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. | Geoffrey R.T. Kenyon, Esq. | |
| 200 West Street | Dechert LLP | |
| New York, NY 10282 | 200 Clarendon Street | |
| 27th Floor Boston, MA 02116-5021 | ||
| (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, 2010
| ITEM 1. | REPORTS TO STOCKHOLDERS. | |
| The Annual Reports to Stockholders are filed herewith. |
Goldman
Sachs Variable Insurance Trust
Goldman Sachs
Large Cap Value Fund
Annual Report
December 31, 2010
 |
GOLDMAN SACHS VARIABLE INSURANCE TRUST LARGE CAP VALUE FUND
Principal Investment Strategies and Risks
Shares of the Goldman Sachs Variable Insurance Trust — Goldman Sachs Large Cap Value Fund are offered to separate accounts of participating life insurance companies for the purpose of funding variable annuity contracts and variable life insurance policies. Shares of the Fund are not offered directly to the general public. The variable annuity contracts and variable life insurance policies are described in the separate prospectuses issued by participating insurance companies. You should refer to those prospectuses for information about surrender charges, mortality and expense risk fees and other charges that may be assessed by participating insurance companies under the variable annuity contracts or variable life insurance policies. Such fees or charges, if any, may affect the return you realize with respect to your investments. Ask your representative for more complete information. Please consider the Fund’s objective, risks and charges and expenses, and read the Prospectus carefully before investing. The Prospectus contains this and other information about the Fund.
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GOLDMAN SACHS VARIABLE INSURANCE TRUST LARGE 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 performance of Goldman Sachs Variable Insurance Trust (“VIT”) — Goldman Sachs Large Cap Value Fund (formerly, Goldman Sachs Growth and Income Fund) (the “Fund”) and positioning for the 12-month period ended December 31, 2010 (the “Reporting Period”).
How did the Fund perform during the Reporting Period?
During the Reporting Period, the Fund’s Institutional and Service Shares generated average annual total returns of 11.20% and 10.89%, respectively. These returns compare to the 15.51% 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.
Were there any significant changes in the Fund’s investment approach during the Reporting Period?
Effective April 30, 2010, the Goldman Sachs VIT Growth and Income Fund was renamed Goldman Sachs VIT Large Cap Value Fund. The Fund’s performance benchmark and anticipated fees and expenses remained the same, but the investment objective and strategies of the Fund did change. The Fund’s objective is now long-term capital appreciation. The Fund seeks 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 (based upon shares available for trading on an unrestricted basis) within the range of the market capitalization of companies constituting the Russell Index at the time of investment. If the market capitalization of a company held by the Fund moves outside this range, the Fund may, but is not required to, sell the securities. As of December 31, 2010, the capitalization range of the Russell Index was between $251 million and $369 billion. The Fund seeks 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.
What economic and market factors most influenced the equity markets as a whole during the Reporting Period?
U.S. equities began 2010 with their strongest annual start in over a decade, despite a lack of conviction from underlying economic data. While housing and labor data remained mixed, investors opted to view this, in combination with statements from the Federal Reserve Board (the Fed), as supportive of ongoing accommodative monetary policy. Further, increasing levels of corporate cash, high productivity and significant cost cutting fueled expectations of forthcoming business spending and corporate profits. Investor sentiment turned sharply in late April, and the U.S. equity market broke a four-quarter winning streak with a sharp drop in the second quarter that erased modest gains from the previous quarter and sent most major equity indices into negative territory for the first half of the Reporting Period. The equity markets reflected investor angst regarding the health of Europe’s financial system and the potential that the continent’s sovereign debt dilemma could spark another financial crisis. At the same time, investors became increasingly concerned about growing evidence that the global economy might be losing steam. Indeed, U.S. markets were doused with a number of disappointing economic readings at the end of June. Adding pressure were China’s attempts to cool its nation’s property market along with a decline in Chinese leading economic indicators that fueled fears of slowing global demand.
In the third quarter, U.S. equities roared back. The quarter featured strong corporate earnings announcements as well as news that the U.S. had officially come out of its economic recession in June. Still, concerns remained about the pace of the recovery, evidenced by the Fed’s signaling a willingness to take further action if necessary. U.S. equities indices, for example, S&P 500 capped 2010 on a note of optimism. Positive data points from December included robust retail sales figures and strong increases in purchasing and manufacturing surveys.
For the Reporting Period overall, economically-sensitive, cyclical stocks led returns, as investors focused on the strong growth and demand from outside the developed markets. In turn, the consumer discretionary sector, particularly auto stocks,
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GOLDMAN SACHS VARIABLE INSURANCE TRUST LARGE CAP VALUE FUND
and the industrials and materials sectors, performed best. More traditionally defensive sectors, such as utilities and health care, lagged. Notably, the U.S. equity market outpaced the developed international equity markets, as investors gained confidence in the U.S. economic recovery. U.S. markets also reflected confidence in continued accommodative monetary and fiscal policy, most recently evidenced by the extension of tax cuts. Consistent with investor optimism and preference for cyclical exposure, small-cap and mid-cap stocks significantly outperformed large-cap stocks during the Reporting Period as a whole. Similarly, growth-oriented stocks outpaced value-oriented stocks across the capitalization spectrum. (Market segments are as measured by the Russell Indices.)
The Russell Index rose 15.51% during the Reporting Period. The year was marked by a challenging stock-picking environment, with high stock correlations offering limited differentiation between winners and losers. Indeed, 2010 peak correlation was at 82% above the long term average. Among value-oriented sectors, regulatory uncertainty was most pronounced, as health care, financials and energy — each facing significant reform — comprise over half of the Russell Index. Another phenomenon impacting value-oriented stocks overall was that higher yielding stocks meaningfully outperformed during the Reporting Period despite slower earnings growth and, sometimes, weaker fundamentals.
What key factors were responsible for the Fund’s performance during the Reporting Period?
Stock selection overall detracted most from the Fund’s performance relative to the Russell Index during the Reporting Period.
Which equity market sectors most significantly affected Fund performance?
Effective stock selection and overweighted positions in the strongly-performing materials, industrials and information technology sectors helped the Fund’s performance most relative to the Russell Index. Detracting most from the Fund’s relative results was stock selection in the consumer staples, financials and energy sectors, where company-specific issues weighed on certain holdings.
What were some of the Fund’s best-performing individual stocks?
The Fund benefited most relative to the Russell Index from positions in diversified mining and natural resources company Cliffs Natural Resources * of the materials sector and conglomerate Honeywell International of the industrials sector.
Cliffs Natural Resources, the only public iron ore company in the U.S., performed well during the Reporting Period, benefiting from improved volume, lower fixed costs and higher pricing. The company’s shares also rose as it reported better-than-anticipated earnings and raised guidance.
Honeywell International, a major conglomerate that produces a variety of consumer products, engineering services and aerospace systems, was also a top contributor to the Fund’s results during the Reporting Period. Honeywell International benefited from strong and proactive management as well as from the fruitful results of restructuring efforts made in 2008 and 2009.
Which stocks detracted significantly from the Fund’s performance during the Reporting Period?
Detracting most from the Fund’s results relative to the Russell Index were positions in beverage, snack and food business giant PepsiCo of the consumer staples sector and diversified banking institution Bank of America of the financials sector.
PepsiCo reported that its third quarter earnings were in line with consensus estimates. However, its shares fell after the company announced its operating profits were weaker than expected, primarily due to softer margins as PepsiCo continued to invest in its brand. In addition, the company lowered its earnings guidance as PepsiCo plans to accelerate its investment initiatives in U.S. beverages and emerging markets. Despite its disappointing returns, we held the position in the Fund as we continued to have conviction in the company. We believe its management has a strong track record of making disciplined capital allocation decisions. Further, in our view, PepsiCo should be well positioned due to its strong brand recognition, cost saving synergies from the acquisition of its bottlers, and long-term growth opportunities in the emerging markets.
Bank of America was a top detractor during the Reporting Period. The company came under pressure when a hedge fund presented estimates that Bank of America may face $45 billion in potential new losses associated with mortgage put-backs for the company. (A mortgage put-back occurs when an investor in a mortgage-backed security successfully demands that a bank repurchase the underlying mortgages that do not adequately satisfy the representations and warranties the bank made about the mortgages when it originally sold the security. A bank can be forced to repurchase the mortgages at par under certain circumstances.) While repurchases themselves were not a new factor, “private label” mortgage securities (or
* Position no longer held by the Fund.
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GOLDMAN SACHS VARIABLE INSURANCE TRUST LARGE CAP VALUE FUND
securitized mortgages by private institutions) were a new source of potential problems that the market had not analyzed. We believe the stock’s sell-off was overdone and that the company should be able to manage through the repurchases given its significant reserves and strong capital base.
How did the Fund use derivatives during the Reporting Period?
The Fund did not use derivatives during the Reporting Period.
Did the Fund make any significant purchases or sales during the Reporting Period?
During the Reporting Period, we added to global franchises with increased exposure to developing market revenue streams as well as secular growth stories with what we believed to be compelling valuations. For example, we initiated a Fund position in Israel-based health care company Teva Pharmaceutical during the Reporting Period. Teva Pharmaceutical should be a global leader in the generic drug market that derives more than half its revenues from the U.S. We believe the company is well positioned to benefit from the wave of patent expirations in 2012-13. In addition to its leading global generics business, Teva Pharmaceutical owns a handful of branded franchises, including most notably the biotech drug Copaxone, which has the leading share in treating multiple sclerosis.
Within the energy sector, we are constructive on select oil services names that are both levered to a continued recovery in oil prices and that should benefit from a strong international up-cycle for oil services anticipated to materialize in the next couple of years. As such, during the Reporting Period we initiated a Fund position in Schlumberger, a leading global oil service franchise with strong market share in deepwater drilling. We also favored Schlumberger because of its strong management team and balance sheet.
During the second half of the Reporting Period, we sought to take advantage of the market rally to realize gains and redeploy capital into securities that we believed had more upside potential. For example, in health care, we sold out of the Fund’s position in Johnson & Johnson, a pharmaceutical, medical devices and consumer packaged goods manufacturer, taking profits in order to invest in stocks with higher upside potential within the sector.
In utilities, we exited the Fund’s position in FirstEnergy due to declining power prices that negatively impacted a subsidiary of the company. Despite having a strong dividend yield, we were concerned about FirstEnergy’s ability to achieve strong returns in that pricing environment.
Were there any notable changes in the Fund’s weightings during the Reporting Period?
In constructing the Fund’s portfolio, we focus on picking stocks rather than on making industry or sector bets. We seek to outpace the Russell Index by overweighting stocks that we expect to outperform and underweighting those that we think may lag. Consequently, changes in the Fund’s sector weights are generally the direct result of individual stock selection or of stock appreciation or depreciation. That said, during the Reporting Period, the Fund’s exposure to financials, consumer discretionary and industrials increased compared to the Russell Index. The Fund’s allocations compared to the Russell Index in health care, energy and telecommunication services decreased.
How was the Fund positioned relative to the Russell Index at the end of the Reporting Period?
At the end of December 2010, the Fund had overweighted positions relative to the Russell Index in the consumer discretionary, financials, industrials, materials and information technology sectors. On the same date, the Fund had underweighted positions compared to the Russell Index in telecommunication services, energy, health care and utilities and was rather neutrally weighted to the Russell Index in consumer staples.
What is the Fund’s tactical view and strategy for the months ahead?
At the end of the Reporting Period, we believed there were many reasons to be constructive on the U.S. equity market in 2011. In our view, valuations were compelling on both absolute and relative levels, and companies were exhibiting strong fundamentals, with improving corporate profits and balance sheets. We believe that high cash levels and strong balance sheets bode well for capital expenditure — the fuel for long-term growth. We also expect management teams to be focused on capital redeployment through mergers and acquisitions, share buybacks and deleveraging of balance sheets, thereby providing further catalyst for growth. Also, in our view, recent government actions have created an environment that is more conducive for businesses to grow.
Given this backdrop, we believe the coming year should be fertile ground for stock picking. The trends that were headwinds for stock pickers in 2010, including historically high levels of correlation, started, by the end of the Reporting Period, to reverse. The market appears to be shifting its focus from the macro, i.e. broad economic, political and monetary conditions,
4
GOLDMAN SACHS VARIABLE INSURANCE TRUST LARGE CAP VALUE FUND
to the micro, i.e. company specifics, now that valuation and volatility levels have normalized from extremes. A recent increase in merger and acquisition activity appears to have contributed to the trend toward greater stock level differentiation, especially between higher and lower quality stocks trading, at the end of the Reporting Period, at comparable valuations. Further, there seems to have been a reduction of regulatory uncertainty with the passage of financial reform and health care reform and more clarity is expected on drilling requirements and best practices in energy in 2011.
The combination of these factors, we believe, should create a favorable stock picking environment in 2011, particularly for our investment approach. We maintain our discipline as we seek companies with strong or improving fundamentals, led by quality management teams focused on creating shareholder value. 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.
5
FUND BASICS
Large Cap Value Fund
as of December 31, 2010
STANDARDIZED AVERAGE ANNUAL TOTAL RETURNS1
| For the period ended 12/31/10 | One Year | Five Years | Ten Years | Since Inception | Inception Date | |||||||||||||||
| Institutional | 11.20 | % | 1.40 | % | 2.84 | % | 2.64 | % | 1/12/98 | |||||||||||
| Service | 10.89 | N/A | N/A | −5.50 | 7/24/07 | |||||||||||||||
1 The Standardized Average Annual Total Returns are average annual total returns as of the most recent calendar quarter-end. They assume reinvestment of all distributions at net asset value (“NAV”). Because VIT Funds do not involve a sales charge, such a charge is not applied to their Standardized Total Returns.
Total return figures in the above chart represent past performance and do not indicate future results, which will vary. The investment return and principal value of an investment will fluctuate and, therefore, an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance may be lower or higher than the total return figures in the above chart. Please visit www.goldmansachsfunds.com/vit to obtain the most recent month-end returns. Performance reflects expense limitations in effect. In their absence, performance would be reduced.
EXPENSE RATIOS2
| Net Expense Ratio (Current) | Gross Expense Ratio (Before Waivers) | |||||||||
| Institutional | 0.81 | % | 0.81 | % | ||||||
| Service | 1.06 | 1.06 | ||||||||
2 The expense ratios of the Fund, both current (net of applicable fee waivers and/or expense limitations) and before waivers (gross of applicable fee waivers and/or expense limitations), are as set forth above according to the most recent publicly available Prospectuses for the Fund and may differ from the expense ratios disclosed in the Financial Highlights in this report. Applicable waivers and expense limitations may be modified or terminated in the future, consistent with the terms of any agreements in place. If this occurs, the expense ratios may change without shareholder approval.
