||
Principal | Interest | Maturity | ||||||||||||
Amount | Rate | Date | Value | |||||||||||
Agency Debentures – (continued) | ||||||||||||||
FNMA | ||||||||||||||
$ | 1,500,000 | 2.050 | % | 04/01/11 | $ | 1,509,717 | ||||||||
1,000,000 | 1.700 | 04/29/11 | 1,001,076 | |||||||||||
500,000 | 2.500 | 05/15/14 | 491,377 | |||||||||||
400,000 | 5.000 | 05/11/17 | 436,583 | |||||||||||
1,200,000 | 4.600 | 06/05/18 | 1,229,261 | |||||||||||
Tennessee Valley Authority(f) | ||||||||||||||
700,000 | 5.375 | 04/01/56 | 699,569 | |||||||||||
TOTAL AGENCY DEBENTURES | ||||||||||||||
(Cost $13,113,520) | $ | 13,291,916 | ||||||||||||
Asset-Backed Securities – 0.9% | ||||||||||||||
Credit Card – 0.6% | ||||||||||||||
Chase Issuance Trust Series 2005-A11, Class A(a) | ||||||||||||||
$ | 500,000 | 0.389 | % | 12/15/14 | $ | 477,954 | ||||||||
Home Equity – 0.3% | ||||||||||||||
GMAC Mortgage Corp. Loan Trust Series 2007-HE3, Class 1A1 | ||||||||||||||
65,189 | 7.000 | 09/25/37 | 29,215 | |||||||||||
GMAC Mortgage Corp. Loan Trust Series 2007-HE3, Class 2A1 | ||||||||||||||
71,870 | 7.000 | 09/25/37 | 23,733 | |||||||||||
HFC Home Equity Loan Asset Backed Certificates Series 2007-3, Class APT(a) | ||||||||||||||
333,327 | 1.515 | 11/20/36 | 218,413 | |||||||||||
271,361 | ||||||||||||||
TOTAL ASSET-BACKED SECURITIES | ||||||||||||||
(Cost $884,393) | $ | 749,315 | ||||||||||||
Government Guarantee Obligations(e) – 2.6% | ||||||||||||||
Citigroup, Inc.(a) | ||||||||||||||
$ | 840,000 | 1.183 | % | 12/09/10 | $ | 848,841 | ||||||||
General Electric Capital Corp. | ||||||||||||||
500,000 | 2.125 | 12/21/12 | 496,559 | |||||||||||
PNC Funding Corp. | ||||||||||||||
750,000 | 2.300 | 06/22/12 | 756,108 | |||||||||||
TOTAL GOVERNMENT GUARANTEE OBLIGATIONS | ||||||||||||||
(Cost $2,096,174) | $ | 2,101,508 | ||||||||||||
U.S. Treasury Obligations – 8.4% | ||||||||||||||
United States Treasury Bond | ||||||||||||||
$ | 200,000 | 4.250 | % | 05/15/39 | $ | 197,938 | ||||||||
United States Treasury Inflation Protected Securities | ||||||||||||||
3,000,000 | 0.875 | 01/15/10 | 3,376,800 | |||||||||||
300,000 | 1.625 | 01/15/15 | 333,457 | |||||||||||
300,000 | 2.000 | 01/15/16 | 327,149 | |||||||||||
300,000 | 2.500 | 07/15/16 | 332,510 | |||||||||||
150,000 | 3.625 | 04/15/28 | 240,651 | |||||||||||
United States Treasury Principal-Only STRIPS(g) | ||||||||||||||
1,800,000 | 0.000 | 08/15/20 | 1,122,696 | |||||||||||
300,000 | 0.000 | 08/15/26 | 139,114 | |||||||||||
800,000 | 0.000 | 11/15/26 | 367,032 | |||||||||||
800,000 | 0.000 | 11/15/27 | 350,072 | |||||||||||
TOTAL U.S. TREASURY OBLIGATIONS | ||||||||||||||
(Cost $6,674,102) | $ | 6,787,419 | ||||||||||||
Shares | Rate | Value | ||||
Investment Company(a) – 11.4% | ||||||
JPMorgan U.S. Government Money Market Fund – Capital Shares | ||||||
9,202,525 | 0.236% | $ | 9,202,525 | |||
(Cost $9,202,525) | ||||||
TOTAL INVESTMENTS – 108.9% | ||||||
(Cost $91,325,174) | $ | 87,751,915 | ||||
LIABILITIES IN EXCESS OF OTHER ASSETS – (8.9)% | (7,204,072 | ) | ||||
NET ASSETS – 100.0% | $ | 80,547,843 | ||||
(a) | Variable rate security. Interest rate disclosed is that which is in effect at June 30, 2009. | |
(b) | Represents security with notional or nominal principal amount. The actual effective yield of this security is different than the stated interest rate. | |
(c) | Security is issued with a zero coupon, and interest rate is contingent upon LIBOR reaching a predetermined level. | |
(d) | TBA (To Be Announced) Securities are purchased on a forward commitment basis with an approximate principal amount and no defined maturity date. The actual principal and maturity date will be determined upon settlement when the specific mortgage pools are assigned. Total market value of TBA securities (excluding forward sales contracts, if any) amounts to $10,296,563, which represents approximately 12.8% of net assets as of June 30, 2009. | |
(e) | This debt is guaranteed under the Federal Deposit Insurance Corporation’s Temporary Liquidity Guarantee Program and is backed by the full faith and credit of the United States. The expiration date of the FDIC’s guarantee is the earlier of the maturity date of the debt or June 30, 2012. Total market value of these securities amounts to $2,101,508, which represents approximately 2.6% of net assets as of June 30, 2009. | |
(f) | All or a portion of security is segregated as collateral for initial margin requirements on futures transactions. | |
(g) | Security issued with a zero coupon. Income is recognized through the accretion of discount. |
Investment Abbreviations: | ||||
FDIC | — | Federal Deposit Insurance Corp. | ||
FFCB | — | Federal Farm Credit Bank | ||
FHLMC | — | Federal Home Loan Mortgage Corp. | ||
FNMA | — | Federal National Mortgage Association | ||
GNMA | — | Government National Mortgage Association | ||
LIBOR | — | London Inter Bank Offered Rate | ||
STRIPS | — | Separate Trading of Registered Interest and Principal of Securities | ||
Number of | Settlement | Notional | Unrealized | |||||||||||||
Type | Contracts Long | Month | Value | Gain (Loss) | ||||||||||||
Eurodollars | 3 | December 2009 | $ | 743,213 | $ | 2,437 | ||||||||||
Eurodollars | 5 | September 2010 | 1,226,000 | 1,018 | ||||||||||||
U.S. Treasury Bonds | 15 | September 2009 | 1,775,391 | 52,151 | ||||||||||||
2 Year U.S. Treasury Notes | 39 | September 2009 | 8,432,531 | (1,396 | ) | |||||||||||
5 Year U.S. Treasury Notes | 54 | September 2009 | 6,194,812 | (26,416 | ) | |||||||||||
10 Year U.S. Treasury Notes | 27 | September 2009 | 3,139,172 | 33,085 | ||||||||||||
TOTAL | $ | 60,879 | ||||||||||||||
Shares | Description | Value | ||||
Common Stocks – 98.0% | ||||||
Automobiles & Components – 1.1% | ||||||
99,700 | Gentex Corp.(a) | $ | 1,156,520 | |||
Banks – 1.9% | ||||||
134,700 | People’s United Financial, Inc. | 2,025,888 | ||||
Capital Goods – 5.4% | ||||||
21,100 | Alliant Techsystems, Inc.* | 1,737,796 | ||||
28,500 | Kennametal, Inc. | 546,630 | ||||
13,900 | Precision Castparts Corp. | 1,015,117 | ||||
18,990 | Rockwell Automation, Inc. | 609,959 | ||||
16,800 | Roper Industries, Inc. | 761,208 | ||||
13,500 | W.W. Grainger, Inc. | 1,105,380 | ||||
5,776,090 | ||||||
Commercial & Professional Services – 2.0% | ||||||
72,900 | Iron Mountain, Inc.*(a) | 2,095,875 | ||||
Consumer Durables & Apparel – 4.4% | ||||||
87,600 | Coach, Inc. | 2,354,688 | ||||
40,510 | Fortune Brands, Inc. | 1,407,317 | ||||
94,100 | Newell Rubbermaid, Inc. | 979,581 | ||||
4,741,586 | ||||||
Consumer Services – 3.0% | ||||||
58,621 | Marriott International, Inc. Class A(a) | 1,293,758 | ||||
66,300 | Pinnacle Entertainment, Inc.* | 615,927 | ||||
59,800 | Starwood Hotels & Resorts Worldwide, Inc. | 1,327,560 | ||||
3,237,245 | ||||||
Diversified Financials – 3.8% | ||||||
2,500 | CME Group, Inc. | 777,775 | ||||
4,600 | IntercontinentalExchange, Inc.* | 525,504 | ||||
30,900 | Northern Trust Corp. | 1,658,712 | ||||
61,400 | Raymond James Financial, Inc.(a) | 1,056,694 | ||||
4,018,685 | ||||||
Energy – 9.0% | ||||||
85,900 | Cameron International Corp.* | 2,430,970 | ||||
43,600 | Continental Resources, Inc.*(a) | 1,209,900 | ||||
14,700 | Core Laboratories NV(a) | 1,281,105 | ||||
39,900 | Dresser-Rand Group, Inc.* | 1,041,390 | ||||
12,700 | Hess Corp. | 682,625 | ||||
95,500 | Rex Energy Corp.* | 544,350 | ||||
44,620 | Weatherford International Ltd.* | 872,767 | ||||
43,700 | Whiting Petroleum Corp.*(a) | 1,536,492 | ||||
9,599,599 | ||||||
Food, Beverage & Tobacco – 1.3% | ||||||
45,600 | Hansen Natural Corp.* | 1,405,392 | ||||
Health Care Equipment & Services – 11.4% | ||||||
31,305 | C. R. Bard, Inc. | 2,330,657 | ||||
25,500 | Express Scripts, Inc.* | 1,753,125 | ||||
38,900 | Henry Schein, Inc.* | 1,865,255 | ||||
6,900 | Laboratory Corp. of America Holdings* | 467,751 | ||||
36,200 | NuVasive, Inc.*(a) | 1,614,520 | ||||
56,900 | St. Jude Medical, Inc.* | 2,338,590 | ||||
43,500 | Zimmer Holdings, Inc.* | 1,853,100 | ||||
12,222,998 | ||||||
Household & Personal Products – 5.2% | ||||||
68,300 | Avon Products, Inc. | 1,760,774 | ||||
33,800 | Chattem, Inc.* | 2,301,780 | ||||
27,600 | Energizer Holdings, Inc.* | 1,441,824 | ||||
5,504,378 | ||||||
Materials – 1.6% | ||||||
44,200 | Ecolab, Inc. | 1,723,358 | ||||
Media – 0.9% | ||||||
366,600 | Entravision Communications Corp. Class A* | 175,968 | ||||
49,100 | Lamar Advertising Co. Class A*(a) | 749,757 | ||||
925,725 | ||||||
Pharmaceuticals, Biotechnology & Life Sciences – 8.9% | ||||||
132,800 | Amylin Pharmaceuticals, Inc.* | 1,792,800 | ||||
85,290 | Charles River Laboratories International, Inc.* | 2,878,538 | ||||
28,000 | Covance, Inc.* | 1,377,600 | ||||
15,500 | Millipore Corp.* | 1,088,255 | ||||
31,400 | Shire PLC ADR | 1,302,472 | ||||
25,720 | Thermo Fisher Scientific, Inc.* | 1,048,604 | ||||
9,488,269 | ||||||
Real Estate – 2.1% | ||||||
244,100 | CB Richard Ellis Group, Inc. Class A* | 2,284,776 | ||||
Retailing – 10.6% | ||||||
15,500 | Bed Bath & Beyond, Inc.* | 476,625 | ||||
62,000 | Dick’s Sporting Goods, Inc.* | 1,066,400 | ||||
46,700 | GameStop Corp. Class A* | 1,027,867 | ||||
43,931 | Netflix, Inc.*(a) | 1,816,108 | ||||
115,900 | PetSmart, Inc. | 2,487,214 | ||||
3,600 | Priceline.com, Inc.* | 401,580 | ||||
81,600 | Staples, Inc. | 1,645,872 | ||||
30,400 | Tiffany & Co. | 770,944 | ||||
75,300 | Urban Outfitters, Inc.* | 1,571,511 | ||||
11,264,121 | ||||||
Semiconductors & Semiconductor Equipment – 3.8% | ||||||
74,800 | Broadcom Corp. Class A* | 1,854,292 | ||||
64,100 | FormFactor, Inc.* | 1,105,084 | ||||
46,000 | Linear Technology Corp. | 1,074,100 | ||||
4,033,476 | ||||||
Software & Services – 12.7% | ||||||
188,932 | Activision Blizzard, Inc.* | 2,386,211 | ||||
78,220 | Cognizant Technology Solutions Corp. Class A* | 2,088,474 | ||||
52,300 | Electronic Arts, Inc.* | 1,135,956 | ||||
42,000 | Equinix, Inc.*(a) | 3,055,080 | ||||
65,300 | Global Payments, Inc. | 2,446,138 | ||||
Shares | Description | Value | ||||
Common Stocks – (continued) | ||||||
Software & Services – (continued) | ||||||
14,200 | Salesforce.com, Inc.*(a) | $ | 542,014 | |||
115,100 | Western Union Co. | 1,887,640 | ||||
13,541,513 | ||||||
Technology Hardware & Equipment – 3.8% | ||||||
66,720 | Amphenol Corp. Class A | 2,111,021 | ||||
88,200 | FLIR Systems, Inc.*(a) | 1,989,792 | ||||
4,100,813 | ||||||
Telecommunication Services – 5.1% | ||||||
75,700 | American Tower Corp. Class A* | 2,386,821 | ||||
55,200 | Crown Castle International Corp.* | 1,325,904 | ||||
167,700 | tw telecom, inc.* | 1,722,279 | ||||
5,435,004 | ||||||
TOTAL COMMON STOCKS | ||||||
(Cost $118,994,351) | $ | 104,581,311 | ||||
Shares | Rate | Value | ||||
Investment Company(b) – 1.9% | ||||||
JPMorgan U.S. Government Money Market Fund – Capital Shares | ||||||
2,038,434 | 0.236% | $ | 2,038,434 | |||
(Cost $2,038,434) | ||||||
TOTAL INVESTMENTS BEFORE SECURITIES LENDING REINVESTMENT VEHICLE | ||||||
(Cost $121,032,785) | $ | 106,619,745 | ||||
Securities Lending Reinvestment Vehicle(b)(c) – 13.5% | ||||||
Boston Global Investment Trust – Enhanced Portfolio | ||||||
14,407,184 | 0.267% | $ | 14,363,963 | |||
(Cost $14,321,055) | ||||||
TOTAL INVESTMENTS – 113.4% | ||||||
(Cost $135,353,840) | $ | 120,983,708 | ||||
LIABILITIES IN EXCESS OF OTHER ASSETS – (13.4)% | (14,320,379 | ) | ||||
NET ASSETS – 100.0% | $ | 106,663,329 | ||||
* | Non-income producing security. | |
(a) | All or a portion of security is on loan. | |
(b) | Variable rate security. Interest rate disclosed is that which is in effect at June 30, 2009. | |
(c) | Represents an affiliated issuer. |
Growth | ||||||||||||||||
Core Fixed | Equity Index | Government | Opportunities | |||||||||||||
Income Fund | Fund | Income Fund | Fund | |||||||||||||
Assets: | ||||||||||||||||
Investments in securities of unaffiliated issuers, at value (identified cost $207,308,982, $201,796,842, $91,325,174 and $121,032,785, respectively)(a) | $ | 181,894,968 | $ | 174,754,940 | $ | 87,751,915 | $ | 106,619,745 | ||||||||
Investments in affiliated securities lending reinvestment vehicle, at value (identified cost $0, $0, $0 and $14,321,055, respectively) | — | — | — | 14,363,963 | ||||||||||||
Cash | 401,734 | 174,754 | — | — | ||||||||||||
Foreign currencies, at value (identified cost $877, $0, $0, and $0, respectively) | 885 | — | — | — | ||||||||||||
Receivables: | ||||||||||||||||
Investment securities sold | 21,478,791 | 147,252 | 9,914,733 | 741,620 | ||||||||||||
Interest and dividends, at value | 1,146,633 | 241,040 | 289,626 | 29,857 | ||||||||||||
Forward foreign currency exchange contracts, at value | 56,931 | — | — | — | ||||||||||||
Fund shares sold | 41,537 | 48,863 | 10,014 | 25,630 | ||||||||||||
Reimbursement from adviser | 9,076 | 7,074 | 5,112 | 5,155 | ||||||||||||
Due from custodian | — | — | 745,617 | — | ||||||||||||
Securities lending income | — | — | — | 6,034 | ||||||||||||
Other assets | 1,110 | 1,017 | 741 | 661 | ||||||||||||
Total assets | 205,031,665 | 175,374,940 | 98,717,758 | 121,792,665 | ||||||||||||
Liabilities: | ||||||||||||||||
Due to custodian | — | — | 734,594 | — | ||||||||||||
Payables: | ||||||||||||||||
Investment securities purchased | 28,755,046 | 296,276 | 17,035,295 | 400,044 | ||||||||||||
Amounts owed to affiliates | 95,200 | 83,513 | 54,129 | 104,726 | ||||||||||||
Forward foreign currency exchange contracts, at value | 86,599 | — | — | — | ||||||||||||
Fund shares redeemed | 23,741 | 78,202 | 282,473 | 78,329 | ||||||||||||
Due to broker — variation margin, at value | 23,625 | 19,665 | 18,243 | — | ||||||||||||
Payable upon return of securities loaned | — | — | — | 14,504,699 | ||||||||||||
Accrued expenses | 52,834 | 99,034 | 45,181 | 41,538 | ||||||||||||
Total liabilities | 29,037,045 | 576,690 | 18,169,915 | 15,129,336 | ||||||||||||
Net Assets: | ||||||||||||||||
Paid-in capital | 209,038,141 | 259,720,914 | 83,524,659 | 142,353,507 | ||||||||||||
Accumulated undistributed (distributions in excess of) net investment income (loss) | (98,173 | ) | 2,150,756 | (63,697 | ) | (89,111 | ) | |||||||||
Accumulated net realized gain (loss) from investment, futures and foreign currency related transactions | (7,603,600 | ) | (59,921,242 | ) | 599,261 | (21,230,935 | ) | |||||||||
Net unrealized loss on investments, futures and translation of assets and liabilities denominated in foreign currencies | (25,341,748 | ) | (27,152,178 | ) | (3,512,380 | ) | (14,370,132 | ) | ||||||||
NET ASSETS | $ | 175,994,620 | $ | 174,798,250 | $ | 80,547,843 | $ | 106,663,329 | ||||||||
Total Service Shares of beneficial interest outstanding $0.001 par value (unlimited shares authorized): | 19,556,512 | 25,566,131 | 7,938,129 | 24,439,636 | ||||||||||||
Net asset value, offering and redemption price per share | $ | 9.00 | $ | 6.84 | $ | 10.15 | $ | 4.36 | ||||||||
(a) | Includes loaned securities having a market value of $14,225,747 for the Growth Opportunities Fund. |
Growth | ||||||||||||||||
Core Fixed | Equity Index | Government | Opportunities | |||||||||||||
Income Fund | Fund | Income Fund | Fund | |||||||||||||
Investment income: | ||||||||||||||||
Interest | $ | 4,732,473 | $ | — | $ | 1,740,731 | $ | — | ||||||||
Dividends(a) | 7,540 | 2,260,538 | 10,798 | 305,530 | ||||||||||||
Securities lending income — affiliated issuer | — | — | — | 73,653 | ||||||||||||
Total investment income | 4,740,013 | 2,260,538 | 1,751,529 | 379,183 | ||||||||||||
Expenses: | ||||||||||||||||
Management fees | 346,233 | 251,578 | 224,573 | 477,656 | ||||||||||||
Distribution and Service fees | 216,396 | 209,648 | 103,969 | 119,414 | ||||||||||||
Professional fees | 44,052 | 41,292 | 41,052 | 40,867 | ||||||||||||
Custody and accounting fees | 20,071 | 6,172 | 19,187 | 7,345 | ||||||||||||
Printing fees | 17,326 | 16,843 | 12,854 | 13,317 | ||||||||||||
Transfer Agent fees | 17,310 | 16,770 | 8,317 | 9,552 | ||||||||||||
Trustee fees | 8,460 | 8,460 | 8,460 | 8,460 | ||||||||||||
Other | 6,276 | 50,709 | 1,340 | 5,279 | ||||||||||||
Total expenses | 676,124 | 601,472 | 419,752 | 681,890 | ||||||||||||
Less — expense reductions | (93,718 | ) | (71,050 | ) | (81,589 | ) | (116,401 | ) | ||||||||
Net expenses | 582,406 | 530,422 | 338,163 | 565,489 | ||||||||||||
NET INVESTMENT INCOME (LOSS) | 4,157,607 | 1,730,116 | 1,413,366 | (186,306 | ) | |||||||||||
Realized and unrealized gain (loss) from investment, futures and foreign currency related transactions: | ||||||||||||||||
Net realized gain (loss) from: | ||||||||||||||||
Investment transactions — unaffiliated issuers | (2,322,622 | ) | (2,624,058 | ) | 665,218 | (15,079,017 | ) | |||||||||
Securities lending reinvestment vehicle transactions — affiliated issuer | — | — | — | 110,192 | ||||||||||||
Futures transactions | 718,881 | 62,111 | 559,570 | — | ||||||||||||
Foreign currency related transactions | 50,712 | — | — | — | ||||||||||||
Net change in unrealized gain (loss) on: | ||||||||||||||||
Investments — unaffiliated issuers | 7,036,230 | 5,355,241 | (91,885 | ) | 35,167,010 | |||||||||||
Securities lending reinvestment vehicle — affiliated issuer | — | — | — | 19,719 | ||||||||||||
Futures | (1,058,272 | ) | (212,970 | ) | (744,967 | ) | — | |||||||||
Translation of assets and liabilities denominated in foreign currencies | 33,453 | — | — | — | ||||||||||||
Net realized and unrealized gain from investment, futures and foreign currency related transactions | 4,458,382 | 2,580,324 | 387,936 | 20,217,904 | ||||||||||||
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS | $ | 8,615,989 | $ | 4,310,440 | $ | 1,801,302 | $ | 20,031,598 | ||||||||
(a) | For the Growth Opportunities Fund, foreign taxes withheld on dividends were $598. |
Core Fixed Income Fund | ||||||||
For the | ||||||||
Six Months Ended | For the Fiscal | |||||||
June 30, 2009 | Year Ended | |||||||
(Unaudited) | December 31, 2008 | |||||||
From operations: | ||||||||
Net investment income (loss) | $ | 4,157,607 | $ | 11,251,844 | ||||
Net realized gain (loss) from investment, futures and foreign currency related transactions | (1,553,029 | ) | 34,753 | |||||
Net change in unrealized gain (loss) on investments, futures and translation of assets and liabilities denominated in foreign currencies | 6,011,411 | (31,893,306 | ) | |||||
Net increase (decrease) in net assets resulting from operations | 8,615,989 | (20,606,709 | ) | |||||
Distributions to shareholders: | ||||||||
From net investment income | (5,060,801 | ) | (11,427,285 | ) | ||||
From net realized gains | — | — | ||||||
Total distributions to shareholders | (5,060,801 | ) | (11,427,285 | ) | ||||
From share transactions: | ||||||||
Proceeds from sales of shares | 7,988,776 | 6,089,374 | ||||||
Reinvestments of distributions | 5,060,801 | 11,427,285 | ||||||
Cost of shares redeemed | (23,587,872 | ) | (66,893,631 | ) | ||||
Net increase (decrease) in net assets resulting from share transactions | (10,538,295 | ) | (49,376,972 | ) | ||||
TOTAL INCREASE (DECREASE) | (6,983,107 | ) | (81,410,966 | ) | ||||
Net assets: | ||||||||
Beginning of period | 182,977,727 | 264,388,693 | ||||||
End of period | $ | 175,994,620 | $ | 182,977,727 | ||||
Accumulated undistributed (distributions in excess of) net investment income | $ | (98,173 | ) | $ | 805,021 | |||
Summary of share transactions: | ||||||||
Shares sold | 900,956 | 621,878 | ||||||
Shares issued on reinvestment of distributions | 575,818 | 1,216,339 | ||||||
Shares redeemed | (2,683,523 | ) | (7,184,850 | ) | ||||
NET INCREASE (DECREASE) | (1,206,749 | ) | (5,346,633 | ) | ||||
Equity Index Fund | Government Income Fund | Growth Opportunities Fund | |||||||||||||||||||
For the | For the | For the | |||||||||||||||||||
Six Months Ended | For the Fiscal | Six Months Ended | For the Fiscal | Six Months Ended | For the Fiscal | ||||||||||||||||
June 30, 2009 | Year Ended | June 30, 2009 | Year Ended | June 30, 2009 | Year Ended | ||||||||||||||||
(Unaudited) | December 31, 2008 | (Unaudited) | December 31, 2008 | (Unaudited) | December 31, 2008 | ||||||||||||||||
$ | 1,730,116 | $ | 5,018,591 | $ | 1,413,366 | $ | 3,725,651 | $ | (186,306 | ) | $ | (496,212 | ) | ||||||||
(2,561,947) | 3,965,893 | 1,224,788 | 2,710,769 | (14,968,825 | ) | (4,819,017 | ) | ||||||||||||||
5,142,271 | (131,012,113 | ) | (836,852 | ) | (3,937,247 | ) | 35,186,729 | (65,335,820 | ) | ||||||||||||
4,310,440 | (122,027,629 | ) | 1,801,302 | 2,499,173 | 20,031,598 | (70,651,049 | ) | ||||||||||||||
— | (4,660,811 | ) | (1,716,750 | ) | (3,988,324 | ) | — | — | |||||||||||||
— | (8,990,210 | ) | — | — | — | (2,928,225 | ) | ||||||||||||||
— | (13,651,021 | ) | (1,716,750 | ) | (3,988,324 | ) | — | (2,928,225 | ) | ||||||||||||
2,816,427 | 3,151,118 | 5,546,753 | 23,059,430 | 1,852,591 | 1,899,160 | ||||||||||||||||
— | 13,651,021 | 1,716,750 | 3,988,324 | — | 2,928,225 | ||||||||||||||||
(19,712,078) | (58,028,078 | ) | (13,850,233 | ) | (24,486,231 | ) | (10,457,756 | ) | (36,156,952 | ) | |||||||||||
(16,895,651) | (41,225,939 | ) | (6,586,730 | ) | 2,561,523 | (8,605,165 | ) | (31,329,567 | ) | ||||||||||||
(12,585,211) | (176,904,589 | ) | (6,502,178 | ) | 1,072,372 | 11,426,433 | (104,908,841 | ) | |||||||||||||
187,383,461 | 364,288,050 | 87,050,021 | 85,977,649 | 95,236,896 | 200,145,737 | ||||||||||||||||
$ | 174,798,250 | $ | 187,383,461 | $ | 80,547,843 | $ | 87,050,021 | $ | 106,663,329 | $ | 95,236,896 | ||||||||||
$ | 2,150,756 | $ | 420,640 | $ | (63,697 | ) | $ | 239,687 | $ | (89,111 | ) | $ | 97,195 | ||||||||
442,076 | 413,869 | 547,454 | 2,254,712 | 462,505 | 479,778 | ||||||||||||||||
— | 2,163,395 | 169,434 | 395,078 | — | 879,347 | ||||||||||||||||
(3,205,521) | (6,144,617 | ) | (1,364,416 | ) | (2,435,845 | ) | (2,860,255 | ) | (6,819,813 | ) | |||||||||||
(2,763,445) | (3,567,353 | ) | (647,528 | ) | 213,945 | (2,397,750 | ) | (5,460,688 | ) | ||||||||||||
Income (loss) from | Ratios assuming no | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||
investment operations | Distributions to shareholders | expense 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 | |||||||||||||||||||||||||||||||||||||||||||||||
beginning | investment | unrealized | investment | investment | realized | Total | end of | Total | period | to average | to average | to average | turnover | |||||||||||||||||||||||||||||||||||||||||||||
of period | income | gain (loss) | operations | income | gains | distributions | period | return(a) | (in 000s) | net assets | net assets | net assets | rate(b) | |||||||||||||||||||||||||||||||||||||||||||||
FOR THE SIX MONTHS ENDED JUNE 30, (UNAUDITED) | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
2009 | $ | 8.81 | $ | 0.21 | (c) | $ | 0.24 | $ | 0.45 | $ | (0.26 | ) | $ | — | $ | (0.26 | ) | $ | 9.00 | 5.21 | % | $ | 175,995 | 0.67 | %(d) | 4.80 | %(d)(e) | 0.78 | %(d) | 70 | % | |||||||||||||||||||||||||||
FOR THE FISCAL YEARS ENDED DECEMBER 31, | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
2008 | 10.13 | 0.47 | (c) | (1.31 | ) | (0.84 | ) | (0.48 | ) | — | (0.48 | ) | 8.81 | (8.56 | ) | 182,978 | 0.67 | 4.92 | (e) | 0.77 | 140 | |||||||||||||||||||||||||||||||||||||
2007 | 9.94 | 0.48 | (c) | 0.17 | 0.65 | (0.46 | ) | — | (0.46 | ) | 10.13 | 6.81 | 264,389 | 0.54 | (f) | 4.82 | (e)(f) | 0.76 | (f) | 123 | ||||||||||||||||||||||||||||||||||||||
2006(g) | 9.98 | 0.44 | (c) | (0.03 | )(h) | 0.41 | (0.45 | ) | — | (0.45 | ) | 9.94 | 4.23 | (i) | 285,768 | 0.54 | 4.49 | (e) | 0.78 | 265 | ||||||||||||||||||||||||||||||||||||||
2005(g) | 10.29 | 0.42 | (j) | (0.24 | ) | 0.18 | (0.49 | ) | — | (0.49 | ) | 9.98 | 1.84 | 332,861 | 0.64 | 4.05 | 0.64 | 110 | ||||||||||||||||||||||||||||||||||||||||
2004(g) | 10.58 | 0.41 | (j) | — | 0.41 | (0.56 | ) | (0.14 | ) | (0.70 | ) | 10.29 | 3.98 | 402,219 | 0.64 | 3.78 | 0.64 | 113 | ||||||||||||||||||||||||||||||||||||||||
(a) | Assumes investment at the net asset value at the beginning of the period, reinvestment of all distributions and a complete redemption of the investment at the net asset value at the end of the period. The Goldman Sachs Core Fixed Income Fund first began operations as the Allmerica Select Investment Grade 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. | |
(b) | The portfolio turnover rate excluding the effect of mortgage dollar rolls is 259%, 92%, 105% and 61% for the years ended December 31, 2006, 2007 and 2008, respectively, and for the six months ended June 30, 2009. Prior year ratios include the effect of mortgage dollar roll transactions. | |
(c) | Calculated based on the average shares outstanding methodology. | |
(d) | Annualized. | |
(e) | Ratio of net investment income assuming no expense reductions is 4.25%, 4.58%(f) and 4.82% for the fiscal years ended December 31, 2006, 2007 and 2008, respectively, and 4.69%(d) for the six months ended June 30, 2009. | |
(f) | Includes non-recurring expense for a special shareholder meeting, which amounted to approximately 0.02% of average net assets. | |
(g) | 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 reorganization, the Goldman Sachs Core Fixed Income Fund issued Service 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. | |
(h) | Reflects an increase of $0.04 due to payments received for class action settlements received this year. | |
(i) | 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%. | |
(j) | Calculated based on the Securities and Exchange Commission (“SEC”) methodology. |
38
Income (loss) from | Ratios assuming no | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||
investment operations | Distributions to shareholders | expense 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 | |||||||||||||||||||||||||||||||||||||||||||||||
beginning | investment | unrealized | investment | investment | realized | Total | end of | Total | period | to average | to average | to average | turnover | |||||||||||||||||||||||||||||||||||||||||||||
of period | income | gain (loss) | operations | income | gains | distributions | period | return(a) | (in 000s) | net assets | net assets | net assets | rate | |||||||||||||||||||||||||||||||||||||||||||||
FOR THE SIX MONTHS ENDED JUNE 30, (UNAUDITED) | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
2009 | $ | 6.61 | $ | 0.06 | (b) | $ | 0.17 | $ | 0.23 | $ | — | $ | — | $ | — | $ | 6.84 | 3.32 | % | $ | 174,798 | 0.63 | %(c) | 2.06 | %(c)(d) | 0.72 | %(c) | 2 | % | |||||||||||||||||||||||||||||
FOR THE FISCAL YEARS ENDED DECEMBER 31, | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
2008 | 11.42 | 0.17 | (b) | (4.46 | ) | (4.29 | ) | (0.18 | ) | (0.34 | ) | (0.52 | ) | 6.61 | (37.18 | ) | 187,383 | 0.60 | 1.81 | (d) | 0.69 | 4 | ||||||||||||||||||||||||||||||||||||
