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 H. 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: December 31, 2009
| ITEM 1. | REPORTS TO STOCKHOLDERS. | |
| The Annual Reports to Stockholders are filed herewith. |
Goldman
Sachs Variable Insurance Trust
Goldman Sachs
Growth and Income Fund
Annual Report
December 31, 2009
 |
GOLDMAN SACHS VARIABLE INSURANCE TRUST GROWTH AND INCOME FUND
INVESTMENT OBJECTIVE
The Fund seeks long-term growth of capital and growth of income.
Portfolio Management Discussion and Analysis
Below, the Goldman Sachs Value Portfolio Management Team discusses the Fund’s performance and positioning for the 12 months ended December 31, 2009.
How did the Goldman Sachs Growth and Income Fund (the “Fund”) perform during the annual period ended December 31, 2009 (the “Reporting Period”)?
During the Reporting Period, the Fund’s Institutional and Service Shares generated average annual total returns of 18.32% and 17.87%, respectively. These returns compare to the 19.69% average annual total return of the Fund’s benchmark, the Russell 1000 Value Index (with dividends reinvested) (the “Russell Index”) during the same time period.
What economic and market factors most influenced the equity markets as a whole during the Reporting Period?
U.S. equity markets oscillated between extremes of fear and exuberance in 2009. The credit crisis from 2008 spilled into the first quarter, as the nation’s financial system experienced an extremely challenging period. As governments around the world coordinated a response to the financial crisis, the likelihood of failure was reduced for many companies. Stocks rallied sharply off of a March 9th trough into the second and third quarters. Propelled by investors’ renewed appetite for risk, the equity markets were driven higher by the most battered names from the first quarter. The U.S. equity markets continued to experience gains through the end of the year, though in a less pronounced manner. The economy continued to show encouraging signs of stabilization and improvement during the fourth quarter. However, despite some positive economic data, concerns about the elevated unemployment rate of 10%, the Federal Reserve’s stance on interest rates, and the strength of the U.S. dollar weighed somewhat on the markets during these last months of the year. Still, for the Reporting Period overall, the S&P 500 Index gained 26.46% in a broad-based rally, its best annual gain since 2003, though still significantly down from its 2007 peak. Growth stocks outpaced the gains of value stocks across the capitalization spectrum.
The Russell Index was led during the Reporting Period by gains in the materials sector. Market trends were particularly pronounced in the financials and consumer discretionary sectors. These sectors, which together comprise 30% of the Russell Index, climbed more than 124% and 114%, respectively, from March 9th lows through the end of December 2009. These two sectors contain some of the most credit- or economically-sensitive companies, including real estate investment trusts (REITs), retailers, autos, media and hotels, many of which rebounded dramatically in the recent rally despite the absence of catalysts or improving fundamentals.
What key factors were responsible for the Fund’s performance during the 12-month Reporting Period?
Throughout this market cycle, our disciplined focus on quality, cash generating companies with strong balance sheets and disciplined management teams has led to strong, long-term performance. Consistent with the historical patterns of our strategy, our quality-biased approach served the Fund well as markets declined during the first quarter of 2009, but was challenged in the subsequent euphoric environment post-March 9th. Thus, despite the extreme rally in the U.S. equity market, the Fund finished the year lagging the Russell Index. Sector allocation overall contributed positively to the Fund’s performance during the 12-month Reporting Period. Stock selection overall detracted modestly from Fund performance during the Reporting Period.
Which equity market sectors most significantly affected Fund performance?
Stock selection in the energy, telecommunication services and materials sectors helped the Fund’s performance most. Having a modestly underweighted allocation to financials, which lagged the Russell Index, also contributed positively to the Fund’s results. Detracting from the Fund’s performance was weak stock selection in the consumer discretionary sector and, to a lesser degree, the health care sector.
What were some of the Fund’s positions that added to relative performance?
The Fund benefited most relative to the Russell Index from overweighted positions in industrial chemicals and gas manufacturer Air Products & Chemicals, telecommunications giant Sprint Nextel, diversified banking institution Morgan
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GOLDMAN SACHS VARIABLE INSURANCE TRUST GROWTH AND INCOME FUND
Stanley and pharmaceutical manufacturer Genentech, as well as from having only underweighted position in global integrated oil company Exxon Mobil.
Shares of Air Products & Chemicals advanced on a combination of long-term contracts, stable pricing and high barriers to entry. We sold the Fund’s position in Air Products & Chemicals by the end of the Reporting Period, taking profits. Sprint Nextel ranked as a top contributor to the Fund’s results, as ongoing signs of progress in its turnaround, including improved fundamentals and improvement in its brand, network and customer service, bolstered its share price. Its shares also were buoyed by the company’s release of a competitive prepaid wireless plan and new handsets. Morgan Stanley performed well on reports of profits achieved during the fourth quarter. We sold the Fund’s position in Morgan Stanley by the end of the Reporting Period, taking profits for the Fund. Genentech’s shares rose upon the announcement that it would be acquired by Roche. Genentech was eliminated from the Fund’s portfolio upon its acquisition.
Exxon Mobil’s shares declined through most of the year, as its earnings plunged dramatically and it missed analysts’ estimates amidst reduced demand for its energy products and lower oil and gas prices than seen one year prior. Having recovered somewhat by early December, Exxon Mobil’s stock fell again in the last couple of weeks of the year upon the announcement that it would acquire domestic energy giant XTO energy in an all-stock deal, as it moved to boost its presence in the natural gas segment of the industry. All told, the Fund’s underweighted exposure to this poorly-performing stock boosted its relative results.
Which stocks detracted significantly from the Fund’s performance during the Reporting Period?
Detracting most from the Fund’s results relative to its benchmark index were tax services provider H&R Block, integrated electric power company Entergy, pharmaceutical manufacturer Biogen IDEC, cable and satellite TV provider Comcast and oil and gas exploration and production company Devon Energy.
H&R Block, the biggest U.S. tax preparer, was challenged, as consumer volume was lighter than expected. By the end of the Reporting Period, we had sold the Fund’s position in H&R Block. Shares of Entergy lagged the gains of the market due primarily to pricing pressures amidst broad utility sector weakness, despite sizeable free cash flows and strong balance sheets. Biogen IDEC, a new purchase during the Reporting Period, experienced declines in its stock price after reporting disappointing short-term trends. Shares of Comcast disappointed due to speculation surrounding a potential deal that would give the company a controlling interest in General Electric’s NBC Universal. Due to the lack of transparency within the company, we sold out of its stock before the acquisition was formally announced.
Devon Energy, one of the largest North American independent exploration and production companies, was challenged as the company revalued assets to reflect 2008’s pricing environment. We eliminated the Fund’s position in Devon Energy during the fourth quarter after it sold its oil assets in the Gulf of Mexico and began to focus on increasing its North American natural gas production business. We continue to believe that natural gas prices will remain low in the near term.
Did the Fund make any significant purchases or sales during the Reporting Period?
In addition to those purchases already mentioned, the Fund established new positions in diversified chemicals manufacturer Dow Chemical, integrated oil companies Chevron and BP, data networking products supplier Cisco Systems and oilfield services giant Halliburton during the Reporting Period.
We initiated a Fund position in Dow Chemical because we like the long-term prospects for this company. We believe Dow Chemical will benefit going forward from improved capital allocation, efficient cost-cutting and moving toward a more specialized business within the chemicals industry. We established a Fund position in Cisco Systems, as we believe that this dominant franchise in networking for consumers and enterprise demand is well positioned to benefit from the recovery in information technology spending given its dominant market position, established customer base and innovative product offering. We established positions in Chevron, BP and Halliburton, as we increased the Fund’s exposure to oil and oil service companies that we think should benefit from the favorable near-term supply/demand imbalance in oil.
In addition to those sales already mentioned, we eliminated the Fund’s positions in telecommunications bellwether AT&T, biomedical and gene therapy developer Amgen, multimedia conglomerate Time Warner, integrated natural gas company The Williams Cos. and global pharmaceutical company Pfizer.
AT&T’s organic growth appeared challenged, and so we sold the Fund’s position in the stock and redeployed the proceeds to what we believed were positions with greater upside potential. In the biotechnology area, we seek to invest in companies that have cyclical benefits during an upturn. While we believed that Amgen had an attractive valuation, we also believed that the company lacked a near-term catalyst, leading us to sell out of the stock. Time Warner’s stock moved higher nicely
2
GOLDMAN SACHS VARIABLE INSURANCE TRUST GROWTH AND INCOME FUND
during the Reporting Period, leading us to sell the stock, taking profits. We sold the Fund’s position in The Williams Cos. earlier in the year due to changes in the investment thesis for the company, in its business fundamentals and in our outlook for the appreciation potential of the stock. We sold the Fund’s position in Pfizer, using the proceeds to fund holdings in which we had greater conviction in their upside potential.
Were there any notable changes in the Fund’s weightings during the Reporting Period?
During the Reporting Period, the Fund’s exposure to consumer discretionary, financials and information technology increased relative to the Russell Index. The Fund’s allocations compared to the benchmark index in consumer staples, health care and utilities decreased.
How was the Fund positioned relative to its benchmark index at the end of December 2009?
At the end of December 2009, the Fund had overweighted positions relative to the Russell Index in the health care and information technology sectors. On the same date, the Fund had underweighted positions compared to the Russell Index in industrials, financials, utilities telecommunication services and consumer staples and was rather neutrally weighted to the Russell Index in consumer discretionary, energy and materials.
What is the Fund’s tactical view and strategy for the months ahead?
We were excited, at the end of December, to find ourselves with ample opportunities to buy quality businesses at deeply discounted valuations as we looked to the 2010 U.S. equity market. In our view, many quality stocks were inexpensive relative to their lower quality peers, a valuation gap we expect to narrow over time as we enter into a more normalized market environment. We expect earnings to accelerate due to economic improvement and unprecedented company level operating leverage driven by aggressive cost cutting and for low borrowing costs to be a further tailwind to earnings. As investors refocus on fundamentals, we believe that 2010 will be a fertile environment in which to generate added value.
We continue to anticipate increased stock-level differentiation going forward, with the markets distinguishing quality companies with robust business models from those likely to remain challenged. We see prospects in select companies that we believe are poised to benefit from a scenario of lower competition, higher pricing and improved market share. We maintain our focus on quality companies trading at compelling valuations and believe that this long-term discipline will help us navigate volatile markets. As always, deep research resources, a forward-looking investment process and truly actively managed portfolios are keys, in our view, to both preserving capital and outperforming the market over the long term.
Please note that, effective April 30, 2010, the Fund will be renamed “Goldman Sachs Large Cap Value Fund”. The Fund’s performance benchmark and anticipated fees and expenses will remain the same, but the investment objective and strategies of the Fund will change. The Fund’s investment objective will be long-term capital appreciation. The Fund will seek to achieve its investment objective by investing, under normal circumstances, at least 80% of its net assets plus any borrowings for investment purposes (measured at time of purchase) (“Net Assets”) in a diversified portfolio of equity investments in large cap U.S. issuers with public stock market capitalizations within the range of the market capitalization of companies constituting the Russell 1000 Value Index at the time of investment. The Fund will seek its investment objective by investing in value opportunities that the investment adviser defines as companies with identifiable competitive advantages whose intrinsic value is not reflected in the stock price. Although the Fund will invest primarily in publicly traded U.S. securities, it may invest up to 25% of its Net Assets in foreign securities, including securities quoted in foreign currencies. The Fund may also invest up to 20% of its Net Assets in fixed income securities, such as government, corporate and bank debt obligations. Please see the supplement dated January 6, 2010 for additional information.
3
GOLDMAN SACHS VARIABLE INSURANCE TRUST GROWTH AND INCOME FUND
Portfolio Composition
TOP TEN PORTFOLIO HOLDINGS AS OF 12/31/09*
| Holding | % of Net Assets | Line of Business | ||||||
| JPMorgan Chase & Co. | 4.0 | % | Diversified Financials | |||||
| Johnson & Johnson | 3.7 | Pharmaceuticals, Biotechnology & Life Sciences | ||||||
| Occidental Petroleum Corp. | 3.4 | Energy | ||||||
| Bank of America Corp. | 2.9 | Diversified Financials | ||||||
| The Dow Chemical Co. | 2.8 | Materials | ||||||
| Honeywell International, Inc. | 2.5 | Capital Goods | ||||||
| Hewlett-Packard Co. | 2.5 | Technology Hardware & Equipment | ||||||
| Chevron Corp. | 2.3 | Energy | ||||||
| Entergy Corp. | 2.2 | Utilities | ||||||
| Cisco Systems, Inc. | 2.2 | Technology Hardware & Equipment | ||||||
* Opinions expressed in this report represent our present opinions only. Reference to individual securities should not be construed as a commitment that such securities will be retained by the Fund. From time to time, the Fund may change the individual securities it holds, the number or types of securities held and the markets in which it invests. Fund holdings of securities should not be relied upon in making investment decisions and should not be construed as research or investment advice regarding particular securities. References to individual securities do not constitute a recommendation to the investor to buy, hold or sell such securities. In addition, references to past performance of the Fund do not indicate future returns, which are not guaranteed and will vary. Furthermore, the value of shares of the Fund may fall as well as rise.
FUND vs. BENCHMARK SECTOR ALLOCATION AS OF 12/31/091
1 The fund is actively managed and, as such, its composition may differ over time. The above graph categorizes investments using Global Industry Classification Standard (“GICS”), however, the sector classifications used by the portfolio management team may differ from GICS. Consequently, the Fund’s overall industry sector allocations may differ from the percentages contained in the graph above. The percentage shown for each investment category reflects the value of investments in that category as a percentage of market value (excluding investments in the securities lending reinvestment vehicle, if any). Investment in the securities lending reinvestment vehicle represented 2.1% of the Fund’s net assets at December 31, 2009.
4
GOLDMAN SACHS VARIABLE INSURANCE TRUST GROWTH AND INCOME FUND
Performance Summary
December 31, 2009
The following graph shows the value, as of December 31, 2009, of a $10,000 investment made on January 1, 2000 in the Institutional Shares at net asset value per share. For comparative purposes, the performance of the Fund’s benchmark, the Russell 1000 Value Index (with dividends reinvested), is shown. This performance data represents past performance and should not be considered indicative of future performance, which will fluctuate with changes in market conditions. These performance fluctuations will cause an investor’s shares, when redeemed, to be worth more or less than their original cost. Performance reflects Fund level expenses but does not reflect fees and expenses associated with any variable annuity contract or variable life insurance policy that uses the Fund as an investment option for any contract or policy. Had performance reflected all of those fees and expenses, performance would have been reduced. Performance also would have been reduced had expense limitations not been in effect. Performance of Service Shares will vary from Institutional Shares due to differences in fees. In addition to the investment adviser’s decisions regarding issuer/industry investment selection and allocation, other factors may affect Fund performance. These factors include, but are not limited to, Fund operating fees and expenses, portfolio turnover, and subscription and redemption cash flows affecting the Fund.
Growth and Income Fund’s 10 Year Performance
Performance of a $10,000 investment, with distributions reinvested, from January 1, 2000 through December 31, 2009.
Average Annual Total Return through December 31, 2009 | One Year | Five Years | Ten Years | Since Inception | ||||||||||||
Institutional (Commenced January 12, 1998) | 18.32 | % | 0.04 | % | 1.27 | % | 1.96 | % | ||||||||
Service (Commenced July 24, 2007) | 17.87 | % | n/a | n/a | −11.49 | % | ||||||||||
5
GOLDMAN SACHS VARIABLE INSURANCE TRUST GROWTH AND INCOME FUND
Schedule of Investments
December 31, 2009
| Shares | Description | Value | ||||||||
Common Stocks – 96.9% | ||||||||||
| Automobiles & Components – 1.6% | ||||||||||
| 450,400 | Ford Motor Co.* | $ | 4,504,000 | |||||||
| 345,253 | Johnson Controls, Inc. | 9,404,692 | ||||||||
| 13,908,692 | ||||||||||
| Banks – 2.4% | ||||||||||
| 119,000 | HSBC Holdings PLC ADR(a) | 6,793,710 | ||||||||
| 61,900 | M&T Bank Corp.(a) | 4,140,491 | ||||||||
| 692,300 | New York Community Bancorp, Inc.(a) | 10,045,273 | ||||||||
| 20,979,474 | ||||||||||
| Capital Goods – 8.5% | ||||||||||
| 88,500 | Deere & Co. | 4,786,965 | ||||||||
| 322,300 | Emerson Electric Co. | 13,729,980 | ||||||||
| 1,095,800 | General Electric Co. | 16,579,454 | ||||||||
| 558,600 | Honeywell International, Inc. | 21,897,120 | ||||||||
| 334,800 | The Boeing Co. | 18,122,724 | ||||||||
| 75,116,243 | ||||||||||
| Consumer Durables & Apparel – 0.9% | ||||||||||
| 505,200 | Newell Rubbermaid, Inc. | 7,583,052 | ||||||||
| Diversified Financials – 10.4% | ||||||||||
| 1,718,300 | Bank of America Corp. | 25,877,598 | ||||||||
| 60,600 | Franklin Resources, Inc. | 6,384,210 | ||||||||
| 186,300 | Invesco Ltd. | 4,376,187 | ||||||||
| 842,952 | JPMorgan Chase & Co. | 35,125,810 | ||||||||
| 197,000 | State Street Corp. | 8,577,380 | ||||||||
| 388,800 | The Bank of New York Mellon Corp. | 10,874,736 | ||||||||
| 91,215,921 | ||||||||||
| Energy – 17.8% | ||||||||||
| 129,600 | Apache Corp. | 13,370,832 | ||||||||
| 281,700 | BP PLC ADR | 16,330,149 | ||||||||
| 263,200 | Chevron Corp. | 20,263,768 | ||||||||
| 192,479 | �� | EOG Resources, Inc. | 18,728,207 | |||||||
| 199,423 | Exxon Mobil Corp. | 13,598,654 | ||||||||
| 602,500 | Halliburton Co. | 18,129,225 | ||||||||
| 151,182 | Hess Corp. | 9,146,511 | ||||||||
| 123,600 | Newfield Exploration Co.* | 5,961,228 | ||||||||
| 369,279 | Occidental Petroleum Corp. | 30,040,847 | ||||||||
| 171,700 | Schlumberger Ltd. | 11,175,953 | ||||||||
| 156,745,374 | ||||||||||
| Food & Staples Retailing – 1.2% | ||||||||||
| 202,006 | Wal-Mart Stores, Inc. | 10,797,221 | ||||||||
| Food, Beverage & Tobacco – 3.1% | ||||||||||
| 108,900 | General Mills, Inc. | 7,711,209 | ||||||||
| 185,338 | Philip Morris International, Inc. | 8,931,438 | ||||||||
| 331,270 | Unilever NV | 10,709,959 | ||||||||
| 27,352,606 | ||||||||||
| Health Care Equipment & Services – 5.6% | ||||||||||
| 259,200 | Aetna, Inc. | 8,216,640 | ||||||||
| 305,618 | Baxter International, Inc. | 17,933,664 | ||||||||
| 111,500 | Becton, Dickinson and Co. | 8,792,890 | ||||||||
| 289,900 | Covidien PLC | 13,883,311 | ||||||||
| 48,826,505 | ||||||||||
| Insurance – 8.0% | ||||||||||
| 293,700 | Aflac, Inc. | 13,583,625 | ||||||||
| 98,600 | Everest Re Group Ltd. | 8,448,048 | ||||||||
| 379,200 | Marsh & McLennan Companies, Inc. | 8,372,736 | ||||||||
| 265,100 | Prudential Financial, Inc. | 13,191,376 | ||||||||
| 275,575 | The Allstate Corp. | 8,278,273 | ||||||||
| 370,628 | The Travelers Companies, Inc. | 18,479,512 | ||||||||
| 70,353,570 | ||||||||||
| Materials – 4.4% | ||||||||||
| 63,900 | Freeport-McMoRan Copper & Gold, Inc.* | 5,130,531 | ||||||||
| 876,500 | The Dow Chemical Co. | 24,217,695 | ||||||||
| 167,400 | United States Steel Corp.(a) | 9,227,088 | ||||||||
| 38,575,314 | ||||||||||
| Media – 5.1% | ||||||||||
| 438,000 | CBS Corp. Class B | 6,153,900 | ||||||||
| 410,100 | DIRECTV Class A* | 13,676,835 | ||||||||
| 765,100 | DISH Network Corp. Class A | 15,891,127 | ||||||||
| 357,700 | Reed Elsevier NV ADR* | 8,727,880 | ||||||||
| 44,449,742 | ||||||||||
| Pharmaceuticals, Biotechnology & Life Sciences – 7.1% | ||||||||||
| 321,600 | Biogen Idec, Inc.* | 17,205,600 | ||||||||
| 504,734 | Johnson & Johnson | 32,509,917 | ||||||||
| 344,825 | Merck & Co., Inc. | 12,599,905 | ||||||||
| 62,315,422 | ||||||||||
| Real Estate Investment Trust – 0.8% | ||||||||||
| 213,300 | Annaly Capital Management, Inc. | 3,700,755 | ||||||||
| 499,100 | MFA Financial, Inc. | 3,668,385 | ||||||||
| 7,369,140 | ||||||||||
| Retailing – 3.0% | ||||||||||
| 429,900 | Staples, Inc. | 10,571,241 | ||||||||
| 189,700 | Target Corp. | 9,175,789 | ||||||||
| 188,800 | The TJX Companies, Inc. | 6,900,640 | ||||||||
| 26,647,670 | ||||||||||
| Semiconductors & Semiconductor Equipment – 0.5% | ||||||||||
| 110,200 | Lam Research Corp.* | 4,320,942 | ||||||||
| Software & Services – 1.5% | ||||||||||
| 533,900 | Oracle Corp. | 13,101,906 | ||||||||
| Technology Hardware & Equipment – 5.1% | ||||||||||
| 792,500 | Cisco Systems, Inc.* | 18,972,450 | ||||||||
| 419,499 | Hewlett-Packard Co. | 21,608,394 | ||||||||
| 101,300 | QUALCOMM, Inc. | 4,686,138 | ||||||||
| 45,266,982 | ||||||||||
GOLDMAN SACHS VARIABLE INSURANCE TRUST GROWTH AND INCOME FUND
| Shares | Description | Value | ||||||||
Common Stocks – (continued) | ||||||||||
| Telecommunication Services – 4.4% | ||||||||||
| 322,991 | CenturyTel, Inc. | $ | 11,695,504 | |||||||
| 693,100 | Koninklijke KPN NV ADR | 11,817,355 | ||||||||
| 4,028,849 | Sprint Nextel Corp.* | 14,745,587 | ||||||||
| 38,258,446 | ||||||||||
| Utilities – 5.5% | ||||||||||
| 233,513 | American Electric Power Co., Inc. | 8,123,917 | ||||||||
| 233,469 | Entergy Corp. | 19,107,103 | ||||||||
| 232,238 | FirstEnergy Corp. | 10,787,455 | ||||||||
| 312,556 | PPL Corp. | 10,098,685 | ||||||||
| 48,117,160 | ||||||||||
TOTAL COMMON STOCKS | ||||||||||
| (Cost $773,788,105) | $ | 851,301,382 | ||||||||
| Shares | Rate | Value | ||||||||||||||
Preferred Stocks – 1.4% | ||||||||||||||||
| Diversified Financials – 1.4% | ||||||||||||||||
| 285,892 | Bank of America Corp. | 10.000% | $ | 4,265,509 | ||||||||||||
| 7,936,000 | JPMorgan Chase & Co. | 7.900 | 8,185,666 | |||||||||||||
TOTAL PREFERRED STOCKS | ||||||||||||||||
| (Cost $10,470,623) | $ | 12,451,175 | ||||||||||||||
| Shares | Rate | Value | ||||||||
Short-term Investment(b) – 2.5% | ||||||||||
| JPMorgan U.S. Government Money Market Fund – Capital Shares | ||||||||||
| 22,215,931 | 0.049% | $ | 22,215,931 | |||||||
| (Cost $22,215,931) | ||||||||||
| TOTAL INVESTMENTS BEFORE SECURITIES LENDING REINVESTMENT VEHICLE | ||||||||||
| (Cost $806,474,659) | $ | 885,968,488 | ||||||||
Securities Lending Reinvestment Vehicle(b)(c) – 2.1% | ||||||||||
| Boston Global Investment Trust – Enhanced Portfolio | ||||||||||
| 18,298,024 | 0.107% | $ | 18,298,024 | |||||||
| (Cost $18,279,850) | ||||||||||
TOTAL INVESTMENTS – 102.9% | ||||||||||
| (Cost $824,754,509) | $ | 904,266,512 | ||||||||
LIABILITIES IN EXCESS OF OTHER ASSETS – (2.9)% | (25,250,646 | ) | ||||||||
NET ASSETS – 100.0% | $ | 879,015,866 | ||||||||
The percentage shown for each investment category reflects the value of investments in that category as a percentage of net assets.
| * | Non-income producing security. | |
| (a) | All or a portion of security is on loan. | |
| (b) | Variable rate security. Interest rate disclosed is that which is in effect at December 31, 2009. | |
| (c) | Represents an affiliated issuer. |
| Investment Abbreviation: | ||||||
| ADR | — | American Depositary Receipt | ||||
GOLDMAN SACHS VARIABLE INSURANCE TRUST GROWTH AND INCOME FUND
Statement of Assets and Liabilities
December 31, 2009
| Assets: | ||||||
| Investments in securities of unaffiliated issuers, at value (identified cost $806,474,659)(a) | $ | 885,968,488 | ||||
| Investments in affiliated securities lending reinvestment vehicle, at value (identified cost $18,279,850) | 18,298,024 | |||||
| Receivables: | ||||||
Dividends and interest | 1,514,235 | |||||
Fund shares sold | 1,405,179 | |||||
Investment securities sold | 571,969 | |||||
Due from custodian | 31,618 | |||||
Securities lending income | 4,233 | |||||
| Total assets | 907,793,746 | |||||
| Liabilities: | ||||||
| Payables: | ||||||
Payable upon return of securities loaned | 18,170,750 | |||||
Investment securities purchased | 7,408,790 | |||||
Fund shares redeemed | 2,507,090 | |||||
Amounts owed to affiliates | 646,448 | |||||
| Accrued expenses | 44,802 | |||||
| Total liabilities | 28,777,880 | |||||
| Net Assets: | ||||||
| Paid-in capital | 971,029,947 | |||||
| Accumulated undistributed net investment income | 2,314,488 | |||||
| Accumulated net realized loss from investment transactions | (173,840,572 | ) | ||||
| Net unrealized gain on investments | 79,512,003 | |||||
| NET ASSETS | $ | 879,015,866 | ||||
| Net Assets: | ||||||
Institutional | $ | 487,962,432 | ||||
Service | 391,053,434 | |||||
| Total Net Assets | $ | 879,015,866 | ||||
| Shares of beneficial interest outstanding $0.001 par value (unlimited shares authorized): | ||||||
Institutional | 52,603,303 | |||||
Service | 42,153,957 | |||||
| Net asset value, offering and redemption price per share: | ||||||
Institutional | $ | 9.28 | ||||
Service | 9.28 | |||||
| (a) | Includes loaned securities having a market value of $17,647,191. |
GOLDMAN SACHS VARIABLE INSURANCE TRUST GROWTH AND INCOME FUND
Statement of Operations
For the Fiscal Year Ended December 31, 2009
| Investment income: | ||||||
| Dividends | $ | 18,451,644 | ||||
| Securities lending income — affiliated issuer | 114,708 | |||||
| Total investment income | 18,566,352 | |||||
| Expenses: | ||||||
| Management fees | 4,652,542 | |||||
| Distribution and Service fees — Service Shares | 521,575 | |||||
| Transfer Agent fees(a) | 124,058 | |||||
| Printing fees | 117,405 | |||||
| Professional fees | 79,939 | |||||
| Custody and accounting fees | 51,780 | |||||
| Trustee fees | 16,663 | |||||
| Other | 23,357 | |||||
| Total expenses | 5,587,319 | |||||
| Less — expense reductions | (2,082 | ) | ||||
| Net expenses | 5,585,237 | |||||
| NET INVESTMENT INCOME | 12,981,115 | |||||
| Realized and unrealized gain (loss) from investment transactions: | ||||||
| Net realized gain (loss) from: | ||||||
Investment transactions — unaffiliated issuers | (99,470,806 | ) | ||||
Securities lending reinvestment vehicle transactions — affiliated issuer | 109,100 | |||||
| Net change in unrealized gain on: | ||||||
Investments — unaffiliated issuers | 221,971,250 | |||||
Securities lending reinvestment vehicle — affiliated issuer | 18,174 | |||||
| Net realized and unrealized gain from investment transactions | 122,627,718 | |||||
| NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS | $ | 135,608,833 | ||||
| (a) | Institutional and Service Shares had Transfer Agent fees of $82,335 and $41,723, respectively. |
GOLDMAN SACHS VARIABLE INSURANCE TRUST GROWTH AND INCOME FUND
Statements of Changes in Net Assets
| For the Fiscal | For the Fiscal | |||||||||
| Year Ended | Year Ended | |||||||||
| December 31, 2009 | December 31, 2008 | |||||||||
| From operations: | ||||||||||
| Net investment income | $ | 12,981,115 | $ | 12,505,942 | ||||||
| Net realized loss from investment transactions | (99,361,706 | ) | (70,374,348 | ) | ||||||
| Net change in unrealized gain (loss) on investments | 221,989,424 | (161,720,945 | ) | |||||||
| Net increase (decrease) in net assets resulting from operations | 135,608,833 | (219,589,351 | ) | |||||||
| Distributions to shareholders: | ||||||||||
| From net investment income | ||||||||||
Institutional Shares | (7,802,114 | ) | (10,426,044 | ) | ||||||
Service Shares | (5,684,192 | ) | (1,665,474 | ) | ||||||
| From net realized gains | ||||||||||
Institutional Shares | — | (51,614 | ) | |||||||
Service Shares | — | (8,404 | ) | |||||||
| Total distributions to shareholders | (13,486,306 | ) | (12,151,536 | ) | ||||||
| From share transactions: | ||||||||||
| Proceeds from sales of shares | 407,132,916 | 158,271,882 | ||||||||
| Reinvestment of distributions | 13,486,306 | 12,151,536 | ||||||||
| Cost of shares redeemed | (120,763,642 | ) | (53,617,957 | ) | ||||||
| Net increase in net assets resulting from share transactions | 299,855,580 | 116,805,461 | ||||||||
| TOTAL INCREASE (DECREASE) | 421,978,107 | (114,935,426 | ) | |||||||
| Net assets: | ||||||||||
| Beginning of year | 457,037,759 | 571,973,185 | ||||||||
| End of year | $ | 879,015,866 | $ | 457,037,759 | ||||||
| Accumulated undistributed net investment income | $ | 2,314,488 | $ | 1,680,991 | ||||||
GOLDMAN SACHS VARIABLE INSURANCE TRUST GROWTH AND INCOME FUND
Financial Highlights
Selected Data for a Share Outstanding Throughout Each Year
| Income (loss) from | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||
| investment operations | Distributions to shareholders | |||||||||||||||||||||||||||||||||||||||||||||||||||||||
| Net | Ratio of | Ratio of | ||||||||||||||||||||||||||||||||||||||||||||||||||||||
| Net asset | realized | Net assets, | Ratio of | total | net investment | |||||||||||||||||||||||||||||||||||||||||||||||||||
| value, | Net | and | Total from | From net | From net | Net asset | end of | net expenses | expenses | income to | Portfolio | |||||||||||||||||||||||||||||||||||||||||||||
| beginning | investment | unrealized | investment | investment | realized | Total | value, end | Total | year | to average | to average | average | turnover | |||||||||||||||||||||||||||||||||||||||||||
| Year — Share Class | of year | income(a) | gain (loss) | operations | income | gains | distributions | of year | return(b) | (in 000s) | net assets | net assets | net assets | rate | ||||||||||||||||||||||||||||||||||||||||||
| FOR THE FISCAL YEARS ENDED DECEMBER 31, | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||
| 2009 — Institutional | $ | 7.97 | $ | 0.18 | (c) | $ | 1.28 | $ | 1.46 | $ | (0.15 | ) | $ | — | $ | (0.15 | ) | $ | 9.28 | 18.32 | % | $ | 487,962 | 0.81 | % | 0.81 | % | 2.18 | (c)% | 84 | % | |||||||||||||||||||||||||
| 2009 — Service | 7.98 | 0.16 | (c) | 1.28 | 1.44 | (0.14 | ) | — | (0.14 | ) | 9.28 | 17.87 | 391,053 | 1.06 | 1.06 | 1.92 | (c) | 84 | ||||||||||||||||||||||||||||||||||||||
| 2008 — Institutional | 12.53 | 0.25 | (4.59 | ) | (4.34 | ) | (0.22 | ) | — | (d) | (0.22 | ) | 7.97 | (34.45 | ) | 389,838 | 0.81 | 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 | 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 | 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 | (e) | 1.09 | (e) | 3.11 | (e) | 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 | 0.87 | 2.15 | 52 | |||||||||||||||||||||||||||||||||||||||
| 2005 — Institutional | 11.71 | 0.21 | 0.25 | 0.46 | (0.20 | ) | — | (0.20 | ) | 11.97 | 3.93 | 313,152 | 0.88 | 0.88 | 1.77 | 46 | ||||||||||||||||||||||||||||||||||||||||
| (a) | Calculated based on the average shares outstanding methodology. | |
| (b) | Assumes investment at the net asset value at the beginning of the year, reinvestment of all distributions and a complete redemption of the investment at the net asset value at the end of the year. Total returns for periods less than one full year are not annualized. | |
| (c) | Reflects income recognized from a special dividend which amounted to $0.02 per share and 0.24% of average net assets. | |
| (d) | Amount is less than $0.005 per share. | |
| (e) | Annualized. |
The accompanying notes are an integral part of these financial statements.
11
GOLDMAN SACHS VARIABLE INSURANCE TRUST GROWTH AND INCOME FUND
Notes to Financial Statements
December 31, 2009
1. ORGANIZATION
Goldman Sachs Variable Insurance Trust (the “Trust” or “VIT”) is a Delaware statutory trust registered under the Investment Company Act of 1940, as amended (the “Act”), as an open-end management investment company. The Trust includes the Goldman Sachs Growth and Income Fund (the “Fund”). The Fund is a diversified portfolio under the Act offering two classes of shares — Institutional and Service. Goldman, Sachs & Co. (“Goldman Sachs” or the “Distributor”) serves as Distributor of the shares of the Fund pursuant to a Distribution Agreement.
Goldman Sachs Asset Management, L.P. (“GSAM”), an affiliate of Goldman Sachs, serves as investment adviser pursuant to a management agreement (the “Agreement”) with the Trust on behalf of the Fund.
2. SIGNIFICANT ACCOUNTING POLICIES
The following is a summary of the significant accounting policies consistently followed by the Fund. The preparation of financial statements in conformity with accounting principles generally accepted in the United States of America (“GAAP”) requires management to make estimates and assumptions that may affect the amounts and disclosures in the financial statements. Actual results could differ from those estimates and assumptions.
A. FASB Financial Accounting Standards Codification — In July 2009, the Financial Accounting Standards Board (“FASB”) launched its “Financial Accounting Standards Codification” (the “Codification”) as the single source of GAAP. While the Codification does not change GAAP, it introduces a new structure to the accounting literature and changes references to accounting standards and other authoritative accounting guidance that have been reflected in the Notes to Financial Statements.
B. Investment Valuation — The investment valuation policy of the Fund is to value investments at market value. Investments in equity securities and investment companies traded on a United States (“U.S.”) securities exchange or the NASDAQ system are valued daily at their last sale price or official closing price on the principal exchange or system on which they are traded. If no sale occurs, such securities and investment companies are valued at the last bid price for long positions and at the last ask price for short positions. Debt securities for which market quotations are readily available are valued on the basis of quotations furnished by an independent pricing service approved by the trustees or provided by securities dealers. The pricing services may use valuation models or matrix pricing, which consider: (i) yield or price with respect to bonds that are considered comparable in characteristics such as rating, interest rate and maturity date or (ii) quotations from bond dealers to determine current value. If accurate quotations are not readily available, or if GSAM believes that such quotations do not accurately reflect fair value, the fair value of the Fund’s investments may be determined based on yield equivalents, a pricing matrix or other sources, under valuation procedures established by the trustees. Unlisted equity securities for which market quotations are available are valued at the last sale price on valuation date, or if no sale occurs, at the last bid price. In the absence of market quotations, broker quotes will be utilized or the security will be fair valued. Investments in investment companies (other than those that are exchange traded) are valued at the net asset value per share (“NAV”) on the valuation date. Short-term debt obligations that mature in sixty days or less and that do not exhibit signs of credit deterioration are valued at amortized cost, which approximates market value.
GOLDMAN SACHS VARIABLE INSURANCE TRUST GROWTH AND INCOME FUND
| 2. SIGNIFICANT ACCOUNTING POLICIES (continued) |
GSAM, consistent with its procedures and applicable regulatory guidance, may make an adjustment to the previous closing prices of either domestic or foreign securities in light of significant events to reflect what it believes to be the fair value of the securities at the time of determining the Fund’s NAV. Significant events that could affect a large number of securities in a particular market may include, but are not limited to: situations relating to one or more single issuers in a market sector; significant fluctuations in U.S. or foreign markets; market dislocations; market disruptions or market closings; equipment failures; natural or man-made disasters or acts of God; armed conflicts; government actions or other developments; as well as the same or similar events which may affect specific issuers or the securities markets even though not tied directly to the securities markets. Other significant events that could relate to a single issuer may include, but are not limited to: corporate actions such as reorganizations, mergers and buy-outs; corporate announcements, including those relating to earnings, products and regulatory news; significant litigation; low trading volume; and trading limits or suspensions.
C. Security and Fund Share Transactions, and Investment Income — Security and Fund share transactions are reflected for financial reporting purposes as of the trade date, which may cause the NAV as stated in the accompanying financial statements to be different than the NAV applied to Fund share transactions. Realized gains and losses on sales of portfolio securities are calculated using the identified cost basis. Dividend income is recognized on the ex-dividend date, net of foreign withholding taxes, if any, which are reduced by any amounts reclaimable by the Fund, where applicable. Interest income is recorded on the basis of interest accrued, premium amortized and discount accreted. In addition, it is the Fund’s policy to accrue for foreign capital gains taxes, if applicable, on certain foreign securities held by the Fund. An estimated foreign capital gains tax is recorded daily on net unrealized gains on these securities and is payable upon the sale of such securities when a gain is realized.
Net investment income (other than class specific expenses) and unrealized and realized gains or losses are allocated daily to each class of shares of the Fund based upon the relative proportion of net assets of each class.
In addition, distributions received from the Fund’s investments in U.S. real estate investment trusts (“REITs”) often include a “return of capital”, which is recorded by the Fund as a reduction of the cost basis of the securities held. The Internal Revenue Code of 1986, as amended (the “Code”) requires a REIT to distribute at least 95% of its taxable income to investors. In many cases, however, because of “non-cash” expenses such as property depreciation, a REIT’s cash flow will exceed its taxable income. The REIT may distribute this excess cash to offer a more competitive yield. This portion of the Fund’s distributions is deemed a return of capital and is generally not taxable to shareholders.
D. Expenses — Expenses incurred by the Trust that do not specifically relate to an individual Fund of the Trust are allocated to the Fund on a straight-line and/or pro-rata basis depending upon the nature of the expense and are accrued daily.
E. Federal Taxes and Distributions to Shareholders — It is the Fund’s policy to comply with the requirements of the Code applicable to regulated investment companies (mutual funds) and to distribute each year substantially all of its investment company taxable income and capital gains to its shareholders. Accordingly, no federal income tax provisions are required. Distributions to shareholders are recorded on the ex-dividend date. Income and capital gains distributions, if any, are declared and paid annually. Net capital losses are carried forward to future fiscal years and may be used to the extent allowed by the Code to offset any future capital gains. Utilization of capital loss carryforwards will reduce the requirement of future capital gains distributions.
GOLDMAN SACHS VARIABLE INSURANCE TRUST GROWTH AND INCOME FUND
Notes to Financial Statements (continued)
December 31, 2009
| 2. SIGNIFICANT ACCOUNTING POLICIES (continued) |
The characterization of distributions to shareholders for financial reporting purposes is determined in accordance with federal income tax rules, which may differ from GAAP. The source of the Fund’s distributions may be shown in the accompanying financial statements as either from net investment income, net realized gain or capital. The Fund’s capital accounts on the Statement of Assets and Liabilities reflect permanent GAAP/tax differences based on the appropriate tax character, but do not reflect temporary differences.
GSAM has reviewed the Fund’s tax positions for all open tax years (the current and prior three years, as applicable) and has concluded that no provision for income tax is required in the Fund’s financial statements. Such open tax years remain subject to examination and adjustment by tax authorities.
3. AGREEMENTS AND AFFILIATED TRANSACTIONS
A. Management Agreement — Under the Agreement, GSAM manages the Fund, subject to the general supervision of the trustees.
As compensation for the services rendered pursuant to the Agreement, the assumption of the expenses related thereto and administration of the Fund’s business affairs, including providing facilities, GSAM is entitled to a management fee computed daily and payable monthly, equal to an annual percentage rate of the Fund’s average daily net assets.
For the fiscal year ended December 31, 2009, contractual management fees with GSAM were at the following rates:
| Contractual Management Rate | ||||||||||||||||||||||
| First $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 | % | |||||||||||
B. Distribution Agreement and Service Plan — The Trust, on behalf of the Service Shares of the Fund, has adopted a Distribution and Service Plan (the “Plan”). Under the Plan, Goldman Sachs and/or authorized dealers are entitled to a fee accrued daily and paid monthly for distribution services equal to, on an annual basis, 0.25% of the Fund’s average daily net assets attributable to Service Shares.
C. Transfer Agency Agreement — Goldman Sachs also serves as the transfer agent of the Fund for a fee pursuant to a Transfer Agency Agreement. The fees charged for such transfer agency services are calculated daily and payable monthly at an annual rate of 0.02% of the average daily net assets for Institutional and Service Shares.
D. Other Agreements — GSAM has voluntarily agreed to limit certain “Other Expenses” (excluding management fees, distribution and service fees, transfer agent fees and expenses, taxes, interest, brokerage fees and litigation, indemnification, shareholder meetings and other extraordinary expenses, exclusive of any custody and transfer agent fee credit reductions) to the extent such expenses exceed, on an annual basis, 0.114% of the average daily net assets of the Fund. Such expense reimbursements, if any, are computed daily and paid monthly. In addition, the Fund is not obligated to reimburse GSAM for prior fiscal year expense reimbursements, if any. This expense limitation may be modified or terminated at any time at the option of GSAM. For the fiscal year ended December 31, 2009, GSAM did not make any reimbursements to the Fund. In addition, the Fund has entered into certain offset arrangements with the custodian and the transfer agent resulting in a reduction of the Fund’s expenses. For the fiscal year ended December 31, 2009, transfer agent fees were reduced by approximately $2,100.
As of December 31, 2009, amounts owed to affiliates were approximately $551,200, $80,500 and $14,700 for management, distribution and service and transfer agent fees, respectively.
GOLDMAN SACHS VARIABLE INSURANCE TRUST GROWTH AND INCOME FUND
| 3. AGREEMENTS AND AFFILIATED TRANSACTIONS (continued) |
E. Line of Credit Facility — The Fund participates in a $660,000,000 committed, unsecured revolving line of credit facility (the “facility”) together with other funds of the Trust and registered investment companies having management agreements with GSAM or its affiliates. Pursuant to the terms of the facility, the Fund and other borrowers may increase the credit amount by an additional $340,000,000, for a total of up to $1 billion. The facility is to be used solely for temporary or emergency purposes. The interest rate on borrowings is based on the federal funds rate. This facility also requires a fee to be paid by the Fund based on the amount of the commitment that has not been utilized. For the fiscal year ended December 31, 2009, the Fund did not have any borrowings under the facility. Prior to May 12, 2009, the amount available through the facility was $700,000,000.
F. Other Transactions with Affiliates — For the fiscal year ended December 31, 2009, Goldman Sachs earned approximately $99,800 in brokerage commissions from portfolio transactions executed on behalf of the Fund.
4. FAIR VALUE OF INVESTMENTS
The fair value of a financial instrument is the amount that would be received to sell an asset or paid to transfer a liability in an orderly transaction between market participants at the measurement date (i.e., the exit price). GAAP establishes a fair value hierarchy that prioritizes the inputs to valuation techniques used to measure fair value. The hierarchy gives the highest priority to unadjusted quoted prices in active markets for identical assets or liabilities (Level 1 measurements) and the lowest priority to unobservable inputs (Level 3 measurements). The three levels of the fair value hierarchy are described below:
Level 1 — Unadjusted quoted prices in active markets that are accessible at the measurement date for identical, unrestricted assets or liabilities;
Level 2 — Quoted prices in markets that are not active or financial instruments for which all significant inputs are observable, either directly or indirectly;
Level 3 — Prices or valuations that require inputs that are both significant to the fair value measurement and unobservable.
The following is a summary of the Fund’s investments categorized in the fair value hierarchy:
| Level 1 | Level 2 | Level 3 | ||||||||||
Assets | ||||||||||||
| Common Stock and/or Other Equity Investments | $ | 851,301,382 | $ | 12,451,175 | $ | — | ||||||
| Securities Lending Reinvestment Vehicle | — | 18,298,024 | — | |||||||||
| Short-term Investments | 22,215,931 | — | — | |||||||||
| Total | $ | 873,517,313 | $ | 30,749,199 | $ | — | ||||||
5. PORTFOLIO SECURITIES TRANSACTIONS
The cost of purchases and proceeds from sales and maturities of long-term securities for the fiscal year ended December 31, 2009, were $808,546,108 and $504,124,079, respectively.
GOLDMAN SACHS VARIABLE INSURANCE TRUST GROWTH AND INCOME FUND
Notes to Financial Statements (continued)
December 31, 2009
6. SECURITIES LENDING
Pursuant to exemptive relief granted by the Securities and Exchange Commission and the terms and conditions contained therein, the Fund may lend its securities through a securities lending agent, Goldman Sachs Agency Lending (“GSAL”), a wholly-owned subsidiary of Goldman Sachs, to certain qualified borrowers including Goldman Sachs and affiliates. In accordance with the Fund’s securities lending procedures, the Fund receives cash collateral at least equal to the market value of the securities on loan. The market value of the loaned securities is determined at the close of business of the Fund at their last sale price or official closing price on the principal exchange or system on which they are traded, and any additional required collateral is delivered to the Fund on the next business day. As with other extensions of credit, the Fund may experience a delay in the recovery of its securities or incur a loss should the borrower of the securities breach its agreement with the Fund or become insolvent at a time when the collateral is insufficient to cover the cost of repurchasing securities on loan.
The Fund invests the cash collateral received in connection with securities lending transactions in the Enhanced Portfolio of Boston Global Investment Trust (“Enhanced Portfolio”), a Delaware statutory trust. The Enhanced Portfolio, deemed an affiliate of the Trust, is exempt from registration under Section 3(c)(7) of the Act and is managed by GSAM, for which GSAM may receive an investment advisory fee of up to 0.10% on an annualized basis of the average daily net assets of the Enhanced Portfolio. The Enhanced Portfolio invests primarily in short-term investments, but is not a “money market fund” subject to the requirements of Rule 2a-7 of the Act. The Fund’s investment of cash collateral in the Enhanced Portfolio is subject to a net asset value that may fall or rise due to market and credit conditions.
Both the Fund and GSAL receive compensation relating to the lending of the Fund’s securities. The amount earned by the Fund for the fiscal year ended December 31, 2009, is reported under Investment Income on the Statement of Operations. A portion of this amount, $9,337, represents compensation earned by the Fund from lending its securities to Goldman Sachs. For the fiscal year ended December 31, 2009, GSAL earned $12,754 in fees as securities lending agent.
The following table provides information about the Fund’s investment in the Enhanced Portfolio for the fiscal year ended December 31, 2009 (in thousands):
| Number of | Number of | |||||||||||||||||
| Shares Held Beginning | Shares Held End of | Value at End | ||||||||||||||||
| of Fiscal Year | Shares Bought | Shares Sold | Fiscal Year | of Fiscal Year | ||||||||||||||
| — | 187,244 | (168,946 | ) | 18,298 | $ | 18,298 | ||||||||||||
GOLDMAN SACHS VARIABLE INSURANCE TRUST GROWTH AND INCOME FUND
| 6. SECURITIES LENDING (continued) |
7. TAX INFORMATION
The tax character of distributions paid during the fiscal years ended December 31, 2008 and December 31, 2009 was as follows:
| 2008 | 2009 | |||||||
| Distributions paid from: | ||||||||
| Ordinary income | $ | 12,094,419 | $ | 13,486,306 | ||||
| Net long-term capital gains | 57,117 | — | ||||||
| Total taxable distributions | $ | 12,151,536 | $ | 13,486,306 | ||||
As of December 31, 2009, the components of accumulated earnings (losses) on a tax basis were as follows:
| Undistributed ordinary income — net | $ | 1,348,275 | ||||||
Capital loss carryforward:1 | ||||||||
| Expiring 2010 | $ | (152,979 | ) | |||||
| Expiring 2016 | (59,883,538 | ) | ||||||
| Expiring 2017 | (101,345,522 | ) | ||||||
| Total capital loss carryforward | $ | (161,382,039 | ) | |||||
| Timing differences (post-October losses) | (2,438,609 | ) | ||||||
| Unrealized gain — net | 70,458,292 | |||||||
| Total accumulated losses — net | $ | (92,014,081 | ) | |||||
| 1 | Expiration occurs on December 31 of the year indicated. Utilization of these losses may be substantially limited under the Code. |
As of December 31, 2009, the Fund’s aggregate security unrealized gains and losses based on cost for U.S. federal income tax purposes was as follows:
| Tax cost | $ | 833,808,220 | ||
| Gross unrealized gain | 90,985,979 | |||
| Gross unrealized loss | (20,527,687 | ) | ||
| Net unrealized security gain | $ | 70,458,292 | ||
The difference between GAAP-basis and tax-basis unrealized gains (losses) is attributable primarily to wash sales and differences related to the tax treatment of partnership investments.
In order to present certain components of the Fund’s capital accounts on a tax basis, the Fund has reclassified $996,219 and $142,469 from accumulated net realized loss from investments transactions and paid-in capital, respectively, to accumulated undistributed net investment income. These reclassifications have no impact on the net asset value of the Fund and result primarily from the difference in the tax treatment of partnership investments.
GOLDMAN SACHS VARIABLE INSURANCE TRUST GROWTH AND INCOME FUND
Notes to Financial Statements (continued)
December 31, 2009
8. OTHER RISKS
Market and Credit Risks — In the normal course of business, the Fund trades financial instruments and enters into financial transactions where risk of potential loss exists due to changes in the market (market risk). Additionally, the Fund may also be exposed to credit risk in the event that an issuer fails to perform or that an institution or entity with which the Fund has unsettled or open transaction defaults.
Risks of Large Shareholder Redemptions — Certain participating insurance companies, accounts, or Goldman Sachs affiliates may from time to time own (beneficially or of record) or control a significant percentage of the Fund’s shares. Redemptions by these participating insurance companies or accounts in the Fund may impact the Fund’s liquidity and NAV. These redemptions may also force the Fund to sell securities, which may increase the Fund’s brokerage costs.
9. INDEMNIFICATIONS
Under the Trust’s organizational documents, its trustees, officers, employees and agents are indemnified, to the extent permitted by the Act, against certain liabilities that may arise out of performance of their duties to the Fund. Additionally, in the course of business, the Fund enters into contracts that contain a variety of indemnification clauses. The Fund’s maximum exposure under these arrangements is unknown, as this would involve future claims that may be made against the Fund that have not yet occurred. However, GSAM believes the risk of loss under these arrangements to be remote.
10. OTHER MATTERS
New Accounting Pronouncement — In May 2009, the FASB issued FASB Accounting Standards Codification (“ASC”) 855 “Subsequent Events”. This standard requires disclosure in the financial statements to reflect the effects of subsequent events that provide additional information on conditions about the financial statements as of the balance sheet date (recognized subsequent events) and disclosure of subsequent events that provide additional information about conditions after the balance sheet date if the financial statements would otherwise be misleading (unrecognized subsequent events). ASC 855 is effective for interim and annual financial statements issued for fiscal years ending after June 15, 2009. For purposes of inclusion in the financial statements, GSAM has concluded that subsequent events after the balance sheet date have been evaluated through February 16, 2010, the date the financial statements were issued.
GOLDMAN SACHS VARIABLE INSURANCE TRUST GROWTH AND INCOME FUND
11. SUMMARY OF SHARE TRANSACTIONS
Share activity is as follows:
| For the Fiscal Year Ended | For the Fiscal Year Ended | |||||||||||||||
| December 31, 2009 | December 31, 2008 | |||||||||||||||
| Shares | Dollars | Shares | Dollars | |||||||||||||
Institutional Shares | ||||||||||||||||
| Shares sold | 12,672,731 | $ | 99,803,020 | 7,131,945 | $ | 79,934,336 | ||||||||||
| Reinvestment of distributions | 838,937 | 7,802,114 | 1,380,456 | 10,477,658 | ||||||||||||
| Shares redeemed | (9,817,931 | ) | (79,470,562 | ) | (5,228,338 | ) | (53,298,013 | ) | ||||||||
| 3,693,737 | 28,134,572 | 3,284,063 | 37,113,981 | |||||||||||||
Service Shares | ||||||||||||||||
| Shares sold | 38,032,724 | 307,329,896 | 8,227,960 | 78,337,546 | ||||||||||||
| Reinvestment of distributions | 610,547 | 5,684,192 | 220,080 | 1,673,878 | ||||||||||||
| Shares redeemed | (4,906,729 | ) | (41,293,080 | ) | (37,799 | ) | (319,944 | ) | ||||||||
| 33,736,542 | 271,721,008 | 8,410,241 | 79,691,480 | |||||||||||||
NET INCREASE | 37,430,279 | $ | 299,855,580 | 11,694,304 | $ | 116,805,461 | ||||||||||
Report of Independent Registered Public Accounting Firm
To the Board of Trustees and Shareholders of Goldman Sachs Variable Insurance Trust — Goldman Sachs Growth and Income Fund:
In our opinion, the accompanying statement of assets and liabilities, including the schedule of investments, and the related statements of operations and of changes in net assets and the financial highlights present fairly, in all material respects, the financial position of Goldman Sachs Growth and Income Fund (the “Fund”) at December 31, 2009, the results of its operations for the year then ended, the changes in its net assets for each of the two years in the period then ended and the financial highlights for the periods indicated, in conformity with accounting principles generally accepted in the United States of America. These financial statements and financial highlights (hereafter referred to as “financial statements”) are the responsibility of the Fund’s management. Our responsibility is to express an opinion on these financial statements based on our audit. We conducted our audit of these financial statements in accordance with the standards of the Public Company Accounting Oversight Board (United States). Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement. An audit includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements, assessing the accounting principles used and significant estimates made by management, and evaluating the overall financial statement presentation. We believe that our audit, which included confirmation of securities at December 31, 2009 by correspondence with the custodian and transfer agent, provides a reasonable basis for our opinion. The financial highlights of the Fund for the periods ended December 31, 2006 and prior were audited by another Independent Registered Public Accounting Firm whose report dated February 14, 2007 expressed an unqualified opinion on those financial highlights.
Boston, Massachusetts
February 16, 2010
GOLDMAN SACHS VARIABLE INSURANCE TRUST GROWTH AND INCOME FUND
Fund Expenses — Six Month Period Ended December 31, 2009 (Unaudited)
As a shareholder of Institutional or Service Shares of the Fund, you incur ongoing costs, including management fees; distribution and service (12b-1) fees (with respect to Service Shares); and other Fund expenses. This example is intended to help you understand your ongoing costs (in dollars) of investing in the Institutional and Service Shares of the Fund and to compare these costs with the ongoing costs of investing in other mutual funds.
The example is based on an investment of $1,000 invested at the beginning of the period and held for the entire period from July 1, 2009 through December 31, 2009.
Actual Expenses — The first line under each share class in the table below provides information about actual account values and actual expenses. You may use the information in this line, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000=8.6), then multiply the result by the number in the first line under the heading entitled “Expenses Paid” to estimate the expenses you paid on your account during this period.
Hypothetical Example for Comparison Purposes — The second line under each share class in the table below provides information about hypothetical account values and hypothetical expenses based on the Fund’s actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Fund’s actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Fund and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds.
Please note that the expenses shown in the table are meant to highlight your ongoing costs only. As a shareholder of the Fund, you do not incur any transaction costs, such as sales charges, redemption fees, or exchange fees, but shareholders of other funds may incur such costs. The second line of the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds whose shareholders may incur transaction costs.
| Expenses Paid | |||||||||||||||
| for the | |||||||||||||||
| Beginning | Ending | 6 Months | |||||||||||||
| Account Value | Account Value | Ended | |||||||||||||
| Share Class | 7/01/09 | 12/31/09 | 12/31/09* | ||||||||||||
Institutional | |||||||||||||||
| Actual | $ | 1,000 | $ | 1,207.40 | $ | 4.56 | |||||||||
| Hypothetical 5% return | 1,000 | 1,021.07 | + | 4.18 | |||||||||||
Service | |||||||||||||||
| Actual | 1,000 | 1,204.30 | 5.89 | ||||||||||||
| Hypothetical 5% return | 1,000 | 1,019.86 | + | 5.40 | |||||||||||
| * | 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 December 31, 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 0.81% and 1.06% 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. |
GOLDMAN SACHS VARIABLE INSURANCE TRUST GROWTH AND INCOME FUND
Trustees and Officers (Unaudited)
Independent Trustees
| Number of | ||||||||||
| Term of | Portfolios in | |||||||||
| Office and | Fund Complex | Other | ||||||||
| Name, | Position(s) Held | Length of | Principal Occupation(s) | Overseen by | Directorships | |||||
| Address and Age1 | with the Trust | Time Served2 | During Past 5 Years | Trustee3 | Held by Trustee4 | |||||
| Ashok N. Bakhru Age: 67 | Chairman of the Board of Trustees | Since 1991 | President, ANB Associates (July 1994-March 1996 and November 1998-Present); Director, Apollo Investment Corporation (a business development company) (October 2008-Present); Executive Vice President—Finance and Administration and Chief Financial Officer and Director, Coty Inc. (manufacturer of fragrances and cosmetics) (April 1996-November 1998); Director of Arkwright Mutual Insurance Company (1984-1999); Trustee of International House of Philadelphia (program center and residential community for students and professional trainees from the United States and foreign countries) (1989-2004); Member of Cornell University Council (1992-2004 and 2006-Present); Trustee of the Walnut Street Theater (1992-2004); Trustee, Scholarship America (1998-2005); Trustee, Institute for Higher Education Policy (2003-2008); Director, Private Equity Investors—III and IV (November 1998-2007), and Equity-Limited Investors II (April 2002-2007); and Chairman, Lenders Service Inc. (provider of mortgage lending service s) (2000-2003). Chairman of the Board of Trustees—Goldman Sachs Mutual Fund Complex. | 96 | Apollo Investment Corporation (a business development company) | |||||
| John P. Coblentz, Jr. Age: 68 | Trustee | Since 2003 | Partner, Deloitte & Touche LLP (June 1975-May 2003); Director, Emerging Markets Group, Ltd. (2004-2006); and Director, Elderhostel, Inc. (2006-Present). Trustee—Goldman Sachs Mutual Fund Complex. | 96 | None | |||||
| Diana M. Daniels Age: 60 | Trustee | Since 2007 | Ms. Daniels is retired (since January 2007). Formerly, she was Vice President, General Counsel and Secretary, The Washington Post Company (1991-2006). Ms. Daniels is Chairman of the Executive Committee, Cornell University (2006-Present); Member, Advisory Board, Psychology Without Borders (international humanitarian aid organization) (since 2007), and former Member of the Legal Advisory Board, New York Stock Exchange (2003-2006) and of the Corporate Advisory Board, Standish Mellon Management Advisors (2006-2007). Trustee—Goldman Sachs Mutual Fund Complex. | 96 | None | |||||
| Patrick T. Harker Age: 51 | Trustee | Since 2000 | President, University of Delaware (July 2007-Present); Dean and Reliance Professor of Operations and Information Management, The Wharton School, University of Pennsylvania (February 2000-June 2007); Interim and Deputy Dean, The Wharton School, University of Pennsylvania (July 1999-January 2000); and Professor and Chairman of Department of Operations and Information Management, The Wharton School, University of Pennsylvania (July 1997-August 2000). Trustee—Goldman Sachs Mutual Fund Complex. | 96 | Pepco Holdings, Inc. (an energy delivery company) | |||||
| Jessica Palmer Age: 60 | Trustee | Since 2007 | Consultant, Citigroup Human Resources Department (2007-2008); Managing Director, Citigroup Corporate and Investment Banking (previously, Salomon Smith Barney/Salomon Brothers) (1984-2006). Ms. Palmer is a Member of the Board of Trustees of Indian Mountain School (private elementary and secondary school) (2004-Present). Trustee—Goldman Sachs Mutual Fund Complex. | 96 | None | |||||
GOLDMAN SACHS VARIABLE INSURANCE TRUST GROWTH AND INCOME FUND
Trustees and Officers (Unaudited) (continued)
Independent Trustees
| Number of | ||||||||||
| Term of | Portfolios in | |||||||||
| Office and | Fund Complex | Other | ||||||||
| Name, | Position(s) Held | Length of | Principal Occupation(s) | Overseen by | Directorships | |||||
| Address and Age1 | with the Trust | Time Served2 | During Past 5 Years | Trustee3 | Held by Trustee4 | |||||
| Richard P. Strubel Age: 70 | Trustee | Since 1987 | Director, Cardean Learning Group (provider of educational services via the internet) (2003-2008); President, COO and Director, Cardean Learning Group (1999-2003); Director, Cantilever Technologies, Inc. (a private software company) (1999-2005); Audit Committee Chairman, The University of Chicago (2006-Present); Trustee, The University of Chicago (1987-Present); and Managing Director, Tandem Partners, Inc. (management services firm) (1990-1999). Trustee—Goldman Sachs Mutual Fund Complex. | 96 | Gildan Activewear Inc. (a clothing marketing and manufacturing company); The Northern Trust Mutual Fund Complex (58 Portfolios) (Chairman of the Board of Trustees). | |||||
Interested Trustees
| Number of | ||||||||||
| Term of | Portfolios in | |||||||||
| Office and | Fund Complex | Other | ||||||||
| Name, | Position(s) Held | Length of | Principal Occupation(s) | Overseen by | Directorships | |||||
| Address and Age1 | with the Trust | Time Served2 | During Past 5 Years | Trustee3 | Held by Trustee4 | |||||
| James A. McNamara* Age: 47 | President and Trustee | Since 2007 | Managing Director, Goldman Sachs (December 1998-Present); Director of Institutional Fund Sales, GSAM (April 1998-December 2000); and Senior Vice President and Manager, Dreyfus Institutional Service Corporation (January 1993-April 1998). President—Goldman Sachs Mutual Fund Complex (November 2007-Present); Senior Vice President—Goldman Sachs Mutual Fund Complex (May 2007-November 2007); and Vice President—Goldman Sachs Mutual Fund Complex (2001-2007). Trustee—Goldman Sachs Mutual Fund Complex (since November 2007 and December 2002-May 2004). | 96 | None | |||||
| Alan A. Shuch* Age: 60 | Trustee | Since 1990 | Advisory Director—GSAM (May 1999-Present); Consultant to GSAM (December 1994-May 1999); and Limited Partner, Goldman Sachs (December 1994-May 1999). Trustee—Goldman Sachs Mutual Fund Complex. | 96 | None | |||||
| * | These persons are considered to be “Interested Trustees” because they hold positions with Goldman Sachs and own securities issued by The Goldman Sachs Group, Inc. Each Interested Trustee holds comparable positions with certain other companies of which Goldman Sachs, GSAM or an affiliate thereof is the investment adviser, administrator and/or distributor. | |
| 1 | Each Trustee may be contacted by writing to the Trustee, c/o Goldman Sachs, One New York Plaza, 37th Floor, New York, New York, 10004, Attn: Peter V. Bonanno. | |
| 2 | Each Trustee holds office for an indefinite term until the earliest of: (a) the election of his or her successor; (b) the date the Trustee resigns or is removed by the Board of Trustees or shareholders, in accordance with the Trust’s Declaration of Trust; (c) the conclusion of the first Board meeting held subsequent to the day the Trustee attains the age of 72 years (in accordance with the current resolutions of the Board of Trustees, which may be changed by the Trustees without shareholder vote); or (d) the termination of the Trust. | |
| 3 | The Goldman Sachs Mutual Fund Complex consists of the Trust, Goldman Sachs Municipal Opportunity Fund, Goldman Sachs Credit Strategies Fund, and Goldman Sachs Trust. As of December 31, 2009, the Trust consisted of 11 portfolios, Goldman Sachs Trust consisted of 83 portfolios, (of which 82 offered shares to the public) and the Goldman Sachs Municipal Opportunity Fund did not offer shares to the public. | |
| 4 | This column includes only directorships of companies required to report to the SEC under the Securities Exchange Act of 1934 (i.e., “public companies”) or other investment companies registered under the Act. |
Additional information about the Trustees is available in the Fund’s Statement of Additional Information which can be obtained from Goldman Sachs free of charge by calling this toll-free number (in the United States of America): 1-800-292-4726.
GOLDMAN SACHS VARIABLE INSURANCE TRUST GROWTH AND INCOME FUND
Trustees and Officers (Unaudited) (continued)
Officers of the Trust*
| Term of | ||||||
| Office and | ||||||
| Position(s) Held | Length of | |||||
| Name, Address and Age | With the Trust | Time Served1 | Principal Occupation(s) During Past 5 Years | |||
| James A. McNamara 32 Old Slip New York, NY 10005 Age: 47 | President and Trustee | Since 2007 | Managing Director, Goldman Sachs (December 1998-Present); Director of Institutional Fund Sales, GSAM (April 1998-December 2000); and Senior Vice President and Manager, Dreyfus Institutional Service Corporation (January 1993-April 1998). President—Goldman Sachs Mutual Fund Complex (November 2007-Present); Senior Vice President—Goldman Sachs Mutual Fund Complex (May 2007-November 2007); and Vice President—Goldman Sachs Mutual Fund Complex (2001-2007). Trustee—Goldman Sachs Mutual Fund Complex (since November 2007 and December 2002-May 2004). | |||
| George F. Travers 30 Hudson Street Jersey City, NJ 07032 Age: 42 | Senior Vice President and Principal Financial Officer | Since 2009 | Managing Director, Goldman Sachs (2007-present); Managing Director, UBS Ag (2005-2007); and Partner, Deloitte & Touche LLP (1990-2005, partner from 2000-2005) Senior Vice President and Principal Financial Officer—Goldman Sachs Mutual Fund Complex | |||
| Peter V. Bonanno One New York Plaza New York, NY 10004 Age: 42 | Secretary | Since 2003 | Managing Director, Goldman Sachs (December 2006-Present); Associate General Counsel, Goldman Sachs (2002-Present); Vice President, Goldman Sachs (1999-2006); and Assistant General Counsel, Goldman Sachs (1999-2002). Secretary—Goldman Sachs Mutual Fund Complex (2006-Present); and Assistant Secretary—Goldman Sachs Mutual Fund Complex (2003-2006). | |||
| Scott M. McHugh 32 Old Slip New York, NY 10005 Age: 38 | Treasurer and Senior Vice President | Since 2009 | Vice President, Goldman Sachs (February 2007-Present); Assistant Treasurer of certain mutual funds administered by DWS Scudder (2005-2007); and Director (2005-2007), Vice President (2000-2005), Assistant Vice President (1998-2000), Deutsche Asset Management or its predecessor (1998-2007). Treasurer—Goldman Sachs Mutual Fund Complex (October 2009-Present); Senior Vice President—Goldman Sachs Mutual Fund Complex (November 2009-Present); and Assistant Treasurer—Goldman Sachs Mutual Fund Complex (May 2007-October 2009). | |||
| 1 | Officers hold office at the pleasure of the Board of Trustees or until their successors are duly elected and qualified. Each officer holds comparable positions with certain other companies of which Goldman Sachs, GSAM or an affiliate thereof is the investment adviser, administrator and/or distributor. | |
| * | Represents a partial list of officers of the Trust. Additional information about all the officers is available in the Fund’s Statement of Additional Information which can be obtained from Goldman Sachs free of charge by calling this toll-free number (in the United States): 1-800-292-4726. |
Goldman Sachs Variable Insurance Trust — Tax Information (Unaudited)
For the year ended December 31, 2009, 100% of the dividends paid from net investment company taxable income by the Goldman Sachs Growth and Income Fund qualify for the dividends received deduction available to corporations.
| 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 George F. Travers, Principal Financial Officer Peter V. Bonanno, Secretary Scott M. McHugh, Treasurer | |
| 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. | ||
| A prospectus for the Fund containing more complete information may be obtained from your authorized dealer or from Goldman, Sachs & Co. by calling (retail — 1-800-526-7384) (institutional — 1-800-621-2550). Please consider a fund’s objectives, risks, and charges and expenses, and read the prospectus carefully before investing. The prospectus contains this and other information about the Fund. | ||
| The 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. When available, the Fund’s Forms N-Q may be reviewed and copied at the SEC’s Public Reference Room in Washington, D.C. and information on the operation of the Public Reference Room may also be obtained by calling 1-800-SEC-0330. 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 for the Fund. Please consider the 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 2010 Goldman, Sachs & Co. All rights reserved. | ||
| VITGIAR10/132205.MF.TMPL/02-10 | ||
Goldman
Sachs Variable Insurance Trust
Capital Growth Fund
Annual Report
December 31, 2009
|
GOLDMAN SACHS VARIABLE INSURANCE TRUST CAPITAL GROWTH FUND
INVESTMENT OBJECTIVE
The Fund seeks long-term growth of capital.
Portfolio Management Discussion and Analysis
Below, the Goldman Sachs Growth Portfolio Management Team discusses the Fund’s performance and positioning for the 12 months ended December 31, 2009.
How did the Goldman Sachs Capital Growth Fund (the “Fund”) perform during the annual period ended December 31, 2009 (the “Reporting Period”)?
During the Reporting Period, the Fund’s Institutional and Service Shares generated average annual total returns of 47.75% and 47.50%, respectively. These returns compare to the 37.21% average annual total return of the Fund’s benchmark, the Russell 1000 Growth Index (with dividends reinvested) (the “Russell Index”), during the same time period.
What economic and market factors most influenced the equity markets as a whole during the Reporting Period?
The S&P 500 Index finished the year up 26.46%, as market sentiment continued to improve and the economy showed early signs of recovery. Volatility declined from peak levels, and investors became less risk averse, trading out of the more defensive stocks they favored in late 2008 and early 2009 and placing a premium on companies with greater growth prospects. Despite some positive economic data, concerns about the elevated unemployment rate of 10%, the Federal Reserve’s stance on interest rates, and the strength of the U.S. dollar continued to weigh on the markets.
What key factors were responsible for the Fund’s performance during the Reporting Period?
Effective stock selection overall contributed most to the Fund’s performance during the Reporting Period. Sector allocation also materially boosted the Fund’s results relative to the Russell Index.
Which equity market sectors most significantly affected Fund performance?
Stock selection in the energy, information technology and financials sectors helped the Fund’s performance most. Having underweighted allocations to the consumer staples and industrials sectors, which lagged the Russell Index, also contributed positively to the Fund’s results. Detracting only modestly from the relative performance was the Fund’s underweighted allocation to, and weak stock selection in, the materials sector, which outpaced the Russell Index during the Reporting Period.
What were some of the Fund’s best-performing individual stocks?
The Fund benefited relative to the Russell Index from positions in Apple, the consumer electronics and software manufacturing giant; CB Richard Ellis Group, the world’s leading global commercial real estate services firm; Microsoft, the world’s leading software firm; Equinix, a core Internet exchange services provider; and Cisco Systems, a leading data networking products supplier.
In January, we increased the Fund’s position in Apple, seeking to take advantage of the sell-off related to concerns over CEO Steve Jobs’ health. Subsequently, the company reported a strong fiscal fourth quarter behind sales of its iPod and iPhone products. Apple’s shares continued to rise, as demand for the company’s iMac, PC, iPod touch and iPhone products remained strong through year end. At the end of the fourth quarter, we continued to believe that Apple’s iPhone offered significant upside potential for global sales and that its App Store, with over 10,000 apps, was a key differentiating factor for the iPhone. Shares of CB Richard Ellis Group rose, as the company gained market share and continued to work through the aggressive cost-cutting plan it had initially outlined in 2008. In our view, and as evidenced by its earnings announcements, the company’s management team has a proven track record of effectively managing the business through cyclical downturns. Microsoft was a top contributor, with its shares advancing after the company reported results that surpassed Wall Street estimates. Sales of desktop and laptop computers were better than expected, and cost-cutting initiatives further drove performance. Also, during October, Microsoft released its new operating system, Windows 7, and initial consumer demand was strong.
Shares of Equinix were up, as the merits of its proposed acquisition of Switch & Data, a company that provides the same type of network-neutral data center and interconnection services, became clearer to market participants, specifically that the
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GOLDMAN SACHS VARIABLE INSURANCE TRUST CAPITAL GROWTH FUND
acquisition provides Equinix with more platforms for growth at an accretive valuation and with complementary real estate assets. Cisco Systems, a dominant franchise in networking for consumers and enterprise demand, was also a top contributor, as enterprise network demand showed signs of improvement. Also, during the third quarter, Cisco Systems announced it would purchase video conference company Tandberg for $3 billion. In our view, the acquisition makes strategic sense, as Tandberg’s lower-end video systems should complement Cisco System’s high-end TelePresence systems.
Which stocks detracted significantly from the Fund’s performance during the Reporting Period?
Detracting most from the Fund’s results relative to its benchmark index were positions in Fortune Brands, which manufactures, produces and sells home and hardware products, spirits and wine and golf products; Gilead Sciences, a research-based biopharmaceutical company; Newell- Rubbermaid, which manufactures and markets a broad array of branded consumer products; and MetroPCS Communications, a wireless communications provider.
Fortune Brands’ shares fell after reporting disappointing earnings on weakness in several product areas due to the consumer spending slowdown. Fortune Brands, in our view, continues to have a strong brand portfolio and dominant market share in most of its business areas. However, we believe its stock had reached a full valuation by mid-year, and thus we exited the name in favor of holdings with more attractive growth opportunities. Shares of Gilead Sciences traded down after the company received disappointing Phase III results for its drug, darusentan, for resistant hypertension. We continued to have high conviction in the company, as we believe it is well-positioned within the biotechnology industry, holding dominant market share in several niche areas. For example, Gilead produces the most commonly used treatments for HIV/AIDS.
Newell-Rubbermaid and MetroPCS Communications detracted from the Fund’s annual results because of untimely trades. We sold the Fund’s position in Newell-Rubbermaid during the second quarter of 2009. Given the company’s ongoing strengths, including a well-known brand portfolio and healthy market share in most of its business segments, its stock appreciated relative to its peers and the broad market, and we believed it had reached a full valuation. We therefore decided to exit the stock. We eliminated the Fund’s position in Metro PCS Communications during the first quarter of 2009, as the business was facing new pricing competition from several other industry leaders, which we felt could put MetroPCS Communications’ margins or subscriber growth at risk. We thus believed its growth prospects appeared less certain over the coming years. Each of these companies’ shares rose further for a time following these sales, and thus these names detracted from Fund relative performance.
Did the Fund make any significant purchases or sales during the fiscal year?
We initiated a Fund position in Procter & Gamble. The Fund had owned Procter & Gamble in the past, most recently exiting the position after it had reached what we considered to be a full valuation. We re-established a Fund position in this dominant consumer brands manufacturer because we believed the current economic environment provides the company with significant opportunities for growth. Due to its size, Procter & Gamble is able to maintain a diversified portfolio of products that includes both low-end value brands that perform well in a recessionary scenario but also higher quality, luxury brands that should benefit in a recovery. We also established a Fund position in Oracle, a software company that specializes in database management systems. During the recent economic downturn, Oracle was able to take market share from its competitors due to its consistent cash flow generation. We believe the company will benefit going forward from long-term growth anticipated in enterprise spending on information technology and software.
We initiated a Fund position in Broadcom, a global leader in the design of semiconductor chips for communications devices such as mobile phones, modems, networking equipment and consumer electronics. In our view, Broadcom’s competitive advantage is its ability to integrate multiple components, such as Bluetooth, FM radio, WiFi and GPS, onto one chip. Furthermore, Broadcom has won two important contracts with handset makers Nokia and Samsung for its new mobile phone chips, which should be a significant driver of future revenue growth. In our view, at the time of purchase, Broadcom’s stock price was trading below the intrinsic value of its business. We also established a Fund position in Biogen, a biopharmaceutical company that focuses on developing and commercializing biologics and drugs for the treatment of cancer and inflammatory diseases. At the time of purchase, the company was trading at a discount to its peers, allowing the Fund to establish a position in a dominant biopharmaceutical business at what we considered to be an attractive valuation.
Northern Trust was another new position for the Fund during the Reporting Period. Northern Trust is a financial services firm that specializes in investment management, fund administration, fiduciary and banking services throughout North America, Europe and Asia. We believe the company has significant opportunity for growth as the trend toward the third party custody of assets increases. In addition, other small asset managers who have seen asset levels drop during the past year have been forced to eliminate many administrative positions and rely on outsourcing these duties. We believe Northern
2
GOLDMAN SACHS VARIABLE INSURANCE TRUST CAPITAL GROWTH FUND
Trust has an established name in these areas, and with a stronger balance sheet than those of its competitors, is well-positioned to benefit from these long-term secular trends.
In addition to those sales mentioned earlier, we exited the Fund’s position in Hess. In our view, the oil company’s risk/reward profile had become less attractive, as drilling results in its critical Brazil asset were disappointing. We eliminated the Fund’s position in Coach because its shares meaningfully appreciated since initial purchase and reached our estimate of fair value. Further, while Coach has demonstrated its ability to survive the downturn in consumer spending, we were concerned that Coach was diluting the long-term value of its brand by reducing its price points.
We sold out of the Fund’s position in Blackberry manufacturer Research In Motion. The company reported results that demonstrated a change in business fundamentals, in our view, and we were disappointed by its net subscriber additions, profit margins and fiscal outlook. We exited the Fund’s position in Research In Motion to increase the Fund’s exposure to Apple and QUALCOMM, which we believe will be bigger beneficiaries of growth in the smart-phone market. We also eliminated the Fund’s position in Laboratory Corp. of America, a clinical laboratory organization. One of the characteristics we had liked about this company was the significant free cash flow it generated. We grew concerned that the free cash flow was going to be employed toward an extensive acquisition strategy, which we viewed as less favorable than other shareholder value-creating opportunities that were available to the company, and so we exited the position.
Were there any notable changes in the Fund’s weightings during the Reporting Period?
During the Reporting Period, the Fund’s exposure to energy and financials increased compared to the Russell Index. The Fund’s allocations compared to the benchmark index in health care, information technology and utilities decreased.
How was the Fund positioned relative to its benchmark index at the end of December 2009?
At the end of December 2009, the Fund had overweighted positions relative to the Russell Index in the financials, energy, telecommunication services and health care sectors. On the same date, the Fund had underweighted positions compared to the Russell Index in industrials, consumer staples, information technology and materials and was rather neutrally weighted to the Index in consumer discretionary and utilities.
What is the Fund’s tactical view and strategy for the months ahead?
We were excited, at the end of December, to find ourselves with ample opportunities to buy quality businesses at deeply discounted valuations as we looked to the 2010 U.S. equity market. In our view, many quality stocks were inexpensive relative to their lower quality peers, a valuation gap we expect to narrow over time as we enter into a more normalized market environment. We expect earnings to accelerate due to economic improvement and unprecedented company level operating leverage driven by aggressive cost cutting, and for low borrowing costs to be a further tailwind to earnings. As investors refocus on fundamentals, we believe that 2010 will be a fertile environment in which to generate added value.
We continue to anticipate increased stock-level differentiation going forward, with the markets distinguishing quality companies with robust business models from those likely to remain challenged. We see prospects in select companies that we believe are poised to benefit from a scenario of lower competition, higher pricing and improved market share. We maintain our focus on quality companies trading at compelling valuations and believe that this long-term discipline will help us navigate volatile markets. As always, deep research resources, a forward-looking investment process and truly actively managed portfolios are keys, in our view, to both preserving capital and outperforming the market over the long term.
Please note that effective April 30, 2010, the Fund will be renamed “Goldman Sachs Strategic Growth Fund”. The Fund’s investment objective, performance benchmark and anticipated fees and expenses will remain the same, but the investment strategies of the Fund will change. The investment focus will be on large-cap U.S. equity investments that are considered to be strategically positioned for consistent long-term growth. The Fund will seek to achieve its investment objective by investing in a diversified portfolio of equity investments that are considered by the Investment Adviser to be strategically positioned for consistent long-term growth. Please see the supplement dated January 6, 2010 for additional information.
3
GOLDMAN SACHS VARIABLE INSURANCE TRUST CAPITAL GROWTH FUND
Portfolio Composition
TOP TEN PORTFOLIO HOLDINGS AS OF 12/31/09*
| Holding | % of Net Assets | Line of Business | ||||||
| Apple, Inc. | 4.7 | % | Technology Hardware & Equipment | |||||
| Microsoft Corp. | 3.9 | Software & Services | ||||||
| Cisco Systems, Inc. | 3.3 | Technology Hardware & Equipment | ||||||
| PepsiCo, Inc. | 3.3 | Food, Beverage & Tobacco | ||||||
| The Procter & Gamble Co. | 3.1 | Household & Personal Products | ||||||
| American Tower Corp. Class A | 3.1 | Telecommunication Services | ||||||
| Johnson & Johnson | 3.0 | Pharmaceuticals, Biotechnology & Life Sciences | ||||||
| Oracle Corp. | 3.0 | Software & Services | ||||||
| Baxter International, Inc. | 2.9 | Health Care Equipment & Services | ||||||
| QUALCOMM, Inc. | 2.6 | Technology Hardware & Equipment | ||||||
* Opinions expressed in this report represent our present opinion only. Reference to individual securities should not be construed as a commitment that such securities will be retained by the Fund. From time to time, the Fund may change the individual securities it holds, the number or types of securities held and the markets in which it invests. Fund holdings of securities should not be relied upon in making investment decisions and should not be construed as research or investment advice regarding particular securities. References to individual securities do not constitute a recommendation to the investor to buy, hold or sell such securities. In addition, references to past performance of the Fund do not indicate future returns, which are not guaranteed and will vary. Furthermore, the value of shares of the Fund may fall as well as rise.
FUND vs. BENCHMARK SECTOR ALLOCATION AS OF 12/31/091
1 The fund is actively managed and, as such, its composition may differ over time. The above graph categorizes investments using Global Industry Classification Standard (’GICS”), however, the sector classifications used by the portfolio management team may differ from GICS. Consequently, the Fund’s overall industry sector allocations may differ from the percentages contained in the graph above. The percentage shown for each investment category reflects the value of investments in that category as a percentage of market value (excluding investments in the securities lending reinvestment vehicle, if any). Investment in the securities lending reinvestment vehicle represented 3.4% of the Fund’s net assets at December 31, 2009.
4
GOLDMAN SACHS VARIABLE INSURANCE TRUST CAPITAL GROWTH FUND
Performance Summary
December 31, 2009
The following graph shows the value, as of December 31, 2009, of a $10,000 investment made on January 1, 2000 in the Institutional Shares at net asset value per share. For comparative purposes, the performance of the Fund’s benchmark, the Russell 1000 Growth Index (with dividends reinvested), is shown. This performance data represents past performance and should not be considered indicative of future performance, which will fluctuate with changes in market conditions. These performance fluctuations will cause an investor’s shares, when redeemed, to be worth more or less than their original cost. Performance reflects Fund level expenses but does not reflect fees and expenses associated with any variable annuity contract or variable life insurance policy that uses the Fund as an investment option for any contract or policy. Had performance reflected all of those fees and expenses, performance would have been reduced. Performance also would have been reduced had expense limitations not been in effect. Performance of Service Shares will vary from Institutional Shares due to differences in fees. In addition to the investment adviser’s decisions regarding issuer/industry investment selection and allocation, other factors may affect Fund performance. These factors include, but are not limited to, Fund operating fees and expenses, portfolio turnover, and subscription and redemption cash flows affecting the Fund.
Capital Growth Fund’s 10 Year Performance
| Average Annual total Return through December 31, 2009 | One Year | Five Years | Ten Years | Since Inception | ||||||||||||
Institutional (Commenced April 30, 1998) | 47.75% | 1.16% | −1.59% | 1.77% | ||||||||||||
Service (Commenced January 9, 2006) | 47.50% | n/a | n/a | −0.27% | ||||||||||||
5
GOLDMAN SACHS VARIABLE INSURANCE TRUST CAPITAL GROWTH FUND
Schedule of Investments
December 31, 2009
| �� | ||||||||||
| Shares | Description | Value | ||||||||
Common Stocks – 98.4% | ||||||||||
| Banks – 1.1% | ||||||||||
| 220,200 | People’s United Financial, Inc. | $ | 3,677,340 | |||||||
| Capital Goods – 1.9% | ||||||||||
| 78,494 | ABB Ltd. ADR* | 1,499,236 | ||||||||
| 20,300 | Danaher Corp. | 1,526,560 | ||||||||
| 53,130 | United Technologies Corp. | 3,687,753 | ||||||||
| 6,713,549 | ||||||||||
| Commercial & Professional Services – 1.4% | ||||||||||
| 210,800 | Iron Mountain, Inc.* | 4,797,808 | ||||||||
| Consumer Durables & Apparel – 1.5% | ||||||||||
| 79,200 | NIKE, Inc. Class B | 5,232,744 | ||||||||
| Consumer Services – 3.0% | ||||||||||
| 99,240 | Marriott International, Inc. Class A(a) | 2,704,290 | ||||||||
| 80,800 | McDonald’s Corp. | 5,045,152 | ||||||||
| 74,300 | Starwood Hotels & Resorts Worldwide, Inc. | 2,717,151 | ||||||||
| 10,466,593 | ||||||||||
| Diversified Financials – 7.4% | ||||||||||
| 19,200 | CME Group, Inc. | 6,450,240 | ||||||||
| 83,200 | JPMorgan Chase & Co. | 3,466,944 | ||||||||
| 103,000 | Morgan Stanley | 3,048,800 | ||||||||
| 99,300 | Northern Trust Corp. | 5,203,320 | ||||||||
| 184,900 | SLM Corp.* | 2,083,823 | ||||||||
| 283,130 | The Charles Schwab Corp. | 5,328,507 | ||||||||
| 25,581,634 | ||||||||||
| Energy – 7.8% | ||||||||||
| 61,000 | Cameron International Corp.* | 2,549,800 | ||||||||
| 23,500 | EOG Resources, Inc. | 2,286,550 | ||||||||
| 155,700 | Halliburton Co. | 4,685,013 | ||||||||
| 59,600 | Occidental Petroleum Corp. | 4,848,460 | ||||||||
| 138,140 | Schlumberger Ltd. | 8,991,533 | ||||||||
| 101,840 | Suncor Energy, Inc. | 3,595,970 | ||||||||
| 26,957,326 | ||||||||||
| Food & Staples Retailing – 2.0% | ||||||||||
| 114,300 | Costco Wholesale Corp. | 6,763,131 | ||||||||
| Food, Beverage & Tobacco – 5.4% | ||||||||||
| 92,100 | Kraft Foods, Inc. Class A | 2,503,278 | ||||||||
| 185,700 | PepsiCo, Inc. | 11,290,560 | ||||||||
| 88,300 | The Coca-Cola Co. | 5,033,100 | ||||||||
| 18,826,938 | ||||||||||
| Health Care Equipment & Services – 6.7% | ||||||||||
| 167,700 | Baxter International, Inc. | 9,840,636 | ||||||||
| 39,600 | C. R. Bard, Inc. | 3,084,840 | ||||||||
| 40,200 | Express Scripts, Inc.* | 3,475,290 | ||||||||
| 182,900 | St. Jude Medical, Inc.* | 6,727,062 | ||||||||
| 23,127,828 | ||||||||||
| Household & Personal Products – 4.4% | ||||||||||
| 135,300 | Avon Products, Inc. | 4,261,950 | ||||||||
| 178,900 | The Procter & Gamble Co. | 10,846,707 | ||||||||
| 15,108,657 | ||||||||||
| Materials – 1.3% | ||||||||||
| 55,400 | Praxair, Inc. | 4,449,174 | ||||||||
| Media – 0.8% | ||||||||||
| 96,874 | Viacom, Inc. Class B* | 2,880,064 | ||||||||
| Pharmaceuticals, Biotechnology & Life Sciences – 12.0% | ||||||||||
| 102,000 | Biogen Idec, Inc.* | 5,457,000 | ||||||||
| 99,628 | Charles River Laboratories International, Inc.*(a) | 3,356,467 | ||||||||
| 120,953 | Gilead Sciences, Inc.* | 5,234,846 | ||||||||
| 162,300 | Johnson & Johnson | 10,453,743 | ||||||||
| 156,900 | Merck & Co., Inc. | 5,733,126 | ||||||||
| 44,100 | Shire PLC ADR | 2,588,670 | ||||||||
| 73,700 | Teva Pharmaceutical Industries Ltd. ADR | 4,140,466 | ||||||||
| 96,300 | Thermo Fisher Scientific, Inc.* | 4,592,547 | ||||||||
| 41,556,865 | ||||||||||
| Real Estate – 2.3% | ||||||||||
| 586,400 | CB Richard Ellis Group, Inc. Class A* | 7,957,448 | ||||||||
| Retailing – 5.2% | ||||||||||
| 254,140 | Lowe’s Companies, Inc. | 5,944,335 | ||||||||
| 189,300 | Staples, Inc. | 4,654,887 | ||||||||
| 149,000 | Target Corp. | 7,207,130 | ||||||||
| 17,806,352 | ||||||||||
| Semiconductors & Semiconductor Equipment – 2.2% | ||||||||||
| 238,000 | Broadcom Corp. Class A* | 7,485,100 | ||||||||
| Software & Services – 15.8% | ||||||||||
| 57,040 | Cognizant Technology Solutions Corp. Class A* | 2,583,912 | ||||||||
| 74,900 | Equinix, Inc.*(a) | 7,950,635 | ||||||||
| 70,300 | Global Payments, Inc. | 3,786,358 | ||||||||
| 11,308 | Google, Inc. Class A* | 7,010,734 | ||||||||
| 437,168 | Microsoft Corp. | 13,329,252 | ||||||||
| 425,500 | Oracle Corp. | 10,441,770 | ||||||||
| 218,791 | The Western Union Co. | 4,124,210 | ||||||||
| 59,900 | Visa, Inc. Class A(a) | 5,238,854 | ||||||||
| 54,465,725 | ||||||||||
| Technology Hardware & Equipment – 12.0% | ||||||||||
| 98,000 | Amphenol Corp. Class A | 4,525,640 | ||||||||
| 77,700 | Apple, Inc.* | 16,383,822 | ||||||||
| 474,790 | Cisco Systems, Inc.* | 11,366,472 | ||||||||
| 196,191 | QUALCOMM, Inc. | 9,075,796 | ||||||||
| 41,351,730 | ||||||||||
GOLDMAN SACHS VARIABLE INSURANCE TRUST CAPITAL GROWTH FUND
| Shares | Description | Value | ||||||||
Common Stocks – (continued) | ||||||||||
| Telecommunication Services – 4.2% | ||||||||||
| 244,190 | American Tower Corp. Class A* | $ | 10,551,450 | |||||||
| 105,950 | Crown Castle International Corp.* | 4,136,288 | ||||||||
| 14,687,738 | ||||||||||
TOTAL COMMON STOCKS | ||||||||||
| (Cost $296,965,409) | $ | 339,893,744 | ||||||||
| Shares | Rate | Value | ||||||||||
Short-term Investment(b) – 1.9% | ||||||||||||
JPMorgan U.S. Government Money Market Fund – Capital Shares | ||||||||||||
| 6,398,071 | 0.049 | % | $ | 6,398,071 | ||||||||
| (Cost $6,398,071) | ||||||||||||
| TOTAL INVESTMENTS BEFORE SECURITIES LENDING REINVESTMENT VEHICLE | ||||||||||||
| (Cost $303,363,480) | $ | 346,291,815 | ||||||||||
Securities Lending Reinvestment Vehicle(b)(c) – 3.4% | ||||||||||||
| Boston Global Investment Trust – Enhanced Portfolio | ||||||||||||
| 11,689,237 | 0.107 | % | 11,689,237 | |||||||||
| (Cost $11,677,654) | ||||||||||||
TOTAL INVESTMENTS – 103.7% | ||||||||||||
| (Cost $315,041,134) | $ | 357,981,052 | ||||||||||
LIABILITIES IN EXCESS OF OTHER ASSETS – (3.7)% | (12,813,832 | ) | ||||||||||
| NET ASSETS – 100.0% | $ | 345,167,220 | ||||||||||
The percentage shown for each investment category reflects the value of investments in that category as a percentage of net assets.
| * | Non-income producing security. | |
| (a) | All or a portion of security is on loan. | |
| (b) | Variable rate security. Interest rate disclosed is that which is in effect at December 31, 2009. | |
| (c) | Represents an affiliated issuer. |
| Investment Abbreviation: | ||||||
| ADR | — | American Depositary Receipt | ||||
GOLDMAN SACHS VARIABLE INSURANCE TRUST CAPITAL GROWTH FUND
Statement of Assets and Liabilities
December 31, 2009
| Assets: | ||||||
| Investments in securities of unaffiliated issuers, at value (identified cost $303,363,480)(a) | $ | 346,291,815 | ||||
| Investments in affiliated securities lending reinvestment vehicle, at value (identified cost $11,677,654) | 11,689,237 | |||||
| Receivables: | ||||||
Dividends | 316,235 | |||||
Fund shares sold | 44,548 | |||||
Securities lending income | 273 | |||||
| Total assets | 358,342,108 | |||||
| Liabilities: | ||||||
| Payables: | ||||||
Payable upon return of securities loaned | 11,762,910 | |||||
Investment securities purchased | 852,712 | |||||
Amounts owed to affiliates | 269,335 | |||||
Fund shares redeemed | 256,256 | |||||
| Accrued expenses | 33,675 | |||||
| Total liabilities | 13,174,888 | |||||
| Net Assets: | ||||||
| Paid-in capital | 440,113,551 | |||||
| Accumulated net investment income | 2,485 | |||||
| Accumulated net realized loss from investment transactions | (137,888,734 | ) | ||||
| Net unrealized gain on investments | 42,939,918 | |||||
| NET ASSETS | $ | 345,167,220 | ||||
| Net Assets: | ||||||
Institutional | $ | 125,258,008 | ||||
Service | 219,909,212 | |||||
| Total Net Assets | $ | 345,167,220 | ||||
| Shares of beneficial interest outstanding $0.001 par value (unlimited shares authorized): | ||||||
Institutional | 11,502,613 | |||||
Service | 20,213,497 | |||||
| Net asset value, offering and redemption price per share: | ||||||
Institutional | $ | 10.89 | ||||
Service | 10.88 | |||||
| (a) | Includes loaned securities having a market value of $11,426,315. |
GOLDMAN SACHS VARIABLE INSURANCE TRUST CAPITAL GROWTH FUND
Statement of Operations
For the Fiscal Year Ended December 31, 2009
| Investment income: | ||||||
| Dividends(a) | $ | 3,489,392 | ||||
| Securities lending income — affiliated issuer | 46,848 | |||||
| Total investment income | 3,536,240 | |||||
| Expenses: | ||||||
| Management fees | 2,219,517 | |||||
| Distribution and Service fees — Service Shares | 470,112 | |||||
| Printing fees | 81,805 | |||||
| Professional fees | 77,628 | |||||
| Transfer Agent fees(b) | 59,182 | |||||
| Custody and accounting fees | 37,860 | |||||
| Trustee fees | 16,663 | |||||
| Other | 22,476 | |||||
| Total expenses | 2,985,243 | |||||
| Less — expense reductions | (1,699 | ) | ||||
| Net expenses | 2,983,544 | |||||
| NET INVESTMENT INCOME | 552,696 | |||||
| Realized and unrealized gain (loss) from investment transactions: | ||||||
| Net realized gain (loss) from: | ||||||
Investment transactions — unaffiliated issuers (including commissions recaptured of $45,498) | (46,001,050 | ) | ||||
Securities lending reinvestment vehicle transactions — affiliated issuer | 124,512 | |||||
| Net change in unrealized gain on: | ||||||
Investments — unaffiliated issuers | 160,758,281 | |||||
Securities lending reinvestment vehicle — affiliated issuer | 10,603 | |||||
| Net realized and unrealized gain from investment transactions | 114,892,346 | |||||
| NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS | $ | 115,445,042 | ||||
| (a) | Foreign taxes withheld on dividends were $5,792. |
| (b) | Institutional and Service Shares had Transfer Agent fees of $21,576 and $37,606, respectively. |
GOLDMAN SACHS VARIABLE INSURANCE TRUST CAPITAL GROWTH FUND
Statements of Changes in Net Assets
| For the Fiscal | For the Fiscal | |||||||||
| Year Ended | Year Ended | |||||||||
| December 31, 2009 | December 31, 2008 | |||||||||
| From operations: | ||||||||||
| Net investment income | $ | 552,696 | $ | 156,317 | ||||||
| Net realized loss from investment transactions | (45,876,538 | ) | (30,858,930 | ) | ||||||
| Net change in unrealized gain (loss) on investments | 160,768,884 | (167,203,794 | ) | |||||||
| Net increase (decrease) in net assets resulting from operations | 115,445,042 | (197,906,407 | ) | |||||||
| Distributions to shareholders: | ||||||||||
| From net investment income | ||||||||||
Institutional Shares | (442,989 | ) | (178,949 | ) | ||||||
Service Shares | (360,499 | ) | — | |||||||
| From return of capital | ||||||||||
Institutional Shares | (53,630 | ) | — | |||||||
Service Shares | (43,643 | ) | — | |||||||
| Total distributions to shareholders | (900,761 | ) | (178,949 | ) | ||||||
| From share transactions: | ||||||||||
| Proceeds from sales of shares | 24,273,407 | 18,949,778 | ||||||||
| Reinvestment of distributions | 900,761 | 178,949 | ||||||||
| Cost of shares redeemed | (57,699,129 | ) | (73,313,122 | ) | ||||||
| Net decrease in net assets resulting from share transactions | (32,524,961 | ) | (54,284,395 | ) | ||||||
| TOTAL INCREASE (DECREASE) | 82,019,320 | (252,369,751 | ) | |||||||
| Net assets: | ||||||||||
| Beginning of year | 263,147,900 | 515,517,651 | ||||||||
| End of year | $ | 345,167,220 | $ | 263,147,900 | ||||||
| Accumulated undistributed net investment income | $ | 2,485 | $ | 251,205 | ||||||
GOLDMAN SACHS VARIABLE INSURANCE TRUST CAPITAL GROWTH FUND
Financial Highlights
Selected Data for a Share Outstanding Throughout Each Year
| Income (loss) from | ||||||||||||||||||||||||||||||||||||||||||||||||
| investment operations | ||||||||||||||||||||||||||||||||||||||||||||||||
| Net | Distributions | Ratio of | Ratio of | |||||||||||||||||||||||||||||||||||||||||||||
| Net asset | Net | realized | to shareholders | Net asset | Net assets, | Ratio of | total | net investment | ||||||||||||||||||||||||||||||||||||||||
| value, | investment | and | Total from | from net | value, | end of | net expenses | expenses | income (loss) | Portfolio | ||||||||||||||||||||||||||||||||||||||
| beginning | income | unrealized | investment | investment | end of | Total | year | to average | to average | to average | turnover | |||||||||||||||||||||||||||||||||||||
| Year — Share Class | of year | (loss)(a) | gain (loss) | operations | income | year | return(b) | (in 000s) | net assets | net assets | net assets | rate | ||||||||||||||||||||||||||||||||||||
| FOR THE FISCAL YEARS ENDED DECEMBER 31, | ||||||||||||||||||||||||||||||||||||||||||||||||
| 2009 — Institutional | $ | 7.40 | $ | 0.03 | $ | 3.50 | $ | 3.53 | $ | (0.04 | )(c) | $ | 10.89 | 47.75 | % | $ | 125,258 | 0.85 | % | 0.85 | % | 0.35 | % | 64 | % | |||||||||||||||||||||||
| 2009 — Service | 7.39 | 0.01 | 3.50 | 3.51 | (0.02 | )(c) | 10.88 | 47.50 | 219,909 | 1.10 | 1.10 | 0.10 | 64 | |||||||||||||||||||||||||||||||||||
| 2008 — Institutional | 12.73 | 0.02 | (5.34 | ) | (5.32 | ) | (0.01 | ) | 7.40 | (41.67 | ) | 95,218 | 0.81 | 0.81 | 0.20 | 44 | ||||||||||||||||||||||||||||||||
| 2008 — Service | 12.73 | (0.01 | ) | (5.33 | ) | (5.34 | ) | — | 7.39 | (41.86 | ) | 167,930 | 1.06 | 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) | 0.86 | (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) | 0.11 | (e) | 0.08 | (d)(e) | 53 | |||||||||||||||||||||||||||||||
| 2006 — Institutional | 10.68 | 0.01 | 0.90 | 0.91 | (0.01 | ) | 11.58 | 8.56 | 165,877 | 0.84 | 0.85 | 0.12 | 70 | |||||||||||||||||||||||||||||||||||
| 2006 — Service (Commenced January 9, 2006) | 11.03 | — | (f) | 0.55 | 0.55 | — | (f) | 11.58 | 5.01 | 386,526 | 0.94 | (g) | 1.10 | (g) | 0.03 | (g) | 70 | |||||||||||||||||||||||||||||||
| 2005 — Institutional | 10.39 | 0.02 | 0.29 | 0.31 | (0.02 | ) | 10.68 | 2.94 | 168,054 | 0.90 | 0.90 | 0.15 | 35 | |||||||||||||||||||||||||||||||||||
| (a) | Calculated based on the average shares outstanding methodology. | |
| (b) | Assumes investment at the net asset value at the beginning of the year, reinvestment of all distributions and a complete redemption of the investment at the net asset value at the end of the year. Total returns for periods less than one full year are not annualized. | |
| (c) | Includes a return of capital amounting to less than $0.005 per share. | |
| (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. | |
| (g) | Annualized. |
The accompanying notes are an integral part of these financial statements.