TOP TEN HOLDINGS AS OF 12/31/103
| Holding | % of Net Assets | Line of Business | ||||||
| JPMorgan Chase & Co. | 4.6 | % | Diversified Financials | |||||
| General Electric Co. | 4.2 | Capital Goods | ||||||
| Occidental Petroleum Corp. | 3.8 | Energy | ||||||
| Bank of America Corp. | 3.2 | Diversified Financials | ||||||
| Merck & Co., Inc. | 3.0 | Pharmaceuticals, Biotechnology & Life Sciences | ||||||
| Newfield Exploration Co. | 2.8 | Energy | ||||||
| U.S. Bancorp | 2.7 | Banks | ||||||
| Honeywell International, Inc. | 2.5 | Capital Goods | ||||||
| Prudential Financial, Inc. | 2.4 | Insurance | ||||||
| Comcast Corp. Class A | 2.3 | Media | ||||||
3 The top 10 holdings may not be representative of the Fund’s future investments.
6
FUND BASICS
FUND vs. BENCHMARK SECTOR ALLOCATIONS4
As of December 31, 2010
4 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 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. Short-term investments represent investments in investment companies other than those that are exchange traded.
GOLDMAN SACHS VARIABLE INSURANCE TRUST LARGE CAP VALUE FUND
Performance Summary
December 31, 2010
The following graph shows the value, as of December 31, 2010, of a $10,000 investment made on January 1, 2001 in the Institutional Shares at NAV. 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.
Large Cap Value Fund’s 10 Year Performance
Performance of a $10,000 investment, with distributions reinvested, from January 1, 2001 through December 31, 2010.
Average Annual Total Return through December 31, 2010 | One Year | Five Years | Ten Years | Since Inception | ||||||||||||
Institutional (Commenced January 12, 1998) | 11.20 | % | 1.40 | % | 2.84 | % | 2.64 | % | ||||||||
Service (Commenced July 24, 2007) | 10.89 | % | N/A | N/A | −5.50 | % | ||||||||||
GOLDMAN SACHS VARIABLE INSURANCE TRUST LARGE CAP VALUE FUND
Schedule of Investments
December 31, 2010
| Shares | Description | Value | ||||||||
Common Stocks – 98.5% | ||||||||||
| Automobiles & Components – 3.6% | ||||||||||
| 873,973 | Ford Motor Co.* | $ | 14,674,007 | |||||||
| 340,282 | General Motors Co.* | 12,542,795 | ||||||||
| 401,617 | Johnson Controls, Inc. | 15,341,769 | ||||||||
| 42,558,571 | ||||||||||
| Banks – 6.1% | ||||||||||
| 338,964 | PNC Financial Services Group, Inc. | 20,581,894 | ||||||||
| 680,561 | SunTrust Banks, Inc. | 20,083,355 | ||||||||
| 1,166,765 | U.S. Bancorp | 31,467,652 | ||||||||
| 72,132,901 | ||||||||||
| Capital Goods – 10.2% | ||||||||||
| 167,144 | Emerson Electric Co. | 9,555,623 | ||||||||
| 2,699,590 | General Electric Co. | 49,375,501 | ||||||||
| 552,512 | Honeywell International, Inc. | 29,371,538 | ||||||||
| 201,013 | Illinois Tool Works, Inc. | 10,734,094 | ||||||||
| 324,108 | The Boeing Co. | 21,151,288 | ||||||||
| 120,188,044 | ||||||||||
| Consumer Durables & Apparel – 1.5% | ||||||||||
| 603,566 | Newell Rubbermaid, Inc. | 10,972,830 | ||||||||
| 59,216 | Polo Ralph Lauren Corp. | 6,568,239 | ||||||||
| 17,541,069 | ||||||||||
| Diversified Financials – 13.2% | ||||||||||
| 2,791,808 | Bank of America Corp. | 37,242,719 | ||||||||
| 95,544 | Franklin Resources, Inc. | 10,625,448 | ||||||||
| 585,311 | Invesco Ltd. | 14,082,582 | ||||||||
| 1,289,691 | JPMorgan Chase & Co. | 54,708,692 | ||||||||
| 1,440,230 | SLM Corp.* | 18,132,496 | ||||||||
| 260,138 | State Street Corp. | 12,054,795 | ||||||||
| 298,580 | The Bank of New York Mellon Corp. | 9,017,116 | ||||||||
| 155,863,848 | ||||||||||
| Energy – 10.3% | ||||||||||
| 85,928 | EOG Resources, Inc. | 7,854,678 | ||||||||
| 456,725 | Newfield Exploration Co.* | 32,934,440 | ||||||||
| 452,714 | Occidental Petroleum Corp. | 44,411,243 | ||||||||
| 203,516 | Range Resources Corp. | 9,154,150 | ||||||||
| 172,265 | Schlumberger Ltd. | 14,384,128 | ||||||||
| 534,203 | Weatherford International Ltd.* | 12,179,828 | ||||||||
| 120,918,467 | ||||||||||
| Food & Staples Retailing – 1.5% | ||||||||||
| 505,444 | CVS Caremark Corp. | 17,574,288 | ||||||||
| Food, Beverage & Tobacco – 7.0% | ||||||||||
| 442,691 | Archer-Daniels-Midland Co. | 13,316,146 | ||||||||
| 741,622 | General Mills, Inc. | 26,394,327 | ||||||||
| 413,597 | PepsiCo, Inc. | 27,020,292 | ||||||||
| 520,588 | Unilever NV | 16,346,463 | ||||||||
| 83,077,228 | ||||||||||
| Health Care Equipment & Services – 4.0% | ||||||||||
| 496,887 | Baxter International, Inc. | 25,152,420 | ||||||||
| 390,778 | WellPoint, Inc.* | 22,219,637 | ||||||||
| 47,372,057 | ||||||||||
| Household & Personal Products – 0.7% | ||||||||||
| 132,351 | The Procter & Gamble Co. | 8,514,140 | ||||||||
| Insurance – 9.4% | ||||||||||
| 316,224 | Aflac, Inc. | 17,844,520 | ||||||||
| 154,600 | Everest Re Group Ltd. | 13,113,172 | ||||||||
| 323,614 | Marsh & McLennan Companies, Inc. | 8,847,607 | ||||||||
| 482,853 | Prudential Financial, Inc. | 28,348,300 | ||||||||
| 474,477 | The Allstate Corp. | 15,126,327 | ||||||||
| 490,868 | The Hartford Financial Services Group, Inc. | 13,003,093 | ||||||||
| 263,105 | The Travelers Companies, Inc. | 14,657,579 | ||||||||
| 110,940,598 | ||||||||||
| Materials – 4.2% | ||||||||||
| 114,894 | Freeport-McMoRan Copper & Gold, Inc. | 13,797,620 | ||||||||
| 312,061 | LyondellBasell Industries NV Class A* | 10,734,898 | ||||||||
| 734,890 | The Dow Chemical Co. | 25,089,145 | ||||||||
| 49,621,663 | ||||||||||
| Media – 5.4% | ||||||||||
| 962,143 | CBS Corp. Class B | 18,328,824 | ||||||||
| 1,252,771 | Comcast Corp. Class A | 27,523,379 | ||||||||
| 929,880 | DISH Network Corp. Class A* | 18,281,441 | ||||||||
| 64,133,644 | ||||||||||
| Pharmaceuticals, Biotechnology & Life Sciences – 6.7% | ||||||||||
| 308,918 | Biogen Idec, Inc.* | 20,712,952 | ||||||||
| 969,015 | Merck & Co., Inc. | 34,923,301 | ||||||||
| 438,470 | Teva Pharmaceutical Industries Ltd. ADR | 22,857,441 | ||||||||
| 78,493,694 | ||||||||||
| Retailing – 0.8% | ||||||||||
| 164,412 | Kohl’s Corp.* | 8,934,148 | ||||||||
| Semiconductors & Semiconductor Equipment – 0.9% | ||||||||||
| 334,300 | Texas Instruments, Inc. | 10,864,750 | ||||||||
| Software & Services – 3.6% | ||||||||||
| 391,805 | Adobe Systems, Inc.* | 12,059,758 | ||||||||
| 168,311 | BMC Software, Inc.* | 7,934,181 | ||||||||
| 18,027 | Google, Inc. Class A* | 10,707,497 | ||||||||
| 188,845 | Microsoft Corp. | 5,272,552 | ||||||||
| 201,428 | Oracle Corp. | 6,304,696 | ||||||||
| 42,278,684 | ||||||||||
| Technology Hardware & Equipment – 2.0% | ||||||||||
| 1,019,857 | EMC Corp.* | 23,354,725 | ||||||||
| Telecommunication Services – 1.9% | ||||||||||
| 5,383,036 | Sprint Nextel Corp.* | 22,770,242 | ||||||||
GOLDMAN SACHS VARIABLE INSURANCE TRUST LARGE CAP VALUE FUND
Schedule of Investments (continued)
December 31, 2010
| Shares | Description | Value | ||||||||
Common Stocks – (continued) | ||||||||||
| Utilities – 5.5% | ||||||||||
| 513,850 | American Electric Power Co., Inc. | 18,488,323 | ||||||||
| 266,528 | Entergy Corp. | 18,878,178 | ||||||||
| 117,352 | NextEra Energy, Inc. | 6,101,131 | ||||||||
| 439,611 | PG&E Corp. | 21,030,990 | ||||||||
| 64,498,622 | ||||||||||
TOTAL COMMON STOCKS | ||||||||||
| (Cost $1,030,443,219) | $ | 1,161,631,383 | ||||||||
| Shares | Rate | Value | ||||||||
Short-term Investment(a) – 3.2% | ||||||||||
| JPMorgan U.S. Government Money Market Fund – Capital Shares | ||||||||||
| 37,319,215 | 0.043% | $ | 37,319,215 | |||||||
| (Cost $37,319,215) | ||||||||||
TOTAL INVESTMENTS – 101.7% | ||||||||||
| (Cost $1,067,762,434) | $ | 1,198,950,598 | ||||||||
| LIABILITIES IN EXCESS OF OTHER ASSETS – (1.7)% | (19,564,934 | ) | ||||||||
NET ASSETS – 100.0% | $ | 1,179,385,664 | ||||||||
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) | Variable rate security. Interest rate disclosed is that which is in effect at December 31, 2010. |
GOLDMAN SACHS VARIABLE INSURANCE TRUST LARGE CAP VALUE FUND
Statement of Assets and Liabilities
December 31, 2010
| Assets: | ||||||
| Investments in securities, at value (identified cost $1,067,762,434) | $ | 1,198,950,598 | ||||
| Receivables: | ||||||
Investment securities sold | 3,034,086 | |||||
Dividends | 2,060,050 | |||||
Fund shares sold | 747,096 | |||||
| Total assets | 1,204,791,830 | |||||
| Liabilities: | ||||||
| Payables: | ||||||
Fund shares redeemed | 23,247,409 | |||||
Investment securities purchased | 1,167,691 | |||||
Amounts owed to affiliates | 893,809 | |||||
| Accrued expenses | 97,257 | |||||
| Total liabilities | 25,406,166 | |||||
| Net Assets: | ||||||
| Paid-in capital | 1,157,221,308 | |||||
| Accumulated undistributed net investment income | 1,795,970 | |||||
| Accumulated net realized loss from investment transactions | (110,819,778 | ) | ||||
| Net unrealized gain on investments | 131,188,164 | |||||
| NET ASSETS | $ | 1,179,385,664 | ||||
| Net Assets: | ||||||
Institutional | $ | 507,146,449 | ||||
Service | 672,239,215 | |||||
| Total Net Assets | $ | 1,179,385,664 | ||||
| Shares of beneficial interest outstanding $0.001 par value (unlimited shares authorized): | ||||||
Institutional | 49,534,663 | |||||
Service | 65,714,481 | |||||
| Net asset value, offering and redemption price per share: | ||||||
Institutional | 10.24 | |||||
Service | 10.23 | |||||
GOLDMAN SACHS VARIABLE INSURANCE TRUST LARGE CAP VALUE FUND
Statement of Operations
For the Fiscal Year Ended December 31, 2010
| Investment income: | ||||||
| Dividends | $ | 17,955,599 | ||||
| Securities lending income — affiliated issuer | 6,110 | |||||
| Total investment income | 17,961,709 | |||||
| Expenses: | ||||||
| Management fees | 7,366,601 | |||||
| Distribution and Service fees — Service Class | 1,258,319 | |||||
| Transfer Agent fees(a) | 196,992 | |||||
| Printing and mailing costs | 148,937 | |||||
| Professional fees | 75,186 | |||||
| Custody and accounting fees | 62,625 | |||||
| Trustee fees | 16,748 | |||||
| Other | 30,600 | |||||
| Total expenses | 9,156,008 | |||||
| NET INVESTMENT INCOME | 8,805,701 | |||||
| Realized and unrealized gain (loss) from investment transactions: | ||||||
| Net realized gain from: | ||||||
Investment transactions — unaffiliated issuers (including commissions recaptured of $17,852) | 61,352,448 | |||||
Securities lending reinvestment vehicle transactions — affiliated issuer | 5,417 | |||||
| Net change in unrealized gain (loss) on: | ||||||
Investments — unaffiliated issuers | 51,694,335 | |||||
Securities lending reinvestment vehicle — affiliated issuer | (18,174 | ) | ||||
| Net realized and unrealized gain from investment transactions | 113,034,026 | |||||
| NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS | $ | 121,839,727 | ||||
| (a) | Institutional and Service Shares had Transfer Agent fees of $96,334 and $100,658, respectively. |
GOLDMAN SACHS VARIABLE INSURANCE TRUST LARGE CAP VALUE FUND
Statements of Changes in Net Assets
| For the | For the | |||||||||
| Fiscal Year Ended | Fiscal Year Ended | |||||||||
| December 31, 2010 | December 31, 2009 | |||||||||
| From operations: | ||||||||||
| Net investment income | $ | 8,805,701 | $ | 12,981,115 | ||||||
| Net realized gain (loss) from investment transactions | 61,357,865 | (99,361,706 | ) | |||||||
| Net change in unrealized gain on investments | 51,676,161 | 221,989,424 | ||||||||
| Net increase in net assets resulting from operations | 121,839,727 | 135,608,833 | ||||||||
| Distributions to shareholders: | ||||||||||
| From net investment income | ||||||||||
Institutional Shares | (3,935,813 | ) | (7,802,114 | ) | ||||||
Service Shares | (3,969,754 | ) | (5,684,192 | ) | ||||||
| Total distributions to shareholders | (7,905,567 | ) | (13,486,306 | ) | ||||||
| From share transactions: | ||||||||||
| Proceeds from sales of shares | 355,441,232 | 407,132,916 | ||||||||
| Reinvestment of distributions | 7,905,567 | 13,486,306 | ||||||||
| Cost of shares redeemed | (176,911,161 | ) | (120,763,642 | ) | ||||||
| Net increase in net assets resulting from share transactions | 186,435,638 | 299,855,580 | ||||||||
| TOTAL INCREASE | 300,369,798 | 421,978,107 | ||||||||
| Net assets: | ||||||||||
| Beginning of year | 879,015,866 | 457,037,759 | ||||||||
| End of year | $ | 1,179,385,664 | $ | 879,015,866 | ||||||
| Accumulated undistributed net investment income | $ | 1,795,970 | $ | 2,314,488 | ||||||
GOLDMAN SACHS VARIABLE INSURANCE TRUST LARGE CAP VALUE FUND
Financial Highlights
Selected Data for a Share Outstanding Throughout Each Year
| Income (loss) from | ||||||||||||||||||||||||||||||||||||||||||||||||||||||
| investment operations | Distributions to shareholders | Ratio of | ||||||||||||||||||||||||||||||||||||||||||||||||||||
| Net | Ratio of | Ratio of | net | |||||||||||||||||||||||||||||||||||||||||||||||||||
| Net asset | realized | From | Net asset | Net assets, | net | total | investment | |||||||||||||||||||||||||||||||||||||||||||||||
| value, | Net | and | Total from | From net | net | value, | end of | 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, | ||||||||||||||||||||||||||||||||||||||||||||||||||||||
| 2010 - Institutional | $ | 9.28 | $ | 0.10 | $ | 0.94 | $ | 1.04 | $ | (0.08 | ) | $ | — | $ | (0.08 | ) | $ | 10.24 | 11.20 | % | $ | 507,146 | 0.80 | % | 0.80 | % | 1.02 | % | 95% | |||||||||||||||||||||||||
| 2010 - Service | 9.28 | 0.07 | 0.94 | 1.01 | (0.06 | ) | — | (0.06 | ) | 10.23 | 10.89 | 672,239 | 1.05 | 1.05 | 0.78 | 95 | ||||||||||||||||||||||||||||||||||||||
| 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 | |||||||||||||||||||||||||||||||||||||
| (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 non-recurring special dividends 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.