2007 | 11.04 | 0.18 | (b) | 0.41 | 0.59 | (0.21 | ) | — | (0.21 | ) | 11.42 | 5.32 | 364,288 | 0.41 | (e) | 1.57 | (d)(e) | 0.68 | (e) | 8 | ||||||||||||||||||||||||||||||||||||||
2006(f) | 9.71 | 0.16 | (b) | 1.34 | 1.50 | (0.17 | ) | — | (0.17 | ) | 11.04 | 15.49 | (g) | 438,471 | 0.41 | 1.53 | (d) | 0.67 | 4 | |||||||||||||||||||||||||||||||||||||||
2005(f) | 9.43 | 0.13 | (h)(i) | 0.28 | 0.41 | (0.13 | ) | — | (0.13 | ) | 9.71 | 4.38 | 489,587 | 0.52 | 1.35 | 0.52 | 7 | |||||||||||||||||||||||||||||||||||||||||
2004(f)(j) | 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 | |||||||||||||||||||||||||||||||||||||||||
(a) | Assumes investment at the net asset value at the beginning of the period, reinvestment of all distributions and a complete redemption of the investment at the net asset value at the end of the period. 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. | |
(b) | Calculated based on the average shares outstanding methodology. | |
(c) | Annualized. | |
(d) | Ratio of net investment income assuming no expense reductions is 1.27%, 1.30%(e) and 1.72% for the years ended December 31, 2006, 2007 and 2008, respectively, and 1.97%(c)for the six months ended June 30, 2009. | |
(e) | Includes non-recurring expense for a special shareholder meeting, which amounted to approximately 0.02% of average net assets. | |
(f) | 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 reorganization, the Goldman Sachs Equity Index Fund issued Service 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. | |
(g) | 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%. | |
(h) | Calculated based on the Securities and Exchange Commission (“SEC”) methodology. | |
(i) | Investment income per share reflects a special dividend of $0.028 for the Predecessor AIT Fund. | |
(j) | 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. |
39
Income (loss) from | Ratios assuming no | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||
investment operations | Distributions to shareholders | expense 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 | |||||||||||||||||||||||||||||||||||||||||||||||
beginning | investment | unrealized | investment | investment | realized | Total | end of | Total | period | to average | to average | to average | turnover | |||||||||||||||||||||||||||||||||||||||||||||
of period | income | gain (loss) | operations | income | gains | distributions | period | return(a) | (in 000s) | net assets | net assets | net assets | rate(b) | |||||||||||||||||||||||||||||||||||||||||||||
FOR THE SIX MONTHS ENDED JUNE 30, (UNAUDITED) | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
2009 | $ | 10.14 | $ | 0.17 | (c) | $ | 0.05 | $ | 0.22 | $ | (0.21 | ) | $ | — | $ | (0.21 | ) | $ | 10.15 | 2.20 | % | $ | 80,548 | 0.81 | %(d) | 3.40 | %(d)(e) | 1.01 | %(d) | 118 | % | |||||||||||||||||||||||||||
FOR THE FISCAL YEARS ENDED DECEMBER 31, | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
2008 | 10.27 | 0.42 | (c) | (0.11 | ) | 0.31 | (0.44 | ) | — | (0.44 | ) | 10.14 | 3.14 | 87,050 | 0.81 | 4.12 | (e) | 1.04 | 244 | |||||||||||||||||||||||||||||||||||||||
2007 | 9.96 | 0.42 | (c) | 0.29 | 0.71 | (0.40 | ) | — | (0.40 | ) | 10.27 | 7.34 | 85,978 | 0.67 | (f) | 4.19 | (e)(f) | 1.03 | (f) | 217 | ||||||||||||||||||||||||||||||||||||||
2006(g) | 9.98 | 0.39 | (c) | 0.01 | 0.40 | (0.42 | ) | — | (0.42 | ) | 9.96 | 4.05 | 87,063 | 0.68 | 3.96 | (e) | 1.02 | 523 | ||||||||||||||||||||||||||||||||||||||||
2005(g) | 10.19 | 0.32 | (h) | (0.16 | ) | 0.16 | (0.37 | ) | — | (0.37 | ) | 9.98 | 1.55 | 102,769 | 0.74 | 3.18 | 0.74 | 44 | ||||||||||||||||||||||||||||||||||||||||
2004(g) | 10.39 | 0.28 | (h) | (0.07 | ) | 0.21 | (0.39 | ) | (0.02 | ) | (0.41 | ) | 10.19 | 2.12 | 128,860 | 0.73 | 3.02 | 0.73 | 77 | |||||||||||||||||||||||||||||||||||||||
(a) | Assumes investment at the net asset value at the beginning of the period, reinvestment of all distributions and a complete redemption of the investment at the net asset value at the end of the period. 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. | |
(b) | The portfolio turnover rate excluding the effect of mortgage dollar rolls is 447%, 146%, 184% and 92% for the years ended December 31, 2006, 2007 and 2008, respectively, and for the six months ended June 30, 2009. Prior year ratios include the effect of mortgage dollar roll transactions. | |
(c) | Calculated based on the average shares outstanding methodology. | |
(d) | Annualized. | |
(e) | Ratio of net investment income assuming no expense reductions is 3.62%, 3.82%(f) and 3.89% for the years ended December 31, 2006, 2007 and 2008, respectively, and 3.20%(d) for the six months ended June 30, 2009. | |
(f) | Includes non-recurring expense for a special shareholder meeting, which amounted to approximately 0.03% of average net assets. | |
(g) | 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 reorganization, the Goldman Sachs Government Income Fund issued Service 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. | |
(h) | Calculated based on the Securities and Exchange Commission (“SEC”) methodology. |
40
Income (loss) from | Ratios assuming no | |||||||||||||||||||||||||||||||||||||||||||||||||||||
investment operations | expense 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 | ||||||||||||||||||||||||||||||||||||||||||||
beginning | investment | unrealized | investment | realized | end of | Total | period | to average | to average | to average | turnover | |||||||||||||||||||||||||||||||||||||||||||
of period | loss | gain (loss) | operations | gains | period | return(a) | (in 000s) | net assets | net assets | net assets | rate | |||||||||||||||||||||||||||||||||||||||||||
FOR THE SIX MONTHS ENDED JUNE 30, (UNAUDITED) | ||||||||||||||||||||||||||||||||||||||||||||||||||||||
2009 | $ | 3.55 | $ | (0.01 | )(b) | $ | 0.82 | $ | 0.81 | $ | — | $ | 4.36 | 22.82 | % | $ | 106,663 | 1.18 | %(c) | (0.39 | )%(c)(d) | 1.43 | %(c) | 38 | % | |||||||||||||||||||||||||||||
FOR THE FISCAL YEARS ENDED DECEMBER 31, | ||||||||||||||||||||||||||||||||||||||||||||||||||||||
2008 | 6.20 | (0.02 | )(b) | (2.52 | ) | (2.54 | ) | (0.11 | ) | 3.55 | (40.72 | ) | 95,237 | 1.18 | (0.32 | )(d) | 1.37 | 78 | ||||||||||||||||||||||||||||||||||||
2007 | 6.07 | (0.03 | )(b) | 1.22 | 1.19 | (1.06 | ) | 6.20 | 19.37 | 200,146 | 1.14 | (e) | (0.48 | )(d)(e) | 1.38 | (e) | 73 | |||||||||||||||||||||||||||||||||||||
2006(f) | 9.69 | (0.06 | )(b) | 0.68 | 0.62 | (4.24 | ) | 6.07 | 5.74 | 215,251 | 1.15 | (0.60 | )(d) | 1.37 | 82 | |||||||||||||||||||||||||||||||||||||||
2005(f) | 10.90 | (0.05 | )(g)(h) | 1.54 | 1.49 | (2.70 | ) | 9.69 | 14.68 | 273,823 | 1.15 | (0.50 | ) | 1.15 | 27 | |||||||||||||||||||||||||||||||||||||||
2004(f)(i) | 10.13 | (0.07 | )(g) | 1.78 | 1.71 | (0.94 | ) | 10.90 | 18.62 | 299,355 | 1.14 | (0.70 | ) | 1.15 | 38 | |||||||||||||||||||||||||||||||||||||||
(a) | Assumes investment at the net asset value at the beginning of the period, reinvestment of all distributions and a complete redemption of the investment at the net asset value at the end of the period. 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. | |
(b) | Calculated based on the average shares outstanding methodology. | |
(c) | Annualized. | |
(d) | Ratio of net investment loss assuming no expense reductions is (0.82)%, (0.73)%(e) and (0.51)% for the years ended December 31, 2006, 2007 and 2008, respectively, and (0.64%)(c)for the six months ended June 30, 2009. | |
(e) | Includes non-recurring expense for a special shareholder meeting, which amounted to approximately 0.02% of average net assets. | |
(f) | 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 reorganization, the Goldman Sachs Growth Opportunities Fund issued Service 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. | |
(g) | Calculated based on the Securities and Exchange Commission (“SEC”) methodology. | |
(h) | Investment income per share reflects a special dividend of $0.005 for the Predecessor AIT Fund. | |
(i) | 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. |
41
2. SIGNIFICANT ACCOUNTING POLICIES (continued) |
Capital Gains | ||||||||
Income Distributions | Distributions | |||||||
Fund | Declared and Paid | Declared and Paid | ||||||
Core Fixed Income and Government Income | Quarterly | Annually | ||||||
Equity Index and Growth Opportunities | Annually | Annually | ||||||
2. SIGNIFICANT ACCOUNTING POLICIES (continued) |
2. SIGNIFICANT ACCOUNTING POLICIES (continued) |
2. SIGNIFICANT ACCOUNTING POLICIES (continued) |
As of June 30, 2009 | ||||||||||||||||||||
Balance Sheet | Derivative | Number of | Balance Sheet | Derivative | Number of | |||||||||||||||
Derivative contracts for trading activities | Location | Assets | Contracts | Location | Liabilities | Contracts | ||||||||||||||
Interest rates | Receivables, Net Assets — Unrealized gain | $ | 195,611 | 157 | Payables, Net Assets — Unrealized loss | $ | (94,087 | ) | 173 | |||||||||||
Currencies | Receivables | 56,931 | 25 | Payables | (86,599 | ) | 30 | |||||||||||||
Gross fair value of derivative contracts | $ | 252,542 | 182 | $ | (180,686 | ) | 203 | |||||||||||||
2. SIGNIFICANT ACCOUNTING POLICIES (continued) |
Six Months Ended June 30, 2009 | ||||||||||
Location of Gain | Change in | |||||||||
(Loss) on Derivatives | Realized | Unrealized | ||||||||
Recognized in Income | Gains | Gains (Losses) | ||||||||
Interest rates | Net realized gain from futures transactions/change in unrealized loss on futures | $ | 718,881 | $ | (1,058,272 | ) | ||||
Currencies | Net realized gain from foreign currency related transactions/change in unrealized gain on translation of assets and liabilities denominated in foreign currencies | 34,764 | 32,597 | |||||||
Total | $ | 753,645 | $ | (1,025,675 | ) | |||||
Contractual Management Rates | ||||||||||||||||||||||||
Up to | Next | Next | Next | Over | Effective | |||||||||||||||||||
Fund | $1 billion | $1 billion | $3 billion | $3 billion | $8 billion | Rate | ||||||||||||||||||
Core Fixed Income | 0.40 | % | 0.36 | % | 0.34 | % | 0.33 | % | 0.32 | % | 0.40 | % | ||||||||||||
Government Income | 0.54 | 0.49 | 0.47 | 0.46 | 0.45 | 0.54 | ||||||||||||||||||
Growth Opportunities | 1.00 | 1.00 | 0.90 | 0.86 | 0.84 | 1.00 | ||||||||||||||||||
3. AGREEMENTS (continued) |
Distribution and | Transfer | |||||||||||||||
Service Fee | Agent Fee | Other Expense | Total Expense | |||||||||||||
Fund | Waiver | Credit | Reimbursement | Reductions | ||||||||||||
Core Fixed Income | $ | — | $ | 1 | $ | 93 | $ | 94 | ||||||||
Equity Index | — | 1 | 70 | 71 | ||||||||||||
Government Income | — | 1 | 81 | 82 | ||||||||||||
Growth Opportunities | 43 | — | (a) | 73 | 116 | |||||||||||
(a) | Amount rounds to less than $500. |
Distribution and | Transfer | |||||||||||||||
Fund | Management Fees | Service Fees | Agent Fees | Total | ||||||||||||
Core Fixed Income | $ | 57 | $ | 35 | $ | 3 | $ | 95 | ||||||||
Equity Index | 44 | 37 | 3 | 84 | ||||||||||||
Government Income | 36 | 17 | 1 | 54 | ||||||||||||
Growth Opportunities | 89 | 14 | 2 | 105 | ||||||||||||
3. AGREEMENTS (continued) |
VIT Core Fixed Income | Level 1 | Level 2 | Level 3 | |||||||||
Assets | ||||||||||||
Fixed Income | ||||||||||||
Corporate Bonds | $ | — | $ | 32,726,866 | $ | — | ||||||
Foreign Debt Obligations | — | 16,054,167 | — | |||||||||
U.S. Treasuries and Other U.S. Government Obligations and Agencies | 6,248,219 | 5,853,213 | — | |||||||||
Mortgage-Backed Obligations | ||||||||||||
Commercial Mortgage-Backed Securities | — | 9,269,838 | — | |||||||||
Other Mortgage-Backed Obligations | — | 102,182,920 | — | |||||||||
Other | — | 864,824 | — | |||||||||
Preferred Stock | — | 387,125 | — | |||||||||
Short-term Investments | 8,307,796 | — | — | |||||||||
Derivatives | 195,611 | 56,931 | — | |||||||||
Total | $ | 14,751,626 | $ | 167,395,884 | $ | — | ||||||
Liabilities | ||||||||||||
Derivatives | $ | 94,087 | $ | 86,599 | $ | — | ||||||
4. FAIR VALUE OF INVESTMENTS (continued) |
VIT Equity Index | Level 1 | Level 2 | Level 3 | |||||||||
Assets | ||||||||||||
Common Stock and/or Other Equity Investments | $ | 172,161,594 | $ | — | $ | — | ||||||
Short-term Investments | 2,593,346 | — | — | |||||||||
Total | $ | 174,754,940 | $ | — | $ | — | ||||||
Liabilities | ||||||||||||
Derivatives | $ | (110,276 | ) | $ | — | $ | — | |||||
VIT Government Income | Level 1 | Level 2 | Level 3 | |||||||||
Assets | ||||||||||||
Fixed Income | ||||||||||||
U.S. Treasuries and Other U.S. Government Obligations and Agencies | $ | 6,787,419 | $ | 15,393,424 | $ | — | ||||||
Mortgage-Backed Obligations | ||||||||||||
Commercial Mortgage-Backed Security | — | 427,088 | — | |||||||||
Other Mortgage-Backed Obligations | — | 55,192,144 | — | |||||||||
Other | — | 749,315 | — | |||||||||
Short-term Investments | 9,202,525 | — | — | |||||||||
Derivatives | 88,691 | — | — | |||||||||
Total | $ | 16,078,635 | $ | 71,761,971 | $ | — | ||||||
Liabilities | ||||||||||||
Derivatives | $ | (27,812 | ) | $ | — | $ | — | |||||
VIT Growth Opportunities | Level 1 | Level 2 | Level 3 | |||||||||
Assets | ||||||||||||
Common Stock and/or Other Equity Investments | $ | 104,581,311 | $ | — | $ | — | ||||||
Short-term Investments | 2,038,434 | 14,363,963 | — | |||||||||
Total | $ | 106,619,745 | $ | 14,363,963 | $ | — | ||||||
5. SECURITIES LENDING (continued) |
Number of | Number of | |||||||||||||||||||
Shares Held | Shares | Shares | Shares Held | Value at | ||||||||||||||||
Fund | Beginning of Period | Bought | Sold | End of Period | End of Period | |||||||||||||||
Growth Opportunities | 11,271 | 65,951 | (62,815 | ) | 14,407 | $ | 14,364 | |||||||||||||
Sales and | ||||||||||||||||
Purchases | Sales and | Maturities | ||||||||||||||
Purchases of | (Excluding | Maturities of | (Excluding | |||||||||||||
U.S. Government | U.S. Government | U.S. Government | U.S. Government | |||||||||||||
and Agency | and Agency | and Agency | and Agency | |||||||||||||
Fund | Obligations | Obligations) | Obligations | Obligations) | ||||||||||||
Core Fixed Income | $ | 96,894,211 | $ | 25,446,656 | $ | 115,040,384 | $ | 26,582,797 | ||||||||
Equity Index | — | 3,460,191 | — | 18,407,850 | ||||||||||||
Government Income | 90,437,299 | 9,149,258 | 98,310,250 | 10,132,223 | ||||||||||||
Growth Opportunities | — | 35,936,493 | — | 46,129,265 | ||||||||||||
Core Fixed | Government | Growth | ||||||||||||||
Income | Equity Index | Income | Opportunities | |||||||||||||
Capital loss carryforward:(1) | ||||||||||||||||
Expiring 2009 | $ | — | $ | (13,380,657 | ) | $ | — | $ | — | |||||||
Expiring 2010 | — | (13,380,657 | ) | — | — | |||||||||||
Expiring 2011 | — | (8,097,717 | ) | — | — | |||||||||||
Expiring 2012 | — | (2,961,297 | ) | — | — | |||||||||||
Expiring 2014 | (4,814,270 | ) | — | — | — | |||||||||||
Total capital loss carryforward | $ | (4,814,270 | ) | $ | (37,820,328 | ) | $ | — | $ | — | ||||||
Timing differences (from post-October losses, straddles and deferred distributions from REITs) | $ | (60,994 | ) | $ | (944,837 | ) | $ | (173,286 | ) | $ | (3,159,993 | ) | ||||
(1) | Expiration occurs on December 31 of the year indicated. Due to fund reorganizations, utilization of the Equity Index Fund’s losses may be substantially limited under the Code. |
Core Fixed | Equity | Government | Growth | |||||||||||||
Income | Index | Income | Opportunities | |||||||||||||
Tax cost | $ | 207,336,399 | $ | 220,237,913 | $ | 91,326,205 | $ | 138,358,762 | ||||||||
Gross unrealized gain | 3,722,529 | 27,721,419 | 1,839,104 | 6,279,452 | ||||||||||||
Gross unrealized loss | (29,163,960 | ) | (73,204,392 | ) | (5,413,394 | ) | (23,654,506 | ) | ||||||||
Net unrealized security loss | $ | (25,441,431 | ) | $ | (45,482,973 | ) | $ | (3,574,290 | ) | $ | (17,375,054 | ) | ||||
9. OTHER MATTERS (continued) |
Management Rate | ||||||||
Over 300 million - | ||||||||
$0 - $300 million | $400 million | Over $400 million | ||||||
0.27% | 0.24 | % | 0.20 | % | ||||
Core | Government | Growth | ||||||||||
Fixed Income | Income | Opportunities | ||||||||||
Fund | Fund | Fund | ||||||||||
First $1 billion | 0.40 | % | 0.54 | % | 1.00 | % | ||||||
Next $1 billion | 0.36 | 0.49 | 1.00 | |||||||||
Next $3 billion | 0.34 | 0.47 | 0.90 | |||||||||
Next $3 billion | 0.33 | 0.46 | 0.86 | |||||||||
Over $8 billion | 0.32 | 0.45 | 0.84 |
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 |
Core Fixed Income Fund | Equity Index Fund | Government Income Fund | Growth Opportunities Fund | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Expenses | Expenses | Expenses | Expenses | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Paid for the | Paid for the | Paid for the | Paid for the | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Beginning | Ending | 6 Months | Beginning | Ending | 6 Months | Beginning | Ending | 6 Months | Beginning | Ending | 6 Months | |||||||||||||||||||||||||||||||||||||||||||||||||
Account value | Account Value | Ended | Account value | Account Value | Ended | Account value | Account Value | Ended | Account value | Account Value | Ended | |||||||||||||||||||||||||||||||||||||||||||||||||
1/01/09 | 6/30/09 | 6/30/09* | 1/01/09 | 6/30/09 | 6/30/09* | 1/01/09 | 6/30/09 | 6/30/09* | 1/01/09 | 6/30/09 | 6/30/09* | |||||||||||||||||||||||||||||||||||||||||||||||||
Actual | $ | 1,000 | $ | 1,052.10 | $ | 3.41 | $ | 1,000 | $ | 1,033.20 | $ | 3.18 | $ | 1,000 | $ | 1,022.00 | $ | 4.06 | $ | 1,000 | $ | 1,228.20 | $ | 6.52 | ||||||||||||||||||||||||||||||||||||
Hypothetical 5% return | 1,000 | 1,021.47 | + | 3.36 | 1,000 | 1,021.67 | + | 3.16 | 1,000 | 1,020.77 | + | 4.06 | 1,000 | 1,018.94 | + | 5.91 | ||||||||||||||||||||||||||||||||||||||||||||
* | 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, 2009. 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 | ||||||
Core Fixed Income | 0.67 | % | ||||
Equity Index | 0.63 | % | ||||
Government Income | 0.81 | % | ||||
Growth Opportunities | 1.18 | % | ||||
+ | 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. |
60
TRUSTEES | OFFICERS | |
Ashok N. Bakhru, Chairman | James A. McNamara, President | |
John P. Coblentz, Jr. | John M. Perlowski, Senior Vice | |
Diana M. Daniels | President and Treasurer | |
Patrick T. Harker | Peter V. Bonanno, Secretary | |
James A. McNamara | ||
Jessica Palmer | ||
Alan A. Shuch | ||
Richard P. Strubel | ||
GOLDMAN, SACHS & CO. Distributor and Transfer Agent | ||
GOLDMAN SACHS ASSET MANAGEMENT, L.P. Investment Adviser | ||
32 Old Slip, New York, New York 10005 | ||
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 the Funds 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 (“SEC”) Web site at http://www.sec.gov. | ||
The Funds file their complete schedule of portfolio holdings with the SEC for the first and third quarters of each fiscal year on Form N-Q. The Funds’ Forms N-Q are available on the SEC’s website at http://www.sec.gov within 60 days after the Funds’ first and third fiscal quarters. 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. Forms N-Q may be obtained upon request and without charge by calling 1-800-621-2550. | ||
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. | ||
Toll Free (in U.S.): 800-292-4726 | ||
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. | ||
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 2009 Goldman, Sachs & Co. All rights reserved. | ||
VITSVCSAR/25764.MF.TMPL/08-09 |
Holding | % of Net Assets | Line of Business | ||||||
Johnson & Johnson | 4.2 | % | Pharmaceuticals, Biotechnology & Life Sciences | |||||
JPMorgan Chase & Co. | 3.3 | Diversified Financials | ||||||
Bank of America Corp. | 3.2 | Diversified Financials | ||||||
Entergy Corp. | 2.8 | Utilities | ||||||
Philip Morris International, Inc. | 2.7 | Food, Beverage & Tobacco | ||||||
Occidental Petroleum Corp. | 2.6 | Energy | ||||||
The Travelers Companies, Inc. | 2.3 | Insurance | ||||||
Hess Corp. | 2.1 | Energy | ||||||
BP PLC ADR | 2.1 | Energy | ||||||
Hewlett-Packard Co. | 2.1 | Technology Hardware & Equipment |
Shares | Description | Value | ||||
Common Stocks – 90.1% | ||||||
Automobiles & Components – 1.4% | ||||||
355,400 | Ford Motor Co.* | $ | 2,157,278 | |||
305,653 | Johnson Controls, Inc. | 6,638,783 | ||||
8,796,061 | ||||||
Banks – 1.5% | ||||||
521,500 | New York Community Bancorp, Inc.(a) | 5,574,835 | ||||
176,900 | Wells Fargo & Co. | 4,291,594 | ||||
9,866,429 | ||||||
Capital Goods – 4.0% | ||||||
214,000 | Emerson Electric Co. | 6,933,600 | ||||
245,400 | Honeywell International, Inc. | 7,705,560 | ||||
259,800 | The Boeing Co. | 11,041,500 | ||||
25,680,660 | ||||||
Commercial & Professional Services – 0.7% | ||||||
157,766 | Waste Management, Inc. | 4,442,691 | ||||
Consumer Durables & Apparel – 0.7% | ||||||
82,500 | NIKE, Inc. Class B(a) | 4,271,850 | ||||
Consumer Services – 1.3% | ||||||
493,624 | H&R Block, Inc. | 8,505,142 | ||||
Diversified Financials – 10.7% | ||||||
336,653 | AllianceBernstein Holding LP | 6,763,359 | ||||
1,520,900 | Bank of America Corp. | 20,075,880 | ||||
615,452 | JPMorgan Chase & Co. | 20,993,067 | ||||
361,100 | Morgan Stanley | 10,294,961 | ||||
205,700 | State Street Corp. | 9,709,040 | ||||
67,836,307 | ||||||
Energy – 15.6% | ||||||
283,900 | BP PLC ADR | 13,536,352 | ||||
193,300 | Chevron Corp. | 12,806,125 | ||||
184,643 | Devon Energy Corp. | 10,063,043 | ||||
150,679 | EOG Resources, Inc. | 10,234,118 | ||||
163,123 | Exxon Mobil Corp. | 11,403,929 | ||||
254,082 | Hess Corp. | 13,656,908 | ||||
247,979 | Occidental Petroleum Corp. | 16,319,498 | ||||
112,200 | Schlumberger Ltd. | 6,071,142 | ||||
65,600 | Transocean Ltd.* | 4,873,424 | ||||
98,964,539 | ||||||
Food & Staples Retailing – 1.1% | ||||||
138,406 | Wal-Mart Stores, Inc. | 6,704,387 | ||||
Food, Beverage & Tobacco – 6.0% | ||||||
96,400 | General Mills, Inc. | 5,400,328 | ||||
388,638 | Philip Morris International, Inc. | 16,952,389 | ||||
96,199 | The Coca-Cola Co. | 4,616,590 | ||||
471,370 | Unilever NV ADR | 11,397,727 | ||||
38,367,034 | ||||||
Health Care Equipment & Services – 2.3% | ||||||
179,218 | Baxter International, Inc. | 9,491,385 | ||||
72,400 | Becton, Dickinson and Co. | 5,162,844 | ||||
14,654,229 | ||||||
Household & Personal Products – 1.5% | ||||||
52,619 | The Clorox Co. | 2,937,719 | ||||
131,900 | The Procter & Gamble Co. | 6,740,090 | ||||
9,677,809 | ||||||
Insurance – 7.1% | ||||||
128,000 | Aflac, Inc. | 3,979,520 | ||||
87,300 | Everest Re Group Ltd. | 6,248,061 | ||||
120,600 | Marsh & McLennan Companies, Inc. | 2,427,678 | ||||
88,087 | PartnerRe Ltd. | 5,721,251 | ||||
106,800 | Prudential Financial, Inc. | 3,975,096 | ||||
196,675 | The Allstate Corp. | 4,798,870 | ||||
71,200 | The Chubb Corp. | 2,839,456 | ||||
362,628 | The Travelers Companies, Inc. | 14,882,253 | ||||
44,872,185 | ||||||
Materials – 2.9% | ||||||
96,800 | Freeport-McMoRan Copper & Gold, Inc. | 4,850,648 | ||||
557,100 | The Dow Chemical Co. | 8,991,594 | ||||
103,000 | The Mosaic Co. | 4,562,900 | ||||
18,405,142 | ||||||
Media – 3.8% | ||||||
896,000 | Comcast Corp. Class A | 12,983,040 | ||||
307,200 | DISH Network Corp. Class A* | 4,979,712 | ||||
241,529 | Time Warner, Inc. | 6,084,116 | ||||
24,046,868 | ||||||
Pharmaceuticals, Biotechnology & Life Sciences – 8.4% | ||||||
219,200 | Biogen Idec, Inc.* | 9,896,880 | ||||
471,334 | Johnson & Johnson | 26,771,771 | ||||
161,300 | Thermo Fisher Scientific, Inc.* | 6,576,201 | ||||
226,521 | Wyeth | 10,281,788 | ||||
53,526,640 | ||||||
Real Estate Investment Trust – 1.8% | ||||||
188,800 | Annaly Capital Management, Inc. | 2,858,432 | ||||
60,200 | Federal Realty Investment Trust(a) | 3,101,504 | ||||
155,000 | Health Care REIT, Inc. | 5,285,500 | ||||
11,245,436 | ||||||
Retailing – 4.0% | ||||||
131,000 | J.C. Penney Co., Inc. | 3,761,010 | ||||
266,500 | Staples, Inc. | 5,375,305 | ||||
101,000 | Target Corp. | 3,986,470 | ||||
265,000 | The Home Depot, Inc. | 6,261,950 | ||||
194,400 | The TJX Companies, Inc. | 6,115,824 | ||||
25,500,559 | ||||||
Semiconductors & Semiconductor Equipment – 0.4% | ||||||
166,500 | Intel Corp. | 2,755,575 | ||||
Software & Services – 0.9% | ||||||
271,300 | Oracle Corp. | 5,811,246 | ||||
Technology Hardware & Equipment – 2.1% | ||||||
348,199 | Hewlett-Packard Co. | 13,457,891 | ||||
Shares | Description | Value | ||||
Common Stocks – (continued) | ||||||
Telecommunication Services – 4.6% | ||||||
492,823 | AT&T, Inc. | $ | 12,241,723 | |||
114,884 | Embarq Corp. | 4,832,021 | ||||
2,504,849 | Sprint Nextel Corp.* | 12,048,324 | ||||
29,122,068 | ||||||
Transportation – 0.5% | ||||||
76,700 | Norfolk Southern Corp. | 2,889,289 | ||||
Utilities – 6.8% | ||||||
206,713 | American Electric Power Co., Inc. | 5,971,938 | ||||
72,706 | Edison International | 2,287,331 | ||||
229,269 | Entergy Corp. | 17,772,933 | ||||
205,638 | FirstEnergy Corp. | 7,968,472 | ||||
279,956 | PPL Corp. | 9,227,350 | ||||
43,228,024 | ||||||
TOTAL COMMON STOCKS | ||||||
(Cost $611,881,334) | $ | 572,628,061 | ||||
Interest | ||||||||
Shares | Rate | Value | ||||||
Preferred Stock – 1.3% | ||||||||
Diversified Financials – 1.3% | ||||||||
9,721,000 | JPMorgan Chase & Co. | $7.900% | $ | 8,506,847 | ||||
(Cost $8,167,266) | ||||||||
Shares | Rate | Value | ||||
Investment Company(b) – 3.0% | ||||||
JPMorgan U.S. Government Money Market Fund – Capital Shares | ||||||
18,781,998 | 0.236% | $ | 18,781,998 | |||
(Cost $18,781,998) | ||||||
TOTAL INVESTMENTS BEFORE SECURITIES LENDING REINVESTMENT VEHICLE | ||||||
(Cost $638,830,598) | $ | 599,916,906 | ||||
Securities Lending Reinvestment Vehicle(b)(c) – 1.1% | ||||||
Boston Global Investment Trust – Enhanced Portfolio | ||||||
7,320,883 | 0.267% | $ | 7,298,920 | |||
(Cost $7,277,533) | ||||||
TOTAL INVESTMENTS – 95.5% | ||||||
(Cost $646,108,131) | $ | 607,215,826 | ||||
OTHER ASSETS IN EXCESS OF LIABILITIES – 4.5% | 28,580,651 | |||||
NET ASSETS – 100.0% | $ | 635,796,477 | ||||
* | Non-income producing security. | |
(a) | All or a portion of security is on loan. | |
(b) | Variable rate security. Interest rate disclosed is that which is in effect at June 30, 2009. | |
(c) | Represents an affiliated issuer. |
Assets: | ||||
Investments in securities of unaffiliated issuers, at value (identified cost $638,830,598)(a) | $ | 599,916,906 | ||
Investments in affiliated securities lending reinvestment vehicle, at value (identified cost $7,277,533) | 7,298,920 | |||
Receivables: | ||||
Fund shares sold | 89,380,867 | |||
Dividends and interest | 1,051,511 | |||
Investment securities sold | 915,045 | |||
Securities lending income | 522 | |||
Other assets | 2,376 | |||
Total assets | 698,566,147 | |||
Liabilities: | ||||
Payables: | ||||
Investment securities purchased | 54,309,661 | |||
Payable upon return of securities loaned | 7,248,975 | |||