11
GOLDMAN SACHS VARIABLE INSURANCE TRUST CAPITAL GROWTH FUND
Notes to Financial Statements
December 31, 2009
1. ORGANIZATION
Goldman Sachs Variable Insurance Trust (the “Trust” or “VIT”) is a Delaware statutory trust registered under the Investment Company Act of 1940, as amended (the “Act”), as an open-end management investment company. The Trust includes the Goldman Sachs Capital Growth Fund (the “Fund”). The Fund is a diversified portfolio under the Act offering two classes of shares — Institutional and Service. Goldman, Sachs & Co. (“Goldman Sachs” or the “Distributor”) serves as Distributor of the shares of the Fund pursuant to a Distribution Agreement.
Goldman Sachs Asset Management, L.P. (“GSAM”), an affiliate of Goldman Sachs, serves as investment adviser pursuant to a management agreement (the “Agreement”) with the Trust on behalf of the Fund.
2. SIGNIFICANT ACCOUNTING POLICIES
The following is a summary of the significant accounting policies consistently followed by the Fund. The preparation of financial statements in conformity with accounting principles generally accepted in the United States of America (“GAAP”) requires management to make estimates and assumptions that may affect the amounts and disclosures in the financial statements. Actual results could differ from those estimates and assumptions.
A. FASB Financial Accounting Standards Codification — In July 2009, the Financial Accounting Standards Board (“FASB”) launched its “Financial Accounting Standards Codification” (the “Codification”) as the single source of GAAP. While the Codification does not change GAAP, it introduces a new structure to the accounting literature and changes references to accounting standards and other authoritative accounting guidance that have been reflected in the Notes to Financial Statements.
B. Investment Valuation — The investment valuation policy of the Fund is to value investments at market value. Investments in equity securities and investment companies traded on a United States (“U.S.”) securities exchange or the NASDAQ system are valued daily at their last sale price or official closing price on the principal exchange or system on which they are traded. If no sale occurs, such securities and investment companies are valued at the last bid price for long positions and at the last ask price for short positions. Debt securities for which market quotations are readily available are valued on the basis of quotations furnished by an independent pricing service approved by the trustees or provided by securities dealers. The pricing services may use valuation models or matrix pricing, which consider: (i) yield or price with respect to bonds that are considered comparable in characteristics such as rating, interest rate and maturity date or (ii) quotations from bond dealers to determine current value. If accurate quotations are not readily available, or if GSAM believes that such quotations do not accurately reflect fair value, the fair value of the Fund’s investments may be determined based on yield equivalents, a pricing matrix or other sources, under valuation procedures established by the trustees. Unlisted equity securities for which market quotations are available are valued at the last sale price on valuation date, or if no sale occurs, at the last bid price. In the absence of market quotations, broker quotes will be utilized or the security will be fair valued. Investments in investment companies (other than those that are exchange traded) are valued at the net asset value per share (“NAV”) on the valuation date. Short-term debt obligations that mature in sixty days or less and that do not exhibit signs of credit deterioration are valued at amortized cost, which approximates market value.
GSAM, consistent with its procedures and applicable regulatory guidance, may make an adjustment to the previous closing prices of either domestic or foreign securities in light of significant events to reflect what it believes to be the fair value of the securities at the time of determining the Fund’s NAV. Significant events that could affect a large number of securities in a particular market may include, but are not limited to: situations relating to one or more single issuers in a market sector; significant fluctuations in U.S. or foreign markets; market dislocations; market disruptions or market closings; equipment failures; natural or man-made disasters or acts of God; armed conflicts; government actions or other developments; as well as the same or similar events which may affect specific issuers or the securities markets even though not tied directly to the securities markets. Other significant events that could relate to a single issuer may include, but are not limited to: corporate actions such as reorganizations, mergers and buy-outs; corporate announcements, including those
GOLDMAN SACHS VARIABLE INSURANCE TRUST CAPITAL GROWTH FUND
| 2. SIGNIFICANT ACCOUNTING POLICIES (continued) |
relating to earnings, products and regulatory news; significant litigation; low trading volume; and trading limits or suspensions.
C. Security and Fund Share Transactions, and Investment Income — Security and Fund share transactions are reflected for financial reporting purposes as of the trade date, which may cause the NAV as stated in the accompanying financial statements to be different than the NAV applied to Fund share transactions. Realized gains and losses on sales of portfolio securities are calculated using the identified cost basis. Dividend income is recognized on the ex-dividend date, net of foreign withholding taxes, if any, which are reduced by any amounts reclaimable by the Fund, where applicable. Interest income is recorded on the basis of interest accrued, premium amortized and discount accreted. In addition, it is the Fund’s policy to accrue for foreign capital gains taxes, if applicable, on certain foreign securities held by the Fund. An estimated foreign capital gains tax is recorded daily on net unrealized gains on these securities and is payable upon the sale of such securities when a gain is realized.
Net investment income (other than class specific expenses) and unrealized and realized gains or losses are allocated daily to each class of shares of the Fund based upon the relative proportion of net assets of each class.
D. Expenses — Expenses incurred by the Trust that do not specifically relate to an individual Fund of the Trust are allocated to the Fund on a straight-line and/or pro-rata basis depending upon the nature of the expense and are accrued daily.
E. Federal Taxes and Distributions to Shareholders — It is the Fund’s policy to comply with the requirements of the Internal Revenue Code of 1986, as amended (the “Code”) applicable to regulated investment companies (mutual funds) and to distribute each year substantially all of its investment company taxable income and capital gains to its shareholders. Accordingly, no federal income tax provisions are required. Distributions to shareholders are recorded on the ex-dividend date. Income and capital gains distributions, if any, are declared and paid annually. Net capital losses are carried forward to future fiscal years and may be used to the extent allowed by the Code to offset any future capital gains. Utilization of capital loss carryforwards will reduce the requirement of future capital gains distributions.
The characterization of distributions to shareholders for financial reporting purposes is determined in accordance with federal income tax rules, which may differ from GAAP. The source of the Fund’s distributions may be shown in the accompanying financial statements as either from net investment income, net realized gain or capital. The Fund’s capital accounts on the Statement of Assets and Liabilities reflect permanent GAAP/tax differences based on the appropriate tax character, but do not reflect temporary differences.
GSAM has reviewed the Fund’s tax positions for all open tax years (the current and prior three years, as applicable) and has concluded that no provision for income tax is required in the Fund’s financial statements. Such open tax years remain subject to examination and adjustment by tax authorities.
F. Commission Recapture — The Fund may direct portfolio trades, subject to obtaining best execution, to various brokers who have agreed to rebate a portion of the commissions generated. Such rebates are made directly to the Fund as cash payments and are included in net realized gain (loss) from investments on the Statement of Operations.
3. AGREEMENTS AND AFFILIATED TRANSACTIONS
A. Management Agreement — Under the Agreement, GSAM manages the Fund, subject to the general supervision of the trustees.
As compensation for the services rendered pursuant to the Agreement, the assumption of the expenses related thereto and administration of the Fund’s business affairs, including providing facilities, GSAM is entitled to a management fee computed daily and payable monthly, equal to an annual percentage rate of the Fund’s average daily net assets.
GOLDMAN SACHS VARIABLE INSURANCE TRUST CAPITAL GROWTH FUND
Notes to Financial Statements (continued)
December 31, 2009
| 3. AGREEMENTS AND AFFILIATED TRANSACTIONS (continued) |
For the fiscal year ended December 31, 2009, contractual management fees with GSAM were at the following rates:
| Contractual Management Rate | ||||||||||||||||||||||||
| First | Next | Next | Next | Over | Effective | |||||||||||||||||||
| $1 billion | $1 billion | $3 billion | $3 billion | $8 billion | Rate | |||||||||||||||||||
| 0.75 | % | 0.68 | % | 0.65 | % | 0.64 | % | 0.63 | % | 0.75 | % | |||||||||||||
B. Distribution Agreement and Service Plan — The Trust, on behalf of the Service Shares of the Fund, has adopted a Distribution and Service Plan (the “Plan”). Under the Plan, Goldman Sachs and/or authorized dealers are entitled to a fee accrued daily and paid monthly for distribution services equal to, on an annual basis, 0.25% of the Fund’s average daily net assets attributable to Service Shares.
C. Transfer Agency Agreement — Goldman Sachs also serves as the transfer agent of the Fund for a fee pursuant to a Transfer Agency Agreement. The fees charged for such transfer agency services are calculated daily and payable monthly at an annual rate of 0.02% of the average daily net assets for Institutional and Service Shares.
D. Other Agreements — GSAM has voluntarily agreed to limit certain “Other Expenses” (excluding management fees, distribution and service fees, transfer agent fees and expenses, taxes, interest, brokerage fees and litigation, indemnification, shareholder meetings and other extraordinary expenses, exclusive of any custody and transfer agent fee credit reductions) to the extent such expenses exceed, on an annual basis, 0.114% of the average daily net assets of the Fund. Such expense reimbursements, if any, are computed daily and paid monthly. In addition, the Fund is not obligated to reimburse GSAM for prior fiscal year expense reimbursements, if any. This expense limitation may be modified or terminated at any time at the option of GSAM. For the fiscal year ended December 31, 2009, GSAM did not make any reimbursements to the Fund. In addition, the Fund has entered into certain offset arrangements with the transfer agent resulting in a reduction of the Fund’s expenses. For the fiscal year ended December 31, 2009, transfer agent fees were reduced by approximately $1,700.
As of December 31, 2009, amounts owed to affiliates were approximately $217,400, $46,100 and $5,800 for management, distribution and service, and transfer agent fees, respectively.
E. Line of Credit Facility — The Fund participates in a $660,000,000 committed, unsecured revolving line of credit facility (the “facility”) together with other funds of the Trust and registered investment companies having management agreements with GSAM or its affiliates. Pursuant to the terms of the facility, the Fund and other borrowers may increase the credit amount by an additional $340,000,000, for a total of up to $1 billion. The facility is to be used solely for temporary or emergency purposes. The interest rate on borrowings is based on the federal funds rate. This facility also requires a fee to be paid by the Fund based on the amount of the commitment that has not been utilized. For the fiscal year ended December 31, 2009, the Fund did not have any borrowings under the facility. Prior to May 12, 2009, the amount available through the facility was $700,000,000.
F. Other Transactions with Affiliates — For the fiscal year ended December 31, 2009, Goldman Sachs earned approximately $26,400 in brokerage commissions from portfolio transactions executed on behalf of the Fund.
4. FAIR VALUE OF INVESTMENTS
The fair value of a financial instrument is the amount that would be received to sell an asset or paid to transfer a liability in an orderly transaction between market participants at the measurement date (i.e., the exit price). GAAP establishes a fair value hierarchy that prioritizes the inputs to valuation techniques used to measure fair value. The hierarchy gives the highest priority to unadjusted quoted prices in active markets for identical assets or liabilities (Level 1 measurements) and the lowest priority to unobservable inputs (Level 3 measurements). The three levels of the fair value hierarchy are described below:
Level 1 — Unadjusted quoted prices in active markets that are accessible at the measurement date for identical, unrestricted assets or liabilities;
GOLDMAN SACHS VARIABLE INSURANCE TRUST CAPITAL GROWTH FUND
| 4. FAIR VALUE OF INVESTMENTS (continued) |
Level 2 — Quoted prices in markets that are not active or financial instruments for which all significant inputs are observable, either directly or indirectly;
Level 3 — Prices or valuations that require inputs that are both significant to the fair value measurement and unobservable.
The following is a summary of the Fund’s investments categorized in the fair value hierarchy:
| Level 1 | Level 2 | Level 3 | ||||||||||
Assets | ||||||||||||
| Common Stock and/or Other Equity Investments | $ | 339,893,744 | $ | — | $ | — | ||||||
| Securities Lending Reinvestment Vehicle | — | 11,689,237 | — | |||||||||
| Short-term Investments | 6,398,071 | — | — | |||||||||
| Total | $ | 346,291,815 | $ | 11,689,237 | $ | — | ||||||
5. PORTFOLIO SECURITIES TRANSACTIONS
The cost of purchases and proceeds from sales and maturities of long-term securities for the fiscal year ended December 31, 2009, were $187,742,719 and $222,022,394, respectively.
6. SECURITIES LENDING
Pursuant to exemptive relief granted by the Securities and Exchange Commission and the terms and conditions contained therein, the Fund may lend its securities through a securities lending agent, Goldman Sachs Agency Lending (“GSAL”), a wholly-owned subsidiary of Goldman Sachs, to certain qualified borrowers including Goldman Sachs and affiliates. In accordance with the Fund’s securities lending procedures, the Fund receives cash collateral at least equal to the market value of the securities on loan. The market value of the loaned securities is determined at the close of business of the Fund at their last sale price or official closing price on the principal exchange or system on which they are traded, and any additional required collateral is delivered to the Fund on the next business day. As with other extensions of credit, the Fund may experience a delay in the recovery of its securities or incur a loss should the borrower of the securities breach its agreement with the Fund or become insolvent at a time when the collateral is insufficient to cover the cost of repurchasing securities on loan.
The Fund invests the cash collateral received in connection with securities lending transactions in the Enhanced Portfolio of Boston Global Investment Trust (“Enhanced Portfolio”), a Delaware statutory trust. The Enhanced Portfolio, deemed an affiliate of the Trust, is exempt from registration under Section 3(c)(7) of the Act and is managed by GSAM, for which GSAM may receive an investment advisory fee of up to 0.10% on an annualized basis of the average daily net assets of the Enhanced Portfolio. The Enhanced Portfolio invests primarily in short-term investments, but is not a “money market fund” subject to the requirements of Rule 2a-7 of the Act. The Fund’s investment of cash collateral in the Enhanced Portfolio is subject to a net asset value that may fall or rise due to market and credit conditions.
Both the Fund and GSAL receive compensation relating to the lending of the Fund’s securities. The amount earned by the Fund for the fiscal year ended December 31, 2009, is reported as securities lending income. A portion of this amount, $20,189, represents compensation earned by the Fund from lending its securities to Goldman Sachs. For the fiscal year ended December 31, 2009, GSAL earned $5,167 in fees as securities lending agent. The amount payable to Goldman Sachs upon return of securities loaned as of December 31, 2009 was $666,171.
GOLDMAN SACHS VARIABLE INSURANCE TRUST CAPITAL GROWTH FUND
Notes to Financial Statements (continued)
December 31, 2009
| 6. SECURITIES LENDING (continued) |
The following table provides information about the Fund’s investment in the Enhanced Portfolio for the fiscal year ended December 31, 2009 (in thousands):
| Number of | Number of | |||||||||||||||||
| Shares Held Beginning | Shares Held End | Value at End | ||||||||||||||||
| of Fiscal Year | Shares Bought | Shares Sold | of Fiscal Year | of Fiscal Year | ||||||||||||||
| 8,767 | 112,170 | (109,248 | ) | 11,689 | $ | 11,689 | ||||||||||||
7. TAX INFORMATION
The tax character of distributions paid during the fiscal years ended December 31, 2008 and December 31, 2009 was as follows:
| 2008 | 2009 | |||||||
| Distributions paid from: | ||||||||
| Ordinary income | $ | 178,949 | $ | 803,488 | ||||
| Tax return of capital | $ | — | $ | 97,273 | ||||
As of December 31, 2009, the components of accumulated earnings (losses) on a tax basis were as follows:
Capital loss carryforward:1 | ||||
| Expiring 2010 | $ | (59,269,469 | ) | |
| Expiring 2011 | (1,064,803 | ) | ||
| Expiring 2016 | (23,475,963 | ) | ||
| Expiring 2017 | (43,438,215 | ) | ||
| Total capital loss carryforward | $ | (127,248,450 | ) | |
| Timing differences (post-October losses) | (4,197,545 | ) | ||
| Unrealized gain — net | 36,499,664 | |||
| Total accumulated losses — net | $ | (94,946,331 | ) | |
| 1 | Expiration occurs on December 31 of the year indicated. The Fund had capital loss carryforwards of approximately $92,315,000 that expired in the current fiscal year. |
As of December 31, 2009, the Fund’s aggregate security unrealized gains and losses based on cost for U.S. federal income tax purposes was as follows:
| Tax cost | $ | 321,481,388 | ||
| Gross unrealized gain | 41,866,976 | |||
| Gross unrealized loss | (5,367,312 | ) | ||
| Net unrealized security gain | $ | 36,499,664 | ||
The difference between GAAP-basis and tax-basis unrealized gains (losses) are attributable primarily to wash sales and differences related to the tax treatment of partnership investments.
In order to present certain components of the Fund’s capital accounts on a tax basis, the Fund has reclassified $2,072 and $92,313,002 to accumulated undistributed net investment income and accumulated net realized loss from investment transactions, respectively, from paid-in-capital. These reclassifications have no impact on the net asset value of the Fund and result primarily from expired capital loss carryforwards and the difference in tax treatment of partnership investments.
GOLDMAN SACHS VARIABLE INSURANCE TRUST CAPITAL GROWTH FUND
8. OTHER RISKS
Market and Credit Risks — In the normal course of business, the Fund trades financial instruments and enters into financial transactions where risk of potential loss exists due to changes in the market (market risk). Additionally, the Fund may also be exposed to credit risk in the event that an issuer fails to perform or that an institution or entity with which the Fund has unsettled or open transaction defaults.
Risks of Large Shareholder Redemptions — Certain participating insurance companies, accounts, or Goldman Sachs affiliates may from time to time own (beneficially or of record) or control a significant percentage of the Fund’s shares. Redemptions by these participating insurance companies or accounts in the Fund may impact the Fund’s liquidity and NAV. These redemptions may also force the Fund to sell securities, which may increase the Fund’s brokerage costs.
9. INDEMNIFICATIONS
Under the Trust’s organizational documents, its trustees, officers, employees and agents are indemnified, to the extent permitted by the Act, against certain liabilities that may arise out of performance of their duties to the Fund. Additionally, in the course of business, the Fund enters into contracts that contain a variety of indemnification clauses. The Fund’s maximum exposure under these arrangements is unknown, as this would involve future claims that may be made against the Fund that have not yet occurred. However, GSAM believes the risk of loss under these arrangements to be remote.
10. OTHER MATTERS
New Accounting Pronouncement — In May 2009, the FASB issued FASB Accounting Standards Codification (“ASC”) 855 “Subsequent Events”. This standard requires disclosure in the financial statements to reflect the effects of subsequent events that provide additional information on conditions about the financial statements as of the balance sheet date (recognized subsequent events) and disclosure of subsequent events that provide additional information about conditions after the balance sheet date if the financial statements would otherwise be misleading (unrecognized subsequent events). ASC 855 is effective for interim and annual financial statements issued for fiscal years ending after June 15, 2009. For purposes of inclusion in the financial statements, GSAM has concluded that subsequent events after the balance sheet date have been evaluated through February 16, 2010, the date the financial statements were issued.
GOLDMAN SACHS VARIABLE INSURANCE TRUST CAPITAL GROWTH FUND
Notes to Financial Statements (continued)
December 31, 2009
11. SUMMARY OF SHARE TRANSACTIONS
Share activity is as follows:
| For the Fiscal Year Ended | For the Fiscal Year Ended | |||||||||||||||
| December 31, 2009 | December 31, 2008 | |||||||||||||||
| Shares | Dollars | Shares | Dollars | |||||||||||||
Institutional Shares | ||||||||||||||||
| Shares sold | 1,185,929 | $ | 10,504,936 | 1,326,309 | $ | 14,164,973 | ||||||||||
| Reinvestment of distributions | 45,729 | 496,619 | 25,195 | 178,949 | ||||||||||||
| Shares redeemed | (2,600,340 | ) | (22,772,377 | ) | (2,027,851 | ) | (21,687,907 | ) | ||||||||
| (1,368,682 | ) | (11,770,822 | ) | (676,347 | ) | (7,343,985 | ) | |||||||||
Service Shares | ||||||||||||||||
| Shares sold | 1,508,421 | 13,768,471 | 532,320 | 4,684,805 | ||||||||||||
| Reinvestment of distributions | 37,214 | 404,142 | — | — | ||||||||||||
| Shares redeemed | (4,046,698 | ) | (34,926,752 | ) | (4,774,952 | ) | (51,625,215 | ) | ||||||||
| (2,501,063 | ) | (20,754,139 | ) | (4,242,632 | ) | (46,940,410 | ) | |||||||||
NET DECREASE | (3,869,745 | ) | $ | (32,524,961 | ) | (4,918,979 | ) | $ | (54,284,395 | ) | ||||||
Report of Independent Registered Public Accounting Firm
To the Board of Trustees and Shareholders of Goldman Sachs Variable Insurance Trust — Goldman Sachs Capital Growth Fund:
In our opinion, the accompanying statement of assets and liabilities, including the schedule of investments, and the related statements of operations and of changes in net assets and the financial highlights present fairly, in all material respects, the financial position of Goldman Sachs Capital Growth Fund (the “Fund”) at December 31, 2009, the results of its operations for the year then ended, the changes in its net assets for each of the two years in the period then ended and the financial highlights for the periods indicated, in conformity with accounting principles generally accepted in the United States of America. These financial statements and financial highlights (hereafter referred to as “financial statements”) are the responsibility of the Fund’s management. Our responsibility is to express an opinion on these financial statements based on our audit. We conducted our audit of these financial statements in accordance with the standards of the Public Company Accounting Oversight Board (United States). Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement. An audit includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements, assessing the accounting principles used and significant estimates made by management, and evaluating the overall financial statement presentation. We believe that our audit, which included confirmation of securities at December 31, 2009 by correspondence with the custodian and transfer agent, provides a reasonable basis for our opinion. The financial highlights of the Fund for the periods ended December 31, 2006 and prior were audited by another Independent Registered Public Accounting Firm whose report dated February 14, 2007 expressed an unqualified opinion on those financial highlights.
PricewaterhouseCoopers LLP
Boston, Massachusetts
February 16, 2010
GOLDMAN SACHS VARIABLE INSURANCE TRUST CAPITAL GROWTH FUND
Fund Expenses — Six Month Period Ended December 31, 2009 (Unaudited)
As a shareholder of Institutional or Service Shares of the Fund, you incur ongoing costs, including management fees, distribution and service (12b-1) fees (with respect to Service Shares) and other Fund expenses. This example is intended to help you understand your ongoing costs (in dollars) of investing in the Institutional Shares and Service Shares of the Fund and to compare these costs with the ongoing costs of investing in other mutual funds.
The example is based on an investment of $1,000 invested at the beginning of the period and held for the entire period from July 1, 2009 through December 31, 2009.
Actual Expenses — The first line under each share class in the table below provides information about actual account values and actual expenses. You may use the information in this line, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000=8.6), then multiply the result by the number in the first line under the heading entitled “Expenses Paid” to estimate the expenses you paid on your account during this period.
Hypothetical Example for Comparison Purposes — The second line under each share class in the table below provides information about hypothetical account values and hypothetical expenses based on the Fund’s actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Fund’s actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Fund and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds.
Please note that the expenses shown in the table are meant to highlight your ongoing costs only. As a shareholder of the Fund, you do not incur any transaction costs, such as sales charges, redemption fees, or exchange fees, but shareholders of other funds may incur such costs. The second line of the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds whose shareholders may incur transaction costs.
| Expenses | |||||||||||||||||||
| Beginning | Ending | Paid for the | |||||||||||||||||
| Account Value | Account Value | 6 Months Ended | |||||||||||||||||
| Share Class | 7/01/09 | 12/31/09 | 12/31/09* | ||||||||||||||||
Institutional | |||||||||||||||||||
| Actual | $ | 1,000 | $ | 1,214.80 | $ | 4.75 | |||||||||||||
| Hypothetical 5% return | 1,000 | 1,020.92 | + | 4.33 | |||||||||||||||
Service | |||||||||||||||||||
| Actual | 1,000 | 1,212.50 | 6.13 | ||||||||||||||||
| Hypothetical 5% return | 1,000 | 1,019.66 | + | 5.60 | |||||||||||||||
| * | 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 December 31, 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 0.85% and 1.10% 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. |
GOLDMAN SACHS VARIABLE INSURANCE TRUST CAPITAL GROWTH FUND
Trustees and Officers (Unaudited)
Independent Trustees
| Number of | ||||||||||
| Term of | Portfolios in | |||||||||
| Office and | Fund Complex | Other | ||||||||
| Name, | Position(s) Held | Length of | Principal Occupation(s) | Overseen by | Directorships | |||||
| Address and Age1 | with the Trust | Time Served2 | During Past 5 Years | Trustee3 | Held by Trustee4 | |||||
| Ashok N. Bakhru Age: 67 | Chairman of the Board of Trustees | Since 1991 | President, ANB Associates (July 1994-March 1996 and November 1998-Present); Director, Apollo Investment Corporation (a business development company) (October 2008-Present); Executive Vice President—Finance and Administration and Chief Financial Officer and Director, Coty Inc. (manufacturer of fragrances and cosmetics) (April 1996-November 1998); Director of Arkwright Mutual Insurance Company (1984-1999); Trustee of International House of Philadelphia (program center and residential community for students and professional trainees from the United States and foreign countries) (1989-2004); Member of Cornell University Council (1992-2004 and 2006-Present); Trustee of the Walnut Street Theater (1992-2004); Trustee, Scholarship America (1998-2005); Trustee, Institute for Higher Education Policy (2003-2008); Director, Private Equity Investors—III and IV (November 1998-2007), and Equity-Limited Investors II (April 2002-2007); and Chairman, Lenders Service Inc. (provider of mortgage lending service s) (2000-2003). Chairman of the Board of Trustees—Goldman Sachs Mutual Fund Complex. | 96 | Apollo Investment Corporation (a business development company) | |||||
| John P. Coblentz, Jr. Age: 68 | Trustee | Since 2003 | Partner, Deloitte & Touche LLP (June 1975-May 2003); Director, Emerging Markets Group, Ltd. (2004-2006); and Director, Elderhostel, Inc. (2006-Present). Trustee—Goldman Sachs Mutual Fund Complex. | 96 | None | |||||
| Diana M. Daniels Age: 60 | Trustee | Since 2007 | Ms. Daniels is retired (since January 2007). Formerly, she was Vice President, General Counsel and Secretary, The Washington Post Company (1991-2006). Ms. Daniels is Chairman of the Executive Committee, Cornell University (2006-Present); Member, Advisory Board, Psychology Without Borders (international humanitarian aid organization) (since 2007), and former Member of the Legal Advisory Board, New York Stock Exchange (2003-2006) and of the Corporate Advisory Board, Standish Mellon Management Advisors (2006-2007). Trustee—Goldman Sachs Mutual Fund Complex. | 96 | None | |||||
GOLDMAN SACHS VARIABLE INSURANCE TRUST CAPITAL GROWTH FUND
Trustees and Officers (Unaudited) (continued)
Independent Trustees
| Number of | ||||||||||
| Term of | Portfolios in | |||||||||
| Office and | Fund Complex | Other | ||||||||
| Name, | Position(s) Held | Length of | Principal Occupation(s) | Overseen by | Directorships | |||||
| Address and Age1 | with the Trust | Time Served2 | During Past 5 Years | Trustee3 | Held by Trustee4 | |||||
| Patrick T. Harker Age: 51 | Trustee | Since 2000 | President, University of Delaware (July 2007-Present); Dean and Reliance Professor of Operations and Information Management, The Wharton School, University of Pennsylvania (February 2000-June 2007); Interim and Deputy Dean, The Wharton School, University of Pennsylvania (July 1999-January 2000); and Professor and Chairman of Department of Operations and Information Management, The Wharton School, University of Pennsylvania (July 1997-August 2000). Trustee—Goldman Sachs Mutual Fund Complex. | 96 | Pepco Holdings, Inc. (an energy delivery company) | |||||
| Jessica Palmer Age: 60 | Trustee | Since 2007 | Consultant, Citigroup Human Resources Department (2007-2008); Managing Director, Citigroup Corporate and Investment Banking (previously, Salomon Smith Barney/Salomon Brothers) (1984-2006). Ms. Palmer is a Member of the Board of Trustees of Indian Mountain School (private elementary and secondary school) (2004-Present). Trustee—Goldman Sachs Mutual Fund Complex. | 96 | None | |||||
| Richard P. Strubel Age: 70 | Trustee | Since 1987 | Director, Cardean Learning Group (provider of educational services via the internet) (2003-2008); President, COO and Director, Cardean Learning Group (1999-2003); Director, Cantilever Technologies, Inc. (a private software company) (1999-2005); Audit Committee Chairman, The University of Chicago (2006-Present); Trustee, The University of Chicago (1987-Present); and Managing Director, Tandem Partners, Inc. (management services firm) (1990-1999). Trustee—Goldman Sachs Mutual Fund Complex. | 96 | Gildan Activewear Inc. (a clothing marketing and manufacturing company); The Northern Trust Mutual Fund Complex (58 Portfolios) (Chairman of the Board of Trustees). | |||||
GOLDMAN SACHS VARIABLE INSURANCE TRUST CAPITAL GROWTH FUND
Trustees and Officers (Unaudited) (continued)
Interested Trustees
| Number of | ||||||||||
| Term of | Portfolios in | |||||||||
| Office and | Fund Complex | Other | ||||||||
| Name, | Position(s) Held | Length of | Principal Occupation(s) | Overseen by | Directorships | |||||
| Address and Age1 | with the Trust | Time Served2 | During Past 5 Years | Trustee3 | Held by Trustee4 | |||||
| James A. McNamara* Age: 47 | President and Trustee | Since 2007 | Managing Director, Goldman Sachs (December 1998-Present); Director of Institutional Fund Sales, GSAM (April 1998-December 2000); and Senior Vice President and Manager, Dreyfus Institutional Service Corporation (January 1993-April 1998). President—Goldman Sachs Mutual Fund Complex (November 2007-Present); Senior Vice President—Goldman Sachs Mutual Fund Complex (May 2007-November 2007); and Vice President—Goldman Sachs Mutual Fund Complex (2001-2007). Trustee—Goldman Sachs Mutual Fund Complex (since November 2007 and December 2002-May 2004). | 96 | None | |||||
| Alan A. Shuch* Age: 60 | Trustee | Since 1990 | Advisory Director—GSAM (May 1999-Present); Consultant to GSAM (December 1994-May 1999); and Limited Partner, Goldman Sachs (December 1994-May 1999). Trustee—Goldman Sachs Mutual Fund Complex. | 96 | None | |||||
| * | These persons are considered to be “Interested Trustees” because they hold positions with Goldman Sachs and own securities issued by The Goldman Sachs Group, Inc. Each Interested Trustee holds comparable positions with certain other companies of which Goldman Sachs, GSAM or an affiliate thereof is the investment adviser, administrator and/or distributor. | |
| 1 | Each Trustee may be contacted by writing to the Trustee, c/o Goldman Sachs, One New York Plaza, 37th Floor, New York, New York, 10004, Attn: Peter V. Bonanno. | |
| 2 | Each Trustee holds office for an indefinite term until the earliest of: (a) the election of his or her successor; (b) the date the Trustee resigns or is removed by the Board of Trustees or shareholders, in accordance with the Trust’s Declaration of Trust; (c) the conclusion of the first Board meeting held subsequent to the day the Trustee attains the age of 72 years (in accordance with the current resolutions of the Board of Trustees, which may be changed by the Trustees without shareholder vote); or (d) the termination of the Trust. | |
| 3 | The Goldman Sachs Mutual Fund Complex consists of the Trust, Goldman Sachs Municipal Opportunity Fund, Goldman Sachs Credit Strategies Fund, and Goldman Sachs Trust. As of December 31, 2009, the Trust consisted of 11 portfolios, Goldman Sachs Trust consisted of 83 portfolios (of which 82 offered shares to the public) and the Goldman Sachs Municipal Opportunity Fund did not offer shares to the public. | |
| 4 | This column includes only directorships of companies required to report to the SEC under the Securities Exchange Act of 1934 (i.e., “public companies”) or other investment companies registered under the Act. |
Additional information about the Trustees is available in the Fund’s Statement of Additional Information which can be obtained from Goldman Sachs free of charge by calling this toll-free number (in the United States of America): 1-800-292-4726.
GOLDMAN SACHS VARIABLE INSURANCE TRUST CAPITAL GROWTH FUND
Trustees and Officers (Unaudited) (continued)
Officers of the Trust*
| Term of | ||||||
| Office and | ||||||
| Position(s) Held | Length of | |||||
| Name, Address and Age | With the Trust | Time Served1 | Principal Occupation(s) During Past 5 Years | |||
| James A. McNamara 32 Old Slip New York, NY 10005 Age: 47 | President and Trustee | Since 2007 | Managing Director, Goldman Sachs (December 1998-Present); Director of Institutional Fund Sales, GSAM (April 1998-December 2000); and Senior Vice President and Manager, Dreyfus Institutional Service Corporation (January 1993-April 1998). President—Goldman Sachs Mutual Fund Complex (November 2007-Present); Senior Vice President—Goldman Sachs Mutual Fund Complex (May 2007-November 2007); and Vice President—Goldman Sachs Mutual Fund Complex (2001-2007). Trustee—Goldman Sachs Mutual Fund Complex (since November 2007 and December 2002-May 2004). | |||
| George F. Travers 30 Hudson Street Jersey City, NJ 07032 Age: 42 | Senior Vice President and Principal Financial Officer | Since 2009 | Managing Director, Goldman Sachs (2007-present); Managing Director, UBS Ag (2005-2007); and Partner, Deloitte & Touche LLP (1990-2005, partner from 2000-2005) Senior Vice President and Principal Financial Officer—Goldman Sachs Mutual Fund Complex. | |||
| Peter V. Bonanno One New York Plaza New York, NY 10004 Age: 42 | Secretary | Since 2003 | Managing Director, Goldman Sachs (December 2006-Present); Associate General Counsel, Goldman Sachs (2002-Present); Vice President, Goldman Sachs (1999-2006); and Assistant General Counsel, Goldman Sachs (1999-2002). Secretary—Goldman Sachs Mutual Fund Complex (2006-Present); and Assistant Secretary—Goldman Sachs Mutual Fund Complex (2003-2006). | |||
| Scott M. McHugh 32 Old Slip New York, NY 10005 Age: 38 | Treasurer and Senior Vice President | Since 2009 | Vice President, Goldman Sachs (February 2007-Present); Assistant Treasurer of certain mutual funds administered by DWS Scudder (2005-2007); and Director (2005-2007), Vice President (2000-2005), Assistant Vice President (1998-2000), Deutsche Asset Management or its predecessor (1998-2007). Treasurer—Goldman Sachs Mutual Fund Complex (October 2009-Present); Senior Vice President—Goldman Sachs Mutual Fund Complex (November 2009-Present); and Assistant Treasurer—Goldman Sachs Mutual Fund Complex (May 2007-October 2009). | |||
| 1 | Officers hold office at the pleasure of the Board of Trustees or until their successors are duly elected and qualified. Each officer holds comparable positions with certain other companies of which Goldman Sachs, GSAM or an affiliate thereof is the investment adviser, administrator and/or distributor. | |
| * | Represents a partial list of officers of the Trust. Additional information about all the officers is available in the Fund’s Statement of Additional Information which can be obtained from Goldman Sachs free of charge by calling this toll-free number (in the United States): 1-800-292-4726. |
Goldman Sachs Variable Insurance Trust — Tax Information (Unaudited)
For the year ended December 31, 2009, 100% of the dividends paid from net investment company taxable income by the Goldman Sachs Capital Growth Fund qualify for the dividends received deduction available to corporations.
| 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 George F. Travers, Principal Financial Officer Peter V. Bonanno, Secretary Scott M. McHugh, Treasurer | |
| 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. | ||
| A prospectus for the Fund containing more complete information may be obtained from your authorized dealer or from Goldman, Sachs & Co. by calling (retail – 1-800-526-7384) (institutional – 1-800-621-2550). Please consider a fund’s objectives, risks, and charges and expenses, and read the prospectus carefully before investing. The prospectus contains this and other information about the Fund. | ||
| The 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. When available, the Fund’s Forms N-Q may be reviewed and copied at the SEC’s Public Reference Room in Washington, D.C. and information on the operation of the Public Reference Room may also be obtained by calling 1-800-SEC-0330. 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 for the Fund. Please consider the 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 2010 Goldman, Sachs & Co. All rights reserved. | ||
| VITCGAR10/32204.MF.TMPL/02-10 | ||
Goldman
Sachs Variable Insurance Trust
Mid Cap Value Fund
Annual Report
December 31, 2009
|
GOLDMAN SACHS VARIABLE INSURANCE TRUST MID CAP VALUE FUND
INVESTMENT OBJECTIVE
The Fund seeks long-term capital appreciation.
Portfolio Management Discussion and Analysis
Below, the Goldman Sachs Value Portfolio Management Team discusses the Fund’s performance and positioning for the 12 months ended December 31, 2009.
How did the Goldman Sachs Mid Cap Value Fund (the “Fund”) perform during the annual period ended December 31, 2009 (the “Reporting Period”)?
During the Reporting Period, the Fund’s Institutional and Service Shares generated average annual total returns of 33.15% and 32.78%, respectively. These returns compare to the 34.21% average annual total return of the Fund’s benchmark, the Russell Midcap Value Index (with dividends reinvested) (the “Russell Index”), during the same time period.
What economic and market factors most influenced the equity markets as a whole during the Reporting Period?
U.S. equity markets oscillated between extremes of fear and exuberance in 2009. The credit crisis from 2008 spilled into the first quarter, as the nation’s financial system experienced an extremely challenging period. As governments around the world coordinated a response to the financial crisis, the likelihood of failure was reduced for many companies. Stocks rallied sharply off of a March 9th trough into the second and third quarters. Propelled by investors’ renewed appetite for risk, the equity markets were driven higher by the most battered names from the first quarter. The U.S. equity markets continued to experience gains through the end of the year, though in a less pronounced manner. The economy continued to show encouraging signs of stabilization and improvement during the fourth quarter. However, despite some positive economic data, concerns about the elevated unemployment rate of 10%, the Federal Reserve’s stance on interest rates, and the strength of the U.S. dollar weighed somewhat on the markets during these last months of the year. Still, for the Reporting Period overall, the S&P 500 Index gained 26.46% in a broad-based rally, its best annual gain since 2003, though still significantly down from its 2007 peak.
While growth stocks outpaced the gains of value stocks across the capitalization spectrum, within the value space, mid-cap stocks experienced the most dramatic rise in 2009, with gains that exceeded those of the S&P 500 Index. Market trends were particularly pronounced in the Russell Index. Over 40% of the Russell Index consists of the consumer discretionary and financials sectors, which climbed more than 148% and 91%, respectively, from March 9th lows through the end of December 2009. These sectors contain some of the most credit- or economically-sensitive companies, including real estate investment trusts (REITs), retailers, autos, media and hotels, many of which rebounded dramatically in the recent rally despite the absence of catalysts or improving fundamentals.
What key factors were responsible for the Fund’s performance during the Reporting Period?
Throughout this market cycle, our disciplined focus on quality, cash generating companies with strong balance sheets and disciplined management teams has led to strong performance. Consistent with the historical patterns of our strategy, our quality-biased approach served the Fund well as markets declined during the first quarter of 2009, but was challenged in the subsequent euphoric environment post-March 9th. Thus, despite the extreme rally that was particularly pronounced in the mid-cap segment of the U.S. equity market, the Fund finished the year lagging the Russell Index. Sector allocation overall positively contributed to the Fund’s performance during the Reporting Period. Only partially offsetting this positive was the modestly detracting effect of stock selection overall.
Which equity market sectors most significantly affected Fund performance?
Stock selection in the materials and energy sectors helped the Fund’s performance most. Having a modestly underweighted allocation to financials, which significantly lagged the Russell Index, and overweighted positions in the energy and health care sectors, which substantially outpaced the Russell Index, also contributed positively to the Fund’s results. Detracting from the Fund’s performance was weak stock selection in the consumer discretionary, information technology, health care, and consumer staples sectors.
1
GOLDMAN SACHS VARIABLE INSURANCE TRUST MID CAP VALUE FUND
What were some of the Fund’s best-performing individual stocks?
The Fund benefited most relative to the Russell Index from overweighted positions in oil and natural gas producer Range Resources, electronic connectors manufacturer Amphenol, offshore drilling and production equipment manufacturer Dril-Quip, independent oil and gas exploration and production company Newfield Exploration and industrial chemicals and gas manufacturer Air Products & Chemicals.
Range Resources, a low cost, high margin natural gas producer, was a top contributor, as the company reported incremental positive exploration activity. The Fund also benefited from its holding in Amphenol. Amphenol’s shares rose upon strong consistent execution by its management, including cost control and profit margin maintenance, despite an approximately 20% decline in revenues. The company’s stock price was also buoyed by ongoing market share gains. Dril-Quip’s strong performance can be attributed to the fact that sales of sub-sea energy-related equipment remained strong, and Dril-Quip was able to grow its year-over-year earnings. Newfield Exploration’s shares were boosted both by improving energy prices toward the end of the year and by the announcement of a major acquisition in the industry, signaling potential future consolidation. Shares of Air Products & Chemicals gained ground on a combination of long-term contracts, stable pricing and high barriers to entry. We sold the Fund’s position in Air Products & Chemicals by the end of the Reporting Period, taking profits.
Which stocks detracted significantly from the Fund’s performance during the Reporting Period?
Detracting most from the Fund’s results relative to its benchmark index were overweighted positions in insurance underwriter W.R. Berkley, tax services provider H&R Block and integrated electric power companies Entergy and PPL, as well as an underweighted position in automobile manufacturer Ford Motor.
Shares of W.R. Berkley declined after industry pricing trends suggested a later-than-expected pricing cycle. H&R Block, the biggest U.S. tax preparer, was challenged, as consumer volume was lighter than expected. Shares of Entergy and PPL lagged the gains of the market due primarily to pricing pressures amidst broad utility sector weakness, despite sizeable free cash flows and strong balance sheets. Ford Motor actually generated triple-digit gains during the Reporting Period, boosted by the “cash for clunkers” program earlier in the year and by the fact that it emerged as the sole American automaker in a position to survive the steepest sales downturn in decades without a government bailout. The Fund’s underweighted position in this strong performer thus detracted from relative performance. By the end of the Reporting Period, we had eliminated the Fund’s positions in H&R Block and Entergy.
Did the Fund make any significant purchases or sales during the Reporting Period?
During the Reporting Period, the Fund established new positions in energy exploration and production company Whiting Petroleum, iron ore producer Cliffs Natural Resources, steel producer United States Steel, health insurance company Aetna and specialty chemical producer Huntsman.
We liked Whiting Petroleum because we believe this company should benefit from the favorable near-term supply/demand imbalance in oil. We also added to our positions in several materials companies, including Cliffs Natural Resources, United States Steel and Huntsman, because we felt these stocks would benefit from ongoing economic recovery and had high operating leverage. Aetna is one of the nation’s largest diversified health care benefits companies, serving approximately 36.5 million people through a broad range of traditional and consumer-directed health insurance products. We initiated a position in Aetna because we believe that as the company moves to close gap, or differential, between its costs and its pricing during the coming year, its stock should benefit from resolving this imbalance.
In addition to those sales already mentioned, in the health care sector we eliminated the Fund’s position in Laboratory Corp. of America, taking profits. We exited the Fund’s position in oil and gas exploration and production company EOG Resources, taking profits, as the stock had benefited from global oil demand growth as the economy continued to recover. In utilities, we eliminated the Fund’s investment in integrated electric utility PG&E. This defensive stock had indeed held up well during the worst of the market downturn, and we sold out of it in June, taking profits. We eliminated the Fund’s position in Iron Mountain, a leader in records management, data storage and online backup, as the company’s near-term revenue growth was challenged by the economic environment. We sold the Fund’s position in multimedia conglomerate Viacom, taking profits as the stock had performed well in the portfolio for the year.
Were there any notable changes in the Fund’s weightings during the Reporting Period?
During the Reporting Period, the Fund’s exposure to health care, consumer staples, industrials and utilities decreased relative to the Russell Index. The Fund’s allocations compared to the benchmark index in financials, energy and materials increased.
2
GOLDMAN SACHS VARIABLE INSURANCE TRUST MID CAP VALUE FUND
How was the Fund positioned relative to its benchmark index at the end of December 2009?
At the end of December 2009, the Fund had overweighted positions relative to the Russell Index in the energy, materials and consumer discretionary sectors. On the same date, the Fund had underweighted positions compared to the Russell Index in consumer staples, utilities and industrials and was rather neutrally weighted to the Russell Index in financials, health care, information technology, and telecommunication services.
What is the Fund’s tactical view and strategy for the months ahead?
We were excited, at the end of December, to find ourselves with ample opportunities to buy quality businesses at deeply discounted valuations as we looked to the 2010 U.S. equity market. In our view, many quality stocks were inexpensive relative to their lower quality peers, a valuation gap we expect to narrow over time as we enter into a more normalized market environment. We expect earnings to accelerate due to economic improvement and unprecedented company level operating leverage driven by aggressive cost cutting and for low borrowing costs to be a further tailwind to earnings. As investors refocus on fundamentals, we believe that 2010 will be a fertile environment in which to generate added value.
We continue to anticipate increased stock-level differentiation going forward, with the markets distinguishing quality companies with robust business models from those likely to remain challenged. We see prospects in select companies that we believe are poised to benefit from a scenario of lower competition, higher pricing and improved market share. We maintain our focus on quality companies trading at compelling valuations and believe that this long-term discipline will help us navigate volatile markets. As always, deep research resources, a forward-looking investment process and truly actively managed portfolios are keys, in our view, to both preserving capital and outperforming the market over the long term.
Portfolio Composition
TOP TEN PORTFOLIO HOLDINGS AS OF 12/31/09*
| Holding | % of Net Assets | Line of Business | ||||||
| Newfield Exploration Co. | 2.9 | % | Energy | |||||
| DISH Network Corp. Class A | 2.2 | Media | ||||||
| W.R. Berkley Corp. | 2.1 | Insurance | ||||||
| Invesco Ltd. | 1.9 | Diversified Financials | ||||||
| Whiting Petroleum Corp. | 1.7 | Energy | ||||||
| PPL Corp. | 1.6 | Utilities | ||||||
| Cliffs Natural Resources, Inc. | 1.6 | Materials | ||||||
| Newell Rubbermaid, Inc. | 1.6 | Consumer Durables & Apparel | ||||||
| United States Steel Corp. | 1.6 | Materials | ||||||
| CommScope, Inc. | 1.5 | Technology Hardware & Equipment | ||||||
* Opinions expressed in this report represent our present opinions only. Reference to individual securities should not be construed as a commitment that such securities will be retained by the Fund. From time to time, the Fund may change the individual securities it holds, the number or types of securities held and the markets in which it invests. Fund holdings of securities should not be relied upon in making investment decisions and should not be construed as research or investment advice regarding particular securities. References to individual securities do not constitute a recommendation to the investor to buy, hold or sell such securities. In addition, references to past performance of the Fund do not indicate future returns, which are not guaranteed and will vary. Furthermore, the value of shares of the Fund may fall as well as rise.
3
GOLDMAN SACHS VARIABLE INSURANCE TRUST MID CAP VALUE FUND
FUND VS. BENCHMARK SECTOR ALLOCATION AS OF 12/31/091
1 The Fund is actively managed and, as such, its composition may differ over time. The above graph categorizes investments using Global Industry Classification Standard (’GICS”), however, the sector classifications used by the portfolio management team may differ from GICS. Consequently, the Fund’s overall industry sector allocations may differ from the percentages contained in the graph above. The percentage shown for each investment category reflects the value of investments in that category as a percentage of market value (excluding investments in the securities lending reinvestment vehicle, if any). Investment in the securities lending reinvestment vehicle represented 7.4% of the Fund’s net assets at December 31, 2009.
4
GOLDMAN SACHS VARIABLE INSURANCE TRUST MID CAP VALUE FUND
Performance Summary
December 31, 2009
The following graph shows the value, as of December 31, 2009, of a $10,000 investment made on January 1, 2000 in the Institutional Shares at net asset value per share. For comparative purposes, the performance of the Fund’s benchmark, the Russell Midcap Value Index (with dividends reinvested), is shown. This performance data represents past performance and should not be considered indicative of future performance, which will fluctuate with changes in market conditions. These performance fluctuations will cause an investor’s shares, when redeemed, to be worth more or less than their original cost. Performance reflects Fund level expenses but does not reflect fees and expenses associated with any variable annuity contract or variable life insurance policy that uses the Fund as an investment option for any contract or policy. Had performance reflected all of those fees and expenses, performance would have been reduced. Performance also would have been reduced had expense limitations not been in effect. Performance of Service Shares will vary from Institutional Shares due to differences in fees. In addition to the investment adviser’s decisions regarding issuer/industry investment selection and allocation, other factors may affect Fund performance. These factors include, but are not limited to, Fund operating fees and expenses, portfolio turnover, and subscription and redemption cash flows affecting the Fund.
Mid Cap Value Fund’s 10 Year Performance
| Average Annual Total Return through December 31, 2009 | One Year | Five Years | Ten Years | Since Inception | ||||||||||||
Institutional (Commenced May 1, 1998) | 33.15% | 2.54% | 9.87% | 6.97% | ||||||||||||
Service (Commenced January 9, 2006) | 32.78% | n/a | n/a | −0.73% | ||||||||||||
5
GOLDMAN SACHS VARIABLE INSURANCE TRUST MID CAP VALUE FUND
Schedule of Investments
December 31, 2009
| Shares | Description | Value | ||||||||
Common Stocks – 97.9% | ||||||||||
| Automobiles & Components – 2.0% | ||||||||||
| 436,500 | Harley-Davidson, Inc. | $ | 10,999,800 | |||||||
| 296,759 | Johnson Controls, Inc. | 8,083,715 | ||||||||
| 19,083,515 | ||||||||||
| Banks – 4.4% | ||||||||||
| 408,600 | Comerica, Inc. | 12,082,302 | ||||||||
| 347,831 | First Horizon National Corp.* | 4,660,929 | ||||||||
| 112,530 | M&T Bank Corp.(a) | 7,527,132 | ||||||||
| 1,302,500 | Marshall & Ilsley Corp. | 7,098,625 | ||||||||
| 519,500 | SunTrust Banks, Inc. | 10,540,655 | ||||||||
| 41,909,643 | ||||||||||
| Capital Goods – 5.9% | ||||||||||
| 263,000 | BE Aerospace, Inc.* | 6,180,500 | ||||||||
| 154,294 | Cooper Industries PLC Class A | 6,579,096 | ||||||||
| 213,700 | Cummins, Inc. | 9,800,282 | ||||||||
| 197,581 | Eaton Corp. | 12,570,103 | ||||||||
| 8,600 | Fluor Corp. | 387,344 | ||||||||
| 184,254 | Parker Hannifin Corp. | 9,927,606 | ||||||||
| 185,500 | Pentair, Inc. | 5,991,650 | ||||||||
| 120,800 | Snap-On, Inc. | 5,105,008 | ||||||||
| 56,541,589 | ||||||||||
| Commercial & Professional Services – 1.8% | ||||||||||
| 323,700 | Corrections Corp of America* | 7,946,835 | ||||||||
| 320,961 | Republic Services, Inc. | 9,086,406 | ||||||||
| 17,033,241 | ||||||||||
| Consumer Durables & Apparel – 3.5% | ||||||||||
| 80,100 | Fossil, Inc.* | 2,688,156 | ||||||||
| 84,900 | Mohawk Industries, Inc.* | 4,041,240 | ||||||||
| 1,020,900 | Newell Rubbermaid, Inc. | 15,323,709 | ||||||||
| 16,300 | NVR, Inc.*(a) | 11,584,573 | ||||||||
| 33,637,678 | ||||||||||
| Consumer Services – 0.8% | ||||||||||
| 204,000 | Starwood Hotels & Resorts Worldwide, Inc. | 7,460,280 | ||||||||
| Diversified Financials – 4.7% | ||||||||||
| 792,100 | Invesco Ltd. | 18,606,429 | ||||||||
| 496,200 | Janus Capital Group, Inc. | 6,673,890 | ||||||||
| 283,200 | Raymond James Financial, Inc. | 6,731,664 | ||||||||
| 1,149,030 | SLM Corp.* | 12,949,568 | ||||||||
| 44,961,551 | ||||||||||
| Energy – 11.9% | ||||||||||
| 277,400 | Atlas Energy, Inc. | 8,369,158 | ||||||||
| 245,100 | Concho Resources, Inc.* | 11,004,990 | ||||||||
| 51,600 | Core Laboratories NV | 6,094,992 | ||||||||
| 244,402 | Dril-Quip, Inc.* | 13,803,825 | ||||||||
| 440,700 | EXCO Resources, Inc. | 9,356,061 | ||||||||
| 573,428 | Newfield Exploration Co.* | 27,656,433 | ||||||||
| 296,300 | Oil States International, Inc.* | 11,641,627 | ||||||||
| 194,411 | Range Resources Corp. | 9,691,388 | ||||||||
| 229,700 | Whiting Petroleum Corp.* | 16,412,065 | ||||||||
| 114,030,539 | ||||||||||
| Food & Staples Retailing – 0.7% | ||||||||||
| 201,100 | BJ’s Wholesale Club, Inc.* | 6,577,981 | ||||||||
| Food, Beverage & Tobacco – 1.7% | ||||||||||
| 233,700 | Molson Coors Brewing Co. Class B(a) | 10,553,892 | ||||||||
| 91,700 | The J.M. Smucker Co. | 5,662,475 | ||||||||
| �� | ||||||||||
| 16,216,367 | ||||||||||
| Health Care Equipment & Services – 4.3% | ||||||||||
| 440,300 | Aetna, Inc. | 13,957,510 | ||||||||
| 121,000 | C.R. Bard, Inc. | 9,425,900 | ||||||||
| 95,170 | Edwards Lifesciences Corp.* | 8,265,515 | ||||||||
| 249,500 | Kinetic Concepts, Inc.*(a) | 9,393,675 | ||||||||
| 41,042,600 | ||||||||||
| Household & Personal Products – 0.5% | ||||||||||
| 77,339 | The Clorox Co. | 4,717,679 | ||||||||
| Insurance – 12.3% | ||||||||||
| 120,794 | Arch Capital Group Ltd.* | 8,642,811 | ||||||||
| 156,089 | Everest Re Group Ltd. | 13,373,706 | ||||||||
| 614,400 | Genworth Financial, Inc. Class A* | 6,973,440 | ||||||||
| 536,300 | Hartford Financial Services Group, Inc. | 12,474,338 | ||||||||
| 192,600 | Lincoln National Corp. | 4,791,888 | ||||||||
| 565,400 | Marsh & McLennan Companies, Inc. | 12,484,032 | ||||||||
| 614,300 | Principal Financial Group, Inc. | 14,767,772 | ||||||||
| 710,100 | The Progressive Corp.* | 12,774,699 | ||||||||
| 826,499 | W.R. Berkley Corp. | 20,364,935 | ||||||||
| 622,800 | XL Capital Ltd. Class A | 11,415,924 | ||||||||
| 118,063,545 | ||||||||||
| Materials – 9.0% | ||||||||||
| 337,000 | Cliffs Natural Resources, Inc. | 15,532,330 | ||||||||
| 168,511 | FMC Corp. | 9,396,173 | ||||||||
| 1,258,900 | Huntsman Corp. | 14,212,981 | ||||||||
| 416,200 | International Paper Co. | 11,145,836 | ||||||||
| 269,200 | Pactiv Corp.* | 6,498,488 | ||||||||
| 139,200 | Terra Industries, Inc. | 4,480,848 | ||||||||
| 273,800 | United States Steel Corp.(a) | 15,091,856 | ||||||||
| 181,300 | Vulcan Materials Co.(a) | 9,549,071 | ||||||||
| 85,907,583 | ||||||||||
| Media – 3.5% | ||||||||||
| 942,709 | CBS Corp. Class B | 13,245,061 | ||||||||
| 994,500 | DISH Network Corp. Class A | 20,655,765 | ||||||||
| 33,900,826 | ||||||||||
| Pharmaceuticals, Biotechnology & Life Sciences – 0.8% | ||||||||||
| 140,300 | Biogen Idec, Inc.* | 7,506,050 | ||||||||
| Real Estate Investment Trust – 6.5% | ||||||||||
| 128,918 | Alexandria Real Estate Equities, Inc.(a) | 8,288,138 | ||||||||
| 101,900 | AvalonBay Communities, Inc. | 8,367,009 | ||||||||
| 174,202 | Boston Properties, Inc. | 11,683,728 | ||||||||
| 167,600 | Digital Realty Trust, Inc.(a) | 8,426,928 | ||||||||
| 448,800 | Douglas Emmett, Inc. | 6,395,400 | ||||||||
GOLDMAN SACHS VARIABLE INSURANCE TRUST MID CAP VALUE FUND
| Shares | Description | Value | ||||||||
Common Stocks – (continued) | ||||||||||
| Real Estate Investment Trust – (continued) | ||||||||||
| 91,400 | Essex Property Trust, Inc.(a) | $ | 7,645,610 | |||||||
| 991,215 | Host Hotels & Resorts, Inc.* | 11,567,475 | ||||||||
| 62,374,288 | ||||||||||
| Retailing – 3.4% | ||||||||||
| 289,701 | J.C. Penney Co., Inc. | 7,708,944 | ||||||||
| 824,300 | Liberty Media Corp. – Interactive Class A* | 8,935,412 | ||||||||
| 181,400 | The TJX Companies, Inc. | 6,630,170 | ||||||||
| 263,200 | Urban Outfitters, Inc.*(a) | 9,209,368 | ||||||||
| 32,483,894 | ||||||||||
| Semiconductors & Semiconductor Equipment – 1.7% | ||||||||||
| 1,078,700 | ON Semiconductor Corp.* | 9,503,347 | ||||||||
| 587,500 | Teradyne, Inc.*(a) | 6,303,875 | ||||||||
| 15,807,222 | ||||||||||
| Software & Services – 2.5% | ||||||||||
| 638,300 | IAC/InterActiveCorp* | 13,072,384 | ||||||||
| 661,800 | Parametric Technology Corp.* | 10,813,812 | ||||||||
| 23,886,196 | ||||||||||
| Technology Hardware & Equipment – 3.4% | ||||||||||
| 144,069 | Amphenol Corp. Class A | 6,653,106 | ||||||||
| 557,800 | CommScope, Inc.* | 14,798,434 | ||||||||
| 156,500 | Lexmark International, Inc. Class A* | 4,065,870 | ||||||||
| 355,700 | QLogic Corp.* | 6,712,059 | ||||||||
| 32,229,469 | ||||||||||
| Telecommunication Services – 2.5% | ||||||||||
| 191,258 | CenturyTel, Inc. | 6,925,452 | ||||||||
| 683,500 | Clearwire Corp. Class A*(a) | 4,620,460 | ||||||||
| 3,434,000 | Sprint Nextel Corp.* | 12,568,440 | ||||||||
| 24,114,352 | ||||||||||
| Transportation – 1.4% | ||||||||||
| 214,500 | Kansas City Southern* | 7,140,705 | ||||||||
| 159,000 | Ryder System, Inc. | 6,546,030 | ||||||||
| 13,686,735 | ||||||||||
| Utilities – 8.7% | ||||||||||
| 161,500 | Alliant Energy Corp. | 4,886,990 | ||||||||
| 684,995 | CMS Energy Corp.(a) | 10,727,022 | ||||||||
| 409,699 | DPL, Inc. | 11,307,692 | ||||||||
| 376,433 | Edison International | 13,092,340 | ||||||||
| 149,962 | FirstEnergy Corp. | 6,965,735 | ||||||||
| 124,300 | Great Plains Energy, Inc. | 2,410,177 | ||||||||
| 103,395 | Northeast Utilities | 2,666,557 | ||||||||
| 466,203 | NV Energy, Inc. | 5,771,593 | ||||||||
| 85,400 | Pinnacle West Capital Corp. | 3,123,932 | ||||||||
| 481,901 | PPL Corp. | 15,570,221 | ||||||||
| 96,000 | SCANA Corp. | 3,617,280 | ||||||||
| 163,300 | Xcel Energy, Inc. | 3,465,226 | ||||||||
| 83,604,765 | ||||||||||
TOTAL COMMON STOCKS | ||||||||||
| (Cost $824,609,847) | $ | 936,777,588 | ||||||||
| Expiration | ||||||||||||||||
| Units | Description | Month | Value | |||||||||||||
Right* – 0.0% | ||||||||||||||||
| Telecommunication Services – 0.0% | ||||||||||||||||
| $ | 683,500 | Clearwire Corp.(a | ) | 06/10 | $ | 273,400 | ||||||||||
| (Cost $0) | ||||||||||||||||
| Shares | Rate | Value | ||||||||
Short-term Investment(b) – 2.1% | ||||||||||
| JPMorgan U.S. Government Money Market Fund – Capital Shares | ||||||||||
| 19,826,737 | 0.049% | $ | 19,826,737 | |||||||
| (Cost $19,826,737) | ||||||||||
TOTAL INVESTMENTS BEFORE SECURITIES LENDING REINVESTMENT VEHICLE | ||||||||||
| (Cost $844,436,584) | $ | 956,877,725 | ||||||||
Securities Lending Reinvestment Vehicle(b)(c) – 7.4% | ||||||||||
| Boston Global Investment Trust – Enhanced Portfolio | ||||||||||
| 70,461,534 | 0.107% | $ | 70,461,535 | |||||||
| (Cost $70,393,870) | ||||||||||
TOTAL INVESTMENTS – 107.4% | ||||||||||
| (Cost $914,830,454) | $ | 1,027,339,260 | ||||||||
LIABILITIES IN EXCESS OF OTHER ASSETS – (7.4)% | (70,561,460 | ) | ||||||||
NET ASSETS – 100.0% | $ | 956,777,800 | ||||||||
The percentage shown for each investment category reflects the value of investments in that category as a percentage of net assets.
| * | Non-income producing security. | |
| (a) | All or a portion of security is on loan. | |
| (b) | Variable rate security. Interest rate disclosed is that which is in effect at December 31, 2009. | |
| (c) | Represents an affiliated issuer. |
GOLDMAN SACHS VARIABLE INSURANCE TRUST MID CAP VALUE FUND
Statement of Assets and Liabilities
December 31, 2009
| Assets: | ||||||
| Investments in securities of unaffiliated issuers, at value (identified cost $844,436,584)(a) | $ | 956,877,725 | ||||
| Investments in affiliated securities lending reinvestment vehicle, at value (identified cost $70,393,870) | 70,461,535 | |||||
| Cash | 14,853 | |||||
| Receivables: | ||||||
Investment securities sold | 3,421,103 | |||||
Dividends | 1,214,706 | |||||
Fund shares sold | 33,304 | |||||
Securities lending income | 20,164 | |||||
| Total assets | 1,032,043,390 | |||||
| Liabilities: | ||||||
| Payables: | ||||||
Payable upon return of securities loaned | 70,650,175 | |||||
Investment securities purchased | 3,203,715 | |||||
Fund shares redeemed | 690,153 | |||||
Amounts owed to affiliates | 688,012 | |||||
| Accrued expenses | 33,535 | |||||
| Total liabilities | 75,265,590 | |||||
| Net Assets: | ||||||
| Paid-in capital | 1,210,687,151 | |||||
| Accumulated undistributed net investment income | 2,682,726 | |||||
| Accumulated net realized loss from investment transactions | (369,100,883 | ) | ||||
| Net unrealized gain on investments | 112,508,806 | |||||
| NET ASSETS | $ | 956,777,800 | ||||
| Net Assets: | ||||||
Institutional | $ | 834,375,683 | ||||
Service | 122,402,117 | |||||
| Total Net Assets | $ | 956,777,800 | ||||
| Shares of beneficial interest outstanding $0.001 par value (unlimited shares authorized): | ||||||
Institutional | 73,519,732 | |||||
Service | 10,764,698 | |||||
| Net asset value, offering and redemption price per share: | ||||||
Institutional | $ | 11.35 | ||||
Service | 11.37 | |||||
| (a) | Includes loaned securities having a market value of $68,237,249. |
GOLDMAN SACHS VARIABLE INSURANCE TRUST MID CAP VALUE FUND
Statement of Operations
For the Fiscal Year Ended December 31, 2009
| Investment income: | ||||||
| Dividends(a) | $ | 19,384,231 | ||||
| Securities lending income — affiliated issuer | 397,550 | |||||
| Total investment income | 19,781,781 | |||||
| Expenses: | ||||||
| Management fees | 6,838,817 | |||||
| Distribution and Service fees — Service Shares | 274,288 | |||||
| Transfer Agent fees(b) | 170,956 | |||||
| Printing fees | 126,870 | |||||
| Professional fees | 80,198 | |||||
| Custody and accounting fees | 59,121 | |||||
| Trustee fees | 16,663 | |||||
| Other | 50,765 | |||||
| Total expenses | 7,617,678 | |||||
| Less — expense reductions | (5,918 | ) | ||||
| Net expenses | 7,611,760 | |||||
| NET INVESTMENT INCOME | 12,170,021 | |||||
| Realized and unrealized gain (loss) from investment transactions: | ||||||
| Net realized gain (loss) from: | ||||||
Investment transactions — unaffiliated issuers (including commissions recaptured of $322,877) | (146,488,872 | ) | ||||
Securities lending reinvestment vehicle transactions — affiliated issuer | 902,075 | |||||
| Net change in unrealized gain (loss) on: | ||||||
Investments — unaffiliated issuers | 380,236,186 | |||||
Securities lending reinvestment vehicle — affiliated issuer | (89,892 | ) | ||||
| Net realized and unrealized gain from investment transactions | 234,559,497 | |||||
| NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS | $ | 246,729,518 | ||||
| (a) | Foreign taxes withheld on dividends were $980. | |
| (b) | Institutional and Service Shares had Transfer Agent fees of $149,015 and $21,941, respectively. |
GOLDMAN SACHS VARIABLE INSURANCE TRUST MID CAP VALUE FUND
Statements of Changes in Net Assets
| For the Fiscal | For the Fiscal | |||||||||
| Year Ended | Year Ended | |||||||||
| December 31, 2009 | December 31, 2008 | |||||||||
| From operations: | ||||||||||
| Net investment income | $ | 12,170,021 | $ | 15,229,693 | ||||||
| Net realized loss from investment transactions | (145,586,797 | ) | (194,282,032 | ) | ||||||
| Payments by affiliate relating to certain investment transactions | — | 143,867 | ||||||||
| Net change in unrealized gain (loss) on investments | 380,146,294 | (370,227,817 | ) | |||||||
| Net increase (decrease) in net assets resulting from operations | 246,729,518 | (549,136,289 | ) | |||||||
| Distributions to shareholders: | ||||||||||
| From net investment income | ||||||||||
Institutional Shares | (13,210,185 | ) | (11,191,862 | ) | ||||||
Service Shares | (1,663,339 | ) | (1,243,513 | ) | ||||||
| From net realized gains | ||||||||||
Institutional Shares | — | (2,004,006 | ) | |||||||
Service Shares | — | (300,378 | ) | |||||||
| Total distributions to shareholders | (14,873,524 | ) | (14,739,759 | ) | ||||||
| From share transactions: | ||||||||||
| Proceeds from sales of shares | 41,603,690 | 67,763,165 | ||||||||
| Reinvestment of distributions | 14,873,524 | 14,739,759 | ||||||||
| Cost of shares redeemed | (191,673,776 | ) | (442,712,207 | ) | ||||||
| Net decrease in net assets resulting from share transactions | (135,196,562 | ) | (360,209,283 | ) | ||||||
| TOTAL INCREASE (DECREASE) | 96,659,432 | (924,085,331 | ) | |||||||
| Net assets: | ||||||||||
| Beginning of year | 860,118,368 | 1,784,203,699 | ||||||||
| End of year | $ | 956,777,800 | $ | 860,118,368 | ||||||
| Accumulated undistributed net investment income | $ | 2,682,726 | $ | 5,384,969 | ||||||
GOLDMAN SACHS VARIABLE INSURANCE TRUST MID CAP VALUE FUND
Financial Highlights
Selected Data for a Share Outstanding Throughout Each Year
| Income (loss) from | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
| investment operations | Distributions to shareholders | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||
| Net | Ratio of | Ratio of | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||
| Net asset | realized | Net asset | Net assets, | Ratio of | total | net investment | ||||||||||||||||||||||||||||||||||||||||||||||||||||
| value, | Net | and | Total from | From net | From net | value, | end of | net expenses | expenses | income to | Portfolio | |||||||||||||||||||||||||||||||||||||||||||||||
| beginning | investment | unrealized | investment | investment | realized | Total | end of | Total | year | to average | to average | average | turnover | |||||||||||||||||||||||||||||||||||||||||||||
| Year - Share Class | of year | income(a) | gain (loss) | operations | income | gains | distributions | year | return(b) | (in 000s) | net assets | net assets | net assets | rate | ||||||||||||||||||||||||||||||||||||||||||||
| FOR THE FISCAL YEARS ENDED DECEMBER 31, | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
| 2009 - Institutional | $ | 8.66 | $ | 0.14 | (c) | $ | 2.73 | $ | 2.87 | $ | (0.18 | ) | $ | — | $ | (0.18 | ) | $ | 11.35 | 33.15 | % | $ | 834,376 | 0.86 | % | 0.86 | % | 1.46 | %(c) | 111 | % | |||||||||||||||||||||||||||
| 2009 - Service | 8.68 | 0.12 | (c) | 2.73 | 2.85 | (0.16 | ) | — | (0.16 | ) | 11.37 | 32.78 | 122,402 | 1.11 | 1.11 | 1.21 | (c) | 111 | ||||||||||||||||||||||||||||||||||||||||
| 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 | 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 | 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) | 0.87 | (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) | 1.12 | (f) | 0.75 | (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 | 0.87 | 0.80 | 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 | (g) | 1.12 | (g) | 0.72 | (g) | 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 | 0.87 | 0.83 | 53 | |||||||||||||||||||||||||||||||||||||||||
| (a) | Calculated based on the average shares outstanding methodology. | |
| (b) | Assumes investment at the net asset value at the beginning of the year, reinvestment of all distributions and a complete redemption of the investment at the net asset value at the end of the year. Total returns for periods less than one full year are not annualized. | |
| (c) | Reflects income recognized from special dividends which amounted to $0.03 per share and 0.37% of average net assets. | |
| (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. | |
| (g) | Annualized. |
The accompanying notes are an integral part of these financial statements.
11
GOLDMAN SACHS VARIABLE INSURANCE TRUST MID CAP VALUE FUND
Notes to Financial Statements
December 31, 2009
1. ORGANIZATION
Goldman Sachs Variable Insurance Trust (the “Trust” or “VIT”) is a Delaware statutory trust registered under the Investment Company Act of 1940, as amended (the “Act”), as an open-end management investment company. The Trust includes the Goldman Sachs Mid Cap Value Fund (the “Fund”). The Fund is a diversified portfolio under the Act offering two classes of shares — Institutional and Service. Goldman, Sachs & Co. (“Goldman Sachs” or the “Distributor”) serves as Distributor of the shares of the Fund pursuant to a Distribution Agreement.
Goldman Sachs Asset Management, L.P. (“GSAM”), an affiliate of Goldman Sachs, serves as investment adviser pursuant to a management agreement (the “Agreement”) with the Trust on behalf of the Fund.
2. SIGNIFICANT ACCOUNTING POLICIES
The following is a summary of the significant accounting policies consistently followed by the Fund. The preparation of financial statements in conformity with accounting principles generally accepted in the United States of America (“GAAP”) requires management to make estimates and assumptions that may affect the amounts and disclosures in the financial statements. Actual results could differ from those estimates and assumptions.
A. FASB Financial Accounting Standards Codification — In July 2009, the Financial Accounting Standards Board (“FASB”) launched its “Financial Accounting Standards Codification” (the “Codification”) as the single source of GAAP. While the Codification does not change GAAP, it introduces a new structure to the accounting literature and changes references to accounting standards and other authoritative accounting guidance that have been reflected in the Notes to Financial Statements.
B. Investment Valuation — The investment valuation policy of the Fund is to value investments at market value. Investments in equity securities and investment companies traded on a United States (“U.S.”) securities exchange or the NASDAQ system are valued daily at their last sale price or official closing price on the principal exchange or system on which they are traded. If no sale occurs, such securities and investment companies are valued at the last bid price for long positions and at the last ask price for short positions. Debt securities for which market quotations are readily available are valued on the basis of quotations furnished by an independent pricing service approved by the trustees or provided by securities dealers. The pricing services may use valuation models or matrix pricing, which consider: (i) yield or price with respect to bonds that are considered comparable in characteristics such as rating, interest rate and maturity date or (ii) quotations from bond dealers to determine current value. If accurate quotations are not readily available, or if GSAM believes that such quotations do not accurately reflect fair value, the fair value of the Fund’s investments may be determined based on yield equivalents, a pricing matrix or other sources, under valuation procedures established by the trustees. Unlisted equity securities for which market quotations are available are valued at the last sale price on valuation date, or if no sale occurs, at the last bid price. In the absence of market quotations, broker quotes will be utilized or the security will be fair valued. Investments in investment companies (other than those that are exchange traded) are valued at the net asset value per share (“NAV”) on the valuation date. Short-term debt obligations that mature in sixty days or less and that do not exhibit signs of credit deterioration are valued at amortized cost, which approximates market value.
GSAM, consistent with its procedures and applicable regulatory guidance, may make an adjustment to the previous closing prices of either domestic or foreign securities in light of significant events to reflect what it believes to be the fair value of the securities at the time of determining the Fund’s NAV. Significant events that could affect a large number of securities in a particular market may include, but are not limited to: situations relating to one or more single issuers in a market sector; significant fluctuations in U.S. or foreign markets; market dislocations; market disruptions or market closings; equipment failures; natural or man-made disasters or acts of God; armed conflicts; government actions or other developments; as well as the same or similar events which may affect specific issuers or the securities markets even though not tied directly to the securities markets. Other significant events that could relate to a single issuer may include, but are not limited to: corporate actions such as reorganizations, mergers and buy-outs; corporate announcements, including those relating to earnings, products and regulatory news; significant litigation; low trading volume; and trading limits or suspensions.
GOLDMAN SACHS VARIABLE INSURANCE TRUST MID CAP VALUE FUND
| 2. SIGNIFICANT ACCOUNTING POLICIES (continued) |
C. Security and Fund Share Transactions, and Investment Income — Security and Fund share transactions are reflected for financial reporting purposes as of the trade date, which may cause the NAV as stated in the accompanying financial statements to be different than the NAV applied to Fund share transactions. Realized gains and losses on sales of portfolio securities are calculated using the identified cost basis. Dividend income is recognized on the ex-dividend date, net of foreign withholding taxes, if any, which are reduced by any amounts reclaimable by the Fund, where applicable. Interest income is recorded on the basis of interest accrued, premium amortized and discount accreted. In addition, it is the Fund’s policy to accrue for foreign capital gains taxes, if applicable, on certain foreign securities held by the Fund. An estimated foreign capital gains tax is recorded daily on net unrealized gains on these securities and is payable upon the sale of such securities when a gain is realized.
Net investment income (other than class specific expenses) and unrealized and realized gains or losses are allocated daily to each class of shares of the Fund based upon the relative proportion of net assets of each class.
In addition, distributions received from the Fund’s investments in U.S. real estate investment trusts (“REITs”) often include a “return of capital”, which is recorded by the Fund as a reduction of the cost basis of the securities held. The Internal Revenue Code of 1986, as amended (the “Code”) requires a REIT to distribute at least 95% of its taxable income to investors. In many cases, however, because of “non-cash” expenses such as property depreciation, a REIT’s cash flow will exceed its taxable income. The REIT may distribute this excess cash to offer a more competitive yield. This portion of the Fund’s distributions is deemed a return of capital and is generally not taxable to shareholders.
D. Expenses — Expenses incurred by the Trust that do not specifically relate to an individual Fund of the Trust are allocated to the Fund on a straight-line and/or pro-rata basis depending upon the nature of the expense and are accrued daily.
E. Federal Taxes and Distributions to Shareholders — It is the Fund’s policy to comply with the requirements of the Code applicable to regulated investment companies (mutual funds) and to distribute each year substantially all of its investment company taxable income and capital gains to its shareholders. Accordingly, no federal income tax provisions are required. Distributions to shareholders are recorded on the ex-dividend date. Income and capital gains distributions, if any, are declared and paid annually. Net capital losses are carried forward to future fiscal years and may be used to the extent allowed by the Code to offset any future capital gains. Utilization of capital loss carryforwards will reduce the requirement of future capital gains distributions.
The characterization of distributions to shareholders for financial reporting purposes is determined in accordance with federal income tax rules, which may differ from GAAP. The source of the Fund’s distributions may be shown in the accompanying financial statements as either from net investment income, net realized gain or capital. The Fund’s capital accounts on the Statement of Assets and Liabilities reflect permanent GAAP/tax differences based on the appropriate tax character, but do not reflect temporary differences.
GSAM has reviewed the Fund’s tax positions for all open tax years (the current and prior three years, as applicable) and has concluded that no provision for income tax is required in the Fund’s financial statements. Such open tax years remain subject to examination and adjustment by tax authorities.
F. Commission Recapture — The Fund may direct portfolio trades, subject to obtaining best execution, to various brokers who have agreed to rebate a portion of the commissions generated. Such rebates are made directly to the Fund as cash payments and are included in net realized gain (loss) from investments on the Statement of Operations.
3. AGREEMENTS AND AFFILIATED TRANSACTIONS
A. Management Agreement — Under the Agreement, GSAM manages the Fund, subject to the general supervision of the trustees.
As compensation for the services rendered pursuant to the Agreement, the assumption of the expenses related thereto and administration of the Fund’s business affairs, including providing facilities, GSAM is entitled to a management fee computed daily and payable monthly, equal to an annual percentage rate of the Fund’s average daily net assets.
GOLDMAN SACHS VARIABLE INSURANCE TRUST MID CAP VALUE FUND
Notes to Financial Statements (continued)
December 31, 2009
| 3. AGREEMENTS AND AFFILIATED TRANSACTIONS (continued) |
For the fiscal year ended December 31, 2009, contractual management fees with GSAM were at the following rates:
| 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% | ||||
B. Distribution Agreement and Service Plan — The Trust, on behalf of the Service Shares of the Fund, has adopted a Distribution and Service Plan (the “Plan”). Under the Plan, Goldman Sachs and/or authorized dealers are entitled to a fee accrued daily and paid monthly for distribution services equal to, on an annual basis, 0.25% of the Fund’s average daily net assets attributable to Service Shares.
C. Transfer Agency Agreement — Goldman Sachs also serves as the transfer agent of the Fund for a fee pursuant to a Transfer Agency Agreement. The fees charged for such transfer agency services are calculated daily and payable monthly at an annual rate of 0.02% of the average daily net assets for Institutional and Service Shares.
D. Other Agreements — GSAM has voluntarily agreed to limit certain “Other Expenses” (excluding management fees, distribution and service fees, transfer agent fees and expenses, taxes, interest, brokerage fees and litigation, indemnification, shareholder meetings and other extraordinary expenses, exclusive of any custody and transfer agent fee credit reductions) to the extent such expenses exceed, on an annual basis, 0.054% of the average daily net assets of the Fund. Such expense reimbursements, if any, are computed daily and paid monthly. In addition, the Fund is not obligated to reimburse GSAM for prior fiscal year expense reimbursements, if any. This expense limitation may be modified or terminated at any time at the option of GSAM. For the fiscal year ended December 31, 2009, GSAM did not make any reimbursements to the Fund. In addition, the Fund has entered into certain offset arrangements with the custodian and the transfer agent resulting in a reduction of the Fund’s expenses. For the fiscal year ended December 31, 2009, transfer agent fees were reduced by approximately $5,900.
As of December 31, 2009, amounts owed to affiliates were approximately $646,100, $25,800 and $16,100 for management, distribution and service, and transfer agent fees, respectively.
E. Line of Credit Facility — The Fund participates in a $660,000,000 committed, unsecured revolving line of credit facility (the “facility”) together with other funds of the Trust and registered investment companies having management agreements with GSAM or its affiliates. Pursuant to the terms of the facility, the Fund and other borrowers may increase the credit amount by an additional $340,000,000, for a total of up to $1 billion. The facility is to be used solely for temporary or emergency purposes. The interest rate on borrowings is based on the federal funds rate. This facility also requires a fee to be paid by the Fund based on the amount of the commitment that has not been utilized. For the fiscal year ended December 31, 2009, the Fund did not have any borrowings under the facility. Prior to May 12, 2009, the amount available through the facility was $700,000,000.
F. Other Transactions with Affiliates — For the fiscal year ended December 31, 2009, Goldman Sachs earned approximately $127,000 in brokerage commissions from portfolio transactions executed on behalf of the Fund.
4. FAIR VALUE OF INVESTMENTS
The fair value of a financial instrument is the amount that would be received to sell an asset or paid to transfer a liability in an orderly transaction between market participants at the measurement date (i.e., the exit price). GAAP establishes a fair value hierarchy that prioritizes the inputs to valuation techniques used to measure fair value. The hierarchy gives the highest priority to unadjusted quoted prices in active markets for identical assets or liabilities (Level 1 measurements) and the lowest priority to unobservable inputs (Level 3 measurements). The three levels of the fair value hierarchy are described below:
Level 1 — Unadjusted quoted prices in active markets that are accessible at the measurement date for identical, unrestricted assets or liabilities;
GOLDMAN SACHS VARIABLE INSURANCE TRUST MID CAP VALUE FUND
| 4. FAIR VALUE OF INVESTMENTS (continued) |
Level 2 — Quoted prices in markets that are not active or financial instruments for which all significant inputs are observable, either directly or indirectly;
Level 3 — Prices or valuations that require inputs that are both significant to the fair value measurement and unobservable.
The following is a summary of the Fund’s investments categorized in the fair value hierarchy:
| Level 1 | Level 2 | Level 3 | ||||||||||
Assets | ||||||||||||
| Common Stock and/or Other Equity Investments | $ | 936,777,588 | $ | 273,400 | $ | — | ||||||
| Securities Lending Reinvestment Vehicle | — | 70,461,535 | — | |||||||||
| Short-term Investments | 19,826,737 | — | — | |||||||||
| Total | $ | 956,604,325 | $ | 70,734,935 | $ | — | ||||||
5. PORTFOLIO SECURITIES TRANSACTIONS
The cost of purchases and proceeds from sales and maturities of long-term securities for the fiscal year ended December 31, 2009, were $932,361,818 and $1,078,709,085, respectively.
6. SECURITIES LENDING
Pursuant to exemptive relief granted by the Securities and Exchange Commission and the terms and conditions contained therein, the Fund may lend its securities through a securities lending agent, Goldman Sachs Agency Lending (“GSAL”), a wholly-owned subsidiary of Goldman Sachs, to certain qualified borrowers including Goldman Sachs and affiliates. In accordance with the Fund’s securities lending procedures, the Fund receives cash collateral at least equal to the market value of the securities on loan. The market value of the loaned securities is determined at the close of business of the Fund at their last sale price or official closing price on the principal exchange or system on which they are traded, and any additional required collateral is delivered to the Fund on the next business day. As with other extensions of credit, the Fund may experience a delay in the recovery of its securities or incur a loss should the borrower of the securities breach its agreement with the Fund or become insolvent at a time when the collateral is insufficient to cover the cost of repurchasing securities on loan.
The Fund invests the cash collateral received in connection with securities lending transactions in the Enhanced Portfolio of Boston Global Investment Trust (“Enhanced Portfolio”), a Delaware statutory trust. The Enhanced Portfolio, deemed an affiliate of the Trust, is exempt from registration under Section 3(c)(7) of the Act and is managed by GSAM, for which GSAM may receive an investment advisory fee of up to 0.10% on an annualized basis of the average daily net assets of the Enhanced Portfolio. The Enhanced Portfolio invests primarily in short-term investments, but is not a “money market fund” subject to the requirements of Rule 2a-7 of the Act. The Fund’s investment of cash collateral in the Enhanced Portfolio is subject to a net asset value that may fall or rise due to market and credit conditions.
Both the Fund and GSAL receive compensation relating to the lending of the Fund’s securities. The amount earned by the Fund for the fiscal year ended December 31, 2009, is reported as securities lending income. A portion of this amount, $54,552, represents compensation earned by the Fund from lending its securities to Goldman Sachs. For the fiscal year ended December 31, 2009, GSAL earned $44,050 in fees as securities lending agent. The amount payable to Goldman Sachs upon return of securities loaned as of December 31, 2009 was $1,992,875.
GOLDMAN SACHS VARIABLE INSURANCE TRUST MID CAP VALUE FUND
Notes to Financial Statements (continued)
December 31, 2009
| 6. SECURITIES LENDING (continued) |
The following table provides information about the Fund’s investment in the Enhanced Portfolio for the fiscal year ended December 31, 2009 (in thousands):
| Number of | Number of | |||||||
| Shares Held Beginning | Shares Held End of | Value at End | ||||||
| of Fiscal Year | Shares Bought | Shares Sold | Fiscal Year | of Fiscal Year | ||||
| 69,764 | 396,560 | (395,862) | 70,462 | $70,462 | ||||
7. TAX INFORMATION
The tax character of distributions paid during the fiscal years ended December 31, 2008 and December 31, 2009 was as follows:
| 2008 | 2009 | |||||||
| Distributions paid from: | ||||||||
| Ordinary income | $ | 12,514,758 | $ | 14,873,524 | ||||
| Net long-term capital gains | 2,225,001 | — | ||||||
| Total taxable distributions | $ | 14,739,759 | $ | 14,873,524 | ||||
As of December 31, 2009, the components of accumulated earnings (losses) on a tax basis were as follows:
| Undistributed ordinary income — net | $ | 2,417,338 | ||
Capital loss carryforward:1 | ||||
| Expiring 2016 | (145,363,026 | ) | ||
| Expiring 2017 | (198,236,490 | ) | ||
| Total capital loss carryforward | $ | (343,599,516 | ) | |
| Timing differences (post - October losses and certain REIT dividends) | (7,600,344 | ) | ||
| Unrealized gains — net | 94,873,171 | |||
| Total accumulated losses — net | $ | (253,909,351 | ) | |
| 1 | Expiration occurs on December 31 of the year indicated. |
As of December 31, 2009, the Fund’s aggregate security unrealized gains and losses based on cost for U.S. federal income tax purposes was as follows:
| Tax cost | $ | 932,466,089 | ||
| Gross unrealized gain | 114,165,922 | |||
| Gross unrealized loss | (19,292,751 | ) | ||
| Net unrealized security gain | $ | 94,873,171 | ||
The difference between GAAP-basis and tax basis unrealized losses are attributable primarily to wash sales and differences related to the tax treatment of partnership investments.
In order to present certain components of the Fund’s capital accounts on a tax basis, the Fund has reclassified $1,260 from accumulated net realized loss from investment transactions to accumulated undistributed net investment income. This reclassification has no impact on the net asset value of the Fund and result primarily from the difference in tax treatment of partnership investments.
GOLDMAN SACHS VARIABLE INSURANCE TRUST MID CAP VALUE FUND
8. OTHER RISKS
Market and Credit Risks — In the normal course of business, the Fund trades financial instruments and enters into financial transactions where risk of potential loss exists due to changes in the market (market risk). Additionally, the Fund may also be exposed to credit risk in the event that an issuer fails to perform or that an institution or entity with which the Fund has unsettled or open transaction defaults.
Risks of Large Shareholder Redemptions — Certain participating insurance companies, accounts, or Goldman Sachs affiliates may from time to time own (beneficially or of record) or control a significant percentage of the Fund’s shares. Redemptions by these participating insurance companies or accounts in the Fund may impact the Fund’s liquidity and NAV. These redemptions may also force the Fund to sell securities, which may increase the Fund’s brokerage costs.
9. INDEMNIFICATIONS
Under the Trust’s organizational documents, its trustees, officers, employees and agents are indemnified, to the extent permitted by the Act, against certain liabilities that may arise out of performance of their duties to the Fund. Additionally, in the course of business, the Fund enters into contracts that contain a variety of indemnification clauses. The Fund’s maximum exposure under these arrangements is unknown, as this would involve future claims that may be made against the Fund that have not yet occurred. However, GSAM believes the risk of loss under these arrangements to be remote.
10. OTHER MATTERS
New Accounting Pronouncement — In May 2009, the FASB issued FASB Accounting Standards Codification (“ASC”) 855 “Subsequent Events”. This standard requires disclosure in the financial statements to reflect the effects of subsequent events that provide additional information on conditions about the financial statements as of the balance sheet date (recognized subsequent events) and disclosure of subsequent events that provide additional information about conditions after the balance sheet date if the financial statements would otherwise be misleading (unrecognized subsequent events). ASC 855 is effective for interim and annual financial statements issued for fiscal years ending after June 15, 2009. For purposes of inclusion in the financial statements, GSAM has concluded that subsequent events after the balance sheet date have been evaluated through February 16, 2010, the date the financial statements were issued.
GOLDMAN SACHS VARIABLE INSURANCE TRUST MID CAP VALUE FUND
Notes to Financial Statements (continued)
December 31, 2009
11. SUMMARY OF SHARE TRANSACTIONS
| 11. SUMMARY OF SHARE TRANSACTIONS (continued) |
Share activity is as follows:
| For the Fiscal Year Ended | For the Fiscal Year Ended | |||||||||||||||
| December 31, 2009 | December 31, 2008 | |||||||||||||||
| Shares | Dollars | Shares | Dollars | |||||||||||||
Institutional Shares | ||||||||||||||||
| Shares sold | 4,258,252 | $ | 39,092,639 | 6,105,718 | $ | 65,852,855 | ||||||||||
| Reinvestment of distributions | 1,159,806 | 13,210,185 | 1,623,108 | 13,195,869 | ||||||||||||
| Shares redeemed | (18,316,480 | ) | (168,736,934 | ) | (32,499,851 | ) | (399,001,871 | ) | ||||||||
| (12,898,422 | ) | (116,434,110 | ) | (24,771,025 | ) | (319,953,147 | ) | |||||||||
Service Shares | ||||||||||||||||
| Shares sold | 270,915 | 2,511,051 | 179,463 | 1,910,310 | ||||||||||||
| Reinvestment of distributions | 145,779 | 1,663,339 | 189,434 | 1,543,890 | ||||||||||||
| Shares redeemed | (2,486,621 | ) | (22,936,842 | ) | (3,588,997 | ) | (43,710,336 | ) | ||||||||
| (2,069,927 | ) | (18,762,452 | ) | (3,220,100 | ) | (40,256,136 | ) | |||||||||
NET DECREASE | (14,968,349 | ) | $ | (135,196,562 | ) | (27,991,125 | ) | $ | (360,209,283 | ) | ||||||
Report of Independent Registered Public Accounting Firm
To the Board of Trustees and Shareholders of Goldman Sachs Variable Insurance Trust — Goldman Sachs Mid Cap Value Fund:
In our opinion, the accompanying statement of assets and liabilities, including the schedule of investments, and the related statements of operations and of changes in net assets and the financial highlights present fairly, in all material respects, the financial position of Goldman Sachs Mid Cap Value Fund (the “Fund”) at December 31, 2009, the results of its operations for the year then ended, the changes in its net assets for each of the two years in the period then ended and the financial highlights for the periods indicated, in conformity with accounting principles generally accepted in the United States of America. These financial statements and financial highlights (hereafter referred to as “financial statements”) are the responsibility of the Fund’s management. Our responsibility is to express an opinion on these financial statements based on our audit. We conducted our audit of these financial statements in accordance with the standards of the Public Company Accounting Oversight Board (United States). Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement. An audit includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements, assessing the accounting principles used and significant estimates made by management, and evaluating the overall financial statement presentation. We believe that our audit, which included confirmation of securities at December 31, 2009 by correspondence with the custodian, brokers, and transfer agent, provides a reasonable basis for our opinion. The financial highlights of the Fund for the periods ended December 31, 2006 and prior were audited by another Independent Registered Public Accounting Firm whose report dated February 14, 2007 expressed an unqualified opinion on those financial highlights.
PricewaterhouseCoopers LLP
Boston, Massachusetts
February 16, 2010
GOLDMAN SACHS VARIABLE INSURANCE TRUST MID CAP VALUE FUND
Fund Expenses—Six Month Period Ended December 31, 2009 (Unaudited)
As a shareholder of Institutional or Service Shares of the Fund, you incur ongoing costs, including management fees, distribution and service (12b-1) fees (with respect to Service Shares) and other Fund expenses. This example is intended to help you understand your ongoing costs (in dollars) of investing in the Institutional Shares and Service Shares of the Fund and to compare these costs with the ongoing costs of investing in other mutual funds.
The example is based on an investment of $1,000 invested at the beginning of the period and held for the entire period from July 1, 2009 through December 31, 2009.
Actual Expenses — The first line under each share class in the table below provides information about actual account values and actual expenses. You may use the information in this line, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000=8.6), then multiply the result by the number in the first line under the heading entitled “Expenses Paid” to estimate the expenses you paid on your account during this period.
Hypothetical Example for Comparison Purposes — The second line under each share class in the table below provides information about hypothetical account values and hypothetical expenses based on the Fund’s actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Fund’s actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Fund and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds.
Please note that the expenses shown in the table are meant to highlight your ongoing costs only. As a shareholder of the Fund, you do not incur any transaction costs, such as sales charges, redemption fees, or exchange fees, but shareholders of other funds may incur such costs. The second line of the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds whose shareholders may incur transaction costs.
| Expenses Paid | |||||||||||||||
| For the | |||||||||||||||
| Beginning | Ending | 6 Months | |||||||||||||
| Account Value | Account Value | Ended | |||||||||||||
| Share Class | 7/01/09 | 12/31/09 | 12/31/09* | ||||||||||||
Institutional | |||||||||||||||
| Actual | $ | 1,000 | $ | 1,267.10 | $ | 4.91 | |||||||||
| Hypothetical 5% return | 1,000 | 1,020.87 | + | 4.38 | |||||||||||
Service | |||||||||||||||
| Actual | 1,000 | 1,265.10 | 6.34 | ||||||||||||
| Hypothetical 5% return | 1,000 | 1,019.61 | + | 5.65 | |||||||||||
| * | 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 December 31, 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. |
GOLDMAN SACHS VARIABLE INSURANCE TRUST MID CAP VALUE FUND
Trustees and Officers (Unaudited)
Independent Trustees
| Number of | ||||||||||
| Term of | Portfolios in | |||||||||
| Office and | Fund Complex | Other | ||||||||
| Name, | Position(s) Held | Length of | Principal Occupation(s) | Overseen by | Directorships | |||||
| Address and Age1 | with the Trust | Time Served2 | During Past 5 Years | Trustee3 | Held by Trustee4 | |||||
| Ashok N. Bakhru Age: 67 | Chairman of the Board of Trustees | Since 1991 | President, ANB Associates (July 1994-March 1996 and November 1998-Present); Director, Apollo Investment Corporation (a business development company) (October 2008-Present); Executive Vice President—Finance and Administration and Chief Financial Officer and Director, Coty Inc. (manufacturer of fragrances and cosmetics) (April 1996-November 1998); Director of Arkwright Mutual Insurance Company (1984-1999); Trustee of International House of Philadelphia (program center and residential community for students and professional trainees from the United States and foreign countries) (1989-2004); Member of Cornell University Council (1992-2004 and 2006-Present); Trustee of the Walnut Street Theater (1992-2004); Trustee, Scholarship America (1998-2005); Trustee, Institute for Higher Education Policy (2003-2008); Director, Private Equity Investors—III and IV (November 1998-2007), and Equity-Limited Investors II (April 2002-2007); and Chairman, Lenders Service Inc. (provider of mortgage lending service s) (2000-2003). Chairman of the Board of Trustees—Goldman Sachs Mutual Fund Complex. | 96 | Apollo Investment Corporation (a business development company) | |||||
| John P. Coblentz, Jr. Age: 68 | Trustee | Since 2003 | Partner, Deloitte & Touche LLP (June 1975-May 2003); Director, Emerging Markets Group, Ltd. (2004-2006); and Director, Elderhostel, Inc. (2006-Present). Trustee—Goldman Sachs Mutual Fund Complex. | 96 | None | |||||
| Diana M. Daniels Age: 60 | Trustee | Since 2007 | Ms. Daniels is retired (since January 2007). Formerly, she was Vice President, General Counsel and Secretary, The Washington Post Company (1991-2006). Ms. Daniels is Chairman of the Executive Committee, Cornell University (2006-Present); Member, Advisory Board, Psychology Without Borders (international humanitarian aid organization) (since 2007), and former Member of the Legal Advisory Board, New York Stock Exchange (2003-2006) and of the Corporate Advisory Board, Standish Mellon Management Advisors (2006-2007). Trustee—Goldman Sachs Mutual Fund Complex. | 96 | None | |||||
GOLDMAN SACHS VARIABLE INSURANCE TRUST MID CAP VALUE FUND
Trustees and Officers (Unaudited) (continued)
Independent Trustees
| Number of | ||||||||||
| Term of | Portfolios in | |||||||||
| Office and | Fund Complex | Other | ||||||||
| Name, | Position(s) Held | Length of | Principal Occupation(s) | Overseen by | Directorships | |||||
| Address and Age1 | with the Trust | Time Served2 | During Past 5 Years | Trustee3 | Held by Trustee4 | |||||
| Patrick T. Harker Age: 51 | Trustee | Since 2000 | President, University of Delaware (July 2007-Present); Dean and Reliance Professor of Operations and Information Management, The Wharton School, University of Pennsylvania (February 2000-June 2007); Interim and Deputy Dean, The Wharton School, University of Pennsylvania (July 1999-January 2000); and Professor and Chairman of Department of Operations and Information Management, The Wharton School, University of Pennsylvania (July 1997-August 2000). Trustee—Goldman Sachs Mutual Fund Complex. | 96 | Pepco Holdings, Inc. (an energy delivery company) | |||||
| Jessica Palmer Age: 60 | Trustee | Since 2007 | Consultant, Citigroup Human Resources Department (2007-2008); Managing Director, Citigroup Corporate and Investment Banking (previously, Salomon Smith Barney/Salomon Brothers) (1984-2006). Ms. Palmer is a Member of the Board of Trustees of Indian Mountain School (private elementary and secondary school) (2004-Present). Trustee—Goldman Sachs Mutual Fund Complex. | 96 | None | |||||
| Richard P. Strubel Age: 70 | Trustee | Since 1987 | Director, Cardean Learning Group (provider of educational services via the internet) (2003-2008); President, COO and Director, Cardean Learning Group (1999-2003); Director, Cantilever Technologies, Inc. (a private software company) (1999-2005); Audit Committee Chairman, The University of Chicago (2006-Present); Trustee, The University of Chicago (1987-Present); and Managing Director, Tandem Partners, Inc. (management services firm) (1990-1999). Trustee—Goldman Sachs Mutual Fund Complex. | 96 | Gildan Activewear Inc. (a clothing marketing and manufacturing company); The Northern Trust Mutual Fund Complex (58 Portfolios) (Chairman of the Board of Trustees). | |||||
GOLDMAN SACHS VARIABLE INSURANCE TRUST MID CAP VALUE FUND
Trustees and Officers (Unaudited) (continued)
Interested Trustees
| Number of | ||||||||||
| Term of | Portfolios in | |||||||||
| Office and | Fund Complex | Other | ||||||||
| Name, | Position(s) Held | Length of | Principal Occupation(s) | Overseen by | Directorships | |||||
| Address and Age1 | with the Trust | Time Served2 | During Past 5 Years | Trustee3 | Held by Trustee4 | |||||
| James A. McNamara* Age: 47 | President and Trustee | Since 2007 | Managing Director, Goldman Sachs (December 1998-Present); Director of Institutional Fund Sales, GSAM (April 1998-December 2000); and Senior Vice President and Manager, Dreyfus Institutional Service Corporation (January 1993-April 1998). President—Goldman Sachs Mutual Fund Complex (November 2007-Present); Senior Vice President—Goldman Sachs Mutual Fund Complex (May 2007-November 2007); and Vice President—Goldman Sachs Mutual Fund Complex (2001-2007). Trustee—Goldman Sachs Mutual Fund Complex (since November 2007 and December 2002-May 2004). | 96 | None | |||||
| Alan A. Shuch* Age: 60 | Trustee | Since 1990 | Advisory Director—GSAM (May 1999-Present); Consultant to GSAM (December 1994-May 1999); and Limited Partner, Goldman Sachs (December 1994-May 1999). Trustee—Goldman Sachs Mutual Fund Complex. | 96 | None | |||||
| * | These persons are considered to be “Interested Trustees” because they hold positions with Goldman Sachs and own securities issued by The Goldman Sachs Group, Inc. Each Interested Trustee holds comparable positions with certain other companies of which Goldman Sachs, GSAM or an affiliate thereof is the investment adviser, administrator and/or distributor. | |
| 1 | Each Trustee may be contacted by writing to the Trustee, c/o Goldman Sachs, One New York Plaza, 37th Floor, New York, New York, 10004, Attn: Peter V. Bonanno. | |
| 2 | Each Trustee holds office for an indefinite term until the earliest of: (a) the election of his or her successor; (b) the date the Trustee resigns or is removed by the Board of Trustees or shareholders, in accordance with the Trust’s Declaration of Trust; (c) the conclusion of the first Board meeting held subsequent to the day the Trustee attains the age of 72 years (in accordance with the current resolutions of the Board of Trustees, which may be changed by the Trustees without shareholder vote); or (d) the termination of the Trust. | |
| 3 | The Goldman Sachs Mutual Fund Complex consists of the Trust, Goldman Sachs Municipal Opportunity Fund, Goldman Sachs Credit Strategies Fund, and Goldman Sachs Trust. As of December 31, 2009, the Trust consisted of 11 portfolios, Goldman Sachs Trust consisted of 83 portfolios (of which 82 offered shares to the public) and the Goldman Sachs Municipal Opportunity Fund did not offer shares to the public. | |
| 4 | This column includes only directorships of companies required to report to the SEC under the Securities Exchange Act of 1934 (i.e., “public companies”) or other investment companies registered under the Act. |
Additional information about the Trustees is available in the Fund’s Statement of Additional Information which can be obtained from Goldman Sachs free of charge by calling this toll-free number (in the United States of America): 1-800-292-4726.