14
GOLDMAN SACHS VARIABLE INSURANCE TRUST LARGE CAP VALUE FUND
Notes to Financial Statements
December 31, 2010
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 Large Cap Value Fund (the “Fund”). The Fund is a diversified portfolio under the Act offering two classes of shares — Institutional and Service.
Goldman Sachs Asset Management, L.P. (“GSAM”), an affiliate of Goldman, Sachs & Co. (“Goldman Sachs”), serves as investment adviser to the Fund pursuant to a management agreement (the “Agreement”) with the Trust.
Effective April 30, 2010, the Fund’s name was changed from the Goldman Sachs Growth and Income Fund to the Goldman Sachs Large Cap Value 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. 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.
B. 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
GOLDMAN SACHS VARIABLE INSURANCE TRUST LARGE CAP VALUE FUND
Notes to Financial Statements (continued)
December 31, 2010
| 2. SIGNIFICANT ACCOUNTING POLICIES (continued) |
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.
Investment income 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.
C. Expenses — Expenses incurred by the Trust that do not specifically relate to an individual Fund of the Trust are allocated to the Fund on a straight-line and/or pro-rata basis depending upon the nature of the expense and are accrued daily.
D. 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, the Fund is not required to make any provisions for the payment of federal income tax. 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.
E. 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. 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 significant inputs are observable (including, but not limited to, quoted prices for similar securities, interest rates, foreign exchange rates, volatility and credit spreads), either directly or indirectly;
GOLDMAN SACHS VARIABLE INSURANCE TRUST LARGE CAP VALUE FUND
| 3. FAIR VALUE OF INVESTMENTS (continued) |
Level 3 — Prices or valuations that require significant unobservable inputs (including GSAM’s assumptions in determining fair value measurement).
The following is a summary of the Fund’s investments categorized in the fair value hierarchy as of December 31, 2010:
| Level 1 | Level 2 | Level 3 | ||||||||||
Assets | ||||||||||||
| Common Stock and/or Other Equity Investments | $ | 1,161,631,383 | $ | — | $ | — | ||||||
| Short-term Investment | 37,319,215 | — | — | |||||||||
| Total | $ | 1,198,950,598 | $ | — | $ | — | ||||||
4. 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 paid monthly, equal to an annual percentage rate of the Fund’s average daily net assets.
For the fiscal year ended December 31, 2010, 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 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, which serves as distributor, is entitled to a fee computed daily and paid monthly for distribution services, which may then be paid by Goldman Sachs to authorized dealers, 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 computed daily and paid monthly at an annual rate of 0.02% of the average daily net assets for Institutional and Service Shares.
D. Other Expense Agreements and Affiliated Transactions — GSAM has agreed to limit certain “Other Expense” (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 Other 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. These Other Expense reimbursements will remain in place through at least April 30, 2011, and prior to such date GSAM may not terminate the arrangement without the approval of the trustees. For the fiscal year ended December 31, 2010, GSAM did not make any reimbursements to the Fund.
As of December 31, 2010, amounts owed to affiliates were approximately $733,700, $140,300 and $19,800 for management, distribution and service, and transfer agent fees, respectively.
E. Line of Credit Facility — As of December 31, 2010, the Fund participated in a $580,000,000 committed, unsecured revolving line of credit facility (the “facility”) together with other funds of the Trust and registered investment companies
GOLDMAN SACHS VARIABLE INSURANCE TRUST LARGE CAP VALUE FUND
Notes to Financial Statements (continued)
December 31, 2010
| 4. AGREEMENTS AND AFFILIATED TRANSACTIONS (continued) |
having management agreements with GSAM or its affiliates. Pursuant to the terms of the facility, the Fund and other borrowers could increase the credit amount by an additional $340,000,000, for a total of up to $920,000,000. This facility is to be used solely for temporary or emergency purposes. The interest rate on borrowings is based on the federal funds rate. The 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, 2010, the Fund did not have any borrowings under the facility. Prior to May 11, 2010, the amount available through the facility was $660,000,000.
F. Other Transactions with Affiliates — For the fiscal year ended December 31, 2010, Goldman Sachs earned approximately $73,600 in brokerage commissions from portfolio transactions on behalf of the Fund.
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, 2010, were $1,088,309,179 and $903,318,393, respectively.
6. SECURITIES LENDING
Pursuant to exemptive relief granted by the Securities and Exchange Commission (“SEC”) 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. Effective May 26, 2010, the Fund no longer participated in the securities lending program. During its participation in this securities lending program, and in accordance with the Fund’s securities lending procedures, the Fund received cash collateral at least equal to the market value of the securities on loan. The market value of the loaned securities was 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 were traded, and any additional required collateral was delivered to the Fund on the next business day.
The Fund invested 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, was exempt from registration under Section 3(c)(7) of the Act and was managed by GSAM, for which GSAM may have received 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 invested primarily in short-term investments, but was not a “money market fund” subject to the requirements of Rule 2a-7 of the Act.
Both the Fund and GSAL received compensation relating to the lending of the Fund’s securities. The amount earned by the Fund for the fiscal year ended December 31, 2010, is reported under Investment Income on the Statement of Operations. A portion of this amount, $310, represents compensation earned by the Fund from lending its securities to Goldman Sachs. For the fiscal year ended December 31, 2010, GSAL earned $668 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, 2010 (in thousands):
| Number of | Number of | |||||||||||||||||
| Shares Held | Shares Held | Value at End | ||||||||||||||||
| Beginning of Year | Shares Bought | Shares Sold | End of Year | of Year | ||||||||||||||
| 18,298 | 24,498 | (42,796 | ) | — | $ | — | ||||||||||||
GOLDMAN SACHS VARIABLE INSURANCE TRUST LARGE CAP VALUE FUND
7. TAX INFORMATION
The tax character of distributions paid during the fiscal years ended December 31, 2009 and December 31, 2010 was as follows:
| 2009 | 2010 | |||||||
| Distributions paid from ordinary income | $ | 13,486,306 | $ | 7,905,567 | ||||
As of December 31, 2010, the components of accumulated earnings (losses) on a tax basis were as follows:
| Undistributed ordinary income — net | $ | 1,795,970 | ||
Capital loss carryforward:(1) | ||||
| Expiring 2016 | $ | (1,262,514 | ) | |
| Expiring 2017 | (99,804,144 | ) | ||
| Total capital loss carryforward | $ | (101,066,658 | ) | |
| Unrealized gain — net | 121,435,044 | |||
| Total accumulated gains — net | $ | 22,164,356 | ||
| (1) | Expiration occurs on December 31 of the year indicated. The Fund utilized $58,774,003 of capital losses in the current fiscal year. |
As of December 31, 2010, the Fund’s aggregate security unrealized gains and losses based on cost for U.S. federal income tax purposes was as follows:
| Tax cost | $ | 1,077,515,554 | ||
| Gross unrealized gain | 131,207,086 | |||
| Gross unrealized loss | (9,772,042 | ) | ||
| Net unrealized security gain | $ | 121,435,044 | ||
The difference between GAAP-basis and tax-basis unrealized gains (losses) are attributable to wash sales.
In order to present certain components of the Fund’s capital accounts on a tax basis, the Fund has reclassified $1,418,652 and $244,277 from accumulated undistributed net investment income and paid-in capital, respectively, to accumulated net realized loss from investment transactions. 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.
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.
8. OTHER RISKS
Fund’s Shareholder Concentration Risk — 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 entities of their holdings in the Fund may impact the Fund’s liquidity and NAV. These redemptions may also force the Fund to sell securities.
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
GOLDMAN SACHS VARIABLE INSURANCE TRUST LARGE CAP VALUE FUND
Notes to Financial Statements (continued)
December 31, 2010
| 8. OTHER RISKS (continued) |
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.
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. SUBSEQUENT EVENTS
Subsequent events after the balance sheet date have been evaluated through the date the financial statements were issued. GSAM has concluded that there is no impact requiring adjustment or disclosure in the financial statements.
11. SUMMARY OF SHARE TRANSACTIONS
Share activity is as follows:
| For the Fiscal Year Ended | For the Fiscal Year Ended | |||||||||||||||
| December 31, 2010 | December 31, 2009 | |||||||||||||||
| Shares | Dollars | Shares | Dollars | |||||||||||||
Institutional Shares | ||||||||||||||||
| Shares sold | 7,156,994 | $ | 65,134,638 | 12,672,731 | $ | 99,803,020 | ||||||||||
| Reinvestment of distributions | 386,622 | 3,935,813 | 838,937 | 7,802,114 | ||||||||||||
| Shares redeemed | (10,612,256 | ) | (100,508,688 | ) | (9,817,931 | ) | (79,470,562 | ) | ||||||||
| (3,068,640 | ) | (31,438,237 | ) | 3,693,737 | 28,134,572 | |||||||||||
Service Shares | ||||||||||||||||
| Shares sold | 31,182,290 | 290,306,594 | 38,032,724 | 307,329,896 | ||||||||||||
| Reinvestment of distributions | 390,340 | 3,969,754 | 610,547 | 5,684,192 | ||||||||||||
| Shares redeemed | (8,012,106 | ) | (76,402,473 | ) | (4,906,729 | ) | (41,293,080 | ) | ||||||||
| 23,560,524 | 217,873,875 | 33,736,542 | 271,721,008 | |||||||||||||
NET INCREASE | 20,491,884 | $ | 186,435,638 | 37,430,279 | $ | 299,855,580 | ||||||||||
Report of Independent Registered Public Accounting Firm
To the Board of Trustees and Shareholders of Goldman Sachs Variable Insurance Trust — Goldman Sachs Large 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 Large Cap Value Fund (formerly Goldman Sachs Growth and Income Fund, the “Fund”) at December 31, 2010, 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, 2010 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.
Boston, Massachusetts
February 14, 2011
GOLDMAN SACHS VARIABLE INSURANCE TRUST LARGE CAP VALUE FUND
Fund Expenses — Six Month Period Ended December 31, 2010 (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 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, 2010 through December 31, 2010.