Fund shares redeemed | 741,943 | |||
Amounts owed to affiliates | 378,677 | |||
Accrued expenses | 90,414 | |||
Total liabilities | 62,769,670 | |||
Net Assets: | ||||
Paid-in capital | 853,491,799 | |||
Accumulated undistributed net investment income | 6,923,189 | |||
Accumulated net realized loss from investment transactions | (185,726,206 | ) | ||
Net unrealized loss on investments | (38,892,305 | ) | ||
NET ASSETS | $ | 635,796,477 | ||
Net Assets: | ||||
Institutional | $ | 422,624,112 | ||
Service | 213,172,365 | |||
Total Net Assets | $ | 635,796,477 | ||
Shares of beneficial interest outstanding $0.001 par value (unlimited shares authorized): | ||||
Institutional | 54,074,551 | |||
Service | 27,273,909 | |||
Net asset value, offering and redemption price per share: | ||||
Institutional | $ | 7.82 | ||
Service | 7.82 | |||
(a) | Includes loaned securities having a market value of $7,077,945. |
Investment income: | ||||
Dividends | $ | 6,932,237 | ||
Interest | 332,552 | |||
Securities lending income — affiliated issuer | 13,928 | |||
Total investment income | 7,278,717 | |||
Expenses: | ||||
Management fees | 1,723,429 | |||
Distribution and Service fees — Service Shares | 131,201 | |||
Printing fees | 57,131 | |||
Transfer Agent fees(a) | 45,955 | |||
Professional fees | 44,269 | |||
Custody and accounting fees | 18,075 | |||
Trustee fees | 8,460 | |||
Other | 10,081 | |||
Total expenses | 2,038,601 | |||
Less — expense reductions | (2,082 | ) | ||
Net expenses | 2,036,519 | |||
NET INVESTMENT INCOME | 5,242,198 | |||
Realized and unrealized gain (loss) from investment transactions: | ||||
Net realized gain (loss) from: | ||||
Investment transactions — unaffiliated issuers | (112,272,117 | ) | ||
Securities lending reinvestment vehicle transactions — affiliated issuer | 28,558 | |||
Net change in unrealized gain on: | ||||
Investments — unaffiliated issuers | 103,563,729 | |||
Securities lending reinvestment vehicle — affiliated issuer | 21,387 | |||
Net realized and unrealized loss from investment transactions | (8,658,443 | ) | ||
NET DECREASE IN NET ASSETS RESULTING FROM OPERATIONS | $ | (3,416,245 | ) | |
(a) | Institutional and Service Shares had Transfer Agent fees of $35,459 and $10,496, respectively. |
For the | ||||||||
Six Months Ended | For the Fiscal | |||||||
June 30, 2009 | Year Ended | |||||||
(Unaudited) | December 31, 2008 | |||||||
From operations: | ||||||||
Net investment income | $ | 5,242,198 | $ | 12,505,942 | ||||
Net realized loss from investment transactions | (112,243,559 | ) | (70,374,348 | ) | ||||
Net change in unrealized gain (loss) on investments | 103,585,116 | (161,720,945 | ) | |||||
Net decrease in net assets resulting from operations | (3,416,245 | ) | (219,589,351 | ) | ||||
Distributions to shareholders: | ||||||||
From net investment income | ||||||||
Institutional Shares | — | (10,426,044 | ) | |||||
Service Shares | — | (1,665,474 | ) | |||||
From net realized gains | ||||||||
Institutional Shares | — | (51,614 | ) | |||||
Service Shares | — | (8,404 | ) | |||||
Total distributions to shareholders | — | (12,151,536 | ) | |||||
From share transactions: | ||||||||
Proceeds from sales of shares | 225,515,144 | 158,271,882 | ||||||
Reinvestments of distributions | — | 12,151,536 | ||||||
Cost of shares redeemed | (43,340,181 | ) | (53,617,957 | ) | ||||
Net increase in net assets resulting from share transactions | 182,174,963 | 116,805,461 | ||||||
TOTAL INCREASE (DECREASE) | 178,758,718 | (114,935,426 | ) | |||||
Net assets: | ||||||||
Beginning of period | 457,037,759 | 571,973,185 | ||||||
End of period | $ | 635,796,477 | $ | 457,037,759 | ||||
Accumulated undistributed net investment income | $ | 6,923,189 | $ | 1,680,991 | ||||
Income (loss) from | Ratios assuming no | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
investment operations | Distributions to | expense reductions | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Net | shareholders | 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 | ||||||||||||||||||||||||||||||||||||||||||||||||||
beginning | investment | unrealized | investment | investment | realized | Total | end of | Total | period | to average | average | to average | average | turnover | ||||||||||||||||||||||||||||||||||||||||||||||||
Year - Share Class | 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) | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
2009 - Institutional | $ | 7.97 | $ | 0.09 | $ | (0.24 | ) | $ | (0.15 | ) | $ | — | $ | — | $ | — | $ | 7.82 | (2.01 | )% | $ | 422,624 | 0.83 | %(c) | 2.33 | %(c) | 0.83 | %(c) | 2.33 | %(c) | 43 | % | ||||||||||||||||||||||||||||||
2009 - Service | 7.98 | 0.08 | (0.24 | ) | (0.16 | ) | — | — | — | 7.82 | (2.13 | ) | 213,172 | 1.08 | (c) | 2.09 | (c) | 1.08 | (c) | 2.09 | (c) | 43 | ||||||||||||||||||||||||||||||||||||||||
FOR THE FISCAL YEARS ENDED DECEMBER 31, | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
2008 - Institutional | 12.53 | 0.25 | (4.59 | ) | (4.34 | ) | (0.22 | ) | — | (d) | (0.22 | ) | 7.97 | (34.45 | ) | 389,838 | 0.81 | 2.36 | 0.81 | 2.36 | 69 | |||||||||||||||||||||||||||||||||||||||||
2008 - Service | 12.52 | 0.19 | (4.51 | ) | (4.32 | ) | (0.22 | ) | — | (d) | (0.22 | ) | 7.98 | (34.32 | ) | 67,200 | 1.06 | 2.15 | 1.06 | 2.15 | 69 | |||||||||||||||||||||||||||||||||||||||||
2007 - Institutional | 13.91 | 0.25 | (0.03 | ) | 0.22 | (0.26 | ) | (1.34 | ) | (1.60 | ) | 12.53 | 1.49 | 571,883 | 0.85 | 1.75 | 0.85 | 1.75 | 79 | |||||||||||||||||||||||||||||||||||||||||||
2007 - Service (commenced July 24, 2007) | 14.71 | 0.15 | (0.74 | ) | (0.59 | ) | (0.26 | ) | (1.34 | ) | (1.60 | ) | 12.52 | (4.02 | ) | 90 | 0.94 | (c) | 3.11 | (c) | 1.09 | (c) | 2.96 | (c) | 79 | |||||||||||||||||||||||||||||||||||||
2006 - Institutional | 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 - Institutional | 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 - Institutional | 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 | |||||||||||||||||||||||||||||||||||||||||||||
(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. Total returns for periods less than one full year are not annualized. | |
(c) | Annualized. | |
(d) | Amount is less than $0.005 per share. |
9
2. SIGNIFICANT ACCOUNTING POLICIES (continued) |
Contractual Management Rate | ||||||||||
Up to $1 billion | Next $1 billion | Next $3 billion | Next $3 billion | Over $8 billion | Effective Rate | |||||
0.75% | 0.68% | 0.65% | 0.64% | 0.63% | 0.75% | |||||
3. AGREEMENTS (continued) |
4. FAIR VALUE OF INVESTMENTS (continued) |
Level 1 | Level 2 | Level 3 | ||||||||||
Assets | ||||||||||||
Common Stock and/or Other Equity Investments | $ | 572,628,061 | $ | 8,506,847 | $ | — | ||||||
Short-term Investments | 18,781,998 | 7,298,920 | — | |||||||||
Total | $ | 591,410,059 | $ | 15,805,767 | $ | — | ||||||
Number of | ||||||||
Shares Held | Number of Shares | Value at | ||||||
Beginning of Period | Shares Bought | Shares Sold | Held End of Period | End of Period | ||||
— | 64,720 | (57,399) | 7,321 | $7,299 | ||||
Capital loss carryforward:(1) | ||||
Expiring 2010 | $ | (152,979 | ) | |
Expiring 2016 | (59,284,938 | ) | ||
Total capital loss carryforward | $ | (59,437,917 | ) | |
Timing differences (post — October losses) | $ | (6,441,430 | ) | |
(1) | Expiration occurs on December 31 of the year indicated. |
Tax cost | $ | 652,173,589 | ||
Gross unrealized gain | 18,465,192 | |||
Gross unrealized loss | (63,422,955 | ) | ||
Net unrealized security loss | $ | (44,957,763 | ) | |
For the Six Months Ended | ||||||||||||||||
June 30, 2009 | For the Fiscal Year Ended | |||||||||||||||
(Unaudited) | December 31, 2008 | |||||||||||||||
Shares | Dollars | Shares | Dollars | |||||||||||||
Institutional Shares | ||||||||||||||||
Shares sold | 9,745,123 | $ | 73,784,864 | 7,131,945 | $ | 79,934,336 | ||||||||||
Reinvestment of distributions | — | — | 1,380,456 | 10,477,658 | ||||||||||||
Shares redeemed | (4,580,138 | ) | (33,155,703 | ) | (5,228,338 | ) | (53,298,013 | ) | ||||||||
5,164,985 | 40,629,161 | 3,284,063 | 37,113,981 | |||||||||||||
Service Shares | ||||||||||||||||
Shares sold | 20,230,489 | 151,730,280 | 8,227,960 | 78,337,546 | ||||||||||||
Reinvestment of distributions | — | — | 220,080 | 1,673,878 | ||||||||||||
Shares redeemed | (1,373,995 | ) | (10,184,478 | ) | (37,799 | ) | (319,944 | ) | ||||||||
18,856,494 | 141,545,802 | 8,410,241 | 79,691,480 | |||||||||||||
NET INCREASE | 24,021,479 | $ | 182,174,963 | 11,694,304 | $ | 116,805,461 | ||||||||||
First $1 billion | 0.75 | % | ||
Next $1 billion | 0.68 | |||
Next $3 billion | 0.65 | |||
Next $3 billion | 0.64 | |||
Over $8 billion | 0.63 |
Expenses Paid | |||||||||||||||
for the | |||||||||||||||
Beginning | Ending | 6 Months | |||||||||||||
Account value | Account Value | Ended | |||||||||||||
Share Class | 1/01/09 | 6/30/09 | 6/30/09* | ||||||||||||
Institutional | |||||||||||||||
Actual | $ | 1,000 | $ | 979.90 | $ | 4.07 | |||||||||
Hypothetical 5% return | 1,000 | 1,020.67 | + | 4.16 | |||||||||||
Service | |||||||||||||||
Actual | 1,000 | 978.70 | 5.30 | ||||||||||||
Hypothetical 5% return | 1,000 | 1,019.43 | + | 5.41 | |||||||||||
* | Expenses for each share class 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, 2009. 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 0.83% and 1.08% 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 John P. Coblentz, Jr. Diana M. Daniels Patrick T. Harker James A. McNamara Jessica Palmer Alan A. Shuch Richard P. Strubel | James A. McNamara, President John M. Perlowski, Senior Vice President and Treasurer Peter V. Bonanno, Secretary | |
GOLDMAN, SACHS & CO. Distributor and Transfer Agent | ||
GOLDMAN SACHS ASSET MANAGEMENT, L.P. Investment Adviser 32 Old Slip, New York New York 10005 | ||
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 (“SEC”) Web site at http://www.sec.gov. | ||
The Fund files its complete schedule of portfolio holdings with the SEC for the first and third quarters of each fiscal year on Form N-Q. The Fund’s Form N-Q is available on the SEC’s website at http://www.sec.gov within 60 days after the Fund’s first and third fiscal quarters. 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. Forms N-Q may be obtained upon request and without charge by calling 1-800-621-2550. | ||
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 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 Fund. | ||
Toll Free (in U.S.): 800-292-4726 | ||
This report is prepared for the general information of contract owners and is not an offer of shares of the Goldman Sachs Variable Insurance Trust: Goldman Sachs Growth and Income Fund. | ||
Copyright 2009 Goldman, Sachs & Co. All rights reserved. | ||
VITG_ISAR/25773.MF.TMPL/08-09 |
Holding | % of Net Assets | Line of Business | ||||||
Microsoft Corp. | 5.4 | % | Software & Services | |||||
Cisco Systems, Inc. | 3.8 | Technology Hardware & Equipment | ||||||
Apple, Inc. | 3.4 | Technology Hardware & Equipment | ||||||
Schlumberger Ltd. | 3.0 | Energy | ||||||
The Procter & Gamble Co. | 2.9 | Household & Personal Products | ||||||
QUALCOMM, Inc. | 2.8 | Technology Hardware & Equipment | ||||||
American Tower Corp. Class A | 2.8 | Telecommunication Services | ||||||
Baxter International, Inc. | 2.8 | Health Care Equipment & Services | ||||||
Thermo Fisher Scientific, Inc. | 2.7 | Pharmaceuticals, Biotechnology & Life Sciences | ||||||
Johnson & Johnson | 2.7 | Pharmaceuticals, Biotechnology & Life Sciences |
Shares | Description | Value | ||||
Common Stocks – 110.9% | ||||||
Banks – 0.8% | ||||||
152,300 | People’s United Financial, Inc. | $ | 2,290,592 | |||
Capital Goods – 2.9% | ||||||
149,494 | ABB Ltd. ADR | 2,359,015 | ||||
22,500 | Danaher Corp. | 1,389,150 | ||||
57,530 | United Technologies Corp. | 2,989,259 | ||||
22,610 | W.W. Grainger, Inc. | 1,851,307 | ||||
8,588,731 | ||||||
Commercial & Professional Services – 1.7% | ||||||
182,600 | Iron Mountain, Inc.* | 5,249,750 | ||||
Consumer Durables & Apparel – 1.5% | ||||||
165,000 | Coach, Inc. | 4,435,200 | ||||
Consumer Services – 3.4% | ||||||
161,831 | Marriott International, Inc. Class A(a) | 3,571,610 | ||||
60,600 | McDonald’s Corp. | 3,483,894 | ||||
138,800 | Starwood Hotels & Resorts Worldwide, Inc. | 3,081,360 | ||||
10,136,864 | ||||||
Diversified Financials – 6.2% | ||||||
20,900 | CME Group, Inc. | 6,502,199 | ||||
164,600 | Morgan Stanley | 4,692,746 | ||||
34,900 | Northern Trust Corp. | 1,873,432 | ||||
306,730 | The Charles Schwab Corp. | 5,380,044 | ||||
18,448,421 | ||||||
Energy – 7.7% | ||||||
67,700 | Cameron International Corp.* | 1,915,910 | ||||
61,800 | Halliburton Co. | 1,279,260 | ||||
88,900 | Hess Corp. | 4,778,375 | ||||
164,640 | Schlumberger Ltd. | 8,908,670 | ||||
143,040 | Suncor Energy, Inc. | 4,339,834 | ||||
97,100 | Weatherford International Ltd.* | 1,899,276 | ||||
23,121,325 | ||||||
Food & Staples Retailing – 1.3% | ||||||
85,500 | Costco Wholesale Corp. | 3,907,350 | ||||
Food, Beverage & Tobacco – 5.5% | ||||||
99,800 | Kraft Foods, Inc. Class A | 2,528,932 | ||||
144,300 | PepsiCo, Inc. | 7,930,728 | ||||
121,900 | The Coca-Cola Co. | 5,849,981 | ||||
16,309,641 | ||||||
Health Care Equipment & Services – 8.4% | ||||||
156,600 | Baxter International, Inc. | 8,293,536 | ||||
42,900 | C. R. Bard, Inc. | 3,193,905 | ||||
54,800 | Express Scripts, Inc.* | 3,767,500 | ||||
12,900 | Laboratory Corp. of America Holdings* | 874,491 | ||||
126,900 | St. Jude Medical, Inc.* | 5,215,590 | ||||
91,000 | Zimmer Holdings, Inc.* | 3,876,600 | ||||
25,221,622 | ||||||
Household & Personal Products – 3.9% | ||||||
118,900 | Avon Products, Inc. | 3,065,242 | ||||
167,800 | The Procter & Gamble Co. | 8,574,580 | ||||
11,639,822 | ||||||
Materials – 2.4% | ||||||
55,500 | Monsanto Co. | 4,125,870 | ||||
44,200 | Praxair, Inc. | 3,141,294 | ||||
7,267,164 | ||||||
Media – 1.5% | ||||||
151,000 | Comcast Corp. Class A | 2,187,990 | ||||
104,974 | Viacom, Inc. Class B* | 2,382,910 | ||||
4,570,900 | ||||||
Pharmaceuticals, Biotechnology & Life Sciences – 12.8% | ||||||
235,634 | Amylin Pharmaceuticals, Inc.*(a) | 3,181,059 | ||||
94,928 | Charles River Laboratories International, Inc.*(a) | 3,203,820 | ||||
131,053 | Gilead Sciences, Inc.* | 6,138,522 | ||||
140,900 | Johnson & Johnson | 8,003,120 | ||||
170,000 | Merck & Co., Inc. | 4,753,200 | ||||
39,900 | Shire PLC ADR | 1,655,052 | ||||
62,600 | Teva Pharmaceutical Industries Ltd. ADR | 3,088,684 | ||||
200,400 | Thermo Fisher Scientific, Inc.* | 8,170,308 | ||||
38,193,765 | ||||||
Real Estate – 2.0% | ||||||
635,500 | CB Richard Ellis Group, Inc. Class A* | 5,948,280 | ||||
Retailing – 4.1% | ||||||
266,040 | Lowe’s Companies, Inc. | 5,163,836 | ||||
181,300 | Target Corp. | 7,155,911 | ||||
12,319,747 | ||||||
Semiconductors & Semiconductor Equipment – 2.4% | ||||||
133,500 | Broadcom Corp. Class A* | 3,309,465 | ||||
160,179 | Linear Technology Corp. | 3,740,180 | ||||
7,049,645 | ||||||
Software & Services – 22.3% | ||||||
502,100 | Activision Blizzard, Inc.* | 6,341,523 | ||||
160,540 | Cognizant Technology Solutions Corp. Class A* | 4,286,418 | ||||
181,025 | Electronic Arts, Inc.* | 3,931,863 | ||||
89,600 | Equinix, Inc.*(a) | 6,517,504 | ||||
86,900 | Global Payments, Inc. | 3,255,274 | ||||
12,254 | Google, Inc. Class A* | 5,166,164 | ||||
10,100 | MasterCard, Inc. Class A | 1,689,831 | ||||
681,268 | Microsoft Corp. | 16,193,740 | ||||
364,200 | Oracle Corp. | 7,801,164 | ||||
90,900 | Visa, Inc. Class A | 5,659,434 | ||||
341,791 | Western Union Co. | 5,605,373 | ||||
66,448,288 | ||||||
Shares | Description | Value | ||||
Common Stocks – (continued) | ||||||
Technology Hardware & Equipment – 15.7% | ||||||
128,700 | Amphenol Corp. Class A | $ | 4,072,068 | |||
71,000 | Apple, Inc.*(a) | 10,112,530 | ||||
606,790 | Cisco Systems, Inc.* | 11,310,566 | ||||
424,800 | Dell, Inc.* | 5,832,504 | ||||
31,100 | International Business Machines Corp. | 3,247,462 | ||||
185,291 | QUALCOMM, Inc. | 8,375,153 | ||||
53,800 | Research In Motion Ltd.* | 3,822,490 | ||||
46,772,773 | ||||||
Telecommunication Services – 3.7% | ||||||
264,590 | American Tower Corp. Class A* | 8,342,523 | ||||
114,850 | Crown Castle International Corp.* | 2,758,697 | ||||
11,101,220 | ||||||
Transportation – 0.7% | ||||||
27,100 | Burlington Northern Santa Fe Corp. | 1,992,934 | ||||
TOTAL COMMON STOCKS | ||||||
(Cost $362,279,998) | $ | 331,014,034 | ||||
Shares | Rate | Value | ||||||
Investment Company(b) – 1.7% | ||||||||
JPMorgan U.S. Government Money Market Fund – Capital Shares | ||||||||
5,092,402 | 0.236 | % | $ | 5,092,402 | ||||
(Cost $5,092,402) | ||||||||
TOTAL INVESTMENTS BEFORE SECURITIES LENDING REINVESTMENT VEHICLE | ||||||||
(Cost $367,372,400) | $ | 336,106,436 | ||||||
Securities Lending Reinvestment Vehicle(b)(c) – 3.9% | ||||||||
Boston Global Investment Trust – Enhanced Portfolio | ||||||||
11,648,400 | 0.267 | % | 11,613,455 | |||||
(Cost $11,597,513) | ||||||||
TOTAL INVESTMENTS – 116.5% | ||||||||
(Cost $378,969,913) | $ | 347,719,891 | ||||||
LIABILITIES IN EXCESS OF OTHER ASSETS – (16.5)% | (49,349,043) | |||||||
NET ASSETS – 100.0% | $ | 298,370,848 | ||||||
* | Non-income producing security. | |
(a) | All or a portion of security is on loan. | |
(b) | Variable rate security. Interest rate disclosed is that which is in effect at June 30, 2009. | |
(c) | Represents an affiliated issuer. |
Assets: | ||||
Investments in securities of unaffiliated issuers, at value (identified cost $367,372,400)(a) | $ | 336,106,436 | ||
Investments in affiliated securities lending reinvestment vehicle, at value (identified cost $11,597,513) | 11,613,455 | |||
Receivables: | ||||
Investment securities sold | 714,643 | |||
Dividends and interest | 230,163 | |||
Fund shares sold | 130,727 | |||
Securities lending income | 481 | |||
Other assets | 1,305 | |||
Total assets | 348,797,210 | |||
Liabilities: | ||||
Payables: | ||||
Investment securities purchased | 38,146,516 | |||
Payable upon return of securities loaned | 11,716,244 | |||
Amounts owed to affiliates | 228,425 | |||
Fund shares redeemed | 227,540 | |||
Accrued expenses | 107,637 | |||
Total liabilities | 50,426,362 | |||
Net Assets: | ||||
Paid-in capital | 547,055,457 | |||
Accumulated undistributed net investment income | 552,309 | |||
Accumulated net realized loss from investment transactions | (217,986,896 | ) | ||
Net unrealized loss on investments | (31,250,022 | ) | ||
NET ASSETS | $ | 298,370,848 | ||
Net Assets: | ||||
Institutional | $ | 109,011,899 | ||
Service | 189,358,949 | |||
Total Net Assets | $ | 298,370,848 | ||
Shares of beneficial interest outstanding $0.001 par value (unlimited shares authorized): | ||||
Institutional | 12,103,631 | |||
Service | 21,062,461 | |||
Net asset value, offering and redemption price per share: | ||||
Institutional | $ | 9.01 | ||
Service | 8.99 | |||
(a) | Includes loaned securities having a market value of $11,485,606. |
Investment income: | ||||
Dividends(a) | $ | 1,609,894 | ||
Securities lending income — affiliated issuer | 44,550 | |||
Total investment income | 1,654,444 | |||
Expenses: | ||||
Management fees | 994,085 | |||
Distribution and Service fees — Service Shares | 210,799 | |||
Professional fees | 44,622 | |||
Printing fees | 38,257 | |||
Transfer Agent fees(b) | 26,507 | |||
Custody and accounting fees | 18,545 | |||
Trustee fees | 8,460 | |||
Other | 13,764 | |||
Total expenses | 1,355,039 | |||
Less — expense reductions | (1,699 | ) | ||
Net expenses | 1,353,340 | |||
NET INVESTMENT INCOME | 301,104 | |||
Realized and unrealized gain (loss) from investment transactions: | ||||
Net realized gain (loss) from: | ||||
Investment transactions — unaffiliated issuers (including commissions recaptured of $23,095) | (33,752,735 | ) | ||
Securities lending reinvestment vehicle transactions — affiliated issuer | 91,037 | |||
Net change in unrealized gain on: | ||||
Investments — unaffiliated issuers | �� | 86,563,982 | ||
Securities lending reinvestment vehicle — affiliated issuer | 14,962 | |||
Net realized and unrealized gain from investment transactions | 52,917,246 | |||
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS | $ | 53,218,350 | ||
(a) | Foreign taxes withheld on dividends were $2,147. | |
(b) | Institutional and Service Shares had Transfer Agent fees of $9,644 and $16,863, respectively. |
For the | ||||||||
Six Months Ended | For the Fiscal | |||||||
June 30, 2009 | Year Ended | |||||||
(Unaudited) | December 31, 2008 | |||||||
From operations: | ||||||||
Net investment income | $ | 301,104 | $ | 156,317 | ||||
Net realized loss from investment transactions | (33,661,698 | ) | (30,858,930 | ) | ||||
Net change in unrealized gain (loss) on investments | 86,578,944 | (167,203,794 | ) | |||||
Net increase (decrease) in net assets resulting from operations | 53,218,350 | (197,906,407 | ) | |||||
Distributions to shareholders: | ||||||||
From net investment income | ||||||||
Institutional Shares | — | (178,949 | ) | |||||
From share transactions: | ||||||||
Proceeds from sales of shares | 10,333,163 | 18,849,778 | ||||||
Reinvestments of distributions | — | 178,949 | ||||||
Cost of shares redeemed | (28,328,565 | ) | (73,313,122 | ) | ||||
Net decrease in net assets resulting from share transactions | (17,995,402 | ) | (54,284,395 | ) | ||||
TOTAL INCREASE (DECREASE) | 35,222,948 | (252,369,751 | ) | |||||
Net assets: | ||||||||
Beginning of period | 263,147,900 | 515,517,651 | ||||||
End of period | $ | 298,370,848 | $ | 263,147,900 | ||||
Accumulated undistributed net investment income | $ | 552,309 | $ | 251,205 | ||||
Income (loss) from | Ratios assuming no | |||||||||||||||||||||||||||||||||||||||||||||||||||
investment operations | Distributions | expense reductions | ||||||||||||||||||||||||||||||||||||||||||||||||||
Net | to | Net | Net | Ratio of | Ratio of | Ratio of | Ratio of | |||||||||||||||||||||||||||||||||||||||||||||
Net asset | Net | realized | shareholders | asset | assets, | net | net investment | total | net investment | |||||||||||||||||||||||||||||||||||||||||||
value, | investment | and | Total from | from net | value, | end of | expenses | income (loss) | expenses | income (loss) | Portfolio | |||||||||||||||||||||||||||||||||||||||||
beginning | income | unrealized | investment | investment | end of | Total | period | to average | to average | to average | to average | turnover | ||||||||||||||||||||||||||||||||||||||||
Year - Share Class | of period | (loss)(a) | gain (loss) | operations | income | period | return(b) | (in 000s) | net assets | net assets | net assets | net assets | rate | |||||||||||||||||||||||||||||||||||||||
FOR THE SIX MONTHS ENDED JUNE 30, (UNAUDITED) | ||||||||||||||||||||||||||||||||||||||||||||||||||||
2009 - Institutional | $ | 7.40 | $ | 0.02 | $ | 1.59 | $ | 1.61 | $ | — | $ | 9.01 | 21.62 | % | $ | 109,012 | 0.86 | %(c) | 0.39 | %(c) | 0.86 | %(c) | 0.39 | %(c) | 34 | % | ||||||||||||||||||||||||||
2009 - Service | 7.39 | 0.01 | 1.59 | 1.60 | — | 8.99 | 21.65 | 189,359 | 1.11 | (c) | 0.14 | (c) | 1.11 | (c) | 0.14 | (c) | 34 | |||||||||||||||||||||||||||||||||||
FOR THE FISCAL YEARS ENDED DECEMBER 31, | ||||||||||||||||||||||||||||||||||||||||||||||||||||
2008 - Institutional | 12.73 | 0.02 | (5.34 | ) | (5.32 | ) | (0.01 | ) | 7.40 | (41.67 | ) | 95,218 | 0.81 | 0.20 | 0.81 | 0.20 | 44 | |||||||||||||||||||||||||||||||||||
2008 - Service | 12.73 | (0.01 | ) | (5.33 | ) | (5.34 | ) | — | 7.39 | (41.86 | ) | 167,930 | 1.06 | (0.05 | ) | 1.06 | (0.05 | ) | 44 | |||||||||||||||||||||||||||||||||
2007 - Institutional | 11.58 | 0.02 | (d) | 1.15 | 1.17 | (0.02 | ) | 12.73 | 10.13 | 172,418 | 0.86 | (e) | 0.18 | (d)(e) | 0.86 | (e) | 0.18 | (d)(e) | 53 | |||||||||||||||||||||||||||||||||
2007 - Service | 11.58 | 0.01 | (d) | 1.15 | 1.16 | (0.01 | ) | 12.73 | 10.01 | 343,100 | 0.96 | (e) | 0.08 | (d)(e) | 0.11 | (e) | (0.07 | )(d)(e) | 53 | |||||||||||||||||||||||||||||||||
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 (commenced January 9, 2006) | 11.03 | — | (f) | 0.55 | 0.55 | — | (f) | 11.58 | 5.01 | 386,526 | 0.94 | (c) | 0.03 | (c) | 1.10 | (c) | (0.13 | )(c) | 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 | ||||||||||||||||||||||||||||||||||||||
(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. Total returns for periods less than one full year are not annualized. | |
(c) | Annualized. | |
(d) | Reflects income recognized from a special dividend which amounted to $0.01 per share and 0.09% of average net assets. | |
(e) | Includes non-recurring expense for a special shareholder meeting which amounted to approximately 0.02% of average net assets. | |
(f) | Amount is less than $0.005 per share. |
10
2. SIGNIFICANT ACCOUNTING POLICIES (continued) |
Contractual Management Rate | ||||||||||||||||||||
Up to $1 billion | Next $1 billion | Next $3 billion | Next $3 billion | Over $8 billion | Effective Rate | |||||||||||||||
0.75% | 0.68 | % | 0.65 | % | 0.64 | % | 0.63 | % | 0.75 | % | ||||||||||
3. AGREEMENTS (continued) |
4. FAIR VALUE OF INVESTMENTS (continued) |
Level 1 | Level 2 | Level 3 | ||||||||||
Assets | ||||||||||||
Common Stock and/or Other Equity Investments | $ | 331,014,034 | $ | — | $ | — | ||||||
Short-term Investments | 5,092,402 | 11,613,455 | — | |||||||||
Total | $ | 336,106,436 | $ | 11,613,455 | $ | — | ||||||
Number of | ||||||||||||||||
Shares Held | Number of Shares | Value at | ||||||||||||||
Beginning of Period | Shares Bought | Shares Sold | Held End of Period | End of Period | ||||||||||||
8,767 | 72,053 | (69,172 | ) | 11,648 | $ | 11,613 | ||||||||||
Capital loss carryforward:(1) | ||||
Expiring 2009 | $ | (92,315,074 | ) | |
Expiring 2010 | (59,269,469 | ) | ||
Expiring 2011 | (1,064,803 | ) | ||
Expiring 2016 | (23,473,891 | ) | ||
Total capital loss carryforward | $ | (176,123,237 | ) | |
Timing differences (post — October losses) | $ | (6,882,991 | ) | |
Tax cost | $ | 380,198,912 | ||
Gross unrealized gain | 12,053,376 | |||
Gross unrealized loss | (44,532,397 | ) | ||
Net unrealized security loss | $ | (32,479,021 | ) | |
9. OTHER MATTERS (continued) |
For the Six Months Ended | ||||||||||||||||
June 30, 2009 | For the Fiscal Year Ended | |||||||||||||||
(Unaudited) | December 31, 2008 | |||||||||||||||
Shares | Dollars | Shares | Dollars | |||||||||||||
Institutional Shares | ||||||||||||||||
Shares sold | 635,854 | $ | 5,049,142 | 1,326,309 | $ | 14,164,973 | ||||||||||
Reinvestment of distributions | — | — | 25,195 | 178,949 | ||||||||||||
Shares redeemed | (1,403,518 | ) | (10,741,007 | ) | (2,027,851 | ) | (21,687,907 | ) | ||||||||
(767,664 | ) | (5,691,865 | ) | (676,347 | ) | (7,343,985 | ) | |||||||||
Service Shares | ||||||||||||||||