GOLDMAN SACHS VARIABLE INSURANCE TRUST MID CAP VALUE FUND
Trustees and Officers (Unaudited) (continued)
Officers of the Trust*
| Term of | ||||||
| Office and | ||||||
| Position(s) Held | Length of | |||||
| Name, Address and Age | With the Trust | Time Served1 | Principal Occupation(s) During Past 5 Years | |||
| James A. McNamara 32 Old Slip New York, NY 10005 Age: 47 | President and Trustee | Since 2007 | Managing Director, Goldman Sachs (December 1998-Present); Director of Institutional Fund Sales, GSAM (April 1998-December 2000); and Senior Vice President and Manager, Dreyfus Institutional Service Corporation (January 1993-April 1998). President—Goldman Sachs Mutual Fund Complex (November 2007-Present); Senior Vice President—Goldman Sachs Mutual Fund Complex (May 2007-November 2007); and Vice President—Goldman Sachs Mutual Fund Complex (2001-2007). Trustee—Goldman Sachs Mutual Fund Complex (since November 2007 and December 2002-May 2004). | |||
| George F. Travers 30 Hudson Street Jersey City, NJ 07032 Age: 42 | Senior Vice President and Principal Financial Officer | Since 2009 | Managing Director, Goldman Sachs (2007-present); Managing Director, UBS Ag (2005-2007); and Partner, Deloitte & Touche LLP (1990-2005, partner from 2000-2005) Senior Vice President and Principal Financial Officer—Goldman Sachs Mutual Fund Complex. | |||
| Peter V. Bonanno One New York Plaza New York, NY 10004 Age: 42 | Secretary | Since 2003 | Managing Director, Goldman Sachs (December 2006-Present); Associate General Counsel, Goldman Sachs (2002-Present); Vice President, Goldman Sachs (1999-2006); and Assistant General Counsel, Goldman Sachs (1999-2002). Secretary—Goldman Sachs Mutual Fund Complex (2006-Present); and Assistant Secretary—Goldman Sachs Mutual Fund Complex (2003-2006). | |||
| Scott M. McHugh 32 Old Slip New York, NY 10005 Age: 38 | Treasurer and Senior Vice President | Since 2009 | Vice President, Goldman Sachs (February 2007-Present); Assistant Treasurer of certain mutual funds administered by DWS Scudder (2005-2007); and Director (2005-2007), Vice President (2000-2005), Assistant Vice President (1998-2000), Deutsche Asset Management or its predecessor (1998-2007). Treasurer—Goldman Sachs Mutual Fund Complex (October 2009-Present); Senior Vice President—Goldman Sachs Mutual Fund Complex (November 2009-Present); and Assistant Treasurer—Goldman Sachs Mutual Fund Complex (May 2007-October 2009). | |||
| 1 | Officers hold office at the pleasure of the Board of Trustees or until their successors are duly elected and qualified. Each officer holds comparable positions with certain other companies of which Goldman Sachs, GSAM or an affiliate thereof is the investment adviser, administrator and/or distributor. | |
| * | Represents a partial list of officers of the Trust. Additional information about all the officers is available in the Fund’s Statement of Additional Information which can be obtained from Goldman Sachs free of charge by calling this toll-free number (in the United States): 1-800-292-4726. |
Goldman Sachs Variable Insurance Trust — Tax Information (Unaudited)
For the year ended December 31, 2009, 100% of the dividends paid from net investment company taxable income by the Goldman Sachs Mid Cap Value Fund qualify for the dividends received deduction available to corporations.
| 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 George F. Travers,Principal Financial Officer Peter V. Bonanno, Secretary Scott M. McHugh, Treasurer | |
| 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. | ||
| A prospectus for the Fund containing more complete information may be obtained from your authorized dealer or from Goldman, Sachs & Co. by calling (retail – 1-800-526-7384) (institutional – 1-800-621-2550). Please consider a fund’s objectives, risks, and charges and expenses, and read the prospectus carefully before investing. The prospectus contains this and other information about the Fund. | ||
| The 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. When available, the Fund’s Forms N-Q may be reviewed and copied at the SEC’s Public Reference Room in Washington, D.C. and information on the operation of the Public Reference Room may also be obtained by calling 1-800-SEC-0330. 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 for the Fund. Please consider the 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: Goldman Sachs Mid Cap Value Fund. | ||
| Copyright 2010 Goldman, Sachs & Co. All rights reserved. | ||
| VITMCAR10/32206 MF/02-10 | ||
Goldman
Sachs Variable Insurance Trust
��
Strategic International Equity Fund
Annual Report
December 31, 2009
|
GOLDMAN SACHS VARIABLE INSURANCE TRUST STRATEGIC INTERNATIONAL EQUITY FUND
INVESTMENT OBJECTIVE
The Fund seeks long-term capital appreciation. The Fund seeks this objective by investing in the stocks of leading companies within developed and emerging countries around the world, outside the U.S.
Portfolio Management Discussion and Analysis
Below, the Goldman Sachs International Equity Portfolio Management Team discusses the Fund’s performance and positioning for the 12 months ended December 31, 2009.
How did the Goldman Sachs Strategic International Equity Fund (the “Fund”) perform during the annual period ended December 31, 2009 (the “Reporting Period”)?
During the Reporting Period, the Fund’s Institutional and Service Shares generated average annual total returns of 28.69% and 28.37%, respectively. These returns compare to the 32.46% average annual total return of the Fund’s benchmark, the Morgan Stanley Capital International (MSCI) Europe, Australasia, Far East (EAFE) Index (unhedged, with dividends reinvested) (the “MSCI EAFE Index”) during the same time period.
What economic and market factors most influenced the international equity markets as a whole during the Reporting Period?
During the Reporting Period, international equity markets rallied strongly with double-digit gains, but experienced volatile swings as the economic and financial crises dominated the first quarter of 2009, only to give way to signs of stabilization and potential recovery beginning in the spring of 2009.
In the first months of 2009, concerns about the financial health of banks and insurance companies, as well as a drumbeat of negative economic data points, drove challenging performance across geographies. Announcements of government intervention and ratings downgrades heightened fears of insolvency and further bad debt exposures. Sharply negative Gross Domestic Product (“GDP”) figures and discouraging unemployment trends were prevalent in the U.S. and Europe. In China, concerns about demand and manufacturing data added to the bleak view.
By the end of the first quarter of 2009, however, international equity markets began to trade higher on speculation that the worst of the downturn was over. With encouraging results from financial stress tests and a number of better-than-expected corporate earnings reports, the international equity markets, as measured by the MSCI EAFE Index, soared more than 49.85% during the second and third quarters, following a 13.95% loss during the fourth quarter. A series of economic data points, including incrementally better housing and manufacturing data, indicated economic stabilization and possible recovery, boosting investor confidence and propelling equity markets higher into the last months of 2009. The MSCI EAFE Index returned 1.80% during the fourth quarter of the year, as the rally slowed with developed market economies continuing to rebound but at a slower pace than in the U.S.
What key factors were responsible for the Fund’s performance during the Reporting Period?
The Fund moderately trailed the MSCI EAFE Index due primarily to security selection and sector allocation. Regional allocation and country selection as a whole contributed positively to the Fund’s relative results.
Which regions most significantly affected Fund performance?
Security selection and having a modestly underweighted position in Japan contributed most positively to the Fund’s performance relative to the MSCI EAFE Index during the Reporting Period. Having exposure to the emerging markets, though a modest position, also helped. Conversely, individual security selection in Europe detracted most from relative performance. Also hurting the Fund’s results somewhat was having a moderately underweighted allocation to developed Asia ex-Japan. Holding a position in cash hurt the Fund’s results as well, as the MSCI EAFE rallied strongly during the Reporting Period.
Which equity market sectors most significantly affected Fund performance?
Security selection within the information technology, energy and utilities sectors contributed positively to the Fund’s performance relative to the MSCI EAFE Index during the Reporting Period. Having underweighted positions compared to the benchmark index in utilities and telecommunication services also helped. Detracting from the Fund’s results was security selection in the consumer staples, materials and consumer discretionary sectors. Also hurting the Fund’s performance was
1
GOLDMAN SACHS VARIABLE INSURANCE TRUST STRATEGIC INTERNATIONAL EQUITY FUND
having modestly underweighted exposure to the financials and materials sectors, which outpaced the MSCI EAFE during the Reporting Period, and having an overweighted allocation to health care, which lagged.
What were some of the Fund’s best-performing individual stocks?
The Fund benefited most relative to the MSCI EAFE Index from positions in U.K. software and services company Autonomy, Italian diversified financials firm Azimut Holding, Hong Kong diversified banking institution HSBC Holdings, U.K. energy company Venture Production, and Hong Kong real estate developer Sun Hung Kai Properties.
Shares of Autonomy, whose technology allows enterprises and governments to search media files in a conceptual rather than structural manner, rose on announcements of new contract wins, better-than-expected full year results and an accretive acquisition during the Reporting Period. We eliminated the Fund’s position in Autonomy by the end of the Reporting Period, taking profits. Shares of Italian asset manager Azimut Holding rebounded strongly from 2008 lows amid a rising equity market and widespread strength in the financials sector. Global banking group HSBC’s performance was representative of the general strength in banks. Its valuation was similar to that of the sector overall, but its excellent franchise, strong deposit base and capital levels were important differentiators compared to those of many of its peers. While many banks generated loan growth through government funding, HSBC self-funded its loan book through its deposit base.
Shares of oil exploration and production company Venture Production surged early in 2009, after management announced a strong rise in 2008 net income due to record oil prices and higher output. The company also benefited from merger and acquisition speculation. Sun Kung Kai Properties, Asia’s largest property developer, saw its shares surge after the company reaffirmed its sales target for the year and on the affirmation of its strong credit rating in late March. The company also benefited from broad strength in the Chinese economy and Chinese property market, which in turn were bolstered by the Chinese government’s stimulus package.
Which stocks detracted significantly from the Fund’s performance during the Reporting Period?
Detracting most from the Fund’s results relative to its benchmark index were positions in French media conglomerate Vivendi, Japanese rail transportation services company and real estate operator East Japan Railway, and Japanese utility Kansai Electric Power. Also, holding only modest positions in U.K. commercial banking giant Barclays and Swiss pharmaceutical manufacturer Novartis detracted from relative performance.
The Fund’s position in Vivendi reflected our rather defensive positioning within the wide-ranging consumer discretionary sector. However, its shares underperformed due to reduced earnings, concerns that there might be another entrant into the French mobile phone market and some competitive pressures in the pay-TV side of its business. East Japan Railway was historically viewed as being a defensive holding during recessionary times. However, the company released passenger data during the year that indicated lower-than-expected ridership levels, which put downward pressure on its share price. Its stock was also hurt by press announcements surrounding the misuse of river water for power generation and a reduction in weekend highway fees. Shares of Kansai Electric Power, which generates electricity from hydroelectric, thermal, geothermal and nuclear power sources, lagged due to reports of downward earnings revisions.
Barclays performed well during the rally in the financials sector, and thus the Fund’s underweighted position in the British financial services firm detracted from relative performance. Similarly, Novartis rebounded strongly during the third quarter, but based on weakness during the first half of the year, the Fund was underweighted in the Swiss pharmaceutical company and therefore did not participate fully in the stock’s rally.
Did the Fund make any significant purchases or sales during the Reporting Period?
We established new positions during the fiscal year in Australian mining company Rio Tinto, Finnish wireless equipment company Nokia, Swiss agricultural chemicals manufacturer Syngenta, German health care and sciences conglomerate Bayer, and Netherlands-based printing and publishing firm Reed Elsevier.
We initiated a position in Rio Tinto, the second largest global mining company, because at the time of purchase, we believed its valuation was significantly discounted relative to the mining sector overall. In addition, Rio Tinto’s assets in iron ore and copper are world class. Thus, even in an extended economic downturn, its operations should generate significant cash. We liked Nokia because we believed, at the time of purchase, that its stock would benefit from the telecommunications company’s capacity for increased market share, particularly in the U.S., and its improved product portfolio, including smart phones.
Syngenta is focused on crop protection and genetically modified seed production. As such, we believe Syngenta is well positioned in a consolidated industry and view the long-term fundamentals surrounding agriculture in both the developed
2
GOLDMAN SACHS VARIABLE INSURANCE TRUST STRATEGIC INTERNATIONAL EQUITY FUND
and emerging economies to be attractive. We initiated a position in Bayer primarily due to our favorable view of the company’s new chief executive officer, particularly with regard to his track record of improving profitability and allocating shareholder capital. We were also encouraged by Bayer’s strong pharmaceutical pipeline and improving material sciences business. We established a new position in Reed Elsevier, as we believe the market was neglecting the consistent growth and high returns of the company’s core businesses, which are based in high barriers-to-entry markets with limited existing competition. In addition, we are confident in the ability of the firm’s management team to unlock additional value.
In addition to those sales already mentioned, we eliminated the Fund’s positions in U.K. human resources firm Capita Group, German integrated electric utility E.ON, French multimedia conglomerate Vivendi, U.K. diversified mining company BHP Billiton, and French integrated oil company Total.
We eliminated the Fund’s positions in Capita Group, E.ON, BHP Billiton and Total to make room in the portfolio for what we considered to be more attractive risk/reward opportunities. In the case of Vivendi, we still saw value in Vivendi’s core businesses, as, in our view, that value had not yet been fully recognized by the market. However, we were concerned that the company may seek to make dilutive acquisitions in the near term and thus we eliminated the Fund’s position in Vivendi’s stock, preferring to seek opportunities elsewhere in the media industry.
Were there any notable changes in the Fund’s weightings during the Reporting Period?
During the Reporting Period, we increased the Fund’s weightings in consumer discretionary and telecommunication services and decreased its exposure to consumer staples, financials, materials and utilities. From a regional perspective, we reduced the Fund’s allocation to Developed Asia ex-Japan, eliminated its exposure to the emerging markets, and increased its position in Europe.
How was the Fund positioned relative to its benchmark index at the end of December 2009?
The Fund had greater weightings than the MSCI EAFE Index in the consumer discretionary, information technology and health care sectors at the end of the Reporting Period. The Fund had underweighted allocations to the consumer staples, financials, industrials, materials and utilities sectors compared to the benchmark index at the end of December 2009. On the same date, the Fund was virtually equally weighted to the MSCI EAFE Index in the energy and telecommunication services sectors.
From a regional perspective, the Fund had underweighted positions in Developed Asia ex-Japan and Europe and a rather neutral exposure to Japan compared to the MSCI EAFE Index at the end of December 2009.
What is the Fund’s tactical view and strategy for the months ahead?
Given the tumult in the equity markets over the past year or so, the deck has been reshuffled, and investors are now presented with the challenge of identifying quality investments in an uncertain market environment. While overall volatility retreated by the end of 2009 from record highs seen in 2008, we believe the dispersion of returns at the stock level will continue to increase, particularly as companies begin to trade more on fundamentals rather than on fear or hope. We believe this type of environment, with abundant winners and losers, is ripe for fundamental stock-pickers to generate added value. As visibility into corporate earnings becomes clearer, we look to take advantage in the months ahead of select opportunities, particularly in markets where quality businesses have lagged the recent rally. At the same time, we remain wary of companies whose stock prices have soared during the 2009 equity market rally without tangible evidence of improving fundamentals. We continue to focus on building the Fund’s quality portfolio through intense bottom-up research and believe such a disciplined strategy will help us position the Fund effectively in these uncertain times.
3
GOLDMAN SACHS VARIABLE INSURANCE TRUST STRATEGIC INTERNATIONAL EQUITY FUND
Portfolio Composition
TOP TEN PORTFOLIO HOLDINGS AS OF 12/31/09*
| Holding | % of Net Assets | Line of Business | Country | |||||||
| BP PLC | 3.2 | % | Energy | United Kingdom | ||||||
| HSBC Holdings PLC | 2.9 | Banks | United Kingdom | |||||||
| BG Group PLC | 2.3 | Energy | United Kingdom | |||||||
| Roche Holding AG | 2.3 | Pharmaceuticals, Biotechnology & Life Sciences | Switzerland | |||||||
| Rio Tinto PLC | 2.0 | Materials | United Kingdom | |||||||
| Nokia Oyj | 2.0 | Technology Hardware & Equipment | Finland | |||||||
| UBS AG (Registered) | 1.9 | Diversified Financials | Switzerland | |||||||
| Novartis AG (Registered) | 1.8 | Pharmaceuticals, Biotechnology & Life Sciences | Switzerland | |||||||
| Koninklijke KPN NV | 1.8 | Telecommunication Services | Netherlands | |||||||
| Eni SpA | 1.8 | Energy | Italy | |||||||
* Opinions expressed in this report represent our present opinions only. Reference to individual securities should not be construed as a commitment that such securities will be retained by the Fund. From time to time, the Fund may change the individual securities it holds, the number or types of securities held and the markets in which it invests. Fund holdings of securities should not be relied upon in making investment decisions and should not be construed as research or investment advice regarding particular securities. References to individual securities do not constitute a recommendation to the investor to buy, hold or sell such securities. In addition, references to past performance of the Fund do not indicate future returns, which are not guaranteed and will vary. Furthermore, the value of shares of the Fund may fall as well as rise.
FUND vs. BENCHMARK SECTOR ALLOCATION AS OF 12/31/091
1 The Fund is actively managed and, as such, its composition may differ over time. The above graph categorizes investments using Global Industry Classification Standard (“GICS”), however, the sector classifications used by the portfolio management team may differ from GICS. Underlying industry sector allocations of exchange traded funds (“ETFs”) held by the Fund are not reflected in the graph above. Consequently, the Fund’s overall industry sector allocations may differ from the percentages contained in the graph above. The percentage shown for each investment category reflects the value of investments in that category as a percentage of market value (excluding investments in the securities lending reinvestment vehicle, if any). Investment in the securities lending reinvestment vehicle represented 5.8% of the Fund’s net assets at December 31, 2009.
4
GOLDMAN SACHS VARIABLE INSURANCE TRUST STRATEGIC INTERNATIONAL EQUITY FUND
Performance Summary
December 31, 2009
The following graph shows the value, as of December 31, 2009, of a $10,000 investment made on January 1, 2000 in the Institutional Shares at net asset value per share. For comparative purposes, the performance of the Fund’s benchmark, the MSCI EAFE Index (unhedged, with dividends reinvested), is shown. This performance data represents past performance and should not be considered indicative of future performance which will fluctuate with changes in market conditions. These performance fluctuations will cause an investor’s shares, when redeemed, to be worth more or less than their original cost. Performance reflects Fund level expenses but does not reflect fees and expenses associated with any variable annuity contract or variable life insurance policy that uses the Fund as an investment option for any contract or policy. Had performance reflected all of those fees and expenses, performance would have been reduced. Performance also would have been reduced had expense limitations not been in effect. Performance of Service Shares will vary from Institutional Shares due to differences in fees. In addition to the investment adviser’s decisions regarding issuer/industry/country investment selection and allocation, other factors may affect Fund performance. These factors include, but are not limited to, Fund operating fees and expenses, portfolio turnover, and subscription and redemption cash flows affecting the Fund.
Strategic International Equity Fund’s 10 Year Performance
Performance of a $10,000 investment, with distributions reinvested, from January 1, 2000 through December 31, 2009.
| Average Annual Total Return through December 31, 2009 | One Year | Five Years | Ten Years | Since Inception | ||||||||||||||
| Institutional (Commenced January 12, 1998) | 28.69 | % | 0.82 | % | −1.24 | % | 2.83 | % | ||||||||||
| Service (Commenced January 9, 2006) | 28.37 | % | n/a | n/a | −3.61 | % | ||||||||||||
GOLDMAN SACHS VARIABLE INSURANCE TRUST STRATEGIC INTERNATIONAL EQUITY FUND
Schedule of Investments
December 31, 2009
| Shares | Description | Value | ||||||||
Common Stocks – 88.9% | ||||||||||
| Bermuda – 0.4% | ||||||||||
| 194,521 | Hiscox Ltd. (Insurance) | $ | 991,245 | |||||||
| Denmark – 1.4% | ||||||||||
| 16,681 | Carlsberg A/S Class B (Food, Beverage & Tobacco) | 1,227,966 | ||||||||
| 34,478 | Novo Nordisk A/S Class B (Pharmaceuticals, Biotechnology & Life Sciences) | 2,201,134 | ||||||||
| 3,429,100 | ||||||||||
| Finland – 2.6% | ||||||||||
| 364,710 | Nokia Oyj (Technology Hardware & Equipment) | 4,715,700 | ||||||||
| 62,873 | Nokian Renkaat Oyj (Automobiles & Components)(a) | 1,524,609 | ||||||||
| 6,240,309 | ||||||||||
| France – 7.1% | ||||||||||
| 19,891 | Air Liquide SA (Materials) | 2,365,596 | ||||||||
| 19,971 | Alstom SA (Capital Goods) | 1,396,690 | ||||||||
| 93,437 | AXA SA (Insurance) | 2,193,807 | ||||||||
| 22,390 | BNP Paribas (Banks) | 1,775,932 | ||||||||
| 80,972 | Compagnie Generale de Geophysique-Veritas (Energy)* | 1,721,195 | ||||||||
| 114,305 | Safran SA (Capital Goods) | 2,233,441 | ||||||||
| 54,376 | Societe Generale (Banks) | 3,778,045 | ||||||||
| 26,899 | Sodexo (Consumer Services) | 1,530,552 | ||||||||
| 16,995,258 | ||||||||||
| Germany – 4.8% | ||||||||||
| 47,000 | Bayer AG (Pharmaceuticals, Biotechnology & Life Sciences) | 3,761,109 | ||||||||
| 52,130 | Daimler AG (Registered) (Automobiles & Components) | 2,776,636 | ||||||||
| 21,239 | Hamburger Hafen und Logistik AG (Transportation) | 820,344 | ||||||||
| 22,879 | HeidelbergCement AG (Materials) | 1,582,812 | ||||||||
| 49,092 | Henkel AG & Co. KGaA Preference Shares (Household & Personal Products) | 2,577,974 | ||||||||
| 11,518,875 | ||||||||||
| Hong Kong – 2.7% | ||||||||||
| 901,000 | BOC Hong Kong (Holdings) Ltd. (Banks) | 2,024,253 | ||||||||
| 265,500 | Kerry Properties Ltd. (Real Estate) | 1,342,905 | ||||||||
| 200,000 | Sun Hung Kai Properties Ltd. (Real Estate) | 2,973,824 | ||||||||
| 6,340,982 | ||||||||||
| Ireland – 1.2% | ||||||||||
| 98,356 | Kerry Group PLC Class A (Food, Beverage & Tobacco) | 2,892,554 | ||||||||
| Italy – 5.6% | ||||||||||
| 47,739 | Azimut Holding SpA (Diversified Financials) | 638,212 | ||||||||
| 142,900 | Banca Popolare Di Milano Scarl (Banks) | 1,015,271 | ||||||||
| 168,952 | Eni SpA (Energy) | 4,302,500 | ||||||||
| 546,669 | Intesa Sanpaolo SpA (Banks)* | 2,460,024 | ||||||||
| 176,205 | Mediobanca SpA (Diversified Financials)* | 2,093,257 | ||||||||
| 348,239 | Snam Rete Gas SpA (Utilities) | 1,729,415 | ||||||||
| 88,710 | Unione di Banche Italiane ScpA (Banks) | 1,271,564 | ||||||||
| 13,510,243 | ||||||||||
| Japan – 20.0% | ||||||||||
| 20,100 | ABC-Mart, Inc. (Retailing) | 557,580 | ||||||||
| 143,000 | Ajinomoto Co., Inc. (Food, Beverage & Tobacco) | 1,345,910 | ||||||||
| 226,000 | Daiwa Securities Group, Inc. (Diversified Financials) | 1,137,377 | ||||||||
| 51,700 | Denso Corp. (Automobiles & Components) | 1,562,222 | ||||||||
| 27,000 | East Japan Railway Co. (Transportation) | 1,708,580 | ||||||||
| 72,300 | FUJIFILM Holdings Corp. (Technology Hardware & Equipment) | 2,183,508 | ||||||||
| 176,000 | Fujitsu Ltd. (Technology Hardware & Equipment) | 1,141,960 | ||||||||
| 10,000 | Funai Electric Co. Ltd. (Consumer Durables & Apparel) | 502,218 | ||||||||
| 55,600 | Honda Motor Co. Ltd. (Automobiles & Components) | 1,886,436 | ||||||||
| 340,000 | J. Front Retailing Co. Ltd. (Retailing) | 1,501,536 | ||||||||
| 40,000 | Kirin Holdings Co. Ltd. (Food, Beverage & Tobacco) | 641,480 | ||||||||
| 102,900 | Komatsu Ltd. (Capital Goods) | 2,154,126 | ||||||||
| 18,800 | Kyocera Corp. (Technology Hardware & Equipment) | 1,655,724 | ||||||||
| 19,800 | Mabuchi Motor Co. Ltd. (Technology Hardware & Equipment) | 981,305 | ||||||||
| 792,000 | Mazda Motor Corp. (Automobiles & Components)* | 1,821,146 | ||||||||
| 78,300 | Mitsubishi Corp. (Capital Goods) | 1,950,343 | ||||||||
| 121,000 | Mitsubishi Electric Corp. (Capital Goods)* | 898,867 | ||||||||
| 131,000 | Mitsubishi Tanabe Pharma Corp. (Pharmaceuticals, Biotechnology & Life Sciences) | 1,634,600 | ||||||||
| 328,100 | Mitsubishi UFJ Financial Group, Inc. (Banks) | 1,616,150 | ||||||||
| 94,400 | Mitsui & Co. Ltd. (Capital Goods) | 1,339,169 | ||||||||
| 67,000 | Mitsui Fudosan Co. Ltd. (Real Estate) | 1,132,851 | ||||||||
GOLDMAN SACHS VARIABLE INSURANCE TRUST STRATEGIC INTERNATIONAL EQUITY FUND
| Shares | Description | Value | ||||||||
Common Stocks – (continued) | ||||||||||
| Japan – (continued) | ||||||||||
| 86,000 | Mitsui OSK Lines Ltd. (Transportation) | $ | 454,310 | |||||||
| 26,000 | Mitsui Sumitomo Insurance Group Holdings, Inc. (Insurance) | 664,071 | ||||||||
| 4,400 | Nintendo Co. Ltd. (Software & Services) | 1,050,883 | ||||||||
| 243,000 | Nippon Sheet Glass Co. Ltd. (Capital Goods) | 696,387 | ||||||||
| 1,518 | NTT DoCoMo, Inc. (Telecommunication Services) | 2,118,351 | ||||||||
| 8,290 | ORIX Corp. (Diversified Financials) | 564,418 | ||||||||
| 107,800 | Panasonic Corp. (Consumer Durables & Apparel) | 1,551,933 | ||||||||
| 30,800 | Santen Pharmaceutical Co. Ltd. (Pharmaceuticals, Biotechnology & Life Sciences) | 989,377 | ||||||||
| 17,900 | Shin-Etsu Chemical Co. Ltd. (Materials) | 1,010,605 | ||||||||
| 439,000 | Sumitomo Metal Industries Ltd. (Materials) | 1,180,050 | ||||||||
| 88,000 | Sumitomo Metal Mining Co. Ltd. (Materials) | 1,298,665 | ||||||||
| 40,800 | Sumitomo Mitsui Financial Group, Inc. (Banks) | 1,170,772 | ||||||||
| 186,000 | The Chiba Bank Ltd. (Banks) | 1,112,496 | ||||||||
| 141,000 | Tokuyama Corp. (Materials) | 788,402 | ||||||||
| 177,000 | Toshiba Corp. (Technology Hardware & Equipment)* | 982,156 | ||||||||
| 46,500 | Toyota Motor Corp. (Automobiles & Components) | 1,960,485 | ||||||||
| 93,200 | Yokogawa Electric Corp. (Technology Hardware & Equipment) | 823,100 | ||||||||
| 47,769,549 | ||||||||||
| Luxembourg – 1.2% | ||||||||||
| 562,373 | Regus PLC (Commercial & Professional Services) | 830,589 | ||||||||
| 94,113 | SES SA FDR (Media) | 2,120,112 | ||||||||
| 2,950,701 | ||||||||||
| Netherlands – 1.9% | ||||||||||
| 260,157 | Koninklijke KPN NV (Telecommunication Services) | 4,422,015 | ||||||||
| Norway – 0.3% | ||||||||||
| 65,354 | Petroleum Geo-Services ASA (Energy)* | 748,169 | ||||||||
| Singapore – 0.7% | ||||||||||
| 86,000 | DBS Group Holdings Ltd. (Banks) | 934,904 | ||||||||
| 156,000 | Wilmar International Ltd. (Food, Beverage & Tobacco) | 709,334 | ||||||||
| 1,644,238 | ||||||||||
| Spain – 0.7% | ||||||||||
| 59,300 | Telefonica SA (Telecommunication Services) | 1,659,751 | ||||||||
| Sweden – 0.7% | ||||||||||
| 173,866 | Swedbank AB Class A (Banks)* | 1,711,796 | ||||||||
| Switzerland – 12.7% | ||||||||||
| 39,361 | Compagnie Financiere Richemont SA Class A (Consumer Durables & Apparel) | 1,323,587 | ||||||||
| 18,564 | Kuehne + Nagel International AG (Registered) (Transportation) | 1,804,963 | ||||||||
| 389 | Lindt & Spruengli AG (Food, Beverage & Tobacco) | 835,177 | ||||||||
| 49,976 | Nestle SA (Registered) (Food, Beverage & Tobacco) | 2,425,517 | ||||||||
| 81,016 | Novartis AG (Registered) (Pharmaceuticals, Biotechnology & Life Sciences) | 4,424,222 | ||||||||
| 32,139 | Roche Holding AG (Pharmaceuticals, Biotechnology & Life Sciences) | 5,496,183 | ||||||||
| 5,627 | Straumann Holding AG (Registered) (Health Care Equipment & Services) | 1,580,429 | ||||||||
| 14,315 | Syngenta AG (Registered) (Materials) | 4,042,670 | ||||||||
| 18,341 | Synthes, Inc. (Health Care Equipment & Services) | 2,404,298 | ||||||||
| 290,817 | UBS AG (Registered) (Diversified Financials)* | 4,528,668 | ||||||||
| 86,414 | Xstrata PLC (Materials)* | 1,541,288 | ||||||||
| 30,407,002 | ||||||||||
| United Kingdom – 24.9% | ||||||||||
| 174,808 | Amlin PLC (Insurance) | 1,009,360 | ||||||||
| 31,648 | Anglo American PLC (Materials)* | 1,370,598 | ||||||||
| 78,082 | ASOS PLC (Retailing)* | 613,425 | ||||||||
| 633,100 | Barclays PLC (Banks) | 2,789,732 | ||||||||
| 310,783 | BG Group PLC (Energy) | 5,611,590 | ||||||||
| 146,676 | Bodycote PLC (Capital Goods) | 376,566 | ||||||||
| 804,900 | BP PLC (Energy) | 7,772,262 | ||||||||
| 74,370 | Charter International PLC (Capital Goods) | 861,528 | ||||||||
| 105,624 | Cookson Group PLC (Capital Goods)* | 714,580 | ||||||||
| 606,816 | HSBC Holdings PLC (Banks) | 6,922,770 | ||||||||
| 103,780 | Imperial Tobacco Group PLC (Food, Beverage & Tobacco) | 3,273,987 | ||||||||
| 98,189 | Inmarsat PLC (Telecommunication Services) | 1,094,142 | ||||||||
| 193,322 | Invensys PLC (Capital Goods) | 930,038 | ||||||||
| 134,536 | Liberty International PLC (REIT) | 1,112,271 | ||||||||
| 165,310 | Morgan Crucible Co. PLC (Capital Goods) | 420,534 | ||||||||
| 403,735 | Reed Elsevier PLC (Media) | 3,314,483 | ||||||||
| 90,617 | Rio Tinto PLC (Materials)(b) | 4,893,030 | ||||||||
GOLDMAN SACHS VARIABLE INSURANCE TRUST STRATEGIC INTERNATIONAL EQUITY FUND
Schedule of Investments (continued)
December 31, 2009
| Shares | Description | Value | ||||||||
Common Stocks – (continued) | ||||||||||
| United Kingdom – (continued) | ||||||||||
| 74,992 | Schroders PLC (Diversified Financials) | $ | 1,602,692 | |||||||
| 624,292 | SIG PLC (Capital Goods)* | 1,126,779 | ||||||||
| 64,222 | Smiths Group PLC (Capital Goods) | 1,046,943 | ||||||||
| 53,210 | SOCO International PLC (Energy)* | 1,150,153 | ||||||||
| 30,061 | SSL International PLC (Health Care Equipment & Services) | 379,708 | ||||||||
| 495,432 | Standard Life PLC (Insurance) | 1,720,819 | ||||||||
| 530,893 | Tesco PLC (Food & Staples Retailing) | 3,662,520 | ||||||||
| 128,151 | The Berkeley Group Holdings PLC (Consumer Durables & Apparel)* | 1,690,248 | ||||||||
| 1,764,037 | Vodafone Group PLC (Telecommunication Services) | 4,085,005 | ||||||||
| 59,545,763 | ||||||||||
TOTAL COMMON STOCKS | ||||||||||
| (Cost $186,960,104) | $ | 212,777,550 | ||||||||
Exchange Traded Fund(a) – 5.4% | ||||||||||
| Australia – 5.4% | ||||||||||
| 564,267 | iShares MSCI Australia Index Fund | |||||||||
| (Cost $6,624,377) | $ | 12,887,859 | ||||||||
| Shares | Rate | Value | ||||||||||
Short-term Investment(c) – 5.6% | ||||||||||||
| JPMorgan U.S. Government Money Market Fund – Capital Shares | ||||||||||||
| 13,502,384 | 0.049 | % | $ | 13,502,384 | ||||||||
| (Cost $13,502,384) | ||||||||||||
| TOTAL INVESTMENTS BEFORE SECURITIES LENDING REINVESTMENT VEHICLE | ||||||||||||
| (Cost $207,086,865) | $ | 239,167,793 | ||||||||||
Securities Lending Reinvestment Vehicle(c)(d) – 5.8% | ||||||||||||
| Boston Global Investment Trust – Enhanced Portfolio | ||||||||||||
| 13,790,384 | 0.107 | % | $ | 13,790,384 | ||||||||
| (Cost $13,776,871) | ||||||||||||
TOTAL INVESTMENTS – 105.7% | ||||||||||||
| (Cost $220,863,736) | $ | 252,958,177 | ||||||||||
LIABILITIES IN EXCESS OF OTHER ASSETS – (5.7)% | (13,584,295 | ) | ||||||||||
NET ASSETS – 100.0% | $ | 239,373,882 | ||||||||||
The percentage shown for each investment category reflects the value of investments in that category as a percentage of net assets.
| * | Non-income producing security. | |
| (a) | All or a portion of security is on loan. | |
| (b) | 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 December 31, 2009. | |
| (d) | Represents an affiliated issuer. |
| Investment Abbreviations: | ||||||
| FDR | — | Fiduciary Depositary Receipt | ||||
| REIT | — | Real Estate Investment Trust | ||||
ADDITIONAL INVESTMENT INFORMATION
FUTURES CONTRACTS — At December 31, 2009, the following futures contracts were open:
| Number of | ||||||||||||||||
| Contracts | Expiration | Unrealized | ||||||||||||||
| Type | Long | Date | Value | Gain | ||||||||||||
| Dow Jones EURO STOXX 50 Index | 64 | March 2010 | $ | 2,726,727 | $ | 70,227 | ||||||||||
| SPI 200 Index | 70 | March 2010 | 7,669,483 | 305,886 | ||||||||||||
TOTAL | $ | 376,113 | ||||||||||||||
GOLDMAN SACHS VARIABLE INSURANCE TRUST STRATEGIC INTERNATIONAL EQUITY FUND
Statement of Assets and Liabilities
December 31, 2009
| Assets: | ||||||
| Investments in securities of unaffiliated issuers, at value (identified cost $207,086,865)(a) | $ | 239,167,793 | ||||
| Investments in affiliated securities lending reinvestment vehicle, at value (identified cost $13,776,871) | 13,790,384 | |||||
| Foreign currencies, at value (identified cost $30,838) | 31,310 | |||||
| Receivables: | ||||||
Dividends, at value | 161,265 | |||||
Due from broker — variation margin, at value | 84,703 | |||||
Foreign tax reclaims, at value | 48,967 | |||||
Fund shares sold | 41,897 | |||||
Securities lending income | 1,617 | |||||
| Total assets | 253,327,936 | |||||
| Liabilities: | ||||||
| Payables: | ||||||
Payable upon return of securities loaned | 13,570,000 | |||||
Amounts owed to affiliates | 212,915 | |||||
Fund shares redeemed | 108,515 | |||||
| Accrued expenses | 62,624 | |||||
| Total liabilities | 13,954,054 | |||||
| Net Assets: | ||||||
| Paid-in capital | 362,505,568 | |||||
| Accumulated undistributed net investment income | 352,277 | |||||
| Accumulated net realized loss from investment, futures and foreign currency related transactions | (155,957,075 | ) | ||||
| Net unrealized gain on investments, futures and translation of assets and liabilities denominated in foreign currencies | 32,473,112 | |||||
| NET ASSETS | $ | 239,373,882 | ||||
| Net Assets: | ||||||
Institutional | $ | 82,015,215 | ||||
Service | 157,358,667 | |||||
| Total Net Assets | $ | 239,373,882 | ||||
| Shares of beneficial interest outstanding $0.001 par value (unlimited shares authorized): | ||||||
Institutional | 10,117,705 | |||||
Service | 19,387,371 | |||||
| Net asset value, offering and redemption price per share: | ||||||
Institutional | $ | 8.11 | ||||
Service | 8.12 | |||||
| (a) | Includes loaned securities having a market value of $13,166,882. |
GOLDMAN SACHS VARIABLE INSURANCE TRUST STRATEGIC INTERNATIONAL EQUITY FUND
Statement of Operations
For the Fiscal Year Ended December 31, 2009
| Investment income: | ||||||
| Dividends(a) | $ | 5,685,890 | ||||
| Securities lending income — affiliated issuer | 216,903 | |||||
| Interest | 1,283 | |||||
| Total investment income | 5,904,076 | |||||
| Expenses: | ||||||
| Management fees | 1,846,787 | |||||
| Distribution and Service fees — Service Shares | 330,440 | |||||
| Custody and accounting fees | 126,648 | |||||
| Printing fees | 90,532 | |||||
| Professional fees | 85,137 | |||||
| Transfer Agent fees(b) | 41,482 | |||||
| Trustee fees | 16,663 | |||||
| Other | 17,332 | |||||
| Total expenses | 2,555,021 | |||||
| NET INVESTMENT INCOME | 3,349,055 | |||||
| Realized and unrealized gain (loss) from investment, futures and foreign currency related transactions: | ||||||
| Net realized gain (loss) from: | ||||||
Investment transactions — unaffiliated issuers | (17,966,325 | ) | ||||
Securities lending reinvestment vehicle transactions — affiliated issuer | 194,028 | |||||
Futures transactions | 388,710 | |||||
Foreign currency related transactions | 103,994 | |||||
| Net change in unrealized gain (loss) on: | ||||||
Investments — unaffiliated issuers | 68,304,596 | |||||
Securities lending reinvestment vehicle — affiliated issuer | 6,994 | |||||
Futures | 346,895 | |||||
Translation of asset and liabilities denominated in foreign currencies | (8,805 | ) | ||||
| Net realized and unrealized gain from investment, futures and foreign currency related transactions | 51,370,087 | |||||
| NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS | $ | 54,719,142 | ||||
| (a) | Foreign taxes withheld on dividends were $518,374. | |
| (b) | Institutional and Service Shares had Transfer Agent fees of $15,049 and $26,433, respectively. |
GOLDMAN SACHS VARIABLE INSURANCE TRUST STRATEGIC INTERNATIONAL EQUITY FUND
Statements of Changes in Net Assets
| For the Fiscal | For the Fiscal | |||||||||
| Year Ended | Year Ended | |||||||||
| December 31, 2009 | December 31, 2008 | |||||||||
From operations: | ||||||||||
| Net investment income | $ | 3,349,055 | $ | 7,548,785 | ||||||
| Net realized loss from investment, futures and foreign currency related transactions | (17,279,593 | ) | (130,486,653 | ) | ||||||
| Net change in unrealized gain (loss) on investments, futures and translation of assets and liabilities denominated in foreign currencies | 68,649,680 | (37,470,918 | ) | |||||||
Net increase (decrease) in net assets resulting from operations | 54,719,142 | (160,408,786 | ) | |||||||
Distributions to shareholders: | ||||||||||
| From net investment income | ||||||||||
Institutional Shares | (1,367,314 | ) | (3,309,583 | ) | ||||||
Service Shares | (2,291,819 | ) | (4,673,550 | ) | ||||||
| From net realized gains | ||||||||||
Institutional Shares | — | (6,448,599 | ) | |||||||
Service Shares | — | (9,909,643 | ) | |||||||
Total distributions to shareholders | (3,659,133 | ) | (24,341,375 | ) | ||||||
From share transactions: | ||||||||||
| Proceeds from sales of shares | 28,564,731 | 29,908,159 | ||||||||
| Reinvestment of distributions | 3,659,133 | 24,341,375 | ||||||||
| Cost of shares redeemed | (31,894,234 | ) | (44,201,132 | ) | ||||||
Net increase in net assets resulting from share transactions | 329,630 | 10,048,402 | ||||||||
TOTAL INCREASE (DECREASE) | 51,389,639 | (174,701,759 | ) | |||||||
Net assets: | ||||||||||
| Beginning of year | 187,984,243 | 362,686,002 | ||||||||
| End of year | $ | 239,373,882 | $ | 187,984,243 | ||||||
Accumulated undistributed net investment income | $ | 352,277 | $ | 396,050 | ||||||
GOLDMAN SACHS VARIABLE INSURANCE TRUST STRATEGIC INTERNATIONAL EQUITY FUND
Financial Highlights
Selected Data for a Share Outstanding Throughout Each Year
| Income (loss) from | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
| investment operations | Distributions to shareholders | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||
| Net | Ratio of | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||
| Net asset | realized | Net asset | Net assets, | Ratio of | total | Ratio of | ||||||||||||||||||||||||||||||||||||||||||||||||||||
| value, | Net | and | Total from | From net | From net | value, | end of | net expenses | expenses | net investment | Portfolio | |||||||||||||||||||||||||||||||||||||||||||||||
| beginning | investment | unrealized | investment | investment | realized | Total | end of | Total | year | to average | to average | income to | turnover | |||||||||||||||||||||||||||||||||||||||||||||
| Year - Share Class | of year | income(a) | gain (loss) | operations | income | gains | distributions | year | return(b) | (in 000s) | net assets | net assets | average net assets | rate | ||||||||||||||||||||||||||||||||||||||||||||
| FOR THE FISCAL YEARS ENDED DECEMBER 31, | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
| 2009 - Institutional | $ | 6.41 | $ | 0.13 | $ | 1.71 | $ | 1.84 | $ | (0.14 | ) | $ | — | $ | (0.14 | ) | $ | 8.11 | 28.69 | % | $ | 82,015 | 1.07 | % | 1.07 | % | 1.80 | % | 118 | % | ||||||||||||||||||||||||||||
| 2009 - Service | 6.42 | 0.11 | 1.71 | 1.82 | (0.12 | ) | — | (0.12 | ) | 8.12 | 28.37 | 157,359 | 1.32 | 1.32 | 1.51 | 118 | ||||||||||||||||||||||||||||||||||||||||||
| 2008 - Institutional | 13.76 | 0.32 | (c) | (6.69 | ) | (6.37 | ) | (0.33 | ) | (0.65 | ) | (0.98 | ) | 6.41 | (45.87 | ) | 74,149 | 1.12 | 1.12 | 2.95 | (c) | 165 | ||||||||||||||||||||||||||||||||||||
| 2008 - Service | 13.76 | 0.28 | (c) | (6.67 | ) | (6.39 | ) | (0.30 | ) | (0.65 | ) | (0.95 | ) | 6.42 | (46.00 | ) | 113,836 | 1.37 | 1.37 | 2.64 | (c) | 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 | (d) | 1.16 | (d) | 1.30 | (d) | 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 | (d) | 1.41 | (d) | 1.30 | (d) | 134 | ||||||||||||||||||||||||||||||||||||||
| 2006 - Institutional | 12.05 | 0.22 | 2.44 | (e) | 2.66 | (0.22 | ) | — | (0.22 | ) | 14.49 | 22.10 | (f) | 127,795 | 1.15 | 1.16 | 1.64 | 76 | ||||||||||||||||||||||||||||||||||||||||
| 2006 - Service (Commenced January 9, 2006) | 12.71 | 0.22 | 1.78 | (e) | 2.00 | (0.22 | ) | — | (0.22 | ) | 14.49 | 15.74 | (f) | 260,251 | 1.17 | (g) | 1.41 | (g) | 1.68 | (g) | 76 | |||||||||||||||||||||||||||||||||||||
| 2005 - Institutional | 10.62 | 0.09 | 1.38 | 1.47 | (0.04 | ) | — | (0.04 | ) | 12.05 | 13.70 | 109,399 | 1.20 | 1.36 | 0.81 | 56 | ||||||||||||||||||||||||||||||||||||||||||
| (a) | Calculated based on the average shares outstanding methodology. | |
| (b) | Assumes investment at the net asset value at the beginning of the year, reinvestment of all distributions and a complete redemption of the investment at the net asset value at the end of the year. Total returns for periods less than one full year are not annualized. | |
| (c) | Reflects income recognized from a special dividend which amounted to $0.12 per share and 1.12% of average net assets. | |
| (d) | Includes non-recurring expense for a special shareholder meeting which amounted to approximately 0.02% of average net assets. | |
| (e) | 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. | |
| (f) | 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 (e) above. If restated, the performance would have been 21.69% and 15.26% for Institutional and Service Shares, respectively. | |
| (g) | Annualized. |
The accompanying notes are an integral part of these financial statements.
12
GOLDMAN SACHS VARIABLE INSURANCE TRUST STRATEGIC INTERNATIONAL EQUITY FUND
Notes to Financial Statements
December 31, 2009
1. ORGANIZATION
Goldman Sachs Variable Insurance Trust (the “Trust” or “VIT”) is a Delaware statutory trust registered under the Investment Company Act of 1940, as amended (the “Act”), as an open-end management investment company. The Trust includes the Goldman Sachs Strategic International Equity Fund (the “Fund”). The Fund is a diversified portfolio under the Act offering two classes of shares — Institutional and Service. Goldman, Sachs & Co. (“Goldman Sachs” or the “Distributor”) serves as Distributor of the shares of the Fund pursuant to a Distribution Agreement.
Goldman Sachs Asset Management International (“GSAMI”), an affiliate of Goldman Sachs, serves as investment adviser pursuant to a management agreement (the “Agreement”) with the Trust on behalf of the Fund.
2. SIGNIFICANT ACCOUNTING POLICIES
The following is a summary of the significant accounting policies consistently followed by the Fund. The preparation of financial statements in conformity with accounting principles generally accepted in the United States of America (“GAAP”) requires management to make estimates and assumptions that may affect the amounts and disclosures in the financial statements. Actual results could differ from those estimates and assumptions.
A. FASB Financial Accounting Standards Codification — In July 2009, the Financial Accounting Standards Board (“FASB”) launched its “Financial Accounting Standards Codification” (the “Codification”) as the single source of GAAP. While the Codification does not change GAAP, it introduces a new structure to the accounting literature and changes references to accounting standards and other authoritative accounting guidance that have been reflected in the Notes to Financial Statements.
B. Investment Valuation — The investment valuation policy of the Fund is to value investments at market value. Investments in equity securities traded on a foreign securities exchange are valued daily at fair value determined by an independent fair value service (if available) under valuation procedures approved by the trustees consistent with applicable regulatory guidance. The independent fair value service takes into account multiple factors including, but not limited to, movements in the United States (“U.S.”) securities markets, certain depositary receipts, futures contracts and foreign currency exchange rates that have occurred subsequent to the close of the foreign securities exchanges. While the independent fair value service may not take into account market or security specific information, under the valuation procedures, these securities might also be fair valued by GSAMI by taking into consideration market or security specific information as discussed below.
Investments in equity securities and investment companies traded on a U.S. securities exchange or the NASDAQ system are valued daily at their last sale price or official closing price on the principal exchange or system on which they are traded. Investments in equity securities and investment companies traded on a foreign securities exchange for which an independent fair value service cannot provide a quote are valued daily at their last sale price or official closing price on the principal exchange on which they are traded. If no sale occurs, such securities and investment companies are valued at the last bid price for long positions and at the last ask price for short positions. Debt securities for which market quotations are readily available are valued on the basis of quotations furnished by an independent pricing service approved by the trustees or provided by securities dealers. The pricing services may use valuation models or matrix pricing, which consider: (i) yield or price with respect to bonds that are considered comparable in characteristics such as rating, interest rate and maturity date or (ii) quotations from bond dealers to determine current value. If accurate quotations are not readily available, or if GSAMI believes that such quotations do not accurately reflect fair value, the fair value of the Fund’s investments may be determined based on yield equivalents, a pricing matrix or other sources, under valuation procedures established by the trustees. Unlisted equity securities for which market quotations are available are valued at the last sale price on valuation date, or if no sale occurs, at the last bid price. In the absence of market quotations, broker quotes will be utilized or the security will be fair valued. Investments in investment companies (other than those that are exchange traded) are valued at the net asset value per share (“NAV”) on the valuation date. Short-term debt obligations that mature in sixty days or less and that do not exhibit signs of credit deterioration are valued at amortized cost, which approximates market value.
GOLDMAN SACHS VARIABLE INSURANCE TRUST STRATEGIC INTERNATIONAL EQUITY FUND
Notes to Financial Statements (continued)
December 31, 2009
| 2. SIGNIFICANT ACCOUNTING POLICIES (continued) |
GSAMI, consistent with its procedures and applicable regulatory guidance, may make an adjustment to the previous closing prices of either domestic or foreign securities in light of significant events to reflect what it believes to be the fair value of the securities at the time of determining the Fund’s NAV. Significant events that could affect a large number of securities in a particular market may include, but are not limited to: situations relating to one or more single issuers in a market sector; significant fluctuations in U.S. or foreign markets; market dislocations; market disruptions or market closings; equipment failures; natural or man-made disasters or acts of God; armed conflicts; government actions or other developments; as well as the same or similar events which may affect specific issuers or the securities markets even though not tied directly to the securities markets. Other significant events that could relate to a single issuer may include, but are not limited to: corporate actions such as reorganizations, mergers and buy-outs; corporate announcements, including those relating to earnings, products and regulatory news; significant litigation; low trading volume; and trading limits or suspensions.
C. Security and Fund Share Transactions, and Investment Income — Security and Fund share transactions are reflected for financial reporting purposes as of the trade date, which may cause the NAV as stated in the accompanying financial statements to be different than the NAV applied to Fund share transactions. Realized gains and losses on sales of portfolio securities are calculated using the identified cost basis. Dividend income is recognized on the ex-dividend date, net of foreign withholding taxes, if any, which are reduced by any amounts reclaimable by the Fund, where applicable. Interest income is recorded on the basis of interest accrued, premium amortized and discount accreted. In addition, it is the Fund’s policy to accrue for foreign capital gains taxes, if applicable, on certain foreign securities held by the Fund. An estimated foreign capital gains tax is recorded daily on net unrealized gains on these securities and is payable upon the sale of such securities when a gain is realized.
Net investment income (other than class specific expenses) and unrealized and realized gains or losses are allocated daily to each class of shares of the Fund based upon the relative proportion of net assets of each class.
D. Expenses — Expenses incurred by the Trust that do not specifically relate to an individual Fund of the Trust are allocated to the Fund on a straight-line and/or pro-rata basis depending upon the nature of the expense and are accrued daily.
E. Federal Taxes and Distributions to Shareholders — It is the Fund’s policy to comply with the requirements of the Internal Revenue Code of 1986, as amended (the “Code”) applicable to regulated investment companies (mutual funds) and to distribute each year substantially all of its investment company taxable income and capital gains to its shareholders. Accordingly, no federal income tax provisions are required. Distributions to shareholders are recorded on the ex-dividend date. Income and capital gains distributions, if any, are declared and paid annually. Net capital losses are carried forward to future fiscal years and may be used to the extent allowed by the Code to offset any future capital gains. Utilization of capital loss carryforwards will reduce the requirement of future capital gains distributions.
The characterization of distributions to shareholders for financial reporting purposes is determined in accordance with federal income tax rules, which may differ from GAAP. The source of the Fund’s distributions may be shown in the accompanying financial statements as either from net investment income, net realized gain or capital. The Fund’s capital accounts on the Statement of Assets and Liabilities reflect permanent GAAP/tax differences based on the appropriate tax character, but do not reflect temporary differences.
GSAMI has reviewed the Fund’s tax positions for all open tax years (the current and prior three years, as applicable) and has concluded that no provision for income tax is required in the Fund’s financial statements. Such open tax years remain subject to examination and adjustment by tax authorities.
F. Foreign Currency Translations — The books and records of the Fund are accounted for in U.S. dollars. Amounts denominated in foreign currencies are translated into U.S. dollars on the following basis: (i) investment valuations, foreign currency and other assets and liabilities initially expressed in foreign currencies are converted into U.S. dollars based upon 4:00 p.m. Eastern Time exchange rates; and (ii) purchases and sales of foreign investments, income and expenses are converted into U.S. dollars based upon currency exchange rates prevailing on the respective dates of such transactions as of 4:00 p.m. Eastern Time.
GOLDMAN SACHS VARIABLE INSURANCE TRUST STRATEGIC INTERNATIONAL EQUITY FUND
| 2. SIGNIFICANT ACCOUNTING POLICIES (continued) |
Net realized and unrealized gain (loss) on foreign currency transactions represents: (i) foreign exchange gains and losses from the sale and holdings of foreign currencies; (ii) currency gains and losses between trade date and settlement date on investment security transactions and forward exchange contracts; and (iii) gains and losses from the difference between amounts of dividends, interest and foreign withholding taxes recorded and the amounts actually received. The effect of changes in foreign currency exchange rates on equity securities and derivative instruments is included with the net realized and change in unrealized gain (loss) on investments on the Statement of Operations. The effect of changes in foreign currency exchange rates on fixed income securities sold during the period is included with the net realized gain (loss) on foreign currency related transactions, while the effect of changes in foreign currency exchange rates on fixed income securities held at period end is included with the net change in unrealized gain (loss) on investments on the Statement of Operations. Net unrealized foreign exchange gains and losses arising from changes in the value of other assets and liabilities as a result of changes in foreign exchange rates are included as increases and decreases in unrealized gain (loss) on foreign currency related transactions.
G. Futures Contracts — The Fund may purchase or sell futures contracts to hedge against changes in interest rates, securities prices, currency exchange rates, or to seek to increase total return. Futures contracts are valued at the last settlement price, or in the absence of a sale, the last bid price, at the end of each day on the board of trade or exchange upon which they are traded. Upon entering into a futures contract, the Fund deposits cash or securities in an account on behalf of the broker in an amount sufficient to meet the initial margin requirement. Subsequent payments are made or received by the Fund equal to the daily change in the contract value and are recorded as variation margin receivable or payable with a corresponding offset in unrealized gains or losses. The Fund recognizes a realized gain or loss when a contract is closed or expires.
The use of futures contracts involves, to varying degrees, elements of market and counterparty risk which may exceed the amounts recognized in the Statement of Assets and Liabilities. Futures contracts may be illiquid, and exchanges may limit fluctuations in futures contract prices during a single day. Changes in the value of a futures contract may not directly correlate with changes in the value of the underlying securities. These risks may decrease the effectiveness of the Fund’s strategies and potentially result in a loss. The Fund must set aside liquid assets, or engage in other appropriate measures, to cover their obligations under these contracts.
3. AGREEMENTS AND AFFILIATED TRANSACTIONS
A. Management Agreement — Under the Agreement, GSAMI manages the Fund, subject to the general supervision of the trustees.
As compensation for the services rendered pursuant to the Agreement, the assumption of the expenses related thereto and administration of the Fund’s business affairs, including providing facilities, GSAMI is entitled to a management fee computed daily and payable monthly, equal to an annual percentage rate of the Fund’s average daily net assets.
For the fiscal year ended December 31, 2009, contractual management fees with GSAMI were at the following rates:
| 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 December 31, 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 | |||||||||||||||
Effective April 30, 2009, GSAMI contractually reduced its management fee rates for the Fund to those specified above. As a result, the effective management fee rate for the fiscal year ended December 31, 2009 was 0.89%.
B. Distribution Agreement and Service Plan — The Trust, on behalf of the Service Shares of the Fund, has adopted a Distribution and Service Plan (the “Plan”). Under the Plan, Goldman Sachs and/or authorized dealers are entitled to a fee
GOLDMAN SACHS VARIABLE INSURANCE TRUST STRATEGIC INTERNATIONAL EQUITY FUND
Notes to Financial Statements (continued)
December 31, 2009
| 3. AGREEMENTS AND AFFILIATED TRANSACTIONS (continued) |
accrued daily and paid monthly for distribution services equal to, on an annual basis, 0.25% of the Fund’s average daily net assets attributable to Service Shares.
C. Transfer Agency Agreement — Goldman Sachs also serves as the transfer agent of the Fund for a fee pursuant to a Transfer Agency Agreement. The fees charged for such transfer agency services are calculated daily and payable monthly at an annual rate of 0.02% of the average daily net assets for Institutional and Service Shares.
D. Other Agreements — GSAM has voluntarily agreed to limit certain “Other Expenses” (excluding management fees, distribution and service fees, transfer agent fees and expenses, taxes, interest, brokerage fees and litigation, indemnification, shareholder meetings and other extraordinary expenses, exclusive of any custody and transfer agent fee credit reductions) to the extent such expenses exceed, on an annual basis, 0.164% of the average daily net assets of the Fund. Such expense reimbursements, if any, are computed daily and paid monthly. In addition, the Fund is not obligated to reimburse GSAMI for prior fiscal year expense reimbursements, if any. This expense limitation may be modified or terminated at any time at the option of GSAMI. For the fiscal year ended December 31, 2009, GSAMI did not make any reimbursements to the Fund.
As of December 31, 2009, amounts owed to affiliates were approximately $173,000, $33,400, $4,100 and $2,500 for management, distribution and service, transfer agent fees and over reimbursement, respectively.
E. Line of Credit Facility — The Fund participates in a $660,000,000 committed, unsecured revolving line of credit facility (the “facility”) together with other funds of the Trust and registered investment companies having management agreements with GSAMI or its affiliates. Pursuant to the terms of the facility, the Fund and other borrowers may increase the credit amount by an additional $340,000,000, for a total of up to $1 billion. The facility is to be used solely for temporary or emergency purposes. The interest rate on borrowings is based on the federal funds rate. This facility also requires a fee to be paid by the Fund based on the amount of the commitment that has not been utilized. For the fiscal year ended December 31, 2009, the Fund did not have any borrowings under the facility. Prior to May 12, 2009, the amount available through the facility was $700,000,000.
F. Other Transactions with Affiliates — For the fiscal year ended December 31, 2009, Goldman Sachs earned approximately $7,000 in brokerage commissions from portfolio transactions, including futures transactions executed with Goldman Sachs as the Futures Commission Merchant, on behalf of the Fund.
4. FAIR VALUE OF INVESTMENTS
The fair value of a financial instrument is the amount that would be received to sell an asset or paid to transfer a liability in an orderly transaction between market participants at the measurement date (i.e., the exit price). GAAP establishes a fair value hierarchy that prioritizes the inputs to valuation techniques used to measure fair value. The hierarchy gives the highest priority to unadjusted quoted prices in active markets for identical assets or liabilities (Level 1 measurements) and the lowest priority to unobservable inputs (Level 3 measurements). The three levels of the fair value hierarchy are described below:
Level 1 — Unadjusted quoted prices in active markets that are accessible at the measurement date for identical, unrestricted assets or liabilities;
Level 2 — Quoted prices in markets that are not active or financial instruments for which all significant inputs are observable, either directly or indirectly;
Level 3 — Prices or valuations that require inputs that are both significant to the fair value measurement and unobservable.
GOLDMAN SACHS VARIABLE INSURANCE TRUST STRATEGIC INTERNATIONAL EQUITY FUND
| 4. FAIR VALUE OF INVESTMENTS (continued) |
The following is a summary of the Fund’s investments categorized in the fair value hierarchy:
| Level 1 | Level 2 | Level 3 | ||||||||||
Assets | ||||||||||||
| Common Stock and/or Other Equity Investments | $ | 12,887,859 | $ | 212,777,550 | (a) | $ | — | |||||
| Securities Lending Reinvestment Vehicle | — | 13,790,384 | — | |||||||||
| Short-term Investments | 13,502,384 | — | — | |||||||||
| Derivatives | 376,113 | — | — | |||||||||
| Total | $ | 26,766,356 | $ | 226,567,934 | $ | — | ||||||
| (a) | To adjust for the time difference between local market close and the calculation of net asset value, the Fund utilizes fair value model prices for international equities provided by an independent service resulting in a Level 2 classification. |
5. INVESTMENTS IN DERIVATIVES
The Fund may make investments in derivative instruments, including, but not limited to, options, futures, swaps and other derivatives relating to foreign currency transactions. A derivative is an instrument whose value is derived from underlying assets, indices, reference rates or a combination of these factors. Derivative instruments may be privately negotiated contracts (often referred to as over the counter (“OTC”) derivatives) or they may be listed and traded on an exchange. Derivative contracts may involve future commitments to purchase or sell financial instruments or commodities at specified terms on a specified date, or to exchange interest payment streams or currencies based on a notional or contractual amount. Derivative instruments may involve a high degree of financial risk. The use of derivatives also involves the risk of loss if the investment adviser is incorrect in its expectation of the timing or level of fluctuations in securities prices, interest rates or currency prices. Investments in derivative instruments also include the risk of default by the counterparty, the risk that the investment may not be liquid and the risk that a small movement in the price of the underlying security or benchmark may result in a disproportionately large movement, unfavorable or favorable, in the price of the derivative instrument.
GAAP requires enhanced disclosures about the Fund’s derivatives and hedging activities. The following table sets forth the gross value of the Fund’s derivative contracts for trading activities by certain risk types as of December 31, 2009. The values in the table below exclude the effects of cash received or posted pursuant to derivative contracts, and therefore are not representative of the Fund’s net exposure.
| Statement of | Average | |||||||||||
| Assets and Liabilities | Derivative | Number of | ||||||||||
| Risk | Location | Assets | Contracts(b) | |||||||||
| Equity | Unrealized gain on futures(a) | $ | 376,113 | 78 | ||||||||
| (a) | Includes cumulative appreciation (depreciation) of futures contracts described in the Additional Investment Information section of the Schedule of Investments. The monthly variation margin is reported within the Statement of Assets and Liabilities. |
| (b) | Average number of contracts is based on the average of quarter end balances for the period ended December 31, 2009. |
The following table sets forth by certain risk types the Fund’s gains (losses) related to derivative activities for the fiscal year ended December 31, 2009. These gains (losses) should be considered in the context that derivative contracts may have been executed to economically hedge securities and accordingly, gains or losses on derivative contracts may offset losses or
GOLDMAN SACHS VARIABLE INSURANCE TRUST STRATEGIC INTERNATIONAL EQUITY FUND
Notes to Financial Statements (continued)
December 31, 2009
| 5. INVESTMENTS IN DERIVATIVES (continued) |
gains attributable to securities. These gains (losses) are included in “Net realized gain (loss)” or “Net change in unrealized gain (loss)” on the Statement of Operations:
| Net Change in | ||||||||||||
| Net Realized Gain | Unrealized Gain | |||||||||||
| Risk | Statement of Operations Location | (Loss) | (Loss) | |||||||||
| Equity | Net realized gain (loss) from futures transactions/ | |||||||||||
| Net change in unrealized gain (loss) on futures | $ | 388,710 | $ | 346,895 | ||||||||
6. PORTFOLIO SECURITIES TRANSACTIONS
The cost of purchases and proceeds from sales and maturities of long-term securities for the fiscal year ended December 31, 2009, were $230,214,554 and $234,129,756, respectively.
7. SECURITIES LENDING
Pursuant to exemptive relief granted by the Securities and Exchange Commission and the terms and conditions contained therein, the Fund may lend its securities through a securities lending agent, Goldman Sachs Agency Lending (“GSAL”), a wholly-owned subsidiary of Goldman Sachs, to certain qualified borrowers including Goldman Sachs and affiliates. In accordance with the Fund’s securities lending procedures, the Fund receives cash collateral at least equal to the market value of the securities on loan. The market value of the loaned securities is determined at the close of business of the Fund at their last sale price or official closing price on the principal exchange or system on which they are traded, and any additional required collateral is delivered to the Fund on the next business day. As with other extensions of credit, the Fund may experience a delay in the recovery of its securities or incur a loss should the borrower of the securities breach its agreement with the Fund or become insolvent at a time when the collateral is insufficient to cover the cost of repurchasing securities on loan.
The Fund invests the cash collateral received in connection with securities lending transactions in the Enhanced Portfolio of Boston Global Investment Trust (“Enhanced Portfolio”), a Delaware statutory trust. The Enhanced Portfolio, deemed an affiliate of the Trust, is exempt from registration under Section 3(c)(7) of the Act and is managed by Goldman Sachs Asset Management, L.P. (“GSAM”), for which GSAM may receive an investment advisory fee of up to 0.10% on an annualized basis of the average daily net assets of the Enhanced Portfolio. The Enhanced Portfolio invests primarily in short-term investments, but is not a “money market fund” subject to the requirements of Rule 2a-7 of the Act. The Fund’s investment of cash collateral in the Enhanced Portfolio is subject to a net asset value that may fall or rise due to market and credit conditions.
Both the Fund and GSAL receive compensation relating to the lending of the Fund’s securities. The amount earned by the Fund for the fiscal year ended December 31, 2009, is reported as securities lending income. A portion of this amount, $30,138, represents compensation earned by the Fund from lending its securities to Goldman Sachs. For the fiscal year ended December 31, 2009, GSAL earned $24,091 in fees as securities lending agent. The amount payable to Goldman Sachs upon return of securities loaned as of December 31, 2009 was $515,000.
The following table provides information about the Fund’s investment in the Enhanced Portfolio for the fiscal year ended December 31, 2009 (in thousands):
| Number of | Number of | |||||||||||||||
| Shares Held Beginning | Shares Held End of | Value at End | ||||||||||||||
| of Fiscal Year | Shares Bought | Shares Sold | Fiscal Year | of Fiscal Year | ||||||||||||
| 3,751 | 191,504 | (181,465 | ) | 13,790 | $ | 13,790 | ||||||||||
GOLDMAN SACHS VARIABLE INSURANCE TRUST STRATEGIC INTERNATIONAL EQUITY FUND
8. TAX INFORMATION
The tax character of distributions paid during the fiscal years ended December 31, 2008 and December 31, 2009 was as follows:
| 2008 | 2009 | |||||||
| Distributions paid from: | ||||||||
| Ordinary income | $ | 16,779,631 | $ | 3,659,133 | ||||
| Net long-term capital gains | 7,561,744 | — | ||||||
| Total taxable distributions | $ | 24,341,375 | $ | 3,659,133 | ||||
As of December 31, 2009, the components of accumulated earnings (losses) on a tax basis were as follows:
| Undistributed ordinary income — net | $ | 543,933 | ||
Capital loss carryforward:1 | ||||
| Expiring 2010 | $ | (6,928,702 | ) | |
| Expiring 2011 | (609,034 | ) | ||
| Expiring 2016 | (74,996,351 | ) | ||
| Expiring 2017 | (63,551,844 | ) | ||
| Total capital loss carryforward | $ | (146,085,931 | ) | |
| Timing differences (post-October losses) | (2,825,407 | ) | ||
| Unrealized gains — net | 25,235,719 | |||
| Total accumulated losses — net | $ | (123,131,686 | ) | |
| 1 | Expiration occurs on December 31 of the year indicated. Utilization of these loses may be substantially limited under the Code. The Fund had capital loss carryforwards of approximately $2,073,000 that expired in the current fiscal year. |
As of December 31, 2009, the Fund’s aggregate security unrealized gains and losses based on cost for U.S. federal income tax purposes was as follows:
| Tax cost | $ | 228,101,129 | ||
| Gross unrealized gain | 28,532,943 | |||
| Gross unrealized loss | (3,675,895 | ) | ||
| Net unrealized security gain | $ | 24,857,048 | ||
| Net unrealized gain on other investments | 378,671 | |||
| Net unrealized gain | $ | 25,235,719 | ||
The difference between GAAP-basis and tax-basis unrealized gains (losses) is attributable primarily to wash sales and differences related to the tax treatment of passive foreign investment company and partnership investments.
In order to present certain components of the Fund’s capital accounts on a tax basis, the Fund has reclassified $1,806,606 and $266,305 to accumulated net realized loss from investment transactions and accumulated undistributed net investment income, respectively, from paid-in capital. These reclassifications have no impact on the net asset value of the Fund and result primarily from expired capital loss carryforwards, the differences in the tax treatment of foreign currency transactions and passive foreign investment company investments.
GOLDMAN SACHS VARIABLE INSURANCE TRUST STRATEGIC INTERNATIONAL EQUITY FUND
Notes to Financial Statements (continued)
December 31, 2009
9. OTHER RISKS
Foreign Custody Risk — A Fund that invests in foreign securities may hold such securities and foreign currency with foreign banks, agents, and securities depositories (each a “Foreign Custodian”) appointed by the Fund’s custodian. Investments in emerging markets may be subject to greater custody risks than investments in more developed markets. Custody services in emerging market countries are often undeveloped and may be less regulated than in more developed countries, and thus may not afford the same level of investor protection as would apply in developed countries. In some countries, Foreign Custodians may be subject to little or no regulatory oversight or independent evaluation of their operations. Further, the laws of certain countries may place limitations on a Fund’s ability to recover its assets if a Foreign Custodian enters into bankruptcy.
Market and Credit Risks — In the normal course of business, the Fund trades financial instruments and enters into financial transactions where risk of potential loss exists due to changes in the market (market risk). Additionally, the Fund may also be exposed to credit risk in the event that an issuer fails to perform or that an institution or entity with which the Fund has unsettled or open transaction defaults.
Investing in foreign markets may involve special risks and considerations not typically associated with investing in the U.S. These risks include revaluation of currencies, high rates of inflation, repatriation restrictions on income and capital, and adverse political and economic developments. Moreover, securities issued in these markets may be less liquid, be subject to government ownership controls, have delayed settlements and their prices may be more volatile than those of comparable securities in the U.S.
Risks of Large Shareholder Redemptions — Certain participating insurance companies, accounts, or Goldman Sachs affiliates may from time to time own (beneficially or of record) or control a significant percentage of the Fund’s shares. Redemptions by these participating insurance companies or accounts in the Fund may impact the Fund’s liquidity and NAV. These redemptions may also force the Fund to sell securities, which may increase the Fund’s brokerage costs.
10. INDEMNIFICATIONS
Under the Trust’s organizational documents, its trustees, officers, employees and agents are indemnified, to the extent permitted by the Act, against certain liabilities that may arise out of performance of their duties to the Fund. Additionally, in the course of business, the Fund enters into contracts that contain a variety of indemnification clauses. The Fund’s maximum exposure under these arrangements is unknown, as this would involve future claims that may be made against the Fund that have not yet occurred. However, GSAMI believes the risk of loss under these arrangements to be remote.
11. OTHER MATTERS
New Accounting Pronouncement — In May 2009, the FASB issued FASB Accounting Standards Codification (“ASC”) 855 “Subsequent Events”. This standard requires disclosure in the financial statements to reflect the effects of subsequent events that provide additional information on conditions about the financial statements as of the balance sheet date (recognized subsequent events) and disclosure of subsequent events that provide additional information about conditions after the balance sheet date if the financial statements would otherwise be misleading (unrecognized subsequent events). ASC 855 is effective for interim and annual financial statements issued for fiscal years ending after June 15, 2009. For purposes of inclusion in the financial statements, GSAMI has concluded that subsequent events after the balance sheet date have been evaluated through February 16, 2010, the date the financial statements were issued.
GOLDMAN SACHS VARIABLE INSURANCE TRUST STRATEGIC INTERNATIONAL EQUITY FUND
12. SUMMARY OF SHARE TRANSACTIONS
Share activity is as follows:
| For the Fiscal Year Ended | For the Fiscal Year Ended | |||||||||||||||
| December 31, 2009 | December 31, 2008 | |||||||||||||||
| Shares | Dollars | Shares | Dollars | |||||||||||||
Institutional Shares | ||||||||||||||||
| Shares sold | 234,309 | $ | 1,485,598 | 1,115,703 | $ | 12,353,890 | ||||||||||
| Reinvestment of distributions | 170,701 | 1,367,314 | 1,597,083 | 9,758,182 | ||||||||||||
| Shares redeemed | (1,856,208 | ) | (12,941,114 | ) | (1,084,971 | ) | (10,876,786 | ) | ||||||||
| (1,451,198 | ) | (10,088,202 | ) | 1,627,815 | 11,235,286 | |||||||||||
Service Shares | ||||||||||||||||
| Shares sold | 4,165,773 | 27,079,133 | 2,062,515 | 17,554,269 | ||||||||||||
| Reinvestment of distributions | 285,763 | 2,291,819 | 2,382,870 | 14,583,193 | ||||||||||||
| Shares redeemed | (2,795,956 | ) | (18,953,120 | ) | (3,130,455 | ) | (33,324,346 | ) | ||||||||
| 1,655,580 | 10,417,832 | 1,314,930 | (1,186,884 | ) | ||||||||||||
NET INCREASE | 204,382 | $ | 329,630 | 2,942,745 | $ | 10,048,402 | ||||||||||
Report of Independent Registered Public Accounting Firm
To the Board of Trustees and Shareholders of Goldman Sachs Variable Insurance Trust — Goldman Sachs Strategic International Equity Fund:
In our opinion, the accompanying statement of assets and liabilities, including the schedule of investments, and the related statements of operations and of changes in net assets and the financial highlights present fairly, in all material respects, the financial position of Goldman Sachs Strategic International Equity Fund (the “Fund”) at December 31, 2009, the results of its operations for the year then ended, the changes in its net assets for each of the two years in the period then ended and the financial highlights for the periods indicated, in conformity with accounting principles generally accepted in the United States of America. These financial statements and financial highlights (hereafter referred to as “financial statements”) are the responsibility of the Fund’s management. Our responsibility is to express an opinion on these financial statements based on our audit. We conducted our audit of these financial statements in accordance with the standards of the Public Company Accounting Oversight Board (United States). Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement. An audit includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements, assessing the accounting principles used and significant estimates made by management, and evaluating the overall financial statement presentation. We believe that our audit, which included confirmation of securities at December 31, 2009 by correspondence with the custodian, brokers, and transfer agent, provides a reasonable basis for our opinion. The financial highlights of the Fund for the periods ended December 31, 2006 and prior were audited by another Independent Registered Public Accounting Firm whose report dated February 14, 2007 expressed an unqualified opinion on those financial highlights.
PricewaterhouseCoopers LLP
Boston, Massachusetts
February 16, 2010
GOLDMAN SACHS VARIABLE INSURANCE TRUST STRATEGIC INTERNATIONAL EQUITY FUND
Fund Expenses — Six Month Period Ended December 31, 2009 (Unaudited)
As a shareholder of the Institutional or Service Shares of the Fund, you incur ongoing costs, including management fees, distribution and service (12b-1) fees (with respect to Service Shares) and other Fund expenses. This example is intended to help you understand your ongoing costs (in dollars) of investing in the Institutional Shares and Service Shares of the Fund and to compare these costs with the ongoing costs of investing in other mutual funds.
The example is based on an investment of $1,000 invested at the beginning of the period and held for the entire period from July 1, 2009 through December 31, 2009.
Actual Expenses — The first line under each share class in the table below provides information about actual account values and actual expenses. You may use the information in this line, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000=8.6), then multiply the result by the number in the first line under the heading entitled “Expenses Paid” to estimate the expenses you paid on your account during this period.
Hypothetical Example for Comparison Purposes — The second line under each share class in the table below provides information about hypothetical account values and hypothetical expenses based on the Fund’s actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Fund’s actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Fund and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds.
Please note that the expenses shown in the table are meant to highlight your ongoing costs only. As a shareholder of the Fund, you do not incur any transaction costs, such as sales charges, redemption fees, or exchange fees, but shareholders of other funds may incur such costs. The second line of the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds whose shareholders may incur transaction costs.
| Expenses Paid | |||||||||||||||
| for the | |||||||||||||||
| Beginning | Ending | 6 Months | |||||||||||||
| Account Value | Account Value | Ended | |||||||||||||
| Share Class | 7/01/09 | 12/31/09 | 12/31/09* | ||||||||||||
Institutional | |||||||||||||||
| Actual | $ | 1,000 | $ | 1,200.70 | $ | 5.99 | |||||||||
| Hypothetical 5% return | 1,000 | 1,019.76 | + | 5.50 | |||||||||||
Service | |||||||||||||||
| Actual | 1,000 | 1,199.60 | 7.32 | ||||||||||||
| Hypothetical 5% return | 1,000 | 1,018.55 | + | 6.72 | |||||||||||
| * | 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 December 31, 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 1.07% and 1.32% 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. |
GOLDMAN SACHS VARIABLE INSURANCE TRUST STRATEGIC INTERNATIONAL EQUITY FUND
Trustees and Officers (Unaudited)
Independent Trustees
| Number of | ||||||||||
| Term of | Portfolios in | |||||||||
| Office and | Fund Complex | Other | ||||||||
| Name, | Position(s) Held | Length of | Principal Occupation(s) | Overseen by | Directorships | |||||
| Address and Age1 | with the Trust | Time Served2 | During Past 5 Years | Trustee3 | Held by Trustee4 | |||||
| Ashok N. Bakhru Age: 67 | Chairman of the Board of Trustees | Since 1991 | President, ANB Associates (July 1994-March 1996 and November 1998-Present); Director, Apollo Investment Corporation (a business development company) (October 2008-Present); Executive Vice President—Finance and Administration and Chief Financial Officer and Director, Coty Inc. (manufacturer of fragrances and cosmetics) (April 1996-November 1998); Director of Arkwright Mutual Insurance Company (1984-1999); Trustee of International House of Philadelphia (program center and residential community for students and professional trainees from the United States and foreign countries) (1989-2004); Member of Cornell University Council (1992-2004 and 2006-Present); Trustee of the Walnut Street Theater (1992-2004); Trustee, Scholarship America (1998-2005); Trustee, Institute for Higher Education Policy (2003-2008); Director, Private Equity Investors—III and IV (November 1998-2007), and Equity-Limited Investors II (April 2002-2007); and Chairman, Lenders Service Inc. (provider of mortgage lending service s) (2000-2003). Chairman of the Board of Trustees—Goldman Sachs Mutual Fund Complex. | 96 | Apollo Investment Corporation (a business development company) | |||||
| John P. Coblentz, Jr. Age: 68 | Trustee | Since 2003 | Partner, Deloitte & Touche LLP (June 1975-May 2003); Director, Emerging Markets Group, Ltd. (2004-2006); and Director, Elderhostel, Inc. (2006-Present). Trustee—Goldman Sachs Mutual Fund Complex. | 96 | None | |||||
| Diana M. Daniels Age: 60 | Trustee | Since 2007 | Ms. Daniels is retired (since January 2007). Formerly, she was Vice President, General Counsel and Secretary, The Washington Post Company (1991-2006). Ms. Daniels is Chairman of the Executive Committee, Cornell University (2006-Present); Member, Advisory Board, Psychology Without Borders (international humanitarian aid organization) (since 2007), and former Member of the Legal Advisory Board, New York Stock Exchange (2003-2006) and of the Corporate Advisory Board, Standish Mellon Management Advisors (2006-2007). Trustee—Goldman Sachs Mutual Fund Complex. | 96 | None | |||||
GOLDMAN SACHS VARIABLE INSURANCE TRUST STRATEGIC INTERNATIONAL EQUITY FUND
Trustees and Officers (Unaudited) (continued)
Independent Trustees
| Number of | ||||||||||
| Term of | Portfolios in | |||||||||
| Office and | Fund Complex | Other | ||||||||
| Name, | Position(s) Held | Length of | Principal Occupation(s) | Overseen by | Directorships | |||||
| Address and Age1 | with the Trust | Time Served2 | During Past 5 Years | Trustee3 | Held by Trustee4 | |||||
| Patrick T. Harker Age: 51 | Trustee | Since 2000 | President, University of Delaware (July 2007-Present); Dean and Reliance Professor of Operations and Information Management, The Wharton School, University of Pennsylvania (February 2000-June 2007); Interim and Deputy Dean, The Wharton School, University of Pennsylvania (July 1999-January 2000); and Professor and Chairman of Department of Operations and Information Management, The Wharton School, University of Pennsylvania (July 1997-August 2000). Trustee—Goldman Sachs Mutual Fund Complex. | 96 | Pepco Holdings, Inc. (an energy delivery company) | |||||
| Jessica Palmer Age: 60 | Trustee | Since 2007 | Consultant, Citigroup Human Resources Department (2007-2008); Managing Director, Citigroup Corporate and Investment Banking (previously, Salomon Smith Barney/Salomon Brothers) (1984-2006). Ms. Palmer is a Member of the Board of Trustees of Indian Mountain School (private elementary and secondary school) (2004-Present). Trustee—Goldman Sachs Mutual Fund Complex. | 96 | None | |||||
| Richard P. Strubel Age: 70 | Trustee | Since 1987 | Director, Cardean Learning Group (provider of educational services via the internet) (2003-2008); President, COO and Director, Cardean Learning Group (1999-2003); Director, Cantilever Technologies, Inc. (a private software company) (1999-2005); Audit Committee Chairman, The University of Chicago (2006-Present); Trustee, The University of Chicago (1987-Present); and Managing Director, Tandem Partners, Inc. (management services firm) (1990-1999). Trustee—Goldman Sachs Mutual Fund Complex. | 96 | Gildan Activewear Inc. (a clothing marketing and manufacturing company); The Northern Trust Mutual Fund Complex (58 Portfolios) (Chairman of the Board of Trustees). | |||||
GOLDMAN SACHS VARIABLE INSURANCE TRUST STRATEGIC INTERNATIONAL EQUITY FUND
Trustees and Officers (Unaudited) (continued)
Interested Trustees
| Number of | ||||||||||
| Term of | Portfolios in | |||||||||
| Office and | Fund Complex | Other | ||||||||
| Name, | Position(s) Held | Length of | Principal Occupation(s) | Overseen by | Directorships | |||||
| Address and Age1 | with the Trust | Time Served2 | During Past 5 Years | Trustee3 | Held by Trustee4 | |||||
| James A. McNamara* Age: 47 | President and Trustee | Since 2007 | Managing Director, Goldman Sachs (December 1998-Present); Director of Institutional Fund Sales, GSAM (April 1998-December 2000); and Senior Vice President and Manager, Dreyfus Institutional Service Corporation (January 1993-April 1998). President—Goldman Sachs Mutual Fund Complex (November 2007-Present); Senior Vice President—Goldman Sachs Mutual Fund Complex (May 2007-November 2007); and Vice President—Goldman Sachs Mutual Fund Complex (2001-2007). Trustee—Goldman Sachs Mutual Fund Complex (since November 2007 and December 2002-May 2004). | 96 | None | |||||
| Alan A. Shuch* Age: 60 | Trustee | Since 1990 | Advisory Director—GSAM (May 1999-Present); Consultant to GSAM (December 1994-May 1999); and Limited Partner, Goldman Sachs (December 1994-May 1999). Trustee—Goldman Sachs Mutual Fund Complex. | 96 | None | |||||
| * | These persons are considered to be “Interested Trustees” because they hold positions with Goldman Sachs and own securities issued by The Goldman Sachs Group, Inc. Each Interested Trustee holds comparable positions with certain other companies of which Goldman Sachs, GSAM or an affiliate thereof is the investment adviser, administrator and/or distributor. | |
| 1 | Each Trustee may be contacted by writing to the Trustee, c/o Goldman Sachs, One New York Plaza, 37th Floor, New York, New York, 10004, Attn: Peter V. Bonanno. | |
| 2 | Each Trustee holds office for an indefinite term until the earliest of: (a) the election of his or her successor; (b) the date the Trustee resigns or is removed by the Board of Trustees or shareholders, in accordance with the Trust’s Declaration of Trust; (c) the conclusion of the first Board meeting held subsequent to the day the Trustee attains the age of 72 years (in accordance with the current resolutions of the Board of Trustees, which may be changed by the Trustees without shareholder vote); or (d) the termination of the Trust. | |
| 3 | The Goldman Sachs Mutual Fund Complex consists of the Trust, Goldman Sachs Municipal Opportunity Fund, Goldman Sachs Credit Strategies Fund, and Goldman Sachs Trust. As of December 31, 2009, the Trust consisted of 11 portfolios, Goldman Sachs Trust consisted of 83 portfolios (of which 82 offered shares to the public) and the Goldman Sachs Municipal Opportunity Fund did not offer shares to the public. | |
| 4 | This column includes only directorships of companies required to report to the SEC under the Securities Exchange Act of 1934 (i.e., “public companies”) or other investment companies registered under the Act. |
Additional information about the Trustees is available in the Fund’s Statement of Additional Information which can be obtained from Goldman Sachs free of charge by calling this toll-free number (in the United States of America): 1-800-292-4726.
GOLDMAN SACHS VARIABLE INSURANCE TRUST STRATEGIC INTERNATIONAL EQUITY FUND
Trustees and Officers (Unaudited) (continued)
Officers of the Trust*
| Term of | ||||||
| Office and | ||||||
| Position(s) Held | Length of | |||||
| Name, Address and Age | With the Trust | Time Served1 | Principal Occupation(s) During Past 5 Years | |||
| James A. McNamara 32 Old Slip New York, NY 10005 Age: 47 | President and Trustee | Since 2007 | Managing Director, Goldman Sachs (December 1998-Present); Director of Institutional Fund Sales, GSAM (April 1998-December 2000); and Senior Vice President and Manager, Dreyfus Institutional Service Corporation (January 1993-April 1998). President—Goldman Sachs Mutual Fund Complex (November 2007-Present); Senior Vice President—Goldman Sachs Mutual Fund Complex (May 2007-November 2007); and Vice President—Goldman Sachs Mutual Fund Complex (2001-2007). Trustee—Goldman Sachs Mutual Fund Complex (since November 2007 and December 2002-May 2004). | |||
| George F. Travers 30 Hudson Street Jersey City, NJ 07032 Age: 42 | Senior Vice President and Principal Financial Officer | Since 2009 | Managing Director, Goldman Sachs (2007-present); Managing Director, UBS Ag (2005-2007); and Partner, Deloitte & Touche LLP (1990-2005, partner from 2000-2005) Senior Vice President and Principal Financial Officer—Goldman Sachs Mutual Fund Complex. | |||
| Peter V. Bonanno One New York Plaza New York, NY 10004 Age: 42 | Secretary | Since 2003 | Managing Director, Goldman Sachs (December 2006-Present); Associate General Counsel, Goldman Sachs (2002-Present); Vice President, Goldman Sachs (1999-2006); and Assistant General Counsel, Goldman Sachs (1999-2002). Secretary—Goldman Sachs Mutual Fund Complex (2006-Present); and Assistant Secretary—Goldman Sachs Mutual Fund Complex (2003-2006). | |||
| Scott M. McHugh 32 Old Slip New York, NY 10005 Age: 38 | Treasurer and Senior Vice President | Since 2009 | Vice President, Goldman Sachs (February 2007-Present); Assistant Treasurer of certain mutual funds administered by DWS Scudder (2005-2007); and Director (2005-2007), Vice President (2000-2005), Assistant Vice President (1998-2000), Deutsche Asset Management or its predecessor (1998-2007). Treasurer—Goldman Sachs Mutual Fund Complex (October 2009-Present); Senior Vice President—Goldman Sachs Mutual Fund Complex (November 2009-Present); and Assistant Treasurer—Goldman Sachs Mutual Fund Complex (May 2007-October 2009). | |||
| 1 | Officers hold office at the pleasure of the Board of Trustees or until their successors are duly elected and qualified. Each officer holds comparable positions with certain other companies of which Goldman Sachs, GSAM or an affiliate thereof is the investment adviser, administrator and/or distributor. | |
| * | Represents a partial list of officers of the Trust. Additional information about all the officers is available in the Fund’s Statement of Additional Information which can be obtained from Goldman Sachs free of charge by calling this toll-free number (in the United States): 1-800-292-4726. |
GOLDMAN SACHS VARIABLE INSURANCE TRUST STRATEGIC INTERNATIONAL EQUITY FUND
Goldman Sachs Variable Insurance Trust — Tax Information (Unaudited)
For the 2009 tax year, the Goldman Sachs Strategic International Equity Fund has elected to pass through a credit for taxes paid to foreign jurisdictions. The total amount of income received by the Goldman Sachs Strategic International Equity Fund from sources within foreign countries and possessions of the United States was $0.0884 per share, all of which is attributable to qualified passive income. The percentage of net investment income dividends paid by the Fund during the year ended December 31, 2009 from foreign sources was 62.21%. The total amount of foreign taxes paid by the Fund was $0.0087 per share.
| 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 George F. Travers, Principal Financial Officer Peter V. Bonanno, Secretary Scott M. McHugh, Treasurer | |
| GOLDMAN, SACHS & CO. Distributor and Transfer Agent | ||
| GOLDMAN SACHS ASSET MANAGEMENT INTERNATIONAL Investment Adviser Christchurch Court, 10-15 Newgate Street London, EC1A 7HD, England, United Kingdom | ||
| Visit our Web site at www.goldmansachsfunds.com to obtain the most recent month-end returns. | ||
| A prospectus for the Fund containing more complete information may be obtained from your authorized dealer or from Goldman, Sachs & Co. by calling (retail — 1-800-526-7384) (institutional — 1-800-621-2550). Please consider a fund’s objectives, risks, and charges and expenses, and read the prospectus carefully before investing. The prospectus contains this and other information about the Fund. | ||
| The 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. When available, the Fund’s Forms N-Q may be reviewed and copied at the SEC’s Public Reference Room in Washington, D.C. and information on the operation of the Public Reference Room may also be obtained by calling 1-800-SEC-0330. 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 for the Fund. Please consider the 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 2010 Goldman, Sachs & Co. All rights reserved. | ||
| VITINTLAR10/32203.MF.TMPL/02-10 | ||
Goldman
Sachs Variable Insurance Trust
Structured Small Cap Equity Fund
Annual Report
December 31, 2009
|
GOLDMAN SACHS VARIABLE INSURANCE TRUST STRUCTURED SMALL CAP EQUITY FUND
INVESTMENT OBJECTIVE
The Fund seeks long-term growth of capital. The Fund seeks this objective through a broadly diversified portfolio of equity investments in U.S. issuers.
Portfolio Management Discussion and Analysis
Below, the Goldman Sachs Quantitative Investment Strategies Team discusses the Fund’s performance and positioning for the twelve-months ended December 31, 2009.
How did the Goldman Sachs Structured Small Cap Equity Fund (the “Fund”) perform during the annual period ended December 31, 2009 (the “Reporting Period”)?
During the Reporting Period, the Fund’s Institutional and Service Shares generated average annual total returns of 27.67% and 27.26%, respectively. These returns compare to the 27.17% average annual total return of the Fund’s benchmark, the Russell 2000 Index (with dividends reinvested) (the “Russell Index”) during the same time period.
What economic and market factors most influenced the equity markets as a whole during the Reporting Period?
The performance of the U.S. equity markets can be divided into two distinct portions during the Reporting Period. Through early March 2009, the U.S. equity markets were characterized by negativity and soaring volatility, as the equity markets reacted to a litany of bad economic news. Investor concerns were fostered by rising unemployment and a still-fragile housing market as well as by continued financial disruptions. Underlying this uncertainty was the fact that the U.S. economy had moved into a recession, as evidenced by waning consumer spending and a dimming export sector, which, until recently, had been a rare bright spot in the U.S. economic picture. Global financial institutions cut back lending as other major financial institutions dealt with the after-shocks of bankruptcy, merger or government take-over. Together, these factors fostered heightened investor risk aversion and fear. The result was that investors sold off all types of equity assets in a flight to the relative safety of U.S. Treasuries.
Then, economic news became less bad and “green shoots” even began to appear in early March. Investor sentiment improved. The Treasury Department finally revealed details on key parts of its financial rescue plans, and investors recognized that the government was not interested in nationalizing companies that could be viable as privately-owned enterprises. Gross Domestic Product (“GDP”) declined less than expected in the second quarter of 2009, and U.S. equities rallied strongly. Although the equity markets stalled somewhat in June, the rally resumed with vigor again in July, such that most of the major U.S. equity indices enjoyed gains for seven months in a row through September 2009. October saw choppy equity market results, as economic data remained mixed and investors questioned how long one of the biggest equity market recoveries ever could last. November and December then saw a rebound in the equity markets. In all, given the astonishing rally since early March, both the Dow Jones Industrial Index and the S&P 500 Index ended 2009 with their best annual gains since 2003, though still significantly down from their 2007 peaks. The equity market rally was broad based across sectors within the U.S. equity indices, and international equities rose sharply as well.
For the Reporting Period overall, the U.S. small-cap equity market, as measured by the Russell 2000 Index, modestly lagged its large-cap counterparts, as measured by the Russell 1000 Index. Within the U.S. small-cap equity segment, growth stocks significantly outperformed value stocks during the twelve-month period. The Russell 2000 Growth Index returned 34.47% for the Reporting Period compared to the 20.58% return of the Russell 2000 Value Index. The Russell 2000 Growth Index has a heavier weighting in the information technology sector, which performed strongly during the Reporting Period.
What key factors were responsible for the Fund’s performance during the Reporting Period?
As expected, and in keeping with our investment approach, our quantitative model and its six investment themes — Valuation, Profitability, Quality, Management, Momentum and Sentiment — had the greatest impact on relative performance. We use these themes to take a long-term view of market patterns and look for inefficiencies, selecting stocks for the Fund and overweighting or underweighting the ones chosen by the model. Over time and by design, the performance of any one of the model’s investment themes tends to have a low correlation with the model’s other themes, demonstrating the diversification benefit of the Fund’s theme-driven quantitative model. The variance in performance supports our research indicating that the diversification provided by the Fund’s different investment themes is a significant investment advantage over the long term, even though the Fund may experience underperformance in the short term.
1
GOLDMAN SACHS VARIABLE INSURANCE TRUST STRUCTURED SMALL CAP EQUITY FUND
Overall, the Fund outperformed the Russell Index during the Reporting Period, with the Fund’s Momentum theme by far the best performer during the Reporting Period. The Momentum theme seeks to predict drifts in stock prices caused by under-reaction to company-specific information. Also, adding value were Sentiment and Valuation. Sentiment reflects selected investment views and decisions of individuals and financial intermediaries. Valuation attempts to capture potential mispricings of securities, typically by comparing a measure of the company’s intrinsic value to its market value.
The Management theme detracted the most from the Fund’s relative results, followed by Profitability. The Management theme assesses the characteristics, policies and strategic decisions of company management. The Profitability theme assesses whether a company is earning more than its cost of capital. Quality, which evaluates whether the company’s earnings are coming from more persistent, cash-based sources, as opposed to accruals, also negatively impacted relative returns, though to a lesser extent.
How did the Fund’s sector allocations affect relative performance?
In constructing the Fund’s portfolio, we focus on picking stocks rather than making industry or sector bets. Consequently, the Fund is similar to its benchmark, the Russell 2000 Index, in terms of its sector allocation and style. However, we seek to outpace the Russell Index by overweighting stocks that we expect to outperform and underweighting those that we think may lag. We also build positions based on our thematic views. For example, the Fund aims to hold a basket of stocks with more favorable Momentum characteristics than the benchmark index. We manage the Fund’s industry and sector exposure by including industry factors in our risk model and by explicitly penalizing industry and sector deviations from the benchmark index in optimization. Sector weights generally do not have a meaningful impact on relative performance.
All that said, stock selection in the industrials, financials and energy sectors made the biggest positive contribution to the Fund’s results relative to the Russell Index. Conversely, stock selection in the consumer discretionary, information technology and consumer staples sectors detracted most from the Fund’s results relative to its benchmark index.
Which individual stock positions contributed the most to the Fund’s relative returns during the Reporting Period?
The Fund benefited most from overweight positions in human resources firm MPS Group, crude oil refiner Western Refining and subscription-based personal video recording service provider TiVo. We chose to overweight MPS Group because of our positive views on Quality and Profitability. The overweights in Western Refining and TiVo were the result of our positive views on Profitability and Sentiment.
Which individual positions detracted from the Fund’s results during the Reporting Period?
Detracting most from the Fund’s results relative to its benchmark index were overweight positions in immunobiotics manufacturer Emergent BioSolutions and commercial banks Cathay General Bancorp and First Bancorp. Our positive views on Profitability and Valuation led us to overweight Emergent BioSolutions. The Fund had overweighted positions in Cathay General Bancorp and First Bancorp because of our positive views on Valuation and Management.
Did you make any enhancements to your quantitative models during the Reporting Period?
We continuously look for ways to improve our investment process. Accordingly, during the Reporting Period, we introduced a number of enhancements to the proprietary quantitative model we use in the Fund. During the first quarter of 2009, we added a new factor to our global models, which extends the Fund’s Momentum theme by examining additional relationships across firms. This enhancement is part of our ongoing research effort in developing cross-company linkage signals. We believe that this new factor has predictive ability and should further add value to our process over time.
During the second quarter of 2009, we introduced an enhanced risk model to our process. The key features are the dynamic adjustment of volatility decay rates based on the market environment, as well as the decomposition of factor exposures into different lags and the inclusion of short interest as a control factor. The expected benefits of these rather complex features are the ability to react to changing markets in a timelier manner, avoiding stale exposures and better controlling active exposure to heavily shorted companies.
We continued our extensive ongoing research process, but did not implement significant model enhancements in the third quarter of 2009. During the fourth quarter of 2009, we implemented several enhancements to our U.S. equity models. We continued to refine our process to properly adjust for crowding, which, if not controlled, has the potential to shorten the horizon over which updated signal values are effective. Crowding is a phenomenon in which quantitative managers look for similar stock traits using similar investment themes. We also continued to improve our cross-company linkage signals by examining the relationship between companies that are economically linked on a global basis. Further, we introduced two
2
GOLDMAN SACHS VARIABLE INSURANCE TRUST STRUCTURED SMALL CAP EQUITY FUND
new signals within the Management theme. The first seeks to capture select actions of managers of hard-to-value companies, while the other identifies companies where managers have an incentive that is tied to shareholder value. Lastly, we continued our sector-specific research and implemented a signal that measures the efficiency and profitability of airline companies. We believe these enhancements have predictive ability and should further add value to our process over time.
What was the Fund’s sector positioning relative to its benchmark index at the end of the Reporting Period?
As of December 31, 2009, the Fund was overweight the materials, information technology, health care and consumer staples sectors relative to the Russell Index. The Fund was underweight the financials, energy, telecommunication service and utilities sectors compared to the benchmark index on the same date. The Fund was relatively neutral in the consumer discretionary and industrials sectors at the end of the Reporting Period.
What is your strategy going forward for the Fund?
In the coming months, we believe that less expensive stocks should outpace more expensive stocks, and that stocks with good momentum are likely to outperform those with poor momentum. Our focus will remain on companies with increasingly strong fundamentals, good profitability, sustainable earnings and a track record of using capital to enhance shareholder value. As such, we anticipate remaining fully invested with long-term performance likely to be the result of stock selection rather than sector or size allocations.
We stand behind our investment philosophy that sound economic investment principles, coupled with a disciplined quantitative approach, can provide strong, uncorrelated returns over the long run. Our research agenda is robust, and we continue to enhance our existing models, add new proprietary forecasting signals, and improve our trading execution as we seek to provide the most value to our shareholders.
CHANGES MADE TO THE TEAM’S MANAGEMENT
Mark Carhart and Ray Iwanowski, formerly co-heads of Quantitative Investment Strategies (“QIS”), have retired, each to pursue separate personal and professional objectives. Giorgio De Santis, co-head of QIS Research, also decided to retire.
Carolina Minio-Paluello, Managing Director, has accepted a new opportunity within the firm. Gary Chropuvka, Managing Director, has assumed Carolina’s responsibilities and has become the Head of Global Client Portfolio Management and Product Strategy for QIS. Gary has been with the QIS team for more than 10 years and has extensive experience with the team’s U.S. client effort. Additionally, Michael Cooper, Vice President and research analyst on our equity research team, has left the firm. Michael joined the QIS team in January 2008 and has returned to the David Eccles School of Business at the University of Utah, where he was previously an Associate Professor of Finance. Michael’s research responsibilities have been assumed by the existing QIS equity research team.
In November 2009, Claira Kim joined the QIS team as a Vice President and will assist Veronica Foo, who is our Chief Operating Officer. We were also pleased to welcome six new analysts and an associate to the team during the Reporting Period. They will assume various functions within the QIS team.