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 (loads), redemption fees, or exchange fees, but shareholders of other funds may incur such costs. The second line of the table is useful in comparing 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 | 7/01/10 | 12/31/10 | 12/31/10* | ||||||||||||
Institutional | |||||||||||||||
| Actual | $ | 1,000 | $ | 1,212.60 | $ | 4.46 | |||||||||
| Hypothetical 5% return | 1,000 | 1,021.17 | + | 4.08 | |||||||||||
Service | |||||||||||||||
| Actual | 1,000 | 1,210.60 | 5.85 | ||||||||||||
| Hypothetical 5% return | 1,000 | 1,019.91 | + | 5.35 | |||||||||||
| * | 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, 2010. 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 0.80% and 1.05% 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 LARGE 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 Age1,2 | with the Trust | Time Served3 | During Past 5 Years | Trustee4 | Held by Trustee5 | |||||
| Ashok N. Bakhru Age: 68 | Chairman of the Board of Trustees | Since 1996 (Trustee Since 1991) | President, ABN 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-Linked Investors II (April 2002-2007); and Chairman, Lenders Service Inc. (provider of mortgage lending services ) (2000-2003). Chairman of the Board of Trustees—Goldman Sachs Mutual Fund Complex. | 90 | Apollo Investment Corporation (a business development company) | |||||
| Donald C. Burke Age: 50 | Trustee | Since 2010 | Director, BlackRock Luxembourg and Cayman Funds (2006-2010); President and Chief Executive Officer, BlackRock U.S. Funds (2007-2009); Managing Director, BlackRock, Inc. (2006-2009); Managing Director, Merrill Lynch Investment Managers, L.P. (“MLIM”) (2006); First Vice President, MLIM (1997-2005); Chief Financial Officer and Treasurer, MLIM U.S. Funds (1999-2006). Trustee—Goldman Sachs Mutual Fund Complex. | 90 | None | |||||
| John P. Coblentz, Jr. Age: 69 | 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. | 90 | None | |||||
| Diana M. Daniels Age: 61 | 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 Vice Chair of the Board of Trustees, Cornell University (2009-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. | 90 | None | |||||
| Joseph P. LoRusso Age: 53 | Trustee | Since 2010 | President, Fidelity Investments Institutional Services Co. (“FIIS”) (2002-2008); Director, FIIS (2002-2008); Director, Fidelity Investments Institutional Operations Company (2003-2007); Executive Officer, Fidelity Distributors Corporation (2007-2008). Trustee—Goldman Sachs Mutual Fund Complex. | 90 | None | |||||
| Jessica Palmer Age: 61 | Trustee | Since 2007 | Ms. Palmer is retired. Formerly, she was Consultant, Citigroup Human Resources Department (2007-2008); Managing Director, Citigroup Corporate and Investment Banking (previously, Salomon Smith Barney/Salomon Brothers) (1984-2006). Ms. Palmer was a Member of the Board of Trustees of Indian Mountain School (private elementary and secondary school) (2004-2009). Trustee—Goldman Sachs Mutual Fund Complex. | 90 | None | |||||
GOLDMAN SACHS VARIABLE INSURANCE TRUST LARGE 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 Age1,2 | with the Trust | Time Served3 | During Past 5 Years | Trustee4 | Held by Trustee5 | |||||
| Richard P. Strubel Age: 71 | 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. | 90 | 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 Age1,2 | with the Trust | Time Served3 | During Past 5 Years | Trustee4 | Held by Trustee5 | |||||
| James A. McNamara* Age: 48 | 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). | 90 | None | |||||
| Alan A. Shuch* Age: 61 | 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. | 90 | 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, 200 West Street, New York, New York, 10282, Attn: Peter V. Bonanno. Information is provided as of December 31, 2010. | |
| 2 | From 2000 until September 30, 2010, Patrick T. Harker also served as Trustee of the Trust and of the Goldman Sachs Mutual Fund Complex. Mr. Harker resigned from these positions on September 30, 2010. | |
| 3 | 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 74 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. | |
| 4 | The Goldman Sachs Mutual Fund Complex consists of the Trust, Goldman Sachs Trust, Goldman Sachs Municipal Opportunity Fund and Goldman Sachs Credit Strategies Fund. As of December 31, 2010, the Trust consisted of 11 portfolios, Goldman Sachs Trust consisted of 77 portfolios and the Goldman Sachs Municipal Opportunity Fund did not offer shares to the public. | |
| 5 | 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 LARGE CAP VALUE FUND
Officers of the Trust* (Unaudited)
| 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 200 West Street New York, NY 10282 Age: 48 | 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 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 200 West Street New York, NY 10282 Age: 43 | 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 200 West Street New York, NY 10282 Age: 39 | 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. Information is provided as of December 31, 2010. | |
| * | 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 fiscal year ended December 31, 2010, 100% of the dividends paid from net investment company taxable income by the Goldman Sachs Large Cap Value Fund qualify for the dividends received deduction available to corporations.
| TRUSTEES | OFFICERS | |
| Ashok N. Bakhru, Chairman Donald C. Burke* John P. Coblentz, Jr. Diana M. Daniels Joseph P. LoRusso* James A. McNamara Jessica Palmer Alan A. Shuch Richard P. Strubel *Effective August 19, 2010 | 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 200 West Street, New York New York 10282 | ||
| Visit our website at www.goldmansachsfunds.com/vit to obtain the most recent month-end returns. | ||
| The reports concerning the Fund included in this shareholder report may contain certain forward-looking statements about the factors that may affect the performance of the Fund in the future. These statements are based on Fund management’s predictions and expectations concerning certain future events and their expected impact on the Fund, such as performance of the economy as a whole and of specific industry sectors, changes in the levels of interest rates, the impact of developing world events, and other factors that may influence the future performance of the Fund. Management believes these forward-looking statements to be reasonable, although they are inherently uncertain and difficult to predict. Actual events may cause adjustments in portfolio management strategies from those currently expected to be employed. | ||
| Economic and market forecasts presented herein reflect our judgment as of the date of this presentation and are subject to change without notice. These forecasts do not take into account the specific investment objectives, restrictions, tax and financial situation or other needs of any specific client. Actual data will vary and may not be reflected here. These forecasts are subject to high levels of uncertainty that may affect actual performance. Accordingly, these forecasts should be viewed as merely representative of a broad range of possible outcomes. These forecasts are estimated, based on assumptions, and are subject to significant revision and may change materially as economic and market conditions change. Goldman Sachs has no obligation to provide updates or changes to these forecasts. Case studies and examples are for illustrative purposes only. | ||
| 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”) website 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 or summary prospectus, if applicable. Investors should consider a Fund’s objective, risks, and charges and expenses, and read the summary prospectus, if available, and/or the Prospectus carefully before investing or sending money. The summary prospectus, if available, and the Prospectus contain this and other information about a Fund and may be obtained from your authorized dealer or from Goldman, Sachs & Co. by calling 1-800-621-2550. | ||
| 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 Large Cap Value Fund. | ||
| © 2011 Goldman Sachs. All rights reserved. | ||
| VITLCVAR11/47817.MF.MED.TMPL/2/2011 | ||
Goldman
Sachs Variable Insurance Trust
| Goldman Sachs Structured U.S. Equity Fund |
Annual Report
December 31, 2010
|
GOLDMAN SACHS VARIABLE INSURANCE TRUST STRUCTURED U.S. EQUITY FUND
Principal Investment Strategies and Risks
Shares of the Goldman Sachs Variable Insurance Trust — Goldman Sachs Structured U.S. Equity Fund are offered to separate accounts of participating life insurance companies for the purpose of funding variable annuity contracts and variable life insurance policies. Shares of the Fund are not offered directly to the general public. The variable annuity contracts and variable life insurance policies are described in the separate prospectuses issued by participating insurance companies. You should refer to those prospectuses for information about surrender charges, mortality and expense risk fees and other charges that may be assessed by participating insurance companies under the variable annuity contracts or variable life insurance policies. Such fees or charges, if any, may affect the return you realize with respect to your investments. Ask your representative for more complete information. Please consider the Fund’s objective, risks and charges and expenses, and read the Prospectus carefully before investing. The Prospectus contains this and other information about the Fund.
GOLDMAN SACHS VARIABLE INSURANCE TRUST STRUCTURED U.S. EQUITY FUND
INVESTMENT OBJECTIVE
The Fund seeks long-term growth of capital and dividend income.
Portfolio Management Discussion and Analysis
Below, the Goldman Sachs Quantitative Investment Strategies Team discusses the performance of Goldman Sachs Variable Insurance Trust (“VIT”) — Goldman Sachs Structured U.S. Equity Fund (the “Fund”) and positioning for the 12-month period ended December 31, 2010 (the “Reporting Period”).
How did the Fund perform during the Reporting Period?
During the Reporting Period, the Fund’s Institutional and Service Shares generated average annual total returns of 12.84% and 12.60%, respectively. These returns compare to the 15.06% 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?
U.S. equities began 2010 with their strongest annual start in over a decade, despite a lack of conviction from underlying economic data. While housing and labor data remained mixed, investors opted to view this, in combination with statements from the Federal Reserve Board (the Fed), as supportive of ongoing accommodative monetary policy. Further, increasing levels of corporate cash, high productivity and significant cost cutting fueled expectations of forthcoming business spending and corporate profits. Investor sentiment turned sharply in late April, and the U.S. equity market broke a four-quarter winning streak with a sharp drop in the second quarter that erased modest gains from the previous quarter and sent most major equity indices into negative territory for the first half of the Reporting Period. The equity markets reflected investor angst regarding the health of Europe’s financial system and the potential that the continent’s sovereign debt dilemma could spark another financial crisis. At the same time, investors became increasingly concerned about growing evidence that the global economy might be losing steam. Indeed, U.S. markets were doused with a number of disappointing economic readings at the end of June. Adding pressure were China’s attempts to cool its nation’s property market along with a decline in Chinese leading economic indicators that fueled fears of slowing global demand.
In the third quarter, U.S. equities roared back. The quarter featured strong corporate earnings announcements as well as news that the U.S. had officially come out of its economic recession in June. Still, concerns remained about the pace of the recovery, evidenced by the Fed’s signaling a willingness to take further action if necessary. U.S. equities indices, for example, S&P 500 capped 2010 on a note of optimism. Positive data points from December included robust retail sales figures and strong increases in purchasing and manufacturing surveys.
During the Reporting Period as a whole, the S&P 500 Index, representing the U.S. large-cap equity market, advanced 15.06%. All ten sectors in the S&P 500 Index were up, with eight of the ten generating double-digit gains. Overall, economically-sensitive, cyclical stocks led returns, as investors focused on the strong growth and demand from outside the developed markets. In turn, the consumer discretionary sector, particularly auto stocks, and the industrials and materials sectors gained the most ground. The consumer discretionary sector was also the biggest contributor (weight times total return) to S&P 500 Index returns. Conversely, on the basis of both impact and total return, the more traditionally defensive sectors, including health care and utilities, were weakest, though each still generated gains. Notably, the U.S. equity market outpaced the developed international equity markets, as investors gained confidence in the U.S. economic recovery. U.S. markets also reflected confidence in continued accommodative monetary and fiscal policy, most recently evidenced by the extension of tax cuts.
While all capitalization segments of the U.S. equity market advanced during the Reporting Period, small-cap stocks, as measured by the Russell 2000® Index, performed best, followed closely behind by mid-cap stocks, as measured by the Russell Midcap® Index. Large-cap stocks, as measured by the Russell 1000® Index, trailed, though still posted double-digit returns. Large-cap stocks were least successful relative to small-cap stocks in the information technology sector. Due primarily to the strong performance of the consumer discretionary sector, growth-oriented stocks outpaced value-oriented stocks across the capitalization spectrum.
2
GOLDMAN SACHS VARIABLE INSURANCE TRUST STRUCTURED U.S. EQUITY FUND
What key factors were responsible for the Fund’s performance during the 12-month 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 believed to be 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 Momentum theme detracting the most, followed by Profitability and Sentiment. The Momentum theme seeks to predict drifts in stock prices caused by under-reaction to company specific information. The Profitability theme assesses whether a company is earning more than its cost of capital. The Sentiment theme reflects selected investment views and decisions of individuals and financial intermediaries.
The Valuation theme was the best performing theme, followed by Management and Quality, which also contributed positively to the Fund’s returns relative to the S&P 500 Index. 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. The Management theme assesses the characteristics, policies and strategic decisions of company management. The Quality theme evaluates whether the company’s earnings are coming from more persistent, cash-based sources, as opposed to accruals.
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. 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 or changes in sector weights generally do not have a meaningful impact on relative performance.
Did stock selection help or hurt Fund performance during the Reporting Period?
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 S&P 500 Index. During the Reporting Period, stock selection overall detracted from the Fund’s relative performance.
Stock selection in the financials, industrials and materials sectors made the biggest positive contribution to the Fund’s results relative to the S&P 500 Index. However, more than offsetting these positives was stock selection in the information technology, consumer staples and health care sectors, which detracted most from the Fund’s results relative to the S&P 500 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 discount retail apparel store operator Ross Stores, integrated oil company ConocoPhillips and web-based search engine giant Google. We chose to overweight Ross Stores because of our positive view on Profitability. We chose to overweight ConocoPhillips based on our positive views on Profitability and Valuation. The overweight in Google 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 the S&P 500 Index were an underweight position in information technology giant Apple* and overweight positions in software manufacturing behemoth Microsoft and disc drive manufacturer Seagate Technology*. Our negative views on Quality and Momentum led us to underweight Apple. Our positive views on Momentum and Profitability led us to overweight Microsoft. The Fund had an overweighted position in Seagate Technology because of our positive view on Profitability.
* Position no longer held by the Fund.
3
GOLDMAN SACHS VARIABLE INSURANCE TRUST STRUCTURED U.S. EQUITY FUND
How did the Fund use derivatives during the Reporting Period?
We utilized equity index futures in the Fund during the Reporting Period to ensure the portfolio remained almost fully exposed to equities following cash inflows or stock sales.
Did you make any enhancements to your quantitative models during the Reporting Period?
We continuously look for ways to improve our investment process. Accordingly, we continued our extensive ongoing research process but did not implement any significant model enhancements during the first quarter of 2010. During the second quarter, we continued to improve our factor timing within the Momentum theme. During the third quarter, we implemented several enhancements to our U.S. equity models. First, we introduced a signal within the Profitability theme that seeks to gain exposure to companies that have an attractive product mix across regions. We also added a new signal to the Momentum theme to add to our existing cross-stock signals that are based on customer/supplier relationships and industry classifications. The new signal helps link economically-related companies, which are identified using a composite of sources including regulatory filings, corporate disclosures and information from strategic alliances. We believe these enhancements will further add value to our process over time.
During the fourth quarter of 2010, we implemented two major enhancements to our U.S. stock selection model and process. First, we made an improvement to our quantitative portfolio construction methodology that we believe will enable us to tailor the portfolio’s trading to reflect the diverse spectrum of signal speeds or the rate at which stock selection process elements are transmitted. Selecting appropriate implementation speeds for each signal should improve overall net performance. As a result, we believe exposures to virtually all signals should improve. Second, we implemented a significant enhancement, diversifying our factor set by adding new signals across our investment themes. These signals tend to overweight stocks with four general features — strong and stable growth prospects, lower risk of financial distress, inexpensive, and attractive buyout opportunities. We believe these enhancements will further add value to our process over different parts of an economic cycle. They also incorporate tactical elements to time opportunities across and within sectors over time.
What was the Fund’s sector positioning relative to the S&P 500 Index at the end of the Reporting Period?
As of December 31, 2010, the Fund was overweight the consumer discretionary, information technology, energy, health care and materials sectors relative to the S&P 500 Index. The Fund was underweight utilities, consumer staples, financials, industrials and telecommunication services compared to the S&P 500 Index on the same date.
What is your strategy going forward for the Fund?
Looking ahead, we continue to believe that less expensive stocks should outpace more expensive stocks, and 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 capitalization 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.
4
FUND BASICS
Structured U.S. Equity Fund
as of December 31, 2010
STANDARDIZED AVERAGE ANNUAL TOTAL RETURNS1
| For the period ended 12/31/10 | One Year | Five Years | Ten Years | Since Inception | Inception Date | |||||||||||||||
| Institutional | 12.84 | % | -0.89 | % | 0.42 | % | 2.32 | % | 02/13/98 | |||||||||||
| Service | 12.60 | N/A | N/A | -1.66 | 01/09/06 | |||||||||||||||
1 The Standardized Average Annual Total Returns are average annual total returns as of the most recent calendar quarter-end. They assume reinvestment of all distributions at net asset value (“NAV”). Because VIT Funds do not involve a sales charge, such a charge is not applied to their Standardized Total Returns.