Shares sold | 660,877 | 5,284,021 | 532,320 | 4,684,805 | ||||||||||||
Reinvestment of distributions | — | — | — | — | ||||||||||||
Shares redeemed | (2,312,976 | ) | (17,587,558 | ) | (4,774,952 | ) | (51,625,215 | ) | ||||||||
(1,652,099 | ) | (12,303,537 | ) | (4,242,632 | ) | (46,940,410 | ) | |||||||||
NET DECREASE | (2,419,763 | ) | $ | (17,995,402 | ) | (4,918,979 | ) | $ | (54,284,395 | ) | ||||||
First $1 billion | 0.75 | % | ||
Next $1 billion | 0.68 | |||
Next $3 billion | 0.65 | |||
Next $3 billion | 0.64 | |||
Over $8 billion | 0.63 |
Expenses Paid | |||||||||||||||
for the | |||||||||||||||
Beginning | Ending | 6 Months | |||||||||||||
Account value | Account Value | Ended | |||||||||||||
Share Class | 1/1/09 | 6/30/09 | 6/30/09* | ||||||||||||
Institutional | |||||||||||||||
Actual | $ | 1,000 | $ | 1,216.20 | $ | 4.73 | |||||||||
Hypothetical 5% return | 1,000 | 1,020.53 | + | 4.31 | |||||||||||
Service | |||||||||||||||
Actual | 1,000 | 1,216.50 | 6.10 | ||||||||||||
Hypothetical 5% return | 1,000 | 1,019.29 | + | 5.56 | |||||||||||
* | Expenses for each share class 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, 2009. 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 1.11% 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 Ashok N. Bakhru, Chairman John P. Coblentz, Jr. Diana M. Daniels Patrick T. Harker James A. McNamara Jessica Palmer Alan A. Shuch Richard P. Strubel | OFFICERS James A. McNamara, President John M. Perlowski, Senior Vice President and Treasurer Peter V. Bonanno, Secretary | |
GOLDMAN, SACHS & CO. Distributor and Transfer Agent | ||
GOLDMAN SACHS ASSET MANAGEMENT, L.P. Investment Adviser 32 Old Slip, New York, New York 10005 | ||
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 (“SEC”) Web site at http://www.sec.gov. | ||
The Fund files its complete schedule of portfolio holdings with the SEC for the first and third quarters of each fiscal year on Form N-Q. The Fund’s Form N-Q is available on the SEC’s website at http://www.sec.gov within 60 days after the Fund’s first and third fiscal quarters. 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. Forms N-Q may be obtained upon request and without charge by calling 1-800-621-2550. | ||
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 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 Fund. | ||
Toll Free (in U.S.): 800-292-4726 | ||
This report is prepared for the general information of contract owners and is not an offer of shares of the Goldman Sachs Variable Insurance Trust: Goldman Sachs Capital Growth Fund. | ||
Copyright 2009 Goldman, Sachs & Co. All rights reserved. | ||
VITCGSAR/25773.MF.TMPL/08-09 |
Holding | % of Net Assets | Line of Business | ||||||
Invesco Ltd. | 2.4 | % | Diversified Financials | |||||
PPL Corp. | 2.4 | Utilities | ||||||
Newfield Exploration Co. | 2.2 | Energy | ||||||
Range Resources Corp. | 2.1 | Energy | ||||||
W. R. Berkley Corp. | 2.0 | Insurance | ||||||
Entergy Corp. | 2.0 | Utilities | ||||||
Republic Services, Inc. | 2.0 | Commercial & Professional Services | ||||||
Activision Blizzard, Inc. | 1.9 | Software & Services | ||||||
H&R Block, Inc. | 1.8 | Consumer Services | ||||||
DISH Network Corp. Class A | 1.7 | Media |
Shares | Description | Value | ||||
Common Stocks – 98.3% | ||||||
Automobiles & Components – 0.8% | ||||||
321,759 | Johnson Controls, Inc. | $ | 6,988,605 | |||
Banks – 3.0% | ||||||
253,200 | Fifth Third Bancorp | 1,797,720 | ||||
585,700 | KeyCorp | 3,069,068 | ||||
47,430 | M&T Bank Corp.(a) | 2,415,610 | ||||
538,742 | New York Community Bancorp, Inc.(a) | 5,759,152 | ||||
1,508,700 | Regions Financial Corp. | 6,095,148 | ||||
246,400 | SunTrust Banks, Inc. | 4,053,280 | ||||
693,200 | Synovus Financial Corp.(a) | 2,072,668 | ||||
25,262,646 | ||||||
Capital Goods – 4.3% | ||||||
62,799 | Alliant Techsystems, Inc.* | 5,172,125 | ||||
171,294 | Cooper Industries Ltd. Class A | 5,318,679 | ||||
143,000 | Cummins, Inc. | 5,035,030 | ||||
184,081 | Eaton Corp. | 8,211,853 | ||||
101,971 | Lennox International, Inc. | 3,274,289 | ||||
121,354 | Parker Hannifin Corp. | 5,213,368 | ||||
101,200 | Rockwell Automation, Inc. | 3,250,544 | ||||
35,475,888 | ||||||
Commercial & Professional Services – 3.2% | ||||||
371,221 | Iron Mountain, Inc.*(a) | 10,672,604 | ||||
665,461 | Republic Services, Inc. | 16,243,903 | ||||
26,916,507 | ||||||
Consumer Durables & Apparel – 3.4% | ||||||
172,606 | Fortune Brands, Inc. | 5,996,332 | ||||
67,900 | M.D.C. Holdings, Inc.(a) | 2,044,469 | ||||
63,800 | Mohawk Industries, Inc.* | 2,276,384 | ||||
401,600 | Newell Rubbermaid, Inc. | 4,180,656 | ||||
18,900 | NVR, Inc.* | 9,495,171 | ||||
138,800 | Snap-On, Inc. | 3,989,112 | ||||
27,982,124 | ||||||
Consumer Services – 2.6% | ||||||
885,160 | H&R Block, Inc. | 15,251,307 | ||||
294,300 | Starwood Hotels & Resorts Worldwide, Inc. | 6,533,460 | ||||
21,784,767 | ||||||
Diversified Financials – 5.9% | ||||||
407,400 | Discover Financial Services | 4,183,998 | ||||
1,139,500 | Invesco Ltd. | 20,305,890 | ||||
660,200 | Janus Capital Group, Inc. | 7,526,280 | ||||
88,226 | Lazard Ltd. Class A | 2,375,044 | ||||
61,477 | Northern Trust Corp. | 3,300,085 | ||||
64,500 | Raymond James Financial, Inc. | 1,110,045 | ||||
611,230 | SLM Corp.*(a) | 6,277,332 | ||||
195,100 | The NASDAQ OMX Group, Inc.* | 4,157,581 | ||||
49,236,255 | ||||||
Energy – 10.4% | ||||||
209,900 | Dril-Quip, Inc.* | 7,997,190 | ||||
567,228 | Newfield Exploration Co.* | 18,531,339 | ||||
217,000 | Noble Energy, Inc. | 12,796,490 | ||||
212,000 | Pride International, Inc.* | 5,312,720 | ||||
420,611 | Range Resources Corp.(a) | 17,417,502 | ||||
331,170 | Smith International, Inc. | 8,527,627 | ||||
397,500 | Weatherford International Ltd.* | 7,775,100 | ||||
238,700 | Whiting Petroleum Corp.*(a) | 8,392,692 | ||||
86,750,660 | ||||||
Food & Staples Retailing – 0.5% | ||||||
200,100 | Safeway, Inc. | 4,076,037 | ||||
Food, Beverage & Tobacco – 3.0% | ||||||
78,778 | Campbell Soup Co. | 2,317,649 | ||||
212,882 | Coca-Cola Enterprises, Inc. | 3,544,485 | ||||
341,482 | ConAgra Foods, Inc. | 6,508,647 | ||||
114,800 | H. J. Heinz Co. | 4,098,360 | ||||
80,300 | Molson Coors Brewing Co. Class B | 3,399,099 | ||||
102,200 | The J. M. Smucker Co. | 4,973,052 | ||||
24,841,292 | ||||||
Health Care Equipment & Services – 4.9% | ||||||
67,700 | Becton, Dickinson and Co. | 4,827,687 | ||||
54,700 | C. R. Bard, Inc. | 4,072,415 | ||||
138,270 | Edwards Lifesciences Corp.* | 9,406,508 | ||||
290,500 | Kinetic Concepts, Inc.*(a) | 7,916,125 | ||||
50,546 | Laboratory Corp. of America Holdings* | 3,426,513 | ||||
224,200 | WellPoint, Inc.* | 11,409,538 | ||||
41,058,786 | ||||||
Household & Personal Products – 1.6% | ||||||
31,505 | Alberto-Culver Co. | 801,172 | ||||
40,000 | Energizer Holdings, Inc.* | 2,089,600 | ||||
189,639 | The Clorox Co.(a) | 10,587,546 | ||||
13,478,318 | ||||||
Insurance – 12.4% | ||||||
154,594 | Arch Capital Group Ltd.* | 9,056,116 | ||||
162,089 | Everest Re Group Ltd. | 11,600,710 | ||||
242,500 | Hartford Financial Services Group, Inc. | 2,878,475 | ||||
372,100 | Lincoln National Corp. | 6,403,841 | ||||
559,600 | Marsh & McLennan Companies, Inc. | 11,264,748 | ||||
72,611 | PartnerRe Ltd. | 4,716,084 | ||||
323,300 | Principal Financial Group, Inc. | 6,090,972 | ||||
765,100 | The Progressive Corp.* | 11,560,661 | ||||
106,005 | Torchmark Corp. | 3,926,425 | ||||
401,903 | Unum Group | 6,374,182 | ||||
789,899 | W. R. Berkley Corp. | 16,959,132 | ||||
350,852 | Willis Group Holdings Ltd. | 9,027,422 | ||||
314,000 | XL Capital Ltd. Class A | 3,598,440 | ||||
103,457,208 | ||||||
Shares | Description | Value | ||||
Common Stocks – (continued) | ||||||
Materials – 6.2% | ||||||
202,800 | Airgas, Inc. | $ | 8,219,484 | |||
276,300 | Celanese Corp. Class A | 6,562,125 | ||||
321,500 | Intrepid Potash, Inc.*(a) | 9,027,720 | ||||
594,196 | Steel Dynamics, Inc. | 8,752,507 | ||||
186,100 | Terra Industries, Inc. | 4,507,342 | ||||
187,600 | Vulcan Materials Co.(a) | 8,085,560 | ||||
168,600 | Walter Energy, Inc. | 6,110,064 | ||||
51,264,802 | ||||||
Media – 2.9% | ||||||
868,200 | DISH Network Corp. Class A* | 14,073,522 | ||||
429,400 | Viacom, Inc. Class B* | 9,747,380 | ||||
23,820,902 | ||||||
Pharmaceuticals, Biotechnology & Life Sciences – 0.5% | ||||||
85,400 | Biogen Idec, Inc.* | 3,855,810 | ||||
Real Estate Investment Trust – 4.4% | ||||||
172,118 | Alexandria Real Estate Equities, Inc.(a) | 6,160,103 | ||||
178,602 | Boston Properties, Inc. | 8,519,315 | ||||
541,600 | Douglas Emmett, Inc. | 4,868,984 | ||||
65,000 | Essex Property Trust, Inc.(a) | 4,044,950 | ||||
82,800 | Federal Realty Investment Trust(a) | 4,265,856 | ||||
123,606 | Health Care REIT, Inc.(a) | 4,214,965 | ||||
569,996 | Host Hotels & Resorts, Inc. | 4,782,267 | ||||
36,856,440 | ||||||
Retailing – 4.8% | ||||||
19,734 | AutoZone, Inc.* | 2,982,005 | ||||
301,601 | J.C. Penney Co., Inc. | 8,658,964 | ||||
149,900 | Kohl’s Corp.* | 6,408,225 | ||||
179,683 | Ross Stores, Inc. | 6,935,764 | ||||
359,400 | The TJX Companies, Inc. | 11,306,724 | ||||
170,800 | Urban Outfitters, Inc.* | 3,564,596 | ||||
39,856,278 | ||||||
Semiconductors & Semiconductor Equipment – 1.2% | ||||||
132,300 | KLA-Tencor Corp.(a) | 3,340,575 | ||||
139,600 | Linear Technology Corp. | 3,259,660 | ||||
439,400 | Teradyne, Inc.* | 3,014,284 | ||||
9,614,519 | ||||||
Software & Services – 4.5% | ||||||
1,283,691 | Activision Blizzard, Inc.* | 16,213,017 | ||||
90,600 | Affiliated Computer Services, Inc. Class A* | 4,024,452 | ||||
194,197 | CA, Inc. | 3,384,854 | ||||
125,700 | Hewitt Associates, Inc. Class A* | 3,743,346 | ||||
310,000 | IAC/InterActiveCorp* | 4,975,500 | ||||
408,200 | Parametric Technology Corp.* | 4,771,858 | ||||
37,113,027 | ||||||
Technology Hardware & Equipment – 2.4% | ||||||
347,469 | Amphenol Corp. Class A | 10,993,919 | ||||
327,800 | CommScope, Inc.* | 8,608,028 | ||||
19,601,947 | ||||||
Telecommunication Services – 2.0% | ||||||
165,882 | Embarq Corp. | 6,976,997 | ||||
1,995,100 | Sprint Nextel Corp.* | 9,596,431 | ||||
16,573,428 | ||||||
Transportation – 0.9% | ||||||
108,639 | Landstar System, Inc. | 3,901,227 | ||||
103,400 | Norfolk Southern Corp. | 3,895,078 | ||||
7,796,305 | ||||||
Utilities – 12.5% | ||||||
458,790 | American Electric Power Co., Inc. | 13,254,443 | ||||
447,895 | CMS Energy Corp.(a) | 5,410,572 | ||||
434,699 | DPL, Inc. | 10,071,976 | ||||
419,433 | Edison International | 13,195,362 | ||||
214,671 | Entergy Corp. | 16,641,296 | ||||
224,955 | EQT Corp. | 7,853,179 | ||||
189,862 | FirstEnergy Corp. | 7,357,152 | ||||
217,200 | NV Energy, Inc. | 2,343,588 | ||||
73,904 | PG&E Corp. | 2,840,870 | ||||
615,401 | PPL Corp. | 20,283,617 | ||||
54,722 | Sempra Energy | 2,715,853 | ||||
132,600 | Xcel Energy, Inc. | 2,441,166 | ||||
104,409,074 | ||||||
TOTAL COMMON STOCKS | ||||||
(Cost $892,656,994) | $ | 818,071,625 | ||||
Shares | Rate | Value | ||||
Investment Company(b) – 0.7% | ||||||
JPMorgan U.S. Government Money Market Fund — Capital Shares | ||||||
6,179,631 | 0.236% | $ | 6,179,631 | |||
(Cost $6,179,631) | ||||||
TOTAL INVESTMENTS BEFORE SECURITIES LENDING REINVESTMENT VEHICLE | ||||||
(Cost $898,836,625) | $ | 824,251,256 | ||||
Shares | Rate | Value | ||||
Securities Lending Reinvestment Vehicle(b)(c) – 7.3% | ||||||
Boston Global Investment Trust — Enhanced Portfolio | ||||||
61,261,575 | 0.267% | $ | 61,077,790 | |||
(Cost $60,845,006) | ||||||
TOTAL INVESTMENTS – 106.3% | ||||||
(Cost $959,681,631) | $ | 885,329,046 | ||||
LIABILITIES IN EXCESS OF OTHER ASSETS – (6.3)% | (52,575,151 | ) | ||||
NET ASSETS — 100.0% | $ | 832,753,895 | ||||
* | Non-income producing security. | |
(a) | All or a portion of security is on loan. | |
(b) | Variable rate security. Interest rate disclosed is that which is in effect at June 30, 2009. | |
(c) | Represents an affiliated issuer. |
Assets: | ||||
Investments in securities of unaffiliated issuers, at value (identified cost $898,836,625)(a) | $ | 824,251,256 | ||
Investments in affiliated securities lending reinvestment vehicle, at value (identified cost $60,845,006) | 61,077,790 | |||
Receivables: | ||||
Investment securities sold | 31,105,887 | |||
Dividends and interest | 1,475,104 | |||
Fund shares sold | 645,224 | |||
Securities lending income | 25,121 | |||
Other assets | 3,441 | |||
Total assets | 918,583,823 | |||
Liabilities: | ||||
Payables: | ||||
Payable upon return of securities loaned | 61,468,922 | |||
Investment securities purchased | 22,934,447 | |||
Fund shares redeemed | 679,605 | |||
Amounts owed to affiliates | 590,651 | |||
Accrued expenses | 156,303 | |||
Total liabilities | 85,829,928 | |||
Net Assets: | ||||
Paid-in capital | 1,283,377,828 | |||
Accumulated undistributed net investment income | 11,135,720 | |||
Accumulated net realized loss from investment transactions | (387,407,068 | ) | ||
Net unrealized loss on investments | (74,352,585 | ) | ||
NET ASSETS | $ | 832,753,895 | ||
Net Assets: | ||||
Institutional | $ | 726,755,733 | ||
Service | 105,998,162 | |||
Total Net Assets | $ | 832,753,895 | ||
Shares of beneficial interest outstanding $0.001 par value (unlimited shares authorized): | ||||
Institutional | 79,867,915 | |||
Service | 11,638,093 | |||
Net asset value, offering and redemption price per share: | ||||
Institutional | $ | 9.10 | ||
Service | 9.11 | |||
(a) | Includes loaned securities having a market value of $59,513,804. |
Investment income: | ||||
Dividends | $ | 9,045,291 | ||
Securities lending income — affiliated issuer | 241,776 | |||
Total investment income | 9,287,067 | |||
Expenses: | ||||
Management fees | 3,157,139 | |||
Distribution and Service fees — Service Shares | 126,066 | |||
Transfer Agent fees(a) | 78,922 | |||
Printing fees | 65,354 | |||
Professional fees | 46,183 | |||
Custody and accounting fees | 27,846 | |||
Trustee fees | 8,460 | |||
Other | 32,264 | |||
Total expenses | 3,542,234 | |||
Less — expense reductions | (5,918 | ) | ||
Net expenses | 3,536,316 | |||
NET INVESTMENT INCOME | 5,750,751 | |||
Realized and unrealized gain (loss) from investment transactions: | ||||
Net realized gain (loss) from: | ||||
Investment transactions — unaffiliated issuers (including commissions recaptured of $130,090) | (164,428,706 | ) | ||
Securities lending reinvestment vehicle transactions — affiliated issuer | 534,464 | |||
Net change in unrealized gain on: | ||||
Investments — unaffiliated issuers | 193,209,676 | |||
Securities lending reinvestment vehicle — affiliated issuer | 75,227 | |||
Net realized and unrealized gain from investment transactions | 29,390,661 | |||
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS | $ | 35,141,412 | ||
(a) | Institutional and Service Shares had Transfer Agent fees of $68,837 and $10,085, respectively. |
For the | ||||||||
Six Months Ended | For the Fiscal | |||||||
June 30, 2009 | Year Ended | |||||||
(Unaudited) | December 31, 2008 | |||||||
From operations: | ||||||||
Net investment income | $ | 5,750,751 | $ | 15,229,693 | ||||
Net realized loss from investment transactions | (163,894,242 | ) | (194,282,032 | ) | ||||
Payments by affiliate relating to certain investment transactions | — | 143,867 | ||||||
Net change in unrealized gain (loss) on investments | 193,284,903 | (370,227,817 | ) | |||||
Net increase (decrease) in net assets resulting from operations | 35,141,412 | (549,136,289 | ) | |||||
Distributions to shareholders: | ||||||||
From net investment income | ||||||||
Institutional Shares | — | (11,191,862 | ) | |||||
Service Shares | — | (1,243,513 | ) | |||||
From net realized gains | ||||||||
Institutional Shares | — | (2,004,006 | ) | |||||
Service Shares | — | (300,378 | ) | |||||
Total distributions to shareholders | — | (14,739,759 | ) | |||||
From share transactions: | ||||||||
Proceeds from sales of shares | 21,563,969 | 67,763,165 | ||||||
Reinvestments of distributions | — | 14,739,759 | ||||||
Cost of shares redeemed | (84,069,854 | ) | (442,712,207 | ) | ||||
Net decrease in net assets resulting from share transactions | (62,505,885 | ) | (360,209,283 | ) | ||||
TOTAL DECREASE | (27,364,473 | ) | (924,085,331 | ) | ||||
Net assets: | ||||||||
Beginning of period | 860,118,368 | 1,784,203,699 | ||||||
End of period | $ | 832,753,895 | $ | 860,118,368 | ||||
Accumulated undistributed net investment income | $ | 11,135,720 | $ | 5,384,969 | ||||
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 | ||||||||||||||||||||||||||||||||||||||||||||||||
Years - Share Class | 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) | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
2009 - Institutional | $ | 8.66 | $ | 0.06 | $ | 0.38 | $ | 0.44 | $ | — | $ | — | $ | — | $ | 9.10 | 5.08 | % | $ | 726,756 | 0.86 | %(c) | 1.49 | %(c) | 0.86 | %(c) | 1.49 | %(c) | 55 | % | ||||||||||||||||||||||||||||||||
2009 - Service | 8.68 | 0.05 | 0.38 | 0.43 | — | — | — | 9.11 | 4.95 | 105,998 | 1.11 | (c) | 1.24 | (c) | 1.11 | (c) | 1.24 | (c) | 55 | |||||||||||||||||||||||||||||||||||||||||||
FOR THE FISCAL YEARS ENDED DECEMBER 31, | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
2008 - Institutional | 14.02 | 0.14 | (d) | (5.34 | ) | (5.20 | ) | (0.14 | ) | (0.02 | ) | (0.16 | ) | 8.66 | (36.97 | ) | 748,682 | 0.84 | 1.16 | (d) | 0.84 | 1.16 | (d) | 93 | ||||||||||||||||||||||||||||||||||||||
2008 - Service | 14.03 | 0.11 | (d) | (5.34 | ) | (5.23 | ) | (0.10 | ) | (0.02 | ) | (0.12 | ) | 8.68 | (37.13 | ) | 111,437 | 1.09 | 0.91 | (d) | 1.09 | 0.91 | (d) | 93 | ||||||||||||||||||||||||||||||||||||||
2007 - Institutional | 16.09 | 0.14 | (e) | 0.39 | 0.53 | (0.13 | ) | (2.47 | ) | (2.60 | ) | 14.02 | 3.20 | 1,559,013 | 0.87 | (f) | 0.85 | (e)(f) | 0.87 | (f) | 0.85 | (e)(f) | 84 | |||||||||||||||||||||||||||||||||||||||
2007 - Service | 16.09 | 0.12 | (e) | 0.40 | 0.52 | (0.11 | ) | (2.47 | ) | (2.58 | ) | 14.03 | 3.16 | 225,190 | 0.97 | (f) | 0.75 | (e)(f) | 1.12 | (f) | 0.60 | (e)(f) | 84 | |||||||||||||||||||||||||||||||||||||||
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 (commenced January 9, 2006) | 15.96 | 0.12 | 1.95 | 2.07 | (0.14 | ) | (1.80 | ) | 1.94 | 16.09 | 12.91 | 273,903 | 0.96 | (c) | 0.72 | (c) | 1.12 | (c) | 0.56 | (c) | 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 | ||||||||||||||||||||||||||||||||||||||||||||
(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. Total returns for periods less than one full year are not annualized. | |
(c) | Annualized. | |
(d) | Reflects income recognized from a special dividend which amounted to $0.01 per share and 0.11% of average net assets. | |
(e) | Reflects income recognized from a special dividend which amounted to $0.01 per share and 0.06% of average net assets. | |
(f) | Includes non-recurring expense for a special shareholder meeting which amounted to approximately 0.02% of average net assets. |
10
2. SIGNIFICANT ACCOUNTING POLICIES (continued) |
Contractual Management Rate | ||||||||||||||||
First $2 billion | Next $3 billion | Next $3 billion | Over $8 billion | Effective Rate | ||||||||||||
0.80% | 0.72 | % | 0.68 | % | 0.67 | % | 0.80 | % | ||||||||
3. AGREEMENTS (continued) |
4. FAIR VALUE OF INVESTMENTS (continued) |
Level 1 | Level 2 | Level 3 | ||||||||||
Assets | ||||||||||||
Common Stock and/or Other Equity Investments | $ | 818,071,625 | $ | — | $ | — | ||||||
Short-term Investments | 6,179,631 | 61,077,790 | — | |||||||||
Total | $ | 824,251,256 | $ | 61,077,790 | $ | — | ||||||
Number of | ||||||||||||||||
Shares Held | Number of Shares | Value at | ||||||||||||||
Beginning of Period | Shares Bought | Shares Sold | Held End of Period | End of Period | ||||||||||||
69,764 | 264,094 | (272,596 | ) | 61,262 | $ | 61,078 | ||||||||||
Capital loss carryforward:(1) | ||||
Expiring 2016 | $ | (145,355,619 | ) | |
Timing differences (post — October losses) | $ | (63,707,065 | ) | |
Tax cost | $ | 973,792,736 | ||
Gross unrealized gain | 44,378,280 | |||
Gross unrealized loss | (132,841,970 | ) | ||
Net unrealized security loss | $ | (88,463,690 | ) | |
For the Six Months Ended | ||||||||||||||||
June 30, 2009 | For the Fiscal Year Ended | |||||||||||||||
(Unaudited) | December 31, 2008 | |||||||||||||||
Shares | Dollars | Shares | Dollars | |||||||||||||
Institutional Shares | ||||||||||||||||
Shares sold | 2,400,979 | $ | 19,986,867 | 6,105,718 | $ | 65,852,855 | ||||||||||
Reinvestment of distributions | — | — | 1,623,108 | 13,195,869 | ||||||||||||
Shares redeemed | (8,951,218 | ) | (72,872,365 | ) | (32,499,851 | ) | (399,001,871 | ) | ||||||||
(6,550,239 | ) | (52,885,498 | ) | (24,771,025 | ) | (319,953,147 | ) | |||||||||
Service Shares | ||||||||||||||||
Shares sold | 182,246 | 1,577,102 | 179,463 | 1,910,310 | ||||||||||||
Reinvestment of distributions | — | — | 189,434 | 1,543,890 | ||||||||||||
Shares redeemed | (1,378,778 | ) | (11,197,489 | ) | (3,588,997 | ) | (43,710,336 | ) | ||||||||
(1,196,532 | ) | (9,620,387 | ) | (3,220,100 | ) | (40,256,136 | ) | |||||||||
NET DECREASE | (7,746,771 | ) | $ | (62,505,885 | ) | (27,991,125 | ) | $ | (360,209,283 | ) | ||||||
First $2 billion | 0.80 | % | ||
Next $3 billion | 0.72 | |||
Next $3 billion | 0.68 | |||
Over $8 billion | 0.67 |
Expenses Paid | |||||||||||||||
for the | |||||||||||||||
Beginning | Ending | 6 Months | |||||||||||||
Account Value | Account Value | Ended | |||||||||||||
Share Class | 1/1/09 | 6/30/09 | 6/30/09* | ||||||||||||
Institutional Actual | $ | 1,000 | $ | 1,050.80 | $ | 4.37 | |||||||||
Hypothetical 5% return | 1,000 | 1,020.53 | + | 4.31 | |||||||||||
Service Actual | 1,000 | 1,049.50 | 5.64 | ||||||||||||
Hypothetical 5% return | 1,000 | 1,019.29 | + | 5.56 | |||||||||||
* | Expenses for each share class 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, 2009. 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 1.11% 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 Ashok N. Bakhru, Chairman John P. Coblentz, Jr. Diana M. Daniels Patrick T. Harker James A. McNamara Jessica Palmer Alan A. Shuch Richard P. Strubel | OFFICERS James A. McNamara, President John M. Perlowski, Senior Vice President and Treasurer Peter V. Bonanno, Secretary | |
GOLDMAN, SACHS & CO. Distributor and Transfer Agent | ||
GOLDMAN SACHS ASSET MANAGEMENT, L.P. Investment Adviser 32 Old Slip, New York, New York 10005 | ||
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 (“SEC”) Web site at http://www.sec.gov. | ||
The Fund files its complete schedule of portfolio holdings with the SEC for the first and third quarters of each fiscal year on Form N-Q. The Fund’s Form N-Q is available on the SEC’s website at http://www.sec.gov within 60 days after the Fund’s first and third fiscal quarters. 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. Forms N-Q may be obtained upon request and without charge by calling 1-800-621-2550. | ||
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 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. | ||
Toll Free (in U.S.): 800-292-4726 | ||
This report is prepared for the general information of contract owners and is not an offer of shares of the Goldman Sachs Variable Insurance Trust: Mid Cap Value Fund. | ||
Copyright 2009 Goldman, Sachs & Co. All rights reserved. | ||
VITMIDCAPSAR/25773.MF.TMPL/08-09 |
Strategic International Equity Fund
Holding | % of Net Assets | Line of Business | Country | |||||||
BP PLC | 2.9 | % | Energy | United Kingdom | ||||||
Roche Holding AG | 2.4 | Pharmaceuticals, Biotechnology & Life Sciences | Switzerland | |||||||
Nestle SA (Registered) | 2.4 | Food, Beverage & Tobacco | Switzerland | |||||||
HSBC Holdings PLC | 2.4 | Banks | United Kingdom | |||||||
Tesco PLC | 2.0 | Food & Staples Retailing | United Kingdom | |||||||
Total SA | 2.0 | Energy | France | |||||||
Telefonica SA | 1.7 | Telecommunication Services | Spain | |||||||
Vivendi | 1.7 | Media | France | |||||||
Banco Santander SA | 1.6 | Banks | Spain | |||||||
Air Liquide SA | 1.5 | Materials | France |
Shares | Description | Value | ||||
Common Stocks – 91.1% | ||||||
Austria – 0.2% | ||||||
8,246 | Verbund – Oesterreichische Elektrizitaetswirtschafts AG Class A (Utilities) | $ | 420,666 | |||
Bermuda – 0.3% | ||||||
131,876 | Hiscox Ltd. (Insurance) | 628,269 | ||||
Cyprus – 0.4% | ||||||
162,492 | ProSafe SE (Energy) | 818,287 | ||||
Denmark – 1.2% | ||||||
46,577 | Novo Nordisk A/S Class B (Pharmaceuticals, Biotechnology & Life Sciences) | 2,536,828 | ||||
Finland – 0.7% | ||||||
78,494 | Nokian Renkaat Oyj (Automobiles & Components) | 1,477,068 | ||||
France – 9.2% | ||||||
33,168 | Air Liquide SA (Materials) | 3,043,347 | ||||
20,291 | Alstom SA (Capital Goods)(a) | 1,204,806 | ||||
117,021 | AXA SA (Insurance) | 2,214,841 | ||||
26,735 | Eutelsat Communications (Media) | 691,985 | ||||
12,662 | Ipsen SA (Pharmaceuticals, Biotechnology & Life Sciences) | 554,754 | ||||
36,129 | SCOR SE (Insurance) | 742,318 | ||||
29,498 | Societe Generale (Banks) | 1,619,159 | ||||
27,330 | Sodexo (Consumer Services) | 1,407,158 | ||||
75,216 | Total SA (Energy) | 4,076,737 | ||||
142,909 | Vivendi (Media)(b) | 3,430,357 | ||||
18,985,462 | ||||||
Germany – 4.1% | ||||||
78,686 | E.ON AG (Utilities) | 2,793,176 | ||||
14,153 | Muenchener Rueckversicherungs-Gesellschaft AG (Registered) (Insurance) | 1,912,138 | ||||
18,174 | Salzgitter AG (Materials) | 1,601,861 | ||||
55,232 | SAP AG (Software & Services) | 2,226,853 | ||||
8,534,028 | ||||||
Hong Kong – 2.9% | ||||||
769,000 | BOC Hong Kong (Holdings) Ltd. (Banks) | 1,337,990 | ||||
65,800 | Hang Seng Bank Ltd. (Banks) | 920,947 | ||||
231,000 | Hutchison Whampoa Ltd. (Capital Goods) | 1,502,688 | ||||
169,000 | Sun Hung Kai Properties Ltd. (Real Estate) | 2,098,609 | ||||
5,860,234 | ||||||
Ireland – 0.8% | ||||||
75,477 | CRH PLC (Materials) | 1,734,772 | ||||
Italy – 6.6% | ||||||
117,157 | Azimut Holding SpA (Diversified Financials) | 1,113,206 | ||||
145,610 | Banca Popolare Di Milano Scarl (Banks) | 868,861 | ||||
126,671 | Eni SpA (Energy) | 3,004,256 | ||||
488,648 | Intesa Sanpaolo SpA (Banks)* | 1,579,070 | ||||
146,765 | Mediobanca SpA (Diversified Financials) | 1,748,902 | ||||
609,730 | Snam Rete Gas SpA (Utilities) | 2,678,397 | ||||
495,424 | Terna Rete Elettrica Nazionale SpA (Utilities)(a) | 1,652,285 | ||||
76,901 | Unione di Banche Italiane ScpA (Banks) | 1,002,112 | ||||
13,647,089 | ||||||
Japan – 22.8% | ||||||
37,500 | ABC-Mart, Inc. (Retailing) | 962,669 | ||||
48,600 | Daiichi Sankyo Co. Ltd. (Pharmaceuticals, Biotechnology & Life Sciences) | 867,483 | ||||
32,000 | East Japan Railway Co. (Transportation) | 1,926,588 | ||||
61,700 | FUJIFILM Holdings Corp. (Technology Hardware & Equipment) | 1,963,590 | ||||
303,000 | Fujitsu Ltd. (Technology Hardware & Equipment) | 1,645,967 | ||||