After 23 years of distinguished service, Robert B. Litterman, the chairman of GSAM’s QIS Group, retired from the firm at the end of 2009. Additionally, Bob Jones, previously co-CIO of the QIS equity business, decided to become an advisory director of QIS. After running our equity business for almost 20 years, Bob stepped away from actively managing portfolios in 2007. In his new role as advisory director, he spends his time focusing on special research projects, particularly in the quantitative equity space. Katinka Domotorffy will remain as Chief Investment Officer and the Head of QIS, continuing to work alongside Kent Daniel and Bill Fallon, co-CIOs of our equity and macro-fixed income businesses, respectively. The QIS team of over 120 professionals and 30-plus information technologists remains dedicated to research excellence as we enter 2010.
3
GOLDMAN SACHS VARIABLE INSURANCE TRUST STRUCTURED SMALL CAP EQUITY FUND
Portfolio Composition
TOP TEN PORTFOLIO HOLDINGS AS OF 12/31/09*
| Holding | % of Net Assets | Line of Business | ||||||
| Nationwide Health Properties, Inc. | 1.6 | % | Real Estate Investment Trust | |||||
| International Bancshares Corp. | 1.1 | Banks | ||||||
| Allegiant Travel Co. | 1.1 | Transportation | ||||||
| Rayonier, Inc. | 1.0 | Real Estate Investment Trust | ||||||
| PDL BioPharma, Inc. | 0.8 | Pharmaceuticals, Biotechnology & Life Sciences | ||||||
| United Stationers, Inc. | 0.8 | Commercial & Professional Services | ||||||
| MicroStrategy, Inc. Class A | 0.8 | Software & Services | ||||||
| Integrys Energy Group, Inc. | 0.8 | Utilities | ||||||
| WellCare Health Plans, Inc. | 0.8 | Health Care Equipment & Services | ||||||
| Endurance Specialty Holdings Ltd. | 0.7 | Insurance | ||||||
* Opinions expressed in this report represent our present opinions only. Reference to individual securities should not be construed as a commitment that such securities will be retained by the Fund. From time to time, the Fund may change the individual securities it holds, the number or types of securities held and the markets in which it invests. Fund holdings of securities should not be relied upon in making investment decisions and should not be construed as research or investment advice regarding particular securities. References to individual securities do not constitute a recommendation to the investor to buy, hold or sell such securities. In addition, references to past performance of the Fund do not indicate future returns, which are not guaranteed and will vary. Furthermore, the value of shares of the Fund may fall as well as rise.
FUND vs. BENCHMARK SECTOR ALLOCATION AS OF 12/31/091
1 The Fund is actively managed and, as such, its composition may differ over time. The above graph categorizes investments using Global Industry Classification Standard (“GICS”), however, the sector classifications used by the portfolio management team may differ from GICS. Underlying industry sector allocations of exchange traded funds (“ETFs”) held by the Fund are not reflected in the graph above. Consequently, the Fund’s overall industry sector allocations may differ from the percentages contained in the graph above. The percentage shown for each investment category reflects the value of investments in that category as a percentage of market value (excluding investments in the securities lending reinvestment vehicle, if any). Investment in the securities lending reinvestment vehicle represented 24.9% of the Fund’s net assets at December 31, 2009.
4
GOLDMAN SACHS VARIABLE INSURANCE TRUST STRUCTURED SMALL CAP EQUITY FUND
Performance Summary
December 31, 2009
The following graph shows the value as of December 31, 2009, of a $10,000 investment made on January 1, 2000 in Institutional Shares at net asset value per share. For comparative purposes, the performance of the Fund’s benchmark, the Russell 2000 Index (with dividends reinvested), is shown. This performance data represents past performance and should not be considered indicative of future performance, which will fluctuate with changes in market conditions. These performance fluctuations will cause an investor’s shares, when redeemed, to be worth more or less than their original cost. Performance reflects Fund level expenses but does not reflect fees and expenses associated with any variable annuity contract or variable life insurance policy that uses the Fund as an investment option for any contract or policy. Had performance reflected all of those fees and expenses, performance would have been reduced. Performance also would have been reduced had expense limitations not been in effect. Performance of Service Shares will vary from Institutional Shares due to differences in fees. In addition to the investment adviser’s decisions regarding issuer/industry investment selection and allocation, other factors may affect Fund performance. These factors include, but are not limited to, Fund operating fees and expenses, portfolio turnover, and subscription and redemption cash flows affecting the Fund.
Structured Small Cap Equity Fund’s 10 Year Performance
| Average Annual Total Return through December 31, 2009 | One Year | Five Years | Ten Years | Since Inception | ||||||||||||
Institutional (Commenced February 13, 1998) | 27.67% | −3.48% | 2.55% | 2.69% | ||||||||||||
Service (Commenced August 31, 2007) | 27.26% | n/a | n/a | −9.69% | ||||||||||||
5
GOLDMAN SACHS VARIABLE INSURANCE TRUST STRUCTURED SMALL CAP EQUITY FUND
Schedule of Investments
December 31, 2009
| Shares | Description | Value | ||||||||
Common Stocks – 97.9% | ||||||||||
| Automobiles & Components – 1.0% | ||||||||||
| 46,590 | Dana Holding Corp.* | $ | 505,036 | |||||||
| 6,845 | Drew Industries, Inc.* | 141,349 | ||||||||
| 17,356 | Spartan Motors, Inc. | 97,714 | ||||||||
| 13,479 | Standard Motor Products, Inc.* | 114,841 | ||||||||
| 17,182 | Stoneridge, Inc.* | 154,810 | ||||||||
| 15,220 | Superior Industries International, Inc.(a) | 232,866 | ||||||||
| 1,246,616 | ||||||||||
| Banks – 4.8% | ||||||||||
| 3,894 | 1st Source Corp. | 62,655 | ||||||||
| 14,450 | Associated Banc-Corp | 159,095 | ||||||||
| 19,073 | Astoria Financial Corp.(a) | 237,077 | ||||||||
| 8,610 | Banco Latinoamericano de Exterior SA | 119,679 | ||||||||
| 19,404 | CapitalSource, Inc. | 77,034 | ||||||||
| 26,239 | Cathay General Bancorp(a) | 198,104 | ||||||||
| 61,875 | CVB Financial Corp.(a) | 534,600 | ||||||||
| 24,110 | First Bancorp(a) | 336,817 | ||||||||
| 6,132 | First Bancorp, Inc. | 94,555 | ||||||||
| 10,428 | Glacier Bancorp, Inc.(a) | 143,072 | ||||||||
| 14,075 | Great Southern Bancorp, Inc.(a) | 300,642 | ||||||||
| 71,682 | International Bancshares Corp. | 1,356,940 | ||||||||
| 7,908 | Investors Bancorp, Inc.* | 86,514 | ||||||||
| 30,434 | NewAlliance Bancshares, Inc.(a) | 365,512 | ||||||||
| 3,893 | Northfield Bancorp, Inc. | 52,633 | ||||||||
| 70,828 | Popular, Inc. | 160,071 | ||||||||
| 11,699 | Renasant Corp.(a) | 159,106 | ||||||||
| 7,998 | SVB Financial Group*(a) | 333,437 | ||||||||
| 17,648 | Texas Capital Bancshares, Inc.* | 246,366 | ||||||||
| 3,231 | Washington Federal, Inc. | 62,488 | ||||||||
| 55,762 | Wilshire Bancorp, Inc.(a) | 456,691 | ||||||||
| 3,521 | Wintrust Financial Corp.(a) | 108,412 | ||||||||
| 5,651,500 | ||||||||||
| Capital Goods – 7.4% | ||||||||||
| 10,007 | Acuity Brands, Inc.(a) | 356,649 | ||||||||
| 14,139 | Albany International Corp. Class A | 317,562 | ||||||||
| 10,074 | American Railcar Industries, Inc. | 111,015 | ||||||||
| 6,857 | American Woodmark Corp.(a) | 134,946 | ||||||||
| 16,438 | Apogee Enterprises, Inc. | 230,132 | ||||||||
| 5,631 | Armstrong World Industries, Inc.* | 219,215 | ||||||||
| 22,295 | Belden, Inc. | 488,706 | ||||||||
| 14,383 | BlueLinx Holdings, Inc.* | 39,841 | ||||||||
| 28,797 | Briggs & Stratton Corp.(a) | 538,792 | ||||||||
| 9,482 | Ceradyne, Inc.* | 182,149 | ||||||||
| 9,920 | Dycom Industries, Inc.* | 79,658 | ||||||||
| 3,631 | DynCorp International, Inc. Class A* | 52,105 | ||||||||
| 8,338 | Encore Wire Corp.(a) | 175,682 | ||||||||
| 10,505 | EnPro Industries, Inc.*(a) | 277,437 | ||||||||
| 2,780 | Esterline Technologies Corp.* | 113,341 | ||||||||
| 10,505 | Federal Signal Corp. | 63,240 | ||||||||
| 3,650 | Harbin Electric, Inc.* | 74,971 | ||||||||
| 4,972 | Hubbell, Inc. Class B | 235,176 | ||||||||
| 14,762 | Kadant, Inc.* | 235,602 | ||||||||
| 43,981 | LSI Industries, Inc. | 346,570 | ||||||||
| 53,852 | Microvision, Inc.*(a) | 170,711 | ||||||||
| 16,460 | Miller Industries, Inc.* | 186,821 | ||||||||
| 25,011 | Mueller Industries, Inc. | 621,273 | ||||||||
| 8,163 | NACCO Industries, Inc. Class A | 406,517 | ||||||||
| 10,491 | Navistar International Corp.* | 405,477 | ||||||||
| 1,996 | Oshkosh Corp. | 73,912 | ||||||||
| 119,735 | Power-One, Inc.*(a) | 520,847 | ||||||||
| 13,308 | Tecumseh Products Co. Class A* | 155,570 | ||||||||
| 4,987 | Tennant Co. | 130,610 | ||||||||
| 7,076 | Thomas & Betts Corp.* | 253,250 | ||||||||
| 15,036 | Toro Co.(a) | 628,655 | ||||||||
| 15,356 | Tredegar Corp. | 242,932 | ||||||||
| 3,092 | Trex Co., Inc.* | 60,603 | ||||||||
| 15,178 | Universal Forest Products, Inc. | 558,702 | ||||||||
| 5,741 | Woodward Governor Co.(a) | 147,946 | ||||||||
| 8,836,615 | ||||||||||
| Commercial & Professional Services – 4.0% | ||||||||||
| 34,392 | ACCO Brands Corp.* | 250,374 | ||||||||
| 9,576 | Administaff, Inc.(a) | 225,898 | ||||||||
| 1,645 | ATC Technology Corp.* | 39,233 | ||||||||
| 17,398 | CDI Corp. | 225,304 | ||||||||
| 24,559 | HNI Corp. | 678,565 | ||||||||
| 48,423 | Kelly Services, Inc. Class A* | 577,686 | ||||||||
| 33,671 | Kforce, Inc.*(a) | 420,888 | ||||||||
| 25,263 | Kimball International, Inc. Class B | 215,241 | ||||||||
| 36,680 | MPS Group, Inc.* | 503,983 | ||||||||
| 52,544 | Spherion Corp.* | 295,297 | ||||||||
| 35,445 | Steelcase, Inc. Class A | 225,430 | ||||||||
| 14,244 | The Standard Register Co. | 72,644 | ||||||||
| 6,412 | TrueBlue, Inc.* | 94,962 | ||||||||
| 17,068 | United Stationers, Inc.*(a) | 970,316 | ||||||||
| 4,795,821 | ||||||||||
| Consumer Durables & Apparel – 4.6% | ||||||||||
| 15,941 | American Greetings Corp. Class A(a) | 347,354 | ||||||||
| 10,471 | Blyth, Inc. | 353,082 | ||||||||
| 8,875 | Callaway Golf Co.(a) | 66,918 | ||||||||
| 10,031 | Columbia Sportswear Co.(a) | 391,610 | ||||||||
| 50,851 | Crocs, Inc.*(a) | 292,393 | ||||||||
| 1,594 | CSS Industries, Inc. | 30,987 | ||||||||
| 6,889 | Ethan Allen Interiors, Inc.(a) | 92,450 | ||||||||
| 20,441 | Furniture Brands International, Inc.* | 111,608 | ||||||||
| 4,446 | G-III Apparel Group Ltd.* | 96,345 | ||||||||
| 3,621 | Harman International Industries, Inc.(a) | 127,749 | ||||||||
| 7,432 | Hooker Furniture Corp. | 91,934 | ||||||||
| 18,768 | iRobot Corp.*(a) | 330,317 | ||||||||
| 42,133 | Jones Apparel Group, Inc. | 676,656 | ||||||||
| 29,873 | Kenneth Cole Productions, Inc. Class A* | 288,275 | ||||||||
| 3,284 | Leggett & Platt, Inc. | 66,994 | ||||||||
| 9,845 | Lululemon Athletica, Inc.* | 296,335 | ||||||||
| 2,747 | Mohawk Industries, Inc.* | 130,757 | ||||||||
| 2,343 | Movado Group, Inc. | 22,774 | ||||||||
| 33,954 | Nautilus, Inc.* | 68,927 | ||||||||
| 11,681 | Oxford Industries, Inc. | 241,563 | ||||||||
| 19,424 | Perry Ellis International, Inc.* | 292,525 | ||||||||
| 10,789 | Polaris Industries, Inc.(a) | 470,724 | ||||||||
| 24,001 | Quiksilver, Inc.* | 48,482 | ||||||||
GOLDMAN SACHS VARIABLE INSURANCE TRUST STRUCTURED SMALL CAP EQUITY FUND
| Shares | Description | Value | ||||||||
Common Stocks – (continued) | ||||||||||
| Consumer Durables & Apparel – (continued) | ||||||||||
| 14,096 | Skechers U.S.A., Inc. Class A*(a) | $ | 414,563 | |||||||
| 4,010 | Tempur-Pedic International, Inc.* | 94,756 | ||||||||
| 5,446,078 | ||||||||||
| Consumer Services – 1.8% | ||||||||||
| 6,185 | Caribou Coffee Co., Inc.* | 47,748 | ||||||||
| 3,704 | Choice Hotels International, Inc.(a) | 117,269 | ||||||||
| 13,432 | Domino’s Pizza, Inc.* | 112,560 | ||||||||
| 6,827 | International Speedway Corp. Class A | 194,228 | ||||||||
| 48,755 | O’Charleys, Inc.*(a) | 319,345 | ||||||||
| 21,172 | Papa John’s International, Inc.* | 494,578 | ||||||||
| 5,877 | Pre-Paid Legal Services, Inc.*(a) | 241,427 | ||||||||
| 7,724 | Red Lion Hotels Corp.* | 38,156 | ||||||||
| 3,209 | Speedway Motorsports, Inc. | 56,543 | ||||||||
| 2,350 | Steiner Leisure Ltd.* | 93,436 | ||||||||
| 1,085 | The Steak n Shake Co.* | 351,703 | ||||||||
| 4,491 | Universal Travel Group* | 45,539 | ||||||||
| 2,112,532 | ||||||||||
| Diversified Financials – 3.8% | ||||||||||
| 60,252 | Advance America, Cash Advance Centers, Inc. | 335,001 | ||||||||
| 32,203 | Allied Capital Corp.* | 116,253 | ||||||||
| 7,686 | Ares Capital Corp. | 95,691 | ||||||||
| 6,241 | Cash America International, Inc.(a) | 218,185 | ||||||||
| 43,359 | Compass Diversified Holdings | 553,261 | ||||||||
| 677 | Diamond Hill Investment Group, Inc. | 43,484 | ||||||||
| 6,119 | Eaton Vance Corp.(a) | 186,079 | ||||||||
| 7,190 | Federated Investors, Inc. Class B(a) | 197,725 | ||||||||
| 7,909 | GAMCO Investors, Inc. Class A | 381,926 | ||||||||
| 17,521 | Gladstone Capital Corp. | 134,912 | ||||||||
| 25,870 | Hercules Technology Growth Capital, Inc. | 268,789 | ||||||||
| 37,002 | NGP Capital Resources Co. | 300,826 | ||||||||
| 31,059 | PHH Corp.*(a) | 500,360 | ||||||||
| 60,795 | Primus Guaranty Ltd.* | 185,425 | ||||||||
| 10,297 | QC Holdings, Inc. | 49,528 | ||||||||
| 13,898 | Rewards Network, Inc. | 175,671 | ||||||||
| 4,200 | SEI Investments Co.(a) | 73,792 | ||||||||
| 38,290 | TICC Capital Corp. | 231,654 | ||||||||
| 12,189 | World Acceptance Corp.*(a) | 436,732 | ||||||||
| 4,485,294 | ||||||||||
| Energy – 4.0% | ||||||||||
| 16,680 | Berry Petroleum Co. Class A(a) | 486,222 | ||||||||
| 13,409 | Cimarex Energy Co.(a) | 710,275 | ||||||||
| 24,540 | Complete Production Services, Inc.* | 319,020 | ||||||||
| 8,226 | Dawson Geophysical Co.* | 190,103 | ||||||||
| 4,045 | Exterran Holdings, Inc.*(a) | 86,765 | ||||||||
| 17,034 | Global Industries Ltd.* | 121,452 | ||||||||
| 2,659 | Helix Energy Solutions Group, Inc.* | 31,243 | ||||||||
| 61,963 | International Coal Group, Inc.* | 239,177 | ||||||||
| 11,655 | James River Coal Co.* | 215,967 | ||||||||
| 2,682 | Oil States International, Inc.*(a) | 105,376 | ||||||||
| 13,456 | Petroquest Energy, Inc.*(a) | 82,485 | ||||||||
| 1,915 | Rowan Companies, Inc.* | 43,356 | ||||||||
| 20,603 | RPC, Inc. | 214,271 | ||||||||
| 7,137 | Stone Energy Corp.* | 128,823 | ||||||||
| 4,189 | Swift Energy Co.*(a) | 100,369 | ||||||||
| 5,553 | Teekay Corp. | 128,885 | ||||||||
| 24,391 | Tesoro Corp.(a) | 330,498 | ||||||||
| 115,793 | USEC, Inc.* | 445,803 | ||||||||
| 28,334 | W&T Offshore, Inc.(a) | 331,508 | ||||||||
| 14,500 | Willbros Group, Inc.* | 244,615 | ||||||||
| 7,694 | World Fuel Services Corp. | 206,122 | ||||||||
| 4,762,335 | ||||||||||
| Food & Staples Retailing – 0.5% | ||||||||||
| 4,945 | Ingles Markets, Inc. Class A | 74,818 | ||||||||
| 6,790 | The Andersons, Inc. | 175,318 | ||||||||
| 35,633 | Winn-Dixie Stores, Inc.*(a) | 357,755 | ||||||||
| 607,891 | ||||||||||
| Food, Beverage & Tobacco – 2.2% | ||||||||||
| 81,312 | Alliance One International, Inc.*(a) | 396,803 | ||||||||
| 20,357 | Chiquita Brands International, Inc.*(a) | 367,240 | ||||||||
| 1,909 | Fresh Del Monte Produce, Inc.* | 42,189 | ||||||||
| 2,372 | Hansen Natural Corp.* | 91,085 | ||||||||
| 5,758 | Imperial Sugar Co. | 100,419 | ||||||||
| 8,858 | J&J Snack Foods Corp. | 353,966 | ||||||||
| 13,697 | Lancaster Colony Corp. | 680,741 | ||||||||
| 32,278 | National Beverage Corp.* | 447,373 | ||||||||
| 2,304 | Universal Corp.(a) | 105,085 | ||||||||
| 2,584,901 | ||||||||||
| Health Care Equipment & Services – 7.7% | ||||||||||
| 36,608 | AMN Healthcare Services, Inc.* | 331,668 | ||||||||
| 3,409 | Analogic Corp. | 131,281 | ||||||||
| 8,234 | Angiodynamics, Inc.* | 132,403 | ||||||||
| 10,616 | Assisted Living Concepts, Inc. Class A* | 279,944 | ||||||||
| 3,918 | Conmed Corp.*(a) | 89,330 | ||||||||
| 1,277 | Corvel Corp.* | 42,831 | ||||||||
| 14,247 | Cross Country Healthcare, Inc.* | 141,188 | ||||||||
| 16,082 | Delcath Systems, Inc.* | 82,661 | ||||||||
| 17,408 | Hansen Medical, Inc.* | 52,746 | ||||||||
| 38,690 | HealthSpring, Inc.* | 681,331 | ||||||||
| 18,235 | Hill-Rom Holdings, Inc. | 437,458 | ||||||||
| 1,293 | ICU Medical, Inc.* | 47,117 | ||||||||
| 18,579 | Invacare Corp.(a) | 463,360 | ||||||||
| 6,386 | Kensey Nash Corp.* | 162,843 | ||||||||
| 35,753 | Kindred Healthcare, Inc.* | 660,000 | ||||||||
| 3,090 | Kinetic Concepts, Inc.*(a) | 116,339 | ||||||||
| 15,404 | Medcath Corp.* | 121,846 | ||||||||
| 23,880 | Medical Action Industries, Inc.* | 383,513 | ||||||||
| 13,727 | MedQuist, Inc. | 91,834 | ||||||||
| 3,315 | Meridian Bioscience, Inc.(a) | 71,438 | ||||||||
| 9,027 | Micrus Endovascular Corp.* | 135,495 | ||||||||
| 33,898 | Molina Healthcare, Inc.*(a) | 775,247 | ||||||||
| 38,179 | Nighthawk Radiology Holdings, Inc.* | 172,951 | ||||||||
| 16,119 | Palomar Medical Technologies, Inc.* | 162,480 | ||||||||
| 47,718 | PharMerica Corp.*(a) | 757,762 | ||||||||
| 4,694 | Quidel Corp.*(a) | 64,683 | ||||||||
| 22,965 | RTI Biologics, Inc.* | 88,186 | ||||||||
| 13,984 | Somanetics Corp.* | 245,419 | ||||||||
| 16,759 | STERIS Corp. | 468,749 | ||||||||
GOLDMAN SACHS VARIABLE INSURANCE TRUST STRUCTURED SMALL CAP EQUITY FUND
Schedule of Investments (continued)
December 31, 2009
| Shares | Description | Value | ||||||||
Common Stocks – (continued) | ||||||||||
| Health Care Equipment & Services – (continued) | ||||||||||
| 54,338 | Sunrise Senior Living, Inc.* | $ | 174,968 | |||||||
| 13,068 | Symmetry Medical, Inc.* | 105,328 | ||||||||
| 5,474 | Synovis Life Technologies, Inc.* | 70,669 | ||||||||
| 5,193 | The Providence Service Corp.* | 82,049 | ||||||||
| 46,074 | Theragenics Corp.* | 61,739 | ||||||||
| 30,995 | Universal American Corp.* | 362,642 | ||||||||
| 24,673 | WellCare Health Plans, Inc.*(a) | 906,980 | ||||||||
| 9,156,478 | ||||||||||
| Household & Personal Products – 0.9% | ||||||||||
| 47,269 | Central Garden and Pet Co. Class A* | 469,854 | ||||||||
| 46,558 | Mannatech, Inc. | 145,261 | ||||||||
| 44,978 | Prestige Brands Holdings, Inc.* | 353,527 | ||||||||
| 4,199 | USANA Health Sciences, Inc.* | 133,948 | ||||||||
| 1,102,590 | ||||||||||
| Insurance – 1.8% | ||||||||||
| 8,763 | American Equity Investment Life Holding Co.(a) | 65,197 | ||||||||
| 18,751 | Aspen Insurance Holdings Ltd. | 477,213 | ||||||||
| 19,819 | CNA Surety Corp.* | 295,105 | ||||||||
| 30,345 | Conseco, Inc.*(a) | 151,725 | ||||||||
| 23,822 | Endurance Specialty Holdings Ltd. | 886,893 | ||||||||
| 3,084 | First Mercury Financial Corp. | 42,281 | ||||||||
| 1,436 | Kansas City Life Insurance Co. | 42,721 | ||||||||
| 32,955 | MBIA, Inc.*(a) | 131,161 | ||||||||
| 2,092,296 | ||||||||||
| Materials – 6.0% | ||||||||||
| 22,550 | A. Schulman, Inc. | 455,059 | ||||||||
| 4,626 | Balchem Corp.(a) | 155,017 | ||||||||
| 38,891 | Boise, Inc.* | 206,511 | ||||||||
| 18,625 | Brush Engineered Materials, Inc.*(a) | 345,308 | ||||||||
| 9,096 | Buckeye Technologies, Inc.* | 88,777 | ||||||||
| 6,832 | Clearwater Paper Corp.* | 375,555 | ||||||||
| 34,557 | Coeur d’Alene Mines Corp.* | 624,099 | ||||||||
| 14,623 | Domtar Corp.* | 810,260 | ||||||||
| 15,961 | Huntsman Corp. | 180,200 | ||||||||
| 3,537 | Innophos Holdings, Inc. | 81,316 | ||||||||
| 8,740 | Kaiser Aluminum Corp. | 363,759 | ||||||||
| 37,397 | KapStone Paper and Packaging Corp.* | 368,360 | ||||||||
| 60,857 | Louisiana-Pacific Corp.*(a) | 424,782 | ||||||||
| 808 | Minerals Technologies, Inc. | 44,012 | ||||||||
| 14,155 | Myers Industries, Inc. | 128,810 | ||||||||
| 13,541 | OM Group, Inc.* | 425,052 | ||||||||
| 27,536 | Omnova Solutions, Inc.* | 168,796 | ||||||||
| 40,418 | PolyOne Corp.* | 301,922 | ||||||||
| 12,657 | Spartech Corp. | 129,861 | ||||||||
| 7,352 | Stepan Co. | 476,483 | ||||||||
| 36,112 | Stillwater Mining Co.*(a) | 342,342 | ||||||||
| 14,351 | Sutor Technology Group Ltd.* | 38,174 | ||||||||
| 8,319 | Wausau Paper Corp. | 96,500 | ||||||||
| 1,434 | Westlake Chemical Corp. | 35,750 | ||||||||
| 25,140 | Worthington Industries, Inc. | 328,580 | ||||||||
| 6,318 | Zep, Inc. | 109,428 | ||||||||
| 7,104,713 | ||||||||||
| Media – 1.2% | ||||||||||
| 8,314 | Ascent Media Corp. Class A* | 212,257 | ||||||||
| 33,564 | EW Scripps Co. Class A* | 233,606 | ||||||||
| 15,458 | Harte-Hanks, Inc.(a) | 166,637 | ||||||||
| 30,907 | Journal Communications, Inc. Class A | 120,228 | ||||||||
| 61,354 | Live Nation, Inc.* | 522,123 | ||||||||
| 3,833 | Scholastic Corp.(a) | 114,338 | ||||||||
| 7,414 | Sinclair Broadcast Group, Inc. Class A* | 29,878 | ||||||||
| 1,399,067 | ||||||||||
| Pharmaceuticals, Biotechnology & Life Sciences – 7.0% | ||||||||||
| 17,067 | Affymetrix, Inc.* | 99,671 | ||||||||
| 25,361 | Albany Molecular Research, Inc.* | 230,278 | ||||||||
| 43,744 | Alkermes, Inc.*(a) | 411,631 | ||||||||
| 11,851 | Biodel, Inc.* | 51,433 | ||||||||
| 19,403 | Cepheid, Inc.*(a) | 242,149 | ||||||||
| 14,176 | Cubist Pharmaceuticals, Inc.*(a) | 268,919 | ||||||||
| 60,847 | Depomed, Inc.*(a) | 203,837 | ||||||||
| 19,900 | Emergent Biosolutions, Inc.*(a) | 270,441 | ||||||||
| 42,153 | eResearchTechnology, Inc.* | 253,339 | ||||||||
| 14,821 | Exelixis, Inc.*(a) | 109,231 | ||||||||
| 9,303 | Facet Biotech Corp.* | 163,547 | ||||||||
| 10,774 | Genomic Health, Inc.*(a) | 210,739 | ||||||||
| 3,674 | Hi-Tech Pharmacal Co., Inc.* | 103,056 | ||||||||
| 6,062 | Human Genome Sciences, Inc.* | 185,497 | ||||||||
| 100,993 | Insmed, Inc.* | 77,765 | ||||||||
| 9,900 | Isis Pharmaceuticals, Inc.*(a) | 109,890 | ||||||||
| 26,126 | ISTA Pharmaceuticals, Inc.* | 119,135 | ||||||||
| 2,689 | Kendle International, Inc.*(a) | 49,236 | ||||||||
| 54,625 | King Pharmaceuticals, Inc.* | 670,249 | ||||||||
| 29,257 | Martek Biosciences Corp.*(a) | 554,128 | ||||||||
| 17,254 | Matrixx Initiatives, Inc.* | 72,812 | ||||||||
| 38,437 | Maxygen, Inc.* | 234,081 | ||||||||
| 23,617 | Myriad Genetics, Inc.* | 616,404 | ||||||||
| 92,957 | Nabi Biopharmaceuticals* | 455,489 | ||||||||
| 4,622 | Obagi Medical Products, Inc.* | 55,464 | ||||||||
| 23,728 | Par Pharmaceutical Cos, Inc.* | 642,080 | ||||||||
| 146,864 | PDL BioPharma, Inc.(a) | 1,007,487 | ||||||||
| 55,984 | Progenics Pharmaceuticals, Inc.*(a) | 248,569 | ||||||||
| 48,602 | Sciclone Pharmaceuticals, Inc.* | 113,243 | ||||||||
| 3,795 | SIGA Technologies, Inc.* | 22,011 | ||||||||
| 23,306 | Synta Pharmaceuticals Corp.*(a) | 117,928 | ||||||||
| 8,182 | Watson Pharmaceuticals, Inc.* | 324,089 | ||||||||
| 8,293,828 | ||||||||||
| Real Estate Investment Trust – 8.1% | ||||||||||
| 10,812 | Agree Realty Corp. | 251,811 | ||||||||
| 10,595 | Associated Estates Realty Corp. | 119,406 | ||||||||
| 21,451 | BRE Properties, Inc.(a) | 709,599 | ||||||||
| 24,246 | DCT Industrial Trust, Inc. | 121,715 | ||||||||
| 58,128 | Education Realty Trust, Inc. | 281,339 | ||||||||
| 1,651 | Federal Realty Investment Trust | 111,806 | ||||||||
| 41,845 | Franklin Street Properties Corp. | 611,355 | ||||||||
| 17,186 | Health Care REIT, Inc. | 761,683 | ||||||||
| 18,175 | Healthcare Realty Trust, Inc.(a)(b) | 390,035 | ||||||||
| 11,817 | LTC Properties, Inc. | 316,105 | ||||||||
| 6,345 | National Health Investors, Inc. | 234,702 | ||||||||
| 17,740 | National Retail Properties, Inc.(a) | 376,443 | ||||||||
GOLDMAN SACHS VARIABLE INSURANCE TRUST STRUCTURED SMALL CAP EQUITY FUND
| Shares | Description | Value | ||||||||
Common Stocks – (continued) | ||||||||||
| Real Estate Investment Trust – (continued) | ||||||||||
| 53,429 | Nationwide Health Properties, Inc.(a) | $ | 1,879,632 | |||||||
| 33,467 | Omega Healthcare Investors, Inc.(a) | 650,933 | ||||||||
| 14,212 | Potlatch Corp.(a) | 453,079 | ||||||||
| 29,299 | Rayonier, Inc.(a) | 1,235,246 | ||||||||
| 13,105 | Realty Income Corp.(a) | 339,551 | ||||||||
| 19,258 | Regency Centers Corp. | 675,185 | ||||||||
| 3,365 | Urstadt Biddle Properties, Inc. Class A | 51,384 | ||||||||
| 6,137 | U-Store-It Trust | 44,923 | ||||||||
| 9,615,932 | ||||||||||
| Retailing – 5.0% | ||||||||||
| 21,899 | 99 Cents Only Stores* | 286,220 | ||||||||
| 1,815 | America’s Car-Mart, Inc.* | 47,789 | ||||||||
| 30,832 | Asbury Automotive Group, Inc.* | 355,493 | ||||||||
| 7,503 | Barnes & Noble, Inc.(b) | 143,082 | ||||||||
| 7,964 | Blue Nile, Inc.*(a) | 504,360 | ||||||||
| 5,864 | Brown Shoe Co., Inc. | 57,878 | ||||||||
| 8,970 | Build-A-Bear Workshop, Inc. Class A*(a) | 43,863 | ||||||||
| 7,988 | Core-Mark Holding Co., Inc.*(a) | 263,284 | ||||||||
| 4,540 | Dillard’s, Inc. Class A(a) | 83,763 | ||||||||
| 16,054 | DSW, Inc. Class A* | 415,477 | ||||||||
| 36,766 | Fred’s, Inc. Class A(a) | 375,013 | ||||||||
| 15,373 | Group 1 Automotive, Inc.*(a) | 435,825 | ||||||||
| 4,951 | Jo-Ann Stores, Inc.*(a) | 179,424 | ||||||||
| 10,359 | Kirkland’s, Inc.*(a) | 179,936 | ||||||||
| 20,235 | Lithia Motors, Inc. Class A* | 166,332 | ||||||||
| 13,711 | MarineMax, Inc.*(a) | 126,004 | ||||||||
| 5,814 | Netflix, Inc.* | 320,584 | ||||||||
| 9,843 | Orbitz Worldwide, Inc.* | 72,248 | ||||||||
| 10,866 | Overstock.com, Inc.*(a) | 147,343 | ||||||||
| 1,581 | PetSmart, Inc. | 42,197 | ||||||||
| 66,031 | Pier 1 Imports, Inc.* | 336,098 | ||||||||
| 9,673 | Shoe Carnival, Inc.* | 198,006 | ||||||||
| 2,596 | Shutterfly, Inc.* | 46,235 | ||||||||
| 9,896 | Sonic Automotive, Inc. Class A* | 102,819 | ||||||||
| 35,749 | Stage Stores, Inc. | 441,858 | ||||||||
| 6,719 | The Cato Corp. Class A | 134,783 | ||||||||
| 12,401 | Williams-Sonoma, Inc.(a) | 257,693 | ||||||||
| 9,160 | Zumiez, Inc.* | 116,515 | ||||||||
| 5,880,122 | ||||||||||
| Semiconductors & Semiconductor Equipment – 4.1% | ||||||||||
| 29,702 | Advanced Analogic Technologies, Inc.* | 117,026 | ||||||||
| 77,529 | Amkor Technology, Inc.*(a) | 555,108 | ||||||||
| 32,648 | Applied Micro Circuits Corp.* | 243,881 | ||||||||
| 10,321 | Brooks Automation, Inc.* | 88,554 | ||||||||
| 22,265 | DSP Group, Inc.* | 125,352 | ||||||||
| 5,929 | Integrated Device Technology, Inc.* | 38,361 | ||||||||
| 9,452 | IXYS Corp.* | 70,134 | ||||||||
| 159,496 | Lattice Semiconductor Corp.* | 430,639 | ||||||||
| 53,991 | LSI Corp.* | 324,486 | ||||||||
| 25,618 | Micrel, Inc. | 210,068 | ||||||||
| 17,695 | Omnivision Technologies, Inc.* | 257,108 | ||||||||
| 45,355 | Photronics, Inc.*(a) | 201,830 | ||||||||
| 106,028 | RF Micro Devices, Inc.*(a) | 505,753 | ||||||||
| 10,367 | Sigma Designs, Inc.* | 110,927 | ||||||||
| 125,368 | Silicon Image, Inc.* | 323,449 | ||||||||
| 92,192 | Silicon Storage Technology, Inc.* | 236,011 | ||||||||
| 12,823 | Standard Microsystems Corp.*(a) | 266,462 | ||||||||
| 17,522 | TriQuint Semiconductor, Inc.* | 105,132 | ||||||||
| 13,591 | Volterra Semiconductor Corp.* | 259,860 | ||||||||
| 36,871 | Zoran Corp.* | 407,424 | ||||||||
| 4,877,565 | ||||||||||
| Software & Services – 9.0% | ||||||||||
| 17,628 | Actuate Corp.* | 75,448 | ||||||||
| 33,825 | Acxiom Corp.* | 453,931 | ||||||||
| 8,350 | Advent Software, Inc.*(b) | 340,095 | ||||||||
| 29,337 | Art Technology Group, Inc.* | 132,310 | ||||||||
| 23,168 | Blackbaud, Inc. | 547,460 | ||||||||
| 17,947 | Bottomline Technologies, Inc.* | 315,329 | ||||||||
| 80,925 | Ciber, Inc.* | 279,191 | ||||||||
| 22,445 | CommVault Systems, Inc.* | 531,722 | ||||||||
| 11,209 | CSG Systems International, Inc.* | 213,980 | ||||||||
| 19,402 | DemandTec, Inc.* | 170,156 | ||||||||
| 11,093 | DivX, Inc.* | 62,564 | ||||||||
| 9,256 | Double-Take Software, Inc.* | 92,467 | ||||||||
| 35,013 | EarthLink, Inc. | 290,958 | ||||||||
| 9,001 | ExlService Holdings, Inc.* | 163,458 | ||||||||
| 28,894 | Internap Network Services Corp.*(a) | 135,802 | ||||||||
| 85,583 | iPass, Inc.* | 89,006 | ||||||||
| 16,745 | Kenexa Corp.* | 218,522 | ||||||||
| 121,557 | Lionbridge Technologies, Inc.* | 279,581 | ||||||||
| 6,352 | LivePerson, Inc.* | 44,273 | ||||||||
| 23,120 | Manhattan Associates, Inc.* | 555,574 | ||||||||
| 55,638 | Marchex, Inc. Class B | 282,641 | ||||||||
| 2,600 | MAXIMUS, Inc. | 130,000 | ||||||||
| 33,662 | Mentor Graphics Corp.* | 297,235 | ||||||||
| 10,282 | MicroStrategy, Inc. Class A* | 966,714 | ||||||||
| 23,521 | ModusLink Global Solutions, Inc.* | 221,333 | ||||||||
| 16,684 | Ness Technologies, Inc.* | 81,752 | ||||||||
| 5,292 | NeuStar, Inc. Class A* | 121,928 | ||||||||
| 9,229 | PROS Holdings, Inc.* | 95,520 | ||||||||
| 18,172 | QAD, Inc. | 111,031 | ||||||||
| 9,350 | Quest Software, Inc.* | 172,040 | ||||||||
| 99,910 | RealNetworks, Inc.* | 370,666 | ||||||||
| 25,007 | Renaissance Learning, Inc.(a) | 284,080 | ||||||||
| 5,864 | StarTek, Inc.* | 43,863 | ||||||||
| 51,992 | Symyx Technologies, Inc.* | 285,956 | ||||||||
| 8,880 | Synopsys, Inc.* | 197,846 | ||||||||
| 20,087 | Taleo Corp. Class A* | 472,446 | ||||||||
| 15,761 | TeleTech Holdings, Inc.* | 315,693 | ||||||||
| 10,560 | THQ, Inc.* | 53,222 | ||||||||
| 16,094 | Ultimate Software Group, Inc.* | 472,681 | ||||||||
| 14,115 | Unica Corp.* | 109,391 | ||||||||
| 11,081 | ValueClick, Inc.* | 112,140 | ||||||||
| 29,023 | VeriFone Holdings, Inc.* | 475,397 | ||||||||
| 10,665,402 | ||||||||||
| Technology Hardware & Equipment – 6.0% | ||||||||||
| 6,556 | 3Com Corp.* | 49,170 | ||||||||
| 3,641 | ADTRAN, Inc. | 82,105 | ||||||||
| 12,229 | Agilysys, Inc. | 111,284 | ||||||||
| 17,813 | Benchmark Electronics, Inc.* | 336,844 | ||||||||
GOLDMAN SACHS VARIABLE INSURANCE TRUST STRUCTURED SMALL CAP EQUITY FUND
Schedule of Investments (continued)
December 31, 2009
| Shares | Description | Value | ||||||||
Common Stocks – (continued) | ||||||||||
| Technology Hardware & Equipment – (continued) | ||||||||||
| 41,074 | Brightpoint, Inc.* | $ | 301,894 | |||||||
| 12,906 | CTS Corp. | 124,156 | ||||||||
| 9,838 | EchoStar Corp. Class A* | 198,137 | ||||||||
| 22,783 | Electronics for Imaging, Inc.* | 296,407 | ||||||||
| 3,145 | EMS Technologies, Inc.* | 45,602 | ||||||||
| 30,318 | Emulex Corp.* | 330,466 | ||||||||
| 36,811 | Extreme Networks* | 105,648 | ||||||||
| 16,720 | Hutchinson Technology, Inc.* | 171,547 | ||||||||
| 38,302 | Imation Corp.*(a) | 333,993 | ||||||||
| 14,751 | Ingram Micro, Inc. Class A* | 257,405 | ||||||||
| 19,606 | Insight Enterprises, Inc.* | 223,900 | ||||||||
| 22,026 | Isilon Systems, Inc.* | 151,098 | ||||||||
| 21,550 | Jabil Circuit, Inc. | 374,323 | ||||||||
| 6,755 | Loral Space & Communications, Inc.* | 213,525 | ||||||||
| 26,676 | Methode Electronics, Inc. | 231,548 | ||||||||
| 17,078 | PC-Tel, Inc.* | 101,102 | ||||||||
| 16,477 | Plantronics, Inc.(a) | 428,072 | ||||||||
| 39,900 | Powerwave Technologies, Inc.* | 50,274 | ||||||||
| 196,429 | Quantum Corp.* | 575,537 | ||||||||
| 17,961 | Radisys Corp.* | 171,528 | ||||||||
| 36,456 | ShoreTel, Inc.*(a) | 210,716 | ||||||||
| 27,640 | Smart Modular Technologies (WWH), Inc.* | 173,856 | ||||||||
| 13,399 | STEC, Inc.*(a) | 218,940 | ||||||||
| 18,043 | Super Micro Computer, Inc.* | 200,638 | ||||||||
| 30,589 | Symmetricom, Inc.* | 159,063 | ||||||||
| 5,613 | SYNNEX Corp.*(a) | 172,095 | ||||||||
| 2,097 | Tech Data Corp.* | 97,846 | ||||||||
| 26,546 | Technitrol, Inc. | 116,271 | ||||||||
| 60,337 | Tellabs, Inc.* | 342,714 | ||||||||
| 18,178 | Tollgrade Communications, Inc.* | 111,068 | ||||||||
| 7,068,772 | ||||||||||
| Telecommunication Services – 0.4% | ||||||||||
| 4,389 | CenturyTel, Inc. | 158,926 | ||||||||
| 31,339 | USA Mobility, Inc. | 345,042 | ||||||||
| 503,968 | ||||||||||
| Transportation – 3.9% | ||||||||||
| 27,646 | Allegiant Travel Co.*(a) | 1,304,062 | ||||||||
| 13,731 | American Commercial Lines, Inc.* | 251,689 | ||||||||
| 11,621 | Celadon Group, Inc.* | 126,088 | ||||||||
| 748 | Copa Holdings SA Class A | 40,744 | ||||||||
| 10,213 | Dollar Thrifty Automotive Group, Inc.* | 261,555 | ||||||||
| 3,706 | Dynamex, Inc.* | 67,079 | ||||||||
| 2,418 | Marten Transport Ltd.* | 43,403 | ||||||||
| 19,744 | Pacer International, Inc.* | 62,391 | ||||||||
| 75,330 | Republic Airways Holdings, Inc.*(a) | 556,689 | ||||||||
| 14,955 | Saia, Inc.* | 221,633 | ||||||||
| 43,162 | SkyWest, Inc. | 730,301 | ||||||||
| 7,243 | Universal Truckload Services, Inc. | 131,098 | ||||||||
| 43,146 | Werner Enterprises, Inc.(a) | 853,859 | ||||||||
| 4,650,591 | ||||||||||
| Utilities – 2.7% | ||||||||||
| 2,537 | Allete, Inc. | 82,909 | ||||||||
| 11,688 | Atmos Energy Corp. | 343,627 | ||||||||
| 22,492 | Black Hills Corp.(a) | 598,962 | ||||||||
| 2,400 | Energen Corp. | 112,320 | ||||||||
| 21,805 | Integrys Energy Group, Inc. | 915,592 | ||||||||
| 10,301 | Pinnacle West Capital Corp. | 376,811 | ||||||||
| 14,794 | PNM Resources, Inc. | 187,144 | ||||||||
| 17,044 | Southwest Gas Corp. | 486,265 | ||||||||
| 1,944 | WGL Holdings, Inc. | 65,202 | ||||||||
| 3,168,832 | ||||||||||
TOTAL COMMON STOCKS | ||||||||||
| (Cost $103,347,187) | $ | 116,109,739 | ||||||||
| Shares | Rate | Value | ||||||||
Short-term Investment(c) – 2.2% | ||||||||||
| JPMorgan U.S. Government Money Market Fund – Capital Shares | ||||||||||
| 2,625,645 | 0.049% | $ | 2,625,645 | |||||||
| (Cost $2,625,645) | ||||||||||
| TOTAL INVESTMENTS BEFORE SECURITIES LENDING REINVESTMENT VEHICLE | ||||||||||
| (Cost $105,972,832) | $ | 118,735,384 | ||||||||
Securities Lending Reinvestment Vehicle(c)(d) – 24.9% | ||||||||||
| Boston Global Investment Trust – Enhanced Portfolio II | ||||||||||
| 29,497,801 | 0.155% | $ | 29,527,299 | |||||||
| (Cost $29,427,817) | ||||||||||
TOTAL INVESTMENTS – 125.0% | ||||||||||
| (Cost $135,400,649) | $ | 148,262,683 | ||||||||
| LIABILITIES IN EXCESS OF OTHER ASSETS – (25.0)% | (29,637,025 | ) | ||||||||
NET ASSETS – 100.0% | $ | 118,625,658 | ||||||||
The percentage shown for each investment category reflects the value of investments in that category as a percentage of net assets.
| * | Non-income producing security. | |
| (a) | All or a portion of security is on loan. | |
| (b) | 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 December 31, 2009. | |
| (d) | Represents an affiliated issuer. |
| Investment Abbreviation: | ||||||
| REIT | — | Real Estate Investment Trust | ||||
GOLDMAN SACHS VARIABLE INSURANCE TRUST STRUCTURED SMALL CAP EQUITY FUND
ADDITIONAL INVESTMENT INFORMATION
FUTURES CONTRACTS — At December 31, 2009, the following futures contracts were open:
| Number of | ||||||||||||||||
| Contracts | Expiration | Unrealized | ||||||||||||||
| Type | Long | Date | Value | Gain (Loss) | ||||||||||||
| Russell 2000 Mini Index | 33 | March 2010 | $ | 2,058,870 | $ | 58,846 | ||||||||||
GOLDMAN SACHS VARIABLE INSURANCE TRUST STRUCTURED SMALL CAP EQUITY FUND
Statement of Assets and Liabilities
December 31, 2009
| Assets: | ||||||
| Investments in securities of unaffiliated issuers, at value (identified cost $105,972,832)(a) | $ | 118,735,384 | ||||
| Investments in affiliated securities lending reinvestment vehicle, at value (identified cost $29,427,817) | 29,527,299 | |||||
| Cash | 1,876 | |||||
| Receivables: | ||||||
Dividends | 299,789 | |||||
Due from custodian | 22,923 | |||||
Reimbursement from investment adviser | 16,490 | |||||
Securities lending income | 8,242 | |||||
Fund shares sold | 4,101 | |||||
| Total assets | 148,616,104 | |||||
| Liabilities: | ||||||
| Payables: | ||||||
Payable upon return of securities loaned | 29,745,502 | |||||
Amounts owed to affiliates | 78,968 | |||||
Fund shares redeemed | 72,872 | |||||
Due to broker — variation margin | 23,340 | |||||
Investment securities purchased | 22,923 | |||||
| Accrued expenses | 46,841 | |||||
| Total liabilities | 29,990,446 | |||||
| Net Assets: | ||||||
| �� | Paid-in capital | 158,545,744 | ||||
| Accumulated undistributed net investment income | 436,154 | |||||
| Accumulated net realized loss from investment, futures and foreign currency related transactions | (53,277,120 | ) | ||||
| Net unrealized gain on investments and futures | 12,920,880 | |||||
| NET ASSETS | $ | 118,625,658 | ||||
| Net Assets: | ||||||
Institutional | $ | 95,334,267 | ||||
Service | 23,291,391 | |||||
| Total Net Assets | $ | 118,625,658 | ||||
| Shares of beneficial interest outstanding $0.001 par value (unlimited shares authorized): | ||||||
Institutional | 10,813,040 | |||||
Service | 2,652,151 | |||||
| Net asset value, offering and redemption price per share: | ||||||
Institutional | $ | 8.82 | ||||
Service | 8.78 | |||||
| (a) | Includes loaned securities having a market value of $28,507,131. |
GOLDMAN SACHS VARIABLE INSURANCE TRUST STRUCTURED SMALL CAP EQUITY FUND
Statement of Operations
For the Fiscal Year Ended December 31, 2009
| Investment income: | ||||||
| Dividends(a) | $ | 1,764,477 | ||||
| Securities lending income — affiliated issuer | 117,322 | |||||
| Total investment income | 1,881,799 | |||||
| Expenses: | ||||||
| Management fees | 743,432 | |||||
| Professional fees | 83,864 | |||||
| Custody and accounting fees | 82,266 | |||||
| Printing fees | 58,211 | |||||
| Distribution and Service fees — Service Shares | 38,216 | |||||
| Transfer Agent fees(b) | 19,823 | |||||
| Trustee fees | 16,663 | |||||
| Other | 10,847 | |||||
| Total expenses | 1,053,322 | |||||
| Less — expense reductions | (159,101 | ) | ||||
| Net expenses | 894,221 | |||||
| NET INVESTMENT INCOME | 987,578 | |||||
| Realized and unrealized gain (loss) from investment, futures and foreign currency related transactions: | ||||||
| Net realized gain (loss) from: | ||||||
Investment transactions — unaffiliated issuers | (6,662,563 | ) | ||||
Securities lending reinvestment vehicle transactions — affiliated issuer | 165,778 | |||||
Futures transactions | 667,450 | |||||
Foreign currency related transactions | (1,489 | ) | ||||
| Net change in unrealized gain (loss) on: | ||||||
Investments — unaffiliated issuers | 31,503,252 | |||||
Securities lending reinvestment vehicle — affiliated issuer | 58,014 | |||||
Futures | (116,150 | ) | ||||
| Net realized and unrealized gain from investment, futures and foreign currency related transactions | 25,614,292 | |||||
| NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS | $ | 26,601,870 | ||||
| (a) | Foreign taxes withheld on dividends were $401. | |
| (b) | Institutional and Service Shares had Transfer Agent fees of $16,766 and $3,057, respectively. |
GOLDMAN SACHS VARIABLE INSURANCE TRUST STRUCTURED SMALL CAP EQUITY FUND
Statements of Changes in Net Assets
| For the Fiscal | For the Fiscal | |||||||||
| Year Ended | Year Ended | |||||||||
| December 31, 2009 | December 31, 2008 | |||||||||
| From operations: | ||||||||||
| Net investment income | $ | 987,578 | $ | 1,061,513 | ||||||
| Net realized loss from investment, futures and foreign currency related transactions | (5,830,824 | ) | (42,454,681 | ) | ||||||
| Net change in unrealized gain (loss) on investments and futures | 31,445,116 | (7,454,796 | ) | |||||||
| Net increase (decrease) in net assets resulting from operations | 26,601,870 | (48,847,964 | ) | |||||||
| Distributions to shareholders: | ||||||||||
| From net investment income | ||||||||||
Institutional Shares | (984,250 | ) | (781,388 | ) | ||||||
Service Shares | (203,812 | ) | (53,513 | ) | ||||||
| From net realized gains | ||||||||||
Institutional Shares | — | (197,173 | ) | |||||||
Service Shares | — | (14,073 | ) | |||||||
| Total distributions to shareholders | (1,188,062 | ) | (1,046,147 | ) | ||||||
| From share transactions: | ||||||||||
| Proceeds from sales of shares | 17,664,477 | 17,777,531 | ||||||||
| Reinvestment of distributions | 1,188,062 | 1,046,147 | ||||||||
| Cost of shares redeemed | (18,357,340 | ) | (29,119,034 | ) | ||||||
| Net increase (decrease) in net assets resulting from share transactions | 495,199 | (10,295,356 | ) | |||||||
| TOTAL INCREASE (DECREASE) | 25,909,007 | (60,189,467 | ) | |||||||
| Net assets: | ||||||||||
| Beginning of year | 92,716,651 | 152,906,118 | ||||||||
| End of year | $ | 118,625,658 | $ | 92,716,651 | ||||||
| Accumulated undistributed net investment income | $ | 436,154 | $ | 468,453 | ||||||
GOLDMAN SACHS VARIABLE INSURANCE TRUST STRUCTURED SMALL CAP EQUITY FUND
Financial Highlights
Selected Data for a Share Outstanding Throughout Each Year
| Income (loss) from | Distributions to | |||||||||||||||||||||||||||||||||||||||||||||||||||||||
| investment operations | shareholders | |||||||||||||||||||||||||||||||||||||||||||||||||||||||
| Ratio of | Ratio of | |||||||||||||||||||||||||||||||||||||||||||||||||||||||
| Net | Ratio of | total | net | |||||||||||||||||||||||||||||||||||||||||||||||||||||
| Net asset | realized | From | Net asset | Net assets, | net | expenses | investment | |||||||||||||||||||||||||||||||||||||||||||||||||
| value, | Net | and | Total from | From net | net | value, | end of | expenses | to | income to | Portfolio | |||||||||||||||||||||||||||||||||||||||||||||
| beginning | investment | unrealized | investment | investment | realized | Total | end of | Total | year | to average | average | average | turnover | |||||||||||||||||||||||||||||||||||||||||||
| Year — Share Class | of year | income | gain (loss) | operations | income | gains | distributions | year | return(a) | (in 000s) | net assets | net assets | net assets | rate | ||||||||||||||||||||||||||||||||||||||||||
| FOR THE FISCAL YEARS ENDED DECEMBER 31, | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||
| 2009 — Institutional | $ | 6.98 | $ | 0.08(b | )(c) | $ | 1.85 | $ | 1.93 | $ | (0.09 | ) | $ | — | $ | (0.09 | ) | $ | 8.82 | 27.67 | % | $ | 95,334 | 0.86 | % | 1.02 | % | 1.03 | %(c) | 212 | % | |||||||||||||||||||||||||
| 2009 — Service | 6.96 | 0.07(b | )(c) | 1.83 | 1.90 | (0.08 | ) | — | (0.08 | ) | 8.78 | 27.26 | 23,291 | 1.11 | 1.27 | 0.83 | (c) | 212 | ||||||||||||||||||||||||||||||||||||||
| 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 | 1.06 | 0.85 | (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 | 1.31 | 1.92 | (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) | 0.95 | (f) | 0.49 | (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 | (g) | 1.21 | (g) | 0.56 | (g) | 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 | 0.99 | 0.49 | 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 | 0.93 | 0.37 | 119 | ||||||||||||||||||||||||||||||||||||||
| (a) | Assumes investment at the net asset value at the beginning of the year, reinvestment of all distributions and a complete redemption of the investment at the net asset value at the end of the year. Total returns for periods less than one full year are not annualized. | |
| (b) | Calculated based on the average shares outstanding methodology. | |
| (c) | Reflects income recognized from special dividends which amounted to $0.03 per share and 0.43% of average net assets. | |
| (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. | |
| (g) | Annualized. |
The accompanying notes are an integral part of these financial statements.
15
GOLDMAN SACHS VARIABLE INSURANCE TRUST STRUCTURED SMALL CAP EQUITY FUND
Notes to Financial Statements
December 31, 2009
1. ORGANIZATION
Goldman Sachs Variable Insurance Trust (the “Trust” or “VIT”) is a Delaware statutory trust registered under the Investment Company Act of 1940, as amended (the “Act”), as an open-end management investment company. The Trust includes the Goldman Sachs Structured Small Cap Equity Fund (the “Fund”). The Fund is a diversified portfolio under the Act offering two classes of shares — Institutional and Service. Goldman, Sachs & Co. (“Goldman Sachs” or the “Distributor”) serves as Distributor of the shares of the Fund pursuant to a Distribution Agreement.
Goldman Sachs Asset Management, L.P. (“GSAM”), an affiliate of Goldman Sachs, serves as investment adviser pursuant to a management agreement (the “Agreement”) with the Trust on behalf of the Fund.
2. SIGNIFICANT ACCOUNTING POLICIES
The following is a summary of the significant accounting policies consistently followed by the Fund. The preparation of financial statements in conformity with accounting principles generally accepted in the United States of America (“GAAP”) requires management to make estimates and assumptions that may affect the amounts and disclosures in the financial statements. Actual results could differ from those estimates and assumptions.
A. FASB Financial Accounting Standards Codification — In July 2009, the Financial Accounting Standards Board (“FASB”) launched its “Financial Accounting Standards Codification” (the “Codification”) as the single source of GAAP. While the Codification does not change GAAP, it introduces a new structure to the accounting literature and changes references to accounting standards and other authoritative accounting guidance that have been reflected in the Notes to Financial Statements.
B. Investment Valuation — The investment valuation policy of the Fund is to value investments at market value. Investments in equity securities and investment companies traded on a United States (“U.S.”) securities exchange or the NASDAQ system are valued daily at their last sale price or official closing price on the principal exchange or system on which they are traded. If no sale occurs, such securities and investment companies are valued at the last bid price for long positions and at the last ask price for short positions. Debt securities for which market quotations are readily available are valued on the basis of quotations furnished by an independent pricing service approved by the trustees or provided by securities dealers. The pricing services may use valuation models or matrix pricing, which consider: (i) yield or price with respect to bonds that are considered comparable in characteristics such as rating, interest rate and maturity date or (ii) quotations from bond dealers to determine current value. If accurate quotations are not readily available, or if GSAM believes that such quotations do not accurately reflect fair value, the fair value of the Fund’s investments may be determined based on yield equivalents, a pricing matrix or other sources, under valuation procedures established by the trustees. Unlisted equity securities for which market quotations are available are valued at the last sale price on valuation date, or if no sale occurs, at the last bid price. In the absence of market quotations, broker quotes will be utilized or the security will be fair valued. Investments in investment companies (other than those that are exchange traded) are valued at the net asset value per share (“NAV”) on the valuation date. Short-term debt obligations that mature in sixty days or less and that do not exhibit signs of credit deterioration are valued at amortized cost, which approximates market value.
GSAM, consistent with its procedures and applicable regulatory guidance, may make an adjustment to the previous closing prices of either domestic or foreign securities in light of significant events to reflect what it believes to be the fair value of the securities at the time of determining the Fund’s NAV. Significant events that could affect a large number of securities in a particular market may include, but are not limited to: situations relating to one or more single issuers in a market sector; significant fluctuations in U.S. or foreign markets; market dislocations; market disruptions or market closings; equipment failures; natural or man-made disasters or acts of God; armed conflicts; government actions or other developments; as well as the same or similar events which may affect specific issuers or the securities markets even though not tied directly to the securities markets. Other significant events that could relate to a single issuer may include, but are not limited to: corporate actions such as reorganizations, mergers and buy-outs; corporate announcements, including those
GOLDMAN SACHS VARIABLE INSURANCE TRUST STRUCTURED SMALL CAP EQUITY FUND
| 2. SIGNIFICANT ACCOUNTING POLICIES (continued) |
relating to earnings, products and regulatory news; significant litigation; low trading volume; and trading limits or suspensions.
C. Security and Fund Share Transactions, and Investment Income — Security and Fund share transactions are reflected for financial reporting purposes as of the trade date, which may cause the NAV as stated in the accompanying financial statements to be different than the NAV applied to Fund share transactions. Realized gains and losses on sales of portfolio securities are calculated using the identified cost basis. Dividend income is recognized on the ex-dividend date, net of foreign withholding taxes, if any, which are reduced by any amounts reclaimable by the Fund, where applicable. Interest income is recorded on the basis of interest accrued, premium amortized and discount accreted. In addition, it is the Fund’s policy to accrue for foreign capital gains taxes, if applicable, on certain foreign securities held by the Fund. An estimated foreign capital gains tax is recorded daily on net unrealized gains on these securities and is payable upon the sale of such securities when a gain is realized.
Net investment income (other than class specific expenses) and unrealized and realized gains or losses are allocated daily to each class of shares of the Fund based upon the relative proportion of net assets of each class.
In addition, distributions received from the Fund’s investments in U.S. real estate investment trusts (“REITs”) often include a “return of capital”, which is recorded by the Fund as a reduction of the cost basis of the securities held. The Internal Revenue Code of 1986, as amended (the “Code”) requires a REIT to distribute at least 95% of its taxable income to investors. In many cases, however, because of “non-cash” expenses such as property depreciation, a REIT’s cash flow will exceed its taxable income. The REIT may distribute this excess cash to offer a more competitive yield. This portion of the Fund’s distributions is deemed a return of capital and is generally not taxable to shareholders.
D. Expenses — Expenses incurred by the Trust that do not specifically relate to an individual Fund of the Trust are allocated to the Fund on a straight-line and/or pro-rata basis depending upon the nature of the expense and are accrued daily.
E. Federal Taxes and Distributions to Shareholders — It is the Fund’s policy to comply with the requirements of the Code applicable to regulated investment companies (mutual funds) and to distribute each year substantially all of its investment company taxable income and capital gains to its shareholders. Accordingly, no federal income tax provisions are required. Distributions to shareholders are recorded on the ex-dividend date. Income and capital gains distributions, if any, are declared and paid annually. Net capital losses are carried forward to future fiscal years and may be used to the extent allowed by the Code to offset any future capital gains. Utilization of capital loss carryforwards will reduce the requirement of future capital gains distributions.
The characterization of distributions to shareholders for financial reporting purposes is determined in accordance with federal income tax rules, which may differ from GAAP. The source of the Fund’s distributions may be shown in the accompanying financial statements as either from net investment income, net realized gain or capital. The Fund’s capital accounts on the Statement of Assets and Liabilities reflect permanent GAAP/tax differences based on the appropriate tax character, but do not reflect temporary differences.
GSAM has reviewed the Fund’s tax positions for all open tax years (the current and prior three years, as applicable) and has concluded that no provision for income tax is required in the Fund’s financial statements. Such open tax years remain subject to examination and adjustment by tax authorities.
F. Foreign Currency Translations — The books and records of the Fund are accounted for in U.S. dollars. Amounts denominated in foreign currencies are translated into U.S. dollars on the following basis: (i) investment valuations, foreign currency and other assets and liabilities initially expressed in foreign currencies are converted into U.S. dollars based upon 4:00 p.m. Eastern Time exchange rates; and (ii) purchases and sales of foreign investments, income and expenses are converted into U.S. dollars based upon currency exchange rates prevailing on the respective dates of such transactions as of 4:00 p.m. Eastern Time.
Net realized and unrealized gain (loss) on foreign currency transactions represents: (i) foreign exchange gains and losses from the sale and holdings of foreign currencies; (ii) currency gains and losses between trade date and settlement date on investment security transactions and forward exchange contracts; and (iii) gains and losses from the difference between
GOLDMAN SACHS VARIABLE INSURANCE TRUST STRUCTURED SMALL CAP EQUITY FUND
Notes to Financial Statements (continued)
December 31, 2009
| 2. SIGNIFICANT ACCOUNTING POLICIES (continued) |
amounts of dividends, interest and foreign withholding taxes recorded and the amounts actually received. The effect of changes in foreign currency exchange rates on equity securities and derivative instruments is included with the net realized and change in unrealized gain (loss) on investments on the Statement of Operations. The effect of changes in foreign currency exchange rates on fixed income securities sold during the period is included with the net realized gain (loss) on foreign currency related transactions, while the effect of changes in foreign currency exchange rates on fixed income securities held at period end is included with the net change in unrealized gain (loss) on investments on the Statement of Operations. Net unrealized foreign exchange gains and losses arising from changes in the value of other assets and liabilities as a result of changes in foreign exchange rates are included as increases and decreases in unrealized gain (loss) on foreign currency related transactions.
G. Futures Contracts — The Fund may purchase or sell futures contracts to hedge against changes in interest rates, securities prices, currency exchange rates, or to seek to increase total return. Futures contracts are valued at the last settlement price, or in the absence of a sale, the last bid price, at the end of each day on the board of trade or exchange upon which they are traded. Upon entering into a futures contract, the Fund deposits cash or securities in an account on behalf of the broker in an amount sufficient to meet the initial margin requirement. Subsequent payments are made or received by the Fund equal to the daily change in the contract value and are recorded as variation margin receivable or payable with a corresponding offset in unrealized gains or losses. The Fund recognizes a realized gain or loss when a contract is closed or expires.
The use of futures contracts involves, to varying degrees, elements of market and counterparty risk which may exceed the amounts recognized in the Statement of Assets and Liabilities. Futures contracts may be illiquid, and exchanges may limit fluctuations in futures contract prices during a single day. Changes in the value of a futures contract may not directly correlate with changes in the value of the underlying securities. These risks may decrease the effectiveness of the Fund’s strategies and potentially result in a loss. The Fund must set aside liquid assets, or engage in other appropriate measures, to cover their obligations under these contracts.
3. AGREEMENTS AND AFFILIATED TRANSACTIONS
A. Management Agreement — Under the Agreement, GSAM manages the Fund, subject to the general supervision of the trustees.
As compensation for the services rendered pursuant to the Agreement, the assumption of the expenses related thereto and administration of the Fund’s business affairs, including providing facilities, GSAM is entitled to a management fee computed daily and payable monthly, equal to an annual percentage rate of the Fund’s average daily net assets.
For the fiscal year ended December 31, 2009, contractual and effective net management fees with GSAM were at the following rates:
| Contractual Management Rate | ||||||||||
| First | Next | Next | Over | Effective | Effective Net | |||||
| $2 billion | $3 billion | $3 billion | $8 billion | Rate | Management Rate | |||||
| 0.75% | 0.68% | 0.65% | 0.64% | 0.75% | 0.73%* | |||||
| * | GSAM voluntarily agreed to waive a portion of its management fee in order to achieve the effective net management rate. The voluntary management fee waiver may be modified or terminated at any time at the option of GSAM. For the fiscal year ended December 31, 2009, GSAM waived approximately $19,800 of the Fund’s management fee. |
B. Distribution Agreement and Service Plan — The Trust, on behalf of the Service Shares of the Fund, has adopted a Distribution and Service Plan (the “Plan”). Under the Plan, Goldman Sachs and/or authorized dealers are entitled to a fee accrued daily and paid monthly for distribution services equal to, on an annual basis, 0.25% of the Fund’s average daily net assets attributable to Service Shares.
GOLDMAN SACHS VARIABLE INSURANCE TRUST STRUCTURED SMALL CAP EQUITY FUND
| 3. AGREEMENTS AND AFFILIATED TRANSACTIONS (continued) |
C. Transfer Agency Agreement — Goldman Sachs also serves as the transfer agent of the Fund for a fee pursuant to a Transfer Agency Agreement. The fees charged for such transfer agency services are calculated daily and payable monthly at an annual rate of 0.02% of the average daily net assets for Institutional and Service Shares.
D. Other Agreements — GSAM has voluntarily agreed to limit certain “Other Expenses” (excluding management fees, distribution and service fees, transfer agent fees and expenses, taxes, interest, brokerage fees and litigation, indemnification, shareholder meetings and other extraordinary expenses, exclusive of any custody and transfer agent fee credit reductions) to the extent such expenses exceed, on an annual basis, 0.114% of the average daily net assets of the Fund. Such expense reimbursements, if any, are computed daily and paid monthly. In addition, the Fund is not obligated to reimburse GSAM for prior fiscal year expense reimbursements, if any. This expense limitation may be modified or terminated at any time at the option of GSAM. For the fiscal year ended December 31, 2009, GSAM voluntarily reimbursed approximately $138,800 to the Fund. In addition, the Fund has entered into certain offset arrangements with the transfer agent resulting in a reduction of the Fund’s expenses. For the fiscal year ended December 31, 2009, transfer agent fees were reduced by approximately $500.
As of December 31, 2009, amounts owed to affiliates were approximately $72,200, $4,800 and $2,000 for management, distribution and service, and transfer agent fees, respectively.
E. Line of Credit Facility — The Fund participates in a $660,000,000 committed, unsecured revolving line of credit facility (the “facility”) together with other funds of the Trust and registered investment companies having management agreements with GSAM or its affiliates. Pursuant to the terms of the facility, the Fund and other borrowers may increase the credit amount by an additional $340,000,000, for a total of up to $1 billion. The facility is to be used solely for temporary or emergency purposes. The interest rate on borrowings is based on the federal funds rate. This facility also requires a fee to be paid by the Fund based on the amount of the commitment that has not been utilized. For the fiscal year ended December 31, 2009, the Fund did not have any borrowings under the facility. Prior to May 12, 2009, the amount available through the facility was $700,000,000.
F. Other Transactions with Affiliates — For the fiscal year ended December 31, 2009, Goldman Sachs earned approximately $1,000 in brokerage commissions from portfolio transactions, including futures transactions executed with Goldman Sachs as the Futures Commission Merchant, on behalf of the Fund.
4. FAIR VALUE OF INVESTMENTS
The fair value of a financial instrument is the amount that would be received to sell an asset or paid to transfer a liability in an orderly transaction between market participants at the measurement date (i.e., the exit price). GAAP establishes a fair value hierarchy that prioritizes the inputs to valuation techniques used to measure fair value. The hierarchy gives the highest priority to unadjusted quoted prices in active markets for identical assets or liabilities (Level 1 measurements) and the lowest priority to unobservable inputs (Level 3 measurements). The three levels of the fair value hierarchy are described below:
Level 1 — Unadjusted quoted prices in active markets that are accessible at the measurement date for identical, unrestricted assets or liabilities;
Level 2 — Quoted prices in markets that are not active or financial instruments for which all significant inputs are observable, either directly or indirectly;
Level 3 — Prices or valuations that require inputs that are both significant to the fair value measurement and unobservable.
GOLDMAN SACHS VARIABLE INSURANCE TRUST STRUCTURED SMALL CAP EQUITY FUND
Notes to Financial Statements (continued)
December 31, 2009
| 4. FAIR VALUE OF INVESTMENTS (continued) |
The following is a summary of the Fund’s investments categorized in the fair value hierarchy:
| Level 1 | Level 2 | Level 3 | ||||||||||
Assets | ||||||||||||
| Common Stock and/or Other Equity Investments | $ | 116,109,739 | $ | — | $ | — | ||||||
| Securities Lending Reinvestment Vehicle | — | 29,527,299 | — | |||||||||
| Short-term Investments | 2,625,645 | — | — | |||||||||
| Derivatives | 58,846 | — | — | |||||||||
| Total | $ | 118,794,230 | $ | 29,527,299 | $ | — | ||||||
5. INVESTMENTS IN DERIVATIVES
The Fund may make investments in derivative instruments, including, but not limited to, options, futures, swaps and other derivatives relating to foreign currency transactions. A derivative is an instrument whose value is derived from underlying assets, indices, reference rates or a combination of these factors. Derivative instruments may be privately negotiated contracts (often referred to as over the counter (“OTC”) derivatives) or they may be listed and traded on an exchange. Derivative contracts may involve future commitments to purchase or sell financial instruments or commodities at specified terms on a specified date, or to exchange interest payment streams or currencies based on a notional or contractual amount. Derivative instruments may involve a high degree of financial risk. The use of derivatives also involves the risk of loss if the investment adviser is incorrect in its expectation of the timing or level of fluctuations in securities prices, interest rates or currency prices. Investments in derivative instruments also include the risk of default by the counterparty, the risk that the investment may not be liquid and the risk that a small movement in the price of the underlying security or benchmark may result in a disproportionately large movement, unfavorable or favorable, in the price of the derivative instrument.
GAAP requires enhanced disclosures about the Fund’s derivatives and hedging activities. The following table sets forth the gross value of the Fund’s derivative contracts for trading activities by certain risk types as of December 31, 2009. The values in the table below exclude the effects of cash received or posted pursuant to derivative contracts, and therefore are not representative of the Fund’s net exposure.
| Statement of | Average | |||||||||||
| Assets and Liabilities | Derivative | Number of | ||||||||||
| Risk | Location | Assets | Contracts(b) | |||||||||
| Equity | Unrealized gain on futures(a) | $ | 58,846 | 38 | ||||||||
| (a) | Includes cumulative appreciation (depreciation) of futures contracts described in the Additional Investment Information section of the Schedule of Investments. Only current day’s variation margin is reported within the Statement of Assets and Liabilities. |
| (b) | Average number of contracts is based on the average of quarter end balances for the period ended December 31, 2009. |
The following table sets forth by certain risk types the Fund’s gains (losses) related to derivative activities for the fiscal year ended December 31, 2009. These gains (losses) should be considered in the context that derivative contracts may have been executed to economically hedge securities and accordingly, gains or losses on derivative contracts may offset losses or gains attributable to securities. These gains (losses) are included in “Net realized gain (loss)” or “Net change in unrealized gain (loss)” on the Statement of Operations:
| Net Change in | ||||||||||||
| Net Realized Gain | Unrealized Gain | |||||||||||
| Risk | Statement of Operations Location | (Loss) | (Loss) | |||||||||
| Equity | Net realized gain (loss) from futures transactions/ | |||||||||||
| Net change in unrealized gain (loss) on futures | $ | 667,450 | $ | (116,150 | ) | |||||||
GOLDMAN SACHS VARIABLE INSURANCE TRUST STRUCTURED SMALL CAP EQUITY FUND
6. PORTFOLIO SECURITIES TRANSACTIONS
The cost of purchases and proceeds from sales and maturities of long-term securities for the fiscal year ended December 31, 2009, were $205,622,105 and $203,865,126, respectively.
7. SECURITIES LENDING
Pursuant to exemptive relief granted by the Securities and Exchange Commission and the terms and conditions contained therein, the Fund may lend its securities through a securities lending agent, Goldman Sachs Agency Lending (“GSAL”), a wholly-owned subsidiary of Goldman Sachs, to certain qualified borrowers including Goldman Sachs and affiliates. In accordance with the Fund’s securities lending procedures, the Fund receives cash collateral at least equal to the market value of the securities on loan. The market value of the loaned securities is determined at the close of business of the Fund at their last sale price or official closing price on the principal exchange or system on which they are traded, and any additional required collateral is delivered to the Fund on the next business day. As with other extensions of credit, the Fund may experience a delay in the recovery of its securities or incur a loss should the borrower of the securities breach its agreement with the Fund or become insolvent at a time when the collateral is insufficient to cover the cost of repurchasing securities on loan.
The Fund invests the cash collateral received in connection with securities lending transactions in the Enhanced Portfolio II of Boston Global Investment Trust (“Enhanced Portfolio II”), a Delaware statutory trust. The Enhanced Portfolio II, deemed an affiliate of the Trust, is exempt from registration under Section 3(c)(7) of the Act and is managed by GSAM, for which GSAM may receive an investment advisory fee of up to 0.10% on an annualized basis of the average daily net assets of the Enhanced Portfolio II. The Enhanced Portfolio II invests primarily in short-term investments, but is not a “money market fund” subject to the requirements of Rule 2a-7 of the Act. The Fund’s investment of cash collateral in the Enhanced Portfolio II is subject to a net asset value that may fall or rise due to market and credit conditions.
Both the Fund and GSAL receive compensation relating to the lending of the Fund’s securities. The amount earned by the Fund for the fiscal year ended December 31, 2009, is reported as securities lending income. A portion of this amount, $30,741, represents compensation earned by the Fund from lending its securities to Goldman Sachs. For the fiscal year ended December 31, 2009, GSAL earned $12,959 in fees as securities lending agent. The amount payable to Goldman Sachs upon return of securities loaned as of December 31, 2009 was $7,657,503.
The following table provides information about the Fund’s investment in the Enhanced Portfolio II for the fiscal year ended December 31, 2009 (in thousands):
| Number of | Number of | |||||||||||||||
| Shares Held Beginning | Shares Held End of | Value at End | ||||||||||||||
| of Fiscal Year | Shares Bought | Shares Sold | Fiscal Year | of Fiscal Year | ||||||||||||
| 9,206 | 82,738 | (62,446 | ) | 29,498 | $ | 29,527 | ||||||||||
8. TAX INFORMATION
The tax character of distributions paid during the fiscal years ended December 31, 2008 and December 31, 2009 was as follows:
| 2008 | 2009 | |||||||
| Distributions paid from: | ||||||||
| Ordinary income | $ | 835,294 | $ | 1,188,062 | ||||
| Net long-term capital gains | 210,853 | — | ||||||
| Total taxable distributions | $ | 1,046,147 | $ | 1,188,062 | ||||
GOLDMAN SACHS VARIABLE INSURANCE TRUST STRUCTURED SMALL CAP EQUITY FUND
Notes to Financial Statements (continued)
December 31, 2009
| 8. TAX INFORMATION (continued) |
As of December 31, 2009, the components of accumulated earnings (losses) on a tax basis were as follows:
| Undistributed ordinary income — net | $ | 413,486 | ||
Capital loss carryforward:1 | ||||
| Expiring 2016 | $ | (34,977,258 | ) | |
| Expiring 2017 | (17,749,027 | ) | ||
| Total capital loss carryforward | $ | (52,726,285 | ) | |
| Timing differences (post - October losses) | (21,886 | ) | ||
| Unrealized gain — net | 12,414,599 | |||
| Total accumulated losses — net | $ | (39,920,086 | ) | |
| 1 | Expiration occurs on December 31 of the year indicated. |
As of December 31, 2009, the Fund’s aggregate security unrealized gains and losses based on cost for U.S. federal income tax purposes was as follows:
| Tax cost | $ | 135,848,084 | ||
| Gross unrealized gain | 16,447,865 | |||
| Gross unrealized loss | (4,033,266 | ) | ||
| Net unrealized security gain | $ | 12,414,599 | ||
The difference between GAAP-basis and tax-basis unrealized gains (losses) is attributable primarily to wash sales, net mark to market gains (losses) on regulated futures contracts and differences related to the tax treatment of passive foreign investment company and partnership investments.
In order to present certain components of the Fund’s capital accounts on a tax basis, the Fund has reclassified $667 and $167,518 from paid-in-capital and accumulated net realized loss from investments, respectively, to accumulated undistributed net investment income. These reclassifications have no impact on the net asset value of the Fund and result primarily from the difference in the tax treatment of passive foreign investment company, partnership and real estate investment trust investments.
9. OTHER RISKS
Market and Credit Risks — In the normal course of business, the Fund trades financial instruments and enters into financial transactions where risk of potential loss exists due to changes in the market (market risk). Additionally, the Fund may also be exposed to credit risk in the event that an issuer fails to perform or that an institution or entity with which the Fund has unsettled or open transaction defaults.
Risks of Large Shareholder Redemptions — Certain participating insurance companies, accounts, or Goldman Sachs affiliates may from time to time own (beneficially or of record) or control a significant percentage of the Fund’s shares. Redemptions by these participating insurance companies or accounts in the Fund may impact the Fund’s liquidity and NAV. These redemptions may also force the Fund to sell securities, which may increase the Fund’s brokerage costs.
GOLDMAN SACHS VARIABLE INSURANCE TRUST STRUCTURED SMALL CAP EQUITY FUND
10. INDEMNIFICATIONS
Under the Trust’s organizational documents, its trustees, officers, employees and agents are indemnified, to the extent permitted by the Act, against certain liabilities that may arise out of performance of their duties to the Fund. Additionally, in the course of business, the Fund enters into contracts that contain a variety of indemnification clauses. The Fund’s maximum exposure under these arrangements is unknown, as this would involve future claims that may be made against the Fund that have not yet occurred. However, GSAM believes the risk of loss under these arrangements to be remote.
11. OTHER MATTERS
New Accounting Pronouncement — In May 2009, the FASB issued FASB Accounting Standards Codification (“ASC”) 855 “Subsequent Events”. This standard requires disclosure in the financial statements to reflect the effects of subsequent events that provide additional information on conditions about the financial statements as of the balance sheet date (recognized subsequent events) and disclosure of subsequent events that provide additional information about conditions after the balance sheet date if the financial statements would otherwise be misleading (unrecognized subsequent events). ASC 855 is effective for interim and annual financial statements issued for fiscal years ending after June 15, 2009. For purposes of inclusion in the financial statements, GSAM has concluded that subsequent events after the balance sheet date have been evaluated through February 16, 2010, the date the financial statements were issued.
12. SUMMARY OF SHARE TRANSACTIONS
Share activity is as follows:
| For the Fiscal Year Ended | For the Fiscal Year Ended | |||||||||||||||
| December 31, 2009 | December 31, 2008 | |||||||||||||||
| Shares | Dollars | Shares | Dollars | |||||||||||||
Institutional Shares | ||||||||||||||||
| Shares sold | 846,977 | $ | 6,179,797 | 1,165,736 | $ | 10,502,596 | ||||||||||
| Reinvestment of distributions | 111,846 | 984,250 | 150,317 | 978,561 | ||||||||||||
| Shares redeemed | (2,509,667 | ) | (18,206,566 | ) | (3,224,897 | ) | (29,097,259 | ) | ||||||||
| (1,550,844 | ) | (11,042,519 | ) | (1,908,844 | ) | (17,616,102 | ) | |||||||||
Service Shares | ||||||||||||||||
| Shares sold | 1,717,923 | 11,484,680 | 920,266 | 7,274,935 | ||||||||||||
| Reinvestment of distributions | 23,240 | 203,812 | 10,414 | 67,586 | ||||||||||||
| Shares redeemed | (18,237 | ) | (150,774 | ) | (2,362 | ) | (21,775 | ) | ||||||||
| 1,722,926 | 11,537,718 | 928,318 | 7,320,746 | |||||||||||||
NET INCREASE (DECREASE) | 172,082 | $ | 495,199 | (980,526 | ) | $ | (10,295,356 | ) | ||||||||
Report of Independent Registered Public Accounting Firm
To the Board of Trustees and Shareholders of Goldman Sachs Variable Insurance Trust — Goldman Sachs Structured Small Cap Equity Fund:
In our opinion, the accompanying statement of assets and liabilities, including the schedule of investments, and the related statements of operations and of changes in net assets and the financial highlights present fairly, in all material respects, the financial position of Goldman Sachs Structured Small Cap Equity Fund (the “Fund”) at December 31, 2009, the results of its operations for the year then ended, the changes in its net assets for each of the two years in the period then ended and the financial highlights for the periods indicated, in conformity with accounting principles generally accepted in the United States of America. These financial statements and financial highlights (hereafter referred to as “financial statements”) are the responsibility of the Fund’s management. Our responsibility is to express an opinion on these financial statements based on our audit. We conducted our audit of these financial statements in accordance with the standards of the Public Company Accounting Oversight Board (United States). Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement. An audit includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements, assessing the accounting principles used and significant estimates made by management, and evaluating the overall financial statement presentation. We believe that our audit, which included confirmation of securities at December 31, 2009 by correspondence with the custodian, brokers and transfer agent, provides a reasonable basis for our opinion. The financial highlights of the Fund for the periods ended December 31, 2006 and prior were audited by another Independent Registered Public Accounting Firm whose report dated February 14, 2007 expressed an unqualified opinion on those financial highlights.
PricewaterhouseCoopers LLP
Boston, Massachusetts
February 16, 2010
GOLDMAN SACHS VARIABLE INSURANCE TRUST STRUCTURED SMALL CAP EQUITY FUND
Fund Expenses — Six Month Period Ended December 31, 2009 (Unaudited)
As a shareholder of the Institutional or Service Shares of the Fund, you incur ongoing costs, including management fees, distribution and service (12b-1) fees (with respect to Service Shares) and other Fund expenses. This example is intended to help you understand your ongoing costs (in dollars) of investing in the Institutional Shares and Service Shares of the Fund and to compare these costs with the ongoing costs of investing in other mutual funds.
The example is based on an investment of $1,000 invested at the beginning of the period and held for the entire period from July 1, 2009 through December 31, 2009.
Actual Expenses — The first line under each share class in the table below provides information about actual account values and actual expenses. You may use the information in this line, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000=8.6), then multiply the result by the number in the first line under the heading entitled “Expenses Paid” to estimate the expenses you paid on your account during this period.
Hypothetical Example for Comparison Purposes — The second line under each share class in the table below provides information about hypothetical account values and hypothetical expenses based on the Fund’s actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Fund’s actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Fund and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds.
Please note that the expenses shown in the table are meant to highlight your ongoing costs only. As a shareholder of the Fund, you do not incur any transaction costs, such as sales charges, redemption fees, or exchange fees, but shareholders of other funds may incur such costs. The second line of the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds whose shareholders may incur transaction costs.
| Expenses | |||||||||||||||
| Beginning | Ending | Paid for the | |||||||||||||
| Account Value | Account Value | 6 Months Ended | |||||||||||||
| Share Class | 7/01/09 | 12/31/09 | 12/31/09* | ||||||||||||
Institutional | |||||||||||||||
| Actual | $ | 1,000 | $ | 1,273.10 | $ | 4.93 | |||||||||
| Hypothetical 5% return | 1,000 | 1,020.87 | + | 4.38 | |||||||||||
Service | |||||||||||||||
| Actual | 1,000 | 1,270.80 | 6.35 | ||||||||||||
| Hypothetical 5% return | 1,000 | 1,019.61 | + | 5.65 | |||||||||||
| * | 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 December 31, 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. |
GOLDMAN SACHS VARIABLE INSURANCE TRUST STRUCTURED SMALL CAP EQUITY FUND
Trustees and Officers (Unaudited)
Independent Trustees
| Number of | ||||||||||
| Term of | Portfolios in | |||||||||
| Office and | Fund Complex | Other | ||||||||
| Name, | Position(s) Held | Length of | Principal Occupation(s) | Overseen by | Directorships | |||||
| Address and Age1 | with the Trust | Time Served2 | During Past 5 Years | Trustee3 | Held by Trustee4 | |||||
| Ashok N. Bakhru Age: 67 | Chairman of the Board of Trustees | Since 1991 | President, ANB Associates (July 1994-March 1996 and November 1998-Present); Director, Apollo Investment Corporation (a business development company) (October 2008-Present); Executive Vice President—Finance and Administration and Chief Financial Officer and Director, Coty Inc. (manufacturer of fragrances and cosmetics) (April 1996-November 1998); Director of Arkwright Mutual Insurance Company (1984-1999); Trustee of International House of Philadelphia (program center and residential community for students and professional trainees from the United States and foreign countries) (1989-2004); Member of Cornell University Council (1992-2004 and 2006-Present); Trustee of the Walnut Street Theater (1992-2004); Trustee, Scholarship America (1998-2005); Trustee, Institute for Higher Education Policy (2003-2008); Director, Private Equity Investors—III and IV (November 1998-2007), and Equity-Limited Investors II (April 2002-2007); and Chairman, Lenders Service Inc. (provider of mortgage lending service s) (2000-2003). Chairman of the Board of Trustees—Goldman Sachs Mutual Fund Complex. | 96 | Apollo Investment Corporation (a business development company) | |||||
| John P. Coblentz, Jr. Age: 68 | Trustee | Since 2003 | Partner, Deloitte & Touche LLP (June 1975-May 2003); Director, Emerging Markets Group, Ltd. (2004-2006); and Director, Elderhostel, Inc. (2006-Present). Trustee—Goldman Sachs Mutual Fund Complex. | 96 | None | |||||
| Diana M. Daniels Age: 60 | Trustee | Since 2007 | Ms. Daniels is retired (since January 2007). Formerly, she was Vice President, General Counsel and Secretary, The Washington Post Company (1991-2006). Ms. Daniels is Chairman of the Executive Committee, Cornell University (2006-Present); Member, Advisory Board, Psychology Without Borders (international humanitarian aid organization) (since 2007), and former Member of the Legal Advisory Board, New York Stock Exchange (2003-2006) and of the Corporate Advisory Board, Standish Mellon Management Advisors (2006-2007). Trustee—Goldman Sachs Mutual Fund Complex. | 96 | None | |||||
| Patrick T. Harker Age: 51 | Trustee | Since 2000 | President, University of Delaware (July 2007-Present); Dean and Reliance Professor of Operations and Information Management, The Wharton School, University of Pennsylvania (February 2000-June 2007); Interim and Deputy Dean, The Wharton School, University of Pennsylvania (July 1999-January 2000); and Professor and Chairman of Department of Operations and Information Management, The Wharton School, University of Pennsylvania (July 1997-August 2000). Trustee—Goldman Sachs Mutual Fund Complex. | 96 | Pepco Holdings, Inc. (an energy delivery company) | |||||
| Jessica Palmer Age: 60 | Trustee | Since 2007 | Consultant, Citigroup Human Resources Department (2007-2008); Managing Director, Citigroup Corporate and Investment Banking (previously, Salomon Smith Barney/Salomon Brothers) (1984-2006). Ms. Palmer is a Member of the Board of Trustees of Indian Mountain School (private elementary and secondary school) (2004-Present). Trustee—Goldman Sachs Mutual Fund Complex. | 96 | None | |||||
GOLDMAN SACHS VARIABLE INSURANCE TRUST STRUCTURED SMALL CAP EQUITY FUND
Trustees and Officers (Unaudited) (continued)
Independent Trustees
| Number of | ||||||||||
| Term of | Portfolios in | |||||||||
| Office and | Fund Complex | Other | ||||||||
| Name, | Position(s) Held | Length of | Principal Occupation(s) | Overseen by | Directorships | |||||
| Address and Age1 | with the Trust | Time Served2 | During Past 5 Years | Trustee3 | Held by Trustee4 | |||||
| Richard P. Strubel Age: 70 | Trustee | Since 1987 | Director, Cardean Learning Group (provider of educational services via the internet) (2003-2008); President, COO and Director, Cardean Learning Group (1999-2003); Director, Cantilever Technologies, Inc. (a private software company) (1999-2005); Audit Committee Chairman, The University of Chicago (2006-Present); Trustee, The University of Chicago (1987-Present); and Managing Director, Tandem Partners, Inc. (management services firm) (1990-1999). Trustee—Goldman Sachs Mutual Fund Complex. | 96 | Gildan Activewear Inc. (a clothing marketing and manufacturing company); The Northern Trust Mutual Fund Complex (58 Portfolios) (Chairman of the Board of Trustees). | |||||
Interested Trustees
| Number of | ||||||||||
| Term of | Portfolios in | |||||||||
| Office and | Fund Complex | Other | ||||||||
| Name, | Position(s) Held | Length of | Principal Occupation(s) | Overseen by | Directorships | |||||
| Address and Age1 | with the Trust | Time Served2 | During Past 5 Years | Trustee3 | Held by Trustee4 | |||||
| James A. McNamara* Age: 47 | President and Trustee | Since 2007 | Managing Director, Goldman Sachs (December 1998-Present); Director of Institutional Fund Sales, GSAM (April 1998-December 2000); and Senior Vice President and Manager, Dreyfus Institutional Service Corporation (January 1993-April 1998). President—Goldman Sachs Mutual Fund Complex (November 2007-Present); Senior Vice President—Goldman Sachs Mutual Fund Complex (May 2007-November 2007); and Vice President—Goldman Sachs Mutual Fund Complex (2001-2007). Trustee—Goldman Sachs Mutual Fund Complex (since November 2007 and December 2002-May 2004). | 96 | None | |||||
| Alan A. Shuch* Age: 60 | Trustee | Since 1990 | Advisory Director—GSAM (May 1999-Present); Consultant to GSAM (December 1994-May 1999); and Limited Partner, Goldman Sachs (December 1994-May 1999). Trustee—Goldman Sachs Mutual Fund Complex. | 96 | None | |||||
| * | These persons are considered to be “Interested Trustees” because they hold positions with Goldman Sachs and own securities issued by The Goldman Sachs Group, Inc. Each Interested Trustee holds comparable positions with certain other companies of which Goldman Sachs, GSAM or an affiliate thereof is the investment adviser, administrator and/or distributor. | |
| 1 | Each Trustee may be contacted by writing to the Trustee, c/o Goldman Sachs, One New York Plaza, 37th Floor, New York, New York, 10004, Attn: Peter V. Bonanno. | |
| 2 | Each Trustee holds office for an indefinite term until the earliest of: (a) the election of his or her successor; (b) the date the Trustee resigns or is removed by the Board of Trustees or shareholders, in accordance with the Trust’s Declaration of Trust; (c) the conclusion of the first Board meeting held subsequent to the day the Trustee attains the age of 72 years (in accordance with the current resolutions of the Board of Trustees, which may be changed by the Trustees without shareholder vote); or (d) the termination of the Trust. |
| 3 | The Goldman Sachs Mutual Fund Complex consists of the Trust, Goldman Sachs Municipal Opportunity Fund, Goldman Sachs Credit Strategies Fund, and Goldman Sachs Trust. As of December 31, 2009, the Trust consisted of 11 portfolios, Goldman Sachs Trust consisted of 83 portfolios (of which 82 offered shares to the public) and the Goldman Sachs Municipal Opportunity Fund did not offer shares to the public. |
| 4 | This column includes only directorships of companies required to report to the SEC under the Securities Exchange Act of 1934 (i.e., “public companies”) or other investment companies registered under the Act. |
Additional information about the Trustees is available in the Fund’s Statement of Additional Information which can be obtained from Goldman Sachs free of charge by calling this toll-free number (in the United States of America): 1-800-292-4726.
GOLDMAN SACHS VARIABLE INSURANCE TRUST STRUCTURED SMALL CAP EQUITY FUND
Trustees and Officers (Unaudited) (continued)
Officers of the Trust*
| Term of | ||||||
| Office and | ||||||
| Position(s) Held | Length of | |||||
| Name, Address and Age | With the Trust | Time Served1 | Principal Occupation(s) During Past 5 Years | |||
| James A. McNamara 32 Old Slip New York, NY 10005 Age: 47 | President and Trustee | Since 2007 | Managing Director, Goldman Sachs (December 1998-Present); Director of Institutional Fund Sales, GSAM (April 1998-December 2000); and Senior Vice President and Manager, Dreyfus Institutional Service Corporation (January 1993-April 1998). President—Goldman Sachs Mutual Fund Complex (November 2007-Present); Senior Vice President—Goldman Sachs Mutual Fund Complex (May 2007-November 2007); and Vice President—Goldman Sachs Mutual Fund Complex (2001-2007). Trustee—Goldman Sachs Mutual Fund Complex (since November 2007 and December 2002-May 2004). | |||
| George F. Travers 30 Hudson Street Jersey City, NJ 07032 Age: 42 | Senior Vice President and Principal Financial Officer | Since 2009 | Managing Director, Goldman Sachs (2007-present); Managing Director, UBS Ag (2005-2007); and Partner, Deloitte & Touche LLP (1990-2005, partner from 2000-2005) Senior Vice President and Principal Financial Officer—Goldman Sachs Mutual Fund Complex. | |||
| Peter V. Bonanno One New York Plaza New York, NY 10004 Age: 42 | Secretary | Since 2003 | Managing Director, Goldman Sachs (December 2006-Present); Associate General Counsel, Goldman Sachs (2002-Present); Vice President, Goldman Sachs (1999-2006); and Assistant General Counsel, Goldman Sachs (1999-2002). Secretary—Goldman Sachs Mutual Fund Complex (2006-Present); and Assistant Secretary—Goldman Sachs Mutual Fund Complex (2003-2006). | |||
| Scott M. McHugh 32 Old Slip New York, NY 10005 Age: 38 | Treasurer and Senior Vice President | Since 2009 | Vice President, Goldman Sachs (February 2007-Present); Assistant Treasurer of certain mutual funds administered by DWS Scudder (2005-2007); and Director (2005-2007), Vice President (2000-2005), Assistant Vice President (1998-2000), Deutsche Asset Management or its predecessor (1998-2007). Treasurer—Goldman Sachs Mutual Fund Complex (October 2009-Present); Senior Vice President—Goldman Sachs Mutual Fund Complex (November 2009-Present); and Assistant Treasurer—Goldman Sachs Mutual Fund Complex (May 2007-October 2009). | |||
| 1 | Officers hold office at the pleasure of the Board of Trustees or until their successors are duly elected and qualified. Each officer holds comparable positions with certain other companies of which Goldman Sachs, GSAM or an affiliate thereof is the investment adviser, administrator and/or distributor. | |
| * | Represents a partial list of officers of the Trust. Additional information about all the officers is available in the Fund’s Statement of Additional Information which can be obtained from Goldman Sachs free of charge by calling this toll-free number (in the United States): 1-800-292-4726. |
Goldman Sachs Variable Insurance Trust — Tax Information (Unaudited)
For the year ended December 31, 2009, 100% of the dividends paid from net investment company taxable income by the Goldman Sachs Structured Small Cap Equity Fund qualify for the dividends received deduction available to corporations.
| TRUSTEES | OFFICERS | |
Ashok N. Bakhru, Chairman | James A. McNamara, President | |
| John P. Coblentz, Jr. | George F. Travers, Principal Financial Officer | |
| Diana M. Daniels | Peter V. Bonanno, Secretary | |
| Patrick T. Harker | Scott M. McHugh, Treasurer | |
| 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. | ||
| A prospectus for the Fund containing more complete information may be obtained from your authorized dealer or from Goldman, Sachs & Co. by calling (retail – 1-800-526-7384) (institutional – 1-800-621-2550). Please consider a fund’s objectives, risks, and charges and expenses, and read the prospectus carefully before investing. The prospectus contains this and other information about the Fund. | ||
| The 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. When available, the Fund’s Forms N-Q may be reviewed and copied at the SEC’s Public Reference Room in Washington, D.C. and information on the operation of the Public Reference Room may also be obtained by calling 1-800-SEC-0330. 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 for the Fund. Please consider the 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 2010 Goldman, Sachs & Co. All rights reserved. | ||
| VITSTRUCSCAR10/32201.MF/02-10 | ||
Goldman
Sachs Variable Insurance Trust
| Goldman Sachs Structured U.S. Equity Fund |
Annual Report
December 31, 2009
|
GOLDMAN SACHS VARIABLE INSURANCE TRUST STRUCTURED U.S. EQUITY FUND
INVESTMENT OBJECTIVE
The Fund seeks long-term growth of capital and dividend income. The Fund seeks this objective through a broadly diversified portfolio of large-cap and blue-chip equity investments representing all major sectors of the U.S. economy.
Portfolio Management Discussion and Analysis
Below, the Goldman Sachs Quantitative Investment Strategies Team discusses the Fund’s performance and positioning for the 12 months ended December 31, 2009.
How did the Goldman Sachs Structured U.S. Equity Fund (the “Fund”) perform during the annual period ended December 31, 2009 (the “Reporting Period”)?
During the Reporting Period, the Fund’s Institutional and Service Shares generated average annual total returns of 21.15% and 20.89%, respectively. These returns compare to the 26.46% average annual total return of the Fund’s benchmark, the Standard & Poor’s 500 Index (with dividends reinvested) (the “S&P 500 Index”) during the same time period.
What economic and market factors most influenced the equity markets as a whole during the Reporting Period?
The performance of the U.S. equity markets can be divided into two distinct portions during the Reporting Period. Through early March 2009, the U.S. equity markets were characterized by negativity and soaring volatility, as the equity markets reacted to a litany of bad economic news. Investor concerns were fostered by rising unemployment and a still-fragile housing market, as well as by continued financial disruptions. Underlying this uncertainty was the fact that the U.S. economy had moved into a recession, as evidenced by waning consumer spending and a dimming export sector, which until recently, had been a rare bright spot in the U.S. economic picture. Global financial institutions cut back lending as other major financial institutions dealt with the after-shocks of bankruptcy, merger or government take-over. Together, these factors fostered heightened investor risk aversion and fear. The result was that investors sold off all types of equity assets in a flight to the relative safety of U.S. Treasuries.
Then, economic news improved and “green shoots” even began to appear in early March as investor sentiment improved. The Treasury Department finally revealed details on key parts of its financial rescue plans, and investors recognized that the government was not interested in nationalizing companies that could be viable as privately-owned enterprises. Gross Domestic Product (GDP) declined less than expected in the second quarter of 2009, and U.S. equities rallied strongly. Although the equity markets stalled somewhat in June, the rally resumed with vigor again in July, such that most of the major U.S. equity indices enjoyed gains for seven months in a row through September 2009. October saw choppy equity market results, as economic data remained mixed and investors questioned how long one of the biggest equity market recoveries ever could last. November and December then saw a rebound in the equity markets. In all, given the astonishing rally since early March, both the Dow Jones Industrial Index and the S&P 500 Index ended 2009 with their best annual gains since 2003, though still significantly down from their 2007 peaks. The equity market rally was broad based across sectors within the U.S. equity indices, and international equities rose sharply as well.
For the Reporting Period overall, the U.S. large-cap equity market, as measured by the S&P 500 Index, modestly outpaced its small-cap counterparts, as measured by the S&P SmallCap 600 Index, but lagged its mid-cap counterparts, as measured by the S&P MidCap 400 Index. While all ten sectors in the S&P 500 Index were up for the year, information technology and materials gained the most ground. The top-weighted information technology sector was also the largest positive contributor to S&P 500 Index returns. Given its heavier weighting in the information technology sector, it is not surprising, then, that the growth-oriented index for the U.S. large-cap equity market significantly outperformed the value-oriented index during the Reporting Period. The S&P 500/Citigroup Growth Index returned 31.57% for the Reporting Period compared to the 21.18% return of the S&P 500/Citigroup Value Index.
What key factors were responsible for the Fund’s performance during the Reporting Period?
As expected, and in keeping with our investment approach, our quantitative model and its six investment themes (Valuation, Profitability, Quality, Management, Momentum and Sentiment) had the greatest impact on relative performance. We use these themes to take a long-term view of market patterns and look for inefficiencies, selecting stocks for the Fund and overweighting or underweighting the ones chosen by the model. Over time and by design, the performance of any one of the model’s investment themes tends to have a low correlation with the model’s other themes, demonstrating the diversification
1
GOLDMAN SACHS VARIABLE INSURANCE TRUST STRUCTURED U.S. EQUITY FUND
benefit of the Fund’s theme-driven quantitative model. The variance in performance supports our research indicating that the diversification provided by the Fund’s different investment themes is a significant investment advantage over the long term, even though the Fund may experience underperformance in the short term.