Total return figures in the above chart represent past performance and do not indicate future results, which will vary. The investment return and principal value of an investment will fluctuate and, therefore, an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance may be lower or higher than the total return figures in the above chart. Please visit www.goldmansachsfunds.com/vit to obtain the most recent month-end returns. Performance reflects fee waivers and/or expense limitations in effect. In their absence, performance would be reduced.
EXPENSE RATIOS2
| Net Expense Ratio (Current) | Gross Expense Ratio (Before Waivers) | |||||||||
| Institutional | 0.64 | % | 0.70 | % | ||||||
| Service | 0.85 | 0.95 | ||||||||
2 The expense ratios of the Fund, both current (net of applicable fee waivers and/or expense limitations) and before waivers (gross of applicable fee waivers and/or expense limitations), are as set forth above according to the most recent publicly available Prospectuses for the Fund and may differ from the expense ratios disclosed in the Financial Highlights in this report. Applicable waivers and expense limitations may be modified or terminated in the future, consistent with the terms of any agreements in place. If this occurs, the expense ratios may change without shareholder approval.
5
FUND BASICS
Portfolio Composition
TOP TEN HOLDINGS AS OF 12/31/103
| Holding | % of Net Assets | Line of Business | ||||||
| Microsoft Corp. | 4.3 | % | Software & Services | |||||
| Exxon Mobil Corp. | 3.7 | Energy | ||||||
| Eli Lilly & Co. | 3.0 | Pharmaceuticals, Biotechnology & Life Sciences | ||||||
| Lorillard, Inc. | 2.9 | Food, Beverage & Tobacco | ||||||
| Chevron Corp. | 2.6 | Energy | ||||||
| Google, Inc. Class A | 2.4 | Software & Services | ||||||
| AT&T, Inc. | 2.2 | Telecommunication Services | ||||||
| Pfizer, Inc. | 2.2 | Pharmaceuticals, Biotechnology & Life Sciences | ||||||
| ConocoPhillips | 2.1 | Energy | ||||||
| Accenture PLC Class A | 2.1 | Software & Services | ||||||
3 The top 10 holdings may not be representative of the Fund’s future investments.
FUND vs. BENCHMARK SECTOR ALLOCATIONS4
As of December 31, 2010
4 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 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 0.1% of the Fund’s net assets at December 31, 2010. Short-term investments represent investments in investment companies other than those that are exchange traded.
6
GOLDMAN SACHS VARIABLE INSURANCE TRUST STRUCTURED U.S. EQUITY FUND
Performance Summary
December 31, 2010
The following graph shows the value, as of December 31, 2010, of a $10,000 investment made on January 1, 2001 in the Institutional Shares at NAV. 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, 2001 through December 31, 2010.
Average Annual Total Return through December 31, 2010 | One Year | Five Years | Ten Years | Since Inception | ||||||||||||
Institutional (Commenced February 13, 1998) | 12.84 | % | −0.89 | % | 0.42 | % | 2.32 | % | ||||||||
Service (Commenced January 9, 2006) | 12.60 | % | N/A | N/A | −1.66 | % | ||||||||||
GOLDMAN SACHS VARIABLE INSURANCE TRUST STRUCTURED U.S. EQUITY FUND
Schedule of Investments
December 31, 2010
| Shares | Description | Value | ||||||||
Common Stocks – 97.7% | ||||||||||
| Automobiles & Components – 1.4% | ||||||||||
| 10,868 | Autoliv, Inc. | $ | 857,920 | |||||||
| 67,271 | Johnson Controls, Inc. | 2,569,752 | ||||||||
| 48,625 | TRW Automotive Holdings Corp.* | 2,562,538 | ||||||||
| 5,990,210 | ||||||||||
| Banks – 2.5% | ||||||||||
| 17,565 | Hudson City Bancorp, Inc. | 223,778 | ||||||||
| 14,470 | PNC Financial Services Group, Inc. | 878,618 | ||||||||
| 97,416 | U.S. Bancorp | 2,627,310 | ||||||||
| 227,431 | Wells Fargo & Co. | 7,048,087 | ||||||||
| 10,777,793 | ||||||||||
| Capital Goods – 8.0% | ||||||||||
| 20,432 | AGCO Corp.* | 1,035,085 | ||||||||
| 8,369 | CNH Global NV* | 399,536 | ||||||||
| 21,198 | Cummins, Inc. | 2,331,992 | ||||||||
| 23,869 | Eaton Corp. | 2,422,942 | ||||||||
| 63,338 | Emerson Electric Co. | 3,621,033 | ||||||||
| 2,980 | General Cable Corp.* | 104,568 | ||||||||
| 323,175 | General Electric Co. | 5,910,871 | ||||||||
| 54,013 | Honeywell International, Inc. | 2,871,331 | ||||||||
| 3,752 | MSC Industrial Direct Co., Inc. Class A | 242,717 | ||||||||
| 79,943 | Northrop Grumman Corp. | 5,178,708 | ||||||||
| 48,783 | Oshkosh Corp.* | 1,719,113 | ||||||||
| 3,598 | Parker Hannifin Corp. | 310,507 | ||||||||
| 9,355 | Rockwell Automation, Inc. | 670,847 | ||||||||
| 2,999 | Rockwell Collins, Inc. | 174,722 | ||||||||
| 16,897 | Textron, Inc. | 399,445 | ||||||||
| 27,753 | The Boeing Co. | 1,811,161 | ||||||||
| 18,852 | Timken Co. | 899,806 | ||||||||
| 47,216 | Toro Co. | 2,910,394 | ||||||||
| 11,628 | United Technologies Corp. | 915,356 | ||||||||
| 2,150 | URS Corp.* | 89,462 | ||||||||
| 1,956 | W.W. Grainger, Inc. | 270,143 | ||||||||
| 34,289,739 | ||||||||||
| Commercial & Professional Services – 0.3% | ||||||||||
| 2,528 | Copart, Inc.* | 94,421 | ||||||||
| 21,388 | Manpower, Inc. | 1,342,311 | ||||||||
| 1,436,732 | ||||||||||
| Consumer Durables & Apparel – 1.1% | ||||||||||
| 4,178 | Coach, Inc. | 231,085 | ||||||||
| 4,719 | Fossil, Inc.* | 332,595 | ||||||||
| 39,549 | Harman International Industries, Inc.* | 1,831,119 | ||||||||
| 3,898 | Leggett & Platt, Inc. | 88,719 | ||||||||
| 25,444 | Mohawk Industries, Inc.* | 1,444,201 | ||||||||
| 8,528 | NIKE, Inc. Class B | 728,462 | ||||||||
| 4,656,181 | ||||||||||
| Consumer Services – 2.1% | ||||||||||
| 69,543 | Carnival Corp. | 3,206,628 | ||||||||
| 1,435 | Chipotle Mexican Grill, Inc. Class A* | 305,167 | ||||||||
| 9,672 | McDonald’s Corp. | 742,423 | ||||||||
| 142,662 | Starbucks Corp. | 4,583,730 | ||||||||
| 1,961 | Wynn Resorts Ltd. | 203,630 | ||||||||
| 9,041,578 | ||||||||||
| Diversified Financials – 6.3% | ||||||||||
| 244,641 | Bank of America Corp. | 3,263,511 | ||||||||
| 80,609 | Capital One Financial Corp. | 3,430,719 | ||||||||
| 484,904 | Citigroup, Inc.* | 2,293,596 | ||||||||
| 2,438 | CME Group, Inc. | 784,426 | ||||||||
| 15,939 | Franklin Resources, Inc. | 1,772,576 | ||||||||
| 206,504 | JPMorgan Chase & Co. | 8,759,900 | ||||||||
| 2,839 | Leucadia National Corp. | 82,842 | ||||||||
| 57,664 | Morgan Stanley | 1,569,037 | ||||||||
| 85,343 | SEI Investments Co. | 2,030,310 | ||||||||
| 106,004 | The Bank of New York Mellon Corp. | 3,201,321 | ||||||||
| 27,188,238 | ||||||||||
| Energy – 12.0% | ||||||||||
| 121,468 | Chevron Corp. | 11,083,955 | ||||||||
| 10,132 | Cimarex Energy Co. | 896,986 | ||||||||
| 135,497 | ConocoPhillips | 9,227,346 | ||||||||
| 2,475 | Core Laboratories NV | 220,399 | ||||||||
| 54,391 | Devon Energy Corp. | 4,270,237 | ||||||||
| 13,688 | Exterran Holdings, Inc.* | 327,827 | ||||||||
| 220,330 | Exxon Mobil Corp. | 16,110,530 | ||||||||
| 13,746 | Hess Corp. | 1,052,119 | ||||||||
| 1,314 | Oceaneering International, Inc.* | 96,750 | ||||||||
| 6,133 | Oil States International, Inc.* | 393,064 | ||||||||
| 3,765 | Patterson-UTI Energy, Inc. | 81,136 | ||||||||
| 15,056 | Schlumberger Ltd. | 1,257,176 | ||||||||
| 20,905 | Sunoco, Inc. | 842,680 | ||||||||
| 25,040 | Tesoro Corp.* | 464,242 | ||||||||
| 238,395 | Valero Energy Corp. | 5,511,692 | ||||||||
| 51,836,139 | ||||||||||
| Food & Staples Retailing – 1.6% | ||||||||||
| 33,297 | Costco Wholesale Corp. | 2,404,376 | ||||||||
| 84,141 | Wal-Mart Stores, Inc. | 4,537,724 | ||||||||
| 6,942,100 | ||||||||||
| Food, Beverage & Tobacco – 5.9% | ||||||||||
| 146,336 | Archer-Daniels-Midland Co. | 4,401,787 | ||||||||
| 3,931 | Corn Products International, Inc. | 180,826 | ||||||||
| 11,964 | Dean Foods Co.* | 105,762 | ||||||||
| 8,864 | Dr. Pepper Snapple Group, Inc. | 311,658 | ||||||||
| 18,515 | Hansen Natural Corp.* | 967,964 | ||||||||
| 1,605 | Hormel Foods Corp. | 82,272 | ||||||||
| 150,674 | Lorillard, Inc. | 12,364,309 | ||||||||
| 5,737 | Molson Coors Brewing Co. Class B | 287,940 | ||||||||
| 15,363 | Philip Morris International, Inc. | 899,196 | ||||||||
| 4,631 | Smithfield Foods, Inc.* | 95,538 | ||||||||
| 46,032 | The Coca-Cola Co. | 3,027,525 | ||||||||
| 155,542 | Tyson Foods, Inc. Class A | 2,678,433 | ||||||||
| 25,403,210 | ||||||||||
GOLDMAN SACHS VARIABLE INSURANCE TRUST STRUCTURED U.S. EQUITY FUND
| Shares | Description | Value | ||||||||
Common Stocks – (continued) | ||||||||||
| Health Care Equipment & Services – 2.7% | ||||||||||
| 198,599 | Boston Scientific Corp.* | $ | 1,503,395 | |||||||
| 74,626 | Cardinal Health, Inc. | 2,858,922 | ||||||||
| 72,112 | CareFusion Corp.* | 1,853,278 | ||||||||
| 17,541 | Humana, Inc.* | 960,194 | ||||||||
| 2,445 | LifePoint Hospitals, Inc.* | 89,854 | ||||||||
| 2,098 | SXC Health Solutions Corp.* | 89,920 | ||||||||
| 52,954 | UnitedHealth Group, Inc. | 1,912,169 | ||||||||
| 43,901 | WellPoint, Inc.* | 2,496,211 | ||||||||
| 11,763,943 | ||||||||||
| Household & Personal Products – 2.4% | ||||||||||
| 16,755 | Colgate-Palmolive Co. | 1,346,599 | ||||||||
| 7,007 | Herbalife Ltd. | 479,069 | ||||||||
| 128,678 | The Procter & Gamble Co. | 8,277,856 | ||||||||
| 10,103,524 | ||||||||||
| Insurance – 3.1% | ||||||||||
| 3,747 | ACE Ltd. | 233,251 | ||||||||
| 1,421 | Allied World Assurance Co. Holdings Ltd. | 84,464 | ||||||||
| 4,513 | Aspen Insurance Holdings Ltd. | 129,162 | ||||||||
| 19,341 | Berkshire Hathaway, Inc. Class B* | 1,549,408 | ||||||||
| 8,162 | Everest Re Group Ltd. | 692,301 | ||||||||
| 51,618 | Loews Corp. | 2,008,456 | ||||||||
| 65,701 | MetLife, Inc. | 2,919,752 | ||||||||
| 10,529 | The Travelers Companies, Inc. | 586,571 | ||||||||
| 209,546 | Unum Group | 5,075,204 | ||||||||
| 13,278,569 | ||||||||||
| Materials – 3.8% | ||||||||||
| 14,227 | Ashland, Inc. | 723,585 | ||||||||
| 7,933 | Domtar Corp. | 602,273 | ||||||||
| 8,024 | E.I. du Pont de Nemours & Co. | 400,237 | ||||||||
| 19,508 | Eastman Chemical Co. | 1,640,233 | ||||||||
| 3,303 | Freeport-McMoRan Copper & Gold, Inc. | 396,657 | ||||||||
| 60,070 | Huntsman Corp. | 937,693 | ||||||||
| 17,782 | Monsanto Co. | 1,238,339 | ||||||||
| 93,393 | Newmont Mining Corp. | 5,737,132 | ||||||||
| 1,603 | Sigma-Aldrich Corp. | 106,696 | ||||||||
| 44,511 | Southern Copper Corp. | 2,169,466 | ||||||||
| 13,690 | The Scotts Miracle-Gro Co. Class A | 695,041 | ||||||||
| 11,491 | The Sherwin-Williams Co. | 962,371 | ||||||||
| 10,302 | Titanium Metals Corp.* | 176,988 | ||||||||
| 4,257 | Walter Energy, Inc. | 544,215 | ||||||||
| 16,330,926 | ||||||||||
| Media – 3.4% | ||||||||||
| 94,571 | Comcast Corp. Class A | 2,077,725 | ||||||||
| 125,478 | Comcast Corp. Special A Shares | 2,611,197 | ||||||||
| 180,828 | DISH Network Corp. Class A* | 3,555,079 | ||||||||
| 64,638 | News Corp. Class A | 941,129 | ||||||||
| 169,526 | Time Warner, Inc. | 5,453,651 | ||||||||
| 14,638,781 | ||||||||||
| Pharmaceuticals, Biotechnology & Life Sciences – 8.2% | ||||||||||
| 112,743 | Amgen, Inc.* | 6,189,591 | ||||||||
| 20,985 | Celgene Corp.* | 1,241,053 | ||||||||
| 4,739 | Cephalon, Inc.* | 292,491 | ||||||||
| 367,171 | Eli Lilly & Co. | 12,865,672 | ||||||||
| 2,332 | Endo Pharmaceuticals Holdings, Inc.* | 83,276 | ||||||||
| 78,057 | Gilead Sciences, Inc.* | 2,828,786 | ||||||||
| 29,469 | Johnson & Johnson | 1,822,657 | ||||||||
| 34,583 | King Pharmaceuticals, Inc.* | 485,891 | ||||||||
| 533,630 | Pfizer, Inc. | 9,343,861 | ||||||||
| 35,153,278 | ||||||||||
| Real Estate – 3.3% | ||||||||||
| 25,668 | Annaly Capital Management, Inc. (REIT) | 459,971 | ||||||||
| 8,152 | AvalonBay Communities, Inc. (REIT) | 917,508 | ||||||||