29,700 | Funai Electric Co. Ltd. (Consumer Durables & Apparel) | 1,225,455 | ||||
57,000 | Hitachi Metals Ltd. (Materials) | 485,178 | ||||
40,700 | Honda Motor Co. Ltd. (Automobiles & Components) | 1,119,691 | ||||
321 | Japan Tobacco, Inc. (Food, Beverage & Tobacco) | 1,003,392 | ||||
417 | KDDI Corp. (Telecommunication Services) | 2,212,621 | ||||
45,000 | Koito Manufacturing Co. Ltd. (Automobiles & Components) | 544,644 | ||||
123,200 | Komatsu Ltd. (Capital Goods) | 1,902,153 | ||||
123,000 | Kuraray Co. Ltd. (Materials) | 1,363,548 | ||||
19,800 | Kyocera Corp. (Technology Hardware & Equipment) | 1,486,467 | ||||
20,900 | Mabuchi Motor Co. Ltd. (Technology Hardware & Equipment) | 1,008,307 | ||||
55,000 | McDonald’s Holdings Co. (Japan) Ltd. (Consumer Services) | 1,021,304 | ||||
67,000 | Mitsubishi Corp. (Capital Goods) | 1,236,365 | ||||
156,000 | Mitsubishi Tanabe Pharma Corp. (Pharmaceuticals, Biotechnology & Life Sciences) | 1,792,228 | ||||
425,800 | Mitsubishi UFJ Financial Group, Inc. (Banks) | 2,629,228 | ||||
137,800 | Mitsui & Co. Ltd. (Capital Goods) | 1,632,886 | ||||
92,000 | Mitsui Fudosan Co. Ltd. (Real Estate) | 1,595,663 | ||||
75,000 | Nippon Electric Glass Co. Ltd. (Technology Hardware & Equipment) | 838,460 | ||||
257,000 | Nippon Sheet Glass Co. Ltd. (Capital Goods) | 748,866 | ||||
Shares | Description | Value | ||||
Common Stocks – (continued) | ||||||
Japan – (continued) | ||||||
161,000 | Nippon Yusen Kabushiki Kaisha (Transportation) | $ | 693,296 | |||
19,700 | Nissha Printing Co. Ltd. (Commercial & Professional Services) | 943,668 | ||||
108,300 | Nomura Holdings, Inc. (Diversified Financials) | 914,144 | ||||
8,930 | ORIX Corp. (Diversified Financials) | 531,515 | ||||
75,500 | Panasonic Corp. (Consumer Durables & Apparel) | 1,017,180 | ||||
34,200 | Seven & I Holdings Co. Ltd. (Food & Staples Retailing) | 802,079 | ||||
13,100 | Shin-Etsu Chemical Co. Ltd. (Materials) | 607,564 | ||||
58,100 | Showa Shell Sekiyu K.K. (Energy) | 614,770 | ||||
235 | Sony Financial Holdings, Inc. (Insurance) | 647,934 | ||||
407,000 | Sumitomo Metal Industries Ltd. (Materials) | 1,081,919 | ||||
91,000 | Sumitomo Metal Mining Co. Ltd. (Materials) | 1,278,355 | ||||
31,100 | Sumitomo Mitsui Financial Group, Inc. (Banks) | 1,258,471 | ||||
188,000 | The Chiba Bank Ltd. (Banks) | 1,226,954 | ||||
113,000 | Toppan Printing Co. Ltd. (Commercial & Professional Services) | 1,138,480 | ||||
214,000 | Toshiba Corp. (Technology Hardware & Equipment) | 775,310 | ||||
59,800 | Toyota Motor Corp. (Automobiles & Components) | 2,261,479 | ||||
47,005,871 | ||||||
Jersey – 0.4% | ||||||
11,784 | Randgold Resources Ltd. (Materials) | 759,420 | ||||
Luxembourg – 0.4% | ||||||
40,559 | SES SA FDR (Media) | 775,566 | ||||
Netherlands – 1.4% | ||||||
211,215 | Koninklijke KPN NV (Telecommunication Services) | 2,914,277 | ||||
Norway – 0.3% | ||||||
113,069 | Petroleum Geo-Services ASA (Energy)* | 705,066 | ||||
Singapore – 1.2% | ||||||
527,000 | Singapore Press Holdings Ltd. (Media) | 1,146,795 | ||||
124,000 | United Overseas Bank Ltd. (Banks) | 1,251,258 | ||||
2,398,053 | ||||||
Spain – 4.5% | ||||||
264,351 | Banco Santander SA (Banks) | 3,195,507 | ||||
73,797 | Grifols SA (Pharmaceuticals, Biotechnology & Life Sciences) | 1,309,068 | ||||
27,853 | Inditex SA (Retailing) | 1,340,478 | ||||
152,550 | Telefonica SA (Telecommunication Services) | 3,464,339 | ||||
9,309,392 | ||||||
Sweden – 1.4% | ||||||
98,000 | Atlas Copco AB Class B (Capital Goods) | 890,310 | ||||
240,208 | Nordea Bank AB (Banks) | 1,909,023 | ||||
2,799,333 | ||||||
Switzerland – 11.8% | ||||||
41,881 | Credit Suisse Group AG (Registered) (Diversified Financials) | 1,918,820 | ||||
4,787 | Geberit AG (Registered) (Capital Goods) | 589,804 | ||||
16,457 | Kuehne + Nagel International AG (Registered) (Transportation) | 1,292,708 | ||||
509 | Lindt & Spruengli AG (Food, Beverage & Tobacco) | 951,401 | ||||
131,740 | Nestle SA (Registered) (Food, Beverage & Tobacco) | 4,974,298 | ||||
27,044 | Novartis AG (Registered) (Pharmaceuticals, Biotechnology & Life Sciences) | 1,100,886 | ||||
36,812 | Roche Holding AG (Pharmaceuticals, Biotechnology & Life Sciences) | 5,015,717 | ||||
6,639 | Straumann Holding AG (Registered) (Health Care Equipment & Services)(a) | 1,211,456 | ||||
8,055 | Syngenta AG (Registered) (Materials) | 1,874,124 | ||||
23,981 | Synthes, Inc. (Health Care Equipment & Services) | 2,318,841 | ||||
169,367 | UBS AG (Registered) (Diversified Financials)* | 2,079,558 | ||||
85,123 | Xstrata PLC (Materials) | 925,140 | ||||
24,252,753 | ||||||
United Kingdom – 20.5% | ||||||
387,745 | Aegis Group PLC (Media) | 589,732 | ||||
177,610 | Amlin PLC (Insurance) | 885,452 | ||||
43,582 | Autonomy Corp. PLC (Software & Services)* | 1,032,664 | ||||
63,079 | Berkeley Group Holdings PLC (Residential)* | 836,215 | ||||
152,081 | BG Group PLC (Energy) | 2,560,999 | ||||
24,698 | BHP Billiton PLC (Materials) | 556,660 | ||||
747,300 | BP PLC (Energy) | 5,905,031 | ||||
245,309 | Capita Group PLC (Commercial & Professional Services) | 2,892,386 | ||||
19,466 | Close Brothers Group PLC (Diversified Financials) | 210,782 | ||||
1,004,136 | Friends Provident Group PLC (Insurance) | 1,085,867 | ||||
Shares | Description | Value | ||||
Common Stocks – (continued) | ||||||
United Kingdom – (continued) | ||||||
583,231 | HSBC Holdings PLC (Banks) | $ | 4,859,004 | |||
90,572 | Imperial Tobacco Group PLC (Food, Beverage & Tobacco) | 2,357,369 | ||||
111,588 | Inmarsat PLC (Telecommunication Services) | 1,003,702 | ||||
122,418 | Land Securities Group PLC (REIT) | 951,990 | ||||
64,278 | Rio Tinto PLC (Materials) | 2,226,041 | ||||
154,706 | Schroders PLC (Diversified Financials) | 2,093,316 | ||||
162,572 | Serco Group PLC (Commercial & Professional Services) | 1,131,323 | ||||
160,759 | Shire PLC (Pharmaceuticals, Biotechnology & Life Sciences) | 2,218,770 | ||||
89,570 | Smiths Group PLC (Capital Goods) | 1,036,397 | ||||
26,514 | Soco International PLC (Energy)* | 499,266 | ||||
416,077 | Standard Life PLC (Insurance) | 1,277,975 | ||||
722,947 | Tesco PLC (Food & Staples Retailing) | 4,221,908 | ||||
258,614 | WPP PLC (Media) | 1,719,784 | ||||
42,152,633 | ||||||
TOTAL COMMON STOCKS | ||||||
(Cost $183,781,092) | $ | 187,715,067 | ||||
Exchange Traded Fund – 5.4% | ||||||
Australia – 5.4% | ||||||
657,392 | iShares MSCI Australia Index Fund(a) | $ | 11,044,185 | |||
(Cost $7,696,460) | ||||||
Expiration | ||||||||
Units | Description | Month | Value | |||||
Right* – 0.2% | ||||||||
United Kingdom – 0.2% | ||||||||
27,792 | Rio Tinto PLC (Materials) | 07/09 | $319,149 | |||||
(Cost $301,586) | ||||||||
Shares | Rate | Value | ||||
Investment Company(c) – 2.3% | ||||||
JPMorgan U.S. Government Money Market Fund – Capital Shares | ||||||
4,780,499 | 0.236% | $ | 4,780,499 | |||
(Cost $4,780,499) | ||||||
TOTAL INVESTMENTS BEFORE SECURITIES LENDING REINVESTMENT VEHICLE | ||||||
(Cost $196,559,637) | $ | 203,858,900 | ||||
Securities Lending Reinvestment Vehicle(c)(d) – 7.3% | ||||||
Boston Global Investment Trust – Enhanced Portfolio | ||||||
15,091,800 | 0.267% | $ | 15,046,525 | |||
(Cost $15,024,461) | ||||||
TOTAL INVESTMENTS – 106.3% | ||||||
(Cost $211,584,098) | $ | 218,905,425 | ||||
LIABILITIES IN EXCESS OF OTHER ASSETS – (6.3)% | (12,891,767 | ) | ||||
NET ASSETS – 100.0% | $ | 206,013,658 | ||||
* | Non-income producing security. | |
(a) | All or a portion of security is on loan. | |
(b) | All or a portion of security is segregated as collateral for initial margin requirements on futures transactions. | |
(c) | Variable rate security. Interest rate disclosed is that which is in effect at June 30, 2009. | |
(d) | Represents an affiliated issuer. |
Investment Abbreviations: | ||||
REIT | — | Real Estate Investment Trust | ||
FDR | — | Fiduciary Depositary Receipt | ||
Number of | ||||||||||||||||
Contracts | Settlement | Notional | Unrealized | |||||||||||||
Type | Long | Month | Value | Gain (Loss) | ||||||||||||
Dow Jones EURO STOXX 50 Index | 63 | September 2009 | $ | 2,119,342 | $ | 24,720 | ||||||||||
FTSE 100 Index | 15 | September 2009 | 1,040,918 | (2,205 | ) | |||||||||||
TOTAL | $ | 22,515 | ||||||||||||||
Assets: | ||||
Investments in securities of unaffiliated issuers, at value (identified cost $196,559,637)(a) | $ | 203,858,900 | ||
Investments in affiliated securities lending reinvestment vehicle, at value (identified cost $15,024,461) | 15,046,525 | |||
Cash | 93,033 | |||
Foreign currencies, at value (identified cost $471,555) | 473,709 | |||
Receivables: | ||||
Investment securities sold, at value | 3,205,016 | |||
Dividends and interest, at value | 282,321 | |||
Foreign tax reclaims, at value | 164,284 | |||
Fund shares sold | 36,841 | |||
Securities lending income | 23,014 | |||
Reimbursement from adviser | 8,475 | |||
Other assets | 1,023 | |||
Total assets | 223,193,141 | |||
Liabilities: | ||||
Payables: | ||||
Payable upon return of securities loaned | 14,852,635 | |||
Investment securities purchased, at value | 1,869,788 | |||
Amounts owed to affiliates | 175,485 | |||
Fund shares redeemed | 112,504 | |||
Due to broker — variation margin, at value | 39,743 | |||
Accrued expenses | 129,328 | |||
Total liabilities | 17,179,483 | |||
Net Assets: | ||||
Paid-in capital | 368,498,535 | |||
Accumulated undistributed net investment income | 3,176,439 | |||
Accumulated net realized loss from investment, futures and foreign currency related transactions | (173,022,981 | ) | ||
Net unrealized gain on investments, futures and translation of assets and liabilities denominated in foreign currencies | 7,361,665 | |||
NET ASSETS | $ | 206,013,658 | ||
Net Assets: | ||||
Institutional | $ | 74,500,831 | ||
Service | 131,512,827 | |||
Total Net Assets | $ | 206,013,658 | ||
Shares of beneficial interest outstanding $0.001 par value (unlimited shares authorized): | ||||
Institutional | 10,845,481 | |||
Service | 19,137,186 | |||
Net asset value, offering and redemption price per share: | ||||
Institutional | $ | 6.87 | ||
Service | 6.87 | |||
(a) | Includes loaned securities having a market value of $14,088,287. |
Investment income: | ||||
Dividends(a) | $ | 3,752,993 | ||
Securities lending income — affiliated issuer | 182,537 | |||
Total investment income | 3,935,530 | |||
Expenses: | ||||
Management fees | 849,433 | |||
Distribution and Service fees — Service Shares | 139,961 | |||
Custody and accounting fees | 65,739 | |||
Professional fees | 49,928 | |||
Printing fees | 47,141 | |||
Transfer Agent fees(b) | 18,016 | |||
Trustee fees | 8,460 | |||
Other | 7,804 | |||
Total expenses | 1,186,482 | |||
Less — expense reductions | (31,341 | ) | ||
Net expenses | 1,155,141 | |||
NET INVESTMENT INCOME | 2,780,389 | |||
Realized and unrealized gain (loss) from investment, futures and foreign currency related transactions: | ||||
Net realized gain (loss) from: | ||||
Investment transactions — unaffiliated issuers | (32,414,329 | ) | ||
Securities lending reinvestment vehicle transactions — affiliated issuer | 158,983 | |||
Futures transactions | (414,861 | ) | ||
Foreign currency related transactions | 131,314 | |||
Net change in unrealized gain (loss) on: | ||||
Investments — unaffiliated issuers | 43,522,931 | |||
Securities lending reinvestment vehicle — affiliated issuer | 15,545 | |||
Futures | (6,703 | ) | ||
Translation of asset and liabilities denominated in foreign currencies | 6,460 | |||
Net realized and unrealized gain from investment, futures and foreign currency related transactions | 10,999,340 | |||
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS | $ | 13,779,729 | ||
(a) | Foreign taxes withheld on dividends were $438,879. | |
(b) | Institutional and Service Shares had Transfer Agent fees of $6,820 and $11,196, respectively. |
For the | ||||||||
Six Months Ended | For the Fiscal | |||||||
June 30, 2009 | Year Ended | |||||||
(Unaudited) | December 31, 2008 | |||||||
From operations: | ||||||||
Net investment income | $ | 2,780,389 | $ | 7,548,785 | ||||
Net realized loss from investment, futures and foreign currency related transactions | (32,538,893 | ) | (130,486,653 | ) | ||||
Net change in unrealized gain (loss) on investments, futures and translation of assets and liabilities denominated in foreign currencies | 43,538,233 | (37,470,918 | ) | |||||
Net increase (decrease) in net assets resulting from operations | 13,779,729 | (160,408,786 | ) | |||||
Distributions to shareholders: | ||||||||
From net investment income | ||||||||
Institutional Shares | — | (3,309,583 | ) | |||||
Service Shares | — | (4,673,550 | ) | |||||
From net realized gains | ||||||||
Institutional Shares | — | (6,448,599 | ) | |||||
Service Shares | — | (9,909,643 | ) | |||||
Total distributions to shareholders | — | (24,341,375 | ) | |||||
From share transactions: | ||||||||
Proceeds from sales of shares | 19,155,422 | 29,908,159 | ||||||
Reinvestments of distributions | — | 24,341,375 | ||||||
Cost of shares redeemed | (14,905,736 | ) | (44,201,132 | ) | ||||
Net increase in net assets resulting from share transactions | 4,249,686 | 10,048,402 | ||||||
TOTAL INCREASE (DECREASE) | 18,029,415 | (174,701,759 | ) | |||||
Net assets: | ||||||||
Beginning of period | 187,984,243 | 362,686,002 | ||||||
End of period | $ | 206,013,658 | $ | 187,984,243 | ||||
Accumulated undistributed net investment income | $ | 3,176,439 | $ | 396,050 | ||||
Income (loss) from | Ratios assuming no | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
investment operations | Distributions to shareholders | expense reduction | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
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 | expenses | income | Portfolio | ||||||||||||||||||||||||||||||||||||||||||||||||
beginning | investment | unrealized | investment | investment | realized | Total | end of | Total | period | to average | to average | to average | to average | turnover | ||||||||||||||||||||||||||||||||||||||||||||||
Year - Share Class | 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) | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
2009 - Institutional | $ | 6.41 | $ | 0.10 | $ | 0.36 | $ | 0.46 | $ | — | $ | — | $ | — | $ | 6.87 | 7.18 | % | $ | 74,501 | 1.12 | %(c) | 3.22 | %(c) | 1.16 | %(c) | 3.18 | %(c) | 59 | % | ||||||||||||||||||||||||||||||
2009 - Service | 6.42 | 0.09 | 0.36 | 0.45 | — | — | — | 6.87 | 7.01 | 131,513 | 1.37 | (c) | 3.02 | (c) | 1.41 | (c) | 2.98 | (c) | 59 | |||||||||||||||||||||||||||||||||||||||||
FOR THE FISCAL YEARS ENDED DECEMBER 31, | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
2008 - Institutional | 13.76 | 0.32 | (d) | (6.69 | ) | (6.37 | ) | (0.33 | ) | (0.65 | ) | (0.98 | ) | 6.41 | (45.87 | ) | 74,149 | 1.12 | 2.95 | (d) | 1.12 | 2.95 | (d) | 165 | ||||||||||||||||||||||||||||||||||||
2008 - Service | 13.76 | 0.28 | (d) | (6.67 | ) | (6.39 | ) | (0.30 | ) | (0.65 | ) | (0.95 | ) | 6.42 | (46.00 | ) | 113,836 | 1.37 | 2.64 | (d) | 1.37 | 2.64 | (d) | 165 | ||||||||||||||||||||||||||||||||||||
2007 - Institutional | 14.49 | 0.20 | 0.92 | 1.12 | (0.21 | ) | (1.64 | ) | (1.85 | ) | 13.76 | 7.88 | 136,785 | 1.16 | (e) | 1.30 | (e) | 1.16 | (e) | 1.30 | (e) | 134 | ||||||||||||||||||||||||||||||||||||||
2007 - Service | 14.49 | 0.20 | 0.92 | 1.12 | (0.21 | ) | (1.64 | ) | (1.85 | ) | 13.76 | 7.86 | 225,901 | 1.18 | (e) | 1.30 | (e) | 1.41 | (e) | 1.07 | (e) | 134 | ||||||||||||||||||||||||||||||||||||||
2006 - Institutional | 12.05 | 0.22 | 2.44 | (f) | 2.66 | (0.22 | ) | — | (0.22 | ) | 14.49 | 22.10 | (g) | 127,795 | 1.15 | 1.64 | 1.16 | 1.63 | 76 | |||||||||||||||||||||||||||||||||||||||||
2006 - Service (commenced January 9, 2006) | 12.71 | 0.22 | 1.78 | (f) | 2.00 | (0.22 | ) | — | (0.22 | ) | 14.49 | 15.74 | (g) | 260,251 | 1.17 | (c) | 1.68 | (c) | 1.41 | (c) | 1.44 | (c) | 76 | |||||||||||||||||||||||||||||||||||||
2005 - Institutional | 10.62 | 0.09 | 1.38 | 1.47 | (0.04 | ) | — | (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 | ) | — | (0.11 | ) | 10.62 | 13.48 | 108,624 | 1.20 | 0.75 | 1.35 | 0.60 | 63 | |||||||||||||||||||||||||||||||||||||||||||
(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. Total returns for periods less than one full year are not annualized. | |
(c) | Annualized. | |
(d) | Reflects income recognized from a special dividend which amounted to $0.12 per share and 1.12% of average net assets. | |
(e) | Includes non-recurring expense for a special shareholder meeting which amounted to approximately 0.02% of average net assets. | |
(f) | 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. | |
(g) | 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 (f) above. If restated, the performance would have been 21.69% and 15.26% for Institutional and Service Shares, respectively. |
11
2. SIGNIFICANT ACCOUNTING POLICIES (continued) |
2. SIGNIFICANT ACCOUNTING POLICIES (continued) |
3. AGREEMENTS (continued) |
Contractual Management Rate | ||||||||||||||||||||
First | Next | Next | Next | Over | ||||||||||||||||
$1 billion | $1 billion | $3 billion | $3 billion | $8 billion | ||||||||||||||||
For the Period April 30, 2009 to June 30, 2009 | 0.85 | % | 0.77 | % | 0.73 | % | 0.72 | % | 0.71 | % | ||||||||||
For the Period January 1, 2009 to April 29, 2009 | 1.00 | 0.90 | 0.86 | 0.84 | 0.82 | |||||||||||||||
4. FAIR VALUE OF INVESTMENTS (continued) |
Level 1 | Level 2 | Level 3 | ||||||||||
Assets | ||||||||||||
Common Stock and/or Other Equity Investments(a) | $ | 11,044,185 | $ | 188,034,216 | $ | — | ||||||
Short-term Investments | 4,780,499 | 15,046,525 | — | |||||||||
Derivatives | 24,720 | — | — | |||||||||
Total | $ | 15,849,404 | $ | 203,080,741 | $ | — | ||||||
Liabilities | ||||||||||||
Derivatives | $ | (2,205 | ) | $ | — | $ | — | |||||
(a) | To adjust for the time difference between local market close and the calculation of the net asset value, the Fund may utilize fair value model prices for international equities provided by an independent service resulting in a Level 2 classification. |
5. SECURITIES LENDING (continued) |
Number of | ||||||||||||||||||
Shares Held | Number of Shares Held | Value at | ||||||||||||||||
Beginning of Period | Shares Bought | Shares Sold | End of Period | End of Period | ||||||||||||||
3,751 | 120,323 | (108,982 | ) | 15,092 | $ | 15,047 | ||||||||||||
Capital loss carryforward:(1) | ||||
Expiring 2009 | $ | (2,072,911 | ) | |
Expiring 2010 | (6,928,702 | ) | ||
Expiring 2011 | (609,034 | ) | ||
Expiring 2016 | (74,993,642 | ) | ||
Total capital loss carryforward | $ | (84,604,289 | ) | |
Timing differences (post — October losses) | $ | (41,819,006 | ) | |
(1) | Expiration occurs on December 31 of the year indicated. Due to fund mergers, utilization of these losses may be substantially limited under the Code. |
Tax cost | $ | 225,632,232 | ||
Gross unrealized gain | 5,798,608 | |||
Gross unrealized loss | (12,525,415 | ) | ||
Net unrealized security loss | $ | (6,726,807 | ) | |
8. OTHER RISKS (continued) |
For the Six Months Ended | ||||||||||||||||
June 30, 2009 | For the Fiscal Year Ended | |||||||||||||||
(Unaudited) | December 31, 2008 | |||||||||||||||
Shares | Dollars | Shares | Dollars | |||||||||||||
Institutional Shares | ||||||||||||||||
Shares sold | 187,569 | $ | 1,118,039 | 1,115,703 | $ | 12,353,890 | ||||||||||
Reinvestment of distributions | — | — | 1,597,083 | 9,758,182 | ||||||||||||
Shares redeemed | (910,991 | ) | (5,456,573 | ) | (1,084,971 | ) | (10,876,786 | ) | ||||||||
(723,422 | ) | (4,338,534 | ) | 1,627,815 | 11,235,286 | |||||||||||
Service Shares | ||||||||||||||||
Shares sold | 2,990,780 | 18,037,383 | 2,062,515 | 17,554,269 | ||||||||||||
Reinvestment of distributions | — | — | 2,382,870 | 14,583,193 | ||||||||||||
Shares redeemed | (1,585,385 | ) | (9,449,163 | ) | (3,130,455 | ) | (33,324,346 | ) | ||||||||
1,405,395 | 8,588,220 | 1,314,930 | (1,186,884 | ) | ||||||||||||
NET INCREASE | 681,973 | $ | 4,249,686 | 2,942,745 | $ | 10,048,402 | ||||||||||
First $1 billion | 0.85 | % | ||
Next $1 billion | 0.77 | |||
Next $3 billion | 0.73 | |||
Next $3 billion | 0.72 | |||
Over $8 billion | 0.71 |
Expenses Paid | |||||||||||||||
for the | |||||||||||||||
Beginning | Ending | 6 Months | |||||||||||||
Account Value | Account Value | Ended | |||||||||||||
Share Class | 1/1/09 | 6/30/09 | 6/30/09* | ||||||||||||
Institutional | |||||||||||||||
Actual | $ | 1,000 | $ | 1,071.80 | $ | 5.75 | |||||||||
Hypothetical 5% return | 1,000 | 1,019.24 | + | 5.61 | |||||||||||
Service | |||||||||||||||
Actual | 1,000 | 1,070.10 | 7.03 | ||||||||||||
Hypothetical 5% return | 1,000 | 1,018.00 | + | 6.85 | |||||||||||
* | Expenses for each share class 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, 2009. 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 1.12% and 1.37% for Institutional and Service Shares, respectively. | |
+ | Hypothetical expenses are based on 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 John P. Coblentz, Jr. Diana M. Daniels Patrick T. Harker James A. McNamara Jessica Palmer Alan A. Shuch Richard P. Strubel | James A. McNamara, President John M. Perlowski, Senior Vice President and Treasurer Peter V. Bonanno, Secretary | |
GOLDMAN, SACHS & CO. Distributor and Transfer Agent | ||
GOLDMAN SACHS ASSET MANAGEMENT INTERNATIONAL Investment Adviser 32 Old Slip, New York, New York 10005 | ||
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 (“SEC”) Web site at http://www.sec.gov. | ||
The Fund files its complete schedule of portfolio holdings with the SEC for the first and third quarters of each fiscal year on Form N-Q. The Fund’s Form N-Q is available on the SEC’s website at http://www.sec.gov within 60 days after the Fund’s first and third fiscal quarters. 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. Forms N-Q may be obtained upon request and without charge by calling 1-800-621-2550. | ||
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 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 Fund. | ||
Toll Free (in U.S.): 800-292-4726 | ||
This report is prepared for the general information of contract owners and is not an offer of shares of the Goldman Sachs Variable Insurance Trust: Goldman Sachs Strategic International Equity Fund. | ||
Copyright 2009 Goldman, Sachs & Co. All rights reserved. | ||
VITINTLSAR/25773.MF.TMPL/08-09 |
Structured Small Cap Equity Fund
Holding | % of Net Assets | Line of Business | ||||||
USA Mobility, Inc. | 1.2 | % | Telecommunication Services | |||||
Rayonier, Inc. | 1.1 | Real Estate Investment Trust | ||||||
Sanderson Farms, Inc. | 1.1 | Food, Beverage & Tobacco | ||||||
Federal Realty Investment Trust | 1.0 | Real Estate Investment Trust | ||||||
PharMerica Corp. | 1.0 | Health Care Equipment & Services | ||||||
Fred’s, Inc. Class A | 1.0 | Retailing | ||||||
Realty Income Corp. | 0.9 | Real Estate Investment Trust | ||||||
Aeropostale, Inc. | 0.9 | Retailing | ||||||
Aspen Insurance Holdings Ltd. | 0.9 | Insurance | ||||||
Facet Biotech Corp. | 0.8 | Pharmaceuticals, Biotechnology & Life Sciences |
Shares | Description | Value | ||||
Common Stocks – 98.0% | ||||||
Automobiles & Components – 1.1% | ||||||
6,637 | Amerigon, Inc.* | $ | 40,486 | |||
23,421 | ArvinMeritor, Inc. | 102,818 | ||||
13,672 | Cooper Tire & Rubber Co. | 135,626 | ||||
9,705 | Dana Holding Corp.* | 12,423 | ||||
5,786 | Dorman Products, Inc.* | 80,020 | ||||
21,535 | Exide Technologies* | 80,326 | ||||
7,412 | Federal Mogul Corp.* | 70,043 | ||||
30,186 | Modine Manufacturing Co. | 144,893 | ||||
11,684 | Standard Motor Products, Inc. | 96,627 | ||||
9,475 | Tenneco, Inc.* | 100,435 | ||||
18,213 | TRW Automotive Holdings Corp.*(a) | 205,807 | ||||
3,259 | Winnebago Industries | 24,214 | ||||
1,093,718 | ||||||
Banks – 5.0% | ||||||
3,894 | 1st Source Corp. | 67,249 | ||||
17,737 | Associated Banc-Corp(a) | 221,713 | ||||
16,126 | Bancorpsouth, Inc. | 331,067 | ||||
5,808 | CapitalSource, Inc. | 28,343 | ||||
31,164 | Cathay General Bancorp(a) | 296,370 | ||||
6,760 | Central Pacific Financial Corp. | 25,350 | ||||
487 | City National Corp. | 17,936 | ||||
934 | Cullen/Frost Bankers, Inc. | 43,076 | ||||
34,911 | CVB Financial Corp.(a) | 208,419 | ||||
23,030 | First Bancorp | 123,026 | ||||
41,713 | First Financial Northwest, Inc. | 326,196 | ||||
5,670 | First Midwest Bancorp, Inc. | 41,448 | ||||
8,096 | Great Southern Bancorp, Inc.(a) | 166,373 | ||||
50,477 | International Bancshares Corp.(a) | 520,418 | ||||
4,503 | MGIC Investment Corp. | 19,813 | ||||
17,164 | Pinnacle Financial Partners, Inc.*(a) | 228,624 | ||||
11,542 | Renasant Corp. | 173,361 | ||||
37,203 | Sterling Bancshares, Inc. | 235,495 | ||||
62,642 | Susquehanna Bancshares, Inc.(a) | 306,319 | ||||
5,301 | SVB Financial Group* | 144,293 | ||||
7,588 | TCF Financial Corp.(a) | 101,452 | ||||
2,753 | Texas Capital Bancshares, Inc.* | 42,589 | ||||
12,942 | Trustmark Corp.(a) | 250,039 | ||||
17,649 | Washington Federal, Inc.(a) | 229,437 | ||||
5,516 | Whitney Holding Corp.(a) | 50,527 | ||||
39,943 | Wilshire Bancorp, Inc. | 229,672 | ||||
22,728 | Wintrust Financial Corp.(a) | 365,466 | ||||
4,794,071 | ||||||
Capital Goods – 8.3% | ||||||
5,306 | AAR Corp.*(a) | 85,161 | ||||
12,463 | Acuity Brands, Inc. | 349,587 | ||||
6,429 | AGCO Corp.*(b) | 186,891 | ||||
22,020 | Albany International Corp. Class A | 250,588 | ||||
5,498 | Alliant Techsystems, Inc.*(a) | 452,815 | ||||
6,858 | American Woodmark Corp. | 164,249 | ||||
15,951 | Apogee Enterprises, Inc. | 196,197 | ||||
5,276 | Applied Signal Technology, Inc. | 134,591 | ||||
39,033 | Belden, Inc. | 651,851 | ||||
5,323 | Briggs & Stratton Corp. | 71,009 | ||||
8,421 | Builders FirstSource, Inc.*(a) | 35,031 | ||||
2,822 | Cascade Corp. | 44,390 | ||||
7,812 | Ceradyne, Inc.* | 137,960 | ||||
1,542 | Cubic Corp. | 55,188 | ||||
2,841 | Ducommun, Inc. | 53,382 | ||||
14,296 | Dycom Industries, Inc.* | 158,257 | ||||
13,671 | DynCorp International, Inc. Class A* | 229,536 | ||||
12,701 | Encore Wire Corp.(a) | 271,166 | ||||
21,466 | EnerSys* | 390,467 | ||||
9,992 | EnPro Industries, Inc.*(a) | 179,956 | ||||
3,510 | Esterline Technologies Corp.* | 95,016 | ||||
4,758 | Fushi Copperweld, Inc.* | 39,349 | ||||
1,649 | General Cable Corp.*(a) | 61,969 | ||||
13,049 | Gibraltar Industries, Inc. | 89,647 | ||||
6,093 | Granite Construction, Inc. | 202,775 | ||||
12,539 | Insteel Industries, Inc. | 103,321 | ||||
5,135 | Integrated Electrical Services, Inc.* | 40,104 | ||||
8,348 | John Bean Technologies Corp. | 104,517 | ||||
12,068 | Kadant, Inc.* | 136,248 | ||||
43,981 | LSI Industries, Inc. | 239,696 | ||||
2,711 | Miller Industries, Inc.* | 23,857 | ||||
6,976 | Mueller Industries, Inc. | 145,101 | ||||