Overall, the Fund underperformed the S&P 500 Index during the Reporting Period, with the Fund’s Profitability theme detracting the most from relative performance, followed by Quality and Sentiment. The Profitability theme assesses whether a company is earning more than its cost of capital. The Quality theme evaluates whether the company’s earnings are coming from more persistent, cash-based sources, as opposed to accruals. The Sentiment theme reflects selected investment views and decisions of individuals and financial intermediaries. The Management theme, which assesses the characteristics, policies and strategic decisions of company management, also negatively impacted relative returns, though to a lesser extent.
The Momentum and Valuation themes contributed positively to the Fund’s returns relative to the S&P 500 Index. The Momentum theme seeks to predict drifts in stock prices caused by under-reaction to company specific information. The Valuation theme attempts to capture potential mispricings of securities, typically by comparing a measure of the company’s intrinsic value to its market value.
How did the Fund’s sector allocations affect relative performance?
In constructing the Fund’s portfolio, we focus on picking stocks rather than making industry or sector bets. Consequently, the Fund is similar to its benchmark, the S&P 500 Index, in terms of its sector allocation and style. However, we seek to outpace the S&P 500 Index by overweighting stocks that we expect to outperform and underweighting those that we think may lag. We also build positions based on our thematic views. For example, the Fund aims to hold a basket of stocks with more favorable Momentum characteristics than the benchmark index. We manage the Fund’s industry and sector exposure by including industry factors in our risk model and by explicitly penalizing industry and sector deviations from the benchmark index in optimization. Sector weights generally do not have a meaningful impact on relative performance.
All that said, stock selection in the telecommunication services and information technology sectors made the biggest positive contribution to the Fund’s results relative to the S&P 500 Index. Conversely, stock selection in the consumer discretionary, financials and health care sectors detracted most from the Fund’s results relative to its benchmark index.
Which individual stock positions contributed the most to the Fund’s relative returns during the Reporting Period?
The Fund benefited most from overweight positions in rigid computer disk drive manufacturer Seagate Technology, software manufacturing giant Microsoft, and diversified banking institution Citigroup. We chose to overweight Seagate Technology and Citigroup because of our positive views on Quality and Valuation. The overweight in Microsoft was the result of our positive views on Profitability and Management.
Which individual positions detracted from the Fund’s results during the Reporting Period?
Detracting most from the Fund’s results relative to its benchmark index were overweight positions in supplemental insurance company Aflac, discount retailer Family Dollar Store, and pharmaceutical manufacturer Eli Lilly. Our positive views on Profitability and Sentiment led us to overweight Aflac and Family Dollar Store. The Fund had an overweighted position in Eli Lilly because of our positive views on Profitability and Quality.
Did you make any enhancements to your quantitative models during the Reporting Period?
We continuously look for ways to improve our investment process. Accordingly, during the Reporting Period, we introduced a number of enhancements to the proprietary quantitative model we use in the Fund. During the first quarter of 2009, we added a new factor to our global models, which extends the Fund’s Momentum theme by examining additional relationships across firms. This enhancement is part of our ongoing research effort in developing cross-company linkage signals. We believe that this new factor has predictive ability and should further add value to our process over time.
During the second quarter of 2009, we introduced an enhanced risk model to our process. The key features are the dynamic adjustment of volatility decay rates based on the market environment, as well as the decomposition of factor exposures into different lags and the inclusion of short interest as a control factor. The expected benefits of these rather complex features are the ability to react to changing markets in a timelier manner, avoiding stale exposures and better controlling active exposure to heavily shorted companies.
We continued our extensive ongoing research process, but did not implement significant model enhancements in the third quarter of 2009. During the fourth quarter of 2009, we implemented several enhancements to our U.S. equity models. We
2
GOLDMAN SACHS VARIABLE INSURANCE TRUST STRUCTURED U.S. EQUITY FUND
continued to refine our process to properly adjust for crowding which, if not controlled, has the potential to shorten the horizon over which updated signal values are effective. Crowding is a phenomenon in which quantitative managers look for similar stock traits using similar investment themes. We also continued to improve our cross-company linkage signals by examining the relationship between companies that are economically linked on a global basis. Further, we introduced two new signals within the Management theme. The first seeks to capture select actions of managers of hard-to-value companies, while the other identifies companies where managers have an incentive that is tied to shareholder value. Lastly, we continued our sector-specific research and implemented a signal that measures the efficiency and profitability of airline companies. We believe these enhancements have predictive ability and should further add value to our process over time.
What was the Fund’s sector positioning relative to its benchmark index at the end of the Reporting Period?
As of December 31, 2009, the Fund was overweight the health care, materials, and information technology sectors relative to the S&P 500 Index. The Fund was underweight the utilities, financials, consumer staples and telecommunication services sectors compared to the benchmark index on the same date. The Fund was relatively neutral in the energy, industrials and consumer discretionary sectors at the end of the Reporting Period.
What is your strategy going forward for the Fund?
In the coming months, we believe that less expensive stocks should outpace more expensive stocks, and that stocks with good momentum are likely to outperform those with poor momentum. Our focus will remain on companies with increasingly strong fundamentals, good profitability, sustainable earnings and a track record of using capital to enhance shareholder value. As such, we anticipate remaining fully invested with long-term performance likely to be the result of stock selection rather than sector or size allocations.
We stand behind our investment philosophy that sound economic investment principles, coupled with a disciplined quantitative approach, can provide strong, uncorrelated returns over the long run. Our research agenda is robust, and we continue to enhance our existing models, add new proprietary forecasting signals, and improve our trading execution as we seek to provide the most value to our shareholders.
CHANGES MADE TO THE TEAM’S MANAGEMENT
Mark Carhart and Ray Iwanowski, formerly co-heads of Quantitative Investment Strategies (QIS), have retired, each to pursue separate personal and professional objectives. Giorgio De Santis, co-head of QIS Research, also decided to retire.
Carolina Minio-Paluello, Managing Director, has accepted a new opportunity within the firm. Gary Chropuvka, Managing Director, has assumed Carolina’s responsibilities and has become the Head of Global Client Portfolio Management and Product Strategy for QIS. Gary has been with the QIS team for more than 10 years and has extensive experience with the team’s U.S. client effort. Additionally, Michael Cooper, Vice President and research analyst on our equity research team, has left the firm. Michael joined the QIS team in January 2008 and has returned to the David Eccles School of Business at the University of Utah, where he was previously an Associate Professor of Finance. Michael’s research responsibilities have been assumed by the existing QIS equity research team.
In November 2009, Claira Kim joined the QIS team as a Vice President and will assist Veronica Foo, who is our Chief Operating Officer. We were also pleased to welcome six new analysts and an associate to the team during the Reporting Period. They will assume various functions within the QIS team.
After 23 years of distinguished service, Robert B. Litterman, the chairman of GSAM’s QIS Group, retired from the firm at the end of 2009. Additionally, Bob Jones, previously co-CIO of the QIS equity business, decided to become an advisory director of QIS. After running our equity business for almost 20 years, Bob stepped away from actively managing portfolios in 2007. In his new role as advisory director, he spends his time focusing on special research projects, particularly in the quantitative equity space. Katinka Domotorffy will remain as Chief Investment Officer and the Head of QIS, continuing to work alongside Kent Daniel and Bill Fallon, co-CIOs of our equity and macro-fixed income businesses, respectively. The QIS team of over 120 professionals and 30-plus information technologists remains dedicated to research excellence as we enter 2010.
3
GOLDMAN SACHS VARIABLE INSURANCE TRUST STRUCTURED U.S. EQUITY FUND
Portfolio Composition
TOP TEN PORTFOLIO HOLDINGS AS OF 12/31/09*
| Holding | % of Net Assets | Line of Business | ||||||
| Microsoft Corp. | 4.5 | % | Software & Services | |||||
| Exxon Mobil Corp. | 3.4 | Energy | ||||||
| Eli Lilly & Co. | 3.1 | Pharmaceuticals, Biotechnology & Life Sciences | ||||||
| Devon Energy Corp. | 2.7 | Energy | ||||||
| Pfizer, Inc. | 2.4 | Pharmaceuticals, Biotechnology & Life Sciences | ||||||
| United Parcel Service, Inc. Class B | 2.2 | Transportation | ||||||
| Lorillard, Inc. | 2.2 | Food, Beverage & Tobacco | ||||||
| Seagate Technology | 2.1 | Technology Hardware & Equipment | ||||||
| Intel Corp. | 2.0 | Semiconductors & Semiconductor Equipment | ||||||
| Wells Fargo & Co. | 2.0 | Banks | ||||||
* Opinions expressed in this report represent our present opinions only. Reference to individual securities should not be construed as a commitment that such securities will be retained by the Fund. From time to time, the Fund may change the individual securities it holds, the number or types of securities held and the markets in which it invests. Fund holdings of securities should not be relied upon in making investment decisions and should not be construed as research or investment advice regarding particular securities. References to individual securities do not constitute a recommendation to the investor to buy, hold or sell such securities. In addition, references to past performance of the Fund do not indicate future returns, which are not guaranteed and will vary. Furthermore, the value of shares of the Fund may fall as well as rise.
FUND vs. BENCHMARK SECTOR ALLOCATION AS OF 12/31/091
1 The Fund is actively managed and, as such, its composition may differ over time. The above graph categorizes investments using Global Industry Classification Standard (“GICS”), however, the sector classifications used by the portfolio management team may differ from GICS. Underlying industry sector allocations of exchange traded funds (“ETFs”) held by the Fund are not reflected in the graph above. Consequently, the Fund’s overall industry sector allocations may differ from the percentages contained in the graph above. The percentage shown for each investment category reflects the value of investments in that category as a percentage of market value (excluding investments in the securities lending reinvestment vehicle, if any). Investment in the securities lending reinvestment vehicle represented 7.4% of the Fund’s net assets at December 31, 2009.
4
GOLDMAN SACHS VARIABLE INSURANCE TRUST STRUCTURED U.S. EQUITY FUND
Performance Summary
December 31, 2009
The following graph shows the value, as of December 31, 2009, of a $10,000 investment made on January 1, 2000 in the Institutional Shares at net asset value per share. For comparative purposes, the performance of the Fund’s benchmark, the S&P 500 Index (with dividends reinvested), is shown. This performance data represents past performance and should not be considered indicative of future performance, which will fluctuate with changes in market conditions. These performance fluctuations will cause an investor’s shares, when redeemed, to be worth more or less than their original cost. Performance reflects Fund level expenses but does not reflect fees and expenses associated with any variable annuity contract or variable life insurance policy that uses the Fund as an investment option for any contract or policy. Had performance reflected all of those fees and expenses, performance would have been reduced. Performance also would have been reduced had expense limitations not been in effect. Performance of Service Shares will vary from Institutional Shares due to differences in fees. In addition to the investment adviser’s decisions regarding issuer/industry investment selection and allocation, other factors may affect Fund performance. These factors include, but are not limited to, Fund operating fees and expenses, portfolio turnover, and subscription and redemption cash flows affecting the Fund.
Structured U.S. Equity Fund’s 10 Year Performance
Performance of a $10,000 investment, with distributions reinvested, from January 1, 2000 through December 31, 2009.
| Average Annual Total Return through December 31, 2009 | One Year | Five Years | Ten Years | Since Inception | ||||||||||||||
Institutional (Commenced February 13, 1998) | 21.15% | −2.02% | −1.78% | 1.48% | ||||||||||||||
Service (Commenced January 9, 2006) | 20.89% | n/a | n/a | −4.95% | ||||||||||||||
GOLDMAN SACHS VARIABLE INSURANCE TRUST STRUCTURED U.S. EQUITY FUND
Schedule of Investments
December 31, 2009
| Shares | Description | Value | ||||||||
Common Stocks – 98.1% | ||||||||||
| Automobiles & Components – 0.8% | ||||||||||
| 102,281 | Ford Motor Co.* | $ | 1,022,810 | |||||||
| 98,650 | Johnson Controls, Inc. | 2,687,226 | ||||||||
| 3,710,036 | ||||||||||
| Banks – 3.1% | ||||||||||
| 72,982 | BB&T Corp. | 1,851,553 | ||||||||
| 17,565 | Hudson City Bancorp, Inc. | 241,168 | ||||||||
| 137,085 | U.S. Bancorp | 3,085,783 | ||||||||
| 334,669 | Wells Fargo & Co. | 9,032,716 | ||||||||
| 14,211,220 | ||||||||||
| Capital Goods – 7.0% | ||||||||||
| 11,446 | Armstrong World Industries, Inc.* | 445,593 | ||||||||
| 13,887 | Caterpillar, Inc. | 791,420 | ||||||||
| 27,969 | Cummins, Inc. | 1,282,658 | ||||||||
| 23,869 | Eaton Corp.(a) | 1,518,546 | ||||||||
| 84,411 | Emerson Electric Co. | 3,595,909 | ||||||||
| 448,336 | General Electric Co. | 6,783,324 | ||||||||
| 31,065 | Honeywell International, Inc. | 1,217,748 | ||||||||
| 30,138 | Ingersoll-Rand PLC | 1,077,132 | ||||||||
| 51,894 | Lockheed Martin Corp. | 3,910,213 | ||||||||
| 4,750 | Navistar International Corp.* | 183,587 | ||||||||
| 65,358 | Northrop Grumman Corp. | 3,650,244 | ||||||||
| 9,355 | Rockwell Automation, Inc.(a) | 439,498 | ||||||||
| 8,556 | Timken Co. | 202,863 | ||||||||
| 47,216 | Toro Co.(a) | 1,974,101 | ||||||||
| 67,486 | United Technologies Corp. | 4,684,203 | ||||||||
| 31,757,039 | ||||||||||
| Commercial & Professional Services – 0.4% | ||||||||||
| 31,539 | Manpower, Inc.(a) | 1,721,399 | ||||||||
| Consumer Durables & Apparel – 0.3% | ||||||||||
| 32,479 | Harman International Industries, Inc.(a) | 1,145,859 | ||||||||
| Consumer Services – 0.8% | ||||||||||
| 14,111 | Apollo Group, Inc. Class A*(a) | 854,844 | ||||||||
| 78,694 | Carnival Corp.* | 2,493,813 | ||||||||
| 13,042 | Marriott International, Inc. Class A(a) | 355,395 | ||||||||
| 3,704,052 | ||||||||||
| Diversified Financials – 4.6% | ||||||||||
| 14,758 | AmeriCredit Corp.*(a) | 280,992 | ||||||||
| 297,703 | Bank of America Corp. | 4,483,407 | ||||||||
| 72,827 | Capital One Financial Corp. | 2,792,187 | ||||||||
| 757,883 | Citigroup, Inc. | 2,508,593 | ||||||||
| 55,963 | Discover Financial Services | 823,216 | ||||||||
| 132,907 | JPMorgan Chase & Co. | 5,538,235 | ||||||||
| 85,343 | SEI Investments Co.(a) | 1,495,209 | ||||||||
| 103,587 | The Bank of New York Mellon Corp. | 2,897,329 | ||||||||
| 20,819,168 | ||||||||||
| Energy – 11.5% | ||||||||||
| 17,048 | Baker Hughes, Inc. | 690,103 | ||||||||
| 101,674 | Chevron Corp. | 7,827,881 | ||||||||
| 10,243 | Cimarex Energy Co. | 542,572 | ||||||||
| 135,497 | ConocoPhillips | 6,919,832 | ||||||||
| 165,699 | Devon Energy Corp. | 12,178,877 | ||||||||
| 3,673 | Ensco International PLC ADR | 146,700 | ||||||||
| 38,047 | Exterran Holdings, Inc.*(a) | 816,108 | ||||||||
| 223,373 | Exxon Mobil Corp. | 15,231,805 | ||||||||
| 92,112 | Halliburton Co. | 2,771,650 | ||||||||
| 33,247 | Schlumberger Ltd. | 2,164,047 | ||||||||
| 106,983 | Valero Energy Corp. | 1,791,965 | ||||||||
| 16,929 | XTO Energy, Inc. | 787,706 | ||||||||
| 51,869,246 | ||||||||||
| Food & Staples Retailing – 2.0% | ||||||||||
| 8,436 | Costco Wholesale Corp. | 499,158 | ||||||||
| 61,926 | CVS Caremark Corp. | 1,994,637 | ||||||||
| 58,140 | SUPERVALU, Inc.(a) | 738,959 | ||||||||
| 43,457 | Walgreen Co. | 1,595,741 | ||||||||
| 80,343 | Wal-Mart Stores, Inc. | 4,294,333 | ||||||||
| 9,122,828 | ||||||||||
| Food, Beverage & Tobacco – 6.4% | ||||||||||
| 26,929 | Altria Group, Inc. | 528,616 | ||||||||
| 172,334 | Archer-Daniels-Midland Co. | 5,395,777 | ||||||||
| 11,952 | Campbell Soup Co. | 403,978 | ||||||||
| 46,836 | Hansen Natural Corp.* | 1,798,502 | ||||||||
| 121,733 | Lorillard, Inc. | 9,766,639 | ||||||||
| 71,572 | PepsiCo, Inc. | 4,351,578 | ||||||||
| 76,615 | Philip Morris International, Inc. | 3,692,077 | ||||||||
| 23,197 | The Coca-Cola Co. | 1,322,229 | ||||||||
| 136,853 | Tyson Foods, Inc. Class A(a) | 1,679,186 | ||||||||
| 28,938,582 | ||||||||||
| Health Care Equipment & Services – 3.8% | ||||||||||
| 4,816 | Aetna, Inc. | 152,667 | ||||||||
| 6,242 | Becton, Dickinson and Co. | 492,244 | ||||||||
| 198,599 | Boston Scientific Corp.* | 1,787,391 | ||||||||
| 65,807 | Cardinal Health, Inc. | 2,121,618 | ||||||||
| 72,112 | CareFusion Corp.*(a) | 1,803,521 | ||||||||
| 38,978 | Coventry Health Care, Inc.* | 946,776 | ||||||||
| 14,893 | Humana, Inc.* | 653,654 | ||||||||
| 19,077 | McKesson Corp. | 1,192,312 | ||||||||
| 10,159 | Medco Health Solutions, Inc.* | 649,262 | ||||||||
| 16,580 | Stryker Corp. | 835,134 | ||||||||
| 111,747 | UnitedHealth Group, Inc. | 3,406,048 | ||||||||
| 51,454 | WellPoint, Inc.* | 2,999,254 | ||||||||
| 17,039,881 | ||||||||||
| Household & Personal Products – 2.2% | ||||||||||
| 23,278 | Colgate-Palmolive Co. | 1,912,288 | ||||||||
| 3,976 | Herbalife Ltd. | 161,306 | ||||||||
| 132,931 | The Procter & Gamble Co. | 8,059,607 | ||||||||
| 10,133,201 | ||||||||||
| Insurance – 2.4% | ||||||||||
| 69,284 | MBIA, Inc.*(a) | 275,750 | ||||||||
| 81,551 | MetLife, Inc. | 2,882,828 | ||||||||
| 37,199 | Prudential Financial, Inc. | 1,851,022 | ||||||||
GOLDMAN SACHS VARIABLE INSURANCE TRUST STRUCTURED U.S. EQUITY FUND
| Shares | Description | Value | ||||||||
Common Stocks – (continued) | ||||||||||
| Insurance – (continued) | ||||||||||
| 28,143 | The Travelers Companies, Inc. | $ | 1,403,210 | |||||||
| 224,969 | Unum Group | 4,391,395 | ||||||||
| 10,804,205 | ||||||||||
| Materials – 4.2% | ||||||||||
| 76,002 | E.I. du Pont de Nemours & Co. | 2,558,987 | ||||||||
| 22,396 | Eastman Chemical Co. | 1,349,135 | ||||||||
| 38,157 | Freeport-McMoRan Copper & Gold, Inc.* | 3,063,626 | ||||||||
| 133,054 | International Paper Co. | 3,563,186 | ||||||||
| 15,425 | Monsanto Co. | 1,260,994 | ||||||||
| 51,010 | Newmont Mining Corp. | 2,413,283 | ||||||||
| 6,806 | Reliance Steel & Aluminum Co.(a) | 294,155 | ||||||||
| 15,278 | Schnitzer Steel Industries, Inc. Class A(a) | 728,761 | ||||||||
| 131,721 | The Dow Chemical Co. | 3,639,451 | ||||||||
| 18,871,578 | ||||||||||
| Media – 3.5% | ||||||||||
| 174,637 | Comcast Corp. Class A | 2,944,380 | ||||||||
| 147,424 | DISH Network Corp. Class A | 3,061,996 | ||||||||
| 31,491 | News Corp. Class A | 431,112 | ||||||||
| 6,923 | Time Warner Cable, Inc. | 286,543 | ||||||||
| 300,299 | Time Warner, Inc. | 8,750,713 | ||||||||
| 12,413 | Viacom, Inc. Class B* | 369,038 | ||||||||
| 15,843,782 | ||||||||||
| Pharmaceuticals, Biotechnology & Life Sciences – 9.7% | ||||||||||
| 119,232 | Amgen, Inc.* | 6,744,954 | ||||||||
| 7,738 | Celgene Corp.* | 430,852 | ||||||||
| 393,476 | Eli Lilly & Co. | 14,051,028 | ||||||||
| 63,409 | Forest Laboratories, Inc.* | 2,036,063 | ||||||||
| 140,123 | Gilead Sciences, Inc.* | 6,064,523 | ||||||||
| 58,146 | Johnson & Johnson | 3,745,184 | ||||||||
| 607,925 | Pfizer, Inc. | 11,058,156 | ||||||||
| 44,130,760 | ||||||||||
| Real Estate Investment Trust – 3.2% | ||||||||||
| 14,719 | AvalonBay Communities, Inc.(a) | 1,208,577 | ||||||||
| 5,789 | Nationwide Health Properties, Inc.(a) | 203,657 | ||||||||
| 17,911 | Plum Creek Timber Co., Inc.(a) | 676,319 | ||||||||
| 32,915 | Public Storage, Inc.(a) | 2,680,927 | ||||||||
| 69,045 | Rayonier, Inc.(a) | 2,910,937 | ||||||||
| 84,688 | Simon Property Group, Inc.(a) | 6,758,103 | ||||||||
| 14,438,520 | ||||||||||
| Retailing – 3.8% | ||||||||||
| 24,686 | Amazon.com, Inc.* | 3,320,761 | ||||||||
| 32,028 | Best Buy Co., Inc. | 1,263,825 | ||||||||
| 13,734 | Dollar Tree, Inc.* | 663,352 | ||||||||
| 86,046 | Expedia, Inc.*(a) | 2,212,243 | ||||||||
| 16,397 | J.C. Penney Co., Inc. | 436,324 | ||||||||
| 49,959 | Macy’s, Inc. | 837,313 | ||||||||
| 20,514 | Nordstrom, Inc.(a) | 770,916 | ||||||||
| 46,462 | Office Depot, Inc.* | 299,680 | ||||||||
| 88,983 | Ross Stores, Inc.(a) | 3,800,464 | ||||||||
| 35,263 | The Gap, Inc. | 738,760 | ||||||||
| 67,637 | The TJX Companies, Inc. | 2,472,132 | ||||||||
| 28,966 | Williams-Sonoma, Inc.(a) | 601,913 | ||||||||
| 17,417,683 | ||||||||||
| Semiconductors & Semiconductor Equipment – 3.6% | ||||||||||
| 451,098 | Intel Corp. | 9,202,399 | ||||||||
| 42,754 | LSI Corp.* | 256,952 | ||||||||
| 255,105 | Texas Instruments, Inc. | 6,648,036 | ||||||||
| 16,107,387 | ||||||||||
| Software & Services – 8.4% | ||||||||||
| 101,105 | Accenture PLC Class A | 4,195,857 | ||||||||
| 26,242 | AOL, Inc.* | 610,914 | ||||||||
| 7,662 | Google, Inc. Class A* | 4,750,287 | ||||||||
| 669,191 | Microsoft Corp. | 20,403,633 | ||||||||
| 165,594 | Oracle Corp. | 4,063,677 | ||||||||
| 180,910 | Symantec Corp.* | 3,236,480 | ||||||||
| 40,083 | VeriSign, Inc.*(a) | 971,612 | ||||||||
| 38,232,460 | ||||||||||
| Technology Hardware & Equipment – 8.1% | ||||||||||
| 14,070 | Arrow Electronics, Inc.* | 416,613 | ||||||||
| 15,425 | Avnet, Inc.*(a) | 465,218 | ||||||||
| 271,802 | Cisco Systems, Inc.* | 6,506,940 | ||||||||
| 397,162 | Dell, Inc.* | 5,703,246 | ||||||||
| 96,398 | EMC Corp.* | 1,684,073 | ||||||||
| 61,312 | Flextronics International Ltd.* | 448,191 | ||||||||
| 152,664 | Ingram Micro, Inc. Class A* | 2,663,987 | ||||||||
| 188,337 | Motorola, Inc.* | 1,461,495 | ||||||||
| 17,844 | SanDisk Corp.*(a) | 517,297 | ||||||||
| 515,603 | Seagate Technology(a) | 9,378,819 | ||||||||
| 198,399 | Sun Microsystems, Inc.* | 1,858,999 | ||||||||
| 90,480 | Tellabs, Inc.* | 513,926 | ||||||||
| 86,274 | Tyco Electronics Ltd. | 2,118,027 | ||||||||
| 64,109 | Western Digital Corp.* | 2,830,412 | ||||||||
| 36,567,243 | ||||||||||
| Telecommunication Services – 2.8% | ||||||||||
| 320,722 | AT&T, Inc.(b) | 8,989,838 | ||||||||
| 7,820 | CenturyTel, Inc. | 283,162 | ||||||||
| 566,674 | Sprint Nextel Corp.* | 2,074,027 | ||||||||
| 34,442 | Verizon Communications, Inc. | 1,141,063 | ||||||||
| 12,488,090 | ||||||||||
| Transportation – 2.9% | ||||||||||
| 18,690 | FedEx Corp. | 1,559,681 | ||||||||
| 135,043 | Southwest Airlines Co. | 1,543,541 | ||||||||
| 175,972 | United Parcel Service, Inc. Class B | 10,095,514 | ||||||||
| 13,198,736 | ||||||||||
| Utilities – 2.6% | ||||||||||
| 5,998 | Consolidated Edison, Inc. | 272,489 | ||||||||
| 35,126 | Dominion Resources, Inc. | 1,367,104 | ||||||||
| 259,042 | Duke Energy Corp. | 4,458,113 | ||||||||
| 2,156 | Entergy Corp. | 176,447 | ||||||||
GOLDMAN SACHS VARIABLE INSURANCE TRUST STRUCTURED U.S. EQUITY FUND
Schedule of Investments (continued)
December 31, 2009
| Shares | Description | Value | ||||||||
Common Stocks – (continued) | ||||||||||
| Utilities – (continued) | ||||||||||
| 92,714 | Exelon Corp. | $ | 4,530,933 | |||||||
| 5,524 | Integrys Energy Group, Inc. | 231,953 | ||||||||
| 13,254 | NiSource, Inc. | 203,847 | ||||||||
| 22,446 | Public Service Enterprise Group, Inc. | 746,329 | ||||||||
| 11,987,215 | ||||||||||
TOTAL COMMON STOCKS | ||||||||||
| (Cost $396,165,990) | $ | 444,260,170 | ||||||||
| Shares | Rate | Value | ||||||||
Short-term Investment(c) – 2.4% | ||||||||||
| JPMorgan U.S. Government Money Market Fund – Capital Shares | ||||||||||
| 10,774,190 | 0.049% | $ | 10,774,190 | |||||||
| (Cost $10,774,190) | ||||||||||
| TOTAL INVESTMENTS BEFORE SECURITIES LENDING REINVESTMENT VEHICLE | ||||||||||
| (Cost $406,940,180) | $ | 455,034,360 | ||||||||
Securities Lending Reinvestment Vehicle(c)(d) – 7.4% | ||||||||||
| Boston Global Investment Trust – Enhanced Portfolio II | ||||||||||
| 33,609,228 | 0.155% | $ | 33,642,837 | |||||||
| (Cost $33,609,227) | ||||||||||
TOTAL INVESTMENTS – 107.9% | ||||||||||
| (Cost $440,549,407) | $ | 488,677,197 | ||||||||
| LIABILITIES IN EXCESS OF OTHER ASSETS – (7.9)% | (35,611,274 | ) | ||||||||
| NET ASSETS – 100.0% | $ | 453,065,923 | ||||||||
The percentage shown for each investment category reflects the value of investments in that category as a percentage of net assets.
| * | Non-income producing security. | |
| (a) | All or a portion of security is on loan. | |
| (b) | 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 December 31, 2009. | |
| (d) | Represents an affiliated issuer. |
| Investment Abbreviation: | ||||||
| ADR | — | American Depositary Receipt | ||||
ADDITIONAL INVESTMENT INFORMATION
FUTURES CONTRACTS — At December 31, 2009, the following futures contracts were open:
| Number of | Expiration | Unrealized | ||||||||||||||
| Type | Contracts Long | Date | Value | Gain | ||||||||||||
S&P 500 E-mini | 170 | March 2010 | $ | 9,440,950 | $ | 17,035 | ||||||||||
GOLDMAN SACHS VARIABLE INSURANCE TRUST STRUCTURED U.S. EQUITY FUND
Statement of Assets and Liabilities
December 31, 2009
| Assets: | ||||||
| Investments in securities of unaffiliated issuers, at value (identified cost $406,940,180)(a) | $ | 455,034,360 | ||||
| Investments in affiliated securities lending reinvestment vehicle, at value (identified cost $33,609,227) | 33,642,837 | |||||
| Receivables: | ||||||
Dividends | 307,207 | |||||
Reimbursement from investment adviser | 20,669 | |||||
Fund shares sold | 19,720 | |||||
Securities lending income | 2,260 | |||||
| Total assets | 489,027,053 | |||||
| Liabilities: | ||||||
| Payables: | ||||||
Payable upon return of securities loaned | 34,273,825 | |||||
Fund shares redeemed | 688,839 | |||||
Amounts owed to affiliates | 267,587 | |||||
Due to broker — variation margin | 96,900 | |||||
| Accrued expenses and other liabilities | 633,979 | |||||
| Total liabilities | 35,961,130 | |||||
| Net Assets: | ||||||
| Paid-in capital | 680,488,224 | |||||
| Accumulated undistributed net investment income | 273,625 | |||||
| Accumulated net realized loss from investment and futures transactions | (275,840,751 | ) | ||||
| Net unrealized gain on investments and futures | 48,144,825 | |||||
| NET ASSETS | $ | 453,065,923 | ||||
| Net Assets: | ||||||
Institutional | $ | 340,535,687 | ||||
Service | 112,530,236 | |||||
| Total Net Assets | $ | 453,065,923 | ||||
| Shares of beneficial interest outstanding $0.001 par value (unlimited shares authorized): | ||||||
Institutional | 35,835,320 | |||||
Service | 11,827,385 | |||||
| Net asset value, offering and redemption price per share: | ||||||
Institutional | $ | 9.50 | ||||
Service | 9.51 | |||||
| (a) | Includes loaned securities having a market value of $32,973,335. |
GOLDMAN SACHS VARIABLE INSURANCE TRUST STRUCTURED U.S. EQUITY FUND
Statement of Operations
For the Fiscal Year Ended December 31, 2009
| Investment income: | ||||||
| Dividends | $ | 9,527,834 | ||||
| Securities lending income — affiliated issuer | 749,671 | |||||
| Total investment income | 10,277,505 | |||||
| Expenses: | ||||||
| Management fees | 2,688,744 | |||||
| Distribution and Service fees — Service Shares | 255,400 | |||||
| Printing fees | 95,293 | |||||
| Transfer Agent fees(a) | 84,795 | |||||
| Professional fees | 77,302 | |||||
| Custody and accounting fees | 55,468 | |||||
| Trustee fees | 16,663 | |||||
| Other | 29,484 | |||||
| Total expenses | 3,303,149 | |||||
| Less — expense reductions | (221,493 | ) | ||||
| Net expenses | 3,081,656 | |||||
| NET INVESTMENT INCOME | 7,195,849 | |||||
| Realized and unrealized gain (loss) from investment and futures transactions: | ||||||
| Net realized gain (loss) from: | ||||||
Investment transactions — unaffiliated issuers | (77,589,893 | ) | ||||
Securities lending reinvestment vehicle transactions — affiliated issuer | 599,888 | |||||
Futures transactions | 1,615,725 | |||||
| Net change in unrealized gain (loss) on: | ||||||
Investments — unaffiliated issuers | 149,192,180 | |||||
Securities lending reinvestment vehicle — affiliated issuer | (75,561 | ) | ||||
Futures | (197,718 | ) | ||||
| Net realized and unrealized gain from investment and futures transactions | 73,544,621 | |||||
| NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS | $ | 80,740,470 | ||||
| (a) | Institutional and Service Shares had Transfer Agent fees of $64,366 and $20,429, respectively. |
GOLDMAN SACHS VARIABLE INSURANCE TRUST STRUCTURED U.S. EQUITY FUND
Statements of Changes in Net Assets
| For the Fiscal | For the Fiscal | |||||||||
| Year Ended | Year Ended | |||||||||
| December 31, 2009 | December 31, 2008 | |||||||||
| From operations: | ||||||||||
| Net investment income | $ | 7,195,849 | $ | 10,381,685 | ||||||
| Net realized loss from investment and futures | (75,374,280 | ) | (164,162,633 | ) | ||||||
| Net change in unrealized gain (loss) on investments and futures | 148,918,901 | (147,574,697 | ) | |||||||
| Net increase (decrease) in net assets resulting from operations | 80,740,470 | (301,355,645 | ) | |||||||
| Distributions to shareholders: | ||||||||||
| From net investment income | ||||||||||
Institutional Shares | (6,370,564 | ) | (7,626,004 | ) | ||||||
Service Shares | (1,887,246 | ) | (2,046,496 | ) | ||||||
| From net realized gains | ||||||||||
Institutional Shares | — | (4,278,205 | ) | |||||||
Service Shares | — | (1,333,264 | ) | |||||||
| Total distributions to shareholders | (8,257,810 | ) | (15,283,969 | ) | ||||||
| From share transactions: | ||||||||||
| Proceeds from sales of shares | 10,818,239 | 12,580,702 | ||||||||
| Reinvestment of distributions | 8,257,810 | 15,283,969 | ||||||||
| Cost of shares redeemed | (89,222,749 | ) | (218,640,245 | ) | ||||||
| Net decrease in net assets resulting from share transactions | (70,146,700 | ) | (190,775,574 | ) | ||||||
| TOTAL INCREASE (DECREASE) | 2,335,960 | (507,415,188 | ) | |||||||
| Net assets: | ||||||||||
| Beginning of year | 450,729,963 | 958,145,151 | ||||||||
| End of year | $ | 453,065,923 | $ | 450,729,963 | ||||||
| Accumulated undistributed net investment income | $ | 273,625 | $ | 1,333,285 | ||||||
GOLDMAN SACHS VARIABLE INSURANCE TRUST STRUCTURED U.S. EQUITY FUND
Financial Highlights
Selected Data for a Share Outstanding Throughout Each Year
| Income (loss) from | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
| investment operations | Distributions to shareholders | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||
| Net | Ratio of | Ratio of | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||
| Net asset | realized | From | Net asset | Net assets, | Ratio of | total | net investment | |||||||||||||||||||||||||||||||||||||||||||||||||||
| value, | Net | and | Total from | From net | net | value, | end of | net expenses | expenses | income | Portfolio | |||||||||||||||||||||||||||||||||||||||||||||||
| beginning | investment | unrealized | investment | investment | realized | Total | end of | Total | year | to average | to average | to average | turnover | |||||||||||||||||||||||||||||||||||||||||||||
| Year - Share Class | of year | income(a) | gain (loss) | operations | income | gains | distributions | year | return(b) | (in 000s) | net assets | net assets | net assets | rate | ||||||||||||||||||||||||||||||||||||||||||||
| FOR THE FISCAL YEARS ENDED DECEMBER 31, | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
| 2009 - Institutional | $ | 7.99 | $ | 0.15 | $ | 1.54 | $ | 1.69 | $ | (0.18 | ) | $ | — | $ | (0.18 | ) | $ | 9.50 | 21.15 | % | $ | 340,536 | 0.68 | % | 0.72 | % | 1.75 | % | 136 | % | ||||||||||||||||||||||||||||
| 2009 - Service | 8.00 | 0.13 | 1.54 | 1.67 | (0.16 | ) | — | (0.16 | ) | 9.51 | 20.89 | 112,530 | 0.89 | 0.97 | 1.53 | 136 | ||||||||||||||||||||||||||||||||||||||||||
| 2008 - Institutional | 13.16 | 0.17 | (5.06 | ) | (4.89 | ) | (0.18 | ) | (0.10 | ) | (0.28 | ) | 7.99 | (36.92 | ) | 344,144 | 0.71 | 0.72 | 1.53 | 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 | 0.97 | 1.34 | 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 | (c) | 0.72 | (c) | 1.02 | (c) | 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 | (c) | 0.97 | (c) | 0.94 | (c) | 125 | |||||||||||||||||||||||||||||||||||
| 2006 - Institutional | 13.13 | 0.14 | 1.55 | 1.69 | (0.15 | ) | — | (0.15 | ) | 14.67 | 12.89 | 910,345 | 0.72 | 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 | (d) | 0.97 | (d) | 0.92 | (d) | 99 | |||||||||||||||||||||||||||||||||||||||
| 2005 - Institutional | 12.42 | 0.13 | 0.68 | 0.81 | (0.10 | ) | — | (0.10 | ) | 13.13 | 6.51 | 820,394 | 0.74 | 0.76 | 1.00 | 109 | ||||||||||||||||||||||||||||||||||||||||||
| (a) | Calculated based on the average shares outstanding methodology. | |
| (b) | Assumes investment at the net asset value at the beginning of the year, reinvestment of all distributions and a complete redemption of the investment at the net asset value at the end of the year. Total returns for periods less than one full year are not annualized. | |
| (c) | Includes non-recurring expense for a special shareholder meeting which amounted to approximately 0.02% of average net assets. | |
| (d) | Annualized. |
The accompanying notes are an integral part of these financial statements.
12
GOLDMAN SACHS VARIABLE INSURANCE TRUST STRUCTURED U.S. EQUITY FUND
Notes to Financial Statements
December 31, 2009
1. ORGANIZATION
Goldman Sachs Variable Insurance Trust (the “Trust” or “VIT”) is a Delaware statutory trust registered under the Investment Company Act of 1940, as amended (the “Act”), as an open-end management investment company. The Trust includes the Goldman Sachs Structured U.S. Equity Fund (the “Fund”). The Fund is a diversified portfolio under the Act offering two classes of shares — Institutional and Service. Goldman, Sachs & Co. (“Goldman Sachs” or the “Distributor”) serves as Distributor of the shares of the Fund pursuant to a Distribution Agreement.
Goldman Sachs Asset Management, L.P. (“GSAM”), an affiliate of Goldman Sachs, serves as investment adviser pursuant to a management agreement (the “Agreement”) with the Trust on behalf of the Fund.
2. SIGNIFICANT ACCOUNTING POLICIES
The following is a summary of the significant accounting policies consistently followed by the Fund. The preparation of financial statements in conformity with accounting principles generally accepted in the United States of America (“GAAP”) requires management to make estimates and assumptions that may affect the amounts and disclosures in the financial statements. Actual results could differ from those estimates and assumptions.
A. FASB Financial Accounting Standards Codification — In July 2009, the Financial Accounting Standards Board (“FASB”) launched its “Financial Accounting Standards Codification” (the “Codification”) as the single source of GAAP. While the Codification does not change GAAP, it introduces a new structure to the accounting literature and changes references to accounting standards and other authoritative accounting guidance that have been reflected in the Notes to Financial Statements.
B. Investment Valuation — The investment valuation policy of the Fund is to value investments at market value. Investments in equity securities and investment companies traded on a United States (“U.S.”) securities exchange or the NASDAQ system are valued daily at their last sale price or official closing price on the principal exchange or system on which they are traded. If no sale occurs, such securities and investment companies are valued at the last bid price for long positions and at the last ask price for short positions. Debt securities for which market quotations are readily available are valued on the basis of quotations furnished by an independent pricing service approved by the trustees or provided by securities dealers. The pricing services may use valuation models or matrix pricing, which consider: (i) yield or price with respect to bonds that are considered comparable in characteristics such as rating, interest rate and maturity date or (ii) quotations from bond dealers to determine current value. If accurate quotations are not readily available, or if GSAM believes that such quotations do not accurately reflect fair value, the fair value of the Fund’s investments may be determined based on yield equivalents, a pricing matrix or other sources, under valuation procedures established by the trustees. Unlisted equity securities for which market quotations are available are valued at the last sale price on valuation date, or if no sale occurs, at the last bid price. In the absence of market quotations, broker quotes will be utilized or the security will be fair valued. Investments in investment companies (other than those that are exchange traded) are valued at the net asset value per share (“NAV”) on the valuation date. Short-term debt obligations that mature in sixty days or less and that do not exhibit signs of credit deterioration are valued at amortized cost, which approximates market value.
GSAM, consistent with its procedures and applicable regulatory guidance, may make an adjustment to the previous closing prices of either domestic or foreign securities in light of significant events to reflect what it believes to be the fair value of the securities at the time of determining the Fund’s NAV. Significant events that could affect a large number of securities in a particular market may include, but are not limited to: situations relating to one or more single issuers in a market sector; significant fluctuations in U.S. or foreign markets; market dislocations; market disruptions or market closings; equipment failures; natural or man-made disasters or acts of God; armed conflicts; government actions or other developments; as well as the same or similar events which may affect specific issuers or the securities markets even though not tied directly to the securities markets. Other significant events that could relate to a single issuer may include, but are not limited to: corporate actions such as reorganizations, mergers and buy-outs; corporate announcements, including those relating to earnings, products and regulatory news; significant litigation; low trading volume; and trading limits or suspensions.
GOLDMAN SACHS VARIABLE INSURANCE TRUST STRUCTURED U.S. EQUITY FUND
Notes to Financial Statements (continued)
December 31, 2009
| 2. SIGNIFICANT ACCOUNTING POLICIES (continued) |
C. Security and Fund Share Transactions, and Investment Income — Security and Fund share transactions are reflected for financial reporting purposes as of the trade date, which may cause the NAV as stated in the accompanying financial statements to be different than the NAV applied to Fund share transactions. Realized gains and losses on sales of portfolio securities are calculated using the identified cost basis. Dividend income is recognized on the ex-dividend date, net of foreign withholding taxes, if any, which are reduced by any amounts reclaimable by the Fund, where applicable. Interest income is recorded on the basis of interest accrued, premium amortized and discount accreted. In addition, it is the Fund’s policy to accrue for foreign capital gains taxes, if applicable, on certain foreign securities held by the Fund. An estimated foreign capital gains tax is recorded daily on net unrealized gains on these securities and is payable upon the sale of such securities when a gain is realized.
Net investment income (other than class specific expenses) and unrealized and realized gains or losses are allocated daily to each class of shares of the Fund based upon the relative proportion of net assets of each class.
In addition, distributions received from the Fund’s investments in U.S. real estate investment trusts (“REITs”) often include a “return of capital”, which is recorded by the Fund as a reduction of the cost basis of the securities held. The Internal Revenue Code of 1986, as amended (the “Code”) requires a REIT to distribute at least 95% of its taxable income to investors. In many cases, however, because of “non-cash” expenses such as property depreciation, a REIT’s cash flow will exceed its taxable income. The REIT may distribute this excess cash to offer a more competitive yield. This portion of the Fund’s distributions is deemed a return of capital and is generally not taxable to shareholders.
D. Expenses — Expenses incurred by the Trust that do not specifically relate to an individual Fund of the Trust are allocated to the Fund on a straight-line and/or pro-rata basis depending upon the nature of the expense and are accrued daily.
E. Federal Taxes and Distributions to Shareholders — It is the Fund’s policy to comply with the requirements of the Code applicable to regulated investment companies (mutual funds) and to distribute each year substantially all of its investment company taxable income and capital gains to its shareholders. Accordingly, no federal income tax provisions are required. Distributions to shareholders are recorded on the ex-dividend date. Income and capital gains distributions, if any, are declared and paid annually. Net capital losses are carried forward to future fiscal years and may be used to the extent allowed by the Code to offset any future capital gains. Utilization of capital loss carryforwards will reduce the requirement of future capital gains distributions.
The characterization of distributions to shareholders for financial reporting purposes is determined in accordance with federal income tax rules, which may differ from GAAP. The source of the Fund’s distributions may be shown in the accompanying financial statements as either from net investment income, net realized gain or capital. The Fund’s capital accounts on the Statement of Assets and Liabilities reflect permanent GAAP/tax differences based on the appropriate tax character, but do not reflect temporary differences.
GSAM has reviewed the Fund’s tax positions for all open tax years (the current and prior three years, as applicable) and has concluded that no provision for income tax is required in the Fund’s financial statements. Such open tax years remain subject to examination and adjustment by tax authorities.
F. Futures Contracts — The Fund may purchase or sell futures contracts to hedge against changes in interest rates, securities prices, currency exchange rates, or to seek to increase total return. Futures contracts are valued at the last settlement price, or in the absence of a sale, the last bid price, at the end of each day on the board of trade or exchange upon which they are traded. Upon entering into a futures contract, the Fund deposits cash or securities in an account on behalf of the broker in an amount sufficient to meet the initial margin requirement. Subsequent payments are made or received by the Fund equal to the daily change in the contract value and are recorded as variation margin receivable or payable with a corresponding offset in unrealized gains or losses. The Fund recognizes a realized gain or loss when a contract is closed or expires.
The use of futures contracts involves, to varying degrees, elements of market and counterparty risk which may exceed the amounts recognized in the Statement of Assets and Liabilities. Futures contracts may be illiquid, and exchanges may limit fluctuations in futures contract prices during a single day. Changes in the value of a futures contract may not directly correlate with changes in the value of the underlying securities. These risks may decrease the effectiveness of the Fund’s
GOLDMAN SACHS VARIABLE INSURANCE TRUST STRUCTURED U.S. EQUITY FUND
| 2. SIGNIFICANT ACCOUNTING POLICIES (continued) |
strategies and potentially result in a loss. The Fund must set aside liquid assets, or engage in other appropriate measures, to cover their obligations under these contracts.
3. AGREEMENTS AND AFFILIATED TRANSACTIONS
A. Management Agreement — Under the Agreement, GSAM manages the Fund, subject to the general supervision of the trustees.
As compensation for the services rendered pursuant to the Agreement, the assumption of the expenses related thereto and administration of the Fund’s business affairs, including providing facilities, GSAM is entitled to a management fee computed daily and payable monthly, equal to an annual percentage rate of the Fund’s average daily net assets.
For the fiscal year ended December 31, 2009, contractual management fees with GSAM were at the following rates:
| Contractual Management Rate | ||||||||||||||||||||
| First | Next | Next | Next | Over | ||||||||||||||||
| $1 billion | $1 billion | $3 billion | $3 billion | $8 billion | ||||||||||||||||
| For the period July 1, 2009 to December 31, 2009 | 0.62 | % | 0.59 | % | 0.56 | % | 0.55 | % | 0.54 | % | ||||||||||
| For the period January 1, 2009 to June 30, 2009 | 0.65 | 0.59 | 0.56 | 0.55 | 0.54 | |||||||||||||||
Effective July 1, 2009, GSAM contractually reduced its management fee rates for the Fund to those specified above. As a result, the effective management fee rate for the fiscal year ended December 31, 2009 was 0.64%.
B. Distribution Agreement and Service Plan — The Trust, on behalf of the Service Shares of the Fund, has adopted a Distribution and Service Plan (the “Plan”). Under the Plan, Goldman Sachs and/or authorized dealers are entitled to a fee accrued daily and paid monthly for distribution services equal to, on an annual basis, 0.25% of the Fund’s average daily net assets attributable to Service Shares. Goldman Sachs has voluntarily agreed to waive distribution and service fees so as not to exceed an annual rate of 0.21% of the Fund’s average daily net assets attributable to Service Shares. This waiver may be modified or terminated at any time at the option of Goldman Sachs. For the fiscal year ended December 31, 2009, Goldman Sachs waived approximately $40,900 in distribution and service fees for the Fund’s Service Shares.
C. Transfer Agency Agreement — Goldman Sachs also serves as the transfer agent of the Fund for a fee pursuant to a Transfer Agency Agreement. The fees charged for such transfer agency services are calculated daily and payable monthly at an annual rate of 0.02% of the average daily net assets for Institutional and Service Shares.
D. Other Agreements — GSAM has voluntarily agreed to limit certain “Other Expenses” (excluding management fees, distribution and service fees, transfer agent fees and expenses, taxes, interest, brokerage fees and litigation, indemnification, shareholder meetings and other extraordinary expenses, exclusive of any custody and transfer agent fee credit reductions) to the extent such expenses exceed, on an annual basis, 0.004% of the average daily net assets of the Fund. Prior to July 1, 2009, this fee as a percentage of average daily net assets was 0.044% of the Fund. Such expense reimbursements, if any, are computed daily and paid monthly. In addition, the Fund is not obligated to reimburse GSAM for prior fiscal year expense reimbursements, if any. This expense limitation may be modified or terminated at any time at the option of GSAM. For the fiscal year ended December 31, 2009, GSAM reimbursed approximately $177,400 to the Fund. In addition, the Fund has entered into certain offset arrangements with the transfer agent resulting in a reduction of the Fund’s expenses. For the fiscal year ended December 31, 2009, transfer agent fees were reduced by approximately $3,200.
As of December 31, 2009, amounts owed to affiliates were approximately $239,800, $20,100 and $7,700 for management, distribution and service, and transfer agent fees, respectively.
E. Line of Credit Facility — The Fund participates in a $660,000,000 committed, unsecured revolving line of credit facility (the “facility”) together with other funds of the Trust and registered investment companies having management
GOLDMAN SACHS VARIABLE INSURANCE TRUST STRUCTURED U.S. EQUITY FUND
Notes to Financial Statements (continued)
December 31, 2009
| 3. AGREEMENTS AND AFFILIATED TRANSACTIONS (continued) |
agreements with GSAM or its affiliates. Pursuant to the terms of the facility, the Fund and other borrowers may increase the credit amount by an additional $340,000,000, for a total of up to $1 billion. The facility is to be used solely for temporary or emergency purposes. The interest rate on borrowings is based on the federal funds rate. This facility also requires a fee to be paid by the Fund based on the amount of the commitment that has not been utilized. For the fiscal year ended December 31, 2009, the Fund did not have any borrowings under the facility. Prior to May 12, 2009, the amount available through the facility was $700,000,000.
F. Other Transactions with Affiliates — For the fiscal year ended December 31, 2009, Goldman Sachs earned approximately $4,200 in brokerage commissions from portfolio transactions including futures transactions executed with Goldman Sachs as Futures Commission merchant, on behalf of the Fund.
4. FAIR VALUE OF INVESTMENTS
The fair value of a financial instrument is the amount that would be received to sell an asset or paid to transfer a liability in an orderly transaction between market participants at the measurement date (i.e., the exit price). GAAP establishes a fair value hierarchy that prioritizes the inputs to valuation techniques used to measure fair value. The hierarchy gives the highest priority to unadjusted quoted prices in active markets for identical assets or liabilities (Level 1 measurements) and the lowest priority to unobservable inputs (Level 3 measurements). The three levels of the fair value hierarchy are described below:
Level 1 — Unadjusted quoted prices in active markets that are accessible at the measurement date for identical, unrestricted assets or liabilities;
Level 2 — Quoted prices in markets that are not active or financial instruments for which all significant inputs are observable, either directly or indirectly;
Level 3 — Prices or valuations that require inputs that are both significant to the fair value measurement and unobservable.
The following is a summary of the Fund’s investments categorized in the fair value hierarchy:
| Level 1 | Level 2 | Level 3 | ||||||||||
Assets | ||||||||||||
| Common Stock and/or Other Equity Investments | $ | 444,260,170 | $ | — | $ | — | ||||||
| Securities Lending Reinvestment Vehicle | — | 33,642,837 | — | |||||||||
| Short-term Investments | 10,774,190 | — | — | |||||||||
| Derivatives | 17,035 | — | — | |||||||||
| Total | $ | 455,051,395 | $ | 33,642,837 | $ | — | ||||||
5. INVESTMENTS IN DERIVATIVES
The Fund may make investments in derivative instruments, including, but not limited to, options, futures, swaps and other derivatives relating to foreign currency transactions. A derivative is an instrument whose value is derived from underlying assets, indices, reference rates or a combination of these factors. Derivative instruments may be privately negotiated contracts (often referred to as over the counter (“OTC”) derivatives) or they may be listed and traded on an exchange. Derivative contracts may involve future commitments to purchase or sell financial instruments or commodities at specified terms on a specified date, or to exchange interest payment streams or currencies based on a notional or contractual amount. Derivative instruments may involve a high degree of financial risk. The use of derivatives also involves the risk of loss if the investment adviser is incorrect in its expectation of the timing or level of fluctuations in securities prices, interest rates or currency prices. Investments in derivative instruments also include the risk of default by the counterparty, the risk that the investment
GOLDMAN SACHS VARIABLE INSURANCE TRUST STRUCTURED U.S. EQUITY FUND
| 5. INVESTMENTS IN DERIVATIVES (continued) |
may not be liquid and the risk that a small movement in the price of the underlying security or benchmark may result in a disproportionately large movement, unfavorable or favorable, in the price of the derivative instrument.
GAAP requires enhanced disclosures about the Fund’s derivatives and hedging activities. The following table sets forth the gross value of the Fund’s derivative contracts for trading activities by certain risk types as of December 31, 2009. The values in the table below exclude the effects of cash received or posted pursuant to derivative contracts, and therefore are not representative of the Fund’s net exposure.
| Statement of | Average | |||||||||
| Assets and Liabilities | Derivative | Number of | ||||||||
| Risk | Location | Assets | Contracts(b) | |||||||
| Equity | Unrealized gain on futures(a) | $ | 17,035 | 174 | ||||||
| (a) | Includes cumulative appreciation (depreciation) of futures contracts described in the Additional Investment Information section of the Schedule of Investments. Only current day’s variation margin is reported within the Statement of Assets and Liabilities. | |
| (b) | Average number of contracts is based on the average of quarter end balances for the period ended December 31, 2009. |
The following table sets forth by certain risk types the Fund’s gains (losses) related to derivative activities for the fiscal year ended December 31, 2009. These gains (losses) should be considered in the context that derivative contracts may have been executed to economically hedge securities and accordingly, gains or losses on derivative contracts may offset losses or gains attributable to securities. These gains (losses) are included in “Net realized gain (loss)” or “Net change in unrealized gain (loss)” in the Statement of Operations:
| Net Change in | ||||||||||
| Net Realized Gain | Unrealized Gain | |||||||||
| Risk | Statement of Operations Location | (Loss) | (Loss) | |||||||
| Equity | Net realized gain (loss) from futures transactions/ | |||||||||
| Net change in unrealized gain (loss) on futures | $ | 1,615,725 | $ | (197,718 | ) | |||||
6. PORTFOLIO SECURITIES TRANSACTIONS
The cost of purchases and proceeds from sales and maturities of long-term securities for the fiscal year ended December 31, 2009, were $563,876,786 and $632,380,795, respectively.
7. SECURITIES LENDING
Pursuant to exemptive relief granted by the Securities and Exchange Commission and the terms and conditions contained therein, the Fund may lend its securities through a securities lending agent, Goldman Sachs Agency Lending (“GSAL”), a wholly-owned subsidiary of Goldman Sachs, to certain qualified borrowers including Goldman Sachs and affiliates. In accordance with the Fund’s securities lending procedures, the Fund receives cash collateral at least equal to the market value of the securities on loan. The market value of the loaned securities is determined at the close of business of the Fund at their last sale price or official closing price on the principal exchange or system on which they are traded, and any additional required collateral is delivered to the Fund on the next business day. As with other extensions of credit, the Fund may experience a delay in the recovery of its securities or incur a loss should the borrower of the securities breach its agreement with the Fund or become insolvent at a time when the collateral is insufficient to cover the cost of repurchasing securities on loan.
The Fund invests the cash collateral received in connection with securities lending transactions in the Enhanced Portfolio II of Boston Global Investment Trust (“Enhanced Portfolio II”), a Delaware statutory trust. The Enhanced Portfolio II, deemed an affiliate of the Trust, is exempt from registration under Section 3(c)(7) of the Act and is managed by GSAM,
GOLDMAN SACHS VARIABLE INSURANCE TRUST STRUCTURED U.S. EQUITY FUND
Notes to Financial Statements (continued)
December 31, 2009
| 7. SECURITIES LENDING (continued) |
for which GSAM may receive an investment advisory fee of up to 0.10% on an annualized basis of the average daily net assets of the Enhanced Portfolio II. The Enhanced Portfolio II invests primarily in short-term investments, but is not a “money market fund” subject to the requirements of Rule 2a-7 of the Act. The Fund’s investment of cash collateral in the Enhanced Portfolio II is subject to a net asset value that may fall or rise due to market and credit conditions.
Both the Fund and GSAL receive compensation relating to the lending of the Fund’s securities. The amount earned by the Fund for the fiscal year ended December 31, 2009, is reported as securities lending income. A portion of this amount, $43,818, represents compensation earned by the Fund from lending its securities to Goldman Sachs. For the fiscal year ended December 31, 2009, GSAL earned $83,210 in fees as securities lending agent. The amount payable to Goldman Sachs upon return of securities loaned as of December 31, 2009 was $9,427,823.
The following table provides information about the Fund’s investment in the Enhanced Portfolio II for the fiscal year ended December 31, 2009 (in thousands):
| Number of | Number of | |||||||||||||||
| Shares Held Beginning | Shares Held End of | Value at End | ||||||||||||||
| of Fiscal Year | Shares Bought | Shares Sold | Fiscal Year | of Fiscal Year | ||||||||||||
| 24,237 | 266,064 | (256,692 | ) | 33,609 | $ | 33,643 | ||||||||||
8. TAX INFORMATION
The tax character of distributions paid during the fiscal years ended December 31, 2008 and December 31, 2009 was as follows:
| 2008 | 2009 | |||||||
| Distributions paid from: | ||||||||
| Ordinary income | $ | 9,672,537 | $ | 8,257,810 | ||||
| Net long-term capital gains | 5,611,432 | — | ||||||
| Total taxable distributions | $ | 15,283,969 | $ | 8,257,810 | ||||
As of December 31, 2009, the components of accumulated earnings (losses) on a tax basis were as follows:
| Undistributed ordinary income — net | $ | 260,087 | ||
Capital loss carryforward:1 | ||||
| Expiring 2010 | $ | (31,739,316 | ) | |
| Expiring 2016 | (100,034,314 | ) | ||
| Expiring 2017 | (139,411,293 | ) | ||
| Total capital loss carryforward | $ | (271,184,923 | ) | |
| Unrealized gain — net | 43,502,535 | |||
| Total accumulated losses — net | $ | (227,422,301 | ) | |
| 1 | Expiration occurs on December 31 of the year indicated. Utilization of these losses may be substantially limited under the Code. The Fund had capital loss carryforwards of approximately $6,902,000 that expired in the current fiscal year. |
GOLDMAN SACHS VARIABLE INSURANCE TRUST STRUCTURED U.S. EQUITY FUND
| 8. TAX INFORMATION (continued) |
As of December 31, 2009, the Fund’s aggregate security unrealized gains and losses based on cost for U.S. federal income tax purposes was as follows:
| Tax cost | $ | 445,174,662 | ||
| Gross unrealized gain | 50,795,959 | |||
| Gross unrealized loss | (7,293,424 | ) | ||
| Net unrealized security gain | $ | 43,502,535 | ||
The difference between GAAP-basis and tax-basis unrealized gains (losses) is attributable primarily to wash sales, net mark to market gains on regulated futures contracts and differences related to the tax treatment of partnership investments.
In order to present certain components of the Fund’s capital accounts on a tax basis, the Fund has reclassified $2,301 and $6,900,090 to accumulated undistributed net investment income and accumulated net realized loss from investment transactions, respectively, from paid-in capital. These reclassifications have no impact on the net asset value of the Fund and result primarily from expired capital loss carryforwards and the difference in the tax treatment of partnership investments.
9. OTHER RISKS
Market and Credit Risks — In the normal course of business, the Fund trades financial instruments and enters into financial transactions where risk of potential loss exists due to changes in the market (market risk). Additionally, the Fund may also be exposed to credit risk in the event that an issuer fails to perform or that an institution or entity with which the Fund has unsettled or open transaction defaults.
Risks of Large Shareholder Redemptions — Certain participating insurance companies, accounts, or Goldman Sachs affiliates may from time to time own (beneficially or of record) or control a significant percentage of the Fund’s shares. Redemptions by these participating insurance companies or accounts in the Fund may impact the Fund’s liquidity and NAV. These redemptions may also force the Fund to sell securities, which may increase the Fund’s brokerage costs.
10. INDEMNIFICATIONS
Under the Trust’s organizational documents, its trustees, officers, employees and agents are indemnified, to the extent permitted by the Act, against certain liabilities that may arise out of performance of their duties to the Fund. Additionally, in the course of business, the Fund enters into contracts that contain a variety of indemnification clauses. The Fund’s maximum exposure under these arrangements is unknown, as this would involve future claims that may be made against the Fund that have not yet occurred. However, GSAM believes the risk of loss under these arrangements to be remote.
11. OTHER MATTERS
New Accounting Pronouncement — In May 2009, the FASB issued FASB Accounting Standards Codification (“ASC”) 855 “Subsequent Events”. This standard requires disclosure in the financial statements to reflect the effects of subsequent events that provide additional information on conditions about the financial statements as of the balance sheet date (recognized subsequent events) and disclosure of subsequent events that provide additional information about conditions after the balance sheet date if the financial statements would otherwise be misleading (unrecognized subsequent events). ASC 855 is effective for interim and annual financial statements issued for fiscal years ending after June 15, 2009. For purposes of
GOLDMAN SACHS VARIABLE INSURANCE TRUST STRUCTURED U.S. EQUITY FUND
Notes to Financial Statements (continued)
December 31, 2009
| 11. OTHER MATTERS (continued) |
inclusion in the financial statements, GSAM has concluded that subsequent events after the balance sheet date have been evaluated through February 16, 2010, the date the financial statements were issued.
12. SUMMARY OF SHARE TRANSACTIONS
Share activity is as follows:
| For the Fiscal Year Ended | For the Fiscal Year Ended | |||||||||||||||
| December 31, 2009 | December 31, 2008 | |||||||||||||||
| Shares | Dollars | Shares | Dollars | |||||||||||||
Institutional Shares | ||||||||||||||||
| Shares sold | 882,949 | $ | 6,944,789 | 1,036,638 | $ | 10,604,402 | ||||||||||
| Reinvestment of distributions | 668,475 | 6,370,564 | 1,564,285 | 11,904,209 | ||||||||||||
| Shares redeemed | (8,810,469 | ) | (71,712,860 | ) | (16,656,572 | ) | (186,803,202 | ) | ||||||||
| (7,259,045 | ) | (58,397,507 | ) | (14,055,649 | ) | (164,294,591 | ) | |||||||||
Service Shares | ||||||||||||||||
| Shares sold | 473,655 | 3,873,450 | 203,939 | 1,976,300 | ||||||||||||
| Reinvestment of distributions | 197,825 | 1,887,246 | 442,956 | 3,379,760 | ||||||||||||
| Shares redeemed | (2,171,765 | ) | (17,509,889 | ) | (2,969,078 | ) | (31,837,043 | ) | ||||||||
| (1,500,285 | ) | (11,749,193 | ) | (2,322,183 | ) | (26,480,983 | ) | |||||||||
NET DECREASE | (8,759,330 | ) | $ | (70,146,700 | ) | (16,377,832 | ) | $ | (190,775,574 | ) | ||||||
Report of Independent Registered Public Accounting Firm
To the Board of Trustees and Shareholders of Goldman Sachs Variable Insurance Trust — Goldman Sachs Structured U.S. Equity Fund:
In our opinion, the accompanying statement of assets and liabilities, including the schedule of investments, and the related statements of operations and of changes in net assets and the financial highlights present fairly, in all material respects, the financial position of Goldman Sachs Structured U.S. Equity Fund (the “Fund”) at December 31, 2009, the results of its operations for the year then ended, the changes in its net assets for each of the two years in the period then ended and the financial highlights for the periods indicated, in conformity with accounting principles generally accepted in the United States of America. These financial statements and financial highlights (hereafter referred to as “financial statements”) are the responsibility of the Fund’s management. Our responsibility is to express an opinion on these financial statements based on our audit. We conducted our audit of these financial statements in accordance with the standards of the Public Company Accounting Oversight Board (United States). Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement. An audit includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements, assessing the accounting principles used and significant estimates made by management, and evaluating the overall financial statement presentation. We believe that our audit, which included confirmation of securities at December 31, 2009 by correspondence with the custodian, brokers, and transfer agent, provides a reasonable basis for our opinion. The financial highlights of the Fund for the periods ended December 31, 2006 and prior were audited by another Independent Registered Public Accounting Firm whose report dated February 14, 2007 expressed an unqualified opinion on those financial highlights.
PricewaterhouseCoopers LLP
Boston, Massachusetts
February 16, 2010
GOLDMAN SACHS VARIABLE INSURANCE TRUST STRUCTURED U.S. EQUITY FUND
Fund Expenses — Six Month Period Ended December 31, 2009 (Unaudited)
As a shareholder of Institutional or Service Shares of the Fund, you incur ongoing costs, including management fees, distribution and service (12b-1) fees (with respect to Service Shares) and other Fund expenses. This example is intended to help you understand your ongoing costs (in dollars) of investing in the Institutional Shares and Service Shares of the Fund and to compare these costs with the ongoing costs of investing in other mutual funds.
The example is based on an investment of $1,000 invested at the beginning of the period and held for the entire period from July 1, 2009 through December 31, 2009.
Actual Expenses — The first line under each share class in the table below provides information about actual account values and actual expenses. You may use the information in this line, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000=8.6), then multiply the result by the number in the first line under the heading entitled “Expenses Paid” to estimate the expenses you paid on your account during this period.
Hypothetical Example for Comparison Purposes — The second line under each share class in the table below provides information about hypothetical account values and hypothetical expenses based on the Fund’s actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Fund’s actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Fund and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds.
Please note that the expenses shown in the table are meant to highlight your ongoing costs only. As a shareholder of the Fund, you do not incur any transaction costs, such as sales charges, redemption fees, or exchange fees, but shareholders of other funds may incur such costs. The second line of the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds whose shareholders may incur transaction costs.
| Expenses | |||||||||||||||
| Beginning | Ending | Paid for the | |||||||||||||
| Account Value | Account Value | 6 Months Ended | |||||||||||||
| Share Class | 7/01/09 | 12/31/09 | 12/31/09* | ||||||||||||
Institutional | |||||||||||||||
| Actual | $ | 1,000 | $ | 1,203.90 | $ | 3.78 | |||||||||
| Hypothetical 5% return | 1,000 | 1,021.78 | + | 3.47 | |||||||||||
Service | |||||||||||||||
| Actual | 1,000 | 1,202.90 | 4.94 | ||||||||||||
| Hypothetical 5% return | 1,000 | 1,020.72 | + | 4.53 | |||||||||||
| * | 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 December 31, 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 0.68% and 0.89% 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. |
GOLDMAN SACHS VARIABLE INSURANCE TRUST STRUCTURED U.S. EQUITY FUND
Trustees and Officers (Unaudited)
Independent Trustees
| Number of | ||||||||||
| Term of | Portfolios in | |||||||||
| Office and | Fund Complex | Other | ||||||||
| Name, | Position(s) Held | Length of | Principal Occupation(s) | Overseen by | Directorships | |||||
| Address and Age1 | with the Trust | Time Served2 | During Past 5 Years | Trustee3 | Held by Trustee4 | |||||
| Ashok N. Bakhru Age: 67 | Chairman of the Board of Trustees | Since 1991 | President, ANB Associates (July 1994-March 1996 and November 1998-Present); Director, Apollo Investment Corporation (a business development company) (October 2008-Present); Executive Vice President—Finance and Administration and Chief Financial Officer and Director, Coty Inc. (manufacturer of fragrances and cosmetics) (April 1996-November 1998); Director of Arkwright Mutual Insurance Company (1984-1999); Trustee of International House of Philadelphia (program center and residential community for students and professional trainees from the United States and foreign countries) (1989-2004); Member of Cornell University Council (1992-2004 and 2006-Present); Trustee of the Walnut Street Theater (1992-2004); Trustee, Scholarship America (1998-2005); Trustee, Institute for Higher Education Policy (2003-2008); Director, Private Equity Investors—III and IV (November 1998-2007), and Equity-Limited Investors II (April 2002-2007); and Chairman, Lenders Service Inc. (provider of mortgage lending service s) (2000-2003). Chairman of the Board of Trustees—Goldman Sachs Mutual Fund Complex. | 96 | Apollo Investment Corporation (a business development company) | |||||
| John P. Coblentz, Jr. Age: 68 | Trustee | Since 2003 | Partner, Deloitte & Touche LLP (June 1975-May 2003); Director, Emerging Markets Group, Ltd. (2004-2006); and Director, Elderhostel, Inc. (2006-Present). Trustee—Goldman Sachs Mutual Fund Complex. | 96 | None | |||||
| Diana M. Daniels Age: 60 | Trustee | Since 2007 | Ms. Daniels is retired (since January 2007). Formerly, she was Vice President, General Counsel and Secretary, The Washington Post Company (1991-2006). Ms. Daniels is Chairman of the Executive Committee, Cornell University (2006-Present); Member, Advisory Board, Psychology Without Borders (international humanitarian aid organization) (since 2007), and former Member of the Legal Advisory Board, New York Stock Exchange (2003-2006) and of the Corporate Advisory Board, Standish Mellon Management Advisors (2006-2007). Trustee—Goldman Sachs Mutual Fund Complex. | 96 | None | |||||
| Patrick T. Harker Age: 51 | Trustee | Since 2000 | President, University of Delaware (July 2007-Present); Dean and Reliance Professor of Operations and Information Management, The Wharton School, University of Pennsylvania (February 2000-June 2007); Interim and Deputy Dean, The Wharton School, University of Pennsylvania (July 1999-January 2000); and Professor and Chairman of Department of Operations and Information Management, The Wharton School, University of Pennsylvania (July 1997-August 2000). Trustee—Goldman Sachs Mutual Fund Complex. | 96 | Pepco Holdings, Inc. (an energy delivery company) | |||||
| Jessica Palmer Age: 60 | Trustee | Since 2007 | Consultant, Citigroup Human Resources Department (2007-2008); Managing Director, Citigroup Corporate and Investment Banking (previously, Salomon Smith Barney/Salomon Brothers) (1984-2006). Ms. Palmer is a Member of the Board of Trustees of Indian Mountain School (private elementary and secondary school) (2004-Present). Trustee—Goldman Sachs Mutual Fund Complex. | 96 | None | |||||
GOLDMAN SACHS VARIABLE INSURANCE TRUST STRUCTURED U.S. EQUITY FUND
Trustees and Officers (Unaudited) (continued)
Independent Trustees
| Number of | ||||||||||
| Term of | Portfolios in | |||||||||
| Office and | Fund Complex | Other | ||||||||
| Name, | Position(s) Held | Length of | Principal Occupation(s) | Overseen by | Directorships | |||||
| Address and Age1 | with the Trust | Time Served2 | During Past 5 Years | Trustee3 | Held by Trustee4 | |||||
| Richard P. Strubel Age: 70 | Trustee | Since 1987 | Director, Cardean Learning Group (provider of educational services via the internet) (2003-2008); President, COO and Director, Cardean Learning Group (1999-2003); Director, Cantilever Technologies, Inc. (a private software company) (1999-2005); Audit Committee Chairman, The University of Chicago (2006-Present); Trustee, The University of Chicago (1987-Present); and Managing Director, Tandem Partners, Inc. (management services firm) (1990-1999). Trustee—Goldman Sachs Mutual Fund Complex. | 96 | Gildan Activewear Inc. (a clothing marketing and manufacturing company); The Northern Trust Mutual Fund Complex (58 Portfolios) (Chairman of the Board of Trustees). | |||||
Interested Trustees
| Number of | ||||||||||
| Term of | Portfolios in | |||||||||
| Office and | Fund Complex | Other | ||||||||
| Name, | Position(s) Held | Length of | Principal Occupation(s) | Overseen by | Directorships | |||||
| Address and Age1 | with the Trust | Time Served2 | During Past 5 Years | Trustee3 | Held by Trustee4 | |||||
| James A. McNamara* Age: 47 | President and Trustee | Since 2007 | Managing Director, Goldman Sachs (December 1998-Present); Director of Institutional Fund Sales, GSAM (April 1998-December 2000); and Senior Vice President and Manager, Dreyfus Institutional Service Corporation (January 1993-April 1998). President—Goldman Sachs Mutual Fund Complex (November 2007-Present); Senior Vice President—Goldman Sachs Mutual Fund Complex (May 2007-November 2007); and Vice President—Goldman Sachs Mutual Fund Complex (2001-2007). Trustee—Goldman Sachs Mutual Fund Complex (since November 2007 and December 2002-May 2004). | 96 | None | |||||
| Alan A. Shuch* Age: 60 | Trustee | Since 1990 | Advisory Director—GSAM (May 1999-Present); Consultant to GSAM (December 1994-May 1999); and Limited Partner, Goldman Sachs (December 1994-May 1999). Trustee—Goldman Sachs Mutual Fund Complex. | 96 | None | |||||
| * | These persons are considered to be “Interested Trustees” because they hold positions with Goldman Sachs and own securities issued by The Goldman Sachs Group, Inc. Each Interested Trustee holds comparable positions with certain other companies of which Goldman Sachs, GSAM or an affiliate thereof is the investment adviser, administrator and/or distributor. | |
| 1 | Each Trustee may be contacted by writing to the Trustee, c/o Goldman Sachs, One New York Plaza, 37th Floor, New York, New York, 10004, Attn: Peter V. Bonanno. | |
| 2 | Each Trustee holds office for an indefinite term until the earliest of: (a) the election of his or her successor; (b) the date the Trustee resigns or is removed by the Board of Trustees or shareholders, in accordance with the Trust’s Declaration of Trust; (c) the conclusion of the first Board meeting held subsequent to the day the Trustee attains the age of 72 years (in accordance with the current resolutions of the Board of Trustees, which may be changed by the Trustees without shareholder vote); or (d) the termination of the Trust. | |
| 3 | The Goldman Sachs Mutual Fund Complex consists of the Trust, Goldman Sachs Municipal Opportunity Fund, Goldman Sachs Credit Strategies Fund, and Goldman Sachs Trust. As of December 31, 2009, the Trust consisted of 11 portfolios, Goldman Sachs Trust consisted of 83 portfolios (of which 82 offered shares to the public) and the Goldman Sachs Municipal Opportunity Fund did not offer shares to the public. | |
| 4 | This column includes only directorships of companies required to report to the SEC under the Securities Exchange Act of 1934 (i.e., “public companies”) or other investment companies registered under the Act. |
Additional information about the Trustees is available in the Fund’s Statement of Additional Information which can be obtained from Goldman Sachs free of charge by calling this toll-free number (in the United States of America): 1-800-292-4726.
GOLDMAN SACHS VARIABLE INSURANCE TRUST STRUCTURED U.S. EQUITY FUND
Trustees and Officers (Unaudited) (continued)
Officers of the Trust*
| Term of | ||||||
| Office and | ||||||
| Position(s) Held | Length of | |||||
| Name, Address and Age | With the Trust | Time Served1 | Principal Occupation(s) During Past 5 Years | |||
| James A. McNamara 32 Old Slip New York, NY 10005 Age: 47 | President and Trustee | Since 2007 | Managing Director, Goldman Sachs (December 1998-Present); Director of Institutional Fund Sales, GSAM (April 1998-December 2000); and Senior Vice President and Manager, Dreyfus Institutional Service Corporation (January 1993-April 1998). President—Goldman Sachs Mutual Fund Complex (November 2007-Present); Senior Vice President—Goldman Sachs Mutual Fund Complex (May 2007-November 2007); and Vice President—Goldman Sachs Mutual Fund Complex (2001-2007). Trustee—Goldman Sachs Mutual Fund Complex (since November 2007 and December 2002-May 2004). | |||
| George F. Travers 30 Hudson Street Jersey City, NJ 07032 Age: 42 | Senior Vice President and Principal Financial Officer | Since 2009 | Managing Director, Goldman Sachs (2007-present); Managing Director, UBS Ag (2005-2007); and Partner, Deloitte & Touche LLP (1990-2005, partner from 2000-2005) Senior Vice President and Principal Financial Officer—Goldman Sachs Mutual Fund Complex. | |||
| Peter V. Bonanno One New York Plaza New York, NY 10004 Age: 42 | Secretary | Since 2003 | Managing Director, Goldman Sachs (December 2006-Present); Associate General Counsel, Goldman Sachs (2002-Present); Vice President, Goldman Sachs (1999-2006); and Assistant General Counsel, Goldman Sachs (1999-2002). Secretary—Goldman Sachs Mutual Fund Complex (2006-Present); and Assistant Secretary—Goldman Sachs Mutual Fund Complex (2003-2006). | |||
| Scott M. McHugh 32 Old Slip New York, NY 10005 Age: 38 | Treasurer and Senior Vice President | Since 2009 | Vice President, Goldman Sachs (February 2007-Present); Assistant Treasurer of certain mutual funds administered by DWS Scudder (2005-2007); and Director (2005-2007), Vice President (2000-2005), Assistant Vice President (1998-2000), Deutsche Asset Management or its predecessor (1998-2007). Treasurer—Goldman Sachs Mutual Fund Complex (October 2009-Present); Senior Vice President—Goldman Sachs Mutual Fund Complex (November 2009-Present); and Assistant Treasurer—Goldman Sachs Mutual Fund Complex (May 2007-October 2009). | |||
| 1 | Officers hold office at the pleasure of the Board of Trustees or until their successors are duly elected and qualified. Each officer holds comparable positions with certain other companies of which Goldman Sachs, GSAM or an affiliate thereof is the investment adviser, administrator and/or distributor. | |
| * | Represents a partial list of officers of the Trust. Additional information about all the officers is available in the Fund’s Statement of Additional Information which can be obtained from Goldman Sachs free of charge by calling this toll-free number (in the United States): 1-800-292-4726. |
Goldman Sachs Variable Insurance Trust — Tax Information (Unaudited)
For the year ended December 31, 2009, 100% of the dividends paid from net investment company taxable income by the Goldman Sachs Structured U.S. Equity Fund qualify for the dividends received deduction available to corporations.
| 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 George F. Travers, Principal Financial Officer Peter V. Bonanno, Secretary Scott M. McHugh, Treasurer | |
| 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. | ||
| A prospectus for the Fund containing more complete information may be obtained from your authorized dealer or from Goldman, Sachs & Co. by calling (retail – 1-800-526-7384) (institutional – 1-800-621-2550). Please consider a fund’s objectives, risks, and charges and expenses, and read the prospectus carefully before investing. The prospectus contains this and other information about the Fund. | ||
| The 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. When available, the Fund’s Forms N-Q may be reviewed and copied at the SEC’s Public Reference Room in Washington, D.C. and information on the operation of the Public Reference Room may also be obtained by calling 1-800-SEC-0330. 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 for the Fund. Please consider the 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 2010 Goldman, Sachs & Co. All rights reserved. | ||
| VITUSAR10/32201.MF.TMPL/02-10 | ||
Goldman
Sachs Variable Insurance Trust
Goldman Sachs
Money Market Fund
Annual Report
December 31, 2009
|
GOLDMAN SACHS VARIABLE INSURANCE TRUST MONEY MARKET FUND
INVESTMENT OBJECTIVE
The Fund seeks to maximize current income to the extent consistent with the preservation of capital and the maintenance of liquidity by investing exclusively in high quality money market instruments.
Portfolio Management Discussion and Analysis
Below, the Goldman Sachs Money Market Portfolio Management Team discusses the Fund’s performance and positioning for the twelve-months ended December 31, 2009.
How did the Goldman Sachs Money Market Fund (the “Fund”) perform during the annual period ended December 31, 2009 (the “Reporting Period”)?
The Fund’s Standardized 7-Day Current Yield was -0.02% and its Standardized 7-Day Effective Yield was -0.02% as of December 31, 2009. The Fund’s One-Month Simple Average Yield was +0.01% as of December 31, 2009. The Fund’s 7-Day Distribution Yield as of December 31, 2009 was +0.01%. The Fund’s One-Year Simple Average Yield as of December 31, 2009 was +0.15%.
In order to understand why the Fund’s Standardized 7-Day Current and Effective Yields as of December 31, were negative, we believe it is important to understand how the standardized yield is derived. To ensure that no money market fund manager was misrepresenting its yield and to provide a common basis for comparing the yields of different fund managers, the Securities and Exchange Commission (“SEC”) created specific guidelines for the standardized yield calculation methodology and mandated all money market funds to quote this yield to investors. This calculation does not fully reflect the actual distribution income generated by the Fund. The standardized yield calculation methodology does not allow for the inclusion of capital gains and/or losses that are realized in the course of our active trading strategy. However, the 7-Day Distribution Yield does include capital gains and/or losses, thereby providing the investor with a more accurate representation of the Fund’s actual distribution income, inclusive of both income and short-term capital gains. The Standardized 7-Day Effective Yield assumes reinvestment of dividends for one year. The 7-Day Distribution Yield is the average return over the previous seven days and is the Fund’s total income net of expenses, divided by the total number of outstanding shares. Looking at both standardized yields and distribution yields together should help investors understand the magnitude and composition of the Fund’s distributions.
What economic and market factors most influenced the money markets as a whole during the Reporting Period?
The Reporting Period can be divided into two distinct portions. During the first half of the year, dramatic action by the Federal Reserve Board (the “Fed”), increasing weakness and subsequent “green shoots” in economic growth, the global financial crisis and the resulting liquidity freeze had great effect on the money markets. The second half of the year was much less “exciting” and uneventful, with the Fed maintaining the targeted federal funds rate near zero throughout, thus driving the dominant theme in the money markets — that is, low yields.
At the start of the Reporting Period, shocks to the global financial system, which had peaked in September 2008, caused market participants to reduce risk in their investment portfolios in such dramatic fashion as to ultimately create credit, liquidity and confidence crises that lasted largely through the first quarter of 2009. In response to these crises and in an effort to revive confidence, the Fed, the U.S. Treasury Department and the Federal Deposit Insurance Corporation (“FDIC”), along with several global banking bodies, created a host of unprecedented programs and a new framework within which to improve liquidity and restart the flow of credit. For example, in an effort to restore confidence in retail and institutional money market funds, the U.S. Treasury Department created the U.S. Treasury Temporary Guarantee Program for money market funds. The Federal Reserve Bank of Boston implemented the Asset-Backed Commercial Paper Liquidity Facility (“AMLF”) to provide a source of liquidity for asset-backed securities held by money market funds. The Federal Reserve Bank of New York created a Commercial Paper Funding Facility (“CPFF”) to provide liquidity to U.S. issuers of both unsecured commercial paper and asset-backed commercial paper through what is known as a special purpose vehicle. In other words, the CPFF was designed to provide a backstop financing facility to ensure that corporations would have the ability to repay maturing debt and finance current operations by purchasing commercial paper directly. To further address credit and liquidity concerns, FDIC-insured depository institutions, such as banks, thrifts and certain holding companies, were given the ability to issue senior unsecured debt guaranteed under the Temporary Liquidity Guarantee Program (“TLGP”).
1
GOLDMAN SACHS VARIABLE INSURANCE TRUST MONEY MARKET FUND
These temporary liquidity facilities, along with a streak of improving economic data, helped to stabilize demand for money market funds as the Reporting Period progressed. Indeed, as liquidity and confidence returned to the money markets during the second half of the year, some of these facilities expired with little effect on the asset class. Other facilities, including the CPFF and the AMLF, were extended until February 2010 in order to provide continued support to the money markets. The Fed announced the purchase of over $300 billion of Treasury securities would be completed by October 2009, months earlier than originally planned. Meanwhile, the European Central Bank (“ECB”) announced the start of a one-year repurchase operation, providing attractive, longer-term financing for eligible European banks, wherein the ECB would lend money at a 1% interest rate. The ECB’s first auction in June 2009 was met with strong demand, and it held a second auction in September 2009. Both auctions had the effect of reducing the need of Yankee banks, or foreign banks with operations in the U.S., to seek financing in the U.S. commercial paper market.
Although conditions in the economy and in the financial markets had generally improved during these months, the Fed expected economic activity to remain weak for some time and thus kept the 0% to 0.25% target range for the federal funds rate it had first established in December 2008. More specifically, the Fed stated, “Household spending appears to be expanding but remains constrained by ongoing job losses, sluggish income growth, lower housing wealth, and tight credit.”
The combination of all of these factors led money markets to face declining yields throughout 2009. These factors also led the taxable money market yield curve, or spectrum of maturities, to flatten over the Reporting Period as a whole, meaning the difference between yields at the short-term end of the money market yield curve and the longer-term end narrowed.
What key factors were responsible for the Fund’s performance during the Reporting Period?
Fund yields moved lower over the course of the Reporting Period due primarily to the market factors discussed above. We also sacrificed some yield by emphasizing overnight liquidity and steering away from higher-yielding asset-backed commercial paper in favor of lower-yielding conservative investments, such as U.S. Treasury and agency securities. We implemented this strategy because the focus of the money markets broadly was on the global credit meltdown and uncertainties about which institution might be the next to fail. In seeking to provide a conservative vehicle for our shareholders amidst the massive uncertainties facing the nation’s financial system, we felt it prudent to manage the Fund with an eye not on interest rates, but rather on the credit markets. We thus managed the Fund with a short maturity and a high liquidity level.
How did you manage the Fund’s weighted average maturity during the Reporting Period?
At the start of the Reporting Period, the Fund’s weighted average maturity was 38 days, as we strategically maintained an extremely defensive stance. As market conditions shifted, especially regarding liquidity in the short-term markets, we adjusted the Fund’s weighted average maturity between 30 days and 55 days. The Fund reached a weighted average maturity of 49 days on June 30, as the Fed was proactively adding credit and liquidity facilities to address market concerns and credit conditions improved. The Fund’s weighted average maturity stayed within a range of 35 to 45 days for most of the second half of the year. The Fund’s weighted average maturity was 39 days on December 31, 2009. The weighted average maturity of a money market fund is a measure of its price sensitivity to changes in interest rates.
How was the Fund invested during the Reporting Period?
The Fund had investments in commercial paper, asset-backed commercial paper, Treasury securities, government agency securities, repurchase agreements, government guaranteed paper and certificates of deposit during the Reporting Period. Our focus was on securities with one- to three-month maturities, although we did make purchases with longer maturities when we saw backups, or falling prices, as we sought to lock in the higher yields then available.
Did you make any changes in the Fund’s portfolio during the Reporting Period?
As mentioned earlier, we made adjustments in the Fund’s weighted average maturity as market conditions shifted. We also steered away from credit products and invested more in government agency and Treasury securities. Throughout the Reporting Period, the Fund held a high concentration in overnight securities.
What is the Fund’s tactical view and strategy for the months ahead?
We expect the Fed to maintain its near-zero targeted federal funds rate for much of 2010. Indeed, in our view, the Fed is not likely to begin tightening policy until solid economic growth becomes apparent. This may take some time, as we believe anticipated costs of health care reform, a persistently high unemployment rate hovering around 10%, and consumer spending pressures weigh on economic growth prospects over the coming months. On the positive side, we continue to observe
2
GOLDMAN SACHS VARIABLE INSURANCE TRUST MONEY MARKET FUND
improvement in economic activity across a number of leading indicators. The long-term inflation outlook will be influenced, among other factors, by massive government credit creation and the U.S. Treasury Department’s borrowing needs.
Against this backdrop, we will continue to carefully watch market conditions and how they affect the performance of asset-backed commercial paper assets, especially the performance of underlying collateral, credit enhancement and liquidity agreements, and program ratings. We also intend to maintain a healthy liquidity position in the Fund for the near term and to seek opportunities to lengthen the Fund’s weighted average maturity when we see yields improve. Of course, we will continue to closely monitor economic data, Fed policy and any shifts in the money market yield curve, as we strive to strategically navigate the interest rate environment.
An investment in the Money Market Fund is neither insured nor guaranteed by the Federal Deposit Insurance Corporation or any other government agency. Although the Fund seeks to preserve the value of an investment at $1.00 per share, it is possible to lose money by investing in the Fund.
The yields represent past performance. Past performance does not guarantee future results. Current performance may be lower or higher than the performance quoted above.
Yields will fluctuate as market conditions change. The yield quotations more closely reflect the current earnings of the Fund than total return quotations.
3
GOLDMAN SACHS VARIABLE INSURANCE TRUST MONEY MARKET FUND
MONEY MARKET FUND1
Security Type
(Percentage of Net Assets)
(Percentage of Net Assets)
1 The Fund is actively managed and, as such, its composition may differ over time. The percentage shown for each investment category reflects the value (based on amortized cost) of investments in that category as a percentage of net assets. Figures in the above chart may not sum to 100% due to the exclusion of other assets and liabilities.
4
GOLDMAN SACHS VARIABLE INSURANCE TRUST MONEY MARKET FUND
Schedule of Investments
December 31, 2009
| Principal | Interest | Maturity | Amortized | |||||||||||||
| Amount | Rate | Date | Cost | |||||||||||||
Commercial Paper and Corporate Obligations – 37.7% | ||||||||||||||||
| Atlantis One Funding Corp. | ||||||||||||||||
| $ | 1,000,000 | 0.230 | % | 02/03/10 | $ | 999,789 | ||||||||||
| Barton Capital LLC | ||||||||||||||||
| 2,000,000 | 0.250 | 01/04/10 | 1,999,958 | |||||||||||||
| Cafco LLC | ||||||||||||||||
| 3,000,000 | 0.190 | 01/06/10 | 2,999,921 | |||||||||||||
| Chariot Funding LLC | ||||||||||||||||
| 1,000,000 | 0.170 | 01/19/10 | 999,915 | |||||||||||||
| Clipper Receivables Co. LLC | ||||||||||||||||
| 2,000,000 | 0.290 | 01/12/10 | 1,999,823 | |||||||||||||
| CRC Funding LLC | ||||||||||||||||
| 3,000,000 | 0.290 | 01/07/10 | 2,999,855 | |||||||||||||
| Enterprise Funding Co. LLC | ||||||||||||||||
| 4,000,000 | 0.250 | 01/11/10 | 3,999,722 | |||||||||||||
| Galleon Capital LLC | ||||||||||||||||
| 1,000,000 | 0.220 | 01/19/10 | 999,890 | |||||||||||||
| 2,000,000 | 0.215 | 02/16/10 | 1,999,451 | |||||||||||||
| Govco LLC | ||||||||||||||||
| 1,000,000 | 0.250 | 02/08/10 | 999,736 | |||||||||||||
| Liberty Street Funding LLC | ||||||||||||||||
| 1,000,000 | 0.180 | 01/04/10 | 999,985 | |||||||||||||
| LMA Americas LLC | ||||||||||||||||
| 1,000,000 | 0.220 | 02/16/10 | 999,719 | |||||||||||||
| Matchpoint Master Trust | ||||||||||||||||
| 4,000,000 | 0.190 | 01/20/10 | 3,999,599 | |||||||||||||
| NRW. Bank | ||||||||||||||||
| 1,000,000 | 0.230 | 02/19/10 | 999,687 | |||||||||||||
| Regency Markets No. 1 LLC | ||||||||||||||||
| 3,000,000 | 0.190 | 01/19/10 | 2,999,715 | |||||||||||||
| Standard Chartered PLC | ||||||||||||||||
| 1,000,000 | 0.220 | 01/21/10 | 999,878 | |||||||||||||
| Straight-A Funding LLC | ||||||||||||||||
| 4,000,000 | 0.180 | 02/23/10 | 3,998,940 | |||||||||||||
| Tasman Funding, Inc. | ||||||||||||||||
| 4,000,000 | 0.300 | 02/12/10 | 3,998,600 | |||||||||||||
| Thunder Bay Funding, Inc. | ||||||||||||||||
| 4,000,000 | 0.240 | 01/15/10 | 3,999,627 | |||||||||||||
| Ticonderoga Funding LLC | ||||||||||||||||
| 3,000,000 | 0.200 | 01/11/10 | 2,999,833 | |||||||||||||
| Variable Funding Capital Corp. | ||||||||||||||||
| 3,000,000 | 0.210 | 01/11/10 | 2,999,825 | |||||||||||||
| Westpac Banking Corp. | ||||||||||||||||
| 2,000,000 | 0.280 | 01/15/10 | 1,999,782 | |||||||||||||
| Windmill Funding Corp. | ||||||||||||||||
| 3,000,000 | 0.280 | 01/06/10 | 2,999,883 | |||||||||||||
| TOTAL COMMERCIAL PAPER AND CORPORATE OBLIGATIONS | $ | 53,993,133 | ||||||||||||||
Eurodollar Certificates of Deposit – 5.6% | ||||||||||||||||
| Banco Bilbao Vizcaya Argentaria SA | ||||||||||||||||
| $ | 1,000,000 | 0.260 | % | 03/31/10 | $ | 1,000,025 | ||||||||||
| BNP Paribas SA | ||||||||||||||||
| 1,000,000 | 0.250 | 01/15/10 | 1,000,000 | |||||||||||||
| ING Bank NV | ||||||||||||||||
| 3,000,000 | 0.255 | 03/12/10 | 3,000,000 | |||||||||||||
| Societe Generale | ||||||||||||||||
| 3,000,000 | 0.255 | 03/22/10 | 3,000,033 | |||||||||||||
| TOTAL EURODOLLAR CERTIFICATES OF DEPOSIT | $ | 8,000,058 | ||||||||||||||
Government Guarantee Variable Rate Obligations(c) – 2.8% | ||||||||||||||||
| Bank of America N.A.(a) | ||||||||||||||||
| $ | 1,000,000 | 0.331 | % | 01/29/10 | $ | 1,000,000 | ||||||||||
| Royal Bank of Scotland Group PLC(b) | ||||||||||||||||
| 3,000,000 | 0.375 | 02/09/10 | 3,000,000 | |||||||||||||
| TOTAL GOVERNMENT GUARANTEE VARIABLE RATE OBLIGATIONS | $ | 4,000,000 | ||||||||||||||
U.S. Government Agency Obligations – 19.6% | ||||||||||||||||
| Federal Home Loan Bank | ||||||||||||||||
| $ | 1,000,000 | 0.004 | %(c) | 01/09/10 | $ | 999,973 | ||||||||||
| 1,000,000 | 0.004 | (c) | 01/13/10 | 999,986 | ||||||||||||
| 900,000 | 0.181 | (c) | 01/25/10 | 899,623 | ||||||||||||
| 1,000,000 | 0.152 | (c) | 02/15/10 | 999,308 | ||||||||||||
| 2,000,000 | 0.116 | (c) | 03/01/10 | 1,999,670 | ||||||||||||
| 2,000,000 | 0.950 | 04/05/10 | 1,999,623 | |||||||||||||
| 700,000 | 0.600 | 06/21/10 | 699,690 | |||||||||||||
| 4,000,000 | 0.560 | 08/27/10 | 3,998,747 | |||||||||||||
| 300,000 | 0.500 | 10/22/10 | 300,000 | |||||||||||||
| Federal Home Loan Mortgage Corp. | ||||||||||||||||
| 5,740,000 | 0.334 | (c) | 01/07/10 | 5,741,256 | ||||||||||||
| 1,000,000 | 0.184 | (c) | 01/12/10 | 1,000,000 | ||||||||||||
| 300,000 | 0.208 | (c) | 02/05/10 | 299,904 | ||||||||||||
| 200,000 | 0.235 | (c) | 03/03/10 | 199,958 | ||||||||||||
| 3,000,000 | 0.180 | 05/18/10 | 2,997,945 | |||||||||||||
| Federal National Mortgage Association | ||||||||||||||||
| 1,000,000 | 0.174 | (c) | 01/13/10 | 999,841 | ||||||||||||
| 2,500,000 | 0.420 | 02/08/10 | 2,498,892 | |||||||||||||
| 1,500,000 | 0.540 | 07/12/10 | 1,495,680 | |||||||||||||
| TOTAL U.S. GOVERNMENT AGENCY OBLIGATIONS | $ | 28,130,096 | ||||||||||||||
Variable Rate Obligations(c) – 5.9% | ||||||||||||||||
| Banco Bilbao Vizcaya Argentaria SA | ||||||||||||||||
| $ | 1,000,000 | 0.278 | % | 01/21/10 | $ | 1,000,024 | ||||||||||
| JPMorgan Chase & Co. | ||||||||||||||||
| 3,000,000 | 0.232 | 01/21/10 | 3,000,000 | |||||||||||||
| Rabobank Nederland | ||||||||||||||||
| 2,000,000 | 0.284 | 01/07/10 | 2,000,000 | |||||||||||||
| 1,000,000 | 0.273 | 02/16/10 | 1,000,000 | |||||||||||||
GOLDMAN SACHS VARIABLE INSURANCE TRUST MONEY MARKET FUND
Schedule of Investments (continued)
December 31, 2009
| Principal | Interest | Maturity | Amortized | |||||||||||||
| Amount | Rate | Date | Cost | |||||||||||||
Variable Rate Obligations(c) – (continued) | ||||||||||||||||
| Westpac Banking Corp. | ||||||||||||||||
| $ | 1,500,000 | 0.277 | % | 03/09/10 | $ | 1,500,000 | ||||||||||
| TOTAL VARIABLE RATE OBLIGATIONS | $ | 8,500,024 | ||||||||||||||
Yankee Certificates of Deposit – 9.8% | ||||||||||||||||
| Caixa Geral de Depositos SA | ||||||||||||||||
| $ | 1,000,000 | 0.200 | % | 01/14/10 | $ | 1,000,000 | ||||||||||
| Calyon | ||||||||||||||||
| 3,000,000 | 0.245 | 01/11/10 | 3,000,000 | |||||||||||||
| Lloyds TSB Group PLC | ||||||||||||||||
| 4,000,000 | 0.245 | 01/12/10 | 4,000,000 | |||||||||||||
| Mitsubishi UFJ Financial Group, Inc. | ||||||||||||||||
| 3,000,000 | 0.240 | 03/04/10 | 3,000,000 | |||||||||||||
| Royal Bank of Scotland Group PLC | ||||||||||||||||
| 1,000,000 | 0.275 | 03/29/10 | 1,000,000 | |||||||||||||
| Svenska Handelsbanken AB | ||||||||||||||||
| 2,000,000 | 0.230 | 01/25/10 | 2,000,012 | |||||||||||||
| TOTAL YANKEE CERTIFICATES OF DEPOSIT | $ | 14,000,012 | ||||||||||||||
U.S. Treasury Obligations – 1.4% | ||||||||||||||||
| United States Treasury Bills | ||||||||||||||||
| $ | 1,000,000 | 0.540 | % | 06/10/10 | $ | 997,600 | ||||||||||
| 700,000 | 0.410 | 06/17/10 | 698,669 | |||||||||||||
| 300,000 | 0.443 | 06/17/10 | 299,384 | |||||||||||||
| TOTAL U.S. TREASURY OBLIGATIONS | $ | 1,995,653 | ||||||||||||||
| TOTAL INVESTMENTS BEFORE REPURCHASE AGREEMENT | $ | 118,618,976 | ||||||||||||||
Repurchase Agreement(d) – 17.8% | ||||||||||||||||
| Joint Repurchase Agreement Account II | ||||||||||||||||
| $ | 25,600,000 | 0.007 | % | 01/04/10 | $ | 25,600,000 | ||||||||||
| Maturity Value: $25,600,020 | ||||||||||||||||
TOTAL INVESTMENTS – 100.6% | $ | 144,218,976 | ||||||||||||||
| LIABILITIES IN EXCESS OF OTHER ASSETS – (0.6)% | (871,750 | ) | ||||||||||||||
| NET ASSETS – 100.0% | $ | 143,347,226 | ||||||||||||||
The percentage shown for each investment category reflects the value of investments in that category as a percentage of net assets.
| (a) | This debt is guaranteed under the Federal Deposit Insurance Corporation’s (“FDIC”) 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. The total market value of this security amounts to $1,000,000, which represents approximately 0.7% of net assets as of December 31, 2009. | |
| (b) | Represents a security which is guaranteed by a foreign government. Total market value of this security amounts to $3,000,000, which represents approximately 2.1% of net assets as of December 31, 2009. | |
| (c) | Variable or floating rate security. Interest rate disclosed is that which is in effect at December 31, 2009. | |
| (d) | Joint repurchase agreement was entered into on December 31, 2009. Additional information appears on page 7. |
Interest rates represent either the stated coupon rate, annualized yield on date of purchase for discounted securities, or, for floating rate securities, the current reset rate, which is based upon current interest rate indices.
Maturity dates represent either the stated date on the security or the next interest reset date for floating rate securities.
GOLDMAN SACHS VARIABLE INSURANCE TRUST MONEY MARKET FUND
ADDITIONAL INVESTMENT INFORMATION
JOINT REPURCHASE AGREEMENT ACCOUNT II — At December 31, 2009, the Fund had an undivided interest in the Joint Repurchase Agreement Account II which equaled $25,600,000 in principal amount.