| 6,558 | Plum Creek Timber Co., Inc. (REIT) | 245,597 | ||||||||
| 12,124 | Public Storage, Inc. (REIT) | 1,229,616 | ||||||||
| 65,818 | Rayonier, Inc. (REIT) | 3,456,761 | ||||||||
| 79,007 | Simon Property Group, Inc. (REIT) | 7,860,406 | ||||||||
| 1,767 | The Howard Hughes Corp.* | 96,160 | ||||||||
| 14,266,019 | ||||||||||
| Retailing – 3.2% | ||||||||||
| 14,127 | Advance Auto Parts, Inc. | 934,501 | ||||||||
| 29,832 | Amazon.com, Inc.* | 5,369,760 | ||||||||
| 23,414 | AutoNation, Inc.*(a) | 660,275 | ||||||||
| 777 | AutoZone, Inc.* | 211,802 | ||||||||
| 3,850 | Dollar Tree, Inc.* | 215,908 | ||||||||
| 40,682 | Expedia, Inc. | 1,020,711 | ||||||||
| 1,796 | Family Dollar Stores, Inc. | 89,279 | ||||||||
| 47,552 | Limited Brands, Inc. | 1,461,273 | ||||||||
| 1,335 | Netflix, Inc.* | 234,559 | ||||||||
| 2,090 | O’Reilly Automotive, Inc.* | 126,278 | ||||||||
| 8,638 | PetSmart, Inc. | 343,965 | ||||||||
| 33,698 | Ross Stores, Inc. | 2,131,399 | ||||||||
| 23,270 | Urban Outfitters, Inc.* | 833,299 | ||||||||
| 13,633,009 | ||||||||||
| Semiconductors & Semiconductor Equipment – 2.7% | ||||||||||
| 352,162 | Intel Corp. | 7,405,967 | ||||||||
| 50,781 | Marvell Technology Group Ltd.* | 941,988 | ||||||||
| 173,218 | Micron Technology, Inc.* | 1,389,208 | ||||||||
| 53,596 | Texas Instruments, Inc. | 1,741,870 | ||||||||
| 11,479,033 | ||||||||||
| Software & Services – 10.8% | ||||||||||
| 185,516 | Accenture PLC Class A | 8,995,671 | ||||||||
| 12,086 | eBay, Inc.* | 336,353 | ||||||||
| 17,426 | Google, Inc. Class A* | 10,350,521 | ||||||||
| 1,605 | International Business Machines Corp. | 235,550 | ||||||||
| 667,174 | Microsoft Corp. | 18,627,498 | ||||||||
| 171,223 | Oracle Corp. | 5,359,280 | ||||||||
GOLDMAN SACHS VARIABLE INSURANCE TRUST STRUCTURED U.S. EQUITY FUND
Schedule of Investments (continued)
December 31, 2010
| Shares | Description | Value | ||||||||
Common Stocks – (continued) | ||||||||||
| Software & Services – (continued) | ||||||||||
| 1,675 | Salesforce.com, Inc.* | $ | 221,100 | |||||||
| 63,534 | Symantec Corp.* | 1,063,559 | ||||||||
| 25,024 | Teradata Corp.* | 1,029,988 | ||||||||
| 10,216 | VeriSign, Inc. | 333,757 | ||||||||
| 46,553,277 | ||||||||||
| Technology Hardware & Equipment – 5.3% | ||||||||||
| 261,280 | Cisco Systems, Inc.* | 5,285,694 | ||||||||
| 309,803 | Dell, Inc.* | 4,197,831 | ||||||||
| 52,373 | EMC Corp.* | 1,199,342 | ||||||||
| 90,817 | Flextronics International Ltd.* | 712,913 | ||||||||
| 42,527 | Hewlett-Packard Co. | 1,790,387 | ||||||||
| 135,734 | Ingram Micro, Inc. Class A* | 2,591,162 | ||||||||
| 2,545 | Lexmark International, Inc. Class A* | 88,617 | ||||||||
| 188,337 | Motorola, Inc.* | 1,708,216 | ||||||||
| 36,894 | NetApp, Inc.* | 2,027,694 | ||||||||
| 40,185 | QLogic Corp.* | 683,949 | ||||||||
| 12,486 | SanDisk Corp.* | 622,552 | ||||||||
| 69,450 | Tellabs, Inc. | 470,871 | ||||||||
| 76,678 | Vishay Intertechnology, Inc.* | 1,125,633 | ||||||||
| 15,621 | Western Digital Corp.* | 529,552 | ||||||||
| 23,034,413 | ||||||||||
| Telecommunication Services – 2.9% | ||||||||||
| 320,722 | AT&T, Inc.(b) | 9,422,813 | ||||||||
| 412,684 | Sprint Nextel Corp.* | 1,745,653 | ||||||||
| 42,263 | Verizon Communications, Inc. | 1,512,170 | ||||||||
| 12,680,636 | ||||||||||
| Transportation – 2.0% | ||||||||||
| 6,809 | FedEx Corp. | 633,305 | ||||||||
| 111,919 | United Parcel Service, Inc. Class B | 8,123,081 | ||||||||
| 8,756,386 | ||||||||||
| Utilities – 2.7% | ||||||||||
| 5,998 | Consolidated Edison, Inc. | 297,321 | ||||||||
| 35,126 | Dominion Resources, Inc. | 1,500,583 | ||||||||
| 259,042 | Duke Energy Corp. | 4,613,538 | ||||||||
| 2,156 | Entergy Corp. | 152,709 | ||||||||
| 44,461 | Exelon Corp. | 1,851,356 | ||||||||
| 41,280 | Integrys Energy Group, Inc. | 2,002,493 | ||||||||
| 18,810 | NiSource, Inc. | 331,432 | ||||||||
| 15,801 | Sempra Energy | 829,237 | ||||||||
| 11,578,669 | ||||||||||
TOTAL COMMON STOCKS | ||||||||||
| (Cost $349,131,984) | $ | 420,812,383 | ||||||||
| Shares | Rate | Value | ||||||||||
Short-term Investment(c) – 2.5% | ||||||||||||
| JPMorgan U.S. Government Money Market Fund – Capital Shares | ||||||||||||
| 10,822,561 | 0.043 | % | $ | 10,822,561 | ||||||||
| (Cost $10,822,561) | ||||||||||||
| TOTAL INVESTMENTS BEFORE SECURITIES LENDING REINVESTMENT VEHICLE | ||||||||||||
| (Cost $359,954,545) | $ | 431,634,944 | ||||||||||
Securities Lending Reinvestment Vehicle(c)(d) – 0.1% | ||||||||||||
| Goldman Sachs Financial Square Money Market Fund – FST Shares | ||||||||||||
| 643,500 | 0.140 | % | $ | 643,500 | ||||||||
| (Cost $643,500) | ||||||||||||
TOTAL INVESTMENTS – 100.3% | ||||||||||||
| (Cost $360,598,045) | $ | 432,278,444 | ||||||||||
LIABILITIES IN EXCESS OF OTHER ASSETS – (0.3)% | (1,158,804 | ) | ||||||||||
NET ASSETS – 100.0% | $ | 431,119,640 | ||||||||||
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, 2010. | |
| (d) | Represents an affiliated issuer. |
| Investment Abbreviation: | ||||||
| REIT | — | Real Estate Investment Trust | ||||
GOLDMAN SACHS VARIABLE INSURANCE TRUST STRUCTURED U.S. EQUITY FUND
ADDITIONAL INVESTMENT INFORMATION
FUTURES CONTRACTS — At December 31, 2010, the following futures contracts were open:
| Number of | ||||||||||||||||
| Contracts | Expiration | Current | Unrealized | |||||||||||||
| Type | Long (Short) | Date | Value | Gain (Loss) | ||||||||||||
S&P 500 E-mini Index | 127 | March 2011 | $ | 7,956,550 | $ | 102,330 | ||||||||||
GOLDMAN SACHS VARIABLE INSURANCE TRUST STRUCTURED U.S. EQUITY FUND
Statement of Assets and Liabilities
December 31, 2010
| Assets: | ||||||
| Investments in securities of unaffiliated issuers, at value (identified cost $359,954,545)(a) | $ | 431,634,944 | ||||
| Investments in affiliated securities lending reinvestment vehicle, at value (identified cost $643,500) | 643,500 | |||||
| Receivables: | ||||||
Investment securities sold | 4,282,233 | |||||
Dividends | 180,234 | |||||
Fund shares sold | 52,907 | |||||
Reimbursement from investment adviser | 28,080 | |||||
| Total assets | 436,821,898 | |||||
| Liabilities: | ||||||
| Payables: | ||||||
Investment securities purchased | 3,168,705 | |||||
Fund shares redeemed | 951,782 | |||||
Payable upon return of securities loaned | 643,500 | |||||
Amounts owed to affiliates | 252,541 | |||||
Due to broker — variation margin | 9,525 | |||||
| Accrued expenses and other liabilities | 676,205 | |||||
| Total liabilities | 5,702,258 | |||||
| Net Assets: | ||||||
| Paid-in capital | 602,571,194 | |||||
| Accumulated undistributed net investment income | 409,488 | |||||
| Accumulated net realized loss from investment and futures transactions | (243,643,771 | ) | ||||
| Net unrealized gain on investments and futures | 71,782,729 | |||||
| NET ASSETS | $ | 431,119,640 | ||||
| Net Assets: | ||||||
Institutional | $ | 319,948,488 | ||||
Service | 111,171,152 | |||||
| Total Net Assets | $ | 431,119,640 | ||||
| Shares of beneficial interest outstanding $0.001 par value (unlimited shares authorized): | ||||||
Institutional | 30,275,516 | |||||
Service | 10,507,103 | |||||
| Net asset value, offering and redemption price per share: | ||||||
Institutional | $ | 10.57 | ||||
Service | 10.58 | |||||
| (a) | Includes loaned securities having a market value of $620,400. |
GOLDMAN SACHS VARIABLE INSURANCE TRUST STRUCTURED U.S. EQUITY FUND
Statement of Operations
For the Fiscal Year Ended December 31, 2010
| Investment income: | ||||||
| Dividends | $ | 8,944,214 | ||||
| Securities lending income — affiliated issuer | 6,821 | |||||
| Total investment income | 8,951,035 | |||||
| Expenses: | ||||||
| Management fees | 2,647,044 | |||||
| Distribution and Service fees — Service Class | 269,520 | |||||
| Printing and mailing costs | 100,293 | |||||
| Transfer Agent fees(a) | 85,381 | |||||
| Professional fees | 79,604 | |||||
| Custody and accounting fees | 51,664 | |||||
| Trustee fees | 14,899 | |||||
| Other | 17,253 | |||||
| Total expenses | 3,265,658 | |||||
| Less — expense reductions | (289,762 | ) | ||||
| Net expenses | 2,975,896 | |||||
| NET INVESTMENT INCOME | 5,975,139 | |||||
| Realized and unrealized gain (loss) from investment and futures transactions: | ||||||
| Net realized gain from: | ||||||
Investment transactions — unaffiliated issuers | 20,339,843 | |||||
Securities lending reinvestment vehicle transactions — affiliated issuer | 33,557 | |||||
Futures transactions | 791,768 | |||||
| Net change in unrealized gain (loss) on: | ||||||
Investments — unaffiliated issuers | 23,586,219 | |||||
Securities lending reinvestment vehicle — affiliated issuer | (33,610 | ) | ||||
Futures | 85,295 | |||||
| Net realized and unrealized gain from investment and futures transactions | 44,803,072 | |||||
| NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS | $ | 50,778,211 | ||||
| (a) | Institutional and Service Shares had Transfer Agent fees of $63,821 and $21,560, respectively. |
GOLDMAN SACHS VARIABLE INSURANCE TRUST STRUCTURED U.S. EQUITY FUND
Statements of Changes in Net Assets
| For the | For the | |||||||||
| Fiscal Year Ended | Fiscal Year Ended | |||||||||
| December 31, 2010 | December 31, 2009 | |||||||||
| From operations: | ||||||||||
| Net investment income | $ | 5,975,139 | $ | 7,195,849 | ||||||
| Net realized gain (loss) from investment and futures transactions | 21,165,168 | (75,374,280 | ) | |||||||
| Net change in unrealized gain on investments and futures | 23,637,904 | 148,918,901 | ||||||||
| Net increase in net assets resulting from operations | 50,778,211 | 80,740,470 | ||||||||
| Distributions to shareholders: | ||||||||||
| From net investment income | ||||||||||
Institutional Shares | (4,505,171 | ) | (6,370,564 | ) | ||||||
Service Shares | (1,334,105 | ) | (1,887,246 | ) | ||||||
| Total distributions to shareholders | (5,839,276 | ) | (8,257,810 | ) | ||||||
| From share transactions: | ||||||||||
| Proceeds from sales of shares | 8,446,580 | 10,818,239 | ||||||||
| Reinvestment of distributions | 5,839,276 | 8,257,810 | ||||||||
| Cost of shares redeemed | (81,171,074 | ) | (89,222,749 | ) | ||||||
| Net decrease in net assets resulting from share transactions | (66,885,218 | ) | (70,146,700 | ) | ||||||
| TOTAL INCREASE (DECREASE) | (21,946,283 | ) | 2,335,960 | |||||||
| Net assets: | ||||||||||
| Beginning of year | 453,065,923 | 450,729,963 | ||||||||
| End of year | $ | 431,119,640 | $ | 453,065,923 | ||||||
| Accumulated undistributed net investment income | $ | 409,488 | $ | 273,625 | ||||||
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 | Ratio of | |||||||||||||||||||||||||||||||||||||||||||||||||||||||
| Net | Distributions to shareholders | Ratio of | net | |||||||||||||||||||||||||||||||||||||||||||||||||||||
| Net asset | realized | From | Net asset | Net assets, | Ratio of | total | investment | |||||||||||||||||||||||||||||||||||||||||||||||||
| value, | Net | and | Total from | From net | 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, | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||
| 2010 - Institutional | $ | 9.50 | $ | 0.14 | $ | 1.08 | $ | 1.22 | $ | (0.15 | ) | $ | — | $ | (0.15 | ) | $ | 10.57 | 12.84 | % | $ | 319,948 | 0.64 | % | 0.70 | % | 1.45 | % | 38 | % | ||||||||||||||||||||||||||
| 2010 - Service | 9.51 | 0.12 | 1.08 | 1.20 | (0.13 | ) | — | (0.13 | ) | 10.58 | 12.60 | 111,171 | 0.85 | 0.95 | 1.25 | 38 | ||||||||||||||||||||||||||||||||||||||||
| 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 | |||||||||||||||||||||||||||||||||||||
| (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.