11,341 | NACCO Industries, Inc. Class A | 325,714 | ||||
7,466 | Polypore International, Inc.* | 83,022 | ||||
14,459 | Power-One, Inc.*(a) | 21,544 | ||||
26,285 | Quanex Building Products Corp. | 294,918 | ||||
1,532 | Raven Industries, Inc. | 39,219 | ||||
68,874 | Taser International, Inc.*(a) | 314,065 | ||||
6,663 | Tennant Co. | 122,533 | ||||
24,053 | Toro Co.(a) | 719,185 | ||||
7,350 | TriMas Corp.* | 24,770 | ||||
4,132 | Trinity Industries, Inc. | 56,278 | ||||
3,303 | Universal Forest Products, Inc. | 109,296 | ||||
1,411 | Vicor Corp. | 10,187 | ||||
3,210 | Watsco, Inc.(a) | 157,065 | ||||
16,842 | Woodward Governor Co. | 333,472 | ||||
7,991,140 | ||||||
Commercial & Professional Services – 3.8% | ||||||
7,331 | Administaff, Inc. | 170,592 | ||||
3,523 | ATC Technology Corp.* | 51,083 | ||||
17,398 | CDI Corp. | 193,988 | ||||
18,231 | Comfort Systems USA, Inc. | 186,868 | ||||
1,197 | Consolidated Graphics, Inc.* | 20,852 | ||||
7,079 | Diamond Management & Technology Consultants, Inc. | 29,732 | ||||
403 | G&K Services, Inc. Class A | 8,523 | ||||
18,718 | HNI Corp. | 338,047 | ||||
14,348 | ICT Group, Inc.* | 125,258 | ||||
36,850 | Kelly Services, Inc. Class A | 403,507 | ||||
37,573 | Kforce, Inc.* | 310,729 | ||||
22,187 | Kimball International, Inc. Class B | 138,447 | ||||
91,517 | MPS Group, Inc.* | 699,190 | ||||
5,448 | Robert Half International, Inc. | 128,682 | ||||
67,280 | Spherion Corp.* | 277,194 | ||||
21,351 | The Standard Register Co.(a) | 69,604 | ||||
Shares | Description | Value | ||||
Common Stocks – (continued) | ||||||
Commercial & Professional Services – (continued) | ||||||
16,550 | TrueBlue, Inc.* | $ | 139,020 | |||
5,998 | United Stationers, Inc.* | 209,210 | ||||
25,416 | Volt Information Sciences, Inc.* | 159,358 | ||||
3,659,884 | ||||||
Consumer Durables & Apparel – 2.3% | ||||||
28,302 | American Greetings Corp. Class A | 330,567 | ||||
9,467 | Blyth, Inc. | 310,423 | ||||
24,891 | Carter’s, Inc.*(a) | 612,568 | ||||
18,548 | Harman International Industries, Inc.(a) | 348,702 | ||||
1,852 | Hooker Furniture Corp. | 21,261 | ||||
12,078 | iRobot Corp.* | 156,773 | ||||
39,999 | La-Z-Boy, Inc.(a) | 188,795 | ||||
8,015 | Perry Ellis International, Inc.* | 58,349 | ||||
6,508 | Polaris Industries, Inc.(a) | 209,037 | ||||
2,236,475 | ||||||
Consumer Services – 2.9% | ||||||
2,393 | Ameristar Casinos, Inc.(a) | 45,539 | ||||
654 | Buffalo Wild Wings, Inc.* | 21,268 | ||||
1,457 | California Pizza Kitchen, Inc.* | 19,364 | ||||
1,616 | CEC Entertainment, Inc.* | 47,640 | ||||
4,289 | Choice Hotels International, Inc. | 114,130 | ||||
8,720 | Domino’s Pizza, Inc.* | 65,313 | ||||
8,867 | Gaylord Entertainment Co.* | 112,700 | ||||
4,122 | Lakes Entertainment, Inc.* | 11,995 | ||||
18,215 | Landry’s Restaurants, Inc.* | 156,649 | ||||
31,066 | O’Charleys, Inc. | 287,360 | ||||
4,413 | Panera Bread Co. Class A*(b) | 220,032 | ||||
26,254 | Papa John’s International, Inc.*(a) | 650,837 | ||||
4,456 | PF Chang’s China Bistro, Inc.* | 142,859 | ||||
1,110 | Pre-Paid Legal Services, Inc.* | 48,385 | ||||
3,235 | Steiner Leisure Ltd.* | 98,765 | ||||
3,898 | The Cheesecake Factory, Inc.*(a) | 67,435 | ||||
46,553 | The Steak N Shake Co.* | 406,873 | ||||
2,516 | Vail Resorts, Inc.* | 67,479 | ||||
4,771 | WMS Industries, Inc.* | 150,334 | ||||
3,292 | Wyndham Worldwide Corp. | 39,899 | ||||
2,774,856 | ||||||
Diversified Financials – 4.6% | ||||||
82,208 | Advance America, Cash Advance Centers, Inc. | 364,182 | ||||
43,906 | Allied Capital Corp. | 152,793 | ||||
13,606 | American Capital Ltd. | 43,675 | ||||
73,983 | Apollo Investment Corp. | 443,898 | ||||
6,965 | BGC Partners, Inc. Class A | 26,397 | ||||
20,442 | BlackRock Kelso Capital Corp. | 127,354 | ||||
1,547 | Cash America International, Inc. | 36,184 | ||||
13,519 | Cohen & Steers, Inc. | 202,109 | ||||
29,424 | Compass Diversified Holdings | 238,040 | ||||
677 | Diamond Hill Investment Group, Inc.* | 27,202 | ||||
23,422 | E*Trade Financial Corp.* | 29,980 | ||||
4,279 | Eaton Vance Corp.(a) | 114,463 | ||||
1,468 | Evercore Partners, Inc. Class A | 28,832 | ||||
20,013 | FBR Capital Markets Corp.* | 94,061 | ||||
6,838 | Federated Investors, Inc. Class B(a) | 164,727 | ||||
13,141 | Fifth Street Finance Corp. | 131,936 | ||||
10,846 | GAMCO Investors, Inc. Class A | 526,031 | ||||
3,500 | Gladstone Capital Corp. | 26,355 | ||||
26,375 | Hercules Technology Growth Capital, Inc. | 220,495 | ||||
579 | International Assets Holding Corp.* | 8,610 | ||||
1,601 | Investment Technology Group, Inc.* | 32,644 | ||||
13,891 | Kohlberg Capital Corp. | 87,791 | ||||
6,431 | LaBranche & Co., Inc.* | 27,653 | ||||
54,640 | MCG Capital Corp.* | 132,775 | ||||
23,644 | MF Global Ltd.*(a) | 140,209 | ||||
12,164 | MVC Capital, Inc. | 102,907 | ||||
17,800 | NGP Capital Resources Co. | 104,486 | ||||
1,791 | Oppenheimer Holdings, Inc. Class A | 37,916 | ||||
2,287 | Penson Worldwide, Inc.* | 20,469 | ||||
3,505 | Piper Jaffray Cos, Inc.* | 153,063 | ||||
53,481 | Primus Guaranty Ltd.* | 126,215 | ||||
16,881 | Pzena Investment Management, Inc. Class A | 127,958 | ||||
5,950 | Rewards Network, Inc.* | 22,491 | ||||
6,473 | SEI Investments Co. | 116,773 | ||||
7,528 | The First Marblehead Corp.* | 15,207 | ||||
2,211 | Virtus Investment Partners, Inc.* | 32,480 | ||||
7,090 | World Acceptance Corp.*(a) | 141,162 | ||||
4,429,523 | ||||||
Energy – 4.9% | ||||||
6,877 | Alpha Natural Resources, Inc.* | 180,659 | ||||
19,466 | Basic Energy Services, Inc.* | 132,953 | ||||
19,221 | Berry Petroleum Co. Class A(a) | 357,318 | ||||
13,484 | Bill Barrett Corp.*(a) | 370,271 | ||||
35,017 | Cal Dive International, Inc.*(a) | 302,197 | ||||
20,753 | Cimarex Energy Co. | 588,140 | ||||
5,860 | Complete Production Services, Inc.* | 37,270 | ||||
9,676 | Exterran Holdings, Inc.*(a) | 155,203 | ||||
2,169 | Hercules Offshore, Inc.* | 8,611 | ||||
2,710 | Overseas Shipholding Group, Inc.(a) | 92,248 | ||||
5,036 | Patterson-UTI Energy, Inc.(a) | 64,763 | ||||
22,510 | Petroquest Energy, Inc.*(a) | 83,062 | ||||
8,765 | Pioneer Drilling Co.* | 41,984 | ||||
24,428 | Rosetta Resources, Inc.*(a) | 213,745 | ||||
13,293 | St. Mary Land & Exploration Co.(a) | 277,425 | ||||
13,844 | Swift Energy Co.*(a) | 230,503 | ||||
5,090 | Union Drilling, Inc.* | 33,696 | ||||
7,622 | Unit Corp.* | 210,138 | ||||
50,974 | Venoco, Inc.* | 390,970 | ||||
9,111 | W&T Offshore, Inc. | 88,741 | ||||
17,330 | Willbros Group, Inc.* | 216,798 | ||||
14,205 | World Fuel Services Corp.(a) | 585,672 | ||||
4,662,367 | ||||||
Shares | Description | Value | ||||
Common Stocks – (continued) | ||||||
Food & Staples Retailing – 0.6% | ||||||
17,292 | Casey’s General Stores, Inc.(a) | $ | 444,232 | |||
3,903 | Ingles Markets, Inc. Class A | 59,482 | ||||
5,229 | The Pantry, Inc.* | 86,801 | ||||
590,515 | ||||||
Food, Beverage & Tobacco – 3.8% | ||||||
2,429 | Boston Beer Co., Inc. Class A* | 71,874 | ||||
2,515 | Chiquita Brands International, Inc.*(a) | 25,804 | ||||
22,274 | Hansen Natural Corp.*(a) | 686,485 | ||||
22,653 | Imperial Sugar Co. | 274,328 | ||||
12,841 | J&J Snack Foods Corp. | 460,992 | ||||
2,554 | Lancaster Colony Corp. | 112,555 | ||||
12,177 | Lance, Inc. | 281,654 | ||||
35,870 | National Beverage Corp.* | 382,015 | ||||
22,797 | Sanderson Farms, Inc.(a) | 1,025,865 | ||||
11,130 | Smithfield Foods, Inc.*(a) | 155,486 | ||||
5,856 | Universal Corp. | 193,892 | ||||
3,670,950 | ||||||
Health Care Equipment & Services – 7.5% | ||||||
26,058 | Align Technology, Inc.*(a) | 276,215 | ||||
5,975 | American Medical Systems Holdings, Inc.* | 94,405 | ||||
31,887 | AMN Healthcare Services, Inc.* | 203,439 | ||||
15,327 | Angiodynamics, Inc.* | 203,389 | ||||
2,576 | Aspect Medical Systems, Inc.* | 15,224 | ||||
14,548 | Assisted Living Concepts, Inc. Class A* | 211,673 | ||||
739 | Atrion Corp. | 99,092 | ||||
4,613 | Beckman Coulter, Inc. | 263,587 | ||||
10,298 | BioScrip, Inc.* | 60,964 | ||||
2,508 | Cardiac Science Corp.* | 10,082 | ||||
14,932 | Computer Programs & Systems, Inc.(a) | 572,045 | ||||
5,347 | DexCom, Inc.* | 33,098 | ||||
13,883 | ev3, Inc.*(a) | 148,826 | ||||
4,247 | Gen-Probe, Inc.* | 182,536 | ||||
31,882 | HealthSpring, Inc.* | 346,238 | ||||
10,735 | Hill-Rom Holdings, Inc. | 174,122 | ||||
12,151 | Idexx Laboratories, Inc.* | 561,376 | ||||
2,786 | I-Flow Corp.* | 19,335 | ||||
16,005 | Invacare Corp. | 282,488 | ||||
9,606 | IRIS International, Inc.* | 113,351 | ||||
28,383 | Kindred Healthcare, Inc.* | 351,098 | ||||
15,371 | LCA-Vision, Inc.*(a) | 64,866 | ||||
3,771 | LifePoint Hospitals, Inc.* | 98,989 | ||||
7,408 | Magellan Health Services, Inc.* | 243,131 | ||||
18,492 | Medcath Corp.* | 217,466 | ||||
18,639 | Medical Action Industries, Inc.* | 213,417 | ||||
6,193 | MedQuist, Inc. | 37,653 | ||||
12,263 | Molina Healthcare, Inc.* | 293,331 | ||||
72,598 | Nighthawk Radiology Holdings, Inc.* | 268,613 | ||||
2,664 | Palomar Medical Technologies, Inc.* | 39,054 | ||||
47,718 | PharMerica Corp.*(a) | 936,704 | ||||
6,032 | RTI Biologics, Inc.* | 25,877 | ||||
4,060 | Skilled Healthcare Group, Inc. Class A* | 30,450 | ||||
5,611 | STERIS Corp. | 146,335 | ||||
35,595 | Theragenics Corp.* | 45,918 | ||||
9,664 | TomoTherapy, Inc.* | 26,576 | ||||
26,408 | Universal American Corp.* | 230,278 | ||||
1,035 | WellCare Health Plans, Inc.* | 19,137 | ||||
7,160,378 | ||||||
Household & Personal Products – 0.7% | ||||||
56,435 | Central Garden & Pet Co. Class A* | 555,885 | ||||
46,558 | Mannatech, Inc.(a) | 153,641 | ||||
709,526 | ||||||
Insurance – 2.1% | ||||||
20,749 | American Equity Investment Life Holding Co. | 115,779 | ||||
38,255 | Aspen Insurance Holdings Ltd. | 854,617 | ||||
28,471 | CNA Surety Corp.* | 384,074 | ||||
2,846 | Employers Holdings, Inc. | 38,563 | ||||
1,438 | First American Corp. | 37,259 | ||||
3,038 | Infinity Property & Casualty Corp. | 110,765 | ||||
5,672 | National Financial Partners Corp.(a) | 41,519 | ||||
462 | National Western Life Insurance Co. Class A | 53,939 | ||||
2,777 | Reinsurance Group of America, Inc. | 96,945 | ||||
4,509 | Safety Insurance Group, Inc. | 137,795 | ||||
9,813 | Selective Insurance Group, Inc. | 125,312 | ||||
1,996,567 | ||||||
Materials – 3.8% | ||||||
17,276 | A. Schulman, Inc. | 261,040 | ||||
4,217 | Allied Nevada Gold Corp.*(a) | 33,989 | ||||
6,325 | AM Castle & Co. | 76,406 | ||||
4,626 | Balchem Corp. | 113,430 | ||||
13,187 | Brush Engineered Materials, Inc.* | 220,882 | ||||
39,576 | Buckeye Technologies, Inc.* | 177,696 | ||||
6,563 | Clearwater Paper Corp.* | 165,978 | ||||
1,794 | Domtar Corp.* | 29,745 | ||||
2,629 | Haynes International, Inc.* | 62,307 | ||||
4,963 | Innospec, Inc. | 53,352 | ||||
16,414 | Kaiser Aluminum Corp. | 589,427 | ||||
36,451 | Louisiana-Pacific Corp.* | 124,663 | ||||
2,690 | Minerals Technologies, Inc. | 96,894 | ||||
2,817 | OM Group, Inc.* | 81,749 | ||||
9,909 | Omnova Solutions, Inc.* | 32,303 | ||||
51,648 | PolyOne Corp.* | 139,966 | ||||
2,695 | Reliance Steel & Aluminum Co. | 103,461 | ||||
27,410 | Spartech Corp. | 251,898 | ||||
15,111 | Sutor Technology Group Ltd.* | 49,413 | ||||
27,148 | Westlake Chemical Corp.(a) | 553,548 | ||||
30,924 | Worthington Industries, Inc. | 395,518 | ||||
3,613,665 | ||||||
Media – 0.7% | ||||||
11,971 | Arbitron, Inc. | 190,219 | ||||
4,375 | Ascent Media Corp. Class A* | 116,287 | ||||
Shares | Description | Value | ||||
Common Stocks – (continued) | ||||||
Media – (continued) | ||||||
6,140 | CTC Media, Inc.* | $ | 72,575 | |||
8,897 | Journal Communications, Inc. Class A | 9,342 | ||||
23,320 | Live Nation, Inc.* | 113,335 | ||||
9,627 | National CineMedia, Inc. | 132,468 | ||||
3,823 | RCN Corp.* | 22,823 | ||||
657,049 | ||||||
Pharmaceuticals, Biotechnology & Life Sciences – 7.8% | ||||||
71,500 | Accelrys, Inc.* | 422,565 | ||||
1,409 | Albany Molecular Research, Inc.* | 11,821 | ||||
41,613 | Alkermes, Inc.* | 450,253 | ||||
5,380 | Bio-Rad Laboratories, Inc. Class A* | 406,082 | ||||
3,217 | Cambrex Corp.* | 13,254 | ||||
6,189 | Caraco Pharmaceutical Laboratories Ltd.* | 19,000 | ||||
5,287 | Cepheid, Inc.*(a) | 49,804 | ||||
1,259 | Charles River Laboratories International, Inc.* | 42,491 | ||||
13,981 | Cubist Pharmaceuticals, Inc.* | 256,272 | ||||
81,142 | Depomed, Inc.* | 263,711 | ||||
10,522 | Dionex Corp.* | 642,158 | ||||
31,005 | Enzon Pharmaceuticals, Inc.*(a) | 244,009 | ||||
23,742 | eResearchTechnology, Inc.* | 147,438 | ||||
81,520 | Facet Biotech Corp.* | 757,321 | ||||
5,101 | Harvard Bioscience, Inc.* | 20,149 | ||||
6,006 | Human Genome Sciences, Inc.* | 17,177 | ||||
5,591 | Idera Pharmaceuticals, Inc.*(a) | 32,763 | ||||
100,993 | Insmed, Inc.*(a) | 100,993 | ||||
20,544 | Isis Pharmaceuticals, Inc.*(a) | 338,976 | ||||
32,530 | Lexicon Pharmaceuticals, Inc.* | 40,337 | ||||
6,511 | MAP Pharmaceuticals, Inc.* | 79,564 | ||||
26,279 | Martek Biosciences Corp.*(a) | 555,801 | ||||
27,473 | Maxygen, Inc.* | 184,619 | ||||
20,181 | Molecular Insight Pharmaceuticals, Inc.*(a) | 104,336 | ||||
3,919 | Myriad Genetics, Inc.* | 139,712 | ||||
1,798 | Myriad Pharmaceuticals, Inc.* | 8,361 | ||||
75,018 | Nabi Biopharmaceuticals* | 181,544 | ||||
77,805 | PDL BioPharma, Inc. | 614,659 | ||||
51,126 | Progenics Pharmaceuticals, Inc.* | 263,299 | ||||
73,144 | Questcor Pharmaceuticals, Inc.* | 365,720 | ||||
11,141 | Regeneron Pharmaceuticals, Inc.* | 199,647 | ||||
23,306 | Synta Pharmaceuticals Corp.*(a) | 53,837 | ||||
2,636 | The Medicines Co.* | 22,116 | ||||
10,086 | Varian, Inc.*(a) | 397,691 | ||||
7,447,480 | ||||||
Real Estate Investment Trust – 6.4% | ||||||
1,670 | AMB Property Corp. | 31,413 | ||||
18,570 | BRE Properties, Inc. | 441,223 | ||||
27,896 | Chimera Investment Corp. | 97,357 | ||||
3,224 | Digital Realty Trust, Inc. | 115,581 | ||||
2,455 | Duke Realty Corp. | 21,530 | ||||
18,285 | Federal Realty Investment Trust(a) | 942,043 | ||||
27,469 | Franklin Street Properties Corp.(a) | 363,964 | ||||
4,897 | Hospitality Properties Trust | 58,225 | ||||
19,345 | Liberty Property Trust(a) | 445,709 | ||||
15,844 | LTC Properties, Inc. | 324,010 | ||||
4,985 | Mack-Cali Realty Corp. | 113,658 | ||||
10,278 | Nationwide Health Properties, Inc.(a) | 264,556 | ||||
10,488 | Omega Healthcare Investors, Inc. | 162,774 | ||||
29,921 | Rayonier, Inc.(a) | 1,087,628 | ||||
41,015 | Realty Income Corp.(a) | 899,049 | ||||
10,785 | Regency Centers Corp.(a) | 376,504 | ||||
23,575 | Senior Housing Properties Trust | 384,744 | ||||
6,129,968 | ||||||
Retailing – 6.6% | ||||||
17,448 | 99 Cents Only Stores*(a) | 236,944 | ||||
25,262 | Aeropostale, Inc.*(a) | 865,729 | ||||
7,599 | Asbury Automotive Group, Inc. | 77,814 | ||||
1,512 | Blue Nile, Inc.* | 65,001 | ||||
26,380 | Brown Shoe Co., Inc. | 190,991 | ||||
22,162 | Build-A-Bear Workshop, Inc.*(a) | 99,064 | ||||
7,293 | Charlotte Russe Holding, Inc.* | 93,934 | ||||
15,682 | Chico’s FAS, Inc.*(a) | 152,586 | ||||
6,735 | Citi Trends, Inc.* | 174,302 | ||||
4,298 | Conn’s, Inc.* | 53,725 | ||||
9,272 | Dollar Tree, Inc.* | 390,351 | ||||
7,394 | Dress Barn, Inc.*(a) | 105,734 | ||||
8,213 | Family Dollar Stores, Inc. | 232,428 | ||||
72,531 | Fred’s, Inc. Class A | 913,891 | ||||
2,165 | Gaiam, Inc. Class A* | 11,843 | ||||
12,377 | Genesco, Inc.* | 232,316 | ||||
23,732 | HOT Topic, Inc.*(a) | 173,481 | ||||
8,386 | HSN, Inc.* | 88,640 | ||||
5,553 | Jo-Ann Stores, Inc.* | 114,780 | ||||
9,258 | Netflix, Inc.*(a) | 382,726 | ||||
20,165 | NutriSystem, Inc. | 292,392 | ||||
14,235 | PetSmart, Inc. | 305,483 | ||||
50,069 | Stage Stores, Inc. | 555,766 | ||||
26,510 | The Cato Corp. Class A(a) | 462,334 | ||||
33,955 | Tuesday Morning Corp.* | 114,428 | ||||
6,386,683 | ||||||
Semiconductors & Semiconductor Equipment – 4.6% | ||||||
2,512 | Actel Corp.* | 26,954 | ||||
66,899 | Amkor Technology, Inc.*(a) | 316,432 | ||||
5,364 | Anadigics, Inc.* | 22,475 | ||||
44,485 | Applied Micro Circuits Corp.* | 361,663 | ||||
14,428 | Cirrus Logic, Inc.* | 64,926 | ||||
8,682 | Cohu, Inc. | 77,964 | ||||
48,089 | CSR PLC* | 277,982 | ||||
16,160 | Cypress Semiconductor Corp.*(a) | 148,672 | ||||
22,265 | DSP Group, Inc.* | 150,511 | ||||
11,661 | Entegris, Inc.* | 31,718 | ||||
8,745 | Entropic Communications, Inc.* | 19,676 | ||||
44,862 | Exar Corp.* | 322,558 | ||||
13,059 | Integrated Device Technology, Inc.* | 78,876 | ||||
217,196 | Lattice Semiconductor Corp.* | 408,328 | ||||
25,618 | Micrel, Inc. | 187,524 | ||||
51,992 | MIPS Technologies, Inc.* | 155,976 | ||||
2,272 | MKS Instruments, Inc.* | 29,968 | ||||
25,918 | PLX Technology, Inc.* | 97,711 | ||||
Shares | Description | Value | ||||
Common Stocks – (continued) | ||||||
Semiconductors & Semiconductor Equipment – (continued) | ||||||
19,642 | RF Micro Devices, Inc.* | $ | 73,854 | |||
18,864 | Rudolph Technologies, Inc.* | 104,129 | ||||
3,331 | Sigma Designs, Inc.* | 53,429 | ||||
186,615 | Silicon Image, Inc.* | 429,215 | ||||
109,498 | Silicon Storage Technology, Inc.* | 204,761 | ||||
7,933 | Standard Microsystems Corp.* | 162,230 | ||||
19,287 | Ultratech, Inc.* | 237,423 | ||||
5,385 | Volterra Semiconductor Corp.* | 70,759 | ||||
24,492 | Zoran Corp.* | 266,963 | ||||
4,382,677 | ||||||
Software & Services – 8.8% | ||||||
39,880 | Acxiom Corp.(a) | 352,140 | ||||
11,455 | ArcSight, Inc.* | 203,555 | ||||
42,314 | Art Technology Group, Inc.* | 160,793 | ||||
18,606 | Blackbaud, Inc.(a) | 289,323 | ||||
11,258 | Chordiant Software, Inc.* | 40,867 | ||||
80,925 | Ciber, Inc.* | 250,868 | ||||
37,100 | CommVault Systems, Inc.*(a) | 615,118 | ||||
12,576 | CSG Systems International, Inc.* | 166,506 | ||||
13,052 | Dice Holdings, Inc.* | 60,692 | ||||
9,540 | DivX, Inc.* | 52,375 | ||||
62,457 | EarthLink, Inc.* | 462,806 | ||||
7,408 | Epicor Software Corp.* | 39,262 | ||||
8,692 | ExlService Holdings, Inc.* | 97,437 | ||||
29,207 | FalconStor Software, Inc.* | 138,733 | ||||
37,579 | Internap Network Services Corp.* | 131,151 | ||||
1,960 | Kenexa Corp.* | 22,677 | ||||
7,932 | Lawson Software, Inc.* | 44,261 | ||||
49,826 | Lionbridge Technologies, Inc.* | 91,680 | ||||
9,736 | Liquidity Services, Inc.* | 95,997 | ||||
5,286 | LivePerson, Inc.* | 21,144 | ||||
18,870 | Manhattan Associates, Inc.* | 343,811 | ||||
58,317 | Marchex, Inc. Class B | 196,528 | ||||
39,309 | Mentor Graphics Corp.* | 215,020 | ||||
7,086 | MicroStrategy, Inc. Class A* | 355,859 | ||||
30,669 | ModusLink Global Solutions, Inc.* | 210,389 | ||||
2,631 | Monotype Imaging Holdings, Inc.* | 17,917 | ||||
9,747 | Ness Technologies, Inc.* | 38,111 | ||||
12,434 | NeuStar, Inc. Class A* | 275,537 | ||||
78,762 | OpenTV Corp. Class A* | 103,966 | ||||
35,401 | Parametric Technology Corp.*(a) | 413,838 | ||||
4,847 | Perficient, Inc.* | 33,881 | ||||
9,244 | PROS Holdings, Inc.* | 75,061 | ||||
17,966 | QAD, Inc. | 58,390 | ||||
2,568 | Rackspace Hosting, Inc.* | 35,592 | ||||
134,042 | RealNetworks, Inc.* | 400,786 | ||||
13,553 | Renaissance Learning, Inc.(a) | 124,823 | ||||
11,591 | RightNow Technologies, Inc.* | 136,774 | ||||
15,427 | StarTek, Inc.* | 123,725 | ||||
24,774 | SumTotal Systems, Inc.* | 119,163 | ||||
60,596 | Symyx Technologies* | 354,487 | ||||
12,094 | TeleTech Holdings, Inc.* | 183,224 | ||||
24,010 | The Hackett Group, Inc.* | 55,943 | ||||
25,182 | TIBCO Software, Inc.* | 180,555 | ||||
23,565 | TiVo, Inc.* | 246,961 | ||||
12,030 | Unica Corp.* | 65,924 | ||||
25,735 | United Online, Inc. | 167,535 | ||||
38,901 | Valueclick, Inc.* | 409,239 | ||||
8,988 | VeriFone Holdings, Inc.*(a) | 67,500 | ||||
22,974 | Web.com Group, Inc.* | 129,344 | ||||
8,477,268 | ||||||
Technology Hardware & Equipment – 7.2% | ||||||
52,491 | 3Com Corp.*(a) | 247,233 | ||||
32,493 | Acme Packet, Inc.* | 328,829 | ||||
18,001 | Agilysys, Inc. | 84,245 | ||||
9,594 | Airvana, Inc.* | 61,114 | ||||
480 | Arrow Electronics, Inc.* | 10,195 | ||||
23,832 | Aruba Networks, Inc.* | 208,292 | ||||
17,262 | Avid Technology, Inc.* | 231,483 | ||||
2,157 | Avnet, Inc.* | 45,362 | ||||
1,860 | Avocent Corp.* | 25,966 | ||||
7,104 | Bel Fuse, Inc. Class B | 113,948 | ||||
19,797 | Benchmark Electronics, Inc.* | 285,077 | ||||
20,346 | BigBand Networks, Inc.* | 105,189 | ||||
66,625 | Brightpoint, Inc.* | 417,739 | ||||
29,134 | Cray, Inc.* | 229,576 | ||||
5,672 | CTS Corp. | 37,152 | ||||
17,178 | Electronics for Imaging, Inc.* | 183,117 | ||||
56,797 | Extreme Networks* | 113,594 | ||||
40,505 | Harris Stratex Networks, Inc. Class A* | 262,472 | ||||
58,574 | Imation Corp. | 445,748 | ||||
32,833 | Ingram Micro, Inc. Class A*(a) | 574,577 | ||||
10,137 | Insight Enterprises, Inc.* | 97,923 | ||||
22,026 | Isilon Systems, Inc.* | 93,390 | ||||
11,289 | Ixia* | 76,088 | ||||
14,892 | Methode Electronics, Inc. | 104,542 | ||||
3,036 | Netezza Corp.* | 25,259 | ||||
5,306 | Netgear, Inc.* | 76,459 | ||||
11,851 | Novatel Wireless, Inc.* | 106,896 | ||||
3,740 | PC Mall, Inc.* | 25,282 | ||||
13,002 | PC-Tel, Inc.* | 69,561 | ||||
5,928 | Plantronics, Inc. | 112,098 | ||||
186,698 | Powerwave Technologies, Inc.*(a) | 300,584 | ||||
131,842 | Quantum Corp.* | 109,429 | ||||
16,202 | Radisys Corp.* | 145,980 | ||||
8,553 | Seachange International, Inc.* | 68,681 | ||||
57,387 | ShoreTel, Inc.* | 459,096 | ||||
13,577 | Smart Modular Technologies (WWH), Inc.* | 30,820 | ||||
26,723 | Sonus Networks, Inc.* | 43,024 | ||||
7,900 | STEC, Inc.*(a) | 183,201 | ||||
7,883 | Super Micro Computer, Inc.* | 60,384 | ||||
30,589 | Symmetricom, Inc.* | 176,499 | ||||
8,506 | Tech Data Corp.* | 278,231 | ||||
28,380 | Tellabs, Inc.* | 162,617 | ||||
18,178 | Tollgrade Communications, Inc.* | 95,253 | ||||
6,912,205 | ||||||
Telecommunication Services – 2.0% | ||||||
6,002 | Centennial Communications Corp.* | 50,177 | ||||
101,179 | PAETEC Holding Corp.* | 273,183 | ||||
28,799 | Syniverse Holdings, Inc.* | 461,648 | ||||
Shares | Description | Value | ||||
Common Stocks – (continued) | ||||||
Telecommunication Services – (continued) | ||||||
88,363 | USA Mobility, Inc. | $ | 1,127,512 | |||
10,747 | Virgin Mobile USA, Inc. Class A* | 43,203 | ||||
1,955,723 | ||||||
Transportation – 1.4% | ||||||
6,333 | Dollar Thrifty Automotive Group, Inc.* | 88,345 | ||||
14,346 | Hertz Global Holdings, Inc.* | 114,624 | ||||
2,304 | J.B. Hunt Transport Services, Inc.(a) | 70,341 | ||||
2,301 | Knight Transportation, Inc.(a) | 38,082 | ||||
3,719 | Landstar System, Inc. | 133,549 | ||||
19,464 | Marten Transport Ltd.* | 404,073 | ||||
3,234 | Ultrapetrol Bahamas Ltd.* | 14,327 | ||||
7,243 | Universal Truckload Services, Inc. | 113,353 | ||||
17,188 | UTi Worldwide, Inc.* | 195,943 | ||||
9,822 | Werner Enterprises, Inc.(a) | 177,975 | ||||
12,084 | YRC Worldwide, Inc.* | 20,905 | ||||
1,371,517 | ||||||
Utilities – 1.1% | ||||||
16,075 | Black Hills Corp.(a) | 369,564 | ||||
4,544 | SJW Corp. | 103,149 | ||||
7,975 | Southwest Gas Corp. | 177,125 | ||||
9,473 | Unisource Energy Corp. | 251,413 | ||||
10,111 | Westar Energy, Inc. | 189,784 | ||||
1,091,035 | ||||||
TOTAL COMMON STOCKS | ||||||
(Cost $93,356,050) | $ | 94,195,240 | ||||
Closed-End Fund – 0.0% | ||||||
2,413 | Kayne Anderson Energy Development Co. | 31,996 | ||||
(Cost $32,710) | ||||||
Rate | ||||||
Investment Company(c) – 2.7% | ||||||
JPMorgan U.S. Government Money Market Fund – Capital Shares | ||||||
2,602,113 | 0.236% | $ | 2,602,113 | |||
(Cost $2,602,113) | ||||||
TOTAL INVESTMENTS BEFORE SECURITIES LENDING REINVESTMENT VEHICLE | ||||||
(Cost $95,990,873) | $ | 96,829,349 | ||||
Securities Lending Reinvestment Vehicle(c)(d) – 22.1% | ||||||
Boston Global Investment Trust – Enhanced Portfolio II | ||||||
21,238,626 | 0.282% | $ | 21,174,910 | |||
(Cost $20,996,964) | ||||||
TOTAL INVESTMENTS – 122.8% | ||||||
(Cost $116,987,837) | $ | 118,004,259 | ||||
LIABILITIES IN EXCESS OF OTHER ASSETS – (22.8)% | (21,912,172 | ) | ||||
NET ASSETS – 100.0% | $ | 96,092,087 | ||||
* | Non-income producing security. | |
(a) | All or a portion of security is on loan. | |
(b) | All or a portion of security is segregated as collateral for initial margin requirements on futures transactions. | |
(c) | Variable rate security. Interest rate disclosed is that which is in effect at June 30, 2009. | |
(d) | Represents an affiliated issuer. |
Number of | Settlement | Notional | Unrealized | |||||||||||||
Type | Contracts Long | Month | Value | Loss | ||||||||||||
Russell 2000 Mini Index | 34 | September 2009 | $ | 1,724,480 | $ | (11,111 | ) | |||||||||
Assets: | ||||
Investments in securities of unaffiliated issuers, at value (identified cost $95,990,873)(a) | $ | 96,829,349 | ||
Investments in affiliated securities lending reinvestment vehicle, at value (identified cost $20,996,964) | 21,174,910 | |||
Cash | 81,422 | |||
Receivables: | ||||
Investment securities sold | 3,606,643 | |||
Due from custodian | 89,707 | |||
Dividends and interest | 84,450 | |||
Securities lending income | 7,390 | |||
Fund shares sold | 4,012 | |||
Other assets | 698 | |||
Total assets | 121,878,581 | |||
Liabilities: | ||||
Payables: | ||||
Payable upon return of securities loaned | 21,467,755 | |||
Investment securities purchased | 3,947,342 | |||
Fund shares redeemed | 161,329 | |||
Amounts owed to affiliates | 100,431 | |||
Due to broker — variation margin | 2,222 | |||
Accrued expenses | 107,415 | |||
Total liabilities | 25,786,494 | |||
Net Assets: | ||||
Paid-in capital | 160,909,021 | |||
Accumulated undistributed net investment income | 897,575 | |||
Accumulated net realized loss from investment and futures transactions | (66,719,820 | ) | ||
Net unrealized gain on investments and futures | 1,005,311 | |||
NET ASSETS | $ | 96,092,087 | ||
Net Assets: | ||||
Institutional | $ | 80,709,944 | ||
Service | 15,382,143 | |||
Total Net Assets | $ | 96,092,087 | ||
Shares of beneficial interest outstanding $0.001 par value (unlimited shares authorized): | ||||
Institutional | 11,528,202 | |||
Service | 2,206,406 | |||
Net asset value, offering and redemption price per share: | ||||
Institutional | $ | 7.00 | ||
Service | 6.97 | |||
(a) | Includes loaned securities having a market value of $20,724,660. |
Investment income: | ||||
Dividends | $ | 735,836 | ||
Securities lending income — affiliated issuer | 76,367 | |||
Total investment income | 812,203 | |||
Expenses: | ||||
Management fees | 322,163 | |||
Professional fees | 45,279 | |||
Custody and accounting fees | 38,690 | |||
Printing fees | 12,999 | |||
Distribution and Service fees — Service Shares | 12,531 | |||
Transfer Agent fees(a) | 8,588 | |||
Trustee fees | 8,460 | |||
Other | 5,717 | |||
Total expenses | 454,427 | |||
Less — expense reductions | (71,346 | ) | ||
Net expenses | 383,081 | |||
NET INVESTMENT INCOME | 429,122 | |||