REPURCHASE AGREEMENTS
| Principal | Interest | Maturity | Maturity | |||||||||||||
| Counterparty | Amount | Rate | Date | Value | ||||||||||||
| Banc of America Securities LLC | $ | 700,000,000 | 0.01 | % | 01/04/10 | $ | 700,000,778 | |||||||||
| Banc of America Securities LLC | 1,150,000,000 | 0.02 | 01/04/10 | 1,150,002,556 | ||||||||||||
| Barclays Capital, Inc. | 2,000,000,000 | 0.00 | 01/04/10 | 2,000,000,000 | ||||||||||||
| Citigroup Global Markets, Inc. | 1,500,000,000 | 0.01 | 01/04/10 | 1,500,001,667 | ||||||||||||
| Credit Suisse Securities (USA) LLC | 3,900,000,000 | 0.00 | 01/04/10 | 3,900,000,043 | ||||||||||||
| Deutsche Bank Securities, Inc. | 500,000,000 | 0.00 | 01/04/10 | 500,000,000 | ||||||||||||
| Deutsche Bank Securities, Inc. | 1,700,000,000 | 0.01 | 01/04/10 | 1,700,001,889 | ||||||||||||
| JPMorgan Securities | 1,250,000,000 | 0.00 | 01/04/10 | 1,250,000,000 | ||||||||||||
| Merrill Lynch & Co., Inc. | 850,000,000 | 0.01 | 01/04/10 | 850,000,944 | ||||||||||||
| Morgan Stanley & Co. | 1,000,000,000 | 0.00 | 01/04/10 | 1,000,000,011 | ||||||||||||
| Morgan Stanley & Co. | 3,075,000,000 | 0.01 | 01/04/10 | 3,075,003,417 | ||||||||||||
| RBS Securities, Inc. | 1,500,000,000 | 0.01 | 01/04/10 | 1,500,001,667 | ||||||||||||
| UBS Securities LLC | 207,900,000 | 0.00 | 01/04/10 | 207,900,002 | ||||||||||||
| UBS Securities LLC | 550,000,000 | 0.01 | 01/04/10 | 550,000,611 | ||||||||||||
| Wachovia Capital Markets | 2,550,000,000 | 0.01 | 01/04/10 | 2,550,002,833 | ||||||||||||
TOTAL | $ | 22,432,916,418 | ||||||||||||||
At December 31, 2009, the Joint Repurchase Agreement Account II was fully collateralized by:
| Interest | Maturity | |||||||
| Issuer | Rates | Dates | ||||||
| Federal Farm Credit Bank | 4.500% to 7.350 | % | 03/07/11 to 08/03/37 | |||||
| Federal Farm Credit Bank Principal-Only Stripped Security | 0.000 | 12/16/15 | ||||||
| Federal Home Loan Bank | 0.000 to 8.290 | 01/04/10 to 09/14/35 | ||||||
| Federal Home Loan Mortgage Corp. | 0.000 to 14.000 | 02/01/10 to 01/01/40 | ||||||
| Federal Home Loan Mortgage Corp. Interest-Only Stripped Securities | 0.000 | 07/15/12 to 03/15/25 | ||||||
| Federal National Mortgage Association | 0.000 to 16.000 | 01/01/10 to 11/01/49 | ||||||
| Federal National Mortgage Association Interest-Only Stripped Securities | 0.000 | 11/15/12 to 10/08/27 | ||||||
| Government National Mortgage Association | 4.250 to 6.500 | 08/15/18 to 08/15/49 | ||||||
| Tennessee Valley Authority | 4.375 to 4.750 | 08/01/13 to 06/15/15 | ||||||
| Tennessee Valley Authority Interest-Only Stripped Security | 0.000 | 11/01/10 | ||||||
| U.S. Treasury Interest-Only Stripped Securities | 0.000 | 05/15/10 to 05/15/18 | ||||||
| U.S. Treasury Notes | 0.750 to 9.250 | 02/28/11 to 11/15/19 | ||||||
| U.S. Treasury Principal-Only Stripped Securities | 0.000 | 11/15/15 to 11/15/19 | ||||||
The aggregate market value of the collateral, including accrued interest, was $22,947,435,662.
GOLDMAN SACHS VARIABLE INSURANCE TRUST MONEY MARKET FUND
Statement of Assets and Liabilities
December 31, 2009
| Assets: | ||||||
| Investments in securities, at value based on amortized cost | $ | 118,618,976 | ||||
| Repurchase agreement, at value based on amortized cost | 25,600,000 | |||||
| Cash | 89,018 | |||||
| Receivables: | ||||||
Fund shares sold | 80,055 | |||||
Interest | 41,115 | |||||
Reimbursement from investment adviser | 10,801 | |||||
| Total assets | 144,439,965 | |||||
| Liabilities: | ||||||
| Payables: | ||||||
Fund shares redeemed | 1,029,160 | |||||
Amounts owed to affiliates | 33,551 | |||||
| Accrued expenses | 30,028 | |||||
| Total liabilities | 1,092,739 | |||||
| Net Assets: | ||||||
| Paid-in capital | 143,341,748 | |||||
| Accumulated undistributed net investment income | 5,478 | |||||
| NET ASSETS | $ | 143,347,226 | ||||
| Total Service Shares of beneficial interest outstanding, $0.001 par value (unlimited shares authorized) | 143,339,891 | |||||
| Net asset value, offering and redemption price per share | $ | 1.00 | ||||
GOLDMAN SACHS VARIABLE INSURANCE TRUST MONEY MARKET FUND
Statement of Operations
For the Fiscal Year Ended December 31, 2009
| Investment income: | ||||||
| Interest | $ | 1,155,831 | ||||
| Expenses: | ||||||
| Management fees | 589,957 | |||||
| Distribution and Service fees | 421,398 | |||||
| Professional fees | 88,768 | |||||
| U.S. Treasury Temporary Guarantee Program fees | 60,176 | |||||
| Custody and accounting fees | 44,969 | |||||
| Transfer Agent fees | 33,712 | |||||
| Printing fees | 28,959 | |||||
| Trustee fees | 16,663 | |||||
| Other | 15,594 | |||||
| Total expenses | 1,300,196 | |||||
| Less — expense reductions | (400,805 | ) | ||||
| Net expenses | 899,391 | |||||
| NET INVESTMENT INCOME | 256,440 | |||||
| NET REALIZED GAIN FROM INVESTMENT TRANSACTIONS | 31,994 | |||||
| NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS | $ | 288,434 | ||||
GOLDMAN SACHS VARIABLE INSURANCE TRUST MONEY MARKET FUND
Statements of Changes in Net Assets
| For the Fiscal | For the Fiscal | |||||||||
| Year Ended | Year Ended | |||||||||
| December 31, 2009 | December 31, 2008 | |||||||||
| From operations: | ||||||||||
| Net investment income | $ | 256,440 | $ | 4,529,922 | ||||||
| Net realized gain (loss) from investment transactions | 31,994 | (8,445 | ) | |||||||
| Net increase in net assets resulting from operations | 288,434 | 4,521,477 | ||||||||
| Distributions to shareholders: | ||||||||||
| From net investment income | (281,099 | ) | (4,521,477 | ) | ||||||
| From share transactions (at net asset value of $1.00 per share): | ||||||||||
| Proceeds from sales of shares | 36,215,518 | 66,759,739 | ||||||||
| Reinvestment of distributions | 281,099 | 4,521,524 | ||||||||
| Cost of shares redeemed | (88,027,845 | ) | (81,928,114 | ) | ||||||
| Net decrease in net assets resulting from share transactions | (51,531,228 | ) | (10,646,851 | ) | ||||||
| TOTAL DECREASE | (51,523,893 | ) | (10,646,851 | ) | ||||||
| Net assets: | ||||||||||
| Beginning of year | 194,871,119 | 205,517,970 | ||||||||
| End of year | $ | 143,347,226 | $ | 194,871,119 | ||||||
| Accumulated undistributed net investment income | $ | 5,478 | $ | 8,445 | ||||||
GOLDMAN SACHS VARIABLE INSURANCE TRUST MONEY MARKET FUND
Financial Highlights
Selected Data for a Share Outstanding Throughout Each Year
| Ratio of | Ratio of | |||||||||||||||||||||||||||||||||||||
| Net asset | Distributions | Net asset | Net assets, | Ratio of | total | net investment | ||||||||||||||||||||||||||||||||
| value, | Net | from net | value, | end of | net expenses | expenses | income | |||||||||||||||||||||||||||||||
| beginning | investment | investment | end of | Total | year | to average | to average | to average | ||||||||||||||||||||||||||||||
| of year | income | income | year | return(a) | (in 000s) | net assets | net assets | net assets | ||||||||||||||||||||||||||||||
| FOR THE FISCAL YEARS ENDED DECEMBER 31, | ||||||||||||||||||||||||||||||||||||||
| 2009 | $ | 1.00 | $ | 0.002 | (b)(c) | $ | (0.002 | )(c) | $ | 1.00 | 0.15 | % | $ | 143,347 | 0.53 | % | 0.77 | % | 0.15 | % | ||||||||||||||||||
| 2008 | 1.00 | 0.02 | (b) | (0.02 | ) | 1.00 | 2.25 | 194,871 | 0.63 | 0.71 | 2.27 | |||||||||||||||||||||||||||
| 2007 | 1.00 | 0.05 | (b) | (0.05 | ) | 1.00 | 4.98 | 205,518 | 0.48 | 0.71 | 4.87 | |||||||||||||||||||||||||||
2006(d) | 1.00 | 0.05 | (b) | (0.05 | ) | 1.00 | 4.65 | 199,439 | 0.49 | 0.71 | 4.59 | |||||||||||||||||||||||||||
2005(d) | 1.00 | 0.03 | (e) | (0.03 | )(f) | 1.00 | 2.75 | 222,194 | 0.55 | 0.55 | 2.65 | |||||||||||||||||||||||||||
| (a) | Assumes reinvestment of all distributions. Returns do not reflect the deduction of taxes that a shareholder would pay on Fund 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) | Net investment income and distributions from net investment income contain $0.0002 of net realized gains and distributions from net realized gains. | |
| (d) | 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. | |
| (e) | Calculated based on the SEC methodology. | |
| (f) | Distribution from net realized gain on investments and return of capital amounted to less than $0.0005. |
The accompanying notes are an integral part of these financial statements.
11
GOLDMAN SACHS VARIABLE INSURANCE TRUST MONEY MARKET FUND
Notes to Financial Statements
December 31, 2009
1. ORGANIZATION
Goldman Sachs Variable Insurance Trust (the “Trust” or “VIT”) is a Delaware statutory trust registered under the Investment Company Act of 1940, as amended (the “Act”), as an open-end management investment company. The Trust includes the Goldman Sachs Money Market Fund (the “Fund”). The Fund is a diversified portfolio under the Act offering one class of shares — Service Shares. Goldman, Sachs & Co. (“Goldman Sachs” or the “Distributor”) serves as Distributor of the shares of the Fund pursuant to a Distribution Agreement.
Goldman Sachs Asset Management, L.P. (“GSAM”), an affiliate of Goldman Sachs, serves as investment adviser pursuant to a management agreement (the “Agreement”) with the Trust on behalf of the Fund.
2. SIGNIFICANT ACCOUNTING POLICIES
The following is a summary of the significant accounting policies consistently followed by the Fund. The preparation of financial statements in conformity with accounting principles generally accepted in the United States of America (“GAAP”) requires management to make estimates and assumptions that may affect the amounts and disclosures in the financial statements. Actual results could differ from those estimates and assumptions.
A. FASB Financial Accounting Standards Codification — In July 2009, the Financial Accounting Standards Board (“FASB”) launched its “Financial Accounting Standards Codification” (the “Codification”) as the single source of GAAP. While the Codification does not change GAAP, it introduces a new structure to the accounting literature and changes references to accounting standards and other authoritative accounting guidance that have been reflected in the Notes to Financial Statements.
B. Investment Valuation — It is the Fund’s policy to use the amortized-cost method permitted by Rule 2a-7 under the Act, which approximates market value, for valuing portfolio securities. Under this method, all investments purchased at a discount or premium are valued by accreting or amortizing the difference between the original purchase price and maturity value of the issue over the period to maturity or reset date. Under procedures and tolerances established by the trustees, GSAM evaluates the difference between the Fund’s net asset value per share (“NAV”) based upon the amortized cost of the Fund’s securities and the NAV based upon available market quotations (or permitted substitutes) at least once a week.
C. Security and Fund Share Transactions, and Investment Income — Security and Fund share transactions are reflected for financial reporting purposes as of the trade date. Realized gains and losses on sales of portfolio securities are calculated using the identified cost basis. Interest income is recorded on the basis of interest accrued, premium amortized and discount accreted.
D. Expenses — Expenses incurred by the Trust that do not specifically relate to an individual Fund of the Trust are allocated to the Fund on a straight-line and/or pro-rata basis depending upon the nature of the expense and are accrued daily.
E. Federal Taxes and Distributions to Shareholders — It is the Fund’s policy to comply with the requirements of the Internal Revenue Code of 1986, as amended (the “Code”) applicable to regulated investment companies (mutual funds) and to distribute each year substantially all of its investment company taxable income and capital gains to its shareholders. Accordingly, no federal income tax provisions are required. Distributions to shareholders are declared and recorded daily and paid monthly by the Fund. Long-term capital gains distributions, if any, are declared and paid annually.
The characterization of distributions to shareholders for financial reporting purposes is determined in accordance with federal income tax rules, which may differ from GAAP. The source of the Fund’s distributions may be shown in accompanying financial statements as either from net investment income, net realized gain or capital. The Fund’s capital accounts on the Statement of Assets and Liabilities reflect permanent GAAP/tax differences based on the appropriate tax character, but do not reflect temporary differences.
GOLDMAN SACHS VARIABLE INSURANCE TRUST MONEY MARKET FUND
| 2. SIGNIFICANT ACCOUNTING POLICIES (continued) |
The tax character of distributions paid during the fiscal years ended December 31, 2009 and December 31, 2008, were as follows:
| 2009 | 2008 | |||||||
| Distributions paid from: | ||||||||
| Ordinary income | $ | 279,019 | $ | 4,521,477 | ||||
| Net long-term capital gains | 2,080 | — | ||||||
| Total taxable distributions | $ | 281,099 | $ | 4,521,477 | ||||
Capital loss carryforward amounts, if any, are available to be carried forward to future fiscal years and may be used to the extent allowed by the Code to offset any future capital gains. Utilization of capital loss carryforwards will reduce the requirement of future capital gains distributions. The Fund utilized $10,302 of capital losses in the current fiscal year.
The amortized cost for the Fund stated in the accompanying Statement of Assets and Liabilities also represents aggregate cost for federal income tax purposes.
In order to present certain components of the Fund’s capital accounts on a tax basis, the Fund has reclassified $21,692 from accumulated net realized gain on investments to accumulated undistributed net investment income. This reclassification has no impact on the net asset value of the Fund and result primarily from dividend redesignations.
GSAM has reviewed the Fund’s tax positions for all open tax years (the current and prior three years, as applicable) and has concluded that no provision for income tax is required in the Fund’s financial statements. Such open tax years remain subject to examination and adjustment by tax authorities.
F. Repurchase Agreements — The Fund may enter into repurchase agreements. Repurchase agreements involve the purchase of securities subject to the seller’s agreement to repurchase the securities at a mutually agreed upon date and price. During the term of a repurchase agreement, the value of the underlying securities held as collateral on behalf of the Fund, including accrued interest is required to exceed the value of the repurchase agreement, including accrued interest. If the seller defaults or becomes insolvent, realization of the collateral by the Fund may be delayed or limited and there may be a decline in the value of the collateral during the period while the Fund seeks to assert its rights. The underlying securities for all repurchase agreements are held at the Fund’s custodian or designated sub-custodians under tri-party repurchase agreements. Under these agreements, the Fund is permitted to deliver or re-pledge these securities.
Pursuant to exemptive relief granted by the Securities and Exchange Commission and terms and conditions contained therein, the Fund, together with other registered investment companies having management agreements with GSAM, or its affiliates, may transfer uninvested cash into joint accounts, the daily aggregate balance of which is invested in one or more repurchase agreements. Under these joint accounts, the Fund’s credit exposure is allocated to the underlying repurchase agreements counterparties on a pro-rata basis. With the exception of certain transaction fees, the Fund is not subject to any expenses in relation to these investments.
3. AGREEMENTS AND AFFILIATED TRANSACTIONS
A. Management Agreement — Under the Agreement, GSAM manages the Fund, subject to the general supervision of the trustees.
As compensation for the services rendered pursuant to the Agreement, the assumption of the expenses related thereto and administration the Fund’s business affairs, including providing facilities, GSAM is entitled to a management fee, computed daily and payable monthly, equal to an annual percentage rate of the Fund’s average daily net assets.
B. Distribution and Service Plan — The Trust, on behalf of the Service Shares of the Fund, has adopted a Distribution and Service Plan (the “Plan”). Under the Plan, Goldman Sachs and/or authorized dealers are entitled to a fee accrued daily and paid monthly for distribution services. This fee is equal to an annual percentage rate of the average daily net assets, which may then be paid to authorized dealers.
GOLDMAN SACHS VARIABLE INSURANCE TRUST MONEY MARKET FUND
Notes to Financial Statements (continued)
December 31, 2009
| 3. AGREEMENTS AND AFFILIATED TRANSACTIONS (continued) |
C. Transfer Agency Agreement — Goldman Sachs also serves as the transfer agent of the Fund for a fee pursuant to a Transfer Agency Agreement. The fee charged for such transfer agency services is calculated daily and payable monthly and is equal to an annual percentage rate of the Fund’s average daily net assets.
D. Other Agreements — GSAM has voluntarily agreed to limit certain “Other Expenses” of the Fund (excluding management fees, distribution and service fees, transfer agent fees and expenses, taxes, interest, brokerage fees and litigation, indemnification, shareholder meetings and other extraordinary expenses, exclusive of any custody and transfer agent fee credit reductions) to the extent that such expenses exceed, on an annual basis, 0.004% of the average daily net assets of the Fund. Such expense reimbursements, if any, are computed daily and paid monthly. In addition, the Fund is not obligated to reimburse GSAM for prior fiscal year expense reimbursements, if any. This expense limitation may be modified or terminated at any time at the option of GSAM. For the fiscal year ended December 31, 2009, GSAM voluntarily reimbursed approximately $188,000 to the Fund.
For the fiscal year ended December 31, 2009, the amounts owed to affiliates were approximately $34,000 for management fees.
E. Total Fund Expenses
During the fiscal year ended December 31, 2009, GSAM has voluntarily agreed to waive a portion of its management fee attributable to the Fund. Additionally, Goldman Sachs, as Distributor and Transfer Agent, has voluntarily agreed to waive all or a portion of distribution and service plan fees and transfer agency fees attributable to the Fund. The following table outlines: i) such fees, net of waivers and ii) Other Expenses, net of reimbursements, and custody and transfer agent fee credit reductions, if any, in order to determine the Fund’s net annualized expenses for the fiscal year ended December 31, 2009. The Fund is not obligated to reimburse GSAM or Goldman Sachs for prior fiscal year fee waivers and/or expense reimbursements, if any.
| Ratio of net expenses | ||||
| to average net assets | ||||
| Fee/Expense Type | for the fiscal year ended | |||
| (contractual rate, if any) | December 31, 2009 | |||
| Management Fee (0.35%) | 0.33 | % | ||
| Distribution and Service Fees (0.25%) | 0.15 | |||
| Transfer Agency Fee (0.02%) | 0.01 | |||
| Other Expenses | 0.04 | * | ||
| Net Expenses | 0.53 | % | ||
| * | Includes U.S. Treasury Temporary Guarantee Program fees. |
For the fiscal year ended December 31, 2009, Goldman Sachs waived approximately $29,000, $175,000, and $9,000 in management, distribution and service, and transfer agent fees, respectively.
F. Line of Credit Facility — The Fund participates in a $660,000,000 committed, unsecured revolving line of credit facility (the “facility”) together with other funds of the Trust and registered investment companies having management agreements with GSAM or its affiliates. Pursuant to the terms of the facility, the Fund and other borrowers may increase the credit amount by an additional $340,000,000, for a total of up to $1 billion. The facility is to be used solely for temporary or emergency purposes. The interest rate on borrowings is based on the federal funds rate. This facility also requires a fee to be paid by the Fund based on the amount of the commitment that has not been utilized. For the fiscal year ended December 31, 2009, the Fund did not have any borrowings under the facility. Prior to May 12, 2009, the amount available through the facility was $700,000,000.
GOLDMAN SACHS VARIABLE INSURANCE TRUST MONEY MARKET FUND
4. FAIR VALUE OF INVESTMENTS
The fair value of a financial instrument is the amount that would be received to sell an asset or paid to transfer a liability in an orderly transaction between market participants at the measurement date (i.e., the exit price). GAAP establishes a fair value hierarchy that prioritizes the inputs to valuation techniques used to measure fair value. The hierarchy gives the highest priority to unadjusted quoted prices in active markets for identical assets or liabilities (Level 1 measurements) and the lowest priority to unobservable inputs (Level 3 measurements). The three levels of the fair value hierarchy are described below:
Level 1 — Unadjusted quoted prices in active markets that are accessible at the measurement date for identical, unrestricted assets or liabilities;
Level 2 — Quoted prices in markets that are not active or financial instruments for which all significant inputs are observable, either directly or indirectly;
Level 3 — Prices or valuations that require inputs that are both significant to the fair value measurement and unobservable.
The following is a summary of the Fund’s investments categorized in the fair value hierarchy:
| Level 1 | Level 2(a) | Level 3 | ||||||||||
Assets | ||||||||||||
| U.S. Treasuries and/or Other U.S. Government Obligations and Agencies | $ | 1,995,653 | $ | 32,130,096 | $ | — | ||||||
| Corporate Obligations (including repurchase agreements) | — | 110,093,227 | — | |||||||||
| Total | $ | 1,995,653 | $ | 142,223,323 | $ | — | ||||||
| (a) | The Fund utilizes amortized cost which approximates fair value to value money market investments. This results in a Level 2 classification as amortized cost is considered a model-based price. |
5. OTHER RISKS
Interest Rate Risk — In a declining interest rate environment, low yields on the Fund’s holdings may have an adverse impact on the Fund’s ability to provide a positive yield to its shareholders. As a result, GSAM and/or Goldman Sachs may voluntarily agree to waive certain fees (such as distribution and service, transfer agency and management fees) which can fluctuate daily.
Market and Credit Risks — In the normal course of business, the Fund trades financial instruments and enters into financial transactions where risk of potential loss exists due to changes in the market (market risk). Additionally, the Fund may also be exposed to credit risk in the event that an issuer fails to perform or that an institution or entity with which the Fund has unsettled or open transaction defaults.
Risks of Large Shareholder Redemptions — Certain participating insurance companies, accounts, or Goldman Sachs affiliates may from time to time own (beneficially or of record) or control a significant percentage of the Fund’s shares. Redemptions by these participating insurance companies or accounts in the Fund may impact the Fund’s liquidity and NAV. These redemptions may also force the Fund to sell securities, which may increase the Fund’s brokerage costs.
6. INDEMNIFICATIONS
Under the Trust’s organizational documents, its trustees, officers, employees and agents are indemnified, to the extent permitted by the Act, against certain liabilities that may arise out of performance of their duties to the Fund. Additionally, in the course of business, the Fund enters into contracts that contain a variety of indemnification clauses. The Fund’s maximum exposure under these arrangements is unknown, as this would involve future claims that may be made against the Fund that have not yet occurred. However, GSAM believes the risk of loss under these arrangements to be remote.
GOLDMAN SACHS VARIABLE INSURANCE TRUST MONEY MARKET FUND
Notes to Financial Statements (continued)
December 31, 2009
7. OTHER MATTERS
Temporary Guarantee Program — On October 3, 2008, the trustees of the Fund approved participation in the U.S. Treasury Department’s (the “Treasury”) Temporary Guarantee Program (the “Program”) for the Fund and other Goldman Sachs registered money market funds. Each of these Funds paid the Treasury a fee based on the number of shares outstanding as of September 19, 2008 to participate in the Program for the initial 3-month term that expired on December 18, 2008. On December 3, 2008, the trustees approved participation in the extension of the program through April 30, 2009 on behalf of the Fund. Subsequently, on April 9, 2009, the trustees approved further participation in the Program through September 18, 2009 on behalf of the Fund. With each extension of the Program, the participating Funds paid the Treasury an additional fee based on the number of shares outstanding as of September 19, 2008.
Pursuant to its terms, the Program terminated on September 18, 2009, and therefore the guarantee of a $1.00 NAV price per share provided by the Program is no longer in effect for the Fund or any other money market fund. Under the Program, if a participating Fund’s market-based net asset value per share had dropped below $0.995 on any day while the Program was in effect, shareholders of record on that date who also held shares in the participating Fund on September 19, 2008 may have been eligible to receive a payment from the Treasury upon liquidation of that Fund. The fees were amortized over the length of the participation in the Program. The expense was borne by the Fund without regard to any expense limitation in effect for the Fund. Such amounts are represented in the U.S. Treasury Temporary Guarantee Program fees on the Statement of Operations.
New Accounting Pronouncement — In May 2009, the FASB issued FASB Accounting Standards Codification (“ASC”) 855 “Subsequent Events”. This standard requires disclosure in the financial statements to reflect the effects of subsequent events that provide additional information on conditions about the financial statements as of the balance sheet date (recognized subsequent events) and disclosure of subsequent events that provide additional information about conditions after the balance sheet date if the financial statements would otherwise be misleading (unrecognized subsequent events). ASC 855 is effective for interim and annual financial statements issued for fiscal years ending after June 15, 2009. For purposes of inclusion in the financial statements, GSAM has concluded that subsequent events after the balance sheet date have been evaluated through February 16, 2010, the date the financial statements were issued.
Report of Independent Registered Public Accounting Firm
To the Board of Trustees and Shareholders of Goldman Sachs Variable Insurance Trust — Goldman Sachs Money Market Fund:
In our opinion, the accompanying statement of assets and liabilities, including the schedule of investments, and the related statements of operations and of changes in net assets and the financial highlights present fairly, in all material respects, the financial position of Goldman Sachs Money Market Fund (the “Fund”) at December 31, 2009, the results of its operations for the year then ended, the changes in its net assets for each of the two years in the period then ended and the financial highlights for the periods indicated, in conformity with accounting principles generally accepted in the United States of America. These financial statements and financial highlights (hereafter referred to as “financial statements”) are the responsibility of the Fund’s management. Our responsibility is to express an opinion on these financial statements based on our audit. We conducted our audit of these financial statements in accordance with the standards of the Public Company Accounting Oversight Board (United States). Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement. An audit includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements, assessing the accounting principles used and significant estimates made by management, and evaluating the overall financial statement presentation. We believe that our audit, which included confirmation of securities at December 31, 2009 by correspondence with the custodian and brokers provide a reasonable basis for our opinion. The financial highlights of the Fund for the periods ended December 31, 2006 and prior were audited by another Independent Registered Public Accounting Firm whose report dated February 14, 2007 expressed an unqualified opinion on those financial highlights.
PricewaterhouseCoopers LLP
Boston, Massachusetts
February 16, 2010
GOLDMAN SACHS VARIABLE INSURANCE TRUST MONEY MARKET FUND
Fund Expenses — Six Month Period Ended December 31, 2009 (Unaudited)
As a shareholder of the Service Shares of the Fund, you incur ongoing costs, including management fees; distribution and service (12b-1) fees; and other Fund expenses. This Example is intended to help you understand your ongoing costs (in dollars) of investing in the Fund and to compare these costs with the ongoing costs of investing in other mutual funds.
The Example is based on an investment of $1,000 invested at the beginning of the period and held for the entire period from July 1, 2009 through December 31, 2009.
Actual Expenses — The first line in the table below provides information about actual account values and actual expenses. You may use the information in this line, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000=8.6), then multiply the result by the number in the first line under the heading entitled “Expenses Paid” to estimate the expenses you paid on your account during this period.
Hypothetical Example for Comparison Purposes — The second line in the table below provides information about hypothetical account values and hypothetical expenses based on the Fund’s actual net expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Fund’s actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Fund and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds.
Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transactional costs, such as sales charges (loads), redemption fees, or exchange fees. Therefore, the second line of the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transactional costs were included, your costs would have been higher.
| Expenses Paid | |||||||||||||||
| for the | |||||||||||||||
| Beginning | Ending | 6 Months | |||||||||||||
| Account Value | Account Value | Ended | |||||||||||||
| 07/01/09 | 12/31/09 | 12/31/09* | |||||||||||||
| Actual | $ | 1,000.00 | $ | 1,000.10 | $ | 1.93 | |||||||||
| Hypothetical 5% return | 1,000.00 | 1,023.28 | + | 1.95 | |||||||||||
| * | 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 December 31, 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 0.53%. | |
| + | 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. |
GOLDMAN SACHS VARIABLE INSURANCE TRUST MONEY MARKET FUND
Trustees and Officers (Unaudited)
Independent Trustees
| Number of | ||||||||||
| Term of | Portfolios in | |||||||||
| Office and | Fund Complex | Other | ||||||||
| Name, | Position(s) Held | Length of | Principal Occupation(s) | Overseen by | Directorships | |||||
| Address and Age1 | with the Trust | Time Served2 | During Past 5 Years | Trustee3 | Held by Trustee4 | |||||
| Ashok N. Bakhru Age: 66 | Chairman of the Board of Trustees | Since 1991 | President, ANB Associates (July 1994-March 1996 and November 1998-Present); Director, Apollo Investment Corporation (a business development company) (October 2008-Present); Executive Vice President—Finance and Administration and Chief Financial Officer and Director, Coty Inc. (manufacturer of fragrances and cosmetics) (April 1996-November 1998); Director of Arkwright Mutual Insurance Company (1984-1999); Trustee of International House of Philadelphia (program center and residential community for students and professional trainees from the United States and foreign countries) (1989-2004); Member of Cornell University Council (1992-2004 and 2006-Present); Trustee of the Walnut Street Theater (1992-2004; Trustee, Scholarship America (1998-2005); Trustee, Institute for Higher Education Policy (2003-Present); Director, Private Equity Investors—III and IV (November 1998-Present), and Equity-Limited Investors II (April 2002-Present); and Chairman, Lenders Service Inc. (provider of mortgage lending services) (2000-2003). Chairman of the Board of Trustees—Goldman Sachs Mutual Fund Complex. | 96 | Apollo Investment Corporation (a business development company) | |||||
| John P. Coblentz, Jr. Age: 67 | Trustee | Since 2003 | Partner, Deloitte & Touche LLP (June 1975-May 2003); Director, Emerging Markets Group, Ltd. (2004-2006); and Director, Elderhostel, Inc. (2006-Present). Trustee—Goldman Sachs Mutual Fund Complex. | 96 | None | |||||
| Diana M. Daniels Age: 59 | Trustee | Since 2007 | Ms. Daniels is retired (since January 2007). Formerly, she was Vice President, General Counsel and Secretary, The Washington Post Company (1991-2006). Ms. Daniels is Chairman of the Executive Committee, Cornell University (2006-Present); Member, Advisory Board, Psychology Without Borders (international humanitarian aid organization) (since 2007), and former Member of the Legal Advisory Board, New York Stock Exchange (2003-2006) and of the Corporate Advisory Board, Standish Mellon Management Advisors (2006-2007). Trustee—Goldman Sachs Mutual Fund Complex. | 96 | None | |||||
| Patrick T. Harker Age: 51 | Trustee | Since 2000 | President, University of Delaware (July 2007-Present); Dean and Reliance Professor of Operations and Information Management, The Wharton School, University of Pennsylvania (February 2000-June 2007); Interim and Deputy Dean, The Wharton School, University of Pennsylvania (July 1999-January 2000); and Professor and Chairman of Department of Operations and Information Management, The Wharton School, University of Pennsylvania (July 1997-August 2000). Trustee—Goldman Sachs Mutual Fund Complex. | 96 | Pepco Holdings, Inc. (an energy delivery company) | |||||
| Jessica Palmer Age: 60 | Trustee | Since 2007 | Consultant, Citigroup Human Resources Department (2007-2008); Managing Director, Citigroup Corporate and Investment Banking (previously, Salomon Smith Barney/Salomon Brothers) (1984-2006). Ms. Palmer is a Member of the Board of Trustees of Indian Mountain School (private elementary and secondary school) (2004-Present). Trustee—Goldman Sachs Mutual Fund Complex. | 96 | None | |||||
GOLDMAN SACHS VARIABLE INSURANCE TRUST MONEY MARKET FUND
Trustees and Officers (Unaudited) (continued)
Independent Trustees
| Number of | ||||||||||
| Term of | Portfolios in | |||||||||
| Office and | Fund Complex | Other | ||||||||
| Name, | Position(s) Held | Length of | Principal Occupation(s) | Overseen by | Directorships | |||||
| Address and Age1 | with the Trust | Time Served2 | During Past 5 Years | Trustee3 | Held by Trustee4 | |||||
| Richard P. Strubel Age: 69 | Trustee | Since 1987 | Director, Cardean Learning Group (provider of educational services via the internet) (2003-2008); President, COO and Director, Cardean Learning Group (1999-2003); Director, Cantilever Technologies, Inc. (a private software company) (1999-2005); Audit Committee Chairman, The University of Chicago (2006-Present); Trustee, The University of Chicago (1987-Present); and Managing Director, Tandem Partners, Inc. (management services firm) (1990-1999). Trustee—Goldman Sachs Mutual Fund Complex. | 96 | Gildan Activewear Inc. (a clothing marketing and manufacturing company); Northern Mutual Fund Complex (58 Portfolios) (Chairman of the Board of Trustees). | |||||
Interested Trustees
| Number of | ||||||||||
| Term of | Portfolios in | |||||||||
| Office and | Fund Complex | Other | ||||||||
| Name, | Position(s) Held | Length of | Principal Occupation(s) | Overseen by | Directorships | |||||
| Address and Age1 | with the Trust | Time Served2 | During Past 5 Years | Trustee3 | Held by Trustee4 | |||||
| James A. McNamara* Age: 46 | President and Trustee | Since 2007 | Managing Director, Goldman Sachs (December 1998-Present); Director of Institutional Fund Sales, GSAM (April 1998-December 2000); and Senior Vice President and Manager, Dreyfus Institutional Service Corporation (January 1993-April 1998). President—Goldman Sachs Mutual Fund Complex (November 2007-Present); Senior Vice President—Goldman Sachs Mutual Fund Complex (May 2007-November 2007); and Vice President—Goldman Sachs Mutual Fund Complex (2001-2007). Trustee—Goldman Sachs Mutual Fund Complex (November 2007-Present and December 2002-May 2004). | 96 | None | |||||
| Alan A. Shuch* Age: 60 | Trustee | Since 1990 | Advisory Director—GSAM (May 1999-Present); Consultant to GSAM (December 1994-May 1999); and Limited Partner, Goldman Sachs (December 1994-May 1999). Trustee—Goldman Sachs Mutual Fund Complex. | 96 | None | |||||
| * | These persons are considered to be “Interested Trustees” because they hold positions with Goldman Sachs and own securities issued by The Goldman Sachs Group, Inc. Each Interested Trustee holds comparable positions with certain other companies of which Goldman Sachs, GSAM or an affiliate thereof is the investment adviser, administrator and/or distributor. | |
| 1 | Each Trustee may be contacted by writing to the Trustee, c/o Goldman Sachs, One New York Plaza, 37th Floor, New York, New York, 10004, Attn: Peter V. Bonanno. | |
| 2 | Each Trustee holds office for an indefinite term until the earliest of: (a) the election of his or her successor; (b) the date the Trustee resigns or is removed by the Board of Trustees or shareholders, in accordance with the Trust’s Declaration of Trust; (c) the conclusion of the first Board meeting held subsequent to the day the Trustee attains the age of 72 years (in accordance with the current resolutions of the Board of Trustees, which may be changed by the Trustees without shareholder vote); or (d) the termination of the Trust. | |
| 3 | The Goldman Sachs Mutual Fund Complex consists of the Trust, Goldman Sachs Municipal Opportunity Fund, Goldman Sachs Credit Strategies Fund and Goldman Sachs Trust. As of December 31, 2009, the Trust consisted of 11 portfolios, Goldman Sachs Trust consisted of 83 portfolios (of which 82 offered shares to the public) and the Goldman Sachs Municipal Opportunity Fund did not offer shares to the public. | |
| 4 | This column includes only directorships of companies required to report to the SEC under the Securities Exchange Act of 1934 (i.e., “public companies”) or other investment companies registered under the Act. |
Additional information about the Trustees is available in the Fund’s Statement of Additional Information which can be obtained from Goldman Sachs free of charge by calling this toll-free number (in the United States of America): 1-800-292-4726.
GOLDMAN SACHS VARIABLE INSURANCE TRUST MONEY MARKET FUND
Trustees and Officers (Unaudited) (continued)
Officers of the Trust*
| Term of | ||||||
| Office and | ||||||
| Position(s) Held | Length of | |||||
| Name, Address and Age | With the Trust | Time Served1 | Principal Occupation(s) During Past 5 Years | |||
| James A. McNamara 32 Old Slip New York, NY 10005 Age: 46 | President and Trustee | Since 2007 | Managing Director, Goldman Sachs (December 1998-Present); Director of Institutional Fund Sales, GSAM (April 1998-December 2000); and Senior Vice President and Manager, Dreyfus Institutional Service Corporation (January 1993-April 1998). President—Goldman Sachs Mutual Fund Complex (November 2007-Present); Senior Vice President—Goldman Sachs Mutual Fund Complex (May 2007-November 2007); and Vice President—Goldman Sachs Mutual Fund Complex (2001-2007). Trustee—Goldman Sachs Mutual Fund Complex (November 2007-Present and December 2002-May 2004). | |||
| George F. Travers 30 Hudson Street Jersey City, NJ 07302 Age: 42 | Senior Vice President and Principal Financial Officer | Since 2009 | Managing Director, Goldman Sachs (2007-Present); Managing Director, UBS Ag (2005-2007); and Partner, Deloitte & Touche LLP (1990-2005, partner from 2000-2005). Senior Vice President and Principal Financial Officer—Goldman Sachs Mutual Fund Complex. | |||
| Peter V. Bonanno One New York Plaza New York, NY 10004 Age: 41 | Secretary | Since 2003 | Managing Director, Goldman Sachs (December 2006-Present); Associate General Counsel, Goldman Sachs (2002-Present); Vice President, Goldman Sachs (1999-2006); and Assistant General Counsel, Goldman Sachs (1999-2002). Secretary—Goldman Sachs Mutual Fund Complex (2006-Present); and Assistant Secretary—Goldman Sachs Mutual Fund Complex (2003-2006). | |||
| Scott M. McHugh 32 Old Slip New York, NY 10005 Age: 38 | Treasurer and Senior Vice President | Since 2009 | Vice President, Goldman Sachs (February 2007-Present); Assistant Treasurer of certain mutual funds administered by DWS Scudder (2005-2007); and Director (2005-2007), Vice President (2000-2005), Assistant Vice President (1998-2000), Deutsche Asset Management or its predecessor (1998-2007). Treasurer—Goldman Sachs Mutual Fund Complex (October 2009-Present); Senior Vice President—Goldman Sachs Mutual Fund Complex (November 2009-Present); and Assistant Treasurer—Goldman Sachs Mutual Fund Complex (May 2007-October 2009). | |||
| 1 | Officers hold office at the pleasure of the Board of Trustees or until their successors are duly elected and qualified. Each officer holds comparable positions with certain other companies of which Goldman Sachs, GSAM or an affiliate thereof is the investment adviser, administrator and/or distributor. | |
| * | Represents a partial list of officers of the Trust. Additional information about all the officers is available in the Fund’s Statement of Additional Information which can be obtained from Goldman Sachs free of charge by calling this toll-free number (in the United States): 1-800-292-4726. |
Goldman Sachs Variable Insurance Trust — Tax Information (Unaudited)
Pursuant to Section 852 of the Internal Revenue Code, the Goldman Sachs Money Market Fund designates $2,080 or, if different, the maximum amount allowable, as capital gain dividends paid during the year ended December 31, 2009.
During the year ended December 31, 2009, the Goldman Sachs Money Market Fund, designates $19,612 as short-term capital gain dividends pursuant to Section 871(k) of the Internal Revenue Code.
| TRUSTEES | OFFICERS | |
Ashok N. Bakhru, Chairman | James A. McNamara, President | |
| John P. Coblentz, Jr. | George F. Travers, Principal Financial Officer | |
| Diana M. Daniels | Peter V. Bonanno, Secretary | |
| Patrick T. Harker | Scott M. McHugh, Treasurer | |
| 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, NY 10005 | ||
| Visit our Web site at www.goldmansachsfunds.com to obtain the most recent month-end returns. | ||
| A prospectus for the Fund containing more complete information may be obtained from your authorized dealer or from Goldman, Sachs & Co. by calling (retail — 1-800-526-7384) (institutional — 1-800-621-2550). Please consider a fund’s objectives, risks, and charges and expenses, and read the prospectus carefully before investing. The prospectus contains this and other information about the Fund. | ||
| The 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. When available, the Fund’s Forms N-Q may be reviewed and copied at the SEC’s Public Reference Room in Washington, D.C. and information on the operation of the Public Reference Room may also be obtained by calling 1-800-SEC-0330. 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 for the Fund. Please consider the 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 Money Market Fund. | ||
| Copyright 2010 Goldman, Sachs & Co. All rights reserved. | ||
| VITMMAR10/32207.MF.TMPL/02-10 | ||
Goldman
Sachs Variable Insurance Trust
Goldman Sachs Equity Index Fund
Goldman Sachs Government Income Fund
Goldman Sachs Growth Opportunities Fund
Annual Report
December 31, 2009
|
MARKET OVERVIEW
Market Review
U.S. financial markets oscillated between extremes of fear and exuberance during the 12 months ended December 31, 2009 (the “Reporting Period”). The credit crisis from 2008 spilled into the first quarter, as the nation’s financial system experienced an extremely challenging period. As governments around the world coordinated a response to the financial crisis, the likelihood of failure was reduced for many companies. The Federal Reserve Board (the “Fed”) left the federal funds rate unchanged at a range of between 0% and 0.25% and continued to pursue unconventional easing approaches, such as making verbal commitments to maintain low rates and buying assets to try to stimulate demand. The government also announced a number of programs, which received mixed reviews from investors. Perhaps most surprising was news during the second quarter that the Fed would purchase up to $300 billion in Treasury debt over six months, taking another massive step down the path of unconventional easing. Other major announcements included the Public-Private Investment Program, the Homeowner Affordability and Stability Plan, and the $787 billion American Recovery and Reinvestment Act.
The third quarter was characterized by a streak of improving economic data, including economic growth in the manufacturing sector as well as better than expected retail sales. Nevertheless, consumers remained burdened by high debt levels and a weak labor market. The economy continued to show encouraging signs of stabilization and improvement during the fourth quarter. However, despite some positive economic data, with non-farm payrolls, retail sales, consumer sentiment, and business inventories all posting higher than predicted increases, concerns about the elevated unemployment rate of 10%, the Federal Reserve’s stance on interest rates, and the strength of the U.S. dollar weighed on the markets during the final months of the year.
EQUITY MARKETS
Stocks rallied sharply off of a March 9th trough into the second and third quarters. Propelled by investors’ renewed appetite for risk, they were driven higher by the most battered names from the first quarter and on companies with greater growth prospects. The equity market continued to experience gains through the end of the year, though in a less pronounced manner.
The S&P 500 Index rose of 26.46% in the broad-based rally, its best annual gain since 2003, though it remained significantly down from its 2007 peak. Growth stocks overall were solid winners across the capitalization spectrum. Despite big rebounds for financial shares as credit conditions eased, technology stocks helped most growth-oriented benchmarks outpace their value-oriented counterparts.
FIXED INCOME MARKETS
All spread, or non-Treasury, sectors performed well during the Reporting Period. As investors continued to show a strong appetite for relatively risky assets, all spread sectors outperformed Treasuries and swaps. The best-performing sector within the Barclays U.S. Aggregate Bond Index was commercial mortgage-backed securities (CMBS), which outperformed duration-matched Treasuries by 29.60% for the period from December 31, 2008 to December 31, 2009. Spreads on the Barclays Capital Corporate Index (or the difference in yields between corporate bonds and duration-equivalent Treasury securities), which had widened significantly in 2008, narrowed by 3.83% during 2009.
1
MARKET OVERVIEW
With short-term interest rates anchored by near-zero Fed funds rates, the yield curve steepened, meaning longer-term interest rates rose more than shorter-term interest rates. Long-term rates — controlled by the market, not by the Fed — rose during the first quarter, as investors positioned themselves for a glut of stimulus-related issuance, and inflationary concerns surfaced. Long-term rates continued to rise through the second quarter, as financial conditions improved and the economy showed signs of stabilization. They remained relatively stable during the third quarter, rising again into the year end, as the Fed maintained its commitment to low interest rates.
Looking Ahead
EQUITY MARKET
We expect equity market volatility to normalize, creating an environment with compelling investment opportunities at the individual stock level. In general, as economic stress subsides, stocks begin to trade more in concert with their underlying companies’ fundamentals. In our view, many quality stocks are inexpensive relative to their lower quality peers, a valuation gap we expect to narrow over time. We expect corporate earnings to accelerate as the economy strengthens and companies improve their operating leverage through aggressive cost cutting, and for low borrowing costs to be a further tailwind to earnings.
We believe that high-quality growth companies with established competitive advantages can take market share, capitalize on growth drivers, exert pricing power and self-finance their growth. As a result, these companies should be able to extend their competitive advantage, position themselves for superior future growth and command a premium valuation regardless of the market environment. We believe the market eventually recognizes the value of high quality, dominant growth franchises.
FIXED INCOME MARKETS
The U.S. economy appears to be moving in the right direction, and according to a number of forward-looking indicators, growth is likely to improve. In particular, the expansion in manufacturing activity suggests fourth quarter growth could approach 4%, which would be well above the 2.7% consensus estimate. In 2010, we believe U.S. growth will depend heavily on the cycle of low interest rates and rising asset prices discussed in our global outlook. Consumer spending accounts for two-thirds of U.S. economic growth, and we think future consumption will depend on what happens with employment and investment prices.
Over the next 12 months, we believe the U.S. economy could expand at an annualized rate of about 2.7%. We expect most of that growth to come from inventory restocking, modest consumer spending and an increase in business investment. With so much slack remaining in the economy, we anticipate an inflation rate of only about 1.3% in 2010, less than the consensus forecast of approximately 2%.
2
GOLDMAN SACHS VARIABLE INSURANCE TRUST CORE FIXED INCOME FUND
INVESTMENT OBJECTIVE
The Fund seeks a total return consisting of capital appreciation and income that exceeds the total return of the Barclays Capital U.S. Aggregate Bond Index.
Portfolio Management Discussion and Analysis
Below, the Goldman Sachs Fixed Income Investment Management Team discusses the Fund’s performance and positioning for the year ended December 31, 2009.
How did the Goldman Sachs Core Fixed Income Fund (the “Fund”) perform during the annual period ended December 31, 2009 (the “Reporting Period”)?
During the Reporting Period, the Fund’s Service Shares generated an average annual total return of 14.68%. These returns compare to the 5.93% average annual total return of the Fund’s benchmark, the Barclays Capital U.S. Aggregate Bond Index (“Barclays Index”), during the same time period.
What key factors were responsible for the Fund’s performance during the Reporting Period?
The Fund’s short duration position compared to the Barclays Index contributed to its relative outperformance, as interest rates rose during the Reporting Period. The Fund’s duration strategy was implemented by underweighting the long-term end of the yield curve, or spectrum of maturities. Duration is a measure of the Fund’s sensitivity to changes in interest rates.
The portfolio also benefited from an overweighted position in non-agency residential mortgage-backed securities, which performed strong in anticipation of the government’s Public-Private Investment Program (PPIP), as well as indications the housing market was stabilizing. Also contributing was issue selection among government and agency bonds.
Which fixed income market sectors contributed the most to Fund performance?
As systemic risk decreased dramatically, the credit markets began a massive rally in mid-March. The Fund benefited from its overweighted position in non-agency adjustable-rate mortgages (ARMs), which performed well as supply and demand conditions improved and then continued to rally after the government’s announcement of the PPIP.
A modestly overweighted allocation to investment-grade corporate bonds also contributed to the Fund’s relative performance. Grave concern about the health of the financial system had pushed down the prices of many of these securities in 2008. To take advantage of a potential rebound, we had overweighted the sector within the Fund’s portfolio — a timely decision. The Fund’s allocation to these securities, especially to the debt of financial institutions, boosted its returns, as investors moved back into riskier assets and the government pledged to guarantee bank debt. During the Reporting Period, investment-grade corporate bonds as represented by the Barclays Capital Corporate Index outperformed similar duration Treasuries by 22.76%.
The Fund benefited from issue selection among non-agency ARM’s and commercial mortgage-backed securities (CMBS). Within government and agency bonds, our preference for Treasury Inflation Protected securities (TIPS) and the Fund’s complement of quasi-government bonds boosted results. Issue selection within investment grade corporate bonds, particularly among investment-grade financials, also added value.
What sectors detracted from the Fund’s performance?
The Fund’s underweighted exposure to emerging markets debt hampered its relative performance. The sector rallied as investors rediscovered their appetite for risk.
How did duration positioning decisions affect the Fund’s performance?
The Fund’s short duration positioning compared to the Barclays Index, through a modest position in the long-term end of the yield curve, contributed positively to its performance. In January, interest rates rose as market participants positioned themselves for a glut of stimulus-related issuance, and longer-term inflationary concerns surfaced. Because we believed the risk-return trade-off had diminished, we moved the Fund’s duration position to a neutral one as compared with the Barclays Index prior to the Fed’s announcement that it would be purchasing Treasuries. We subsequently reinitiated the Fund’s short duration stance during the second quarter, which added to returns, as interest rates moved higher with improved financial conditions and signs that macroeconomic data may be stabilizing. As interest rates rallied and supply diminished during the
3
GOLDMAN SACHS VARIABLE INSURANCE TRUST CORE FIXED INCOME FUND
third quarter, this duration position dampened performance. However, it contributed to returns during the fourth quarter as spreads (or, the difference in yields) widened.
What changes did you make to the Fund’s weightings during the Reporting Period and why?
Heavy buying by the Fed drove agency mortgage spreads tighter during the Reporting Period, reducing their attractiveness relative to other low risk assets, such as agency securities. As a result, we reduced our allocation to mortgage pass-throughs. Because we saw more value in government and agency securities, we also added to the Fund’s holdings in these securities.
We reduced our underweighted position in agency mortgage-backed securities toward the end of the fourth quarter. In late December, the Treasury amended the terms of its agreements with Fannie Mae and Freddie Mac. We believe the amendments are favorable for agency mortgages because the Treasury has reiterated and solidified its support for the government-sponsored enterprises (GSEs). One of the amendment also allows the GSEs to purchase delinquent loans from existing MBS pools without having to make an offsetting sale from their own portfolios.
How was the Fund positioned relative to its benchmark index at the end of December 2009?
At the end of the Reporting Period, the Fund was modestly underweight agency mortgages. It had overweighted positions relative to the Barclays Index in agencies, non-agency ARMs and collateralized mortgage obligations (CMOs). Also, within the Fund, we moved to a neutral to slightly underweighted position in mortgage pass-throughs. The Fund had slightly overweighted allocations to investment-grade corporate bonds. We maintained a significantly underweighted position in Treasuries because we expect them to continue to underperform spread, or non-Treasury, sectors in the near term. The Fund had close to a neutral position in asset-backed securities compared to the Barclays Index at the end of December 2009.
What is the Fund’s tactical view and strategy for the months ahead?
We are targeting a neutral duration position compared to the Barclays Index through a modest position in the short-term end of the yield curve. We remain cautious on longer-date Treasury yields, maintaining an underweighted position, because we expect bond supply to continue to rise due to funding for continued economic stimulus.
Despite the strong rally in the non-agency mortgage market, we continue to see opportunities in the senior tranches of distressed securities backed by Alt-A mortgages, which are mortgages that fall between prime and subprime in terms of the credit quality of the underlying borrowers, and option ARMs, which give borrowers payment options. We believe these securities remain attractively priced, even under extremely conservative default and recovery assumptions.
4
GOLDMAN SACHS VARIABLE INSURANCE TRUST CORE FIXED INCOME FUND
SECTOR ALLOCATION1
1 The percentage shown for each investment category reflects the value of investments in that category as a percentage of net assets. Figures in the above graph may not sum to 100% due to the exclusion of other assets and liabilities.
2 Federal Agencies are mortgage-backed securities guaranteed by the Government National Mortgage Association (“GNMA”), Federal National Mortgage Association (“FNMA”) and Federal Home Loan Mortgage Corp. (“FHLMC”). GNMA instruments are backed by the full faith and credit of the United States Government.
3 “Government Guarantee Obligations” are guaranteed under the Federal Deposit Insurance Corporation’s (“FDIC”) Temporary Liquidity Guarantee Program or the Foreign Government Guarantee Program and are backed by the full faith and credit of the United States or the federal government of a foreign country. The expiration date of the FDIC’s guarantee is the earlier of the maturity date of the debt or June 30, 2012.
5
GOLDMAN SACHS VARIABLE INSURANCE TRUST CORE FIXED INCOME FUND
Performance Summary
December 31, 2009
The following graph shows the value, as of December 31, 2009, of a $10,000 investment made in the Fund on January 9, 2006 (commencement of operations). For comparative purposes, the performance of the Fund’s benchmark, the Barclays Capital U.S. Aggregate Bond Index, is shown. This performance data represents past performance and should not be considered indicative of future performance, which will fluctuate with changes in market conditions. These performance fluctuations will cause an investor’s shares, when redeemed, to be worth more or less than their original cost. Performance reflects Fund level expenses, but does not reflect fees and expenses associated with any variable annuity contract or variable life insurance policy that uses the Fund as an investment option for any contract or policy. Had performance reflected all of those fees and expenses, performance would have been reduced. Performance also would have been reduced had expense limitations not been in effect. In addition to the investment adviser’s decisions regarding issuer/industry/country investment selection and allocation, other factors may affect Fund performance. These factors include, but are not limited to, Fund operating fees and expenses, portfolio turnover and subscription and redemption cash flows affecting the Fund.
Core Fixed Income Fund’s Performance
Performance of a $10,000 investment, with distributions reinvested, from January 9, 2006 through December 31, 2009.
| Average Annual Total Return through December 31, 2009 | One Year | Since Inception | ||||||
Core Fixed Income Fund (Commenced January 9, 2006) | 14.68% | 3.91% | ||||||
6
GOLDMAN SACHS VARIABLE INSURANCE TRUST EQUITY INDEX FUND
INVESTMENT OBJECTIVE
The Fund seeks to achieve investment results that correspond to the aggregate price and yield performance of a benchmark index that measures the investment returns of large capitalization stocks.
Portfolio Management Discussion and Analysis
Below, SSgA Funds Management, Inc. the Fund’s Sub-Advisor, discusses the Fund’s performance and positioning for the 12 months ended December 31, 2009.
How did the Goldman Sachs Equity Index Fund (the “Fund”) perform during the annual period ended December 31, 2009 (the “Reporting Period”)?
During the Reporting Period, the Fund’s Service Shares generated an average annual total return of 26.28%. This compares to the 26.46% average annual total return of the Fund’s benchmark, the S&P 500 Index (with dividends reinvested) during the same period.
Which sectors and which industries in the S&P 500 Index were the strongest contributors to the Fund’s performance?
All ten sectors in the S&P 500 Index gained ground during the Reporting Period. Information technology was the strongest contributor within the S&P 500 Index and contributed the most to the Fund’s returns. The consumer discretionary, financials, health care, and industrials sectors also added to Fund’s performance.
The industries that contributed the most to the results of both the S&P 500 Index and the Fund were computers and peripherals; software; semiconductors and semiconductor equipment; communications equipment; and capital markets.
Which sectors and industries in the S&P 500 Index were the weakest contributors to the Fund’s performance?
Although they posted positive returns, the utilities, telecommunications services, energy, consumer staples and materials sectors were the weakest contributors to the Fund’s performance.
Industries generating a negative return were commercial banks; biotechnology; electric utilities; diversified consumer services; and construction materials.
Which individual stocks were the top performers, and which were the greatest detractors?
The largest sector by weighting in the S&P 500 Index at the end of the Reporting Period was information technology at a weighting of 19.85%, and it provided all five of the Reporting Period’s top performers — Apple, Microsoft, International Business Machines (IBM), Google and Cisco Systems.
Detractors from S&P 500 Index and Fund returns were Exxon Mobil, Citigroup, General Electric, Procter & Gamble and Gilead Sciences.
What changes were made to the makeup of the S&P 500 Index during the Reporting Period?
Twenty-six stocks were removed from the S&P 500 Index during the Reporting Period, including General Motors, which filed for bankruptcy protection. Other notable deletions included Wyeth Pharmaceuticals, Schering-Plough, Ingersoll-Rand, Tyco Electronics and MBIA. There were also twenty-six additions to the S&P 500 Index during the Reporting Period. Notable additions included Western Digital, Priceline.com, First Solar, Visa and DeVry.
What is your Fund strategy for the months ahead?
In keeping with our the Fund’s investment objective, we will seek to achieve investment results that correspond to the aggregate price and yield performance of the S&P 500 Index, which measures the investment returns of large capitalization stocks.
7
GOLDMAN SACHS VARIABLE INSURANCE TRUST EQUITY INDEX FUND
TOP TEN PORTFOLIO HOLDINGS AS OF 12/31/09*
| Holding | % of Net Assets | Line of Business | ||||||
| Exxon Mobil Corp. | 3.2 | % | Energy | |||||
| Microsoft Corp. | 2.3 | Software & Services | ||||||
| Apple, Inc. | 1.9 | Technology Hardware & Equipment | ||||||
| Johnson & Johnson | 1.8 | Pharmaceuticals, Biotechnology & Life Sciences | ||||||
| The Procter & Gamble Co. | 1.8 | Household & Personal Products | ||||||
| International Business Machines Corp. | 1.7 | Technology Hardware & Equipment | ||||||
| AT&T, Inc. | 1.6 | Telecommunication Services | ||||||
| JPMorgan Chase & Co. | 1.6 | Diversified Financials | ||||||
| General Electric Co. | 1.6 | Capital Goods | ||||||
| Chevron Corp. | 1.5 | Energy | ||||||
* Opinions expressed in this report represent our present opinions only. Reference to individual securities should not be construed as a commitment that such securities will be retained by the Fund. From time to time, the Fund may change the individual securities it holds, the number or types of securities held and the markets in which it invests. Fund holdings of securities should not be relied upon in making investment decisions and should not be construed as research or investment advice regarding particular securities. References to individual securities do not constitute a recommendation to the investor to buy, hold or sell such securities. In addition, references to past performance of the Fund do not indicate future returns, which are not guaranteed and will vary. Furthermore, the value of shares of the Fund may fall as well as rise.
FUND vs. BENCHMARK SECTOR ALLOCATION AS OF 12/31/091
1 The above graph categorizes investments using Global Industry Classification Standard (“GICS”), however, the sector classifications used by the portfolio management team may differ from GICS. Underlying industry sector allocations of exchange traded funds (“ETF”) held by the Fund are not reflected in the graph above. Consequently, the Fund’s overall industry sector allocations may differ from the percentages contained in the graph above. The percentage shown for each investment category reflects the value of investments in that category as a percentage of market value.
8
GOLDMAN SACHS VARIABLE INSURANCE TRUST EQUITY INDEX FUND
Performance Summary
December 31, 2009
The following graph shows the value, as of December 31, 2009, of a $10,000 investment made in the Fund on January 9, 2006 (commencement of operations). For comparative purposes, the performance of the Fund’s benchmark, the S&P 500 Index (with dividends reinvested), is shown. This performance data represents past performance and should not be considered indicative of future performance, which will fluctuate with changes in market conditions. These performance fluctuations will cause an investor’s shares, when redeemed, to be worth more or less than their original cost. Performance reflects Fund level expenses, but does not reflect fees and expenses associated with any variable annuity contract or variable life insurance policy that uses the Fund as an investment option for any contract or policy. Had performance reflected all of those fees and expenses, performance would have been reduced. Performance also would have been reduced had expense limitations not been in effect. In addition to the investment adviser’s decisions regarding issuer/industry investment selection and allocation, other factors may affect Fund performance. These factors include, but are not limited to, Fund operating fees and expenses, portfolio turnover, and subscription and redemption cash flows affecting the Fund.
Equity Index Fund’s Performance
Performance of a $10,000 investment, with distributions reinvested, from January 9, 2006 through December 31, 2009.
| Average Annual Total Return through December 31, 2009 | One Year | Since Inception | ||||||
Equity Index Fund (Commenced January 9, 2006) | 26.28% | –1.65% | ||||||
GOLDMAN SACHS VARIABLE INSURANCE TRUST GOVERNMENT INCOME FUND
INVESTMENT OBJECTIVE
The Fund seeks a high level of current income, consistent with safety of principal.
Portfolio Management Discussion and Analysis
Below, the Goldman Sachs Fixed Income Investment Management Team discusses the Fund’s performance and positioning for the one year ended December 31, 2009.
How did the Goldman Sachs Government Income Fund (the “Fund”) perform during the annual period ended December 31, 2009 (the “Reporting Period”)?
During the Reporting Period, the Fund’s Service Shares generated an average annual total return of 6.44%. These returns compare to the 1.96% average annual total return of the Fund’s benchmark, the Barclays Capital Government/Mortgage Index (“Barclays Index”) during the same time period.
What key factors were responsible for the Fund’s performance during the Reporting Period?
The Fund’s short duration position compared to the Barclays Index contributed to its relative outperformance, as interest rates rose during the Reporting Period. The Fund’s duration strategy was implemented by underweighting the long-term end of the yield curve, or spectrum of maturities. Duration is a measure of the Fund’s sensitivity to changes in interest rates.
The portfolio also benefited from an overweighted position in non-agency residential mortgage-backed securities, which performed strong in anticipation of the government’s Public-Private Investment Program (PPIP), as well as indications the housing market was stabilizing. Issue selection among government and agency bonds also added to relative performance.
Which fixed income market sectors contributed the most to Fund performance?
As systemic risk decreased dramatically, the credit markets began a massive rally in mid-March. The Fund benefited from its overweighted position in non-agency ARMs, which performed well as supply and demand conditions improved and then continued to rally after the government’s announcement of the PPIP.
Similarly, as investors became less risk averse, commercial mortgage-backed securities (CMBS) outperformed. The sector also benefited from the success of the Term Asset-backed Loan Facility (TALF). A modest overweighted allocation to the sector added to the Fund’s returns.
Within government and agency bonds, our preference for Treasury Inflation Protected Securities (TIPS) and the Fund’s complement of quasi-government bonds boosted results.
What sectors detracted from the Fund’s performance?
No sectors detracted meaningfully from the Fund’s performance during the Reporting Period.
How did duration positioning decisions affect the Fund’s performance?
The Fund’s short duration positioning compared to the Barclays Index, through a modest position in the long-term end of the yield curve, contributed positively to its performance. In January, interest rates rose as market participants positioned themselves for a glut of stimulus-related issuance, and longer-term inflationary concerns surfaced. Because we believed the risk-return trade-off had diminished, we moved the Fund’s duration position to a neutral one as compared with the Barclays Index prior to the Fed’s announcement that it would be purchasing Treasuries. We subsequently reinitiated the Fund’s short duration stance during the second quarter, which added to returns, as interest rates moved higher with improved financial conditions and signs that macroeconomic data may be stabilizing. As interest rates rallied and supply diminished during the third quarter, this duration position dampened performance. However, it contributed to returns during the fourth quarter as spreads (or, the difference in yields) widened.
What changes did you make to the Fund’s weightings during the Reporting Period and why?
Heavy buying by the Fed drove agency mortgage spreads tighter during the Reporting Period, reducing their attractiveness relative to other low risk assets, such as agency securities. As a result, we reduced the Fund’s overweighted allocation to agency mortgage-backed securities and reinvested the proceeds in agency securities.
GOLDMAN SACHS VARIABLE INSURANCE TRUST GOVERNMENT INCOME FUND
How was the Fund positioned relative to its benchmark index at the end of December 2009?
The Fund had overweighted positions relative to the Barclays Index in non-agency ARMs and collateralized mortgage obligations (CMOs) at the end of the Reporting Period. The Fund held a slightly underweighted position in mortgage pass-throughs. The Fund maintained a significantly underweighted allocation to Treasuries because we expect them to continue to underperform spread, or non-Treasury, sectors in the near term. The Fund had overweighted exposure to agency securities and a modest overweighted position in asset-backed securities compared to the Barclays Index at the end of December 2009.
What is the Fund’s tactical view and strategy for the months ahead?
We are targeting a neutral duration position compared to the Barclays Index through a modest position in the short-term end of the yield curve. We remain cautious on longer-date Treasury yields, maintaining an underweighted position, because we expect bond supply to continue to rise due to funding for continued economic stimulus.
Despite the strong rally in the non-agency mortgage market, we continue to see opportunities in the senior tranches of distressed securities backed by Alt-A mortgages, which are mortgages that fall between prime and subprime in terms of the credit quality of the underlying borrowers, and Option ARMs, which give borrowers payment options. We believe these securities remain attractively priced, even under extremely conservative default and recovery assumptions.
SECTOR ALLOCATION1
1 The percentage shown for each investment category reflects the value of investments in that category as a percentage of net assets. Figures in the above graph may not sum to 100% due to the exclusion of other assets and liabilities.
2 Federal Agencies are mortgage-backed securities guaranteed by the Government National Mortgage Association (“GNMA”), Federal National Mortgage Association (“FNMA”) and Federal Home Loan Mortgage Corp. (“FHLMC”). GNMA instruments are backed by the full faith and credit of the United States Government.
3 “Government Guarantee Obligations” are guaranteed under the Federal Deposit Insurance Corporation’s (“FDIC”) Temporary Liquidity Guarantee Program or the Foreign Government Guarantee Program and are backed by the full faith and credit of the United States or the federal government of a foreign country. The expiration date of the FDIC’s guarantee is the earlier of the maturity date of the debt or June 30, 2012.
GOLDMAN SACHS VARIABLE INSURANCE TRUST GOVERNMENT INCOME FUND
Performance Summary
December 31, 2009
The following graph shows the value, as of December 31, 2009, of a $10,000 investment made in the Fund on January 9, 2006 (commencement of operations). For comparative purposes, the performance of the Fund’s benchmark, the Barclays Capital Government/Mortgage Index, is shown. This performance data represents past performance and should not be considered indicative of future performance, which will fluctuate with changes in market conditions. These performance fluctuations will cause an investor’s shares, when redeemed, to be worth more or less than their original cost. Performance reflects Fund level expenses, but does not reflect fees and expenses associated with any variable annuity contract or variable life insurance policy that uses the Fund as an investment option for any contract or policy. Had performance reflected all of those fees and expenses, performance would have been reduced. Performance also would have been reduced had expense limitations not been in effect. In addition to the investment adviser’s decisions regarding issuer/industry investment selection and allocation, other factors may affect Fund performance. These factors include, but are not limited to, Fund operating fees and expenses, portfolio turnover and subscription and redemption cash flows affecting the Fund.
Government Income Fund’s Performance
Performance of a $10,000 investment, with distributions reinvested, from January 9, 2006 through December 31, 2009.
| Average Annual Total Return through December 31, 2009 | One Year | Since Inception | ||||||
Government Income Fund (Commenced January 9, 2006) | 6.44% | 5.21% | ||||||
12
GOLDMAN SACHS VARIABLE INSURANCE TRUST GROWTH OPPORTUNITIES FUND
INVESTMENT OBJECTIVE
The Fund seeks long-term growth of capital.
Portfolio Management Discussion and Analysis
Below, the Goldman Sachs Growth Equity Management Team discusses the Fund’s performance and positioning for the 12 months ended December 31, 2009 (the “Reporting Period”).
How did the Goldman Sachs Growth Opportunities Fund (the “Fund”) perform during the Reporting Period?
During the Reporting Period, the Fund’s Service Shares generated an average annual total return of 58.59%. This compares to the 46.29% average annual total return of the Fund’s benchmark, the Russell Midcap Growth Index (with dividends reinvested) (the “Russell Index”), during the same time period.
What key factors were responsible for the Fund’s performance during the Reporting Period?
In keeping with our investment approach, the Fund’s significant outperformance was primarily the result of stock selection. In addition, the Fund benefited during the broad market rally as investors became less risk averse in their investment decisions and sought out companies with attractive growth prospects.
Which equity market sectors most significantly affected Fund performance?
Our bottom-up approach focuses on security selection, and as a result, we do not make active sector-level investment decisions. That said, on a sector level, energy and consumer discretionary provided the strongest returns of the Reporting Period. Positions in the telecommunications services, financials and utilities sectors also enhanced the Fund’s relative returns.
What were some of the Fund’s best-performing individual stocks?
Gentex, a producer of auto-dimming rearview mirrors and commercial fire protection products, was a top performing stock during the Reporting Period. The company’s share price has been driven higher by a shift in its product mix, the automotive end-market recovery and related inventory restocking. Gentex focused its business on two new products, rear camera display (RCD), which helps drivers back up their vehicles, and SmartBeam, which automatically adjusts headlight high beams. Although we believe Gentex has the leading technology and plenty of room to grow, we locked in profits for the Fund by liquidating the position.
Shares of CME Group, the world’s largest futures and options exchange, also contributed to the Fund’s returns. In March, the company reported that trading volumes had increased since the beginning of 2009. We believe CME Group’s vertically integrated clearing house and exchanges and its unique product offering remains a competitive advantage. Furthermore, we think its over-the-counter clearing business, Clearport, provides a significant growth opportunity because it could meet customers’ demands for more transparency and less counterparty risk.
Another notable contributor was Weatherford International. The oil well services company announced at the end of May that it would acquire TNK-BP Oil Field Services, which is anticipated to greatly increase the company’s access to the critical Western Siberia and Volga-Urals regions in Russia. The company was also awarded a large drilling contract in the Buzurgan fields in Southern Iraq, which supports its strategy of developing its global business. In addition, Weatherford International benefited from rising oil prices.
Which stocks detracted significantly from the Fund’s performance during the Reporting Period?
Fortune Brands detracted from Fund performance, as its shares declined after the company reported weak earnings. The company experienced weakness in several product areas during the consumer spending slowdown. Nevertheless, we continue to believe Fortune Brands has a strong, diversified product portfolio that is likely to benefit when consumer spending increases.
Alliant Techsystems detracted from performance largely because of broader weakness within the defense and aerospace industries. The Obama Administration is reviewing all of the former Bush administration’s defense procurement plans and we expect to see both procurement reform and the elimination of some programs. In our view, Alliant Techsystems is well-
13
GOLDMAN SACHS VARIABLE INSURANCE TRUST GROWTH OPPORTUNITIES FUND
positioned for this outcome because it delivers lower cost products. It also derives sales from areas other than defense, including commercial markets, such as autos and aviation, and civil markets, such as law enforcement.
Did the Fund make any significant purchases or sales during the Reporting Period?
We purchased shares in a number of retail companies, including Staples, Tiffany and Bed Bath & Beyond, during the first half of the fiscal year. Staples is a market share leader in the retail office products and delivery businesses. The company’s recent acquisition of Corporate Express changes the composition of its revenue base, and now over 50% of its revenues come from the high margin, high return delivery business. In addition, two competitors, Office Max and Office Depot, are closing stores in the U.S., which could lead to market share gains for Staples.
Jewelry business Tiffany remains a leader in one of the most fragmented segments of retailing. Recent bankruptcies of national chains and high-end boutiques have left Tiffany well-positioned, in our view, to gain market share. Further, Tiffany has a strong, global brand that we believe will get stronger as it continues to penetrate international markets. The company protects its brand by having a no-discount policy, ensuring stable profits relative to most of the retail industry.
Bed Bath & Beyond is a chain of retail stores with well-known subsidiaries, Christmas Tree Shops and buybuy BABY. We believe the company is likely to gain market share following the bankruptcy of its major competitor, Linens ’n Things.
Later in the fiscal year, we purchased Dril-Quip, which manufactures and sells engineered offshore deep water drilling and production equipment. In our view, the prospects in deep water drilling are attractive given the limited supply of onshore sources of oil. We believe Dril-Quip is fully well positioned to benefit from increased deepwater exploration. We also think the stock is attractively valued given the company’s dominant position in the deep water space and its long-term prospects in offshore drilling.
We also purchased Apollo Group, a provider of private education programs at the undergraduate, graduate and doctoral levels through the Internet and on campuses. Apollo meets our criteria for a high-quality growth business because it has high margins and a low market cap, giving it the potential to generate meaningful free cash flow. We also believe Apollo is benefiting from an increase in demand for online courses.
We sold Express Scripts, one of the three leading pharmacy benefits managers in the U.S. Shares of Express Scripts rose after the company announced its acquisition of WellPoint’s pharmacy benefits management business. While we believe the acquisition should increase Express Scripts’ purchasing power and administration efficiencies, we sold the position because we believed the stock price had reached a fair valuation, and the company no longer fit our definition of a mid cap company.
Were there any notable changes in the Fund’s weightings during the Reporting Period?
There were no notable changes in the Fund’s weightings during the Reporting Period.
How was the Fund positioned relative to its benchmark index at the end of December 2009?
As mentioned, the Fund’s sector positioning relative to its benchmark index is the result of our stock selection, as we take a pure bottom-up, research-intensive approach to investing. At the end of the Reporting Period, the Fund’s portfolio was broadly diversified with overweighted positions compared to the Russell Index in the consumer discretionary, energy, financials, health care, consumer staples and telecommunications services sectors. The Fund had smaller weightings relative to the Russell Midcap Growth Index in the industrials, information technology and utilities sectors at the end of December 2009.
What is the Fund’s tactical view and strategy for the months ahead?
As volatility returns to more reasonable levels, and stock prices are expected to be driven once again by fundamentals, we believe the Fund’s holdings are well-positioned. We intend to continue to focus on high-quality growth companies that maintain, in our view, a competitive advantage and generate meaningful free cash flow.
14
GOLDMAN SACHS VARIABLE INSURANCE TRUST GROWTH OPPORTUNITIES FUND
TOP TEN PORTFOLIO HOLDINGS AS OF 12/31/09*
| Holding | % of Net Assets | Line of Business | ||||||
| CB Richard Ellis Group, Inc. Class A | 2.8 | % | Real Estate | |||||
| Chattem, Inc. | 2.6 | Household & Personal Products | ||||||
| St. Jude Medical, Inc. | 2.6 | Health Care Equipment & Services | ||||||
| Cameron International Corp. | 2.6 | Energy | ||||||
| Northern Trust Corp. | 2.6 | Diversified Financials | ||||||
| Equinix, Inc. | 2.5 | Software & Services | ||||||
| Broadcom Corp. Class A | 2.5 | Semiconductors & Semiconductor Equipment | ||||||
| Global Payments, Inc. | 2.2 | Software & Services | ||||||
| American Tower Corp. Class A | 2.1 | Telecommunication Services | ||||||
| People’s United Financial, Inc. | 2.1 | Banks | ||||||
* Opinions expressed in this report represent our present opinions only. Reference to individual securities should not be construed as a commitment that such securities will be retained by the Fund. From time to time, the Fund may change the individual securities it holds, the number or types of securities held and the markets in which it invests. Fund holdings of securities should not be relied upon in making investment decisions and should not be construed as research or investment advice regarding particular securities. References to individual securities do not constitute a recommendation to the investor to buy, hold or sell such securities. In addition, references to past performance of the Fund do not indicate future returns, which are not guaranteed and will vary. Furthermore, the value of shares of the Fund may fall as well as rise.
FUND vs. BENCHMARK SECTOR ALLOCATION AS OF 12/31/091
1 The fund is actively managed and, as such, its composition may differ over time. The above graph categorizes investments using Global Industry Classification Standard (“GICS”), however, the sector classifications used by the portfolio management team may differ from GICS. Underlying industry sector allocations of exchange traded funds (“ETF”) held by the Fund are not reflected in the graph above. Consequently, the Fund’s overall industry sector allocations may differ from the percentages contained in the graph above. The percentage shown for each investment category reflects the value of investments in that category as a percentage of market value (excluding investments in the securities lending reinvestment vehicle, if any). Investment in the securities lending reinvestment vehicle represented 9.2% of the Fund’s net assets at December 31, 2009.
15
GOLDMAN SACHS VARIABLE INSURANCE TRUST GROWTH OPPORTUNITIES FUND
Performance Summary
December 31, 2009
The following graph shows the value, as of December 31, 2009, of a $10,000 investment made in the Fund on January 9, 2006 (commencement of operations). For comparative purposes, the performance of the Fund’s benchmark, the Russell Midcap Growth Index (with dividends reinvested), is shown. This performance data represents past performance and should not be considered indicative of future performance which will fluctuate with changes in market conditions. These performance fluctuations will cause an investor’s shares, when redeemed, to be worth more or less than their original cost. Performance reflects Fund level expenses, but does not reflect fees and expenses associated with any variable annuity contract or variable life insurance policy that uses the Fund as an investment option for any contract or policy. Had performance reflected all of those fees and expenses, performance would have been reduced. Performance also would have been reduced had expense limitations not been in effect. In addition to the investment adviser’s decisions regarding issuer/industry investment selection and allocation, other factors may affect Fund performance. These factors include, but are not limited to, Fund operating fees and expenses, portfolio turnover, and subscription and redemption cash flows affecting the Fund.
Growth Opportunities Fund’s Performance
Performance of a $10,000 investment, with distributions reinvested, from January 9, 2006 through December 31, 2009.
| Average Annual Total Return through December 31, 2009 | One Year | Since Inception | ||||||
Growth Opportunities Fund (Commenced January 9, 2006) | 58.59% | 3.52% | ||||||
16
GOLDMAN SACHS VARIABLE INSURANCE TRUST CORE FIXED INCOME FUND
Schedule of Investments
December 31, 2009
| Principal | Interest | Maturity | ||||||||||||||
| Amount | Rate | Date | Value | |||||||||||||
Corporate Obligations – 19.2% | ||||||||||||||||
| Banks – 5.3% | ||||||||||||||||
| ANZ Capital Trust I(a)(b) | ||||||||||||||||
| $ | 500,000 | 4.484 | % | 01/29/49 | $ | 500,015 | ||||||||||
| Bank of America Corp. | ||||||||||||||||
| 200,000 | 5.750 | 12/01/17 | 206,505 | |||||||||||||
| 175,000 | 7.625 | 06/01/19 | 202,149 | |||||||||||||
| Bear Stearns Companies, Inc. | ||||||||||||||||
| 525,000 | 7.250 | 02/01/18 | 601,151 | |||||||||||||
| Citigroup, Inc. | ||||||||||||||||
| 425,000 | 6.375 | 08/12/14 | 444,495 | |||||||||||||
| 600,000 | 5.000 | 09/15/14 | 580,640 | |||||||||||||
| 300,000 | 5.875 | 05/29/37 | 266,122 | |||||||||||||
| 100,000 | 6.875 | 03/05/38 | 99,219 | |||||||||||||
| Credit Agricole SA(a)(b)(c) | ||||||||||||||||
| 200,000 | 8.375 | 12/31/49 | 212,000 | |||||||||||||
| Discover Bank | ||||||||||||||||
| 325,000 | 8.700 | 11/18/19 | 349,665 | |||||||||||||
| JPMorgan Chase Bank NA | ||||||||||||||||
| 400,000 | 6.000 | 10/01/17 | 425,616 | |||||||||||||
| JPMorgan Chase Capital XXVII Series AA | ||||||||||||||||
| 275,000 | 7.000 | 11/01/39 | 277,115 | |||||||||||||
| Merrill Lynch & Co., Inc. | ||||||||||||||||
| 450,000 | 5.450 | 02/05/13 | 473,602 | |||||||||||||
| Morgan Stanley & Co. | ||||||||||||||||
| 275,000 | 5.750 | 08/31/12 | 296,515 | |||||||||||||
| 400,000 | 5.950 | 12/28/17 | 411,721 | |||||||||||||
| 725,000 | 6.625 | 04/01/18 | 778,831 | |||||||||||||
| 100,000 | 5.625 | 09/23/19 | 100,609 | |||||||||||||
| PNC Bank NA | ||||||||||||||||
| 325,000 | 6.875 | 04/01/18 | 344,962 | |||||||||||||
| Resona Bank Ltd.(a)(b)(c) | ||||||||||||||||
| 1,250,000 | 5.850 | 09/29/49 | 1,090,973 | |||||||||||||
| Royal Bank of Scotland Group PLC(a) | ||||||||||||||||
| 425,000 | 4.875 | 08/25/14 | 430,816 | |||||||||||||
| Santander Issuances SA(a)(c) | ||||||||||||||||
| 200,000 | 5.805 | 06/20/16 | 186,000 | |||||||||||||
| US Bank NA(c) | ||||||||||||||||
| 250,000 | 4.375 | 02/28/17 | 346,218 | |||||||||||||
| Wachovia Bank NA | ||||||||||||||||
| 250,000 | 7.800 | 08/18/10 | 260,868 | |||||||||||||
| 675,000 | 6.600 | 01/15/38 | 716,510 | |||||||||||||
| Wells Fargo Capital XIII(b)(c) | ||||||||||||||||
| 125,000 | 7.700 | 12/29/49 | 120,625 | |||||||||||||
| 9,722,942 | ||||||||||||||||
| Building Materials – 0.1% | ||||||||||||||||
| Holcim US Finance Sarl & Companhia SCS(a) | ||||||||||||||||
| 175,000 | 6.000 | 12/30/19 | 182,156 | |||||||||||||
| Chemicals – 0.6% | ||||||||||||||||
| Airgas, Inc. | ||||||||||||||||
| 425,000 | 4.500 | 09/15/14 | 431,436 | |||||||||||||
| Dow Chemical Co. | ||||||||||||||||
| 500,000 | 7.600 | 05/15/14 | 569,075 | |||||||||||||
| 175,000 | 5.900 | 02/15/15 | 188,258 | |||||||||||||
| 1,188,769 | ||||||||||||||||
| Consumer Products – 0.2% | ||||||||||||||||
| Whirlpool Corp. | ||||||||||||||||
| 125,000 | 8.000 | 05/01/12 | 136,171 | |||||||||||||
| 175,000 | 8.600 | 05/01/14 | 198,211 | |||||||||||||
| 334,382 | ||||||||||||||||
| Electric – 1.7% | ||||||||||||||||
| Arizona Public Service Co. | ||||||||||||||||
| 250,000 | 6.375 | 10/15/11 | 266,358 | |||||||||||||
| 225,000 | 6.250 | 08/01/16 | 236,338 | |||||||||||||
| CenterPoint Energy, Inc. Series B | ||||||||||||||||
| 1,000,000 | 7.250 | 09/01/10 | 1,031,844 | |||||||||||||
| Commonwealth Edison Co. | ||||||||||||||||
| 250,000 | 5.875 | 02/01/33 | 252,755 | |||||||||||||
| Enel Finance International SA(a) | ||||||||||||||||
| 475,000 | 5.125 | 10/07/19 | 477,934 | |||||||||||||
| FirstEnergy Corp. Series C | ||||||||||||||||
| 275,000 | 7.375 | 11/15/31 | 301,637 | |||||||||||||
| Progress Energy, Inc. | ||||||||||||||||
| 200,000 | 5.625 | 01/15/16 | 211,324 | |||||||||||||
| 350,000 | 7.000 | 10/30/31 | 381,554 | |||||||||||||
| 3,159,744 | ||||||||||||||||
| Energy – 0.4% | ||||||||||||||||
| Dolphin Energy Ltd.(a) | ||||||||||||||||
| 237,600 | 5.888 | 06/15/19 | 239,976 | |||||||||||||
| Ras Laffan Liquefied Natural Gas Co. Ltd. III(a) | ||||||||||||||||
| 250,000 | 5.500 | 09/30/14 | 261,911 | |||||||||||||
| Suncor Energy, Inc. | ||||||||||||||||
| 250,000 | 6.100 | 06/01/18 | 269,013 | |||||||||||||
| 770,900 | ||||||||||||||||
| Food & Beverage – 0.6% | ||||||||||||||||
| Anheuser-Busch InBev Worldwide, Inc.(a) | ||||||||||||||||
| 400,000 | 7.200 | 01/15/14 | 453,664 | |||||||||||||
| 550,000 | 4.125 | 01/15/15 | 559,513 | |||||||||||||
| 1,013,177 | ||||||||||||||||
| Healthcare – 0.9% | ||||||||||||||||
| Agilent Technologies, Inc. | ||||||||||||||||
| 550,000 | 5.500 | 09/14/15 | 577,748 | |||||||||||||
| Boston Scientific Corp. | ||||||||||||||||
| 300,000 | 4.500 | 01/15/15 | 300,612 | |||||||||||||
| 200,000 | 6.000 | 01/15/20 | 204,355 | |||||||||||||
| CareFusion Corp.(a) | ||||||||||||||||
| 525,000 | 6.375 | 08/01/19 | 567,606 | |||||||||||||
| 1,650,321 | ||||||||||||||||
| Life Insurance – 0.4% | ||||||||||||||||
| MetLife Capital Trust X(a)(b)(c) | ||||||||||||||||
| 300,000 | 9.250 | 04/08/38 | 339,000 | |||||||||||||
| Phoenix Life Insurance Co.(a)(b) | ||||||||||||||||
| 325,000 | 7.150 | 12/15/34 | 156,000 | |||||||||||||
| Symetra Financial Corp.(a)(c) | ||||||||||||||||
| 325,000 | 8.300 | 10/15/37 | 263,456 | |||||||||||||
| 758,456 | ||||||||||||||||
GOLDMAN SACHS VARIABLE INSURANCE TRUST CORE FIXED INCOME FUND
Schedule of Investments (continued)
December 31, 2009
| Principal | Interest | Maturity | ||||||||||||||
| Amount | Rate | Date | Value | |||||||||||||
Corporate Obligations – (continued) | ||||||||||||||||
| Media Cable – 1.2% | ||||||||||||||||
| Comcast Corp. | ||||||||||||||||
| $ | 625,000 | 6.450 | % | 03/15/37 | $ | 642,220 | ||||||||||
| COX Communications, Inc. | ||||||||||||||||
| 1,075,000 | 4.625 | 01/15/10 | 1,076,101 | |||||||||||||
| Rogers Cable, Inc. | ||||||||||||||||
| 200,000 | 7.875 | 05/01/12 | 224,264 | |||||||||||||
| Time Warner Entertainment Co. LP | ||||||||||||||||
| 225,000 | 8.375 | 03/15/23 | 267,809 | |||||||||||||
| 2,210,394 | ||||||||||||||||
| Metals and Mining – 0.5% | ||||||||||||||||
| Anglo American Capital PLC(a) | ||||||||||||||||
| 100,000 | 9.375 | 04/08/14 | 119,994 | |||||||||||||
| 225,000 | 9.375 | 04/08/19 | 285,797 | |||||||||||||
| ArcelorMittal | ||||||||||||||||
| 375,000 | 6.125 | 06/01/18 | 388,253 | |||||||||||||
| 794,044 | ||||||||||||||||
| Noncaptive-Financial – 1.2% | ||||||||||||||||
| Bear Stearns Companies, Inc. | ||||||||||||||||
| 550,000 | 6.400 | 10/02/17 | 601,077 | |||||||||||||
| International Lease Finance Corp. | ||||||||||||||||
| 275,000 | 4.950 | 02/01/11 | 255,750 | |||||||||||||
| Merrill Lynch & Co., Inc. | ||||||||||||||||
| 325,000 | 6.400 | 08/28/17 | 342,181 | |||||||||||||
| 600,000 | 6.875 | 04/25/18 | 648,508 | |||||||||||||
| SLM Corp. | ||||||||||||||||
| 450,000 | 5.400 | 10/25/11 | 449,575 | |||||||||||||
| 2,297,091 | ||||||||||||||||
| Paper – 0.2% | ||||||||||||||||
| International Paper Co. | ||||||||||||||||
| 325,000 | 7.500 | 08/15/21 | 361,249 | |||||||||||||
| Pharmaceuticals – 0.2% | ||||||||||||||||
| Watson Pharmaceuticals, Inc. | ||||||||||||||||
| 325,000 | 5.000 | 08/15/14 | 332,579 | |||||||||||||
| Pipelines – 1.8% | ||||||||||||||||
| Boardwalk Pipelines LP | ||||||||||||||||
| 575,000 | 5.875 | 11/15/16 | 588,357 | |||||||||||||
| DCP Midstream LLC(a) | ||||||||||||||||
| 280,000 | 9.750 | 03/15/19 | 344,527 | |||||||||||||
| Energy Transfer Partners LP | ||||||||||||||||
| 550,000 | 5.950 | 02/01/15 | 584,900 | |||||||||||||
| Enterprise Products Operating LLC | ||||||||||||||||
| 175,000 | 5.000 | 03/01/15 | 180,729 | |||||||||||||
| 550,000 | 6.650 | 04/15/18 | 599,820 | |||||||||||||
| Tennessee Gas Pipeline Co. | ||||||||||||||||
| 150,000 | 8.000 | 02/01/16 | 169,262 | |||||||||||||
| 200,000 | 8.375 | 06/15/32 | 237,665 | |||||||||||||
| The Williams Companies, Inc. | ||||||||||||||||
| 325,000 | 8.750 | 03/15/32 | 388,739 | |||||||||||||
| TransCanada Pipelines Ltd.(c) | ||||||||||||||||
| 325,000 | 6.350 | 05/15/67 | 302,250 | |||||||||||||
| 3,396,249 | ||||||||||||||||
| Property/Casualty Insurance – 1.6% | ||||||||||||||||
| Arch Capital Group Ltd. | ||||||||||||||||
| 350,000 | 7.350 | 05/01/34 | 329,727 | |||||||||||||
| Aspen Insurance Holdings Ltd. | ||||||||||||||||
| 350,000 | 6.000 | 08/15/14 | 353,729 | |||||||||||||
| Endurance Specialty Holdings Ltd. | ||||||||||||||||
| 175,000 | 6.150 | 10/15/15 | 182,659 | |||||||||||||
| Marsh & McClennan Companies, Inc. | ||||||||||||||||
| 600,000 | 5.150 | 09/15/10 | 613,490 | |||||||||||||
| QBE Insurance Group Ltd.(a) | ||||||||||||||||
| 225,000 | 9.750 | 03/14/14 | 254,539 | |||||||||||||
| Transatlantic Holdings, Inc. | ||||||||||||||||
| 225,000 | 8.000 | 11/30/39 | 227,858 | |||||||||||||
| White Mountains Reinsurance Group Ltd.(a) | ||||||||||||||||
| 600,000 | 6.375 | 03/20/17 | 544,142 | |||||||||||||
| ZFS Finance USA Trust IV(a)(b)(c) | ||||||||||||||||
| 675,000 | 5.875 | 05/09/32 | 546,352 | |||||||||||||
| 3,052,496 | ||||||||||||||||
| Real Estate Investment Trusts – 0.9% | ||||||||||||||||
| Healthcare Realty Trust, Inc. | ||||||||||||||||
| 300,000 | 6.500 | 01/17/17 | 295,093 | |||||||||||||
| ProLogis | ||||||||||||||||
| 100,000 | 2.250 | 04/01/37 | 92,750 | |||||||||||||
| 175,000 | 1.875 | 11/15/37 | 154,875 | |||||||||||||
| Simon Property Group LP | ||||||||||||||||
| 350,000 | 10.350 | 04/01/19 | 437,175 | |||||||||||||
| Westfield Capital Corp. Ltd.(a) | ||||||||||||||||
| 225,000 | 4.375 | 11/15/10 | 231,188 | |||||||||||||
| Westfield Group(a) | ||||||||||||||||
| 125,000 | 5.400 | 10/01/12 | 132,598 | |||||||||||||
| 125,000 | 7.500 | 06/02/14 | 140,662 | |||||||||||||
| 1,484,341 | ||||||||||||||||
| Tobacco – 0.4% | ||||||||||||||||
| Altria Group, Inc. | ||||||||||||||||
| 275,000 | 9.700 | 11/10/18 | 338,924 | |||||||||||||
| BAT International Finance PLC(a) | ||||||||||||||||
| 300,000 | 9.500 | 11/15/18 | 380,966 | |||||||||||||
| 719,890 | ||||||||||||||||
| Wireless Telecommunications – 0.4% | ||||||||||||||||
| New Cingular Wireless Services, Inc. | ||||||||||||||||
| 675,000 | 7.875 | 03/01/11 | 724,201 | |||||||||||||
| Wirelines Telecommunications – 0.6% | ||||||||||||||||
| Telecom Italia Capital SA | ||||||||||||||||
| 225,000 | 4.000 | 01/15/10 | 225,173 | |||||||||||||
| 300,000 | 4.875 | 10/01/10 | 307,049 | |||||||||||||
| Telefonica Europe BV | ||||||||||||||||
| 300,000 | 7.750 | 09/15/10 | 313,832 | |||||||||||||
| Verizon Communications, Inc. | ||||||||||||||||
| 150,000 | 6.400 | 02/15/38 | 158,356 | |||||||||||||
| 1,004,410 | ||||||||||||||||
TOTAL CORPORATE OBLIGATIONS | ||||||||||||||||
| (Cost $34,161,768) | $ | 35,157,791 | ||||||||||||||
GOLDMAN SACHS VARIABLE INSURANCE TRUST CORE FIXED INCOME FUND
| Principal | Interest | Maturity | ||||||||||||||
| Amount | Rate | Date | Value | |||||||||||||
Mortgage-Backed Obligations – 48.0% | ||||||||||||||||
| Adjustable Rate Non-Agency(c) – 3.3% | ||||||||||||||||
| Bear Stearns Adjustable Rate Mortgage Trust Series 2004-1, Class 21A1 | ||||||||||||||||
| $ | 36,597 | 3.634 | % | 04/25/34 | $ | 32,500 | ||||||||||
| Countrywide Alternative Loan Trust Series 2005-38, Class A1 | ||||||||||||||||
| 309,507 | 2.044 | 09/25/35 | 181,889 | |||||||||||||
| Countrywide Home Loan Mortgage Pass-Through Trust Series 2003-52, Class A1 | ||||||||||||||||
| 135,961 | 3.436 | 02/19/34 | 114,385 | |||||||||||||
| Countrywide Home Loan Mortgage Pass-Through Trust Series 2004-HYB6, Class A2 | ||||||||||||||||
| 24,909 | 3.619 | 11/20/34 | 20,048 | |||||||||||||
| Downey Savings & Loan Association Mortgage Loan Trust Series 2006-AR2, Class 2A1A | ||||||||||||||||
| 1,339,798 | 0.433 | 11/19/37 | 680,777 | |||||||||||||
| Indymac Index Mortgage Loan Trust Series 2005-AR15, Class A1 | ||||||||||||||||
| 568,668 | 5.263 | 09/25/35 | 445,355 | |||||||||||||
| Indymac Index Mortgage Loan Trust Series 2006-AR4, Class A1A | ||||||||||||||||
| 1,195,459 | 0.441 | 05/25/46 | 616,684 | |||||||||||||
| J.P. Morgan Mortgage Trust Series 2007-A1, Class 2A2 | ||||||||||||||||
| 524,478 | 3.632 | 07/25/35 | 472,779 | |||||||||||||
| Lehman XS Trust Series 2005-7N, Class 1A1A | ||||||||||||||||
| 481,585 | 0.501 | 12/25/35 | 285,760 | |||||||||||||
| Master Adjustable Rate Mortgages Trust Series 2006-OA2, Class 4A1A | ||||||||||||||||
| 698,578 | 1.394 | 12/25/46 | 220,668 | |||||||||||||
| Structured Adjustable Rate Mortgage Loan Trust Series 2004-5, Class 3A1 | ||||||||||||||||
| 57,356 | 2.963 | 05/25/34 | 48,418 | |||||||||||||
| Structured Adjustable Rate Mortgage Loan Trust Series 2004-12, Class 3A2 | ||||||||||||||||
| 26,117 | 3.249 | 09/25/34 | 22,423 | |||||||||||||
| Thornburg Mortgage Securities Trust Series 2006-4, Class A2B | ||||||||||||||||
| 1,835,010 | 0.351 | 07/25/36 | 1,609,558 | |||||||||||||
| Washington Mutual Mortgage Pass-Through Certificates Series 2004-AR3, Class A2 | ||||||||||||||||
| 37,296 | 3.136 | 06/25/34 | 34,080 | |||||||||||||
| Washington Mutual Mortgage Pass-Through Certificates Series 2007-OA2, Class 1A | ||||||||||||||||
| 723,659 | 1.244 | 03/25/47 | 394,023 | |||||||||||||
| Wells Fargo Mortgage Backed Securities Trust Series 2006-AR10, Class 5A3 | ||||||||||||||||
| 1,028,874 | 5.589 | 07/25/36 | 853,230 | |||||||||||||
| 6,032,577 | ||||||||||||||||
| Collateralized Mortgage Obligations – 3.8% | ||||||||||||||||
| Interest Only(c)(d) – 0.0% | ||||||||||||||||
| FNMA REMIC Series 2004-71, Class DI | ||||||||||||||||
| 459,417 | 0.000 | 04/25/34 | 12,830 | |||||||||||||
| Planned Amortization Class – 1.7% | ||||||||||||||||
| FNMA REMIC Series 2003-92, Class PD | ||||||||||||||||
| 3,000,000 | 4.500 | 03/25/17 | 3,106,668 | |||||||||||||
| Regular Floater(c) – 2.1% | ||||||||||||||||
| FHLMC REMIC Series 2005-3038, Class XA(e) | ||||||||||||||||
| 45,345 | 0.000 | 09/15/35 | 38,946 | |||||||||||||
| FHLMC REMIC Series 2006-3167, Class X(e) | ||||||||||||||||
| 27,042 | 0.000 | 06/15/36 | 22,699 | |||||||||||||
| FHLMC REMIC Series 2007-3275, Class UF(e) | ||||||||||||||||
| 46,550 | 0.000 | 02/15/37 | 44,620 | |||||||||||||
| FHLMC REMIC Series 2007-3342, Class FT | ||||||||||||||||
| 1,559,703 | 0.683 | 07/15/37 | 1,543,131 | |||||||||||||
| FNMA REMIC Series 2006-68, Class FM | ||||||||||||||||
| 778,406 | 0.681 | 08/25/36 | 770,106 | |||||||||||||
| FNMA REMIC Series 2006-81, Class LF(e) | ||||||||||||||||
| 39,638 | 0.000 | 09/25/36 | 39,167 | |||||||||||||
| FNMA REMIC Series 2007-4, Class DF | ||||||||||||||||
| 1,245,492 | 0.676 | 02/25/37 | 1,219,634 | |||||||||||||
| FNMA REMIC Series 2007-56, Class GY(e) | ||||||||||||||||
| 59,245 | 0.000 | 06/25/37 | 58,070 | |||||||||||||
| 3,736,373 | ||||||||||||||||
| TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS | $ | 6,855,871 | ||||||||||||||
| Commercial Mortgage-Backed Securities – 6.6% | ||||||||||||||||
| Adjustable Rate Non-Agency(c) – 2.2% | ||||||||||||||||
| Wachovia Bank Commercial Mortgage Trust Series 2005-C21, Class A4 | ||||||||||||||||
| $ | 3,000,000 | 5.209 | % | 10/15/44 | $ | 2,994,190 | ||||||||||
| Wachovia Bank Commercial Mortgage Trust Series 2006-C25, Class A5 | ||||||||||||||||
| 1,200,000 | 5.740 | 05/15/43 | 1,181,183 | |||||||||||||
| 4,175,373 | ||||||||||||||||
| Sequential Fixed Rate – 4.4% | ||||||||||||||||
| CWCapital Cobalt Ltd. Series 2006-C1, Class A4 | ||||||||||||||||
| 1,052,000 | 5.223 | 08/15/48 | 887,827 | |||||||||||||
| GE Capital Commercial Mortgage Corp. Series 2002-1A, Class A3 | ||||||||||||||||
| 2,700,000 | 6.269 | 12/10/35 | 2,848,550 | |||||||||||||
| J.P. Morgan Chase Commercial Mortgage Securities Corp. Series 2005-LDP2, Class A4 | ||||||||||||||||
| 1,500,000 | 4.738 | 07/15/42 | 1,445,331 | |||||||||||||
| Morgan Stanley Dean Witter Capital I Series 2003-TOP9, Class A2 | ||||||||||||||||
| 2,700,000 | 4.740 | 11/13/36 | 2,756,340 | |||||||||||||
| 7,938,048 | ||||||||||||||||
| TOTAL COMMERCIAL MORTGAGE-BACKED SECURITIES | $ | 12,113,421 | ||||||||||||||
| Federal Agencies – 34.3% | ||||||||||||||||
| Adjustable Rate FHLMC(c) – 2.4% | ||||||||||||||||
| $ | 2,506,653 | 4.846 | % | 09/01/35 | $ | 2,606,954 | ||||||||||
| 1,710,573 | 4.690 | 10/01/35 | 1,783,980 | |||||||||||||
| 4,390,934 | ||||||||||||||||
| Adjustable Rate FNMA(c) – 2.1% | ||||||||||||||||
| 795,326 | 3.335 | 05/01/33 | 816,600 | |||||||||||||
GOLDMAN SACHS VARIABLE INSURANCE TRUST CORE FIXED INCOME FUND
Schedule of Investments (continued)
December 31, 2009
| Principal | Interest | Maturity | ||||||||||||||
| Amount | Rate | Date | Value | |||||||||||||
Mortgage-Backed Obligations – (continued) | ||||||||||||||||
| Adjustable Rate FNMA(c) – (continued) | ||||||||||||||||
| $ | 1,082,063 | 2.912 | % | 05/01/35 | $ | 1,121,922 | ||||||||||
| 1,808,027 | 5.088 | 09/01/35 | 1,870,105 | |||||||||||||
| 3,808,627 | ||||||||||||||||
| FHLMC – 8.3% | ||||||||||||||||
| 8,506 | 7.000 | 08/01/10 | 8,693 | |||||||||||||
| 7,586 | 7.000 | 11/01/11 | 7,941 | |||||||||||||
| 6,836 | 7.000 | 12/01/11 | 7,157 | |||||||||||||
| 42,930 | 7.500 | 06/01/15 | 46,762 | |||||||||||||
| 178,538 | 7.000 | 07/01/16 | 192,650 | |||||||||||||
| 834,626 | 5.500 | 02/01/18 | 893,263 | |||||||||||||
| 68,309 | 5.500 | 04/01/18 | 73,108 | |||||||||||||
| 49,247 | 4.500 | 05/01/18 | 51,415 | |||||||||||||
| 29,199 | 4.500 | 06/01/18 | 30,484 | |||||||||||||
| 70,777 | 4.500 | 09/01/18 | 73,891 | |||||||||||||
| 122,152 | 5.500 | 09/01/18 | 130,734 | |||||||||||||
| 92,155 | 4.500 | 10/01/18 | 96,211 | |||||||||||||
| 36,535 | 4.500 | 01/01/19 | 38,143 | |||||||||||||
| 33,537 | 4.500 | 03/01/19 | 35,013 | |||||||||||||
| 12,389 | 9.500 | 08/01/19 | 13,732 | |||||||||||||
| 806 | 9.500 | 08/01/20 | 896 | |||||||||||||
| 253,731 | 6.500 | 10/01/20 | 276,438 | |||||||||||||
| 38,991 | 4.500 | 07/01/24 | 40,225 | |||||||||||||
| 29,834 | 4.500 | 09/01/24 | 30,750 | |||||||||||||
| 380,898 | 4.500 | 11/01/24 | 392,790 | |||||||||||||
| 50,277 | 4.500 | 12/01/24 | 51,867 | |||||||||||||
| 71,523 | 6.000 | 03/01/29 | 76,652 | |||||||||||||
| 912 | 6.000 | 04/01/29 | 977 | |||||||||||||
| 52,797 | 7.500 | 12/01/29 | 58,060 | |||||||||||||
| 964 | 7.500 | 11/01/30 | 1,060 | |||||||||||||
| 483,434 | 7.000 | 05/01/32 | 532,194 | |||||||||||||
| 1,793 | 6.000 | 08/01/32 | 1,918 | |||||||||||||
| 287,016 | 7.000 | 12/01/32 | 315,965 | |||||||||||||
| 53,720 | 5.000 | 12/01/35 | 55,258 | |||||||||||||
| 20,451 | 6.000 | 11/01/36 | 21,838 | |||||||||||||
| 64,293 | 6.000 | 09/01/37 | 69,088 | |||||||||||||
| 21,385 | 6.000 | 11/01/37 | 22,806 | |||||||||||||
| 95,358 | 6.000 | 02/01/38 | 102,499 | |||||||||||||
| 84,494 | 5.000 | 04/01/38 | 86,887 | |||||||||||||
| 21,769 | 6.000 | 04/01/38 | 23,215 | |||||||||||||
| 355,639 | 6.000 | 07/01/38 | 381,708 | |||||||||||||
| 1,515,134 | 6.000 | 08/01/38 | 1,615,808 | |||||||||||||
| 18,492 | 6.000 | 09/01/38 | 19,715 | |||||||||||||
| 64,501 | 6.000 | 10/01/38 | 69,312 | |||||||||||||
| 22,196 | 6.000 | 11/01/38 | 23,781 | |||||||||||||
| 22,446 | 6.000 | 02/01/39 | 23,930 | |||||||||||||
| 476,640 | 5.000 | 03/01/39 | 490,139 | |||||||||||||
| 1,308,718 | 5.000 | 04/01/39 | 1,345,781 | |||||||||||||
| 420,444 | 5.000 | 05/01/39 | 432,877 | |||||||||||||
| 2,317,545 | 5.000 | 06/01/39 | 2,384,865 | |||||||||||||
| 685,540 | 5.000 | 07/01/39 | 705,199 | |||||||||||||
| 63,216 | 5.000 | 08/01/39 | 65,086 | |||||||||||||
| 988,003 | 4.500 | 09/01/39 | 988,312 | |||||||||||||
| 299,989 | 4.500 | 10/01/39 | 299,989 | |||||||||||||
| 498,771 | 5.000 | 10/01/39 | 512,772 | |||||||||||||
| 2,000,000 | 4.500 | TBA-30yr | (f) | 1,995,312 | ||||||||||||
| 15,215,166 | ||||||||||||||||
| FNMA – 16.4% | ||||||||||||||||
| 11 | 9.000 | 02/01/10 | 11 | |||||||||||||
| 22,061 | 6.000 | 08/01/13 | 23,644 | |||||||||||||
| 108,925 | 7.500 | 08/01/15 | 118,867 | |||||||||||||
| 49,159 | 6.000 | 04/01/16 | 52,837 | |||||||||||||
| 111,736 | 6.500 | 05/01/16 | 121,751 | |||||||||||||
| 165,244 | 6.500 | 09/01/16 | 180,056 | |||||||||||||
| 204,885 | 6.500 | 11/01/16 | 223,251 | |||||||||||||
| 52,134 | 6.000 | 12/01/16 | 56,035 | |||||||||||||
| 415,941 | 6.000 | 02/01/17 | 447,133 | |||||||||||||
| 58,576 | 7.500 | 04/01/17 | 62,589 | |||||||||||||
| 658,967 | 6.000 | 10/01/17 | 708,384 | |||||||||||||
| 733,204 | 5.500 | 02/01/18 | 784,163 | |||||||||||||
| 861,997 | 5.000 | 05/01/18 | 909,369 | |||||||||||||
| 63,656 | 6.500 | 08/01/18 | 68,998 | |||||||||||||
| 291,895 | 7.000 | 08/01/18 | 324,679 | |||||||||||||
| 2,785,498 | 4.000 | 09/01/18 | 2,862,836 | |||||||||||||
| 445,674 | 5.000 | 04/01/19 | 470,059 | |||||||||||||
| 795,456 | 4.500 | 05/01/23 | 819,320 | |||||||||||||
| 14,013 | 5.000 | 06/01/23 | 14,674 | |||||||||||||
| 989,695 | 5.500 | 09/01/23 | 1,051,585 | |||||||||||||
| 168,946 | 5.500 | 10/01/23 | 179,716 | |||||||||||||
| 32,245 | 4.500 | 07/01/24 | 33,298 | |||||||||||||
| 700,111 | 4.500 | 11/01/24 | 722,786 | |||||||||||||
| 167,643 | 4.500 | 12/01/24 | 173,117 | |||||||||||||
| 493 | 7.000 | 07/01/25 | 545 | |||||||||||||
| 8,236 | 7.000 | 11/01/25 | 9,102 | |||||||||||||
| 57,914 | 9.000 | 11/01/25 | 66,945 | |||||||||||||
| 226,675 | 7.000 | 08/01/26 | 251,971 | |||||||||||||
| 3,915 | 7.000 | 08/01/27 | 4,344 | |||||||||||||
| 18,380 | 7.000 | 09/01/27 | 20,393 | |||||||||||||
| 98,704 | 6.000 | 12/01/27 | 105,273 | |||||||||||||
| 613 | 7.000 | 01/01/28 | 680 | |||||||||||||
| 496,218 | 6.000 | 02/01/29 | 532,040 | |||||||||||||
| 457,236 | 6.000 | 06/01/29 | 490,232 | |||||||||||||
| 2,212 | 7.000 | 09/01/29 | 2,451 | |||||||||||||
| 75,020 | 8.000 | 10/01/29 | 86,126 | |||||||||||||
| 31,624 | 7.000 | 12/01/29 | 35,039 | |||||||||||||
| 1,581 | 8.500 | 04/01/30 | 1,823 | |||||||||||||
| 7,877 | 8.000 | 05/01/30 | 8,620 | |||||||||||||
| 454 | 8.500 | 06/01/30 | 524 | |||||||||||||
| 33,590 | 7.000 | 05/01/32 | 37,131 | |||||||||||||
| 233,777 | 7.000 | 06/01/32 | 258,125 | |||||||||||||
| 299,573 | 7.000 | 08/01/32 | 330,773 | |||||||||||||
| 72,735 | 8.000 | 08/01/32 | 83,407 | |||||||||||||
| 165,340 | 5.500 | 03/01/33 | 173,854 | |||||||||||||
| 137,022 | 5.500 | 05/01/33 | 144,077 | |||||||||||||
| 24,564 | 5.500 | 06/01/33 | 25,829 | |||||||||||||
| 281,614 | 5.500 | 07/01/33 | 296,114 | |||||||||||||
| 32,235 | 5.000 | 08/01/33 | 33,228 | |||||||||||||
GOLDMAN SACHS VARIABLE INSURANCE TRUST CORE FIXED INCOME FUND
| Principal | Interest | Maturity | ||||||||||||||
| Amount | Rate | Date | Value | |||||||||||||
Mortgage-Backed Obligations – (continued) | ||||||||||||||||
| FNMA – (continued) | ||||||||||||||||
| $ | 4,027 | 5.500 | % | 09/01/33 | $ | 4,246 | ||||||||||
| 5,153 | 5.500 | 02/01/34 | 5,433 | |||||||||||||
| 820 | 5.500 | 04/01/34 | 866 | |||||||||||||
| 142,954 | 5.500 | 06/01/34 | 150,315 | |||||||||||||
| 54,823 | 5.500 | 12/01/34 | 57,813 | |||||||||||||
| 375,090 | 6.000 | 04/01/35 | 401,235 | |||||||||||||
| 18,594 | 5.000 | 09/01/35 | 19,124 | |||||||||||||
| 6,851 | 5.500 | 09/01/35 | 7,227 | |||||||||||||
| 18,735 | 6.000 | 09/01/36 | 19,992 | |||||||||||||
| 17,905 | 6.000 | 10/01/36 | 19,106 | |||||||||||||
| 186,352 | 6.000 | 11/01/36 | 198,851 | |||||||||||||
| 2,642 | 5.500 | 12/01/36 | 2,781 | |||||||||||||
| 899 | 5.500 | 02/01/37 | 946 | |||||||||||||
| 4,563 | 5.500 | 03/01/37 | 4,799 | |||||||||||||
| 12,244 | 5.500 | 04/01/37 | 12,878 | |||||||||||||
| 3,749 | 5.500 | 05/01/37 | 3,943 | |||||||||||||
| 62,148 | 6.000 | 06/01/37 | 66,559 | |||||||||||||
| 40,384 | 5.500 | 07/01/37 | 42,338 | |||||||||||||
| 18,882 | 6.000 | 07/01/37 | 20,222 | |||||||||||||
| 59,779 | 5.500 | 08/01/37 | 62,634 | |||||||||||||
| 72,800 | 6.000 | 08/01/37 | 77,580 | |||||||||||||
| 86,135 | 6.000 | 09/01/37 | 91,791 | |||||||||||||
| 44,073 | 6.000 | 10/01/37 | 47,097 | |||||||||||||
| 64,895 | 6.000 | 11/01/37 | 69,300 | |||||||||||||
| 118,347 | 6.000 | 12/01/37 | 127,080 | |||||||||||||
| 104,163 | 5.500 | 02/01/38 | 109,133 | |||||||||||||
| 192,191 | 6.000 | 02/01/38 | 205,892 | |||||||||||||
| 1,876 | 5.500 | 03/01/38 | 1,973 | |||||||||||||
| 119,624 | 6.000 | 03/01/38 | 128,114 | |||||||||||||
| 85,178 | 5.500 | 05/01/38 | 90,097 | |||||||||||||
| 57,339 | 6.000 | 05/01/38 | 61,570 | |||||||||||||
| 178,250 | 5.500 | 06/01/38 | 188,645 | |||||||||||||
| 83,530 | 6.000 | 06/01/38 | 89,592 | |||||||||||||
| 480,039 | 5.500 | 07/01/38 | 508,034 | |||||||||||||
| 145,940 | 6.000 | 07/01/38 | 156,611 | |||||||||||||
| 2,667 | 5.500 | 08/01/38 | 2,805 | |||||||||||||
| 46,926 | 6.000 | 08/01/38 | 50,389 | |||||||||||||
| 123,747 | 5.500 | 09/01/38 | 130,326 | |||||||||||||
| 73,832 | 5.500 | 10/01/38 | 77,960 | |||||||||||||
| 67,480 | 6.000 | 10/01/38 | 72,460 | |||||||||||||
| 90,218 | 5.500 | 11/01/38 | 95,491 | |||||||||||||
| 69,020 | 6.000 | 11/01/38 | 74,113 | |||||||||||||
| 850 | 5.500 | 12/01/38 | 894 | |||||||||||||
| 1,717,890 | 5.000 | 01/01/39 | 1,769,590 | |||||||||||||
| 24,001 | 6.000 | 01/01/39 | 25,569 | |||||||||||||
| 271,047 | 5.000 | 02/01/39 | 278,935 | |||||||||||||
| 3,798 | 5.500 | 02/01/39 | 3,995 | |||||||||||||
| 488,193 | 6.000 | 02/01/39 | 520,250 | |||||||||||||
| 373,054 | 5.000 | 03/01/39 | 383,910 | |||||||||||||
| 622,545 | 5.000 | 05/01/39 | 641,057 | |||||||||||||
| 68,194 | 4.500 | 06/01/39 | 68,258 | |||||||||||||
| 113,540 | 5.000 | 06/01/39 | 116,844 | |||||||||||||
| 795,677 | 5.000 | 07/01/39 | 819,046 | |||||||||||||
| 129,120 | 4.500 | 08/01/39 | 129,194 | |||||||||||||
| 24,911 | 5.000 | 08/01/39 | 25,636 | |||||||||||||
| 298,551 | 5.000 | 10/01/39 | 306,866 | |||||||||||||
| 5,000,000 | 4.000 | TBA-15yr | (f) | 5,031,250 | ||||||||||||
| 3,000,000 | 4.500 | TBA-30yr | (f) | 2,994,844 | ||||||||||||
| 30,081,303 | ||||||||||||||||
| GNMA – 5.1% | ||||||||||||||||
| 12,628 | 7.000 | 03/15/12 | 12,738 | |||||||||||||
| 16,970 | 7.000 | 10/15/25 | 18,830 | |||||||||||||
| 24,358 | 7.000 | 11/15/25 | 27,028 | |||||||||||||
| 4,173 | 7.000 | 02/15/26 | 4,634 | |||||||||||||
| 16,270 | 7.000 | 04/15/26 | 18,066 | |||||||||||||
| 7,000 | 7.000 | 03/15/27 | 7,744 | |||||||||||||
| 8,263 | 7.000 | 10/15/27 | 9,142 | |||||||||||||
| 138,724 | 7.000 | 11/15/27 | 153,475 | |||||||||||||
| 6,758 | 7.000 | 01/15/28 | 7,479 | |||||||||||||
| 42,862 | 7.000 | 02/15/28 | 47,441 | |||||||||||||
| 16,508 | 7.000 | 03/15/28 | 18,271 | |||||||||||||
| 4,269 | 7.000 | 04/15/28 | 4,725 | |||||||||||||
| 877 | 7.000 | 05/15/28 | 971 | |||||||||||||
| 18,985 | 7.000 | 06/15/28 | 21,013 | |||||||||||||
| 31,399 | 7.000 | 07/15/28 | 34,753 | |||||||||||||
| 15,821 | 7.000 | 08/15/28 | 17,511 | |||||||||||||
| 39,735 | 7.000 | 09/15/28 | 43,980 | |||||||||||||
| 4,548 | 7.000 | 11/15/28 | 5,034 | |||||||||||||
| 5,562 | 7.500 | 11/15/30 | 6,051 | |||||||||||||
| 3,559 | 7.000 | 10/15/31 | 3,935 | |||||||||||||
| 648 | 7.000 | 12/15/31 | 716 | |||||||||||||
| 36,662 | 7.500 | 10/15/32 | 41,260 | |||||||||||||
| 942,605 | 6.000 | 08/20/34 | 1,006,072 | |||||||||||||
| 257,906 | 6.000 | 12/15/38 | 273,280 | |||||||||||||
| 82,714 | 5.000 | 05/15/39 | 85,402 | |||||||||||||
| 309,457 | 5.000 | 06/15/39 | 319,607 | |||||||||||||
| 99,713 | 4.500 | 10/15/39 | 100,025 | |||||||||||||
| 697,178 | 5.000 | 10/15/39 | 720,024 | |||||||||||||
| 6,000,000 | 6.000 | TBA-30yr | (f) | 6,341,250 | ||||||||||||
| 9,350,457 | ||||||||||||||||
TOTAL FEDERAL AGENCIES | $ | 62,846,487 | ||||||||||||||
| TOTAL MORTGAGE-BACKED OBLIGATIONS | ||||||||||||||||
| (Cost $89,300,671) | $ | 87,848,356 | ||||||||||||||
Agency Debentures – 1.5% | ||||||||||||||||
| FNMA(g) | ||||||||||||||||
| $ | 100,000 | 0.000 | % | 10/09/19 | $ | 54,111 | ||||||||||
| Tennessee Valley Authority | ||||||||||||||||
| 700,000 | 4.375 | 06/15/15 | 734,592 | |||||||||||||
| Tennessee Valley Authority(h) | ||||||||||||||||
| 2,000,000 | 5.375 | 04/01/56 | 1,997,858 | |||||||||||||
TOTAL AGENCY DEBENTURES | ||||||||||||||||
| (Cost $2,775,459) | $ | 2,786,561 | ||||||||||||||
GOLDMAN SACHS VARIABLE INSURANCE TRUST CORE FIXED INCOME FUND
Schedule of Investments (continued)
December 31, 2009
| Principal | Interest | Maturity | ||||||||||||||
| Amount | Rate | Date | Value | |||||||||||||
Asset-Backed Securities – 0.1% | ||||||||||||||||
| Home Equity – 0.1% | ||||||||||||||||
| GMAC Mortgage Corp. Loan Trust Series 2007-HE3, Class 1A1 | ||||||||||||||||
| $ | 203,180 | 7.000 | % | 09/25/37 | $ | 117,407 | ||||||||||
| GMAC Mortgage Corp. Loan Trust Series 2007-HE3, Class 2A1 | ||||||||||||||||
| 233,572 | 7.000 | 09/25/37 | 95,527 | |||||||||||||
TOTAL ASSET-BACKED SECURITIES | ||||||||||||||||
| (Cost $437,570) | $ | 212,934 | ||||||||||||||
Foreign Debt Obligations – 4.3% | ||||||||||||||||
| Sovereign – 1.9% | ||||||||||||||||
| Bundesrepublik Deutschland | ||||||||||||||||
| EUR | 1,200,000 | 4.250 | % | 07/04/39 | $ | 1,759,482 | ||||||||||
| Federal Republic of Brazil | ||||||||||||||||
| $ | 220,000 | 8.250 | 01/20/34 | 279,950 | ||||||||||||
| 200,000 | 7.125 | 01/20/37 | 228,500 | |||||||||||||
| Province of Ontario, Canada | ||||||||||||||||
| 300,000 | 4.100 | 06/16/14 | 313,084 | |||||||||||||
| State of Qatar | ||||||||||||||||
| 260,000 | 5.150 | 04/09/14 | 272,974 | |||||||||||||
| 560,000 | 5.250 | (a) | 01/20/20 | 564,200 | ||||||||||||
| 3,418,190 | ||||||||||||||||
| Supranational – 2.4% | ||||||||||||||||
| Asian Development Bank | ||||||||||||||||
| 5,000,000 | 1.000 | 10/01/15 | 4,371,910 | |||||||||||||
| TOTAL FOREIGN DEBT OBLIGATIONS | ||||||||||||||||
| (Cost $7,503,252) | $ | 7,790,100 | ||||||||||||||
Municipal Debt Obligations – 0.4% | ||||||||||||||||
| California – 0.4% | ||||||||||||||||
| California State Various Purpose GO Bonds Series 2009 | ||||||||||||||||
| $ | 325,000 | 7.500 | % | 04/01/34 | $ | 315,448 | ||||||||||
| 450,000 | 7.550 | 04/01/39 | 436,082 | |||||||||||||
| 751,530 | ||||||||||||||||
| TOTAL MUNICIPAL DEBT OBLIGATIONS | ||||||||||||||||
| (Cost $809,317) | $ | 751,530 | ||||||||||||||
Government Guarantee Obligations – 13.7% | ||||||||||||||||
| Achmea Hypotheekbank NV(a)(i) | ||||||||||||||||
| $ | 1,300,000 | 3.200 | % | 11/03/14 | $ | 1,297,483 | ||||||||||
| ANZ National (International) Ltd.(a)(i) | ||||||||||||||||
| 1,700,000 | 3.250 | 04/02/12 | 1,751,121 | |||||||||||||
| Citigroup Funding, Inc.(j) | ||||||||||||||||
| 2,000,000 | 1.875 | 10/22/12 | 1,996,339 | |||||||||||||
| General Electric Capital Corp.(j) | ||||||||||||||||
| 2,400,000 | 2.000 | 09/28/12 | 2,403,106 | |||||||||||||
| 1,800,000 | 2.625 | 12/28/12 | 1,832,803 | |||||||||||||
| GMAC, Inc.(j) | ||||||||||||||||
| 2,500,000 | 1.750 | 10/30/12 | 2,487,379 | |||||||||||||
| Landwirtschaftliche Rentenbank(i) | ||||||||||||||||
| 1,400,000 | 4.125 | 07/15/13 | 1,480,611 | |||||||||||||
| LeasePlan Corp. NV(a) (i) | ||||||||||||||||
| 1,000,000 | 3.000 | 05/07/12 | 1,023,919 | |||||||||||||
| Royal Bank of Scotland Group PLC(a)(i) | ||||||||||||||||
| 1,900,000 | 1.500 | 03/30/12 | 1,866,209 | |||||||||||||
| 1,800,000 | 2.625 | 05/11/12 | 1,825,771 | |||||||||||||
| Societe Financement de l’Economie Francaise(a)(i) | ||||||||||||||||
| 2,300,000 | 3.375 | 05/05/14 | 2,344,758 | |||||||||||||
| 2,100,000 | 2.875 | 09/22/14 | 2,083,658 | |||||||||||||
| Svensk Exportkredit AB(i) | ||||||||||||||||
| 400,000 | 3.250 | 09/16/14 | 401,086 | |||||||||||||
| U.S. Central Federal Credit Union(j) | ||||||||||||||||
| 600,000 | 1.250 | 10/19/11 | 599,836 | |||||||||||||
| 500,000 | 1.900 | 10/19/12 | 499,609 | |||||||||||||
| Westpac Banking Corp.(a)(i) | ||||||||||||||||
| 1,200,000 | 1.900 | 12/14/12 | 1,190,310 | |||||||||||||
| TOTAL GOVERNMENT GUARANTEE OBLIGATIONS | ||||||||||||||||
| (Cost $25,027,179) | $ | 25,083,998 | ||||||||||||||
U.S. Treasury Obligations – 10.3% | ||||||||||||||||
| United States Treasury Bonds | ||||||||||||||||
| $ | 700,000 | 5.000 | % | 05/15/37 | $ | 744,009 | ||||||||||
| 700,000 | 4.375 | 11/15/39 | 670,138 | |||||||||||||
| United States Treasury Inflation Protected Securities | ||||||||||||||||
| 6,000,000 | 4.250 | 01/15/10 | 7,718,375 | |||||||||||||
| 1,600,000 | 0.875 | 04/15/10 | 1,831,909 | |||||||||||||
| 750,000 | 2.000 | 01/15/16 | 862,644 | |||||||||||||
| 600,000 | 2.500 | 07/15/16 | 699,415 | |||||||||||||
| 200,000 | 3.625 | 04/15/28 | 330,404 | |||||||||||||
| United States Treasury Notes | ||||||||||||||||
| 3,200,000 | 2.375 | 10/31/14 | 3,165,472 | |||||||||||||
| 900,000 | 4.000 | 08/15/18 | 919,062 | |||||||||||||
| United States Treasury Principal-Only STRIPS(g) | ||||||||||||||||
| 3,400,000 | 0.000 | 11/15/21 | 2,007,292 | |||||||||||||
| TOTAL U.S. TREASURY OBLIGATIONS | ||||||||||||||||
| (Cost $18,901,720) | $ | 18,948,720 | ||||||||||||||
GOLDMAN SACHS VARIABLE INSURANCE TRUST CORE FIXED INCOME FUND
| Shares | Rate | Value | ||||||||
Short-term Investment(c) – 10.7% | ||||||||||
| JPMorgan U.S. Government Money Market Fund – Capital Shares | ||||||||||
| 19,631,637 | 0.049% | $ | 19,631,637 | |||||||
| (Cost $19,631,637) | ||||||||||
TOTAL INVESTMENTS – 108.2% | ||||||||||
| (Cost $198,548,573) | $ | 198,211,627 | ||||||||
LIABILITIES IN EXCESS OF OTHER ASSETS – (8.2)% | (15,033,554 | ) | ||||||||
| NET ASSETS – 100.0% | $ | 183,178,073 | ||||||||
The percentage shown for each investment category reflects the value of investments in that category as a percentage of net assets.