15
GOLDMAN SACHS VARIABLE INSURANCE TRUST STRUCTURED U.S. EQUITY FUND
Notes to Financial Statements
December 31, 2010
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 Asset Management, L.P. (“GSAM”), an affiliate of Goldman, Sachs & Co. (“Goldman Sachs”), serves as investment adviser to the Fund pursuant to a management agreement (the “Agreement”) with the Trust.
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. 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 the 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.
B. 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
GOLDMAN SACHS VARIABLE INSURANCE TRUST STRUCTURED U.S. EQUITY FUND
| 2. SIGNIFICANT ACCOUNTING POLICIES (continued) |
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.
Investment income 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.
C. Expenses — Expenses incurred by the Trust that do not specifically relate to an individual Fund of the Trust are allocated to the Fund on a straight-line and/or pro-rata basis depending upon the nature of the expense and are accrued daily.
D. 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, the Fund is not required to make any provisions for the payment of federal income tax. 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.
E. Futures Contracts — 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 its obligations under these contracts.
3. 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
GOLDMAN SACHS VARIABLE INSURANCE TRUST STRUCTURED U.S. EQUITY FUND
Notes to Financial Statements (continued)
December 31, 2010
| 3. FAIR VALUE OF INVESTMENTS (continued) |
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 significant inputs are observable (including, but not limited to, quoted prices for similar securities, interest rates, foreign exchange rates, volatility and credit spreads), either directly or indirectly;
Level 3 — Prices or valuations that require significant unobservable inputs (including GSAM’s assumptions in determining fair value measurement).
The following is a summary of the Fund’s investments categorized in the fair value hierarchy as of December 31, 2010:
| Level 1 | Level 2 | Level 3 | ||||||||||
Assets | ||||||||||||
| Common Stock and/or Other Equity Investments | $ | 420,812,383 | $ | — | $ | — | ||||||
| Securities Lending Reinvestment Vehicle | 643,500 | — | — | |||||||||
| Short-term Investment | 10,822,561 | — | — | |||||||||
| Derivatives | 102,330 | — | — | |||||||||
| Total | $ | 432,380,774 | $ | — | $ | — | ||||||
4. 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 paid monthly, equal to an annual percentage rate of the Fund’s average daily net assets.
For the fiscal year ended December 31, 2010, 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 | |||||||||||||||||
| 0.62 | % | 0.59 | % | 0.56 | % | 0.55 | % | 0.54 | % | 0.62 | % | |||||||||||
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, which serves as distributor, is entitled to a fee computed daily and paid monthly for distribution services, which may then be paid by Goldman Sachs to authorized dealers, equal to, on an annual basis, 0.25% of the Fund’s average daily net assets attributable to Service Shares. Goldman Sachs has 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. The distribution and service fee waiver will remain in place through at least April 30, 2011, and prior to such date Goldman Sachs may not terminate the arrangement without the approval of the trustees. For the fiscal year ended December 31, 2010, Goldman Sachs waived approximately $43,100 in distribution and service fees for the Fund’s Services 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 computed daily and paid monthly at an annual rate of 0.02% of the average daily net assets for Institutional and Service Shares.
GOLDMAN SACHS VARIABLE INSURANCE TRUST STRUCTURED U.S. EQUITY FUND
| 4. AGREEMENTS AND AFFILIATED TRANSACTIONS (continued) |
D. Other Expense Agreements and Affiliated Transactions — GSAM has agreed to limit certain “Other Expense” (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. Such Other 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. These Other Expense reimbursement will remain in place through at least April 30, 2011, and prior to such date GSAM may not terminate the arrangement without the approval of the trustees. For the fiscal year ended December 31, 2010, GSAM reimbursed approximately $246,700 to the Fund.
As of December 31, 2010, amounts owed to affiliates were approximately $225,600, $19,600 and $7,300 for management, distribution and service, and transfer agent fees, respectively.
E. Line of Credit Facility — As of December 31, 2010, the Fund participated in a $580,000,000 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 could increase the credit amount by an additional $340,000,000, for a total of up to $920,000,000. This facility is to be used solely for temporary or emergency purposes. The interest rate on borrowings is based on the federal funds rate. The 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, 2010, the Fund did not have any borrowings under the facility. Prior to May 11, 2010, the amount available through the facility was $660,000,000.
F. Other Transactions with Affiliates — For the fiscal year ended December 31, 2010, Goldman Sachs earned approximately $2,500 in brokerage commissions from portfolio transactions, including futures transactions executed with Goldman Sachs as the Futures Commission Merchant, on behalf of the Fund.
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.
GOLDMAN SACHS VARIABLE INSURANCE TRUST STRUCTURED U.S. EQUITY FUND
Notes to Financial Statements (continued)
December 31, 2010
| 5. INVESTMENTS IN DERIVATIVES (continued) |
During the fiscal year ended December 31, 2010, the Fund entered into futures contracts with respect to a representative index to seek to increase total return. The following table sets forth, by certain risk types, the gross value of these derivative contracts for trading activities as of December 31, 2010. The value in the table below excludes the effects of cash collateral received or posted pursuant to these derivative contracts, and therefore is not representative of the Fund’s net exposure.
| Statement of | ||||||||
| Assets and Liabilities | ||||||||
| Risk | Location | Assets | ||||||
| Equity | Due from broker — variation margin | $ | 102,330(a | ) | ||||
| (a) | Includes unrealized gain (loss) on 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. |
The following table sets forth, by certain risk types, the Fund’s gains (losses) related to these derivatives and their indicative volumes for the fiscal year ended December 31, 2010. 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 | Average | ||||||||||||||
| Net Realized | Unrealized | Number of | |||||||||||||
| Risk | Statement of Operations Location | Gain (Loss) | Gain (Loss) | Contracts(a) | |||||||||||
| Equity | Net realized gain (loss) from futures transactions/Net change in unrealized gain (loss) on futures | $ | 791,768 | $ | 85,295 | 139 | |||||||||
| (a) | Average number of contracts is based on the average of month end balances for the fiscal year ended December 31, 2010. |
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, 2010, were $157,186,576 and $224,041,777, respectively.
7. SECURITIES LENDING
Pursuant to exemptive relief granted by the Securities and Exchange Commission (“SEC”) 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 their 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.
Effective December 29, 2010, the Fund invests the cash collateral received in connection with securities lending transactions in the Goldman Sachs Financial Square Money Market Fund (“Money Market Fund”), a series of Goldman Sachs Trust, a Delaware statutory trust. The Money Market Fund, deemed an affiliate of the Trust, is registered under the Act as an open end investment company, is subject to Rule 2a-7 under the Act, and is managed by GSAM, for which GSAM may receive an investment advisory fee of up to 0.205% on an annualized basis of the average daily net assets of the Money Market Fund. Prior to December 29, 2010, the Fund invested the cash collateral received in connection with securities lending transactions in the Enhanced Portfolio II of Boston Global Investment Trust (“Enhanced Portfolio II”), a
GOLDMAN SACHS VARIABLE INSURANCE TRUST STRUCTURED U.S. EQUITY FUND
| 7. SECURITIES LENDING (continued) |
Delaware statutory trust. The Enhanced Portfolio II, deemed an affiliate of the Trust, was exempt from registration under Section 3(c)(7) of the Act and managed by GSAM, for which GSAM received 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 invested primarily in short-term investments, but was not a “money market fund” subject to the requirements of Rule 2a-7 of the Act.
Both the Fund and GSAL received compensation relating to the lending of the Fund’s securities. The amount earned by the Fund for the fiscal year ended December 31, 2010, is reported under Investment Income on the Statement of Operations. A portion of this amount, $1,052, represents compensation earned by the Fund from lending its securities to Goldman Sachs. For the fiscal year ended December 31, 2010, GSAL earned $747 in fees as securities lending agent.
The following table provides information about the Fund’s investment in the Enhanced Portfolio II and Money Market Fund for the fiscal year ended December 31, 2010 (in thousands):
| Number of | Number of | |||||||||||||||||||
| Shares Held | Shares Held | Value at End | ||||||||||||||||||
| Fund | Beginning of Year | Shares Bought | Shares Sold | End of Year | of Year | |||||||||||||||
| Enhanced Portfolio II | 33,609 | 12,720 | (46,329 | ) | — | $ | — | |||||||||||||
| Money Market Fund | — | 644 | — | 644 | 644 | |||||||||||||||
8. TAX INFORMATION
The tax character of distributions paid during the fiscal years ended December 31, 2009 and December 31, 2010 was as follows:
| 2009 | 2010 | |||||||
| Distributions paid from ordinary income | $ | 8,257,810 | $ | 5,839,276 | ||||
As of December 31, 2010, the components of accumulated earnings (losses) on a tax basis were as follows:
| Undistributed ordinary income — net | $ | 409,488 | ||
Capital loss carryforward:(1) | ||||
| Expiring 2016 | (100,034,314 | ) | ||
| Expiring 2017 | (139,998,215 | ) | ||
| Total capital loss carryforward | $ | (240,032,529 | ) | |
| Unrealized gains — net | 68,171,487 | |||
| Total accumulated losses — net | $ | (171,451,554 | ) | |
| (1) | Expiration occurs on December 31 of the year indicated. The Fund had capital loss carryforwards of $11,031,812 and $20,707,504 that were expired and utilized, respectively, in the current fiscal year. |
GOLDMAN SACHS VARIABLE INSURANCE TRUST STRUCTURED U.S. EQUITY FUND
Notes to Financial Statements (continued)
December 31, 2010
| 8. TAX INFORMATION (continued) |
As of December 31, 2010, the Fund’s aggregate security unrealized gains and losses based on cost for U.S. federal income tax purposes was as follows:
| Tax cost | $ | 364,106,957 | ||
| Gross unrealized gain | 72,620,115 | |||
| Gross unrealized loss | (4,448,628 | ) | ||
| Net unrealized security gain | $ | 68,171,487 | ||
The difference between GAAP-basis and tax-basis unrealized gains (losses) is attributable primarily to wash sales and net mark to market gains (losses) on regulated futures contracts.
In order to present certain components of the Fund’s capital accounts on a tax basis, the Fund has reclassified $11,031,812 from paid-in capital to accumulated net realized loss from investment transactions. These reclassifications have no impact on the net asset value of the Fund and result from expired capital loss carryforwards.
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.
9. OTHER RISKS
Fund’s Shareholder Concentration Risk — 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 entities of their holdings in the Fund may impact the Fund’s liquidity and NAV. These redemptions may also force the Fund to sell securities.
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.
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. SUBSEQUENT EVENTS
Subsequent events after the balance sheet date have been evaluated through the date the financial statements were issued. GSAM has concluded that there is no impact requiring adjustment or disclosure in the financial statements.
GOLDMAN SACHS VARIABLE INSURANCE TRUST STRUCTURED U.S. EQUITY FUND
12. SUMMARY OF SHARE TRANSACTIONS
Share activity is as follows:
| For the Fiscal Year Ended | For the Fiscal Year Ended | |||||||||||||||
| December 31, 2010 | December 31, 2009 | |||||||||||||||
| Shares | Dollars | Shares | Dollars | |||||||||||||
Institutional Shares | ||||||||||||||||
| Shares sold | 635,836 | $ | 5,898,249 | 882,949 | $ | 6,944,789 | ||||||||||
| Reinvestment of distributions | 426,626 | 4,505,171 | 668,475 | 6,370,564 | ||||||||||||
| Shares redeemed | (6,622,266 | ) | (64,503,333 | ) | (8,810,469 | ) | (71,712,860 | ) | ||||||||
| (5,559,804 | ) | (54,099,913 | ) | (7,259,045 | ) | (58,397,507 | ) | |||||||||
Service Shares | ||||||||||||||||
| Shares sold | 264,407 | 2,548,331 | 473,655 | 3,873,450 | ||||||||||||
| Reinvestment of distributions | 126,097 | 1,334,105 | 197,825 | 1,887,246 | ||||||||||||
| Shares redeemed | (1,710,786 | ) | (16,667,741 | ) | (2,171,765 | ) | (17,509,889 | ) | ||||||||
| (1,320,282 | ) | (12,785,305 | ) | (1,500,285 | ) | (11,749,193 | ) | |||||||||
NET DECREASE | (6,880,086 | ) | $ | (66,885,218 | ) | (8,759,330 | ) | $ | (70,146,700 | ) | ||||||
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, 2010, 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, 2010 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 14, 2011
GOLDMAN SACHS VARIABLE INSURANCE TRUST STRUCTURED U.S. EQUITY FUND
Fund Expenses — Six Month Period Ended December 31, 2010 (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, 2010 through December 31, 2010.