Realized and unrealized gain (loss) from investment and futures transactions: | ||||
Net realized gain (loss) from: | ||||
Investment transaction — unaffiliated issuers | (19,701,485 | ) | ||
Securities lending reinvestment vehicle transactions — affiliated issuer | 12,672 | |||
Futures transactions | 247,771 | |||
Net change in unrealized gain (loss) on: | ||||
Investments — unaffiliated issuers | 19,579,176 | |||
Securities lending reinvestment vehicle — affiliated issuer | 136,478 | |||
Futures | (186,107 | ) | ||
Net realized and unrealized gain from investment and futures transactions | 88,505 | |||
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS | $ | 517,627 | ||
(a) | Institutional and Service Shares had Transfer Agent fees of $7,586 and $1,002, respectively. |
For the | ||||||||
Six Months Ended | For the Fiscal | |||||||
June 30, 2009 | Year Ended | |||||||
(Unaudited) | December 31, 2008 | |||||||
From operations: | ||||||||
Net investment income | $ | 429,122 | $ | 1,061,513 | ||||
Net realized loss from investment and futures transactions | (19,441,042 | ) | (42,454,681 | ) | ||||
Net change in unrealized gain (loss) on investments and futures | 19,529,547 | (7,454,796 | ) | |||||
Net increase (decrease) in net assets resulting from operations | 517,627 | (48,847,964 | ) | |||||
Distributions to shareholders: | ||||||||
From net investment income | ||||||||
Institutional Shares | — | (781,388 | ) | |||||
Service Shares | — | (53,513 | ) | |||||
From net realized gains | ||||||||
Institutional Shares | — | (197,173 | ) | |||||
Service Shares | — | (14,073 | ) | |||||
Total distributions to shareholders | — | (1,046,147 | ) | |||||
From share transactions: | ||||||||
Proceeds from sales of shares | 10,372,426 | 17,777,531 | ||||||
Reinvestments of distributions | — | 1,046,147 | ||||||
Cost of shares redeemed | (7,514,617 | ) | (29,119,034 | ) | ||||
Net increase (decrease) in net assets resulting from share transactions | 2,857,809 | (10,295,356 | ) | |||||
TOTAL INCREASE (DECREASE) | 3,375,436 | (60,189,467 | ) | |||||
Net assets: | ||||||||
Beginning of period | 92,716,651 | 152,906,118 | ||||||
End of period | $ | 96,092,087 | $ | 92,716,651 | ||||
Accumulated undistributed net investment income | $ | 897,575 | $ | 468,453 | ||||
Income (loss) from | Distributions to | Ratios assuming no | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
investment operations | 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 | expenses | income | Portfolio | ||||||||||||||||||||||||||||||||||||||||||||||||||
beginning | investment | unrealized | investment | investment | realized | Total | end of | Total | period | to average | to average | to average | to average | turnover | ||||||||||||||||||||||||||||||||||||||||||||||||
Year - Share Class | of period | income | gain (loss) | operations | income | gains | distributions | period | return(a) | (in 000s) | net assets | net assets | net assets | net assets | rate | |||||||||||||||||||||||||||||||||||||||||||||||
FOR THE SIX MONTHS ENDED JUNE 30, (UNAUDITED) | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
2009 - Institutional | $ | 6.98 | $ | 0.03(b | ) | $ | (0.01 | ) | $ | 0.02 | $ | — | $ | — | $ | — | $ | 7.00 | 0.29 | % | $ | 80,710 | 0.86 | %(c) | 1.03 | %(c) | 1.01 | %(c) | 0.88 | %(c) | 102 | % | ||||||||||||||||||||||||||||||
2009 - Service | 6.96 | 0.02(b | ) | (0.01 | ) | 0.01 | — | — | — | 6.97 | 0.14 | 15,382 | 1.11 | (c) | 0.76 | (c) | 1.26 | (c) | 0.61 | (c) | 102 | |||||||||||||||||||||||||||||||||||||||||
FOR THE FISCAL YEARS ENDED DECEMBER 31, | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
2008 - Institutional | 10.71 | 0.09(d | ) | (3.74 | ) | (3.65 | ) | (0.06 | ) | (0.02 | ) | (0.08 | ) | 6.98 | (33.95 | ) | 86,253 | 0.86 | 0.85 | (d) | 1.06 | 0.65 | (d) | 189 | ||||||||||||||||||||||||||||||||||||||
2008 - Service | 10.71 | 0.06(d | ) | (3.73 | ) | (3.67 | ) | (0.06 | ) | (0.02 | ) | (0.08 | ) | 6.96 | (34.16 | ) | 6,464 | 1.11 | 1.92 | (d) | 1.31 | 1.72 | (d) | 189 | ||||||||||||||||||||||||||||||||||||||
2007 - Institutional | 14.44 | 0.07(b | )(e) | (2.42 | ) | (2.35 | ) | (0.05 | ) | (1.33 | ) | (1.38 | ) | 10.71 | (16.48 | ) | 152,896 | 0.90 | (f) | 0.49 | (e)(f) | 0.95 | (f) | 0.44 | (e)(f) | 163 | ||||||||||||||||||||||||||||||||||||
2007 - Service (commenced August 31, 2007) | 12.81 | 0.02(b | ) | (0.74 | ) | (0.72 | ) | (0.05 | ) | (1.33 | ) | (1.38 | ) | 10.71 | (5.86 | ) | 10 | 0.96 | (c) | 0.56 | (c) | 1.21 | (c) | 0.31 | (c) | 163 | ||||||||||||||||||||||||||||||||||||
2006 - Institutional | 13.93 | 0.07(b | ) | 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 - Institutional | 14.40 | 0.05(b | ) | 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 - Institutional | 12.99 | 0.02(b | ) | 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 | |||||||||||||||||||||||||||||||||||||||||||
(a) | Assumes investment at the net asset value at the beginning of the period, reinvestment of all distributions and a complete redemption of the investment at the net asset value at the end of the period. Total returns for periods less than one full year are not annualized. | |
(b) | Calculated based on the average shares outstanding methodology. | |
(c) | Annualized. | |
(d) | Reflects income recognized from a special dividend which amounted to $0.01 per share and 0.14% of average net assets. | |
(e) | Reflects income recognized from a special dividend which amounted to $0.02 per share and 0.14% of average net assets. | |
(f) | Includes non-recurring expense for a special shareholder meeting, which amounted to approximately 0.03% of average net assets. |
14
2. SIGNIFICANT ACCOUNTING POLICIES (continued) |
2. SIGNIFICANT ACCOUNTING POLICIES (continued) |
Effective Net | ||||||||||||||||||||||
Contractual Management Rate | Management Rate | |||||||||||||||||||||
First $2 billion | Next $3 billion | Next $3 billion | Over $8 billion | Effective Rate | (after waiver) | |||||||||||||||||
0.75 | % | 0.68 | % | 0.65 | % | 0.64 | % | 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, 2009, GSAM waived approximately $8,600 of the Fund’s management fee. |
3. AGREEMENTS (continued) |
Level 1 | Level 2 | Level 3 | ||||||||||
Assets | ||||||||||||
Common Stock and/or Other Equity Investments | $ | 93,949,254 | $ | 277,982 | $ | — | ||||||
Short-term Investments | 2,602,113 | 21,174,910 | — | |||||||||
Total | $ | 96,551,367 | $ | 21,452,892 | $ | — | ||||||
Liabilities | ||||||||||||
Derivatives | $ | (11,111 | ) | $ | — | $ | — | |||||
5. SECURITIES LENDING (continued) |
Number of | ||||||||||||||||
Shares Held | Number of Shares | Value at | ||||||||||||||
Beginning of Period | Shares Bought | Shares Sold | Held End of Period | End of Period | ||||||||||||
9,206 | 40,643 | (28,610 | ) | 21,239 | $ | 21,175 | ||||||||||
Capital loss carryforward:(1) | ||||
Expiring 2016 | $ | (34,979,788 | ) | |
Timing differences (related to post-October losses, related to the recognition of certain REIT dividends for tax purposes) | $ | (10,609,808 | ) | |
(1) | Expiration occurs on December 31 of the year indicated. |
Tax cost | $ | 118,464,359 | ||
Gross unrealized gain | 8,114,669 | |||
Gross unrealized loss | (8,574,769 | ) | ||
Net unrealized security loss | $ | (460,100 | ) | |
7. TAX INFORMATION (continued) |
For the Six Months Ended | ||||||||||||||||
June 30, 2009 | For the Fiscal Year Ended | |||||||||||||||
(Unaudited) | December 31, 2008 | |||||||||||||||
Shares | Dollars | Shares | Dollars | |||||||||||||
Institutional Shares | ||||||||||||||||
Shares sold | 368,778 | $ | 2,311,389 | 1,165,736 | $ | 10,502,596 | ||||||||||
Reinvestment of distributions | — | — | 150,317 | 978,561 | ||||||||||||
Shares redeemed | (1,204,460 | ) | (7,503,634 | ) | (3,224,897 | ) | (29,097,259 | ) | ||||||||
(835,682 | ) | (5,192,245 | ) | (1,908,844 | ) | (17,616,102 | ) | |||||||||
Service Shares | ||||||||||||||||
Shares sold | 1,278,947 | 8,061,037 | 920,266 | 7,274,935 | ||||||||||||
Reinvestment of distributions | — | — | 10,414 | 67,586 | ||||||||||||
Shares redeemed | (1,766 | ) | (10,983 | ) | (2,362 | ) | (21,775 | ) | ||||||||
1,277,181 | 8,050,054 | 928,318 | 7,320,746 | |||||||||||||
NET INCREASE (DECREASE) | 441,499 | $ | 2,857,809 | (980,526 | ) | $ | (10,295,356 | ) | ||||||||
First $2 billion | 0.75 | % | ||
Next $3 billion | 0.68 | |||
Next $3 billion | 0.65 | |||
Over $8 billion | 0.64 |
Expenses | |||||||||||||||
Paid for the | |||||||||||||||
Beginning | Ending | 6 Months | |||||||||||||
Account value | Account Value | Ended | |||||||||||||
Share Class | 1/01/09 | 6/30/09 | 6/30/09* | ||||||||||||
Institutional | |||||||||||||||
Actual | $ | 1,000 | $ | 1,002.90 | $ | 4.27 | |||||||||
Hypothetical 5% return | 1,000 | 1,020.53 | + | 4.31 | |||||||||||
Service | |||||||||||||||
Actual | 1,000 | 1,001.40 | 5.51 | ||||||||||||
Hypothetical 5% return | 1,000 | 1,019.29 | + | 5.56 | |||||||||||
* | Expenses for each share class 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, 2009. 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 1.11% 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 | James A. McNamara, President | |
John P. Coblentz, Jr. | John M. Perlowski, Senior Vice | |
Diana M. Daniels | President and Treasurer | |
Patrick T. Harker | Peter V. Bonanno, Secretary | |
James A. McNamara | ||
Jessica Palmer | ||
Alan A. Shuch | ||
Richard P. Strubel | ||
GOLDMAN, SACHS & CO. Distributor and Transfer Agent | ||
GOLDMAN SACHS ASSET MANAGEMENT, L.P. Investment Adviser 32 Old Slip, New York, New York 10005 | ||
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 1-800-526-7384 (for Retail Shareholders) or 1-800-621-2550 (for Institutional Shareholders); and (ii) on the Securities and Exchange Commission (“SEC”) Web site at http://www.sec.gov. | ||
The Fund files its complete schedule of portfolio holdings with the SEC for the first and third quarters of each fiscal year on Form N-Q. The Fund’s Form N-Q is available on the SEC’s website at http://www.sec.gov within 60 days after the Fund’s first and third fiscal quarters. 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. Forms N-Q may be obtained upon request and without charge by calling 1-800-621-2550. | ||
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 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 Fund. | ||
Toll Free (in U.S.): 800-292-4726 | ||
This report is prepared for the general information of contract owners and is not an offer of shares of the Goldman Sachs Variable Insurance Trust: Goldman Sachs Structured Small Cap Equity Fund. | ||
Copyright 2009 Goldman, Sachs & Co. All rights reserved. | ||
VITSTRSCSAR/25773.MF.TMPL/08-09 |
Goldman Sachs Structured U.S. Equity Fund |
Holding | % of Net Assets | Line of Business | ||||||
Microsoft Corp. | 4.1 | % | Software & Services | |||||
Exxon Mobil Corp. | 3.6 | Energy | ||||||
Lorillard, Inc. | 2.9 | Food, Beverage & Tobacco | ||||||
Devon Energy Corp. | 2.1 | Energy | ||||||
Eli Lilly & Co. | 2.0 | Pharmaceuticals, Biotechnology & Life Sciences | ||||||
Wal-Mart Stores, Inc. | 2.0 | Food & Staples Retailing | ||||||
Cisco Systems, Inc. | 1.8 | �� | Technology Hardware & Equipment | |||||
Amgen, Inc. | 1.8 | Pharmaceuticals, Biotechnology & Life Sciences | ||||||
Pfizer, Inc. | 1.8 | Pharmaceuticals, Biotechnology & Life Sciences | ||||||
Accenture Ltd. Class A | 1.7 | Software & Services |
Shares | Description | Value | ||||
Common Stocks – 97.9% | ||||||
Automobiles & Components – 1.6% | ||||||
5,877 | BorgWarner, Inc.(a) | $ | 200,700 | |||
13,938 | Federal Mogul Corp.* | 131,714 | ||||
222,670 | Johnson Controls, Inc. | 4,836,392 | ||||
107,681 | TRW Automotive Holdings Corp.*(a) | 1,216,795 | ||||
6,385,601 | ||||||
Banks – 2.8% | ||||||
61,660 | BB&T Corp. | 1,355,287 | ||||
9,413 | Comerica, Inc. | 199,085 | ||||
11,023 | Hudson City Bancorp, Inc. | 146,496 | ||||
194,929 | U.S. Bancorp | 3,493,128 | ||||
254,314 | Wells Fargo & Co. | 6,169,657 | ||||
11,363,653 | ||||||
Capital Goods – 5.4% | ||||||
27,814 | AGCO Corp.*(b) | 808,553 | ||||
1,125 | Cummins, Inc. | 39,611 | ||||
84,411 | Emerson Electric Co. | 2,734,917 | ||||
325,420 | General Electric Co. | 3,813,922 | ||||
43,836 | Lockheed Martin Corp. | 3,535,373 | ||||
70,534 | Northrop Grumman Corp. | 3,221,993 | ||||
3,788 | Raytheon Co. | 168,301 | ||||
4,882 | Rockwell Collins, Inc. | 203,726 | ||||
47,216 | Toro Co.(a) | 1,411,759 | ||||
34,686 | Tyco International Ltd. | 901,142 | ||||
104,016 | United Technologies Corp. | 5,404,671 | ||||
5,105 | URS Corp.* | 252,800 | ||||
22,496,768 | ||||||
Commercial & Professional Services – 0.5% | ||||||
31,539 | Manpower, Inc. | 1,335,361 | ||||
34,183 | Robert Half International, Inc.(a) | 807,403 | ||||
2,142,764 | ||||||
Consumer Durables & Apparel – 0.6% | ||||||
138,020 | Harman International Industries, Inc.(a) | 2,594,776 | ||||
Consumer Services – 1.1% | ||||||
104,200 | Carnival Corp.(a) | 2,685,234 | ||||
52 | Choice Hotels International, Inc. | 1,384 | ||||
90,246 | Marriott International, Inc. Class A(a) | 1,991,734 | ||||
4,678,352 | ||||||
Diversified Financials – 7.4% | ||||||
2,886 | Affiliated Managers Group, Inc.* | 167,936 | ||||
30,719 | Allied Capital Corp.(a) | 106,902 | ||||
39,742 | American Express Co. | 923,604 | ||||
410,158 | Bank of America Corp. | 5,414,086 | ||||
8,860 | BlackRock, Inc.(a) | 1,554,221 | ||||
1,035,381 | Citigroup, Inc.(a) | 3,075,082 | ||||
84,668 | Eaton Vance Corp.(a) | 2,264,869 | ||||
71,544 | Federated Investors, Inc. Class B(a) | 1,723,495 | ||||
31,696 | Franklin Resources, Inc. | 2,282,429 | ||||
117,021 | JPMorgan Chase & Co. | 3,991,586 | ||||
21,377 | MF Global Ltd.*(a) | 126,766 | ||||
27,900 | Moody’s Corp.(a) | 735,165 | ||||
99,677 | SEI Investments Co. | 1,798,173 | ||||
112,980 | T. Rowe Price Group, Inc.(a) | 4,707,877 | ||||
40,711 | The Bank of New York Mellon Corp. | 1,193,239 | ||||
13,671 | Waddell & Reed Financial, Inc. Class A | 360,504 | ||||
30,425,934 | ||||||
Energy – 12.2% | ||||||
84,437 | Alpha Natural Resources, Inc.* | 2,218,160 | ||||
73,617 | Chevron Corp. | 4,877,126 | ||||
44,260 | Cimarex Energy Co. | 1,254,328 | ||||
142,920 | ConocoPhillips | 6,011,215 | ||||
159,436 | Devon Energy Corp. | 8,689,262 | ||||
88,353 | Exterran Holdings, Inc.*(a) | 1,417,182 | ||||
214,908 | Exxon Mobil Corp. | 15,024,218 | ||||
49,126 | Frontier Oil Corp. | 644,042 | ||||
3,622 | Mariner Energy, Inc.* | 42,559 | ||||
157,703 | Patterson-UTI Energy, Inc.(a) | 2,028,061 | ||||
51,412 | Schlumberger Ltd. | 2,781,903 | ||||
22,040 | St. Mary Land & Exploration Co.(a) | 459,975 | ||||
41,837 | Tesoro Corp.(a) | 532,585 | ||||
685 | Unit Corp.* | 18,886 | ||||
272,634 | Valero Energy Corp. | 4,604,788 | ||||
710 | W&T Offshore, Inc. | 6,916 | ||||
50,611,206 | ||||||
Food & Staples Retailing – 2.0% | ||||||
174,452 | Wal-Mart Stores, Inc. | 8,450,455 | ||||
Food, Beverage & Tobacco – 8.1% | ||||||
149,241 | Archer-Daniels-Midland Co. | 3,995,182 | ||||
32,004 | Bunge Ltd.(a) | 1,928,241 | ||||
48,280 | Coca-Cola Enterprises, Inc. | 803,862 | ||||
118,127 | Hansen Natural Corp.*(a) | 3,640,674 | ||||
29,874 | Hormel Foods Corp. | 1,031,848 | ||||
174,592 | Lorillard, Inc. | 11,832,100 | ||||
53,346 | PepsiCo, Inc. | 2,931,896 | ||||
127,436 | Philip Morris International, Inc. | 5,558,758 | ||||
26,408 | Smithfield Foods, Inc.*(a) | 368,920 | ||||
108,702 | Tyson Foods, Inc. Class A | 1,370,732 | ||||
33,462,213 | ||||||
Health Care Equipment & Services – 1.9% | ||||||
47,785 | Boston Scientific Corp.* | 484,540 | ||||
166,154 | Coventry Health Care, Inc.*(a) | 3,108,741 | ||||
35,336 | Hologic, Inc.* | 502,831 | ||||
52,952 | Humana, Inc.*(a) | 1,708,232 | ||||
2,947 | Idexx Laboratories, Inc.* | 136,151 | ||||
38,582 | Stryker Corp. | 1,533,249 | ||||
9,892 | WellCare Health Plans, Inc.* | 182,903 | ||||
4,700 | Zimmer Holdings, Inc.* | 200,220 | ||||
7,856,867 | ||||||
Shares | Description | Value | ||||
Common Stocks – (continued) | ||||||
Household & Personal Products – 1.9% | ||||||
68,436 | Colgate-Palmolive Co. | $ | 4,841,162 | |||
58,777 | The Procter & Gamble Co. | 3,003,505 | ||||
7,844,667 | ||||||
Insurance – 1.5% | ||||||
16,970 | Aflac, Inc. | 527,597 | ||||
3,395 | Lincoln National Corp. | 58,428 | ||||
47,896 | MetLife, Inc. | 1,437,359 | ||||
41,633 | Prudential Financial, Inc. | 1,549,580 | ||||
23,111 | The Travelers Companies, Inc. | 948,476 | ||||
103,543 | Unum Group | 1,642,192 | ||||
6,163,632 | ||||||
Materials – 2.8% | ||||||
22,662 | Allegheny Technologies, Inc.(a) | 791,584 | ||||
41,764 | Ball Corp. | 1,886,062 | ||||
2,788 | Cabot Corp. | 35,073 | ||||
14,151 | Commercial Metals Co. | 226,840 | ||||
33,679 | Eastman Chemical Co. | 1,276,434 | ||||
46,756 | Huntsman Corp.(a) | 235,183 | ||||
13,821 | Monsanto Co. | 1,027,453 | ||||
85,994 | Reliance Steel & Aluminum Co. | 3,301,310 | ||||
36,994 | Schnitzer Steel Industries, Inc. Class A(a) | 1,955,503 | ||||
60,918 | The Dow Chemical Co. | 983,216 | ||||
11,718,658 | ||||||
Media – 2.5% | ||||||
5,654 | Clear Channel Outdoor Holdings, Inc. Class A* | 29,966 | ||||
174,637 | Comcast Corp. Class A | 2,530,490 | ||||
35,500 | Comcast Corp. Special Class A | 500,550 | ||||
28,788 | News Corp. Class A | 262,259 | ||||
9,000 | News Corp. Class B | 95,130 | ||||
25,887 | Scripps Networks Interactive, Inc. Class A | 720,435 | ||||
53,558 | The Walt Disney Co. | 1,249,508 | ||||
189,687 | Time Warner, Inc. | 4,778,216 | ||||
10,166,554 | ||||||
Pharmaceuticals, Biotechnology & Life Sciences – 11.8% | ||||||
140,385 | Amgen, Inc.* | 7,431,982 | ||||
84,613 | Biogen Idec, Inc.* | 3,820,277 | ||||
29,054 | Bristol-Myers Squibb Co. | 590,087 | ||||
244,130 | Eli Lilly & Co. | 8,456,663 | ||||
58,409 | Forest Laboratories, Inc.* | 1,466,650 | ||||
30,595 | Genzyme Corp.* | 1,703,224 | ||||
141,845 | Gilead Sciences, Inc.* | 6,644,020 | ||||
113,678 | Johnson & Johnson | 6,456,910 | ||||
131,166 | Merck & Co., Inc.(a) | 3,667,401 | ||||
495,438 | Pfizer, Inc.(a) | 7,431,570 | ||||
23,485 | Thermo Fisher Scientific, Inc.* | 957,483 | ||||
276 | Wyeth | 12,528 | ||||
48,638,795 | ||||||
Real Estate Investment Trust – 1.9% | ||||||
31,118 | Federal Realty Investment Trust(a) | 1,603,199 | ||||
19,951 | Liberty Property Trust(a) | 459,671 | ||||
44,181 | Plum Creek Timber Co., Inc.(a) | 1,315,710 | ||||
53,372 | Rayonier, Inc.(a) | 1,940,072 | ||||
49,957 | Simon Property Group, Inc.(a) | 2,569,289 | ||||
7,887,941 | ||||||
Retailing – 4.3% | ||||||
3,981 | Aeropostale, Inc.* | 136,429 | ||||
15,788 | Amazon.com, Inc.* | 1,320,824 | ||||
15,661 | Big Lots, Inc.* | 329,351 | ||||
49,442 | Dollar Tree, Inc.* | 2,081,508 | ||||
144,233 | Family Dollar Stores, Inc. | 4,081,794 | ||||
13,486 | HSN, Inc.* | 142,547 | ||||
87,452 | Liberty Media Corp. – Interactive* | 438,135 | ||||
129,864 | PetSmart, Inc. | 2,786,881 | ||||
82,472 | Ross Stores, Inc.(a) | 3,183,419 | ||||
103,005 | The TJX Companies, Inc. | 3,240,537 | ||||
17,741,425 | ||||||
Semiconductors & Semiconductor Equipment – 2.6% | ||||||
90,667 | Broadcom Corp. Class A*(a) | 2,247,635 | ||||
1,202 | Cypress Semiconductor Corp.* | 11,058 | ||||
7,066 | Fairchild Semiconductor International, Inc.* | 49,391 | ||||
13,319 | Integrated Device Technology, Inc.* | 80,447 | ||||
298,841 | Intel Corp. | 4,945,819 | ||||
83,977 | LSI Corp.* | 382,935 | ||||
145,084 | Texas Instruments, Inc. | 3,090,289 | ||||
10,807,574 | ||||||
Software & Services – 7.9% | ||||||
204,756 | Accenture Ltd. Class A | 6,851,136 | ||||
21,209 | Adobe Systems, Inc.* | 600,215 | ||||
81,504 | eBay, Inc.*(a) | 1,396,163 | ||||
13,063 | Google, Inc. Class A* | 5,507,230 | ||||
713,351 | Microsoft Corp. | 16,956,353 | ||||
24,653 | Symantec Corp.* | 383,601 | ||||
59,113 | VeriSign, Inc.* | 1,092,408 | ||||
32,787,106 | ||||||
Technology Hardware & Equipment – 8.3% | ||||||
19,649 | ADC Telecommunications, Inc.* | 156,406 | ||||
15,804 | Apple, Inc.* | 2,250,964 | ||||
39,871 | Arrow Electronics, Inc.* | 846,860 | ||||
42,862 | Avnet, Inc.* | 901,388 | ||||
408,593 | Cisco Systems, Inc.* | 7,616,173 | ||||
339,305 | Dell, Inc.* | 4,658,658 | ||||
1,350 | EchoStar Corp. Class A* | 21,519 | ||||
319,079 | EMC Corp.* | 4,179,935 | ||||
134,164 | Ingram Micro, Inc. Class A* | 2,347,870 | ||||
40,177 | International Business Machines Corp. | 4,195,282 | ||||
140,630 | NetApp, Inc.*(a) | 2,773,224 | ||||
7,468 | QUALCOMM, Inc. | 337,554 | ||||
159,410 | Seagate Technology | 1,667,429 | ||||
42,459 | Sun Microsystems, Inc.* | 391,472 | ||||
Shares | Description | Value | ||||
Common Stocks – (continued) | ||||||
Technology Hardware & Equipment – (continued) | ||||||
126,046 | Tellabs, Inc.* | $ | 722,243 | |||
49,463 | Western Digital Corp.* | 1,310,769 | ||||
34,377,746 | ||||||
Telecommunication Services – 3.7% | ||||||
257,727 | AT&T, Inc.(b) | 6,401,939 | ||||
105,361 | Embarq Corp. | 4,431,484 | ||||
64,001 | NII Holdings, Inc.* | 1,220,499 | ||||
568,231 | Sprint Nextel Corp.* | 2,733,191 | ||||
13,893 | Telephone & Data Systems, Inc. | 393,172 | ||||
15,180,285 | ||||||
Transportation – 2.5% | ||||||
7,196 | C.H. Robinson Worldwide, Inc. | 375,271 | ||||
48,173 | Expeditors International of Washington, Inc. | 1,606,088 | ||||
57,956 | FedEx Corp. | 3,223,513 | ||||
102,412 | United Parcel Service, Inc. Class B | 5,119,576 | ||||
10,324,448 | ||||||
Utilities – 2.6% | ||||||
259,042 | Duke Energy Corp. | 3,779,423 | ||||
471,615 | Dynegy, Inc. Class A* | 1,070,566 | ||||
95,839 | Exelon Corp.(a) | 4,907,915 | ||||
61,970 | Mirant Corp.* | 975,408 | ||||
10,733,312 | ||||||
TOTAL COMMON STOCKS | ||||||
(Cost $412,956,895) | $ | 404,840,732 | ||||
Shares | Rate | Value | ||||
Investment Company(c) – 2.4% | ||||||
JPMorgan U.S. Government Money Market Fund – Capital Shares | ||||||
9,752,180 | 0.236% | $ | 9,752,180 | |||
(Cost $9,752,180) | ||||||
TOTAL INVESTMENTS BEFORE SECURITIES LENDING REINVESTMENT VEHICLE | ||||||
(Cost $422,709,075) | $ | 414,592,912 | ||||
Securities Lending Reinvestment Vehicle(c)(d) – 13.4% | ||||||
Boston Global Investment Trust – Enhanced Portfolio II | ||||||
55,661,512 | 0.282% | $ | 55,494,527 | |||
(Cost $55,037,670) | ||||||
TOTAL INVESTMENTS – 113.7% | ||||||
(Cost $477,746,745) | $ | 470,087,439 | ||||
LIABILITIES IN EXCESS OF OTHER ASSETS – (13.7)% | (56,535,268 | ) | ||||
NET ASSETS – 100.0% | $ | 413,552,171 | ||||
* | Non-income producing security. | |
(a) | All or a portion of security is on loan. | |
(b) | All or a portion of security is segregated as collateral for initial margin requirements on futures transactions. | |
(c) | Variable rate security. Interest rate disclosed is that which is in effect at June 30, 2009. | |
(d) | Represents an affiliated issuer. |
Number of | Settlement | Notional | Unrealized | |||||||||||||
Type | Contracts Long | Month | Value | Loss | ||||||||||||
S&P 500 E-mini | 188 | September 2009 | $ | 8,605,700 | $ | (37,036 | ) | |||||||||
Assets: | ||||
Investments in securities of unaffiliated issuers, at value (identified cost $422,709,075)(a) | $ | 414,592,912 | ||
Investments in affiliated securities lending reinvestment vehicle, at value (identified cost $55,037,670) | 55,494,527 | |||
Receivables: | ||||
Fund shares sold | 761,260 | |||
Dividends and interest | 337,417 | |||
Securities lending income | 166,938 | |||
Reimbursement from adviser | 14,320 | |||
Other assets | 1,888 | |||
Total assets | 471,369,262 | |||
Liabilities: | ||||
Payables: | ||||
Payable upon return of securities loaned | 56,259,239 | |||
Fund shares redeemed | 572,186 | |||
Amounts owed to affiliates | 248,481 | |||
Due to broker — variation margin | 53,580 | |||
Accrued expenses and other liabilities | 683,605 | |||
Total liabilities | 57,817,091 | |||
Net Assets: | ||||
Paid-in capital | 721,283,156 | |||
Accumulated undistributed net investment income | 5,337,874 | |||
Accumulated net realized loss from investment and futures transactions | (305,372,517 | ) | ||
Net unrealized loss on investments and futures | (7,696,342 | ) | ||
NET ASSETS | $ | 413,552,171 | ||
Net Assets: | ||||
Institutional | $ | 314,596,276 | ||
Service | 98,955,895 | |||
Total Net Assets | $ | 413,552,171 | ||
Shares of beneficial interest outstanding $0.001 par value (unlimited shares authorized): | ||||
Institutional | 39,134,563 | |||
Service | 12,304,985 | |||
Net asset value, offering and redemption price per share: | ||||
Institutional | $ | 8.04 | ||
Service | 8.04 | |||
(a) | Includes loaned securities having a market value of $54,318,001. |
Investment income: | ||||
Dividends | $ | 5,044,251 | ||
Securities lending income — affiliated issuer | 481,472 | |||
Total investment income | 5,525,723 | |||
Expenses: | ||||
Management fees | 1,297,039 | |||
Distribution and Service fees — Service Shares | 118,562 | |||
Printing fees | 45,464 | |||
Professional fees | 44,296 | |||
Transfer Agent fees(a) | 39,906 | |||
Custody and accounting fees | 29,334 | |||
Trustee fees | 8,460 | |||
Other | 18,458 | |||
Total expenses | 1,601,519 | |||
Less — expense reductions | (80,385 | ) | ||
Net expenses | 1,521,134 | |||
NET INVESTMENT INCOME | 4,004,589 | |||
Realized and unrealized gain (loss) from investment and futures transactions: | ||||
Net realized gain (loss) from: | ||||
Investment transactions — unaffiliated issuers | (98,188,401 | ) | ||
Securities lending reinvestment vehicle transactions — affiliated issuer | 42,917 | |||
Futures transactions | 139,528 | |||
Net change in unrealized gain (loss) on: | ||||
Investments — unaffiliated issuers | 92,981,837 | |||
Securities lending reinvestment vehicle — affiliated issuer | 347,686 | |||
Futures | (251,789 | ) | ||
Net realized and unrealized loss from investment and futures transactions | (4,928,222 | ) | ||
NET DECREASE IN NET ASSETS RESULTING FROM OPERATIONS | $ | (923,633 | ) | |
(a) | Institutional and Service Shares had Transfer Agent fees of $30,422 and $9,484, respectively. |
For the | ||||||||
Six Months Ended | For the Fiscal | |||||||
June 30, 2009 | Year Ended | |||||||
(Unaudited) | December 31, 2008 | |||||||
From operations: | ||||||||
Net investment income | $ | 4,004,589 | $ | 10,381,685 | ||||
Net realized loss from investment and futures transactions | (98,005,956 | ) | (164,162,633 | ) | ||||
Net change in unrealized gain (loss) on investments and futures | 93,077,734 | (147,574,697 | ) | |||||
Net decrease in net assets resulting from operations | (923,633 | ) | (301,355,645 | ) | ||||
Distributions to shareholders: | ||||||||
From net investment income | ||||||||
Institutional Shares | — | (7,626,004 | ) | |||||
Service Shares | — | (2,046,496 | ) | |||||
From net realized gains | ||||||||
Institutional Shares | — | (4,278,205 | ) | |||||