| (a) | Securities are exempt from registration under Rule 144A of the Securities Act of 1933. Under procedures approved by the Board of Trustees, such securities have been determined to be liquid by the investment adviser and may be resold, normally to qualified institutional buyers in transactions exempt from registration. Total market value of Rule 144A securities amounts to $22,849,214, which represents approximately 12.5% of net assets as of December 31, 2009. | |
| (b) | Securities with “Call” features with resetting interest rates. Maturity dates disclosed are the final maturity dates. | |
| (c) | Variable rate security. Interest rate disclosed is that which is in effect at December 31, 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/sold 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 $16,362,656, which represents approximately 8.9% of net assets as of December 31, 2009. | |
| (g) | Security issued with zero coupon. Income is recognized through the accretion of discount. | |
| (h) | All or a portion of security is segregated as collateral for initial margin requirements on futures transactions. | |
| (i) | Represents securities which are guaranteed by a foreign government. Total market value of these securities amounts to $15,264,926, which represents approximately 8.3% of net assets as of December 31, 2009. | |
| (j) | This debt is guaranteed under the Federal Deposit Insurance Corporation’s (“FDIC”) 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 the securities amounts to $9,819,072, which represents approximately 5.4% of net assets as of December 31, 2009. |
| Investment Abbreviations: | ||||||
| FHLMC | — | Federal Home Loan Mortgage Corp. | ||||
| FNMA | — | Federal National Mortgage Association | ||||
| GNMA | — | Government National Mortgage Association | ||||
| GO | — | General Obligation | ||||
| LIBOR | — | London Interbank Offered Rate | ||||
| REMIC | — | Real Estate Mortgage Investment Conduit | ||||
| STRIPS | — | Separate Trading of Registered Interest and Principal of Securities | ||||
ADDITIONAL INVESTMENT INFORMATION
FORWARD FOREIGN CURRENCY EXCHANGE CONTRACTS — At December 31, 2009, the Fund had outstanding forward foreign currency exchange contracts, both to purchase and sell foreign currencies:
| Open Forward Foreign Currency | Contract | Expiration | Value on | Current | Unrealized | |||||||||||||||
| Exchange Contracts with Unrealized Gain | Type | Date | Settlement Date | Value | Gain | |||||||||||||||
| Canadian Dollar | Purchase | 3/17/10 | $ | 861,183 | $ | 865,592 | $ | 4,409 | ||||||||||||
| Euro | Sale | 1/13/10 | 2,238,180 | 2,140,901 | 97,279 | |||||||||||||||
| Euro | Sale | 3/17/10 | 2,879,889 | 2,833,365 | 46,524 | |||||||||||||||
| Japanese Yen | Sale | 3/17/10 | 814,000 | 782,442 | 31,558 | |||||||||||||||
| New Zealand Dollar | Purchase | 3/17/10 | 862,031 | 862,943 | 912 | |||||||||||||||
TOTAL | $ | 180,682 | ||||||||||||||||||
GOLDMAN SACHS VARIABLE INSURANCE TRUST CORE FIXED INCOME FUND
Schedule of Investments (continued)
December 31, 2009
| ADDITIONAL INVESTMENT INFORMATION (continued) |
| Open Forward Foreign Currency | Contract | Expiration | Value on | Current | Unrealized | |||||||||||||||
| Exchange Contracts with Unrealized Loss | Type | Date | Settlement Date | Value | Loss | |||||||||||||||
| Australian Dollar | Purchase | 3/17/10 | $ | 801,624 | $ | 786,587 | $ | (15,037 | ) | |||||||||||
| British Pound | Sale | 3/17/10 | 196,173 | 198,590 | (2,417 | ) | ||||||||||||||
| Euro | Sale | 3/17/10 | 1,184,392 | 1,186,866 | (2,474 | ) | ||||||||||||||
| Euro | Purchase | 3/17/10 | 761,977 | 747,294 | (14,683 | ) | ||||||||||||||
| Japanese Yen | Purchase | 3/17/10 | 691,999 | 666,406 | (25,593 | ) | ||||||||||||||
| Norwegian Krone | Purchase | 3/17/10 | 559,290 | 555,256 | (4,034 | ) | ||||||||||||||
TOTAL | $ | (64,238 | ) | |||||||||||||||||
| Open Forward Foreign Currency | ||||||||||||||||
| Exchange Cross Contracts with | Expiration | Purchase | Sale | Unrealized | ||||||||||||
| Unrealized Gain (Purchase/Sale) | Date | Current Value | Current Value | Gain | ||||||||||||
| Australian Dollar/Euro | 3/17/10 | $ | 97,472 | $ | 97,982 | $ | 510 | |||||||||
| Canadian Dollar/Euro | 3/17/10 | 749,676 | 772,552 | 22,876 | ||||||||||||
| Canadian Dollar/Japanese Yen | 3/17/10 | 241,783 | 249,558 | 7,775 | ||||||||||||
| Euro/Japanese Yen | 3/17/10 | 77,345 | 79,430 | 2,085 | ||||||||||||
| New Zealand Dollar/Euro | 3/17/10 | 388,456 | 397,490 | 9,036 | ||||||||||||
| Swedish Krona/Euro | 3/17/10 | 243,680 | 247,874 | 4,194 | ||||||||||||
| Swiss Franc/Japanese Yen | 3/17/10 | 164,067 | 172,140 | 8,073 | ||||||||||||
TOTAL | $ | 54,549 | ||||||||||||||
| Open Forward Foreign Currency | ||||||||||||||||
| Exchange Cross Contracts with | Expiration | Purchase | Sale | Unrealized | ||||||||||||
| Unrealized Loss (Purchase/Sale) | Date | Current Value | Current Value | Loss | ||||||||||||
| Euro/Australian Dollar | 3/17/10 | $ | 250,599 | $ | 246,547 | $ | (4,052 | ) | ||||||||
| Euro/British Pound | 3/17/10 | 637,555 | 624,037 | (13,518 | ) | |||||||||||
| Euro/Canadian Dollar | 3/17/10 | 880,859 | 852,881 | (27,978 | ) | |||||||||||
| Euro/New Zealand Dollar | 3/17/10 | 623,689 | 607,767 | (15,922 | ) | |||||||||||
| Euro/Swiss Franc | 3/17/10 | 249,173 | 246,547 | (2,626 | ) | |||||||||||
TOTAL | $ | (64,096 | ) | |||||||||||||
FORWARD SALES CONTRACTS — At December 31, 2009, the Fund had the following forward sales contracts:
| Interest | Maturity | Settlement | Principal | |||||||||||||||||
| Description | Rate | Date | Date | Amount | Value | |||||||||||||||
| FHLMC | 5.000 | % | TBA-30yr(f | ) | 01/13/10 | $ | 3,000,000 | $ | 3,076,641 | |||||||||||
| FNMA | 5.000 | TBA-30yr(f | ) | 01/13/10 | 2,000,000 | 2,052,656 | ||||||||||||||
TOTAL (Proceeds Receivable: $5,219,062) | $ | 5,129,297 | ||||||||||||||||||
GOLDMAN SACHS VARIABLE INSURANCE TRUST CORE FIXED INCOME FUND
| ADDITIONAL INVESTMENT INFORMATION (continued) |
FUTURES CONTRACTS — At December 31, 2009, the following futures contracts were open:
| Number of | ||||||||||||||||
| Contracts | Expiration | Unrealized | ||||||||||||||
| Type | Long (Short) | Date | Value | Gain (Loss) | ||||||||||||
| Eurodollars | 15 | January 2010 | $ | 3,740,156 | $ | 1,744 | ||||||||||
| Eurodollars | 1 | March 2010 | 249,113 | 1,757 | ||||||||||||
| Eurodollars | 1 | June 2010 | 248,300 | 2,106 | ||||||||||||
| Eurodollars | 1 | December 2010 | 246,175 | 1,273 | ||||||||||||
| Eurodollars | 1 | March 2011 | 245,175 | 2,111 | ||||||||||||
| Eurodollars | 1 | June 2011 | 244,213 | 1,961 | ||||||||||||
| Eurodollars | 1 | September 2011 | 243,350 | 1,809 | ||||||||||||
| Eurodollars | 1 | December 2011 | 242,550 | 1,691 | ||||||||||||
| United States Treasury Bonds | 12 | March 2010 | 1,384,500 | (20,456 | ) | |||||||||||
| 2 Year U.S. Treasury Notes | 93 | March 2010 | 20,112,703 | (106,467 | ) | |||||||||||
| 5 Year U.S. Treasury Notes | (103 | ) | March 2010 | (11,781,430 | ) | 193,920 | ||||||||||
| 10 Year U.S. Treasury Notes | 146 | March 2010 | 16,856,156 | (462,321 | ) | |||||||||||
TOTAL | $ | (380,872 | ) | |||||||||||||
GOLDMAN SACHS VARIABLE INSURANCE TRUST EQUITY INDEX FUND
Schedule of Investments
December 31, 2009
| Shares | Description | Value | ||||||||
Common Stocks – 98.6% | ||||||||||
| Automobiles & Components – 0.6% | ||||||||||
| 63,813 | Ford Motor Co.* | $ | 638,130 | |||||||
| 4,600 | Harley-Davidson, Inc. | 115,920 | ||||||||
| 13,235 | Johnson Controls, Inc. | 360,521 | ||||||||
| 4,800 | The Goodyear Tire & Rubber Co.* | 67,680 | ||||||||
| 1,182,251 | ||||||||||
| Banks – 2.8% | ||||||||||
| 13,500 | BB&T Corp. | 342,495 | ||||||||
| 3,050 | Comerica, Inc. | 90,189 | ||||||||
| 15,905 | Fifth Third Bancorp | 155,074 | ||||||||
| 4,220 | First Horizon National Corp.* | 56,551 | ||||||||
| 9,700 | Hudson City Bancorp, Inc. | 133,181 | ||||||||
| 12,749 | Huntington Bancshares, Inc. | 46,534 | ||||||||
| 15,300 | KeyCorp | 84,915 | ||||||||
| 1,716 | M&T Bank Corp. | 114,783 | ||||||||
| 9,100 | Marshall & Ilsley Corp. | 49,595 | ||||||||
| 7,100 | People’s United Financial, Inc. | 118,570 | ||||||||
| 9,157 | PNC Financial Services Group, Inc. | 483,398 | ||||||||
| 23,325 | Regions Financial Corp. | 123,389 | ||||||||
| 9,900 | SunTrust Banks, Inc. | 200,871 | ||||||||
| 37,451 | U.S. Bancorp | 843,022 | ||||||||
| 100,539 | Wells Fargo & Co. | 2,713,548 | ||||||||
| 2,800 | Zions Bancorporation | 35,924 | ||||||||
| 5,592,039 | ||||||||||
| Capital Goods – 7.3% | ||||||||||
| 13,939 | 3M Co. | 1,152,337 | ||||||||
| 12,171 | Caterpillar, Inc. | 693,625 | ||||||||
| 4,100 | Cummins, Inc. | 188,026 | ||||||||
| 5,200 | Danaher Corp. | 391,040 | ||||||||
| 8,379 | Deere & Co. | 453,220 | ||||||||
| 3,701 | Dover Corp. | 153,999 | ||||||||
| 3,300 | Eaton Corp. | 209,946 | ||||||||
| 14,696 | Emerson Electric Co. | 626,050 | ||||||||
| 2,500 | Fastenal Co. | 104,100 | ||||||||
| 980 | First Solar, Inc.* | 132,692 | ||||||||
| 1,100 | Flowserve Corp. | 103,983 | ||||||||
| 3,582 | Fluor Corp. | 161,333 | ||||||||
| 7,606 | General Dynamics Corp. | 518,501 | ||||||||
| 209,508 | General Electric Co. | 3,169,856 | ||||||||
| 2,437 | Goodrich Corp. | 156,577 | ||||||||
| 15,008 | Honeywell International, Inc. | 588,314 | ||||||||
| 7,600 | Illinois Tool Works, Inc. | 364,724 | ||||||||
| 3,600 | ITT Corp. | 179,064 | ||||||||
| 2,600 | Jacobs Engineering Group, Inc.* | 97,786 | ||||||||
| 2,300 | L-3 Communications Holdings, Inc. | 199,985 | ||||||||
| 6,251 | Lockheed Martin Corp. | 471,013 | ||||||||
| 7,400 | Masco Corp. | 102,194 | ||||||||
| 6,092 | Northrop Grumman Corp. | 340,238 | ||||||||
| 7,293 | PACCAR, Inc. | 264,517 | ||||||||
| 2,400 | Pall Corp. | 86,880 | ||||||||
| 3,148 | Parker Hannifin Corp. | 169,614 | ||||||||
| 2,800 | Precision Castparts Corp. | 308,980 | ||||||||
| 4,100 | Quanta Services, Inc.* | 85,444 | ||||||||
| 7,476 | Raytheon Co. | 385,163 | ||||||||
| 2,800 | Rockwell Automation, Inc. | 131,544 | ||||||||
| 3,060 | Rockwell Collins, Inc. | 169,402 | ||||||||
| 1,800 | Roper Industries, Inc. | 94,266 | ||||||||
| 1,103 | Snap-On, Inc. | 46,613 | ||||||||
| 5,100 | Textron, Inc. | 95,931 | ||||||||
| 14,167 | The Boeing Co. | 766,860 | ||||||||
| 18,414 | United Technologies Corp. | 1,278,116 | ||||||||
| 1,233 | W.W. Grainger, Inc. | 119,391 | ||||||||
| 14,561,324 | ||||||||||
| Commercial & Professional Services – 0.7% | ||||||||||
| 2,100 | Avery Dennison Corp. | 76,629 | ||||||||
| 2,800 | Cintas Corp. | 72,940 | ||||||||
| 1,100 | Dun & Bradstreet Corp. | 92,807 | ||||||||
| 2,450 | Equifax, Inc. | 75,680 | ||||||||
| 3,600 | Iron Mountain, Inc.* | 81,936 | ||||||||
| 2,600 | Monster Worldwide, Inc.* | 45,240 | ||||||||
| 4,100 | Pitney Bowes, Inc. | 93,316 | ||||||||
| 4,200 | R.R. Donnelley & Sons Co. | 93,534 | ||||||||
| 6,310 | Republic Services, Inc. | 178,636 | ||||||||
| 3,200 | Robert Half International, Inc. | 85,536 | ||||||||
| 1,600 | Stericycle, Inc.* | 88,272 | ||||||||
| 9,849 | Waste Management, Inc. | 332,995 | ||||||||
| 1,317,521 | ||||||||||
| Consumer Durables & Apparel – 1.0% | ||||||||||
| 1,261 | Black & Decker Corp. | 81,751 | ||||||||
| 6,300 | Coach, Inc. | 230,139 | ||||||||
| 5,800 | D.R. Horton, Inc. | 63,046 | ||||||||
| 5,000 | Eastman Kodak Co.* | 21,100 | ||||||||
| 3,000 | Fortune Brands, Inc. | 129,600 | ||||||||
| 1,100 | Harman International Industries, Inc. | 38,808 | ||||||||
| 2,521 | Hasbro, Inc. | 80,823 | ||||||||
| 3,100 | Leggett & Platt, Inc. | 63,240 | ||||||||
| 3,100 | Lennar Corp. Class A | 39,587 | ||||||||
| 7,351 | Mattel, Inc. | 146,873 | ||||||||
| 5,633 | Newell Rubbermaid, Inc. | 84,551 | ||||||||
| 7,659 | NIKE, Inc. Class B | 506,030 | ||||||||
| 1,200 | Polo Ralph Lauren Corp. | 97,176 | ||||||||
| 6,613 | Pulte Homes, Inc.* | 66,130 | ||||||||
| 1,600 | The Stanley Works | 82,416 | ||||||||
| 1,800 | VF Corp. | 131,832 | ||||||||
| 1,459 | Whirlpool Corp. | 117,683 | ||||||||
| 1,980,785 | ||||||||||
| Consumer Services – 1.6% | ||||||||||
| 2,600 | Apollo Group, Inc. Class A* | 157,508 | ||||||||
| 8,600 | Carnival Corp.* | 272,534 | ||||||||
| 2,720 | Darden Restaurants, Inc. | 95,390 | ||||||||
| 1,300 | DeVry, Inc. | 73,749 | ||||||||
| 6,500 | H&R Block, Inc. | 147,030 | ||||||||
| 5,700 | International Game Technology | 106,989 | ||||||||
| 5,163 | Marriott International, Inc. Class A | 140,692 | ||||||||
| 21,197 | McDonald’s Corp. | 1,323,541 | ||||||||
| 14,756 | Starbucks Corp.* | 340,273 | ||||||||
| 3,600 | Starwood Hotels & Resorts Worldwide, Inc. | 131,652 | ||||||||
| 3,426 | Wyndham Worldwide Corp. | 69,103 | ||||||||
GOLDMAN SACHS VARIABLE INSURANCE TRUST EQUITY INDEX FUND
| Shares | Description | Value | ||||||||
Common Stocks – (continued) | ||||||||||
| Consumer Services – (continued) | ||||||||||
| 1,300 | Wynn Resorts Ltd. | $ | 75,699 | |||||||
| 9,397 | Yum! Brands, Inc. | 328,613 | ||||||||
| 3,262,773 | ||||||||||
| Diversified Financials – 7.7% | ||||||||||
| 23,331 | American Express Co. | 945,372 | ||||||||
| 5,180 | Ameriprise Financial, Inc. | 201,088 | ||||||||
| 195,492 | Bank of America Corp. | 2,944,110 | ||||||||
| 8,733 | Capital One Financial Corp. | 334,823 | ||||||||
| 382,940 | Citigroup, Inc. | 1,267,531 | ||||||||
| 1,339 | CME Group, Inc. | 449,837 | ||||||||
| 10,317 | Discover Financial Services | 151,763 | ||||||||
| 27,500 | E*Trade Financial Corp.* | 48,125 | ||||||||
| 1,656 | Federated Investors, Inc. Class B | 45,540 | ||||||||
| 2,830 | Franklin Resources, Inc. | 298,141 | ||||||||
| 1,500 | IntercontinentalExchange, Inc.* | 168,450 | ||||||||
| 8,400 | Invesco Ltd. | 197,316 | ||||||||
| 3,700 | Janus Capital Group, Inc. | 49,765 | ||||||||
| 77,534 | JPMorgan Chase & Co. | 3,230,842 | ||||||||
| 3,100 | Legg Mason, Inc. | 93,496 | ||||||||
| 3,800 | Leucadia National Corp.* | 90,402 | ||||||||
| 4,000 | Moody’s Corp. | 107,200 | ||||||||
| 26,647 | Morgan Stanley | 788,751 | ||||||||
| 4,800 | Northern Trust Corp. | 251,520 | ||||||||
| 5,200 | NYSE Euronext | 131,560 | ||||||||
| 9,671 | SLM Corp.* | 108,992 | ||||||||
| 9,567 | State Street Corp. | 416,547 | ||||||||
| 5,200 | T. Rowe Price Group, Inc. | 276,900 | ||||||||
| 23,915 | The Bank of New York Mellon Corp. | 668,903 | ||||||||
| 19,142 | The Charles Schwab Corp. | 360,252 | ||||||||
| 10,077 | The Goldman Sachs Group, Inc.(a) | 1,701,401 | ||||||||
| 2,800 | The NASDAQ OMX Group, Inc.* | 55,496 | ||||||||
| 15,384,123 | ||||||||||
| Energy – 11.3% | ||||||||||
| 9,618 | Anadarko Petroleum Corp. | 600,356 | ||||||||
| 6,616 | Apache Corp. | 682,573 | ||||||||
| 5,993 | Baker Hughes, Inc. | 242,597 | ||||||||
| 5,800 | BJ Services Co. | 107,880 | ||||||||
| 2,100 | Cabot Oil & Gas Corp. | 91,539 | ||||||||
| 4,500 | Cameron International Corp.* | 188,100 | ||||||||
| 12,817 | Chesapeake Energy Corp. | 331,704 | ||||||||
| 39,473 | Chevron Corp. | 3,039,026 | ||||||||
| 29,152 | ConocoPhillips | 1,488,793 | ||||||||
| 3,700 | Consol Energy, Inc. | 184,260 | ||||||||
| 4,900 | Denbury Resources, Inc.* | 72,520 | ||||||||
| 8,672 | Devon Energy Corp. | 637,392 | ||||||||
| 1,400 | Diamond Offshore Drilling, Inc. | 137,788 | ||||||||
| 13,630 | El Paso Corp. | 133,983 | ||||||||
| 4,881 | EOG Resources, Inc. | 474,921 | ||||||||
| 93,463 | Exxon Mobil Corp. | 6,373,242 | ||||||||
| 2,423 | FMC Technologies, Inc.* | 140,146 | ||||||||
| 17,917 | Halliburton Co. | 539,122 | ||||||||
| 5,800 | Hess Corp. | 350,900 | ||||||||
| 14,008 | Marathon Oil Corp. | 437,330 | ||||||||
| 1,700 | Massey Energy Co. | 71,417 | ||||||||
| 3,800 | Murphy Oil Corp. | 205,960 | ||||||||
| 5,800 | Nabors Industries Ltd.* | 126,962 | ||||||||
| 8,118 | National-Oilwell Varco, Inc. | 357,923 | ||||||||
| 3,500 | Noble Energy, Inc. | 249,270 | ||||||||
| 15,900 | Occidental Petroleum Corp. | 1,293,465 | ||||||||
| 5,406 | Peabody Energy Corp. | 244,405 | ||||||||
| 2,300 | Pioneer Natural Resources Co. | 110,791 | ||||||||
| 3,100 | Range Resources Corp. | 154,535 | ||||||||
| 2,300 | Rowan Companies, Inc.* | 52,072 | ||||||||
| 23,593 | Schlumberger Ltd. | 1,535,668 | ||||||||
| 4,600 | Smith International, Inc. | 124,982 | ||||||||
| 6,900 | Southwestern Energy Co.* | 332,580 | ||||||||
| 12,942 | Spectra Energy Corp. | 265,440 | ||||||||
| 2,300 | Sunoco, Inc. | 60,030 | ||||||||
| 3,000 | Tesoro Corp. | 40,650 | ||||||||
| 11,683 | The Williams Companies, Inc. | 246,278 | ||||||||
| 11,513 | Valero Energy Corp. | 192,843 | ||||||||
| 11,350 | XTO Energy, Inc. | 528,115 | ||||||||
| 22,447,558 | ||||||||||
| Food & Staples Retailing – 2.6% | ||||||||||
| 8,687 | Costco Wholesale Corp. | 514,010 | ||||||||
| 27,664 | CVS Caremark Corp. | 891,057 | ||||||||
| 8,200 | Safeway, Inc. | 174,578 | ||||||||
| 4,273 | SUPERVALU, Inc. | 54,310 | ||||||||
| 11,700 | Sysco Corp. | 326,898 | ||||||||
| 13,032 | The Kroger Co. | 267,547 | ||||||||
| 19,300 | Walgreen Co. | 708,696 | ||||||||
| 41,960 | Wal-Mart Stores, Inc. | 2,242,762 | ||||||||
| 3,000 | Whole Foods Market, Inc.* | 82,350 | ||||||||
| 5,262,208 | ||||||||||
| Food, Beverage & Tobacco – 5.7% | ||||||||||
| 40,626 | Altria Group, Inc. | 797,488 | ||||||||
| 12,833 | Archer-Daniels-Midland Co. | 401,801 | ||||||||
| 2,050 | Brown-Forman Corp. Class B | 109,818 | ||||||||
| 3,700 | Campbell Soup Co. | 125,060 | ||||||||
| 6,150 | Coca-Cola Enterprises, Inc. | 130,380 | ||||||||
| 8,900 | ConAgra Foods, Inc. | 205,145 | ||||||||
| 4,200 | Constellation Brands, Inc. Class A* | 66,906 | ||||||||
| 3,300 | Dean Foods Co.* | 59,532 | ||||||||
| 4,900 | Dr. Pepper Snapple Group, Inc. | 138,670 | ||||||||
| 6,362 | General Mills, Inc. | 450,493 | ||||||||
| 6,268 | H.J. Heinz Co. | 268,020 | ||||||||
| 1,500 | Hormel Foods Corp. | 57,675 | ||||||||
| 4,900 | Kellogg Co. | 260,680 | ||||||||
| 29,257 | Kraft Foods, Inc. Class A | 795,205 | ||||||||
| 3,116 | Lorillard, Inc. | 249,997 | ||||||||
| 2,700 | McCormick & Co., Inc. | 97,551 | ||||||||
| 3,100 | Molson Coors Brewing Co. Class B | 139,996 | ||||||||
| 2,725 | Pepsi Bottling Group, Inc. | 102,188 | ||||||||
| 30,676 | PepsiCo, Inc. | 1,865,101 | ||||||||
| 37,444 | Philip Morris International, Inc. | 1,804,426 | ||||||||
| 3,345 | Reynolds American, Inc. | 177,185 | ||||||||
| 14,000 | Sara Lee Corp. | 170,520 | ||||||||
| 45,580 | The Coca-Cola Co. | 2,598,060 | ||||||||
| 3,200 | The Hershey Co. | 114,528 | ||||||||
GOLDMAN SACHS VARIABLE INSURANCE TRUST EQUITY INDEX FUND
Schedule of Investments (continued)
December 31, 2009
| Shares | Description | Value | ||||||||
Common Stocks – (continued) | ||||||||||
| Food, Beverage & Tobacco – (continued) | ||||||||||
| 2,434 | The J.M. Smucker Co. | $ | 150,300 | |||||||
| 6,200 | Tyson Foods, Inc. Class A | 76,074 | ||||||||
| 11,412,799 | ||||||||||
| Health Care Equipment & Services – 4.1% | ||||||||||
| 8,389 | Aetna, Inc. | 265,931 | ||||||||
| 5,460 | AmerisourceBergen Corp. | 142,342 | ||||||||
| 11,810 | Baxter International, Inc. | 693,011 | ||||||||
| 4,623 | Becton, Dickinson and Co. | 364,570 | ||||||||
| 30,506 | Boston Scientific Corp.* | 274,554 | ||||||||
| 1,967 | C.R. Bard, Inc. | 153,229 | ||||||||
| 7,232 | Cardinal Health, Inc. | 233,160 | ||||||||
| 3,416 | CareFusion Corp.* | 85,434 | ||||||||
| 5,519 | CIGNA Corp. | 194,655 | ||||||||
| 3,100 | Coventry Health Care, Inc.* | 75,299 | ||||||||
| 2,100 | DaVita, Inc.* | 123,354 | ||||||||
| 2,900 | DENTSPLY International, Inc. | 101,993 | ||||||||
| 5,437 | Express Scripts, Inc.* | 470,029 | ||||||||
| 3,290 | Hospira, Inc.* | 167,790 | ||||||||
| 3,500 | Humana, Inc.* | 153,615 | ||||||||
| 3,497 | IMS Health, Inc. | 73,647 | ||||||||
| 751 | Intuitive Surgical, Inc.* | 227,793 | ||||||||
| 2,000 | Laboratory Corp. of America Holdings* | 149,680 | ||||||||
| 5,364 | McKesson Corp. | 335,250 | ||||||||
| 9,437 | Medco Health Solutions, Inc.* | 603,119 | ||||||||
| 21,658 | Medtronic, Inc. | 952,519 | ||||||||
| 1,681 | Patterson Companies, Inc.* | 47,034 | ||||||||
| 3,000 | Quest Diagnostics, Inc. | 181,140 | ||||||||
| 6,480 | St. Jude Medical, Inc.* | 238,334 | ||||||||
| 5,600 | Stryker Corp. | 282,072 | ||||||||
| 8,150 | Tenet Healthcare Corp.* | 43,928 | ||||||||
| 22,770 | UnitedHealth Group, Inc. | 694,030 | ||||||||
| 2,600 | Varian Medical Systems, Inc.* | 121,810 | ||||||||
| 8,964 | WellPoint, Inc.* | 522,512 | ||||||||
| 4,217 | Zimmer Holdings, Inc.* | 249,267 | ||||||||
| 8,221,101 | ||||||||||
| Household & Personal Products – 2.8% | ||||||||||
| 8,400 | Avon Products, Inc. | 264,600 | ||||||||
| 9,748 | Colgate-Palmolive Co. | 800,798 | ||||||||
| 8,240 | Kimberly-Clark Corp. | 524,970 | ||||||||
| 3,402 | Mead Johnson Nutrition Co. Class A | 148,668 | ||||||||
| 2,800 | The Clorox Co. | 170,800 | ||||||||
| 2,400 | The Estee Lauder Companies, Inc. Class A | 116,064 | ||||||||
| 57,495 | The Procter & Gamble Co. | 3,485,922 | ||||||||
| 5,511,822 | ||||||||||
| Insurance – 2.4% | ||||||||||
| 9,292 | Aflac, Inc. | 429,755 | ||||||||
| 2,841 | American International Group, Inc.* | 85,173 | ||||||||
| 5,350 | Aon Corp. | 205,119 | ||||||||
| 2,500 | Assurant, Inc. | 73,700 | ||||||||
| 3,068 | Cincinnati Financial Corp. | 80,504 | ||||||||
| 8,600 | Genworth Financial, Inc. Class A* | 97,610 | ||||||||
| 7,573 | Hartford Financial Services Group, Inc. | 176,148 | ||||||||
| 5,858 | Lincoln National Corp. | 145,747 | ||||||||
| 6,947 | Loews Corp. | 252,524 | ||||||||
| 10,288 | Marsh & McLennan Companies, Inc. | 227,159 | ||||||||
| 16,281 | MetLife, Inc. | 575,533 | ||||||||
| 6,532 | Principal Financial Group, Inc. | 157,029 | ||||||||
| 9,033 | Prudential Financial, Inc. | 449,482 | ||||||||
| 10,738 | The Allstate Corp. | 322,570 | ||||||||
| 6,649 | The Chubb Corp. | 326,998 | ||||||||
| 13,282 | The Progressive Corp.* | 238,943 | ||||||||
| 10,684 | The Travelers Companies, Inc. | 532,704 | ||||||||
| 1,741 | Torchmark Corp. | 76,517 | ||||||||
| 6,418 | Unum Group | 125,280 | ||||||||
| 6,900 | XL Capital Ltd. Class A | 126,477 | ||||||||
| 4,704,972 | ||||||||||
| Materials – 3.6% | ||||||||||
| 4,200 | Air Products & Chemicals, Inc. | 340,452 | ||||||||
| 1,700 | Airgas, Inc. | 80,920 | ||||||||
| 2,200 | AK Steel Holding Corp. | 46,970 | ||||||||
| 19,368 | Alcoa, Inc. | 312,212 | ||||||||
| 1,851 | Allegheny Technologies, Inc. | 82,869 | ||||||||
| 1,800 | Ball Corp. | 93,060 | ||||||||
| 2,300 | Bemis Co., Inc. | 68,195 | ||||||||
| 1,090 | CF Industries Holdings, Inc. | 98,950 | ||||||||
| 2,494 | Cliffs Natural Resources, Inc. | 114,948 | ||||||||
| 17,638 | E.I. du Pont de Nemours & Co. | 593,872 | ||||||||
| 1,400 | Eastman Chemical Co. | 84,336 | ||||||||
| 4,712 | Ecolab, Inc. | 210,061 | ||||||||
| 1,500 | FMC Corp. | 83,640 | ||||||||
| 8,418 | Freeport-McMoRan Copper & Gold, Inc.* | 675,881 | ||||||||
| 1,700 | International Flavors & Fragrances, Inc. | 69,938 | ||||||||
| 8,459 | International Paper Co. | 226,532 | ||||||||
| 3,598 | MeadWestvaco Corp. | 103,011 | ||||||||
| 10,654 | Monsanto Co. | 870,965 | ||||||||
| 9,687 | Newmont Mining Corp. | 458,292 | ||||||||
| 6,200 | Nucor Corp. | 289,230 | ||||||||
| 3,400 | Owens-Illinois, Inc.* | 111,758 | ||||||||
| 2,700 | Pactiv Corp.* | 65,178 | ||||||||
| 3,200 | PPG Industries, Inc. | 187,328 | ||||||||
| 6,100 | Praxair, Inc. | 489,891 | ||||||||
| 3,316 | Sealed Air Corp. | 72,488 | ||||||||
| 2,500 | Sigma-Aldrich Corp. | 126,325 | ||||||||
| 22,313 | The Dow Chemical Co. | 616,508 | ||||||||
| 1,500 | Titanium Metals Corp.* | 18,780 | ||||||||
| 2,920 | United States Steel Corp. | 160,950 | ||||||||
| 2,400 | Vulcan Materials Co. | 126,408 | ||||||||
| 4,192 | Weyerhaeuser Co. | 180,843 | ||||||||
| 7,060,791 | ||||||||||
GOLDMAN SACHS VARIABLE INSURANCE TRUST EQUITY INDEX FUND
| Shares | Description | Value | ||||||||
Common Stocks – (continued) | ||||||||||
| Media – 2.9% | ||||||||||
| 13,764 | CBS Corp. Class B | $ | 193,384 | |||||||
| 56,012 | Comcast Corp. Class A | 944,362 | ||||||||
| 18,792 | DIRECTV Class A* | 626,713 | ||||||||
| 5,071 | Gannett Co., Inc. | 75,305 | ||||||||
| 900 | Meredith Corp. | 27,765 | ||||||||
| 44,686 | News Corp. Class A | 611,751 | ||||||||
| 6,048 | Omnicom Group, Inc. | 236,779 | ||||||||
| 1,900 | Scripps Networks Interactive, Inc. Class A | 78,850 | ||||||||
| 10,271 | The Interpublic Group of Companies, Inc.* | 75,800 | ||||||||
| 6,208 | The McGraw-Hill Companies, Inc. | 208,030 | ||||||||
| 2,200 | The New York Times Co. Class A* | 27,192 | ||||||||
| 36,629 | The Walt Disney Co. | 1,181,285 | ||||||||
| 133 | The Washington Post Co. Class B | 58,467 | ||||||||
| 7,096 | Time Warner Cable, Inc. | 293,704 | ||||||||
| 22,871 | Time Warner, Inc. | 666,461 | ||||||||
| 12,044 | Viacom, Inc. Class B* | 358,068 | ||||||||
| 5,663,916 | ||||||||||
| Pharmaceuticals, Biotechnology & Life Sciences – 8.3% | ||||||||||
| 30,398 | Abbott Laboratories | 1,641,188 | ||||||||
| 6,100 | Allergan, Inc. | 384,361 | ||||||||
| 19,868 | Amgen, Inc.* | 1,123,933 | ||||||||
| 5,815 | Biogen Idec, Inc.* | 311,102 | ||||||||
| 33,526 | Bristol-Myers Squibb Co. | 846,531 | ||||||||
| 9,100 | Celgene Corp.* | 506,688 | ||||||||
| 1,400 | Cephalon, Inc.* | 87,374 | ||||||||
| 20,042 | Eli Lilly & Co. | 715,700 | ||||||||
| 6,000 | Forest Laboratories, Inc.* | 192,660 | ||||||||
| 5,125 | Genzyme Corp.* | 251,176 | ||||||||
| 17,600 | Gilead Sciences, Inc.* | 761,728 | ||||||||
| 54,294 | Johnson & Johnson | 3,497,077 | ||||||||
| 4,666 | King Pharmaceuticals, Inc.* | 57,252 | ||||||||
| 3,470 | Life Technologies Corp.* | 181,238 | ||||||||
| 60,069 | Merck & Co., Inc. | 2,194,921 | ||||||||
| 1,000 | Millipore Corp.* | 72,350 | ||||||||
| 5,900 | Mylan, Inc.* | 108,737 | ||||||||
| 2,300 | PerkinElmer, Inc. | 47,357 | ||||||||
| 158,756 | Pfizer, Inc. | 2,887,772 | ||||||||
| 8,068 | Thermo Fisher Scientific, Inc.* | 384,763 | ||||||||
| 1,800 | Waters Corp.* | 111,528 | ||||||||
| 2,100 | Watson Pharmaceuticals, Inc.* | 83,181 | ||||||||
| 16,448,617 | ||||||||||
| Real Estate – 1.2% | ||||||||||
| 2,080 | Apartment Investment & Management Co. Class A (REIT) | 33,114 | ||||||||
| 1,591 | AvalonBay Communities, Inc. (REIT) | 130,637 | ||||||||
| 2,627 | Boston Properties, Inc. (REIT) | 176,193 | ||||||||
| 4,300 | CB Richard Ellis Group, Inc. Class A* | 58,351 | ||||||||
| 223 | Developers Diversified Realty Corp. (REIT) | 2,065 | ||||||||
| 5,600 | Equity Residential (REIT) | 189,168 | ||||||||
| 5,600 | HCP, Inc. (REIT) | 171,024 | ||||||||
| 2,400 | Health Care REIT, Inc. (REIT) | 106,368 | ||||||||
| 12,652 | Host Hotels & Resorts, Inc. (REIT)* | 147,653 | ||||||||
| 7,800 | Kimco Realty Corp. (REIT) | 105,534 | ||||||||
| 3,200 | Plum Creek Timber Co., Inc. (REIT) | 120,832 | ||||||||
| 9,300 | ProLogis (REIT) | 127,317 | ||||||||
| 2,651 | Public Storage, Inc. (REIT) | 215,924 | ||||||||
| 5,607 | Simon Property Group, Inc. (REIT) | 447,439 | ||||||||
| 3,200 | Ventas, Inc. (REIT) | 139,968 | ||||||||
| 3,122 | Vornado Realty Trust (REIT) | 218,364 | ||||||||
| 2,389,951 | ||||||||||
| Retailing – 3.4% | ||||||||||
| 1,777 | Abercrombie & Fitch Co. Class A | 61,928 | ||||||||
| 6,538 | Amazon.com, Inc.* | 879,492 | ||||||||
| 1,672 | AutoNation, Inc.* | 32,019 | ||||||||
| 579 | AutoZone, Inc.* | 91,523 | ||||||||
| 5,224 | Bed Bath & Beyond, Inc.* | 201,803 | ||||||||
| 6,850 | Best Buy Co., Inc. | 270,301 | ||||||||
| 1,700 | Big Lots, Inc.* | 49,266 | ||||||||
| 4,400 | Expedia, Inc.* | 113,124 | ||||||||
| 2,700 | Family Dollar Stores, Inc. | 75,141 | ||||||||
| 3,200 | GameStop Corp. Class A* | 70,208 | ||||||||
| 3,140 | Genuine Parts Co. | 119,194 | ||||||||
| 4,600 | J.C. Penney Co., Inc. | 122,406 | ||||||||
| 6,019 | Kohl’s Corp.* | 324,605 | ||||||||
| 5,000 | Limited Brands, Inc. | 96,200 | ||||||||
| 28,836 | Lowe’s Companies, Inc. | 674,474 | ||||||||
| 8,134 | Macy’s, Inc. | 136,326 | ||||||||
| 3,224 | Nordstrom, Inc. | 121,158 | ||||||||
| 5,100 | Office Depot, Inc.* | 32,895 | ||||||||
| 2,800 | O’Reilly Automotive, Inc.* | 106,736 | ||||||||
| 860 | Priceline.com, Inc.* | 187,910 | ||||||||
| 2,300 | RadioShack Corp. | 44,850 | ||||||||
| 2,378 | Ross Stores, Inc. | 101,564 | ||||||||
| 1,000 | Sears Holdings Corp.* | 83,450 | ||||||||
| 14,397 | Staples, Inc. | 354,022 | ||||||||
| 14,739 | Target Corp. | 712,925 | ||||||||
| 9,650 | The Gap, Inc. | 202,168 | ||||||||
| 33,364 | The Home Depot, Inc. | 965,221 | ||||||||
| 1,900 | The Sherwin-Williams Co. | 117,135 | ||||||||
| 8,093 | The TJX Companies, Inc. | 295,799 | ||||||||
| 2,400 | Tiffany & Co. | 103,200 | ||||||||
| 6,747,043 | ||||||||||
| Semiconductors & Semiconductor Equipment – 2.6% | ||||||||||
| 11,600 | Advanced Micro Devices, Inc.* | 112,288 | ||||||||
| 6,074 | Altera Corp. | 137,455 | ||||||||
| 5,800 | Analog Devices, Inc. | 183,164 | ||||||||
| 26,322 | Applied Materials, Inc. | 366,929 | ||||||||
| 8,250 | Broadcom Corp. Class A* | 259,462 | ||||||||
| 108,580 | Intel Corp. | 2,215,032 | ||||||||
| 3,425 | KLA-Tencor Corp. | 123,848 | ||||||||
| 4,600 | Linear Technology Corp. | 140,484 | ||||||||
| 12,700 | LSI Corp.* | 76,327 | ||||||||
| 4,800 | MEMC Electronic Materials, Inc.* | 65,376 | ||||||||
GOLDMAN SACHS VARIABLE INSURANCE TRUST EQUITY INDEX FUND
Schedule of Investments (continued)
December 31, 2009
| Shares | Description | Value | ||||||||
Common Stocks – (continued) | ||||||||||
| Semiconductors & Semiconductor Equipment – (continued) | ||||||||||
| 3,600 | Microchip Technology, Inc. | $ | 104,616 | |||||||
| 16,943 | Micron Technology, Inc.* | 178,918 | ||||||||
| 4,400 | National Semiconductor Corp. | 67,584 | ||||||||
| 1,865 | Novellus Systems, Inc.* | 43,529 | ||||||||
| 11,250 | NVIDIA Corp.* | 210,150 | ||||||||
| 3,400 | Teradyne, Inc.* | 36,482 | ||||||||
| 24,528 | Texas Instruments, Inc. | 639,200 | ||||||||
| 5,600 | Xilinx, Inc. | 140,336 | ||||||||
| 5,101,180 | ||||||||||
| Software & Services – 7.9% | ||||||||||
| 10,115 | Adobe Systems, Inc.* | 372,030 | ||||||||
| 1,900 | Affiliated Computer Services, Inc. Class A* | 113,411 | ||||||||
| 3,300 | Akamai Technologies, Inc.* | 83,589 | ||||||||
| 4,500 | Autodesk, Inc.* | 114,345 | ||||||||
| 10,100 | Automatic Data Processing, Inc. | 432,482 | ||||||||
| 3,500 | BMC Software, Inc.* | 140,350 | ||||||||
| 7,804 | CA, Inc. | 175,278 | ||||||||
| 3,700 | Citrix Systems, Inc.* | 153,957 | ||||||||
| 5,935 | Cognizant Technology Solutions Corp. Class A* | 268,855 | ||||||||
| 3,000 | Computer Sciences Corp.* | 172,590 | ||||||||
| 4,700 | Compuware Corp.* | 33,981 | ||||||||
| 22,344 | eBay, Inc.* | 525,978 | ||||||||
| 6,700 | Electronic Arts, Inc.* | 118,925 | ||||||||
| 6,400 | Fidelity National Information Services, Inc. | 150,016 | ||||||||
| 3,050 | Fiserv, Inc.* | 147,864 | ||||||||
| 4,749 | Google, Inc. Class A* | 2,944,285 | ||||||||
| 6,100 | Intuit, Inc.* | 187,331 | ||||||||
| 1,900 | Mastercard, Inc. Class A | 486,362 | ||||||||
| 3,200 | McAfee, Inc.* | 129,824 | ||||||||
| 152,047 | Microsoft Corp. | 4,635,913 | ||||||||
| 7,400 | Novell, Inc.* | 30,710 | ||||||||
| 76,863 | Oracle Corp. | 1,886,218 | ||||||||
| 6,409 | Paychex, Inc. | 196,372 | ||||||||
| 3,655 | Red Hat, Inc.* | 112,939 | ||||||||
| 5,833 | SAIC, Inc.* | 110,477 | ||||||||
| 2,100 | Salesforce.com, Inc.* | 154,917 | ||||||||
| 16,212 | Symantec Corp.* | 290,033 | ||||||||
| 13,819 | The Western Union Co. | 260,488 | ||||||||
| 4,100 | Total System Services, Inc. | 70,807 | ||||||||
| 3,902 | VeriSign, Inc.* | 94,584 | ||||||||
| 8,780 | Visa, Inc. Class A | 767,899 | ||||||||
| 23,100 | Yahoo!, Inc.* | 387,618 | ||||||||
| 15,750,428 | ||||||||||
| Technology Hardware & Equipment – 9.1% | ||||||||||
| 6,996 | Agilent Technologies, Inc.* | 217,366 | ||||||||
| 3,400 | Amphenol Corp. Class A | 157,012 | ||||||||
| 17,723 | Apple, Inc.* | 3,737,072 | ||||||||
| 113,158 | Cisco Systems, Inc.* | 2,709,002 | ||||||||
| 30,925 | Corning, Inc. | 597,162 | ||||||||
| 33,500 | Dell, Inc.* | 481,060 | ||||||||
| 40,072 | EMC Corp.* | 700,058 | ||||||||
| 2,900 | FLIR Systems, Inc.* | 94,888 | ||||||||
| 2,700 | Harris Corp. | 128,385 | ||||||||
| 46,633 | Hewlett-Packard Co. | 2,402,066 | ||||||||
| 25,847 | International Business Machines Corp. | 3,383,372 | ||||||||
| 3,783 | Jabil Circuit, Inc. | 65,711 | ||||||||
| 4,625 | JDS Uniphase Corp.* | 38,156 | ||||||||
| 10,600 | Juniper Networks, Inc.* | 282,702 | ||||||||
| 1,600 | Lexmark International, Inc. Class A* | 41,568 | ||||||||
| 2,725 | Molex, Inc. | 58,724 | ||||||||
| 46,282 | Motorola, Inc.* | 359,148 | ||||||||
| 6,811 | NetApp, Inc.* | 234,230 | ||||||||
| 2,300 | QLogic Corp.* | 43,401 | ||||||||
| 32,818 | QUALCOMM, Inc. | 1,518,161 | ||||||||
| 4,400 | SanDisk Corp.* | 127,556 | ||||||||
| 14,914 | Sun Microsystems, Inc.* | 139,744 | ||||||||
| 8,700 | Tellabs, Inc.* | 49,416 | ||||||||
| 3,500 | Teradata Corp.* | 110,005 | ||||||||
| 4,500 | Western Digital Corp.* | 198,675 | ||||||||
| 17,800 | Xerox Corp. | 150,588 | ||||||||
| 18,025,228 | ||||||||||
| Telecommunication Services – 3.1% | ||||||||||
| 7,940 | American Tower Corp. Class A* | 343,087 | ||||||||
| 116,106 | AT&T, Inc. | 3,254,451 | ||||||||
| 5,827 | CenturyTel, Inc. | 210,996 | ||||||||
| 6,600 | Frontier Communications Corp. | 51,546 | ||||||||
| 5,400 | MetroPCS Communications, Inc.* | 41,202 | ||||||||
| 30,363 | Qwest Communications International, Inc. | 127,828 | ||||||||
| 58,610 | Sprint Nextel Corp.* | 214,513 | ||||||||
| 55,843 | Verizon Communications, Inc. | 1,850,079 | ||||||||
| 8,981 | Windstream Corp. | 98,701 | ||||||||
| 6,192,403 | ||||||||||
| Transportation – 2.1% | ||||||||||
| 5,222 | Burlington Northern Santa Fe Corp. | 514,993 | ||||||||
| 3,330 | C.H. Robinson Worldwide, Inc. | 195,571 | ||||||||
| 7,862 | CSX Corp. | 381,228 | ||||||||
| 4,100 | Expeditors International of Washington, Inc. | 142,393 | ||||||||
| 6,200 | FedEx Corp. | 517,390 | ||||||||
| 7,235 | Norfolk Southern Corp. | 379,259 | ||||||||
| 1,100 | Ryder System, Inc. | 45,287 | ||||||||
| 15,218 | Southwest Airlines Co. | 173,942 | ||||||||
| 10,020 | Union Pacific Corp. | 640,278 | ||||||||
| 19,492 | United Parcel Service, Inc. Class B | 1,118,256 | ||||||||
| 4,108,597 | ||||||||||
| Utilities – 3.7% | ||||||||||
| 3,500 | Allegheny Energy, Inc. | 82,180 | ||||||||
| 4,477 | Ameren Corp. | 125,132 | ||||||||
| 9,491 | American Electric Power Co., Inc. | 330,192 | ||||||||
| 7,198 | CenterPoint Energy, Inc. | 104,443 | ||||||||
| 4,200 | CMS Energy Corp. | 65,772 | ||||||||
| 5,500 | Consolidated Edison, Inc. | 249,865 | ||||||||
| 3,877 | Constellation Energy Group, Inc. | 136,354 | ||||||||
GOLDMAN SACHS VARIABLE INSURANCE TRUST EQUITY INDEX FUND
| Shares | Description | Value | ||||||||
Common Stocks – (continued) | ||||||||||
| Utilities – (continued) | ||||||||||
| 11,847 | Dominion Resources, Inc. | $ | 461,085 | |||||||
| 3,400 | DTE Energy Co. | 148,206 | ||||||||
| 25,693 | Duke Energy Corp. | 442,177 | ||||||||
| 6,569 | Edison International | 228,470 | ||||||||
| 3,675 | Entergy Corp. | 300,762 | ||||||||
| 2,700 | EQT Corp. | 118,584 | ||||||||
| 13,081 | Exelon Corp. | 639,268 | ||||||||
| 6,111 | FirstEnergy Corp. | 283,856 | ||||||||
| 8,146 | FPL Group, Inc. | 430,272 | ||||||||
| 1,431 | Integrys Energy Group, Inc. | 60,088 | ||||||||
| 1,000 | Nicor, Inc. | 42,100 | ||||||||
| 5,300 | NiSource, Inc. | 81,514 | ||||||||
| 3,690 | Northeast Utilities | 95,165 | ||||||||
| 4,300 | Pepco Holdings, Inc. | 72,455 | ||||||||
| 7,331 | PG&E Corp. | 327,329 | ||||||||
| 2,000 | Pinnacle West Capital Corp. | 73,160 | ||||||||
| 7,551 | �� | PPL Corp. | 243,973 | |||||||
| 5,477 | Progress Energy, Inc. | 224,612 | ||||||||
| 10,142 | Public Service Enterprise Group, Inc. | 337,221 | ||||||||
| 3,350 | Questar Corp. | 139,259 | ||||||||
| 2,131 | SCANA Corp. | 80,296 | ||||||||
| 4,913 | Sempra Energy | 275,030 | ||||||||
| 15,941 | Southern Co. | 531,154 | ||||||||
| 4,500 | TECO Energy, Inc. | 72,990 | ||||||||
| 13,164 | The AES Corp.* | 175,213 | ||||||||
| 2,400 | Wisconsin Energy Corp. | 119,592 | ||||||||
| 9,110 | Xcel Energy, Inc. | 193,314 | ||||||||
| 7,291,083 | ||||||||||
TOTAL COMMON STOCKS | ||||||||||
| (Cost $187,029,179) | $ | 195,620,513 | ||||||||
| Principal | Interest | Maturity | ||||||||||||||
| Amount | Rate | Date | Value | |||||||||||||
U.S. Treasury Obligation(b)(c) – 0.1% | ||||||||||||||||
| United States Treasury Bill | ||||||||||||||||
| $ | 355,000 | 0.000 | % | 03/11/10 | $ | 354,956 | ||||||||||
| (Cost $354,988) | ||||||||||||||||
| Shares | Rate | Value | ||||||||||
Short-term Investment(d) – 1.0% | ||||||||||||
| JPMorgan U.S. Government Money Market Fund – Capital Shares | ||||||||||||
| 1,905,714 | 0.049 | % | $ | 1,905,714 | ||||||||
| (Cost $1,905,714) | ||||||||||||
TOTAL INVESTMENTS – 99.6% | ||||||||||||
| (Cost $189,289,881) | $ | 197,881,183 | ||||||||||
OTHER ASSETS IN EXCESS OF LIABILITIES – 0.4% | 706,321 | |||||||||||
| NET ASSETS – 100.0% | $ | 198,587,504 | ||||||||||
The percentage shown for each investment category reflects the value of investments in that category as a percentage of net assets.
| * | Non-income producing security. | |
| (a) | Represents an affiliated issuer. | |
| (b) | Security issued with a zero coupon. Income is recognized through the accretion of discount. | |
| (c) | All or a portion of security is segregated as collateral for initial margin requirements on futures transactions. | |
| (d) | Variable rate security. Interest rate disclosed is that which is in effect at December 31, 2009. |
| Investment Abbreviation: | ||||||
| REIT | — | Real Estate Investment Trust | ||||
ADDITIONAL INVESTMENT INFORMATION
FUTURES CONTRACTS — At December 31, 2009, the following futures contracts were open:
| Number of | Expiration | Unrealized | ||||||||||||||
| Type | Contracts Long | Date | Value | Gain | ||||||||||||
S&P 500 E-mini | 51 | March 2010 | $ | 2,832,285 | $ | 18,883 | ||||||||||
GOLDMAN SACHS VARIABLE INSURANCE TRUST GOVERNMENT INCOME FUND
Schedule of Investments
December 31, 2009
| Principal | Interest | Maturity | ||||||||||||||
| Amount | Rate | Date | Value | |||||||||||||
Mortgage-Backed Obligations – 52.5% | ||||||||||||||||
| Adjustable Rate Non-Agency(a) – 1.5% | ||||||||||||||||
| First Horizon Alternative Mortgage Securities Series 2005-AA7, Class 2A1 | ||||||||||||||||
| $ | 492,143 | 5.387 | % | 09/25/35 | $ | 346,705 | ||||||||||
| Harborview Mortgage Loan Trust Series 2006-6, Class 3A1A | ||||||||||||||||
| 501,482 | 5.907 | 08/19/36 | 321,716 | |||||||||||||
| J.P. Morgan Mortgage Trust Series 2007-A1, Class 2A2 | ||||||||||||||||
| 524,478 | 3.632 | 07/25/35 | 472,779 | |||||||||||||
| 1,141,200 | ||||||||||||||||
| Collateralized Mortgage Obligations – 5.6% | ||||||||||||||||
| Interest Only(a)(b) – 0.0% | ||||||||||||||||
| FNMA REMIC Series 2004-47, Class EI | ||||||||||||||||
| 309,903 | 0.000 | 06/25/34 | 3,850 | |||||||||||||
| FNMA REMIC Series 2004-62, Class DI | ||||||||||||||||
| 139,815 | 0.000 | 07/25/33 | 1,044 | |||||||||||||
| 4,894 | ||||||||||||||||
| Planned Amortization Class – 1.1% | ||||||||||||||||
| FHLMC REMIC Series 2003-2719, Class GC | ||||||||||||||||
| 828,100 | 5.000 | 06/15/26 | 827,412 | |||||||||||||
| Regular Floater(a) – 2.0% | ||||||||||||||||
| FHLMC REMIC Series 2007-3325, Class SX(c) | ||||||||||||||||
| 48,766 | 0.000 | 06/15/37 | 44,560 | |||||||||||||
| FNMA REMIC Series 2007-2, Class FM | ||||||||||||||||
| 681,370 | 0.481 | 02/25/37 | 660,389 | |||||||||||||
| FNMA REMIC Series 2007-20, Class FP | ||||||||||||||||
| 704,503 | 0.531 | 03/25/37 | 692,783 | |||||||||||||
| FNMA REMIC Series 2007-53, Class UF(c) | ||||||||||||||||
| 51,864 | 0.000 | 06/25/37 | 48,682 | |||||||||||||
| 1,446,414 | ||||||||||||||||
| Sequential Fixed Rate – 2.5% | ||||||||||||||||
| Banc of America Funding Corp. Series 2007-8, Class 2A1 | ||||||||||||||||
| 628,655 | 7.000 | 10/25/37 | 456,015 | |||||||||||||
| FHLMC REMIC Series 2007-3284, Class CA | ||||||||||||||||
| 555,551 | 5.000 | 10/15/21 | 583,872 | |||||||||||||
| FNMA REMIC Series 2007-36, Class AB | ||||||||||||||||
| 787,190 | 5.000 | 11/25/21 | 826,537 | |||||||||||||
| 1,866,424 | ||||||||||||||||
| TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS | $ | 4,145,144 | ||||||||||||||
| Commercial Mortgage-Backed Security – 0.7% | ||||||||||||||||
| Adjustable Rate Non-Agency(a) – 0.7% | ||||||||||||||||
| Bear Stearns Commercial Mortgage Securities Series 2006-PW12, Class A4 | ||||||||||||||||
| $ | 500,000 | 5.719 | % | 09/11/38 | $ | 489,874 | ||||||||||
| Federal Agencies – 44.7% | ||||||||||||||||
| Adjustable Rate FHLMC(a) – 1.5% | ||||||||||||||||
| 626,663 | 4.846 | 09/01/35 | 651,739 | |||||||||||||
| 427,643 | 4.690 | 10/01/35 | 445,995 | |||||||||||||
| 1,097,734 | ||||||||||||||||
| Adjustable Rate FNMA(a) – 1.8% | ||||||||||||||||
| 265,109 | 3.335 | 05/01/33 | 272,200 | |||||||||||||
| 541,032 | 2.912 | 05/01/35 | 560,961 | |||||||||||||
| 500,469 | 5.106 | 12/01/35 | 525,929 | |||||||||||||
| 1,359,090 | ||||||||||||||||
| FHLMC – 6.6% | ||||||||||||||||
| 5,806 | 10.000 | 03/01/21 | 6,404 | |||||||||||||
| 13,079 | 6.500 | 06/01/23 | 13,999 | |||||||||||||
| 20,451 | 6.000 | 11/01/36 | 21,838 | |||||||||||||
| 9,979 | 5.500 | 03/01/37 | 10,564 | |||||||||||||
| 42,440 | 5.500 | 04/01/37 | 44,846 | |||||||||||||
| 4,647 | 5.500 | 06/01/37 | 4,920 | |||||||||||||
| 21,385 | 6.000 | 11/01/37 | 22,806 | |||||||||||||
| 46,699 | 5.500 | 12/01/37 | 49,316 | |||||||||||||
| 89,237 | 5.500 | 02/01/38 | 94,242 | |||||||||||||
| 103,201 | 5.500 | 04/01/38 | 108,991 | |||||||||||||
| 21,769 | 6.000 | 04/01/38 | 23,215 | |||||||||||||
| 60,092 | 5.500 | 05/01/38 | 63,463 | |||||||||||||
| 402,099 | 5.500 | 06/01/38 | 425,356 | |||||||||||||
| 18,492 | 6.000 | 09/01/38 | 19,715 | |||||||||||||
| 26,462 | 5.500 | 10/01/38 | 27,946 | |||||||||||||
| 22,446 | 6.000 | 02/01/39 | 23,930 | |||||||||||||
| 7,777 | 5.500 | 04/01/39 | 8,238 | |||||||||||||
| 192,724 | 5.000 | 05/01/39 | 198,423 | |||||||||||||
| 869,122 | 5.000 | 06/01/39 | 894,339 | |||||||||||||
| 293,471 | 5.000 | 07/01/39 | 301,905 | |||||||||||||
| 498,771 | 5.000 | 10/01/39 | 512,772 | |||||||||||||
| 1,000,000 | 4.500 | TBA-30yr | (d) | 997,656 | ||||||||||||
| 1,000,000 | 5.500 | TBA-30yr | (d) | 1,047,891 | ||||||||||||
| 4,922,775 | ||||||||||||||||
| FNMA – 28.9% | ||||||||||||||||
| 2,912 | 5.000 | 02/01/14 | 3,006 | |||||||||||||
| 45,885 | 5.000 | 11/01/17 | 48,458 | |||||||||||||
| 220,200 | 5.000 | 12/01/17 | 232,550 | |||||||||||||
| 175,319 | 5.000 | 01/01/18 | 185,152 | |||||||||||||
| 68,877 | 5.000 | 02/01/18 | 72,685 | |||||||||||||
| 197,628 | 5.000 | 03/01/18 | 208,552 | |||||||||||||
| 627,930 | 5.000 | 04/01/18 | 662,643 | |||||||||||||
| 309,130 | 5.000 | 05/01/18 | 326,219 | |||||||||||||
| 630,972 | 5.000 | 06/01/18 | 665,853 | |||||||||||||
| 18,022 | 5.000 | 07/01/18 | 19,019 | |||||||||||||
| 1,114,199 | 4.000 | 09/01/18 | 1,145,134 | |||||||||||||
| 411,486 | 5.000 | 11/01/18 | 434,233 | |||||||||||||
| 514,839 | 5.000 | 12/01/18 | 543,300 | |||||||||||||
| 38,688 | 5.000 | 01/01/19 | 40,827 | |||||||||||||
| 99,989 | 5.000 | 02/01/19 | 105,459 | |||||||||||||
| 422,276 | 5.000 | 03/01/19 | 445,382 | |||||||||||||
| 844,016 | 5.500 | 03/01/19 | 901,910 | |||||||||||||
| 382,006 | 5.000 | 04/01/19 | 402,907 | |||||||||||||
| 481,703 | 5.000 | 06/01/19 | 508,333 | |||||||||||||
| 297,713 | 6.000 | 09/01/19 | 320,039 | |||||||||||||
| 454,647 | 5.000 | 12/01/19 | 479,568 | |||||||||||||
| 371,368 | 6.000 | 12/01/20 | 399,218 | |||||||||||||
| 14,055 | 8.000 | 09/01/21 | 16,026 | |||||||||||||
| 22,043 | 5.000 | 04/01/23 | 23,082 | |||||||||||||
GOLDMAN SACHS VARIABLE INSURANCE TRUST GOVERNMENT INCOME FUND
| Principal | Interest | Maturity | ||||||||||||||
| Amount | Rate | Date | Value | |||||||||||||
Mortgage-Backed Obligations – (continued) | ||||||||||||||||
| FNMA – (continued) | ||||||||||||||||
| $ | 89,642 | 5.000 | % | 06/01/23 | $ | 93,867 | ||||||||||
| 78 | 6.000 | 03/01/32 | 83 | |||||||||||||
| 165,340 | 5.500 | 03/01/33 | 173,854 | |||||||||||||
| 168,110 | 5.500 | 04/01/33 | 176,766 | |||||||||||||
| 137,022 | 5.500 | 05/01/33 | 144,077 | |||||||||||||
| 7,552 | 6.000 | 05/01/33 | 8,062 | |||||||||||||
| 24,564 | 5.500 | 06/01/33 | 25,829 | |||||||||||||
| 281,614 | 5.500 | 07/01/33 | 296,114 | |||||||||||||
| 32,235 | 5.000 | 08/01/33 | 33,228 | |||||||||||||
| 3,297 | 6.000 | 12/01/33 | 3,521 | |||||||||||||
| 240,812 | 5.500 | 01/01/34 | 253,211 | |||||||||||||
| 142,954 | 5.500 | 06/01/34 | 150,315 | |||||||||||||
| 2,484 | 6.000 | 12/01/34 | 2,651 | |||||||||||||
| 4,593 | 6.000 | 04/01/35 | 4,898 | |||||||||||||
| 29,614 | 6.000 | 07/01/35 | 31,559 | |||||||||||||
| 65,716 | 6.000 | 11/01/35 | 69,949 | |||||||||||||
| 85,654 | 6.000 | 01/01/36 | 91,279 | |||||||||||||
| 7,488 | 6.000 | 02/01/36 | 7,971 | |||||||||||||
| 28,350 | 6.500 | 03/01/36 | 30,383 | |||||||||||||
| 18,735 | 6.000 | 09/01/36 | 19,992 | |||||||||||||
| 196,414 | 6.000 | 10/01/36 | 209,587 | |||||||||||||
| 286,301 | 6.000 | 11/01/36 | 305,503 | |||||||||||||
| 319,768 | 5.500 | 07/01/37 | 335,040 | |||||||||||||
| 182,023 | 6.000 | 08/01/37 | 193,975 | |||||||||||||
| 271,853 | 6.000 | 09/01/37 | 289,704 | |||||||||||||
| 19,603 | 6.000 | 10/01/37 | 20,890 | |||||||||||||
| 37,690 | 6.000 | 11/01/37 | 40,164 | |||||||||||||
| 339,080 | 5.000 | 03/01/38 | 348,524 | |||||||||||||
| 405,031 | 6.000 | 08/01/38 | 431,500 | |||||||||||||
| 360,348 | 6.000 | 10/01/38 | 383,898 | |||||||||||||
| 63,999 | 6.000 | 11/01/38 | 68,182 | |||||||||||||
| 24,001 | 6.000 | 01/01/39 | 25,569 | |||||||||||||
| 180,698 | 5.000 | 02/01/39 | 185,956 | |||||||||||||
| 1,057,752 | 6.000 | 02/01/39 | 1,127,209 | |||||||||||||
| 186,527 | 5.000 | 03/01/39 | 191,955 | |||||||||||||
| 193,823 | 5.000 | 05/01/39 | 199,496 | |||||||||||||
| 68,194 | 4.500 | 06/01/39 | 68,258 | |||||||||||||
| 54,628 | 5.000 | 06/01/39 | 56,217 | |||||||||||||
| 141,102 | 5.000 | 07/01/39 | 145,298 | |||||||||||||
| 29,764 | 4.500 | 08/01/39 | 29,792 | |||||||||||||
| 99,137 | 4.500 | 09/01/39 | 99,230 | |||||||||||||
| 313,801 | 5.000 | 09/01/39 | 323,171 | |||||||||||||
| 298,108 | 4.500 | 10/01/39 | 298,294 | |||||||||||||
| 1,375,515 | 5.000 | 10/01/39 | 1,415,554 | |||||||||||||
| 5,000,000 | 4.500 | TBA-30yr | (d) | 4,991,406 | ||||||||||||
| 21,591,536 | ||||||||||||||||
| GNMA – 5.9% | ||||||||||||||||
| 524,731 | 6.000 | 12/15/38 | 556,009 | |||||||||||||
| 43,606 | 4.500 | 05/15/39 | 43,742 | |||||||||||||
| 110,285 | 5.000 | 05/15/39 | 113,869 | |||||||||||||
| 33,659 | 4.500 | 06/15/39 | 33,765 | |||||||||||||
| 477,842 | 5.000 | 06/15/39 | 493,556 | |||||||||||||
| 914,437 | 4.500 | 07/15/39 | 917,295 | |||||||||||||
| 199,417 | 5.000 | 10/15/39 | 205,992 | |||||||||||||
| 1,000,000 | 6.000 | TBA-30yr | (d) | 1,056,875 | ||||||||||||
| 1,000,000 | 5.500 | TBA-30yr | (d) | 1,047,890 | ||||||||||||
| 4,468,993 | ||||||||||||||||
TOTAL FEDERAL AGENCIES | $ | 33,440,128 | ||||||||||||||
| TOTAL MORTGAGE-BACKED OBLIGATIONS | ||||||||||||||||
| (Cost $38,938,405) | $ | 39,216,346 | ||||||||||||||
Agency Debentures – 17.9% | ||||||||||||||||
| FFCB | ||||||||||||||||
| $ | 500,000 | 5.400 | % | 06/08/17 | $ | 544,497 | ||||||||||
| FHLB | ||||||||||||||||
| 800,000 | 1.750 | 12/14/12 | 794,602 | |||||||||||||
| FHLMC | ||||||||||||||||
| 1,400,000 | 2.050 | 03/09/11 | 1,404,437 | |||||||||||||
| 3,500,000 | 1.750 | 07/27/11 | 3,514,313 | |||||||||||||
| 1,500,000 | 4.500 | 04/02/14 | 1,606,786 | |||||||||||||
| FNMA | ||||||||||||||||
| 1,500,000 | 2.050 | 04/01/11 | 1,506,337 | |||||||||||||
| 1,000,000 | 1.700 | 04/29/11 | 1,003,867 | |||||||||||||
| 1,200,000 | 4.600 | 06/05/18 | 1,227,134 | |||||||||||||
| Private Export Funding Corp. | ||||||||||||||||
| 1,100,000 | 3.050 | 10/15/14 | 1,094,967 | |||||||||||||
| Tennessee Valley Authority(e) | ||||||||||||||||
| 700,000 | 5.375 | 04/01/56 | 699,250 | |||||||||||||
TOTAL AGENCY DEBENTURES | ||||||||||||||||
| (Cost $13,316,646) | $ | 13,396,190 | ||||||||||||||
Asset-Backed Securities – 0.7% | ||||||||||||||||
| Credit Card – 0.6% | ||||||||||||||||
| Chase Issuance Trust Series 2005-A11, Class A(a) | ||||||||||||||||
| $ | 500,000 | 0.303 | % | 12/15/14 | $ | 492,185 | ||||||||||
| Home Equity – 0.1% | ||||||||||||||||
| GMAC Mortgage Corp. Loan Trust Series 2007-HE3, Class 1A1 | ||||||||||||||||
| 58,052 | 7.000 | 09/25/37 | 33,545 | |||||||||||||
| GMAC Mortgage Corp. Loan Trust Series 2007-HE3, Class 2A1 | ||||||||||||||||
| 66,735 | 7.000 | 09/25/37 | 27,293 | |||||||||||||
| 60,838 | ||||||||||||||||
| TOTAL ASSET-BACKED SECURITIES | ||||||||||||||||
| (Cost $538,770) | $ | 553,023 | ||||||||||||||
Government Guarantee Obligations(f) – 14.2% | ||||||||||||||||
| Citigroup, Inc.(a) | ||||||||||||||||
| $ | 840,000 | 0.807 | % | 12/09/10 | $ | 844,903 | ||||||||||
| Citigroup Funding, Inc. | ||||||||||||||||
| 2,200,000 | 1.875 | 10/22/12 | 2,195,973 | |||||||||||||
| 300,000 | 1.875 | 11/15/12 | 299,437 | |||||||||||||
GOLDMAN SACHS VARIABLE INSURANCE TRUST GOVERNMENT INCOME FUND
Schedule of Investments (continued)
December 31, 2009
| Principal | Interest | Maturity | ||||||||||||||
| Amount | Rate | Date | Value | |||||||||||||
Government Guarantee Obligations(f) – (continued) | ||||||||||||||||
| General Electric Capital Corp. | ||||||||||||||||
| $ | 400,000 | 2.000 | % | 09/28/12 | $ | 400,518 | ||||||||||
| 500,000 | 2.125 | 12/21/12 | 502,304 | |||||||||||||
| 800,000 | 2.625 | 12/28/12 | 814,579 | |||||||||||||
| GMAC, Inc. | ||||||||||||||||
| 1,100,000 | 1.750 | 10/30/12 | 1,094,447 | |||||||||||||
| PNC Funding Corp. | ||||||||||||||||
| 750,000 | 2.300 | 06/22/12 | 763,152 | |||||||||||||
| U.S. Central Federal Credit Union | ||||||||||||||||
| 3,300,000 | 1.250 | 10/19/11 | 3,299,099 | |||||||||||||
| 400,000 | 1.900 | 10/19/12 | 399,687 | |||||||||||||
| TOTAL GOVERNMENT GUARANTEE OBLIGATIONS | ||||||||||||||||
| (Cost $10,626,067) | $ | 10,614,099 | ||||||||||||||
U.S. Treasury Obligations – 16.4% | ||||||||||||||||
| United States Treasury Bond | ||||||||||||||||
| $ | 200,000 | 4.250 | % | 05/15/39 | $ | 187,760 | ||||||||||
| United States Treasury Inflation Protected Securities | ||||||||||||||||
| 1,200,000 | 0.875 | 04/15/10 | 1,373,931 | |||||||||||||
| 700,000 | 3.500 | 01/15/11 | 901,850 | |||||||||||||
| 200,000 | 2.375 | 04/15/11 | 224,259 | |||||||||||||
| 300,000 | 2.000 | 01/15/16 | 345,057 | |||||||||||||
| 300,000 | 2.500 | 07/15/16 | 349,708 | |||||||||||||
| 50,000 | 3.625 | 04/15/28 | 82,601 | |||||||||||||
| United States Treasury Notes | ||||||||||||||||
| 200,000 | 1.000 | 12/31/11 | 199,438 | |||||||||||||
| 1,500,000 | 2.375 | 10/31/14 | 1,483,815 | |||||||||||||
| 2,500,000 | 3.125 | 10/31/16 | 2,468,525 | |||||||||||||
| 1,400,000 | 3.625 | 08/15/19 | 1,376,466 | |||||||||||||
| 1,200,000 | 3.375 | 11/15/19 | 1,154,292 | |||||||||||||
| United States Treasury Principal-Only STRIPS(g) | ||||||||||||||||
| 1,800,000 | 0.000 | 08/15/20 | 1,147,356 | |||||||||||||
| 300,000 | 0.000 | 08/15/26 | 134,563 | |||||||||||||
| 1,100,000 | 0.000 | 11/15/26 | 487,245 | |||||||||||||
| 800,000 | 0.000 | 11/15/27 | 337,584 | |||||||||||||
| TOTAL U.S. TREASURY OBLIGATIONS | ||||||||||||||||
| (Cost $12,396,465) | $ | 12,254,450 | ||||||||||||||
| Shares | Rate | Value | ||||||||||
Short-term Investment(a) – 10.3% | ||||||||||||
| JPMorgan U.S. Government Money Market Fund – Capital Shares | ||||||||||||
| 7,716,385 | 0.049 | % | $ | 7,716,385 | ||||||||
| (Cost $7,716,385) | ||||||||||||
TOTAL INVESTMENTS – 112.0% | ||||||||||||
| (Cost $83,532,738) | $ | 83,750,493 | ||||||||||
LIABILITIES IN EXCESS OF OTHER ASSETS – (12.0)% | (8,990,274 | ) | ||||||||||
NET ASSETS – 100.0% | $ | 74,760,218 | ||||||||||
The percentage shown for each investment category reflects the value of investments in that category as a percentage of net assets.
| (a) | Variable rate security. Interest rate disclosed is that which is in effect at December 31, 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/sold 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 $9,141,718, which represents approximately 12.2% of net assets as of December 31, 2009. | |
| (e) | All or a portion of security is segregated as collateral for initial margin requirements on futures transactions. | |
| (f) | This debt is guaranteed under the Federal Deposit Insurance Corporation’s (“FDIC”) 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 the securities amounts to $10,614,099, which represents approximately 14.2% of net assets as of December 31, 2009. | |
| (g) | Security issued with zero coupon. Income is recognized through the accretion of discount. |
| Investment Abbreviations: | ||||||
| FFCB | — | Federal Farm Credit Bank | ||||
| FHLB | — | Federal Home Loan Bank | ||||
| FHLMC | — | Federal Home Loan Mortgage Corp. | ||||
| FNMA | — | Federal National Mortgage Association | ||||
| GNMA | — | Government National Mortgage Association | ||||
| LIBOR | — | London Interbank Offered Rate | ||||
| REMIC | — | Real Estate Mortgage Investment Conduit | ||||
| STRIPS | — | Separate Trading of Registered Interest and Principal of Securities | ||||
GOLDMAN SACHS VARIABLE INSURANCE TRUST GOVERNMENT INCOME FUND
ADDITIONAL INVESTMENT INFORMATION
FORWARD SALES CONTRACT — At December 31, 2009, the Fund had the following forward sales contract:
| Interest | Maturity | Settlement | Principal | |||||||||||||||||
| Description | Rate | Date | Date | Amount | Value | |||||||||||||||
| FNMA (Proceeds Receivable: $2,088,125) | 5.000 | % | TBA-30 yr(d | ) | 01/13/10 | $ | 2,000,000 | $ | 2,052,656 | |||||||||||
FUTURES CONTRACTS — At December 31, 2009, the following futures contracts were open:
| Number of | ||||||||||||||||
| Contracts | Expiration | Unrealized | ||||||||||||||
| Type | Long (Short) | Date | Value | Gain (Loss) | ||||||||||||
| Eurodollars | 6 | January 2010 | $ | 1,496,063 | $ | 697 | ||||||||||
| Eurodollars | 6 | March 2010 | 1,494,675 | 9,360 | ||||||||||||
| U.S. Treasury Bonds | (1 | ) | March 2010 | (115,375 | ) | 6,688 | ||||||||||
| 2 Year U.S. Treasury Notes | 21 | March 2010 | 4,541,578 | (24,585 | ) | |||||||||||
| 5 Year U.S. Treasury Notes | 25 | March 2010 | 2,859,570 | (45,320 | ) | |||||||||||
| 10 Year U.S. Treasury Notes | 1 | March 2010 | 115,453 | (3,384 | ) | |||||||||||
| TOTAL | $ | (56,544 | ) | |||||||||||||
GOLDMAN SACHS VARIABLE INSURANCE TRUST GROWTH OPPORTUNITIES FUND
Schedule of Investments
December 31, 2009
| Shares | Description | Value | ||||||||
Common Stocks – 98.1% | ||||||||||
| Banks – 2.1% | ||||||||||
| 162,400 | People’s United Financial, Inc. | $ | 2,712,080 | |||||||
| Capital Goods – 5.4% | ||||||||||
| 19,900 | Alliant Techsystems, Inc.*(a) | 1,756,573 | ||||||||
| 70,400 | Kennametal, Inc. | 1,824,768 | ||||||||
| 42,100 | Quanta Services, Inc.* | 877,364 | ||||||||
| 26,990 | Rockwell Automation, Inc. | 1,267,990 | ||||||||
| 23,600 | Roper Industries, Inc. | 1,235,932 | ||||||||
| 6,962,627 | ||||||||||
| Commercial & Professional Services – 2.7% | ||||||||||
| 104,100 | Iron Mountain, Inc.* | 2,369,316 | ||||||||
| 35,000 | Verisk Analytics, Inc. Class A* | 1,059,800 | ||||||||
| 3,429,116 | ||||||||||
| Consumer Durables & Apparel – 5.3% | ||||||||||
| 50,500 | Coach, Inc. | 1,844,765 | ||||||||
| 38,610 | Fortune Brands, Inc. | 1,667,952 | ||||||||
| 89,700 | Newell Rubbermaid, Inc. | 1,346,397 | ||||||||
| 23,500 | Polo Ralph Lauren Corp.(a) | 1,903,030 | ||||||||
| 6,762,144 | ||||||||||
| Consumer Services – 3.0% | ||||||||||
| 27,500 | Apollo Group, Inc. Class A* | 1,665,950 | ||||||||
| 44,545 | Marriott International, Inc. Class A(a) | 1,213,851 | ||||||||
| 26,700 | Starwood Hotels & Resorts Worldwide, Inc. | 976,419 | ||||||||
| 3,856,220 | ||||||||||
| Diversified Financials – 7.0% | ||||||||||
| 23,000 | IntercontinentalExchange, Inc.* | 2,582,900 | ||||||||
| 62,500 | Northern Trust Corp. | 3,275,000 | ||||||||
| 132,900 | SLM Corp.* | 1,497,783 | ||||||||
| 79,500 | TD Ameritrade Holding Corp.* | 1,540,710 | ||||||||
| 8,896,393 | ||||||||||
| Energy – 7.3% | ||||||||||
| 78,500 | Cameron International Corp.* | 3,281,300 | ||||||||
| 33,800 | Continental Resources, Inc.*(a) | 1,449,682 | ||||||||
| 16,600 | Core Laboratories NV(a) | 1,960,792 | ||||||||
| 23,200 | Dril-Quip, Inc.* | 1,310,336 | ||||||||
| 19,300 | Whiting Petroleum Corp.* | 1,378,985 | ||||||||
| 9,381,095 | ||||||||||
| Food, Beverage & Tobacco – 1.9% | ||||||||||
| 62,100 | Hansen Natural Corp.* | 2,384,640 | ||||||||
| Health Care Equipment & Services – 7.3% | ||||||||||
| 28,305 | C.R. Bard, Inc. | 2,204,960 | ||||||||
| 40,200 | CareFusion Corp.* | 1,005,402 | ||||||||
| 79,100 | Emdeon, Inc. Class A* | 1,206,275 | ||||||||
| 29,900 | Henry Schein, Inc.* | 1,572,740 | ||||||||
| 91,500 | St. Jude Medical, Inc.* | 3,365,370 | ||||||||
| 9,354,747 | ||||||||||
| Household & Personal Products – 6.4% | ||||||||||
| 76,500 | Avon Products, Inc. | 2,409,750 | ||||||||
| 36,200 | Chattem, Inc.*(a) | 3,377,460 | ||||||||
| 38,200 | Energizer Holdings, Inc.* | 2,340,896 | ||||||||
| 8,128,106 | ||||||||||
| Materials – 2.4% | ||||||||||
| 54,100 | Ecolab, Inc. | 2,411,778 | ||||||||
| 9,800 | Schweitzer-Mauduit International, Inc. | 689,430 | ||||||||
| 3,101,208 | ||||||||||
| Media – 1.0% | ||||||||||
| 41,500 | Lamar Advertising Co. Class A* | 1,290,235 | ||||||||
| Pharmaceuticals, Biotechnology & Life Sciences – 8.4% | ||||||||||
| 126,700 | Amylin Pharmaceuticals, Inc.* | 1,797,873 | ||||||||
| 50,000 | Biogen Idec, Inc.* | 2,675,000 | ||||||||
| 55,990 | Charles River Laboratories International, Inc.* | 1,886,303 | ||||||||
| 22,300 | Millipore Corp.* | 1,613,405 | ||||||||
| 33,400 | Shire PLC ADR | 1,960,580 | ||||||||
| 33,200 | Talecris Biotherapeutics Holdings Corp.* | 739,364 | ||||||||
| 10,672,525 | ||||||||||
| Real Estate – 2.8% | ||||||||||
| 264,400 | CB Richard Ellis Group, Inc. Class A* | 3,587,908 | ||||||||
| Retailing – 10.8% | ||||||||||
| 32,000 | Bed Bath & Beyond, Inc.* | 1,236,160 | ||||||||
| 59,200 | Dick’s Sporting Goods, Inc.* | 1,472,304 | ||||||||
| 56,100 | GameStop Corp. Class A* | 1,230,834 | ||||||||
| 41,331 | Netflix, Inc.*(a) | 2,278,991 | ||||||||
| 87,900 | PetSmart, Inc. | 2,346,051 | ||||||||
| 103,500 | Staples, Inc. | 2,545,065 | ||||||||
| 47,100 | Tiffany & Co. | 2,025,300 | ||||||||
| 19,200 | Urban Outfitters, Inc.* | 671,808 | ||||||||
| 13,806,513 | ||||||||||
| Semiconductors & Semiconductor Equipment – 6.0% | ||||||||||
| 56,000 | Altera Corp. | 1,267,280 | ||||||||
| 99,500 | Broadcom Corp. Class A* | 3,129,275 | ||||||||
| 87,800 | FormFactor, Inc.* | 1,910,528 | ||||||||
| 43,500 | Linear Technology Corp. | 1,328,490 | ||||||||
| 7,635,573 | ||||||||||
| Software & Services – 8.9% | ||||||||||
| 35,600 | Citrix Systems, Inc.* | 1,481,316 | ||||||||
| 27,620 | Cognizant Technology Solutions Corp. Class A* | 1,251,186 | ||||||||
| 30,300 | Equinix, Inc.*(a) | 3,216,345 | ||||||||
| 51,800 | Global Payments, Inc. | 2,789,948 | ||||||||
| 19,300 | Salesforce.com, Inc.*(a) | 1,423,761 | ||||||||
| 63,100 | The Western Union Co. | 1,189,435 | ||||||||
| 11,351,991 | ||||||||||
GOLDMAN SACHS VARIABLE INSURANCE TRUST GROWTH OPPORTUNITIES FUND
| Shares | Description | Value | ||||||||
Common Stocks – (continued) | ||||||||||
| Technology Hardware & Equipment – 3.6% | ||||||||||
| 56,220 | Amphenol Corp. Class A | $ | 2,596,240 | |||||||
| 60,800 | FLIR Systems, Inc.* | 1,989,376 | ||||||||
| 4,585,616 | ||||||||||
| Telecommunication Services – 5.3% | ||||||||||
| 63,000 | American Tower Corp. Class A* | 2,722,230 | ||||||||
| 44,900 | Crown Castle International Corp.* | 1,752,896 | ||||||||
| 135,200 | tw telecom, inc.* | 2,317,328 | ||||||||
| 6,792,454 | ||||||||||
| Transportation – 0.5% | ||||||||||
| 10,400 | C.H. Robinson Worldwide, Inc. | 610,792 | ||||||||
TOTAL COMMON STOCKS | ||||||||||
| (Cost $107,566,672) | $ | 125,301,983 | ||||||||
| Shares | Rate | Value | ||||||||||
Short-term Investment(b) – 2.2% | ||||||||||||
| JPMorgan U.S. Government Money Market Fund – Capital Shares | ||||||||||||
| 2,831,248 | 0.049 | % | $ | 2,831,248 | ||||||||
| (Cost $2,831,248) | ||||||||||||
TOTAL INVESTMENTS BEFORE SECURITIES LENDING REINVESTMENT VEHICLE | ||||||||||||
| (Cost $110,397,920) | $ | 128,133,231 | ||||||||||
Securities Lending Reinvestment Vehicle(b)(c) – 9.2% | ||||||||||||
| Boston Global Investment Trust – Enhanced Portfolio | ||||||||||||
| 11,690,523 | 0.107 | 11,690,523 | ||||||||||
| (Cost $11,678,862) | ||||||||||||
TOTAL INVESTMENTS – 109.5% | ||||||||||||
| (Cost $122,076,782) | $ | 139,823,754 | ||||||||||
LIABILITIES IN EXCESS OF OTHER ASSETS – (9.5)% | (12,113,687 | ) | ||||||||||
NET ASSETS – 100.0% | $ | 127,710,067 | ||||||||||
The percentage shown for each investment category reflects the value of investments in that category as a percentage of net assets.
| * | Non-income producing security. | |
| (a) | All or a portion of security is on loan. | |
| (b) | Variable rate security. Interest rate disclosed is that which is in effect at December 31, 2009. | |
| (c) | Represents an affiliated issuer. |
| Investment Abbreviation: | ||||||
| ADR | — | American Depositary Receipt | ||||
GOLDMAN SACHS VARIABLE INSURANCE TRUST FUNDS
Statements of Assets and Liabilities
December 31, 2009
| Growth | ||||||||||||||||||
| Core Fixed | Equity Index | Government | Opportunities | |||||||||||||||
| Income Fund | Fund | Income Fund | Fund | |||||||||||||||
| Assets: | ||||||||||||||||||
| Investments in securities of unaffiliated issuers, at value (identified cost $198,548,573, $189,289,881, $83,532,738 and $110,397,920, respectively)(a) | $ | 198,211,627 | $ | 197,881,183 | $ | 83,750,493 | $ | 128,133,231 | ||||||||||
| Investments in affiliated securities lending reinvestment vehicle, at value (identified cost $0, $0, $0 and $11,678,862, respectively) | — | — | — | 11,690,523 | ||||||||||||||
| Cash | — | 173 | — | — | ||||||||||||||
| Foreign currencies, at value (identified cost $960, $0, $0 and $0, respectively) | 955 | — | — | — | ||||||||||||||
| Receivables: | ||||||||||||||||||
Investment securities sold | 19,119,222 | 321,142 | 7,400,928 | — | ||||||||||||||
Interest and dividends, at value | 1,341,919 | 265,145 | 299,550 | 52,486 | ||||||||||||||
Forward foreign currency exchange contracts, at value | 235,231 | — | — | — | ||||||||||||||
Reimbursement from investment adviser | 38,954 | 25,696 | 33,312 | 28,090 | ||||||||||||||
Fund shares sold | 5,611 | 13,710 | 43 | 3,531 | ||||||||||||||
Securities lending income | — | — | — | 2,245 | ||||||||||||||
| Other assets | — | 261,903 | — | — | ||||||||||||||
| Total assets | 218,953,519 | 198,768,952 | 91,484,326 | 139,910,106 | ||||||||||||||
| Liabilities: | ||||||||||||||||||
| Payables: | ||||||||||||||||||
Investment securities purchased | 30,218,945 | — | 14,486,094 | 101,699 | ||||||||||||||
Forward sale contracts, at value (proceeds receivable $5,219,062, $0, $2,088,125 and $0, respectively) | 5,129,297 | — | 2,052,656 | — | ||||||||||||||
Forward foreign currency exchange contracts, at value | 128,334 | — | — | — | ||||||||||||||
Amounts owed to affiliates | 105,140 | 67,091 | 52,126 | 125,578 | ||||||||||||||
Fund shares redeemed | 103,860 | 43,890 | 88,978 | 153,480 | ||||||||||||||
Due to broker — variation margin | 51,813 | 29,070 | 11,092 | — | ||||||||||||||
Payable upon return of securities loaned | — | — | — | 11,789,754 | ||||||||||||||
| Accrued expenses | 38,057 | 41,397 | 33,162 | 29,528 | ||||||||||||||
| Total liabilities | 35,775,446 | 181,448 | 16,724,108 | 12,200,039 | ||||||||||||||
| Net Assets: | ||||||||||||||||||
| Paid-in capital | 204,224,548 | 235,471,477 | 76,547,850 | 133,035,511 | ||||||||||||||
| Accumulated undistributed net investment income | 327,630 | 387,952 | 105,143 | 8,713 | ||||||||||||||
| Accumulated net realized loss from investment, futures and foreign currency related transactions | (20,851,503 | ) | (45,882,110 | ) | (2,089,455 | ) | (23,081,129 | ) | ||||||||||
| Net unrealized gain (loss) on investments, futures and translation of assets and liabilities denominated in foreign currencies | (522,602 | ) | 8,610,185 | 196,680 | 17,746,972 | |||||||||||||
| NET ASSETS | $ | 183,178,073 | $ | 198,587,504 | $ | 74,760,218 | $ | 127,710,067 | ||||||||||
| Total Service Shares of beneficial interest outstanding $0.001 par value (unlimited shares authorized): | 19,049,637 | 24,146,243 | 7,261,833 | 22,671,927 | ||||||||||||||
| Net asset value, offering and redemption price per share: | $ | 9.62 | $ | 8.22 | $ | 10.29 | $ | 5.63 | ||||||||||
| (a) | Includes loaned securities having a market value of $11,438,736 for the Growth Opportunities Fund. |
GOLDMAN SACHS VARIABLE INSURANCE TRUST FUNDS
Statements of Operations
For the Fiscal Year Ended December 31, 2009
| Growth | ||||||||||||||||||||||
| Core Fixed | Equity Index | Government | Opportunities | |||||||||||||||||||
| Income Fund | Fund | Income Fund | Fund | |||||||||||||||||||
| Investment income: | ||||||||||||||||||||||
| Interest(a) | $ | 8,883,518 | $ | 660 | $ | 3,052,039 | $ | — | ||||||||||||||
| Dividends(b) | 13,172 | 4,606,077 | 16,968 | 645,308 | ||||||||||||||||||
| Securities lending income — affiliated issuer | — | — | — | 94,316 | ||||||||||||||||||
| Total investment income | 8,896,690 | 4,606,737 | 3,069,007 | 739,624 | ||||||||||||||||||
| Expenses: | ||||||||||||||||||||||
| Management fees | 716,363 | 540,961 | 433,855 | 1,074,987 | ||||||||||||||||||
| Distribution and Service fees | 447,726 | 450,799 | 200,859 | 268,746 | ||||||||||||||||||
| Professional fees | 101,397 | 86,878 | 89,727 | 85,570 | ||||||||||||||||||
| Custody and accounting fees | 60,211 | 32,182 | 54,558 | 29,271 | ||||||||||||||||||
| Transfer Agent fees | 35,815 | 36,061 | 16,067 | 21,498 | ||||||||||||||||||
| Printing fees | 30,005 | 28,632 | 24,279 | 27,956 | ||||||||||||||||||
| Trustee fees | 16,663 | 16,663 | 16,663 | 16,663 | ||||||||||||||||||
| Registration fees | 1,249 | 1,249 | 1,249 | 1,249 | ||||||||||||||||||
| Other | 14,277 | 28,597 | 7,625 | 12,086 | ||||||||||||||||||
| Total expenses | 1,423,706 | 1,222,022 | 844,882 | 1,538,026 | ||||||||||||||||||
| Less — expense reductions | (217,633 | ) | (166,852 | ) | (191,247 | ) | (265,295 | ) | ||||||||||||||
| Net expenses | 1,206,073 | 1,055,170 | 653,635 | 1,272,731 | ||||||||||||||||||
| NET INVESTMENT INCOME (LOSS) | 7,690,617 | 3,551,567 | 2,415,372 | (533,107 | ) | |||||||||||||||||
| Realized and unrealized gain (loss) from investment, futures and foreign currency related transactions: | ||||||||||||||||||||||
| Net realized gain (loss) from: | ||||||||||||||||||||||
Investment transactions — unaffiliated issuers | (16,029,357 | ) | (2,408,016 | ) | (1,485,744 | ) | (17,001,963 | ) | ||||||||||||||
Securities lending reinvestment vehicle transactions — affiliated issuer | — | — | — | 182,944 | ||||||||||||||||||
Futures transactions | 1,778,578 | 497,948 | 1,210,574 | — | ||||||||||||||||||
Foreign currency related transactions | (51,436 | ) | — | — | — | |||||||||||||||||
| Net change in unrealized gain (loss) on: | ||||||||||||||||||||||
Investments — unaffiliated issuers | 32,203,063 | 40,988,445 | 3,734,598 | 67,315,361 | ||||||||||||||||||
Securities lending reinvestment vehicle — affiliated issuer | — | — | — | (11,528 | ) | |||||||||||||||||
Futures | (1,540,668 | ) | (83,811 | ) | (862,390 | ) | — | |||||||||||||||
Translation of assets and liabilities denominated in foreign currencies | 168,162 | — | — | — | ||||||||||||||||||
| Net realized and unrealized gain from investment, futures and foreign currency related transactions | 16,528,342 | 38,994,566 | 2,597,038 | 50,484,814 | ||||||||||||||||||
| NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS | $ | 24,218,959 | $ | 42,546,133 | $ | 5,012,410 | $ | 49,951,707 | ||||||||||||||
| (a) | Foreign taxes withheld on interest were $2,639 for the Core Fixed Income Fund. | |
| (b) | Foreign taxes withheld on dividends were $2,703 for the Growth Opportunities Fund. |
GOLDMAN SACHS VARIABLE INSURANCE TRUST FUNDS
Statements of Changes in Net Assets
| Core Fixed Income Fund | Equity Index Fund | |||||||||||||||||
| For the Fiscal | For the Fiscal | For the Fiscal | For the Fiscal | |||||||||||||||
| Year Ended | Year Ended | Year Ended | Year Ended | |||||||||||||||
| December 31, 2009 | December 31, 2008 | December 31, 2009 | December 31, 2008 | |||||||||||||||
| From operations: | ||||||||||||||||||
| Net investment income (loss) | $ | 7,690,617 | $ | 11,251,844 | $ | 3,551,567 | $ | 5,018,591 | ||||||||||
Net realized gain (loss) from investment, futures and foreign currency related transactions | (14,302,215 | ) | 34,753 | (1,910,068 | ) | 3,965,893 | ||||||||||||
Net change in unrealized gain (loss) on investments, futures and translation of assets and liabilities denominated in foreign currencies | 30,830,557 | (31,893,306 | ) | 40,904,634 | (131,012,113 | ) | ||||||||||||
| Net increase (decrease) in net assets resulting from operations | 24,218,959 | (20,606,709 | ) | 42,546,133 | (122,027,629 | ) | ||||||||||||
| Distributions to shareholders: | ||||||||||||||||||
| From net investment income | (8,665,024 | ) | (11,427,285 | ) | (3,577,759 | ) | (4,660,811 | ) | ||||||||||
| From net realized gains | — | — | — | (8,990,210 | ) | |||||||||||||
| Total distributions to shareholders | (8,665,024 | ) | (11,427,285 | ) | (3,577,759 | ) | (13,651,021 | ) | ||||||||||
| From share transactions: | ||||||||||||||||||
| Proceeds from sales of shares | 14,192,495 | 6,089,374 | 4,799,396 | 3,151,118 | ||||||||||||||
| Reinvestment of distributions | 8,665,024 | 11,427,285 | 3,577,759 | 13,651,021 | ||||||||||||||
| Cost of shares redeemed | (38,211,108 | ) | (66,893,631 | ) | (36,141,486 | ) | (58,028,078 | ) | ||||||||||
| Net increase (decrease) in net assets resulting from share transactions | (15,353,589 | ) | (49,376,972 | ) | (27,764,331 | ) | (41,225,939 | ) | ||||||||||
| TOTAL INCREASE (DECREASE) | 200,346 | (81,410,966 | ) | 11,204,043 | (176,904,589 | ) | ||||||||||||
| Net assets: | ||||||||||||||||||
| Beginning of year | 182,977,727 | 264,388,693 | 187,383,461 | 364,288,050 | ||||||||||||||
| End of year | $ | 183,178,073 | $ | 182,977,727 | $ | 198,587,504 | $ | 187,383,461 | ||||||||||
| Accumulated undistributed net investment income | $ | 327,630 | $ | 805,021 | $ | 387,952 | $ | 420,640 | ||||||||||
| Summary of share transactions: | ||||||||||||||||||
| Shares sold | 1,552,782 | 621,878 | 700,975 | 413,869 | ||||||||||||||
| Shares issued on reinvestment of distributions | 949,900 | 1,216,339 | 434,721 | 2,163,395 | ||||||||||||||
| Shares redeemed | (4,216,306 | ) | (7,184,850 | ) | (5,319,029 | ) | (6,144,617 | ) | ||||||||||
| NET INCREASE (DECREASE) | (1,713,624 | ) | (5,346,633 | ) | (4,183,333 | ) | (3,567,353 | ) | ||||||||||
GOLDMAN SACHS VARIABLE INSURANCE TRUST FUNDS
| Government Income Fund | Growth Opportunities Fund | |||||||||||||||
| For the Fiscal | For the Fiscal | For the Fiscal | For the Fiscal | |||||||||||||
| Year Ended | Year Ended | Year Ended | Year Ended | |||||||||||||
| December 31, 2009 | December 31, 2008 | December 31, 2009 | December 31, 2008 | |||||||||||||
| $ | 2,415,372 | $ | 3,725,651 | $ | (533,107 | ) | $ | (496,212 | ) | |||||||
(275,170 | ) | 2,710,769 | (16,819,019 | ) | (4,819,017 | ) | ||||||||||
2,872,208 | (3,937,247 | ) | 67,303,833 | �� | (65,335,820 | ) | ||||||||||
5,012,410 | 2,499,173 | 49,951,707 | (70,651,049 | ) | ||||||||||||
| (2,806,892 | ) | (3,988,324 | ) | — | — | |||||||||||
| (931,782 | ) | — | — | (2,928,225 | ) | |||||||||||
| (3,738,674 | ) | (3,988,324 | ) | — | (2,928,225 | ) | ||||||||||
| 8,043,563 | 23,059,430 | 3,924,032 | 1,899,160 | |||||||||||||
| 3,738,674 | 3,988,324 | — | 2,928,225 | |||||||||||||
| (25,345,776 | ) | (24,486,231 | ) | (21,402,568 | ) | (36,156,952 | ) | |||||||||
| (13,563,539 | ) | 2,561,523 | (17,478,536 | ) | (31,329,567 | ) | ||||||||||
| (12,289,803 | ) | 1,072,372 | 32,473,171 | (104,908,841 | ) | |||||||||||
| 87,050,021 | 85,977,649 | 95,236,896 | 200,145,737 | |||||||||||||
| $ | 74,760,218 | $ | 87,050,021 | $ | 127,710,067 | $ | 95,236,896 | |||||||||
| $ | 105,143 | $ | 239,687 | $ | 8,713 | $ | 97,195 | |||||||||
| 786,658 | 2,254,712 | 878,935 | 479,778 | |||||||||||||
| 364,335 | 395,078 | — | 879,347 | |||||||||||||
| (2,474,817 | ) | (2,435,845 | ) | (5,044,394 | ) | (6,819,813 | ) | |||||||||
| (1,323,824 | ) | 213,945 | (4,165,459 | ) | (5,460,688 | ) | ||||||||||
GOLDMAN SACHS VARIABLE INSURANCE TRUST CORE FIXED INCOME FUND
Financial Highlights
Selected Data for a Share Outstanding Throughout Each Year
| Income (loss) from | ||||||||||||||||||||||||||||||||||||||||||||||||||
| investment operations | ||||||||||||||||||||||||||||||||||||||||||||||||||
| Distributions | Ratio of | Ratio of | ||||||||||||||||||||||||||||||||||||||||||||||||
| Net asset | Net | to shareholders | Net asset | Net assets, | Ratio of | total | net investment | |||||||||||||||||||||||||||||||||||||||||||
| value, | Net | realized and | Total from | from net | value, | end of | net expenses | expenses | income | Portfolio | ||||||||||||||||||||||||||||||||||||||||
| beginning | investment | unrealized | investment | investment | end of | Total | year | to average | to average | to average | turnover | |||||||||||||||||||||||||||||||||||||||
| of year | income | gain (loss) | operations | income | year | return(a) | (in 000s) | net assets | net assets | net assets | rate(b) | |||||||||||||||||||||||||||||||||||||||
| FOR THE FISCAL YEARS ENDED DECEMBER 31, | ||||||||||||||||||||||||||||||||||||||||||||||||||
| 2009 | $ | 8.81 | $ | 0.39 | (c) | $ | 0.87 | $ | 1.26 | $ | (0.45 | ) | $ | 9.62 | 14.68 | % | $ | 183,178 | 0.67 | % | 0.79 | % | 4.29 | % | 293 | % | ||||||||||||||||||||||||
| 2008 | 10.13 | 0.47 | (c) | (1.31 | ) | (0.84 | ) | (0.48 | ) | 8.81 | (8.56 | ) | 182,978 | 0.67 | 0.77 | 4.92 | 140 | |||||||||||||||||||||||||||||||||
| 2007 | 9.94 | 0.48 | (c) | 0.17 | 0.65 | (0.46 | ) | 10.13 | 6.81 | 264,389 | 0.54 | (d) | 0.76 | (d) | 4.82 | (d) | 123 | |||||||||||||||||||||||||||||||||
2006(e) | 9.98 | 0.44 | (c) | (0.03 | )(f) | 0.41 | (0.45 | ) | 9.94 | 4.23 | (g) | 285,768 | 0.54 | 0.78 | 4.49 | 265 | ||||||||||||||||||||||||||||||||||
2005(e) | 10.29 | 0.42 | (h) | (0.24 | ) | 0.18 | (0.49 | ) | 9.98 | 1.84 | 332,861 | 0.64 | 0.64 | 4.05 | 110 | |||||||||||||||||||||||||||||||||||
| (a) | Assumes investment at the net asset value at the beginning of the year, reinvestment of all distributions and a complete redemption of the investment at the net asset value at the end of the year. 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 265% for the fiscal years ended December 31, 2006, 2007, 2008 and 2009, respectively. Prior year ratios include the effect of mortgage dollar roll transactions. | |
| (c) | Calculated based on the average shares outstanding methodology. | |
| (d) | Includes non-recurring expense for a special shareholder meeting, which amounted to approximately 0.02% of average net assets. | |
| (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 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. | |
| (f) | Reflects an increase of $0.04 due to payments received for class action settlements received this year. | |
| (g) | 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%. | |
| (h) | Calculated based on the Securities and Exchange Commission (“SEC”) methodology. |
The accompanying notes are an integral part of these financial statements.
42
GOLDMAN SACHS VARIABLE INSURANCE TRUST EQUITY INDEX FUND
Financial Highlights
Selected Data for a Share Outstanding Throughout Each Year
| Income (loss) from | Distributions to | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||
| investment operations | shareholders | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||
| Net | Ratio of | Ratio of | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||
| Net asset | realized | Net asset | Net assets, | Ratio of | total | net investment | ||||||||||||||||||||||||||||||||||||||||||||||||||||
| value, | Net | and | Total from | From net | From net | value, | end of | net expenses | expenses | income | Portfolio | |||||||||||||||||||||||||||||||||||||||||||||||
| beginning | investment | unrealized | investment | investment | realized | Total | end of | Total | year | to average | to average | to average | turnover | |||||||||||||||||||||||||||||||||||||||||||||
| of year | income | gain (loss) | operations | income | gains | distributions | year | return(a) | (in 000s) | net assets | net assets | net assets | rate | |||||||||||||||||||||||||||||||||||||||||||||
| FOR THE FISCAL YEARS ENDED DECEMBER 31, | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
| 2009 | $ | 6.61 | $ | 0.14 | (b) | $ | 1.62 | $ | 1.76 | $ | (0.15 | ) | $ | — | $ | (0.15 | ) | $ | 8.22 | 26.28 | % | $ | 198,588 | 0.59 | % | 0.68 | % | 1.97 | % | 5 | % | |||||||||||||||||||||||||||
| 2008 | 11.42 | 0.17 | (b) | (4.46 | ) | (4.29 | ) | (0.18 | ) | (0.34 | ) | (0.52 | ) | 6.61 | (37.18 | ) | 187,383 | 0.60 | 0.69 | 1.81 | 4 | |||||||||||||||||||||||||||||||||||||
| 2007 | 11.04 | 0.18 | (b) | 0.41 | 0.59 | (0.21 | ) | — | (0.21 | ) | 11.42 | 5.32 | 364,288 | 0.41 | (c) | 0.68 | (c) | 1.57 | (c) | 8 | ||||||||||||||||||||||||||||||||||||||
2006(d) | 9.71 | 0.16 | (b) | 1.34 | 1.50 | (0.17 | ) | — | (0.17 | ) | 11.04 | 15.49 | (e) | 438,471 | 0.41 | 0.67 | 1.53 | 4 | ||||||||||||||||||||||||||||||||||||||||
2005(d) | 9.43 | 0.13 | (f)(g) | 0.28 | 0.41 | (0.13 | ) | — | (0.13 | ) | 9.71 | 4.38 | 489,587 | 0.52 | 0.52 | 1.35 | 7 | |||||||||||||||||||||||||||||||||||||||||
| (a) | Assumes investment at the net asset value at the beginning of the year, reinvestment of all distributions and a complete redemption of the investment at the net asset value at the end of the year. 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) | Includes non-recurring expense for a special shareholder meeting, which amounted to approximately 0.02% of average net assets. | |
| (d) | 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. | |
| (e) | 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%. | |
| (f) | Calculated based on the Securities and Exchange Commission (“SEC”) methodology. | |
| (g) | Investment income per share reflects a special dividend of $0.028 for the Predecessor AIT Fund. |
The accompanying notes are an integral part of these financial statements.
43
GOLDMAN SACHS VARIABLE INSURANCE TRUST GOVERNMENT INCOME FUND
Financial Highlights
Selected Data for a Share Outstanding Throughout Each Year
| Income (loss) from | Distributions to | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||
| investment operations | shareholders | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||
| Net | Ratio of | Ratio of | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||
| Net asset | realized | Net asset | Net assets, | Ratio of | total | net investment | ||||||||||||||||||||||||||||||||||||||||||||||||||||
| value, | Net | and | Total from | From net | From net | value, | end of | net expenses | expenses | income | Portfolio | |||||||||||||||||||||||||||||||||||||||||||||||
| beginning | investment | unrealized | investment | investment | realized | Total | end of | Total | year | to average | to average | to average | turnover | |||||||||||||||||||||||||||||||||||||||||||||
| of year | income | gain (loss) | operations | income | gains | distributions | year | return(a) | (in 000s) | net assets | net assets | net assets | rate(b) | |||||||||||||||||||||||||||||||||||||||||||||
| FOR THE FISCAL YEARS ENDED DECEMBER 31, | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
| 2009 | $ | 10.14 | $ | 0.31 | (c) | $ | 0.33 | $ | 0.64 | $ | (0.36 | ) | $ | (0.13 | ) | $ | (0.49 | ) | $ | 10.29 | 6.44 | % | $ | 74,760 | 0.81 | % | 1.05 | % | 3.01 | % | 474 | % | ||||||||||||||||||||||||||
| 2008 | 10.27 | 0.42 | (c) | (0.11 | ) | 0.31 | (0.44 | ) | — | (0.44 | ) | 10.14 | 3.14 | 87,050 | 0.81 | 1.04 | 4.12 | 244 | ||||||||||||||||||||||||||||||||||||||||
| 2007 | 9.96 | 0.42 | (c) | 0.29 | 0.71 | (0.40 | ) | — | (0.40 | ) | 10.27 | 7.34 | 85,978 | 0.67 | (d) | 1.03 | (d) | 4.19 | (d) | 217 | ||||||||||||||||||||||||||||||||||||||
2006(e) | 9.98 | 0.39 | (c) | 0.01 | 0.40 | (0.42 | ) | — | (0.42 | ) | 9.96 | 4.05 | 87,063 | 0.68 | 1.02 | 3.96 | 523 | |||||||||||||||||||||||||||||||||||||||||
2005(e) | 10.19 | 0.32 | (f) | (0.16 | ) | 0.16 | (0.37 | ) | — | (0.37 | ) | 9.98 | 1.55 | 102,769 | 0.74 | 0.74 | 3.18 | 44 | ||||||||||||||||||||||||||||||||||||||||
| (a) | Assumes investment at the net asset value at the beginning of the year, reinvestment of all distributions and a complete redemption of the investment at the net asset value at the end of the year. 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 419% for the fiscal years ended December 31, 2006, 2007, 2008 and 2009, respectively. Prior year ratios include the effect of mortgage dollar roll transactions. | |
| (c) | Calculated based on the average shares outstanding methodology. | |
| (d) | Includes non-recurring expense for a special shareholder meeting, which amounted to approximately 0.03% of average net assets. | |
| (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 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. | |
| (f) | Calculated based on the Securities and Exchange Commission (“SEC”) methodology. |
The accompanying notes are an integral part of these financial statements.
44
GOLDMAN SACHS VARIABLE INSURANCE TRUST GROWTH OPPORTUNITIES FUND
Financial Highlights
Selected Data for a Share Outstanding Throughout Each Year
| Income (loss) from | �� | |||||||||||||||||||||||||||||||||||||||||||||||||
| investment operations | ||||||||||||||||||||||||||||||||||||||||||||||||||
| Distributions | Ratio of | Ratio of | ||||||||||||||||||||||||||||||||||||||||||||||||
| Net asset | Net | to shareholders | Net asset | Net assets, | Ratio of | total | net investment | |||||||||||||||||||||||||||||||||||||||||||
| value, | Net | realized and | Total from | from net | value, | end of | net expenses | expenses | loss | Portfolio | ||||||||||||||||||||||||||||||||||||||||
| beginning | investment | unrealized | investment | realized | end of | Total | year | to average | to average | to average | turnover | |||||||||||||||||||||||||||||||||||||||
| of year | loss | gain (loss) | operations | gains | year | return(a) | (in 000s) | net assets | net assets | net assets | rate | |||||||||||||||||||||||||||||||||||||||
| FOR THE FISCAL YEARS ENDED DECEMBER 31, | ||||||||||||||||||||||||||||||||||||||||||||||||||
| 2009 | $ | 3.55 | $ | (0.02 | )(b) | $ | 2.10 | $ | 2.08 | $ | — | $ | 5.63 | 58.59 | % | $ | 127,710 | 1.18 | % | 1.43 | % | (0.50 | )% | 71 | % | |||||||||||||||||||||||||
| 2008 | 6.20 | (0.02 | )(b) | (2.52 | ) | (2.54 | ) | (0.11 | ) | 3.55 | (40.72 | ) | 95,237 | 1.18 | 1.37 | (0.32 | ) | 78 | ||||||||||||||||||||||||||||||||
| 2007 | 6.07 | (0.03 | )(b) | 1.22 | 1.19 | (1.06 | ) | 6.20 | 19.37 | 200,146 | 1.14 | (c) | 1.38 | (c) | (0.48 | )(c) | 73 | |||||||||||||||||||||||||||||||||
2006(d) | 9.69 | (0.06 | )(b) | 0.68 | 0.62 | (4.24 | ) | 6.07 | 5.74 | 215,251 | 1.15 | 1.37 | (0.60 | ) | 82 | |||||||||||||||||||||||||||||||||||
2005(d) | 10.90 | (0.05 | )(e)(f) | 1.54 | 1.49 | (2.70 | ) | 9.69 | 14.68 | 273,823 | 1.15 | 1.15 | (0.50 | ) | 27 | |||||||||||||||||||||||||||||||||||
| (a) | Assumes investment at the net asset value at the beginning of the year, reinvestment of all distributions and a complete redemption of the investment at the net asset value at the end of the year. 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) | Includes non-recurring expense for a special shareholder meeting, which amounted to approximately 0.02% of average net assets. | |
| (d) | 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. | |
| (e) | Calculated based on the Securities and Exchange Commission (“SEC”) methodology. | |
| (f) | Investment income per share reflects a special dividend of $0.005 for the Predecessor AIT Fund. |
The accompanying notes are an integral part of these financial statements.
45
GOLDMAN SACHS VARIABLE INSURANCE TRUST FUNDS
Notes to Financial Statements
December 31, 2009
1. ORGANIZATION
Goldman Sachs Variable Insurance Trust (the “Trust” or “VIT”) is a Delaware statutory trust registered under the Investment Company Act of 1940, as amended (the “Act”), as an open-end management investment company. The Trust includes the Goldman Sachs Core Fixed Income Fund, Goldman Sachs Equity Index Fund, Goldman Sachs Government Income Fund and Goldman Sachs Growth Opportunities Fund (collectively, the “Funds” or individually a “Fund”). The Funds are diversified portfolios under the Act offering one class of shares — Service Shares. Goldman, Sachs & Co. (“Goldman Sachs” or the “Distributor”) serves as Distributor of the Funds pursuant to a Distribution Agreement.
Goldman Sachs Asset Management, L.P. (“GSAM”), an affiliate of Goldman Sachs, serves as investment adviser to each Fund pursuant to a management agreement (the “Agreement”) with the Trust on behalf of the Funds.
2. SIGNIFICANT ACCOUNTING POLICIES
The following is a summary of the significant accounting policies consistently followed by the Funds. The preparation of financial statements in conformity with accounting principles generally accepted in the United States of America (“GAAP”) requires management to make estimates and assumptions that may affect the amounts and disclosures in the financial statements. Actual results could differ from those estimates and assumptions.
A. FASB Financial Accounting Standards Codification — In July 2009, the Financial Accounting Standards Board (“FASB”) launched its “Financial Accounting Standards Codification” (the “Codification”) as the single source of GAAP. While the Codification does not change GAAP, it introduces a new structure to the accounting literature and changes references to accounting standards and other authoritative accounting guidance that have been reflected in the Notes to Financial Statements.
B. Investment Valuation — The investment valuation policy of the Funds is to value investments at market value. Investments in equity securities and investment companies traded on a United States (“U.S.”) securities exchange or the NASDAQ system are valued daily at their last sale price or official closing price on the principal exchange or system on which they are traded. If no sale occurs, such securities and investment companies are valued at the last bid price for long positions and at the last ask price for short positions. Debt securities for which market quotations are readily available are valued on the basis of quotations furnished by an independent pricing service approved by the trustees or provided by securities dealers. The pricing services may use valuation models or matrix pricing, which consider: (i) yield or price with respect to bonds that are considered comparable in characteristics such as rating, interest rate and maturity date or (ii) quotations from bond dealers to determine current value. If accurate quotations are not readily available, or if GSAM believes that such quotations do not accurately reflect fair value, the fair value of the Funds’ investments may be determined based on yield equivalents, a pricing matrix or other sources, under valuation procedures established by the trustees. Unlisted equity securities for which market quotations are available are valued at the last sale price on valuation date, or if no sale occurs, at the last bid price. In the absence of market quotations, broker quotes will be utilized or the security will be fair valued. Investments in investment companies (other than those that are exchange traded) are valued at the net asset value per share (“NAV”) on the valuation date. Short-term debt obligations that mature in sixty days or less and that do not exhibit signs of credit deterioration are valued at amortized cost, which approximates market value.
GSAM, consistent with its procedures and applicable regulatory guidance, may make an adjustment to the previous closing prices of either domestic or foreign securities in light of significant events to reflect what it believes to be the fair value of the securities at the time of determining the Funds’ NAV. Significant events that could affect a large number of securities in a particular market may include, but are not limited to: situations relating to one or more single issuers in a market sector; significant fluctuations in U.S. or foreign markets; market dislocations; market disruptions or market closings; equipment failures; natural or man-made disasters or acts of God; armed conflicts; government actions or other developments; as well as the same or similar events which may affect specific issuers or the securities markets even though not tied directly to the securities markets. Other significant events that could relate to a single issuer may include, but are not limited to: corporate actions such as reorganizations, mergers and buy-outs; corporate announcements, including those
GOLDMAN SACHS VARIABLE INSURANCE TRUST FUNDS
| 2. SIGNIFICANT ACCOUNTING POLICIES (continued) |
relating to earnings, products and regulatory news; significant litigation; low trading volume; and trading limits or suspensions.
C. Security and Fund Share Transactions, and Investment Income — Security and Fund share transactions are reflected for financial reporting purposes as of the trade date, which may cause the NAV as stated in the accompanying financial statements to be different than the NAV applied to Fund share transactions. Realized gains and losses on sales of portfolio securities are calculated using the identified cost basis. Dividend income is recognized on the ex-dividend date, net of foreign withholding taxes, if any, which are reduced by any amounts reclaimable by the Funds, where applicable. Interest income is recorded on the basis of interest accrued, premium amortized and discount accreted. Realized gains and losses resulting from principal paydowns on mortgage-backed and asset-backed securities are included in interest income. In addition, it is the Funds’ policy to accrue for foreign capital gains taxes, if applicable, on certain foreign securities held by the Funds. An estimated foreign capital gains tax is recorded daily on net unrealized gains on these securities and is payable upon the sale of such securities when a gain is realized.
Net investment income (other than class specific expenses) and unrealized and realized gains or losses are allocated daily to each class of shares of the respective Fund based upon the relative proportion of net assets of each class.
In addition, distributions received from the Funds’ investments in U.S. real estate investment trusts (“REITs”) often include a “return of capital”, which is recorded by the Funds as a reduction of the cost basis of the securities held. The Internal Revenue Code of 1986, as amended (the “Code”) requires a REIT to distribute at least 95% of its taxable income to investors. In many cases, however, because of “non-cash” expenses such as property depreciation, a REIT’s cash flow will exceed its taxable income. The REIT may distribute this excess cash to offer a more competitive yield. This portion of the Funds’ distributions is deemed a return of capital and is generally not taxable to shareholders.
D. Expenses — Expenses incurred by the Trust that do not specifically relate to an individual Fund of the Trust are allocated to the Funds on a straight-line and/or pro-rata basis depending upon the nature of the expense and are accrued daily.
E. Federal Taxes and Distributions to Shareholders — It is each Fund’s policy to comply with the requirements of the Code, applicable to regulated investment companies (mutual funds) and to distribute each year substantially all of its investment company taxable income and capital gains to its shareholders. Accordingly, no federal income tax provisions are required. Distributions to shareholders are recorded on the ex-dividend date. Income and capital gains distributions, if any, are declared and paid according to the following schedule:
| Capital Gains | ||||||||
| Income Distributions | Distributions | |||||||
| Fund | Declared/Paid | Declared/Paid | ||||||
| Core Fixed Income and Government Income | Quarterly | Annually | ||||||
| Equity Index and Growth Opportunities | Annually | Annually | ||||||
Net capital losses are carried forward to future fiscal years and may be used to the extent allowed by the Code to offset any future capital gains. Utilization of capital loss carryforwards will reduce the requirement of future capital gains distributions.
The characterization of distributions to shareholders for financial reporting purposes is determined in accordance with federal income tax rules, which may differ from GAAP. The source of each Fund’s distributions may be shown in the accompanying financial statements as either from net investment income, net realized gain or capital. The Fund’s capital accounts on the Statements of Assets and Liabilities reflect permanent GAAP/tax differences based on the appropriate tax character, but do not reflect temporary differences.
GOLDMAN SACHS VARIABLE INSURANCE TRUST FUNDS
Notes to Financial Statements (continued)
December 31, 2009
| 2. SIGNIFICANT ACCOUNTING POLICIES (continued) |
GSAM has reviewed the Funds’ tax positions for all open tax years (the current and prior three years, as applicable) and has concluded that no provision for income tax is required in the Funds’ financial statements. Such open tax years remain subject to examination and adjustment by tax authorities.
F. Foreign Currency Translations — The books and records of the Funds are accounted for in U.S. dollars. Amounts denominated in foreign currencies are translated into U.S. dollars on the following basis: (i) investment valuations, foreign currency and other assets and liabilities initially expressed in foreign currencies are converted into U.S. dollars based upon 4:00 p.m. Eastern Time exchange rates; and (ii) purchases and sales of foreign investments, income and expenses are converted into U.S. dollars based upon currency exchange rates prevailing on the respective dates of such transactions as of 4:00 p.m. Eastern Time.
Net realized and unrealized gain (loss) on foreign currency transactions represents: (i) foreign exchange gains and losses from the sale and holdings of foreign currencies; (ii) currency gains and losses between trade date and settlement date on investment security transactions and forward exchange contracts; and (iii) gains and losses from the difference between amounts of dividends, interest and foreign withholding taxes recorded and the amounts actually received. The effect of changes in foreign currency exchange rates on equity securities and derivative instruments is included with the net realized and change in unrealized gain (loss) on investments on the Statements of Operations. The effect of changes in foreign currency exchange rates on fixed income securities sold during the period is included with the net realized gain (loss) on foreign currency related transactions, while the effect of changes in foreign currency exchange rates on fixed income securities held at period end is included with the net change in unrealized gain (loss) on investments on the Statements of Operations. Net unrealized foreign exchange gains and losses arising from changes in the value of other assets and liabilities as a result of changes in foreign exchange rates are included as increases and decreases in unrealized gain (loss) on foreign currency related transactions.
Non U.S. currency symbols utilized throughout the report are defined as follows:
EUR = Euro
G. Forward Foreign Currency Exchange Contracts — The Core Fixed Income Fund may enter into forward foreign currency exchange contracts for the purchase or sale of a specific foreign currency at a fixed price on a future date as a hedge or cross-hedge against either specific transactions, portfolio positions, or to seek to increase total return. All contracts are marked to market daily at the applicable forward rate. Unrealized gains or losses on forward foreign currency exchange contracts are recorded by the Fund on a daily basis and realized gains or losses are recorded on the settlement date of a contract.
Risks may arise upon entering into these contracts from the potential inability of counterparties to meet the terms of their contracts and from unanticipated movements in the value of a foreign currency relative to the U.S. dollar.
The contractual amounts of forward foreign currency contracts do not necessarily represent the amounts potentially subject to risk. The measurement of the risks associated with these instruments is meaningful only when all related and offsetting transactions are considered. The Fund must set aside liquid assets, or engage in other appropriate measures to cover its obligations under these contracts.
H. Futures Contracts — The Funds may purchase or sell futures contracts to hedge against changes in interest rates, securities prices, currency exchange rates, or to seek to increase total return. Futures contracts are valued at the last settlement price, or in the absence of a sale, the last bid price, at the end of each day on the board of trade or exchange upon which they are traded. Upon entering into a futures contract, the Funds deposit cash or securities in an account on behalf of the broker in an amount sufficient to meet the initial margin requirement. Subsequent payments are made or received by the Funds equal to the daily change in the contract value and are recorded as variation margin receivable or payable with a corresponding offset in unrealized gains or losses. The Funds recognize a realized gain or loss when a contract is closed or expires.
The use of futures contracts involves, to varying degrees, elements of market and counterparty risk which may exceed the amounts recognized in the Statements of Assets and Liabilities. Futures contracts may be illiquid, and exchanges may
GOLDMAN SACHS VARIABLE INSURANCE TRUST FUNDS
| 2. SIGNIFICANT ACCOUNTING POLICIES (continued) |
limit fluctuations in futures contract prices during a single day. Changes in the value of a futures contract may not directly correlate with changes in the value of the underlying securities. These risks may decrease the effectiveness of the Funds’ strategies and potentially result in a loss. The Funds must set aside liquid assets, or engage in other appropriate measures, to cover their obligations under these contracts.
I. Mortgage-Backed and Asset-Backed Securities — The Core Fixed Income, Government Income and Growth Opportunities Funds may invest in mortgage-backed and/or asset-backed securities. Mortgage-backed securities represent direct or indirect participations in, or are collateralized by and payable from, mortgage loans secured by residential and/or commercial real property. These securities may include mortgage pass-through securities, collateralized mortgage obligations, real estate mortgage investment conduit pass-through or participation certificates and stripped mortgage-backed securities. Asset-backed securities include securities whose principal and interest payments are collateralized by pools of assets such as auto loans, credit card receivables, leases, installment contracts and personal property. Asset-backed securities also include home equity line of credit loans and other second-lien mortgages.
The value of certain mortgage-backed and asset-backed securities (including adjustable rate mortgage loans) may be particularly sensitive to changes in prevailing interest rates. The value of these securities may also fluctuate in response to the market’s perception of the creditworthiness of the issuers. Early repayment of principal on mortgage-backed or asset-backed securities may expose a Fund to the risk of earning a lower rate of return upon reinvestment of principal. Asset-backed securities may present credit risks that are not presented by mortgage-backed securities because they generally do not have the benefit of a security interest in collateral that is comparable to mortgage assets. Some asset-backed securities may only have a subordinated claim on collateral. In addition, while mortgage-backed and asset-backed securities may be supported by some form of government or private guarantee and/or insurance, there is no assurance that private guarantors or insurers, if any, will meet their obligations.
Stripped mortgage-backed securities are usually structured with two different classes: one that receives substantially all of the interest payments (the interest-only, or “IO” and/or the high coupon rate with relatively low principal amount, or “IOette”), and the other that receives substantially all of the principal payments (the principal-only, or “PO”) from a pool of mortgage loans. Little to no principal will be received at the maturity of an IO; as a result, adjustments are made to the cost of the security on a daily basis until maturity. These adjustments are included in interest income. Payments received for PO’s are treated as a proportionate reduction to the cost basis of the securities and excess amounts are recorded as gains.
J. Mortgage Dollar Rolls — The Core Fixed Income and Government Income Funds may enter into mortgage dollar rolls (“dollar rolls”) in which the Funds sell securities in the current month for delivery and simultaneously contracts with the same counterparty to repurchase similar (same type, coupon and maturity) but not identical securities on a specified future date. The Funds treat dollar rolls as two separate transactions: one involving the purchase of a security and a separate transaction involving a sale.
During the settlement period between sale and repurchase, the Funds will not be entitled to accrued interest and principal payments on the securities sold. Dollar roll transactions involve the risk that the market value of the securities sold by the Funds may decline below the repurchase price of those securities. In the event the buyer of the securities in a dollar roll transaction files for bankruptcy or becomes insolvent, the Funds’ use of proceeds from the transaction may be restricted pending a determination by, or with respect to, the counterparty.
K. Treasury Inflation-Protected Securities — The Core Fixed Income and Government Income Funds may invest in Treasury Inflation-Protected Securities (“TIPS”), including structured bonds in which the principal amount is adjusted daily to keep pace with inflation, as measured by the U.S. Consumer Pricing Index for Urban Consumers. The adjustments to principal due to inflation/deflation are reflected as increases/decreases to interest income with a corresponding adjustment to cost. Such adjustments may have a significant impact on the Funds’ distributions and may result in a return of capital to shareholders. The repayment of the original bond principal upon maturity is guaranteed by the full faith and credit of the U.S. Government.
GOLDMAN SACHS VARIABLE INSURANCE TRUST FUNDS
Notes to Financial Statements (continued)
December 31, 2009
| 2. SIGNIFICANT ACCOUNTING POLICIES (continued) |
L. When-Issued Securities and Forward Commitments — The Funds may purchase when-issued securities, including TBA (“To Be Announced”) securities and enter into contracts to purchase or sell securities for a fixed price at a future date beyond the customary settlement period. When-issued securities are securities that have been authorized, but not yet issued in the market. A forward commitment involves entering into a contract to purchase or sell securities for a fixed price at a future date beyond the customary settlement period. The purchase of securities on a when-issued or forward commitment basis involves a risk of loss if the value of the security to be purchased declines before the settlement date. Conversely, the sale of securities on a forward commitment basis involves the risk that the value of the securities sold may increase before the settlement date. Although the Funds will generally purchase securities on a when-issued or forward commitment basis with the intention of acquiring the securities for their portfolios, the Funds may dispose of when-issued securities or forward commitments prior to settlement if GSAM deems it appropriate. When purchasing a security on a when-issued basis or entering into a forward commitment, the Funds must set aside liquid assets, or engage in other appropriate measures to cover their obligations under these contracts. The Funds may dispose of or renegotiate these contracts after they have been entered into and may sell these securities before they are delivered, which may result in a capital gain or loss.
3. AGREEMENTS AND AFFILIATED TRANSACTIONS
A. Management Agreement — Under the Agreement applicable to each Fund, GSAM manages the Funds, subject to the general supervision of the trustees.
As compensation for the services rendered pursuant to the Agreement, the assumption of the expenses related thereto and administration of the Funds’ business affairs, including providing facilities, GSAM is entitled to a management fee computed daily and payable monthly, equal to an annual percentage rate of each Fund’s average daily net assets.
For the fiscal year ended December 31, 2009, contractual management fees with GSAM were at the following rates:
| Contractual Management Rate | ||||||||||||||||||||||||
| First | Next | Next | Next | Over | Effective | |||||||||||||||||||
| $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 | ||||||||||||||||||
The Agreement for the Equity Index Fund provides for a contractual management fee at an annual rate equal to 0.30% of the Fund’s average daily net assets. Effective July 1, 2009, GSAM has voluntarily agreed to waive a portion of its management fees in order to achieve the following effective annual rates:
| Management Rate | ||||
| Over 300 million - | ||||
| $0 - $300 million | $400 million | Over $400 million | ||
| 0.27% | 0.24% | 0.20% | ||
The effective fee was 0.28% for the fiscal year ended December 31, 2009. Prior to June 30, 2009, if the Fund’s average daily net assets were between $300 million and $400 million, 0.05% of the management fee was waived on a voluntary basis. If the Fund’s average daily net assets exceeded $400 million, 0.10% of the management fee was waived on a voluntary basis.
As authorized by the Agreement, GSAM has entered into a Sub-advisory Agreement with SSgA Funds Management, Inc. (“SSgA”) who serves as the sub-adviser to the Equity Index Fund and provides the day-to-day advice regarding the Fund’s portfolio transactions. As compensation for its services, SSgA is entitled to a fee, computed daily and payable monthly by GSAM, at the following annual rates of the Fund’s average daily net assets: 0.03% on the first $50 million,
GOLDMAN SACHS VARIABLE INSURANCE TRUST FUNDS
| 3. AGREEMENTS AND AFFILIATED TRANSACTIONS (continued) |
0.02% on the next $200 million, 0.01% on the next $750 million and 0.008% over $1 billion. The effective Sub-advisory fee was 0.02% for the fiscal year ended December 31, 2009.
B. Distribution Agreement and Service Plan — The Trust, on behalf of the Service Shares of the Funds, has adopted a Distribution and Service Plan (the “Plan”). Under the Plan, Goldman Sachs and/or authorized dealers are entitled to a fee accrued daily and paid monthly for distribution services equal to, on an annual basis, 0.25% of the Funds’ average daily net assets attributable to Service Shares. For the Growth Opportunities Fund, Goldman Sachs has voluntarily agreed to waive distribution and services fees so as not to exceed 0.16% of average daily net assets of the Fund. The waiver may be modified or terminated at any time at the option of Goldman Sachs.
C. Transfer Agency Agreement — Goldman Sachs also serves as the transfer agent of the Funds for a fee pursuant to a Transfer Agency Agreement. The fees charged for such transfer agency services are calculated daily and payable monthly at an annual rate of 0.02% of the average daily net assets of the Funds.
D. Other Agreements — GSAM has voluntarily agreed to limit certain “Other Expenses” (excluding management fees, distribution and service fees, transfer agent fees and expenses, taxes, interest, brokerage fees and litigation, indemnification, shareholder meetings and other extraordinary expenses, exclusive of any custody and transfer agent fee credit reductions) to the extent such expenses exceed, on an annual basis, a percentage rate of the average daily net assets of each Fund. Such expense reimbursements, if any, are computed daily and paid monthly. In addition, the Funds are not obligated to reimburse GSAM for prior fiscal year expense reimbursements, if any. The Other Expense limitations for the Core Fixed Income, Equity Index, Government Income and Growth Opportunities Funds as an annual percentage rate of average daily net assets are 0.004%, 0.004% (effective July 1, 2009), 0.004% and 0.004%, respectively. Prior to July 1, 2009, the Other Expense limitation for Equity Index Fund was 0.064%. These expense limitations may be modified or terminated at any time at the option of GSAM. In addition, the Funds have entered into certain offset arrangements with the transfer agent resulting in a reduction of the Funds’ expenses.
For the fiscal year ended December 31, 2009, these expense reductions, including any fee waivers and Other Expense reimbursements, were as follows (in thousands):
| Distribution | Transfer | |||||||||||||||||||
| Management | and Service | Other Expense | Agent Fee | Total Expense | ||||||||||||||||
| Fund | Fee Waiver | Fee Waiver | Reimbursement | Credit | Reductions | |||||||||||||||
| Core Fixed Income | $ | — | $ | — | $ | 217 | $ | 1 | $ | 218 | ||||||||||
| Equity Index | 29 | — | 137 | 1 | 167 | |||||||||||||||
| Government Income | — | — | 191 | — | * | 191 | ||||||||||||||
| Growth Opportunities | — | 97 | 168 | — | * | 265 | ||||||||||||||
| * | Amount is less than $500. |
As of December 31, 2009, the amounts owed to affiliates of the Funds were as follows (in thousands):
| Management | Distribution and | Transfer | ||||||||||||||
| Fund | Fees | Service Fees | Agent Fees | Total | ||||||||||||
| Core Fixed Income | $63 | $ | 39 | $ | 3 | $ | 105 | |||||||||
| Equity Index | 22 | 42 | 3 | 67 | ||||||||||||
| Government Income | 35 | 16 | 1 | 52 | ||||||||||||
| Growth Opportunities | 107 | 17 | 2 | 126 | ||||||||||||
GOLDMAN SACHS VARIABLE INSURANCE TRUST FUNDS
Notes to Financial Statements (continued)
December 31, 2009
| 3. AGREEMENTS AND AFFILIATED TRANSACTIONS (continued) |
E. Line of Credit Facility — The Funds participate in a $660,000,000 committed, unsecured revolving line of credit facility (the “facility”) together with other funds of the Trust and registered investment companies having management agreements with GSAM or its affiliates. Pursuant to the terms of the facility, the Funds and other borrowers may increase the credit amount by an additional $340,000,000, for a total of up to $1 billion. The facility is to be used solely for temporary or emergency purposes. The interest rate on borrowings is based on the federal funds rate. This facility also requires a fee to be paid by the Funds based on the amount of the commitment that has not been utilized. For the fiscal year ended December 31, 2009, the Funds did not have any borrowings under the facility. Prior to May 12, 2009, the amount available through the facility was $700,000,000.
F. Other Transactions with Affiliates — For the fiscal year ended December 31, 2009, Goldman Sachs earned approximately $3,200, $1,000 and $1,500 in brokerage commissions from portfolio transactions, including futures transactions executed with Goldman Sachs as the Futures Commission Merchant, on behalf of the Core Fixed Income, Government Income and Growth Opportunities Funds, respectively.
4. FAIR VALUE OF INVESTMENTS
The fair value of a financial instrument is the amount that would be received to sell an asset or paid to transfer a liability in an orderly transaction between market participants at the measurement date (i.e., the exit price). GAAP establishes a fair value hierarchy that prioritizes the inputs to valuation techniques used to measure fair value. The hierarchy gives the highest priority to unadjusted quoted prices in active markets for identical assets or liabilities (Level 1 measurements) and the lowest priority to unobservable inputs (Level 3 measurements). The three levels of the fair value hierarchy are described below:
Level 1 — Unadjusted quoted prices in active markets that are accessible at the measurement date for identical, unrestricted assets or liabilities;
Level 2 — Quoted prices in markets that are not active or financial instruments for which all significant inputs are observable, either directly or indirectly;
Level 3 — Prices or valuations that require inputs that are both significant to the fair value measurement and unobservable.
GOLDMAN SACHS VARIABLE INSURANCE TRUST FUNDS
| 4. FAIR VALUE OF INVESTMENTS (continued) |
The following is a summary of the Funds’ investments categorized in the fair value hierarchy:
| Core Fixed Income | Level 1 | Level 2 | Level 3 | |||||||||
Assets | ||||||||||||
| Fixed Income | ||||||||||||
U.S. Treasuries and/or Other U.S. Government Obligations and Agencies | $ | 18,948,720 | $ | 2,786,561 | $ | — | ||||||
| Municipal Debt Obligations | — | 751,530 | — | |||||||||
| Corporate Obligations | — | 35,157,791 | — | |||||||||
| Foreign Debt Obligations | 2,072,566 | 5,717,534 | — | |||||||||
| Government Guarantee Obligations | — | 25,083,998 | — | |||||||||
| Mortgage-Backed Obligations | — | 87,848,356 | — | |||||||||
| Asset-Backed Securities | — | 212,934 | — | |||||||||
| Short-term Investments | 19,631,637 | — | — | |||||||||
| Derivatives | 208,372 | 235,231 | — | |||||||||
| Total | $ | 40,861,295 | $ | 157,793,935 | $ | — | ||||||
Liabilities | ||||||||||||
| Fixed Income | ||||||||||||
| Mortgage-Backed Obligations — Forward Sales Contracts | $ | — | $ | (5,129,297 | ) | $ | — | |||||
| Derivatives | (589,244 | ) | (128,334 | ) | — | |||||||
| Total | $ | (589,244 | ) | $ | (5,257,631 | ) | $ | — | ||||
| Equity Index | Level 1 | Level 2 | Level 3 | |||||||||
Assets | ||||||||||||
Common Stock and/or Other Equity Investments | $ | 195,620,513 | $ | — | $ | — | ||||||
| Short-term Investments | 2,260,670 | — | — | |||||||||
| Derivatives | 18,883 | — | — | |||||||||
| Total | $ | 197,900,066 | $ | — | $ | — | ||||||
GOLDMAN SACHS VARIABLE INSURANCE TRUST FUNDS
Notes to Financial Statements (continued)
December 31, 2009
| 4. FAIR VALUE OF INVESTMENTS (continued) |
| Government Income | Level 1 | Level 2 | Level 3 | |||||||||
Assets | ||||||||||||
| Fixed Income | ||||||||||||
U.S. Treasury and/or Other U.S. Government Obligations and Agencies | $ | 12,254,450 | $ | 13,396,190 | $ | — | ||||||
| Government Guarantee Obligations | — | 10,614,099 | — | |||||||||
| Mortgage-Backed Obligations | — | 39,216,346 | — | |||||||||
| Asset-Backed Securities | — | 553,023 | — | |||||||||
| Short-term Investments | 7,716,385 | — | — | |||||||||
| Derivatives | 16,745 | — | — | |||||||||
| Total | $ | 19,987,580 | $ | 63,779,658 | $ | — | ||||||
Liabilities | ||||||||||||
| Fixed Income | ||||||||||||
| Mortgage-Backed Obligations — Forward Sales Contracts | $ | — | $ | (2,052,656 | ) | $ | — | |||||
| Derivatives | (73,289 | ) | — | — | ||||||||
| Total | $ | (73,289 | ) | $ | (2,052,656 | ) | $ | — | ||||
| Growth Opportunities | Level 1 | Level 2 | Level 3 | |||||||||
Assets | ||||||||||||
Common Stock and/or Other Equity Investments | $ | 125,301,983 | $ | — | $ | — | ||||||
| Securities Lending Reinvestment Vehicle | — | 11,690,523 | — | |||||||||
| Short-term Investments | 2,831,248 | — | — | |||||||||
| Total | $ | 128,133,231 | $ | 11,690,523 | $ | — | ||||||
5. INVESTMENTS IN DERIVATIVES
The Funds may make investments in derivative instruments, including, but not limited to, options, futures, swaps and other derivatives relating to foreign currency transactions. A derivative is an instrument whose value is derived from underlying assets, indices, reference rates or a combination of these factors. Derivative instruments may be privately negotiated contracts (often referred to as over the counter (“OTC”) derivatives) or they may be listed and traded on an exchange. Derivative contracts may involve future commitments to purchase or sell financial instruments or commodities at specified terms on a specified date, or to exchange interest payment streams or currencies based on a notional or contractual amount. Derivative instruments may involve a high degree of financial risk. The use of derivatives also involves the risk of loss if the investment adviser is incorrect in its expectation of the timing or level of fluctuations in securities prices, interest rates or currency prices. Investments in derivative instruments also include the risk of default by the counterparty, the risk that the investment may not be liquid and the risk that a small movement in the price of the underlying security or benchmark may result in a disproportionately large movement, unfavorable or favorable, in the price of the derivative instrument.
GOLDMAN SACHS VARIABLE INSURANCE TRUST FUNDS
| 5. INVESTMENTS IN DERIVATIVES (continued) |
GAAP requires enhanced disclosures about the Funds’ derivatives and hedging activities. The following tables set forth the gross value of the Funds’ derivative contracts for trading activities by certain risk types as of December 31, 2009. The values in the tables below exclude the effects of cash received or posted pursuant to derivative contracts, and therefore are not representative of the Funds’ net exposure.
Core Fixed Income
| Statements of | Statements of | Average | ||||||||||||||||
| Assets and Liabilities | Derivative | Assets and Liabilities | Derivative | Number of | ||||||||||||||
| Risk | Location | Assets | Location | Liabilities | Contracts(b) | |||||||||||||
| Interest rate | Unrealized gain on futures(a) | $ | 208,372 | Unrealized loss on futures(a) | $ | (589,244 | ) | 357 | ||||||||||
| Currency | Forward foreign currency exchange contracts, at value | 235,231 | Forward foreign currency exchange contracts, at value | (128,334 | ) | 46 | ||||||||||||
| Total | $ | 443,603 | $ | (717,578 | ) | 403 | ||||||||||||
Equity Index
| Statements of | Statements of | Average | ||||||||||||||||
| Assets and Liabilities | Derivative | Assets and Liabilities | Derivative | Number of | ||||||||||||||
| Risk | Location | Assets | Location | Liabilities | Contracts(b) | |||||||||||||
| Equity | Unrealized gain on futures(a) | $ | 18,883 | Unrealized loss on futures(a) | $ | — | 54 | |||||||||||
Government Income
| Statements of | Statements of | Average | ||||||||||||||||
| Assets and Liabilities | Derivative | Assets and Liabilities | Derivative | Number of | ||||||||||||||
| Risk | Location | Assets | Location | Liabilities | Contracts(b) | |||||||||||||
| Interest rate | Unrealized gain on futures(a) | $ | 16,745 | Unrealized loss on futures(a) | $ | (73,289 | ) | 127 | ||||||||||
| (a) | Includes cumulative appreciation (depreciation) on futures contracts described in the Additional Investment Information sections of the Schedules of Investments. Only current day’s variation margin is reported within the Statements of Assets and Liabilities. | |
| (b) | Average number of contracts is based on the average of quarter end balances for the period ended December 31, 2009. |
GOLDMAN SACHS VARIABLE INSURANCE TRUST FUNDS
Notes to Financial Statements (continued)
December 31, 2009
| 5. INVESTMENTS IN DERIVATIVES (continued) |
The following tables set forth by certain risk types the Funds’ gains (losses) related to derivative activities and their indicative volumes for the fiscal year ended December 31, 2009. These gains (losses) should be considered in the context that derivative contracts may have been executed to economically hedge securities and accordingly, gains or losses on derivative contracts may offset losses or gains attributable to securities. These gains (losses) are included in “Net realized gain (loss)” or “Net change in unrealized gain (loss)” on the Statements of Operations:
Core Fixed Income
| Net Change in | ||||||||||
| Net Realized Gain | Unrealized Gain | |||||||||
| Risk | Statements of Operations Location | (Loss) | (Loss) | |||||||
| Interest rate | Net realized gain (loss) from futures transactions/ Net change in unrealized gain (loss) on futures | $ | 1,778,578 | $ | (1,540,668 | ) | ||||
| Currency | Net realized gain (loss) from foreign currency related transactions/Net change in unrealized gain (loss) on translation of assets and liabilities denominated in foreign currencies | (43,218 | ) | 169,162 | ||||||
| Total | $ | 1,735,360 | $ | (1,371,506 | ) | |||||
Equity Index
| Net Change in | ||||||||||
| Net Realized Gain | Unrealized Gain | |||||||||
| Risk | Statements of Operations Location | (Loss) | (Loss) | |||||||
| Equity | Net realized gain (loss) from futures transactions/ Net change in unrealized gain (loss) on futures | $ | 497,948 | $ | (83,811 | ) | ||||
Government Income
| Net Change in | ||||||||||
| Net Realized Gain | Unrealized Gain | |||||||||
| Risk | Statements of Operations Location | (Loss) | (Loss) | |||||||
| Interest Rate | Net realized gain (loss) from futures transactions/ Net change in unrealized gain (loss) on futures | $ | 1,210,574 | $ | (862,390 | ) | ||||
GOLDMAN SACHS VARIABLE INSURANCE TRUST FUNDS
6. PORTFOLIO SECURITIES TRANSACTIONS
The cost of purchases and proceeds from sales and maturities of long-term securities for the fiscal year ended December 31, 2009, were as follows:
| Sales and | ||||||||||||||||
| Purchases | Sales and | Maturities | ||||||||||||||
| Purchases of U.S. | (Excluding U.S. | Maturities of U.S. | (Excluding U.S. | |||||||||||||
| Government and | Government and | Government and | Government and | |||||||||||||
| Fund | Agency Obligations | Agency Obligations) | Agency Obligations | Agency Obligations) | ||||||||||||
| Core Fixed Income | $ | 457,182,134 | $ | 60,000,714 | $ | 481,881,785 | $ | 77,946,387 | ||||||||
| Equity Index | — | 8,798,055 | — | 35,854,962 | ||||||||||||
| Government Income | 359,404,428 | 5,704,295 | 373,359,716 | 14,270,724 | ||||||||||||
| Growth Opportunities | — | 75,054,288 | — | 94,745,944 | ||||||||||||
7. SECURITIES LENDING
Pursuant to exemptive relief granted by the Securities and Exchange Commission and the terms and conditions contained therein, the Growth Opportunities Fund may lend its securities through a securities lending agent, Goldman Sachs Agency Lending (“GSAL”), a wholly-owned subsidiary of Goldman Sachs, to certain qualified borrowers including Goldman Sachs and affiliates. In accordance with the Fund’s securities lending procedures, the Fund receives cash collateral at least equal to the market value of the securities on loan. The market value of the loaned securities is determined at the close of business of the Fund at their last sale price or official closing price on the principal exchange or system on which they are traded, and any additional required collateral is delivered to the Fund on the next business day. As with other extensions of credit, the Fund may experience a delay in the recovery of its securities or incur a loss should the borrower of the securities breach its agreement with the Fund or become insolvent at a time when the collateral is insufficient to cover the cost of repurchasing securities on loan.
The Fund invests the cash collateral received in connection with securities lending transactions in the Enhanced Portfolio of Boston Global Investment Trust (“Enhanced Portfolio”), a Delaware statutory trust. The Enhanced Portfolio, deemed an affiliate of the Trust, is exempt from registration under Section 3(c)(7) of the Act and is managed by GSAM, for which GSAM may receive an investment advisory fee of up to 0.10% on an annualized basis of the average daily net assets of the Enhanced Portfolio. The Enhanced Portfolio invests primarily in short-term investments, but is not a “money market fund” subject to the requirements of Rule 2a-7 of the Act. The Fund’s investment of cash collateral in the Enhanced Portfolio is subject to a net asset value that may fall or rise due to market and credit conditions.
Both the Fund and GSAL receive compensation relating to the lending of the Fund’s securities. The amounts earned by the Fund for the fiscal year ended December 31, 2009, are reported as securities lending income. A portion of this amount, $24,382, represents compensation earned by the Fund from lending its securities to Goldman Sachs. For the fiscal year ended December 31, 2009, GSAM earned $10,419 in fees as securities lending agent for the Fund. The amount payable to Goldman Sachs upon return of securities loaned as of December 31, 2009 was $1,525,399 for the Fund.
GOLDMAN SACHS VARIABLE INSURANCE TRUST FUNDS
Notes to Financial Statements (continued)
December 31, 2009
| 7. SECURITIES LENDING (continued) |
The following table provides information about Fund’s investment in the Enhanced Portfolio for the fiscal year ended December 31, 2009 (in thousands):
| Number of | ||||||||||||||||||||
| Shares Held | Number of | |||||||||||||||||||
| Beginning | Shares | Shares | Shares Held End | Value at End | ||||||||||||||||
| Fund | of Fiscal Year | Bought | Sold | of Fiscal Year | of Fiscal Year | |||||||||||||||
| Growth Opportunities | 11,271 | 93,241 | (92,821 | ) | 11,691 | $ | 11,691 | |||||||||||||
8. TAX INFORMATION
The tax character of distributions paid during the fiscal year ended December 31, 2009 was as follows:
| Core Fixed Income | Equity Index | Government Income | Growth Opportunities | |||||||||||||
| Distributions paid from: | ||||||||||||||||
| Ordinary income | $ | 8,665,024 | $ | 3,577,759 | $ | 3,389,319 | $ | — | ||||||||
| Net long-term capital gains | — | — | 349,355 | — | ||||||||||||
| Total taxable distributions | $ | 8,665,024 | $ | 3,577,759 | $ | 3,738,674 | $ | — | ||||||||
The tax character of distributions paid during the fiscal year ended December 31, 2008 was as follows:
| Core Fixed Income | Equity Index | Government Income | Growth Opportunities | |||||||||||||
| Distributions paid from: | ||||||||||||||||
| Ordinary income | $ | 11,427,285 | $ | 4,660,991 | $ | 3,988,324 | $ | 558,507 | ||||||||
| Net long-term capital gains | — | 8,990,030 | — | 2,369,718 | ||||||||||||
| Total taxable distributions | $ | 11,427,285 | $ | 13,651,021 | $ | 3,988,324 | $ | 2,928,225 | ||||||||
As of December 31, 2009, the components of accumulated earnings (losses) on a tax basis were as follows:
| Core Fixed Income | Equity Index | Government Income | Growth Opportunities | |||||||||||||
| Undistributed ordinary income — net | $ | 441,412 | $ | 344,613 | $ | 106,011 | $ | — | ||||||||
Capital loss carryforward:1 | ||||||||||||||||
| Expiring 2010 | $ | — | $ | (13,380,657 | ) | $ | — | $ | — | |||||||
| Expiring 2011 | — | (8,097,717 | ) | — | — | |||||||||||
| Expiring 2012 | — | (2,961,297 | ) | — | — | |||||||||||
| Expiring 2014 | (4,813,823 | ) | — | — | — | |||||||||||
| Expiring 2017 | (5,639,128 | ) | (4,082,503 | ) | — | (18,895,925 | ) | |||||||||
| Total capital loss carryforward | $ | (10,452,951 | ) | $ | (28,522,174 | ) | $ | — | $ | (18,895,925 | ) | |||||
| Timing differences (post — October losses and straddle loss deferral) | (10,779,188 | ) | 1,318 | (2,142,524 | ) | (718,959 | ) | |||||||||
| Unrealized gains (losses) — net | (255,748 | ) | (8,707,730 | ) | 248,881 | 14,289,440 | ||||||||||
| Total accumulated losses — net | $ | (21,046,475 | ) | $ | (36,883,973 | ) | $ | (1,787,632 | ) | $ | (5,325,444 | ) | ||||
| 1 | Expiration occurs on December 31 of the year indicated. Utilization of these losses may be substantially limited under the Code. The Equity Index Fund had capital loss carryforwards of approximately $13,381,000 that expired in the current fiscal year. |
GOLDMAN SACHS VARIABLE INSURANCE TRUST FUNDS
| 8. TAX INFORMATION (continued) |
As of December 31, 2009, the Funds’ aggregate security unrealized gains and losses based on cost for U.S. federal income tax purposes was as follows:
| Fund | Core Fixed Income | Equity Index | Government Income | Growth Opportunities | ||||||||||||
| Tax cost | $ | 198,548,809 | $ | 206,588,913 | $ | 83,537,081 | $ | 125,534,314 | ||||||||
| Gross unrealized gain | 4,414,394 | 27,580,214 | 1,264,031 | 18,746,432 | ||||||||||||
| Gross unrealized loss | (4,751,576 | ) | (36,287,944 | ) | (1,050,619 | ) | (4,456,992 | ) | ||||||||
| Net unrealized security gain (loss) | $ | (337,182 | ) | $ | (8,707,730 | ) | $ | 213,412 | $ | 14,289,440 | ||||||
| Net unrealized gain on other investments | 81,434 | — | 35,469 | — | ||||||||||||
| Net unrealized gain (loss) | $ | (255,748 | ) | $ | (8,707,730 | ) | $ | 248,881 | $ | 14,289,440 | ||||||
The difference between GAAP-basis and tax-basis unrealized gains (losses) is attributable primarily to wash sales, net mark to market gains (losses) on regulated futures and forward foreign currency exchange contracts and differences related to the tax treatment of partnership and underlying fund investments and securities on loan.
In order to present certain components of the Funds’ capital accounts on a tax basis, certain reclassifications have been recorded to the Funds’ accounts. These reclassifications have no impact on the net asset value of the Funds and result primarily from expired capital loss carryforwards, and net investment losses and the difference in tax treatment of foreign currency transactions, underlying fund investments, inflation protected securities and paydown gains.
| Accumulated | ||||||||||||
| Accumulated Net | Undistributed Net | |||||||||||
| Realized Gain | Investment Income | |||||||||||
| Fund | Paid-in Capital | (Loss) | (Loss) | |||||||||
| Core Fixed Income | $ | 1,701 | $ | (498,717 | ) | $ | 497,016 | |||||
| Equity Index | (13,380,757 | ) | 13,387,253 | (6,496 | ) | |||||||
| Government Income | — | (256,976 | ) | 256,976 | ||||||||
| Growth Opportunities | (444,625 | ) | — | 444,625 | ||||||||
9. OTHER RISKS
Market and Credit Risks — In the normal course of business, the Funds trade financial instruments and enter into financial transactions where risk of potential loss exists due to changes in the market (market risk). Additionally, the Funds may also be exposed to credit risk in the event that an issuer fails to perform or that an institution or entity with which the Funds have unsettled or open transaction defaults.
Risks of Large Shareholder Redemptions — Certain participating insurance companies, accounts, or Goldman Sachs affiliates may from time to time own (beneficially or of record) or control a significant percentage of the Funds’ shares. Redemptions by these participating insurance companies or accounts in the Funds may impact the Funds’ liquidity and NAV. These redemptions may also force the Funds to sell securities, which may increase the Funds’ brokerage costs.
GOLDMAN SACHS VARIABLE INSURANCE TRUST FUNDS
Notes to Financial Statements (continued)
December 31, 2009
10. INDEMNIFICATIONS
Under the Trust’s organizational documents, its trustees, officers, employees and agents are indemnified, to the extent permitted by the Act, against certain liabilities that may arise out of performance of their duties to the Funds. Additionally, in the course of business, the Funds enter into contracts that contain a variety of indemnification clauses. The Funds’ maximum exposure under these arrangements is unknown, as this would involve future claims that may be made against the Funds that have not yet occurred. However, GSAM believes the risk of loss under these arrangements to be remote.
11. OTHER MATTERS
New Accounting Pronouncement — In May 2009, the FASB issued FASB Accounting Standards Codification (“ASC”) 855 “Subsequent Events”. This standard requires disclosure in the financial statements to reflect the effects of subsequent events that provide additional information on conditions about the financial statements as of the balance sheet date (recognized subsequent events) and disclosure of subsequent events that provide additional information about conditions after the balance sheet date if the financial statements would otherwise be misleading (unrecognized subsequent events). ASC 855 is effective for interim and annual financial statements issued for fiscal years ending after June 15, 2009. For purposes of inclusion in the financial statements, GSAM has concluded that subsequent events after the balance sheet date have been evaluated through February 16, 2010, the date that the financial statements were issued.
Report of Independent Registered Public Accounting Firm
To the Board of Trustees and Shareholders of Goldman Sachs Variable Insurance Trust:
In our opinion, the accompanying statements of assets and liabilities, including the schedules of investments, and the related statements of operations and of changes in net assets and the financial highlights present fairly, in all material respects, the financial position of Goldman Sachs Core Fixed Income Fund, Goldman Sachs Equity Index Fund, Goldman Sachs Government Income Fund and Goldman Sachs Growth Opportunities Fund (collectively the “Funds”), portfolios of Goldman Sachs Variable Insurance Trust, at December 31, 2009, the results of each of their operations for the year then ended, the changes in each of their net assets for each of the two years in the period then ended and the financial highlights for each of the five years in the period then ended, in conformity with accounting principles generally accepted in the United States of America. These financial statements and financial highlights (hereafter referred to as “financial statements”) are the responsibility of the Funds’ management. Our responsibility is to express an opinion on these financial statements based on our audits. We conducted our audits of these financial statements in accordance with the standards of the Public Company Accounting Oversight Board (United States). Those standards require that we plan and perform the audits to obtain reasonable assurance about whether the financial statements are free of material misstatement. An audit includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements, assessing the accounting principles used and significant estimates made by management, and evaluating the overall financial statement presentation. We believe that our audits, which included confirmation of securities at December 31, 2009 by correspondence with the custodian, brokers and transfer agent, provide a reasonable basis for our opinion. The financial highlights of the Funds for the period ended December 31, 2006 and prior were audited by another Independent Registered Public Accounting Firm whose report dated February 14, 2007 expressed an unqualified opinion on those financial highlights.
PricewaterhouseCoopers LLP
Boston, Massachusetts
February 16, 2010
GOLDMAN SACHS VARIABLE INSURANCE TRUST FUNDS
Fund Expenses — Six Month Period Ended December 31, 2009 (Unaudited)
As a shareholder of the Service Shares of the Funds, you incur ongoing costs, including management fees; distribution and service (12b-1) fees; and other Fund expenses. This example is intended to help you understand your ongoing costs (in dollars) of investing in the Funds and to compare these costs with the ongoing costs of investing in other mutual funds.
The example is based on an investment of $1,000 invested at the beginning of the period and held for the entire period from July 1, 2009 through December 31, 2009.
Actual Expenses — The first line under each share class in the table below provides information about actual account values and actual expenses. You may use the information in this line, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number in the first line under the heading “Expenses Paid” to estimate the expenses you paid on your account during this period.
Hypothetical Example for Comparison Purposes — The second line under each share class in the table below provides information about hypothetical account values and hypothetical expenses based on the Funds’ actual net expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Funds’ actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Funds and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds.
Please note that the expenses shown in the table are meant to highlight your ongoing costs only. As a shareholder of the Funds, you do not incur any transaction costs, such as sales charges, redemption fees, or exchange fees, but shareholders of other funds may incur such costs. The second line of the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds whose shareholders may incur transaction costs.
| 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 | |||||||||||||||||||||||||||||||||||||||||||||||||
| 7/01/09 | 12/31/09 | 12/31/09* | 7/01/09 | 12/31/09 | 12/31/09* | 7/01/09 | 12/31/09 | 12/31/09* | 7/01/09 | 12/31/09 | 12/31/09* | |||||||||||||||||||||||||||||||||||||||||||||||||
| Actual | $ | 1,000 | $ | 1,090.00 | $ | 3.53 | $ | 1,000 | $ | 1,222.20 | $ | 3.30 | $ | 1,000 | $ | 1,041.50 | $ | 4.17 | $ | 1,000 | $ | 1,291.30 | $ | 6.81 | ||||||||||||||||||||||||||||||||||||
| Hypothetical 5% return | 1,000 | 1,021.83 | + | 3.41 | 1,000 | 1,022.23 | + | 3.01 | 1,000 | 1,021.12 | + | 4.13 | 1,000 | 1,019.26 | + | 6.01 | ||||||||||||||||||||||||||||||||||||||||||||
| * | 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 December 31, 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 | 0.59 | |||
| 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. |
62
GOLDMAN SACHS VARIABLE INSURANCE TRUST FUNDS
Trustees and Officers (Unaudited)
Independent Trustees
| Number of | ||||||||||
| Term of | Portfolios in | |||||||||
| Office and | Fund Complex | Other | ||||||||
| Name, | Position(s) Held | Length of | Principal Occupation(s) | Overseen by | Directorships | |||||
| Address and Age1 | with the Trust | Time Served2 | During Past 5 Years | Trustee3 | Held by Trustee4 | |||||
| Ashok N. Bakhru Age: 67 | Chairman of the Board of Trustees | Since 1991 | President, ANB Associates (July 1994-March 1996 and November 1998-Present); Director, Apollo Investment Corporation (a business development company) (October 2008-Present); Executive Vice President—Finance and Administration and Chief Financial Officer and Director, Coty Inc. (manufacturer of fragrances and cosmetics) (April 1996-November 1998); Director of Arkwright Mutual Insurance Company (1984-1999); Trustee of International House of Philadelphia (program center and residential community for students and professional trainees from the United States and foreign countries) (1989-2004); Member of Cornell University Council (1992-2004 and 2006-Present); Trustee of the Walnut Street Theater (1992-2004); Trustee, Scholarship America (1998-2005); Trustee, Institute for Higher Education Policy (2003-2008); Director, Private Equity Investors—III and IV (November 1998-2007), and Equity-Limited Investors II (April 2002-2007); and Chairman, Lenders Service Inc. (provider of mortgage lending service s) (2000-2003). Chairman of the Board of Trustees—Goldman Sachs Mutual Fund Complex. | 96 | Apollo Investment Corporation (a business development company) | |||||
| John P. Coblentz, Jr. Age: 68 | Trustee | Since 2003 | Partner, Deloitte & Touche LLP (June 1975-May 2003); Director, Emerging Markets Group, Ltd. (2004-2006); and Director, Elderhostel, Inc. (2006-Present). Trustee—Goldman Sachs Mutual Fund Complex. | 96 | None | |||||
| Diana M. Daniels Age: 60 | Trustee | Since 2007 | Ms. Daniels is retired (since January 2007). Formerly, she was Vice President, General Counsel and Secretary, The Washington Post Company (1991-2006). Ms. Daniels is Chairman of the Executive Committee, Cornell University (2006-Present); Member, Advisory Board, Psychology Without Borders (international humanitarian aid organization) (since 2007), and former Member of the Legal Advisory Board, New York Stock Exchange (2003-2006) and of the Corporate Advisory Board, Standish Mellon Management Advisors (2006-2007). Trustee—Goldman Sachs Mutual Fund Complex. | 96 | None | |||||
| Patrick T. Harker Age: 51 | Trustee | Since 2000 | President, University of Delaware (July 2007-Present); Dean and Reliance Professor of Operations and Information Management, The Wharton School, University of Pennsylvania (February 2000-June 2007); Interim and Deputy Dean, The Wharton School, University of Pennsylvania (July 1999-January 2000); and Professor and Chairman of Department of Operations and Information Management, The Wharton School, University of Pennsylvania (July 1997-August 2000). Trustee—Goldman Sachs Mutual Fund Complex. | 96 | Pepco Holdings, Inc. (an energy delivery company) | |||||
| Jessica Palmer Age: 60 | Trustee | Since 2007 | Consultant, Citigroup Human Resources Department (2007-2008); Managing Director, Citigroup Corporate and Investment Banking (previously, Salomon Smith Barney/Salomon Brothers) (1984-2006). Ms. Palmer is a Member of the Board of Trustees of Indian Mountain School (private elementary and secondary school) (2004-Present). Trustee—Goldman Sachs Mutual Fund Complex. | 96 | None | |||||
GOLDMAN SACHS VARIABLE INSURANCE TRUST FUNDS
Trustees and Officers (Unaudited) (continued)
Independent Trustees
| Number of | ||||||||||
| Term of | Portfolios in | |||||||||
| Office and | Fund Complex | Other | ||||||||
| Name, | Position(s) Held | Length of | Principal Occupation(s) | Overseen by | Directorships | |||||
| Address and Age1 | with the Trust | Time Served2 | During Past 5 Years | Trustee3 | Held by Trustee4 | |||||
| Richard P. Strubel Age: 70 | Trustee | Since 1987 | Director, Cardean Learning Group (provider of educational services via the internet) (2003-2008); President, COO and Director, Cardean Learning Group (1999-2003); Director, Cantilever Technologies, Inc. (a private software company) (1999-2005); Audit Committee Chairman, The University of Chicago (2006-Present); Trustee, The University of Chicago (1987-Present); and Managing Director, Tandem Partners, Inc. (management services firm) (1990-1999). Trustee—Goldman Sachs Mutual Fund Complex. | 96 | Gildan Activewear Inc. (a clothing marketing and manufacturing company); The Northern Trust Mutual Fund Complex (58 Portfolios) (Chairman of the Board of Trustees). | |||||
Interested Trustees
| Number of | ||||||||||
| Term of | Portfolios in | |||||||||
| Office and | Fund Complex | Other | ||||||||
| Name, | Position(s) Held | Length of | Principal Occupation(s) | Overseen by | Directorships | |||||
| Address and Age1 | with the Trust | Time Served2 | During Past 5 Years | Trustee3 | Held by Trustee4 | |||||
| James A. McNamara* Age: 47 | President and Trustee | Since 2007 | Managing Director, Goldman Sachs (December 1998-Present); Director of Institutional Fund Sales, GSAM (April 1998-December 2000); and Senior Vice President and Manager, Dreyfus Institutional Service Corporation (January 1993-April 1998). President—Goldman Sachs Mutual Fund Complex (November 2007-Present); Senior Vice President—Goldman Sachs Mutual Fund Complex (May 2007-November 2007); and Vice President—Goldman Sachs Mutual Fund Complex (2001-2007). Trustee—Goldman Sachs Mutual Fund Complex (since November 2007 and December 2002-May 2004). | 96 | None | |||||
| Alan A. Shuch* Age: 60 | Trustee | Since 1990 | Advisory Director—GSAM (May 1999-Present); Consultant to GSAM (December 1994-May 1999); and Limited Partner, Goldman Sachs (December 1994-May 1999). Trustee—Goldman Sachs Mutual Fund Complex. | 96 | None | |||||
| * | These persons are considered to be “Interested Trustees” because they hold positions with Goldman Sachs and own securities issued by The Goldman Sachs Group, Inc. Each Interested Trustee holds comparable positions with certain other companies of which Goldman Sachs, GSAM or an affiliate thereof is the investment adviser, administrator and/or distributor. | |
| 1 | Each Trustee may be contacted by writing to the Trustee, c/o Goldman Sachs, One New York Plaza, 37th Floor, New York, New York, 10004, Attn: Peter V. Bonanno. | |
| 2 | Each Trustee holds office for an indefinite term until the earliest of: (a) the election of his or her successor; (b) the date the Trustee resigns or is removed by the Board of Trustees or shareholders, in accordance with the Trust’s Declaration of Trust; (c) the conclusion of the first Board meeting held subsequent to the day the Trustee attains the age of 72 years (in accordance with the current resolutions of the Board of Trustees, which may be changed by the Trustees without shareholder vote); or (d) the termination of the Trust. | |
| 3 | The Goldman Sachs Mutual Fund Complex consists of the Trust, Goldman Sachs Municipal Opportunity Fund, Goldman Sachs Credit Strategies Fund, and Goldman Sachs Trust. As of December 31, 2009, the Trust consisted of 11 portfolios, Goldman Sachs Trust consisted of 83 portfolios (of which 82 offered shares to the public) and the Goldman Sachs Municipal Opportunity Fund did not offer shares to the public. | |
| 4 | This column includes only directorships of companies required to report to the SEC under the Securities Exchange Act of 1934 (i.e., “public companies”) or other investment companies registered under the Act. |
Additional information about the Trustees is available in the Funds’ Statement of Additional Information which can be obtained from Goldman Sachs free of charge by calling this toll-free number (in the United States of America): 1-800-292-4726.
GOLDMAN SACHS VARIABLE INSURANCE TRUST FUNDS
Trustees and Officers (Unaudited) (continued)
Officers of the Trust*
| Term of | ||||||
| Office and | ||||||
| Position(s) Held | Length of | |||||
| Name, Address and Age | With the Trust | Time Served1 | Principal Occupation(s) During Past 5 Years | |||
| James A. McNamara 32 Old Slip New York, NY 10005 Age: 47 | President and Trustee | Since 2007 | Managing Director, Goldman Sachs (December 1998-Present); Director of Institutional Fund Sales, GSAM (April 1998-December 2000); and Senior Vice President and Manager, Dreyfus Institutional Service Corporation (January 1993-April 1998). President—Goldman Sachs Mutual Fund Complex (November 2007-Present); Senior Vice President—Goldman Sachs Mutual Fund Complex (May 2007-November 2007); and Vice President—Goldman Sachs Mutual Fund Complex (2001-2007). Trustee—Goldman Sachs Mutual Fund Complex (since November 2007 and December 2002-May 2004). | |||
| George F. Travers 30 Hudson Street Jersey City, NJ 07032 Age: 42 | Senior Vice President and Principal Financial Officer | Since 2009 | Managing Director, Goldman Sachs (2007-present); Managing Director, UBS Ag (2005-2007); and Partner, Deloitte & Touche LLP (1990-2005, partner from 2000-2005) Senior Vice President and Principal Financial Officer—Goldman Sachs Mutual Fund Complex. | |||
| Peter V. Bonanno One New York Plaza New York, NY 10004 Age: 42 | Secretary | Since 2003 | Managing Director, Goldman Sachs (December 2006-Present); Associate General Counsel, Goldman Sachs (2002-Present); Vice President, Goldman Sachs (1999-2006); and Assistant General Counsel, Goldman Sachs (1999-2002). Secretary—Goldman Sachs Mutual Fund Complex (2006-Present); and Assistant Secretary—Goldman Sachs Mutual Fund Complex (2003-2006). | |||
| Scott M. McHugh 32 Old Slip New York, NY 10005 Age: 38 | Treasurer and Senior Vice President | Since 2009 | Vice President, Goldman Sachs (February 2007-Present); Assistant Treasurer of certain mutual funds administered by DWS Scudder (2005-2007); and Director (2005-2007), Vice President (2000-2005), Assistant Vice President (1998-2000), Deutsche Asset Management or its predecessor (1998-2007). Treasurer—Goldman Sachs Mutual Fund Complex (October 2009-Present); Senior Vice President—Goldman Sachs Mutual Fund Complex (November 2009-Present); and Assistant Treasurer—Goldman Sachs Mutual Fund Complex (May 2007-October 2009). | |||
| 1 | Officers hold office at the pleasure of the Board of Trustees or until their successors are duly elected and qualified. Each officer holds comparable positions with certain other companies of which Goldman Sachs, GSAM or an affiliate thereof is the investment adviser, administrator and/or distributor. | |
| * | Represents a partial list of officers of the Trust. Additional information about all the officers is available in the Funds’ Statement of Additional Information which can be obtained from Goldman Sachs free of charge by calling this toll-free number (in the United States): 1-800-292-4726. |
Goldman Sachs Variable Insurance Trust — Tax Information (Unaudited)
For the year ended December 31, 2009, 100%, of the dividends paid from net investment company taxable income by the Equity Index Fund qualify for the dividends received deduction available to corporations.
Pursuant to Section 852 of the Internal Revenue Code, the Government Income Fund designates $349,355 or, if different, the maximum amount allowable, as capital gain dividends paid during the year ended December 31, 2009.
During the year ended December 31, 2009, the Government Income Fund designates $582,427 as short-term capital gain dividends pursuant to Section 871(k) of the Internal Revenue Code.
| TRUSTEES | OFFICERS | |
Ashok N. Bakhru, Chairman | James A. McNamara, President | |
| John P. Coblentz, Jr. | George F. Travers, Principal Financial Officer | |
| Diana M. Daniels | Peter V. Bonanno, Secretary | |
| Patrick T. Harker | Scott M. McHugh, Treasurer | |
| 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. | ||
| A prospectus for the Funds containing more complete information may be obtained from your authorized dealer or from Goldman, Sachs & Co. by calling (retail — 1-800-526-7384) (institutional — 1-800-621-2550). Please consider a fund’s objectives, risks, and charges and expenses, and read the prospectus carefully before investing. The prospectus contains this and other information about the Funds. | ||
| The 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. When available, the Funds’ Forms N-Q may be reviewed and copied at the SEC’s Public Reference Room in Washington, D.C. and information on the operation of the Public Reference Room may also be obtained by calling 1-800-SEC-0330. 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 for the Fund. Please consider the 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 2010 Goldman, Sachs & Co. All rights reserved. | ||
| VITSVCSAR10/32290.MF.TMPL/02-10 | ||
| ITEM 2. | CODE OF ETHICS. |
| (a) | As of the end of the period covered by this report, the registrant has adopted a code of ethics that applies to the registrant’s principal executive officer, principal financial officer, principal accounting officer or controller, or persons performing similar functions, regardless of whether these individuals are employed by the registrant or a third party (the “Code of Ethics”). | |||
| (b) | During the period covered by this report, no amendments were made to the provisions of the Code of Ethics. | |||
| (c) | During the period covered by this report, the registrant did not grant any waivers, including an implicit waiver, from any provision of the Code of Ethics. | |||
| (d) | A copy of the Code of Ethics is available as provided in Item 12(a)(1) of this report. |
| ITEM 3. | AUDIT COMMITTEE FINANCIAL EXPERT. | |
| The registrant’s board of trustees has determined that the registrant has at least one “audit committee financial expert” (as defined in Item 3 of Form N-CSR) serving on its audit committee. John P. Coblentz, Jr. is the “audit committee financial expert” and is “independent” (as each term is defined in Item 3 of Form N-CSR). |
| ITEM 4. | PRINCIPAL ACCOUNTANT FEES AND SERVICES. |
Item 4 — Principal Accountant Fees and Services for the Goldman Sachs Variable Insurance Trust:
Table 1 – Items 4(a) -4(d)
| 2009 | 2008 | Description of Services Rendered | ||||||||
| Audit Fees: | ||||||||||
| • PricewaterhouseCoopers (“PwC”) | $ | 340,075 | $ | 284,500 | Financial statement audits. | |||||
| Audit-Related Fees | ||||||||||
| PwC | $ | 5,158 | $ | 10,000 | Other attest services. | |||||
| Tax Fees | ||||||||||
| PwC | $ | 75,700 | $ | 76,450 | Tax compliance services provided in connection with the preparation and review of the Registrant’s tax returns. | |||||
Items 4(b)(c) & (d) Table 2. Non-Audit Services to the Goldman Sachs Variable Insurance Trust’s service affiliates * that were pre-approved by the Goldman Sachs Variable Insurance Trust’s Audit Committee pursuant to Rule 2-01(c)(7)(ii) of Regulation S-X
| 2009 | 2008 | Description of Services Rendered | ||||||||
| Audit-Related Fees | ||||||||||
| PwC | $ | 1,509,000 | $ | 1,259,000 | Internal control review performed in accordance with Statement on Auditing Standards No. 70. These fees are borne by the Funds’ adviser. | |||||
| * | These include the advisor (excluding sub-advisors) and any entity controlling, controlled by or under common control with the advisor that provides ongoing services to the registrant (hereinafter referred to as “service affiliates”). |
Item 4(e)(1) – Audit Committee Pre Approval Policies and Procedures
Pre-Approval of Audit and Non-Audit Services Provided to the Funds of the Goldman Sachs Variable Insurance Trust. The Audit and Non-Audit Services Pre-Approval Policy (the “Policy”) adopted by the Audit Committee of Goldman Sachs Variable Insurance Trust (“GSVIT”) sets forth the procedures and the conditions pursuant to which services performed by an independent auditor for GSVIT may be pre-approved. Services may be pre-approved specifically by the Audit Committee as a whole or, in certain circumstances, by the Audit Committee Chairman or the person designated as the Audit Committee Financial Expert. In addition, subject to specified cost limitations, certain services may be pre-approved under the provisions of the Policy. The Policy provides that the Audit Committee will consider whether the services provided by an independent auditor are consistent with the Securities and Exchange Commission’s rules on auditor independence. The Policy provides for periodic review and pre-approval by the Audit Committee of the services that may be provided by the independent auditor.
De Minimis Waiver. The pre-approval requirements of the Policy may be waived with respect to the provision of non-audit services that are permissible for an independent auditor to perform, provided (1) the aggregate amount of all such services provided constitutes no more than five percent of the total amount of revenues subject to pre-approval that was paid to the independent auditors during the fiscal year in which the services are provided; (2) such services were not recognized by GSVIT at the time of the engagement to be non-audit services; and (3) such services are promptly brought to the attention of the Audit Committee and approved prior to the completion of the audit by the Audit Committee or by one or more members of the Audit Committee to whom authority to grant such approvals has been delegated by the Audit Committee, pursuant to the pre-approval provisions of the Policy.
Pre-Approval of Non-Audit Services Provided to GSVIT’s Investment Advisers. The Policy provides that, in addition to requiring pre-approval of audit and non-audit services provided to GSVIT, the Audit Committee will pre-approve those non-audit services provided to GSVIT’s investment advisers (and entities controlling, controlled by or under common control with the investment advisers that provide ongoing services to GSVIT) where the engagement relates directly to the operations or financial reporting of GSVIT.
Item 4(e)(2) — 0% of the audit-related fees, tax fees and other fees listed in Table 1 were approved by GSVIT’s Audit Committee pursuant to the “de minimis” exception of Rule 2-01(c)(7)(i)(C) of Regulation S-X. In addition, 0% of the non-audit services to the GSVIT’s service affiliates listed in Table 2 were approved by GSVIT’s Audit Committee pursuant to the “de minimis” exception of Rule 2-01(c)(7)(i)(C) of Regulation S-X.
Item 4(f) — Not applicable.
Items 4(g) Aggregate Non-Audit Fees Disclosure
The aggregate non-audit fees billed to GSVIT for the twelve months ended December 31, 2009 and December 31, 2008 by PricewaterhouseCoopers LLP (“PwC”) were approximately $80,858 and $86,450, respectively.
The aggregate non-audit fees billed to GSVIT’s adviser and service affiliates for non-audit services for the twelve months ended December 31, 2009 and December 31, 2008 by PwC were approximately $5.8 million and $5.8 million, respectively.
Items 4(h) — GSVIT’s Audit Committee has considered whether the provision of non-audit services to GSVIT’s investment advisor and service affiliates that did not require pre-approval pursuant to paragraph (c)(7)(ii) of Rule 2-01 of Regulation S-X is compatible with maintaining the auditor’s independence.
| ITEM 5. | AUDIT COMMITTEE OF LISTED REGISTRANTS. |
| Not applicable. |
| ITEM 6. | SCHEDULE OF INVESTMENTS |
| Schedule of Investments is included as part of the 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) | Goldman Sachs Variable Insurance Trust’s Code of Ethics for Principal Executive and Senior Financial officers is incorporated by reference to Exhibit 11(a)(1) of the Registrant’s Form N-CSR filed on March 8, 2004 (accession number 0000950123-04-002976) | |||
| (a)(2) | Exhibit 99.CERT Exhibit 99.906CERT | Certifications pursuant to Section 302 of the Sarbanes-Oxley Act of 2002 filed herewith Certifications pursuant to Section 906 of the Sarbanes-Oxley Act of 2002 filed herewith |
SIGNATURES
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.
| Goldman Sachs Variable Insurance Trust | ||
| /s/ James A. McNamara | ||
| By: James A. McNamara | ||
| Chief Executive Officer of | ||
| Goldman Sachs Variable Insurance Trust | ||
| Date: February 25, 2010 | ||
| Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated. | ||
/s/ James A. McNamara | ||
| By: James A. McNamara | ||
| Chief Executive Officer of | ||
| Goldman Sachs Variable Insurance Trust | ||
| Date: February 25, 2010 | ||
/s/ Geoge F. Travers | ||
| By: George F. Travers | ||
| Chief Financial Officer of | ||
| Goldman Sachs Variable Insurance Trust | ||
| Date: February 25, 2010 | ||