Service Shares | — | (1,333,264 | ) | |||||
Total distributions to shareholders | — | (15,283,969 | ) | |||||
From share transactions: | ||||||||
Proceeds from sales of shares | 6,685,213 | 12,580,702 | ||||||
Reinvestments of distributions | — | 15,283,969 | ||||||
Cost of shares redeemed | (42,939,372 | ) | (218,640,245 | ) | ||||
Net decrease in net assets resulting from share transactions | (36,254,159 | ) | (190,775,574 | ) | ||||
TOTAL DECREASE | (37,177,792 | ) | (507,415,188 | ) | ||||
Net assets: | ||||||||
Beginning of period | 450,729,963 | 958,145,151 | ||||||
End of period | $ | 413,552,171 | $ | 450,729,963 | ||||
Accumulated undistributed net investment income | $ | 5,337,874 | $ | 1,333,285 | ||||
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 | expenses | income | Portfolio | ||||||||||||||||||||||||||||||||||||||||||||||||||
beginning | investment | unrealized | investment | investment | realized | Total | end of | Total | period | to average | to average | to average | to average | turnover | ||||||||||||||||||||||||||||||||||||||||||||||||
Year - Share Class | 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) | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
2009 - Institutional | $ | 7.99 | $ | 0.08 | $ | (0.03 | ) | $ | 0.05 | $ | — | $ | — | $ | — | $ | 8.04 | 0.63 | % | $ | 314,596 | 0.71 | %(c) | 2.06 | %(c) | 0.74 | %(c) | 2.03 | %(c) | 81 | % | |||||||||||||||||||||||||||||||
2009 - Service | 8.00 | 0.07 | (0.03 | ) | 0.04 | — | — | — | 8.04 | 0.50 | 98,956 | 0.92 | (c) | 1.84 | (c) | 0.99 | (c) | 1.77 | (c) | 81 | ||||||||||||||||||||||||||||||||||||||||||
FOR THE FISCAL YEARS ENDED DECEMBER 31, | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
2008 - Institutional | 13.16 | 0.17 | (5.06 | ) | (4.89 | ) | (0.18 | ) | (0.10 | ) | (0.28 | ) | 7.99 | (36.92 | ) | 344,144 | 0.71 | 1.53 | 0.72 | 1.52 | 110 | |||||||||||||||||||||||||||||||||||||||||
2008 - Service | 13.16 | 0.14 | (5.04 | ) | (4.90 | ) | (0.16 | ) | (0.10 | ) | (0.26 | ) | 8.00 | (37.05 | ) | 106,586 | 0.92 | 1.34 | 0.97 | 1.29 | 110 | |||||||||||||||||||||||||||||||||||||||||
2007 - Institutional | 14.67 | 0.15 | (0.37 | ) | (0.22 | ) | (0.16 | ) | (1.13 | ) | (1.29 | ) | 13.16 | (1.63 | ) | 752,148 | 0.71 | (d) | 1.02 | (d) | 0.72 | (d) | 1.01 | (d) | 125 | |||||||||||||||||||||||||||||||||||||
2007 - Service | 14.67 | 0.14 | (0.37 | ) | (0.23 | ) | (0.15 | ) | (1.13 | ) | (1.28 | ) | 13.16 | (1.72 | ) | 205,997 | 0.79 | (d) | 0.94 | (d) | 0.97 | (d) | 0.76 | (d) | 125 | |||||||||||||||||||||||||||||||||||||
2006 - Institutional | 13.13 | 0.14 | 1.55 | 1.69 | (0.15 | ) | — | (0.15 | ) | 14.67 | 12.89 | 910,345 | 0.72 | 1.01 | 0.72 | 1.01 | 99 | |||||||||||||||||||||||||||||||||||||||||||||
2006 - Service (commenced January 9, 2006) | 13.54 | 0.13 | 1.14 | 1.27 | (0.14 | ) | — | (0.14 | ) | 14.67 | 9.38 | 261,814 | 0.80 | (c) | 0.92 | (c) | 0.97 | (c) | 0.75 | (c) | 99 | |||||||||||||||||||||||||||||||||||||||||
2005 - Institutional | 12.42 | 0.13 | 0.68 | 0.81 | (0.10 | ) | — | (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 | ) | — | (0.13 | ) | 12.42 | 14.94 | 521,137 | 0.75 | 1.26 | 0.78 | 1.23 | 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. Total returns for periods less than one full year are not annualized. | |
(c) | Annualized. | |
(d) | Includes non-recurring expense for a special shareholder meeting which amounted to approximately 0.02% of average net assets. |
11
2. SIGNIFICANT ACCOUNTING POLICIES (continued) |
2. SIGNIFICANT ACCOUNTING POLICIES (continued) |
Contractual Management Rate | ||||||||||||||||||||||
First $1 billion | Next $1 billion | Next $3 billion | Next $3 billion | Over $8 billion | Effective Rate | |||||||||||||||||
0.65 | % | 0.59 | % | 0.56 | % | 0.55 | % | 0.54 | % | 0.65 | % | |||||||||||
3. AGREEMENTS (continued) |
Level 1 | Level 2 | Level 3 | ||||||||||||
Assets | ||||||||||||||
Common Stock and/or Other Equity Investments | $ | 404,840,732 | $ | — | $ | — | ||||||||
Short-term Investments | 9,752,180 | 55,494,527 | — | |||||||||||
Total | $ | 414,592,912 | $ | 55,494,527 | $ | — | ||||||||
Liabilities | ||||||||||||||
Derivatives | $ | (37,036 | ) | $ | — | $ | — | |||||||
5. SECURITIES LENDING (continued) |
Number of | ||||||||
Shares Held | Number of Shares | Value at | ||||||
Beginning of Period | Shares Bought | Shares Sold | Held End of Period | End of Period | ||||
24,237 | 174,094 | (142,669) | 55,662 | $55,495 | ||||
Capital loss carryforward:(1) | ||||
Expiring 2009 | $ | (6,902,391 | ) | |
Expiring 2010 | (31,739,316 | ) | ||
Expiring 2016 | (100,032,013 | ) | ||
Total capital loss carryforward | $ | (138,673,720 | ) | |
Timing differences (post-October losses) | $ | (57,379,511 | ) | |
(1) | Expiration occurs on December 31 of the year indicated. Due to fund mergers, utilization of these losses may be substantially limited under the Code. |
7. TAX INFORMATION (continued) |
Tax cost | $ | 488,775,963 | ||
Gross unrealized gain | 23,312,474 | |||
Gross unrealized loss | (42,000,998 | ) | ||
Net unrealized security loss | $ | (18,688,524 | ) | |
For the Six Months Ended | ||||||||||||||||
June 30, 2009 | For the Fiscal Year Ended | |||||||||||||||
(Unaudited) | December 31, 2008 | |||||||||||||||
Shares | Dollars | Shares | Dollars | |||||||||||||
Institutional Shares | ||||||||||||||||
Shares sold | 652,852 | $ | 4,874,218 | 1,036,638 | $ | 10,604,402 | ||||||||||
Reinvestment of distributions | — | — | 1,564,285 | 11,904,209 | ||||||||||||
Shares redeemed | (4,612,654 | ) | (33,634,444 | ) | (16,656,572 | ) | (186,803,202 | ) | ||||||||
(3,959,802 | ) | �� | (28,760,226 | ) | (14,055,649 | ) | (164,294,591 | ) | ||||||||
Service Shares | ||||||||||||||||
Shares sold | 244,086 | 1,810,995 | 203,939 | 1,976,300 | ||||||||||||
Reinvestment of distributions | — | — | 442,956 | 3,379,760 | ||||||||||||
Shares redeemed | (1,266,771 | ) | (9,304,928 | ) | (2,969,078 | ) | (31,837,043 | ) | ||||||||
(1,022,685 | ) | (7,493,933 | ) | (2,322,183 | ) | (26,480,983 | ) | |||||||||
NET DECREASE | (4,982,487 | ) | $ | (36,254,159 | ) | (16,377,832 | ) | $ | (190,775,574 | ) | ||||||
Contractual Management Rate | ||||||||||||||||||
Up to $1 billion | Next $1 billion | Next $3 billion | Next $3 billion | Over $8 billion | ||||||||||||||
0.62 | % | 0.59 | % | 0.56 | % | 0.55 | % | 0.54 | % | |||||||||
First $1 billion | 0.65 | % | ||
Next $1 billion | 0.59 | |||
Next $3 billion | 0.56 | |||
Next $3 billion | 0.55 | |||
Over $8 billion | 0.54 |
Expenses Paid | |||||||||||||||
for the | |||||||||||||||
Beginning | Ending | 6 Months | |||||||||||||
Account value | Account Value | Ended | |||||||||||||
Share Class | 1/1/09 | 6/30/09 | 6/30/09* | ||||||||||||
Institutional | |||||||||||||||
Actual | $ | 1,000 | $ | 1,006.30 | $ | 3.53 | |||||||||
Hypothetical 5% return | 1,000 | 1,021.27 | + | 3.56 | |||||||||||
Service | |||||||||||||||
Actual | 1,000 | 1,005.00 | 4.57 | ||||||||||||
Hypothetical 5% return | 1,000 | 1,020.23 | + | 4.61 | |||||||||||
* | Expenses for each share class 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, 2009. 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 0.92% 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 John P. Coblentz, Jr. Diana M. Daniels Patrick T. Harker James A. McNamara Jessica Palmer Alan A. Shuch Richard P. Strubel | James A. McNamara, President John M. Perlowski, Senior Vice President and Treasurer Peter V. Bonanno, Secretary | |
GOLDMAN, SACHS & CO. Distributor and Transfer Agent | ||
GOLDMAN SACHS ASSET MANAGEMENT, L.P. Investment Adviser 32 Old Slip, New York, New York 10005 | ||
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 1-800-526-7384 (for Retail Shareholders) or 1-800-621-2550 (for Institutional Shareholders); and (ii) on the Securities and Exchange Commission (“SEC”) Web site at http://www.sec.gov. | ||
The Fund files its complete schedule of portfolio holdings with the SEC for the first and third quarters of each fiscal year on Form N-Q. The Fund’s Form N-Q is available on the SEC’s website at http://www.sec.gov within 60 days after the Fund’s first and third fiscal quarters. 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. Forms N-Q may be obtained upon request and without charge by calling 1-800-621-2550. | ||
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 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 Fund. | ||
Toll Free (in U.S.): 800-292-4726 | ||
This report is prepared for the general information of contract owners and is not an offer of shares of the Goldman Sachs Variable Insurance Trust: Goldman Sachs Structured U.S. Equity Fund. | ||
Copyright 2009 Goldman, Sachs & Co. All rights reserved. | ||
VITSTRUSSAR/25773.MF.TMPL/08-09 |
Money Market Fund
Principal | Interest | Maturity | Amortized | |||||||||||
Amount | Rate | Date | Cost | |||||||||||
Commercial Paper and Corporate Obligations – 37.1% | ||||||||||||||
Amsterdam Funding Corp. | ||||||||||||||
$ | 1,000,000 | 0.300 | % | 07/10/09 | $ | 999,925 | ||||||||
Aspen Funding Corp. | ||||||||||||||
5,000,000 | 0.330 | 07/13/09 | 4,999,450 | |||||||||||
Atlantic Asset Securitization Corp. | ||||||||||||||
6,000,000 | 0.630 | 07/01/09 | 6,000,000 | |||||||||||
Atlantis One Funding Corp. | ||||||||||||||
4,000,000 | 0.400 | 09/18/09 | 3,996,489 | |||||||||||
Cafco LLC | ||||||||||||||
4,000,000 | 0.650 | 08/13/09 | 3,996,894 | |||||||||||
Chariot Funding LLC | ||||||||||||||
1,000,000 | 0.230 | 07/08/09 | 999,955 | |||||||||||
Charta LLC | ||||||||||||||
3,000,000 | 0.650 | 08/12/09 | 2,997,725 | |||||||||||
Ciesco LLC | ||||||||||||||
4,000,000 | 0.650 | 08/13/09 | 3,996,894 | |||||||||||
CRC Funding LLC | ||||||||||||||
1,000,000 | 0.620 | 08/14/09 | 999,242 | |||||||||||
4,000,000 | 0.400 | 09/02/09 | 3,997,200 | |||||||||||
Falcon Asset Securitization Corp. | ||||||||||||||
1,000,000 | 0.230 | 07/07/09 | 999,962 | |||||||||||
Govco LLC | ||||||||||||||
3,000,000 | 0.400 | 09/03/09 | 2,997,867 | |||||||||||
Jupiter Securitization Corp. | ||||||||||||||
3,030,000 | 0.280 | 07/21/09 | 3,029,529 | |||||||||||
LMA Americas LLC | ||||||||||||||
1,000,000 | 0.520 | 07/10/09 | 999,870 | |||||||||||
1,000,000 | 0.500 | 07/27/09 | 999,639 | |||||||||||
Park Avenue Receivable Co. LLC | ||||||||||||||
4,000,000 | 0.280 | 07/27/09 | 3,999,191 | |||||||||||
Regency Markets No. 1 LLC | ||||||||||||||
4,000,000 | 0.500 | 08/17/09 | 3,997,389 | |||||||||||
Straight-A Funding LLC | ||||||||||||||
2,000,000 | 0.370 | 09/01/09 | 1,998,726 | |||||||||||
Thames Asset Global Securitization, Inc. | ||||||||||||||
5,000,000 | 0.570 | 08/03/09 | 4,997,387 | |||||||||||
Tulip Funding Corp. | ||||||||||||||
5,000,000 | 0.310 | 07/06/09 | 4,999,785 | |||||||||||
TOTAL COMMERCIAL PAPER AND CORPORATE OBLIGATIONS | $ | 62,003,119 | ||||||||||||
Eurodollar Certificates of Deposit – 5.4% | ||||||||||||||
HSBC Bank PLC | ||||||||||||||
$ | 5,000,000 | 1.505 | % | 09/10/09 | $ | 5,000,049 | ||||||||
National Australia Bank Ltd. | ||||||||||||||
3,000,000 | 0.610 | 07/14/09 | 3,000,011 | |||||||||||
1,000,000 | 1.210 | 09/23/09 | 1,000,023 | |||||||||||
TOTAL EURODOLLAR CERTIFICATES OF DEPOSIT | $ | 9,000,083 | ||||||||||||
U.S. Government Guarantee Commercial Paper(a) – 2.1% | ||||||||||||||
General Electric Capital Corp. | ||||||||||||||
1,000,000 | 0.850 | 07/23/09 | 999,481 | |||||||||||
1,000,000 | 0.850 | 07/27/09 | 999,386 | |||||||||||
Swedbank AB | ||||||||||||||
500,000 | 0.700 | 11/10/09 | 498,717 | |||||||||||
500,000 | 0.700 | 11/12/09 | 498,697 | |||||||||||
500,000 | 0.700 | 11/13/09 | 498,687 | |||||||||||
TOTAL U.S. GOVERNMENT GUARANTEE COMMERCIAL PAPER | $ | 3,494,968 | ||||||||||||
U.S. Government Guarantee Variable Rate Obligations(a)(b) – 2.4% | ||||||||||||||
Bank of America N.A. | ||||||||||||||
$ | 1,000,000 | 1.104 | % | 07/29/09 | $ | 1,000,000 | ||||||||
Royal Bank of Scotland Group PLC | ||||||||||||||
3,000,000 | 1.056 | 08/10/09 | 3,000,000 | |||||||||||
TOTAL U.S. GOVERNMENT GUARANTEE VARIABLE RATE OBLIGATIONS | $ | 4,000,000 | ||||||||||||
U.S. Government Agency Obligations – 21.0% | ||||||||||||||
Federal Home Loan Bank | ||||||||||||||
$ | 1,000,000 | 0.869 | %(b) | 07/09/09 | $ | 999,923 | ||||||||
1,000,000 | 0.859 | (b) | 07/13/09 | 999,961 | ||||||||||
2,000,000 | 0.528 | (b) | 09/01/09 | 1,999,488 | ||||||||||
2,000,000 | 0.449 | (b) | 09/08/09 | 1,999,717 | ||||||||||
2,000,000 | 0.650 | (b) | 09/10/09 | 2,000,000 | ||||||||||
2,000,000 | 2.720 | 09/18/09 | 2,000,000 | |||||||||||
2,000,000 | 0.950 | 04/05/10 | 1,998,885 | |||||||||||
700,000 | 0.600 | 06/21/10 | 699,355 | |||||||||||
Federal Home Loan Mortgage Corp. | ||||||||||||||
5,740,000 | 1.211 | (b) | 07/07/09 | 5,741,758 | ||||||||||
1,000,000 | 1.039 | (b) | 07/13/09 | 1,000,000 | ||||||||||
800,000 | 0.200 | 07/14/09 | 799,942 | |||||||||||
700,000 | 0.200 | 07/21/09 | 699,922 | |||||||||||
200,000 | 0.630 | (b) | 09/03/09 | 199,926 | ||||||||||
3,000,000 | 0.670 | 11/20/09 | 2,992,072 | |||||||||||
2,500,000 | 0.420 | 02/08/10 | 2,493,525 | |||||||||||
3,000,000 | 0.660 | 05/04/10 | 2,983,115 | |||||||||||
Federal National Mortgage Association | ||||||||||||||
2,000,000 | 0.410 | (b) | 07/01/09 | 1,999,965 | ||||||||||
1,000,000 | 1.029 | (b) | 07/13/09 | 999,689 | ||||||||||
2,500,000 | 0.420 | 02/08/10 | 2,493,525 | |||||||||||
TOTAL U.S. GOVERNMENT AGENCY OBLIGATIONS | $ | 35,100,768 | ||||||||||||
Principal | Interest | Maturity | Amortized | |||||||||||
Amount | Rate | Date | Cost | |||||||||||
Variable Rate Obligations(b) – 8.1% | ||||||||||||||
ANZ National Bank Limited | ||||||||||||||
$ | 3,000,000 | 0.890 | % | 09/10/09 | $ | 3,000,000 | ||||||||
Rabobank Nederland | ||||||||||||||
2,000,000 | 0.561 | 07/07/09 | 2,000,000 | |||||||||||
1,000,000 | 0.646 | 09/04/09 | 1,000,000 | |||||||||||
Royal Bank of Canada | ||||||||||||||
2,000,000 | 1.203 | 08/17/09 | 2,000,000 | |||||||||||
Wachovia Bank N.A. | ||||||||||||||
4,000,000 | 1.586 | 07/06/09 | 4,000,303 | |||||||||||
Westpac Banking Corp. | ||||||||||||||
1,500,000 | 0.652 | 09/09/09 | 1,500,000 | |||||||||||
TOTAL VARIABLE RATE OBLIGATIONS | $ | 13,500,303 | ||||||||||||
Yankee Certificates of Deposit – 3.0% | ||||||||||||||
Rabobank Nederland | ||||||||||||||
$ | 1,000,000 | 1.000 | % | 09/04/09 | $ | 1,000,000 | ||||||||
Svenska Handelsbanken AB | ||||||||||||||
4,000,000 | 0.490 | 08/07/09 | 4,000,041 | |||||||||||
TOTAL YANKEE CERTIFICATES OF DEPOSIT | $ | 5,000,041 | ||||||||||||
U.S. Treasury Obligation – 0.6% | ||||||||||||||
United States Treasury Bill | ||||||||||||||
$ | 1,000,000 | 0.600 | % | 06/03/10 | $ | 994,383 | ||||||||
TOTAL INVESTMENTS BEFORE REPURCHASE AGREEMENT | $ | 133,093,665 | ||||||||||||
Repurchase Agreement(c) – 20.4% | ||||||||||||||
Joint Repurchase Agreement Account II | ||||||||||||||
$ | 34,100,000 | 0.073 | % | 07/01/09 | $ | 34,100,000 | ||||||||
Maturity Value: $34,100,069 | ||||||||||||||
TOTAL INVESTMENTS – 100.1% | $ | 167,193,665 | ||||||||||||
LIABILITIES IN EXCESS OF OTHER ASSETS – (0.1)% | (87,870 | ) | ||||||||||||
NET ASSETS – 100.0% | $ | 167,105,795 | ||||||||||||
(a) | This debt is guaranteed under the Federal Deposit Insurance Corporation’s Temporary Liquidity Guarantee Program and is backed by the full faith and credit of the United States. The expiration date of the FDIC’s guarantee is the earlier of the maturity date of the debt or June 30, 2012. Total market value of these securities amounts to $7,494,968, which represents approximately 4.5% of net assets as of June 30, 2009. | |
(b) | Variable or floating rate security is based on either the U.S. Treasury Bill Rate, London Interbank Offering Rate, Prime Lending Rate, or Federal Funds Rate. Interest rate disclosed is that which is in effect at June 30, 2009. | |
(c) | Joint repurchase agreement was entered into on June 30, 2009. Additional information appears on page 7. |
Principal | Interest | Maturity | Maturity | |||||||||||||
Counterparty | Amount | Rate | Date | Value | ||||||||||||
Banc of America Securities LLC | $ | 1,500,000,000 | 0.02 | % | 07/01/09 | $ | 1,500,000,833 | |||||||||
Banc of America Securities LLC | 2,000,000,000 | 0.10 | 07/01/09 | 2,000,005,556 | ||||||||||||
Barclays Capital, Inc. | 1,650,000,000 | 0.01 | 07/01/09 | 1,650,000,458 | ||||||||||||
Barclays Capital, Inc. | 1,650,000,000 | 0.10 | 07/01/09 | 1,650,004,583 | ||||||||||||
Citigroup Global Markets, Inc. | 2,500,000,000 | 0.10 | 07/01/09 | 2,500,006,945 | ||||||||||||
Credit Suisse Securities (USA) LLC | 2,000,000,000 | 0.02 | 07/01/09 | 2,000,001,111 | ||||||||||||
Credit Suisse Securities (USA) LLC | 1,950,000,000 | 0.11 | 07/01/09 | 1,950,005,958 | ||||||||||||
Deutsche Bank Securities, Inc. | 1,250,000,000 | 0.09 | 07/01/09 | 1,250,003,125 | ||||||||||||
JPMorgan Securities | 1,762,300,000 | 0.01 | 07/01/09 | 1,762,300,490 | ||||||||||||
JPMorgan Securities | 2,950,000,000 | 0.09 | 07/01/09 | 2,950,007,375 | ||||||||||||
Merrill Lynch & Co., Inc. | 1,000,000,000 | 0.07 | 07/01/09 | 1,000,001,944 | ||||||||||||
Morgan Stanley & Co. | 1,350,000,000 | 0.07 | 07/01/09 | 1,350,002,625 | ||||||||||||
RBS Securities, Inc. | 500,000,000 | 0.12 | 07/01/09 | 500,001,667 | ||||||||||||
UBS Securities LLC | 1,125,000,000 | 0.11 | 07/01/09 | 1,125,003,438 | ||||||||||||
Wachovia Capital Markets | 550,000,000 | 0.12 | 07/01/09 | 550,001,833 | ||||||||||||
TOTAL | $ | 23,737,347,941 | ||||||||||||||
Assets: | ||||
Investments in securities, at value based on amortized cost | $ | 133,093,665 | ||
Repurchase agreement, at value based on amortized cost | 34,100,000 | |||
Cash | 11,709 | |||
Receivables: | ||||
Interest | 116,026 | |||
Fund shares sold | 76,946 | |||
Reimbursement from adviser | 46,764 | |||
Other assets | 22,263 | |||
Total assets | 167,467,373 | |||
Liabilities: | ||||
Payables: | ||||
Fund shares redeemed | 228,773 | |||
Amounts owed to affiliates | 82,269 | |||
Accrued expenses | 50,536 | |||
Total liabilities | 361,578 | |||
Net Assets: | ||||
Paid-in capital | 167,093,152 | |||
Accumulated undistributed net investment income | 4,656 | |||
Accumulated net realized gain from investment transactions | 7,987 | |||
NET ASSETS | $ | 167,105,795 | ||
Total Service Shares of beneficial interest outstanding $0.001 par value (unlimited shares authorized) | 167,091,295 | |||
Net asset value, offering and redemption price per share | $ | 1.00 | ||
Investment income: | ||||
Interest | $ | 867,816 | ||
Expenses: | ||||
Management fees | 315,054 | |||
Distribution and Service fees | 225,040 | |||
Professional fees | 54,153 | |||
Custody and accounting fees | 22,715 | |||
Printing fees | 18,336 | |||
Transfer Agent fees | 18,003 | |||
Trustee fees | 8,460 | |||
Other | 49,287 | |||
Total expenses | 711,048 | |||
Less — expense reductions | (112,298 | ) | ||
Net expenses | 598,750 | |||
NET INVESTMENT INCOME | 269,066 | |||
NET REALIZED GAIN FROM INVESTMENT TRANSACTIONS | 18,289 | |||
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS | $ | 287,355 | ||
For the | ||||||||
Six Months Ended | For the | |||||||
June 30, 2009 | Fiscal Year Ended | |||||||
(Unaudited) | December 31, 2008 | |||||||
From operations: | ||||||||
Net investment income | $ | 269,066 | $ | 4,529,922 | ||||
Net realized gain (loss) from investment transactions | 18,289 | (8,445 | ) | |||||
Net increase in net assets resulting from operations | 287,355 | 4,521,477 | ||||||
Distributions to shareholders: | ||||||||
From net investment income | (272,855 | ) | (4,521,477 | ) | ||||
From share transactions: | ||||||||
Proceeds from sales of shares | 22,876,500 | 66,759,739 | ||||||
Reinvestment of distributions | 273,034 | 4,521,524 | ||||||
Cost of shares redeemed | (50,929,358 | ) | (81,928,114 | ) | ||||
Net decrease in net assets resulting from share transactions | (27,779,824 | ) | (10,646,851 | ) | ||||
TOTAL DECREASE | (27,765,324 | ) | (10,646,851 | ) | ||||
Net assets: | ||||||||
Beginning of period | 194,871,119 | 205,517,970 | ||||||
End of period | $ | 167,105,795 | $ | 194,871,119 | ||||
Accumulated undistributed net investment income | $ | 4,656 | $ | 8,445 | ||||
Summary of share transactions: | ||||||||
Shares sold | 22,876,500 | 66,759,739 | ||||||
Shares issued on reinvestment of distributions | 273,034 | 4,521,524 | ||||||
Shares redeemed | (50,929,358 | ) | (81,928,114 | ) | ||||
NET DECREASE | (27,779,824 | ) | (10,646,851 | ) | ||||
Ratios assuming no | ||||||||||||||||||||||||||||||||||||||||
Ratio of | expense reduction | |||||||||||||||||||||||||||||||||||||||
Net asset | Distributions | Net assets, | Ratio of | net investment | Ratio of | |||||||||||||||||||||||||||||||||||
value, | Net | from net | Net asset | end of | net expenses | income | total expenses | |||||||||||||||||||||||||||||||||
beginning | investment | investment | value, end | Total | period | to average | to average | to average | ||||||||||||||||||||||||||||||||
of period | income | income | of period | return(a) | (in 000s) | net assets | net assets | net assets | ||||||||||||||||||||||||||||||||
FOR THE SIX MONTHS ENDED JUNE 30, (UNAUDITED) | ||||||||||||||||||||||||||||||||||||||||
2009 | $ | 1.00 | $ | .001(b) | $ | ( | .001) | $ | 1.00 | 0.15 | % | $ | 167,106 | 0.63 | %(c) | 0.30 | %(c)(d) | 0.76 | %(c) | |||||||||||||||||||||
FOR THE FISCAL YEARS ENDED DECEMBER 31, | ||||||||||||||||||||||||||||||||||||||||
2008 | 1.00 | 0 | .02(b) | (0 | .02) | 1.00 | 2.25 | 194,871 | 0.63 | 2.27 | (d) | 0.71 | ||||||||||||||||||||||||||||
2007 | 1.00 | 0 | .05(b) | (0 | .05) | 1.00 | 4.98 | 205,518 | 0.48 | 4.87 | (d) | 0.71 | ||||||||||||||||||||||||||||
2006(e) | 1.00 | 0 | .05(b) | (0 | .05) | 1.00 | 4.65 | 199,439 | 0.49 | 4.59 | (d) | 0.71 | ||||||||||||||||||||||||||||
2005(e) | 1.00 | 0 | .03 | (0 | .03)(f) | 1.00 | 2.75 | 222,194 | 0.55 | 2.65 | 0.55 | |||||||||||||||||||||||||||||
2004(e) | 1.00 | 0 | .01 | (0 | .01) | 1.00 | 0.91 | 264,679 | 0.52 | 0.88 | 0.52 | |||||||||||||||||||||||||||||
(a) | Assumes reinvestment of all distributions. 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 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. | |
(b) | Calculated based on the average shares outstanding methodology. | |
(c) | Annualized. | |
(d) | Ratio of net investment income assuming no expense reductions is 4.37% for the year ended December 31, 2006, 4.64% for the year ended December 31, 2007, 2.19% for the year ended December 31, 2008 and 0.17% for the six months ended June 30, 2009. | |
(e) | 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 reorganization, the Goldman Sachs Money Market Fund issued Service Shares to the former shareholders of the Predecessor AIT Fund. | |
(f) | Distribution from net realized gain on investments and return of capital amounted to less than $0.0005. |
11
2. SIGNIFICANT ACCOUNTING POLICIES (continued) |
3. AGREEMENTS (continued) |
Level 1 | Level 2(a) | Level 3 | ||||||||||
Assets | ||||||||||||
Short-Term Investments | ||||||||||||
U.S. Treasury and Other U.S. Government Obligations and Agencies | $ | 994,383 | $ | 42,595,736 | $ | — | ||||||
Corporate Obligations | — | 123,603,546 | — | |||||||||
Total | $ | 994,383 | $ | 166,199,282 | $ | — | ||||||
(a) | The Fund utilizes amortized cost which approximates fair value in order to value money market investments. This results in primarily a Level 2 classification as amortized cost is considered a model-based price. |
6. OTHER MATTERS (continued) |
Expenses Paid | |||||||||||||||
for the | |||||||||||||||
Beginning | Ending | 6 Months | |||||||||||||
Account Value | Account Value | Ended | |||||||||||||
1/01/09 | 6/30/09 | 6/30/09* | |||||||||||||
Actual | $ | 1,000.00 | $ | 1,001.50 | $ | 3.13 | |||||||||
Hypothetical 5% return | 1,000.00 | 1,021.67 | + | 3.16 | |||||||||||
* | 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, 2009. 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 was 0.63%. | |
+ | 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 | James A. McNamara, President | |
John P. Coblentz, Jr. | John M. Perlowski, Senior Vice | |
Diana M. Daniels | President and Treasurer | |
Patrick T. Harker | Peter V. Bonanno, Secretary | |
James A. McNamara | ||
Jessica Palmer | ||
Alan A. Shuch | ||
Richard P. Strubel | ||
GOLDMAN, SACHS & CO. Distributor and Transfer Agent | ||
GOLDMAN SACHS ASSET MANAGEMENT, L.P. Investment Adviser | ||
32 Old Slip, New York, New York 10005 | ||
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 (“SEC”) Web site at http://www.sec.gov. | ||
The Fund files its complete schedule of portfolio holdings with the SEC for the first and third quarters of each fiscal year on Form N-Q. The Fund’s Form N-Q is available on the SEC’s website at http://www.sec.gov within 60 days after the Fund’s first and third fiscal quarters. 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. Forms N-Q may be obtained upon request and without charge by calling 1-800-621-2550. | ||
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 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 Fund. | ||
Toll Free (in U.S.): 800-292-4726 | ||
This report is prepared for the general information of contract owners and is not an offer of shares of the Goldman Sachs Variable Insurance Trust Funds: Money Market Fund. | ||
Copyright 2009 Goldman, Sachs & Co. All rights reserved. | ||
VITMMSAR/25773.MF.TMPL/08-09 |
ITEM 2. | CODE OF ETHICS. |
Not applicable to the Semi-Annual Reports for the period ended June 30, 2009. |
ITEM 3. | AUDIT COMMITTEE FINANCIAL EXPERT. | |
Not applicable to the Semi-Annual Reports for the period ended June 30, 2009. |
ITEM 4. | PRINCIPAL ACCOUNTANT FEES AND SERVICES. | |
Not applicable to the Semi-Annual Reports for the period ended June 30, 2009. |
ITEM 5. | AUDIT COMMITTEE OF LISTED REGISTRANTS. |
Not applicable. |
ITEM 6. | SCHEDULE OF INVESTMENTS |
Schedules of Investments are included as part of the Semi-Annual Reports 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, 2009. | |||
(a)(2) | Exhibit 99.CERT Exhibit 99.906CERT | Certifications pursuant to Section 302 of the Sarbanes-Oxley Act of 2002 are filed herewith. Certifications pursuant to Section 906 of the Sarbanes-Oxley Act of 2002 are 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/ James A. McNamara | ||
By: James A. McNamara | ||
Chief Executive Officer of | ||
Goldman Sachs Variable Insurance Trust | ||
Date: August 24, 2009 | ||
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated. | ||
/s/ James A. McNamara | ||
By: James A. McNamara | ||
Chief Executive Officer of | ||
Goldman Sachs Variable Insurance Trust | ||
Date: August 24, 2009 | ||
/s/ John M. Perlowski | ||
By: John M. Perlowski | ||
Chief Financial Officer of | ||
Goldman Sachs Variable Insurance Trust | ||
Date: August 24, 2009 |