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 (loads), redemption fees, or exchange fees, but shareholders of other funds may incur such costs. The second line of the table is useful in comparing 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 | 7/01/10 | 12/31/10 | 12/31/10* | ||||||||||||
Institutional | |||||||||||||||
| Actual | $ | 1,000 | $ | 1,221.00 | $ | 3.58 | |||||||||
| Hypothetical 5% return | 1,000 | 1,021.98 | + | 3.26 | |||||||||||
Service | |||||||||||||||
| Actual | 1,000 | 1,219.60 | 4.76 | ||||||||||||
| Hypothetical 5% return | 1,000 | 1,020.92 | + | 4.33 | |||||||||||
| * | 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, 2010. 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 0.64% and 0.85% 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 Age1,2 | with the Trust | Time Served3 | During Past 5 Years | Trustee4 | Held by Trustee5 | |||||
| Ashok N. Bakhru Age: 68 | Chairman of the Board of Trustees | Since 1996 (Trustee Since 1991) | President, ABN 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-Linked Investors II (April 2002-2007); and Chairman, Lenders Service Inc. (provider of mortgage lending services ) (2000-2003). Chairman of the Board of Trustees—Goldman Sachs Mutual Fund Complex. | 90 | Apollo Investment Corporation (a business development company) | |||||
| Donald C. Burke Age: 50 | Trustee | Since 2010 | Director, BlackRock Luxembourg and Cayman Funds (2006-2010); President and Chief Executive Officer, BlackRock U.S. Funds (2007-2009); Managing Director, BlackRock, Inc. (2006-2009); Managing Director, Merrill Lynch Investment Managers, L.P. (“MLIM”) (2006); First Vice President, MLIM (1997-2005); Chief Financial Officer and Treasurer, MLIM U.S. Funds (1999-2006). Trustee—Goldman Sachs Mutual Fund Complex. | 90 | None | |||||
| John P. Coblentz, Jr. Age: 69 | 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. | 90 | None | |||||
| Diana M. Daniels Age: 61 | 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 Vice Chair of the Board of Trustees, Cornell University (2009-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. | 90 | None | |||||
| Joseph P. LoRusso Age: 53 | Trustee | Since 2010 | President, Fidelity Investments Institutional Services Co. (“FIIS”) (2002-2008); Director, FIIS (2002-2008); Director, Fidelity Investments Institutional Operations Company (2003-2007); Executive Officer, Fidelity Distributors Corporation (2007-2008). Trustee—Goldman Sachs Mutual Fund Complex. | 90 | None | |||||
| Jessica Palmer Age: 61 | Trustee | Since 2007 | Ms. Palmer is retired. Formerly, she was Consultant, Citigroup Human Resources Department (2007-2008); Managing Director, Citigroup Corporate and Investment Banking (previously, Salomon Smith Barney/Salomon Brothers) (1984-2006). Ms. Palmer was a Member of the Board of Trustees of Indian Mountain School (private elementary and secondary school) (2004-2009). Trustee—Goldman Sachs Mutual Fund Complex. | 90 | None | |||||
GOLDMAN SACHS VARIABLE INSURANCE TRUST STRUCTURED U.S. EQUITY FUND
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 Age1,2 | with the Trust | Time Served3 | During Past 5 Years | Trustee4 | Held by Trustee5 | |||||
| Richard P. Strubel Age: 71 | 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. | 90 | 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 Age1,2 | with the Trust | Time Served3 | During Past 5 Years | Trustee4 | Held by Trustee5 | |||||
| James A. McNamara* Age: 48 | 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). | 90 | None | |||||
| Alan A. Shuch* Age: 61 | 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. | 90 | 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, 200 West Street, New York, New York, 10282, Attn: Peter V. Bonanno. Information is provided as of December 31, 2010. | |
| 2 | From 2000 until September 30, 2010, Patrick T. Harker also served as Trustee of the Trust and of the Goldman Sachs Mutual Fund Complex. Mr. Harker resigned from these positions on September 30, 2010. | |
| 3 | 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 74 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. | |
| 4 | The Goldman Sachs Mutual Fund Complex consists of the Trust, Goldman Sachs Trust, Goldman Sachs Municipal Opportunity Fund and Goldman Sachs Credit Strategies Fund. As of December 31, 2010, the Trust consisted of 11 portfolios, Goldman Sachs Trust consisted of 77 portfolios and the Goldman Sachs Municipal Opportunity Fund did not offer shares to the public. | |
| 5 | 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 200 West Street New York, NY 10282 Age: 48 | 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 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 200 West Street New York, NY 10282 Age: 43 | 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 200 West Street New York, NY 10282 Age: 39 | 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. Information is provided as of December 31, 2010. | |
| * | 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 STRUCTURED U.S. EQUITY FUND
Goldman Sachs Variable Insurance Trust — Tax Information (Unaudited)
For the fiscal year ended December 31, 2010, 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 Donald C. Burke* John P. Coblentz, Jr. Diana M. Daniels Joseph P. LoRusso* James A. McNamara Jessica Palmer Alan A. Shuch Richard P. Strubel *Effective August 19, 2010 | 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 200 West Street, New York, New York 10282 | ||
| Visit our website at www.goldmansachsfunds.com/vit to obtain the most recent month-end returns. | ||
| The reports concerning the Fund included in this shareholder report may contain certain forward-looking statements about the factors that may affect the performance of the Fund in the future. These statements are based on Fund management’s predictions and expectations concerning certain future events and their expected impact on the Fund, such as performance of the economy as a whole and of specific industry sectors, changes in the levels of interest rates, the impact of developing world events, and other factors that may influence the future performance of the Fund. Management believes these forward-looking statements to be reasonable, although they are inherently uncertain and difficult to predict. Actual events may cause adjustments in portfolio management strategies from those currently expected to be employed. | ||
| Economic and market forecasts presented herein reflect our judgment as of the date of this presentation and are subject to change without notice. These forecasts do not take into account the specific investment objectives, restrictions, tax and financial situation or other needs of any specific client. Actual data will vary and may not be reflected here. These forecasts are subject to high levels of uncertainty that may affect actual performance. Accordingly, these forecasts should be viewed as merely representative of a broad range of possible outcomes. These forecasts are estimated, based on assumptions, and are subject to significant revision and may change materially as economic and market conditions change. Goldman Sachs has no obligation to provide updates or changes to these forecasts. Case studies and examples are for illustrative purposes only. | ||
| 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”) website 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 or summary prospectus, if applicable. Investors should consider a Fund’s objective, risks, and charges and expenses, and read the summary prospectus, if available, and/or the Prospectus carefully before investing or sending money. The summary prospectus, if available, and the Prospectus contain this and other information about a Fund and may be obtained from your authorized dealer or from Goldman, Sachs & Co. by calling 1-800-621-2550. | ||
| 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. | ||
| © 2011 Goldman Sachs. All rights reserved. | ||
| VITSTRUSAR11/47826.MF.MED.TMPL/2/2011 | ||
Goldman
Sachs Variable Insurance Trust
Structured Small Cap Equity Fund
Annual Report
December 31, 2010
|
GOLDMAN SACHS VARIABLE INSURANCE TRUST STRUCTURED SMALL CAP EQUITY FUND
Principal Investment Strategies and Risks
Shares of the Goldman Sachs Variable Insurance Trust — Goldman Sachs Structured Small Cap Equity Fund are offered to separate accounts of participating life insurance companies for the purpose of funding variable annuity contracts and variable life insurance policies. Shares of the Fund are not offered directly to the general public. The variable annuity contracts and variable life insurance policies are described in the separate prospectuses issued by participating insurance companies. You should refer to those prospectuses for information about surrender charges, mortality and expense risk fees and other charges that may be assessed by participating insurance companies under the variable annuity contracts or variable life insurance policies. Such fees or charges, if any, may affect the return you realize with respect to your investments. Ask your representative for more complete information. Please consider the Fund’s objective, risks and charges and expenses, and read the Prospectus carefully before investing. The Prospectus contains this and other information about the Fund.
GOLDMAN SACHS VARIABLE INSURANCE TRUST STRUCTURED SMALL CAP EQUITY FUND
INVESTMENT OBJECTIVE
The Fund seeks long-term growth of capital.
Portfolio Management Discussion and Analysis
Below, the Goldman Sachs Quantitative Investment Strategies Team discusses the performance of Goldman Sachs Variable Insurance Trust (“VIT”) — Goldman Sachs Structured Small Cap Equity Fund (the “Fund”) and positioning for the 12-month period ended December 31, 2010 (the “Reporting Period”).
How did the Fund perform during the Reporting Period?
During the Reporting Period, the Fund’s Institutional and Service Shares generated average annual total returns of 30.12% and 29.86%, respectively. These returns compare to the 26.85% 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?
U.S. equities began 2010 with their strongest annual start in over a decade, despite a lack of conviction from underlying economic data. While housing and labor data remained mixed, investors opted to view this, in combination with statements from the Federal Reserve Board (the Fed), as supportive of ongoing accommodative monetary policy. Further, increasing levels of corporate cash, high productivity and significant cost cutting fueled expectations of forthcoming business spending and corporate profits. Investor sentiment turned sharply in late April, and the U.S. equity market broke a four-quarter winning streak with a sharp drop in the second quarter that erased modest gains from the previous quarter and sent most major equity indices into negative territory for the first half of the Reporting Period. The equity markets reflected investor angst regarding the health of Europe’s financial system and the potential that the continent’s sovereign debt dilemma could spark another financial crisis. At the same time, investors became increasingly concerned about growing evidence that the global economy might be losing steam. Indeed, U.S. markets were doused with a number of disappointing economic readings at the end of June. Adding pressure were China’s attempts to cool its nation’s property market along with a decline in Chinese leading economic indicators that fueled fears of slowing global demand.
In the third quarter, U.S. equities roared back. The quarter featured strong corporate earnings announcements as well as news that the U.S. had officially come out of its economic recession in June. Still, concerns remained about the pace of the recovery, evidenced by the Fed’s signaling a willingness to take further action if necessary. U.S. equities indices, for example, S&P 500 capped 2010 on a note of optimism. Positive data points from December included robust retail sales figures and strong increases in purchasing and manufacturing surveys.
While all capitalization segments of the U.S. equity market advanced during the Reporting Period overall, the U.S. small-cap equity market, as measured by the Russell Index, performed best, followed closely behind by mid-cap stocks, as measured by the Russell Midcap® Index. Large-cap stocks, as measured by the Russell 1000® Index, trailed, though still posted double-digit returns. Large-cap stocks were least successful relative to small-cap stocks in the information technology sector. Within the U.S. small-cap equity segment, all sectors were up, but growth-oriented stocks outperformed value-oriented stocks during the Reporting Period. The Russell 2000® Growth Index returned 29.09% compared to the 24.50% return of the Russell 2000® Value Index. The Russell 2000® Growth Index has a heavier weighting in the consumer discretionary sector, which strongly outpaced the index average 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 believed to be a significant investment advantage over the long term, even though the Fund may experience underperformance in the short term.
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 Management theme contributing the most positively to results, followed by Momentum and Valuation. The Quality theme also added value, albeit to a lesser extent. The Management theme assesses the characteristics, policies and strategic decisions of company management. The Momentum theme seeks to predict drifts in stock prices caused by under-reaction to company-specific information. Valuation attempts to capture potential mispricings of securities, typically by comparing a measure of the company’s intrinsic value to its market value. Quality evaluates whether the company’s earnings are coming from more persistent, cash-based sources, as opposed to accruals.
The Sentiment theme detracted from the Fund’s relative results during the Reporting Period, while the Profitability theme had a rather neutral impact on results. The Sentiment theme reflects selected investment views and decisions of individuals and financial intermediaries. The Profitability theme assesses whether a company is earning more than its cost of capital.
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 Index, in terms of its sector allocation and style. 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 Russell Index in optimization. Sector weights or changes in weights generally do not have a meaningful impact on relative performance.
Did stock selection help or hurt Fund performance during the Reporting Period?
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 Russell Index. During the Reporting Period, stock selection overall contributed positively to the Fund’s relative performance.
Stock selection in the energy, consumer discretionary and financials sectors made the biggest positive contribution to the Fund’s results relative to the Russell Index. Only partially offsetting these positives was stock selection in the industrials, health care and consumer staples sectors, which detracted most from the Fund’s results relative to the Russell 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 transactional software provider VeriFone Systems, oilfield machinery and equipment services company Complete Production Services and semiconductor company Silicon Image. We chose to overweight VeriFone Systems because of our positive views on Momentum and Quality. The Fund was overweight Complete Production Services and Silicon Image due to our positive view on Quality.
Which individual positions detracted from the Fund’s results during the Reporting Period?
Detracting most from the Fund’s results relative to the Russell Index were overweight positions in pharmaceutical services firm Pharmerica, passenger airline Allegiant Travel and footwear company Sketchers U.S.A. * Our positive views on Valuation and Profitability led us to overweight Pharmerica. The Fund had an overweighted position in Allegiant Travel because of our positive views on Profitability and Management. The Fund was overweight Skechers U.S.A. due to our positive views on Management and Momentum.
How did the Fund use derivatives during the Reporting Period?
We utilized equity index futures in the Fund during the Reporting Period to ensure the portfolio remained almost fully exposed to equities following cash inflows or stock sales.
Did you make any enhancements to your quantitative models during the Reporting Period?
We continuously look for ways to improve our investment process. Accordingly, we continued our extensive ongoing research process but did not implement any significant model enhancements during the first quarter of 2010. During the second quarter, we continued to improve our factor timing within the Momentum theme. During the third quarter, we implemented several enhancements to our U.S. equity models. First, we introduced a signal within the Profitability theme that seeks to gain exposure to companies that have an attractive product mix across regions. We also added a new signal to the Momentum theme to add to our existing cross-stock signals that are based on customer/supplier relationships and industry classifications. The new signal helps link economically-related companies, which are identified using a composite
* Position no longer held by the Fund.
GOLDMAN SACHS VARIABLE INSURANCE TRUST STRUCTURED SMALL CAP EQUITY FUND
of sources including regulatory filings, corporate disclosures and information from strategic alliances. We believe these enhancements will further add value to our process over time.
During the fourth quarter of 2010, we implemented two major enhancements to our U.S. stock selection model and process. First, we made an improvement to our quantitative portfolio construction methodology that we believe will enable us to tailor the portfolio’s trading to reflect the diverse spectrum of signal speeds or the rate at which stock selection process elements are transmitted. Selecting appropriate implementation speeds for each signal should improve overall net performance. As a result, we believe exposures to virtually all signals should improve. Second, we implemented a significant enhancement, diversifying our factor set by adding new signals across our investment themes. These signals tend to overweight stocks with four general features — strong and stable growth prospects, lower risk of financial distress, inexpensive, and attractive buyout opportunities. We believe these enhancements will further add value to our process over different parts of an economic cycle. They also incorporate tactical elements to time opportunities across and within sectors over time.
What was the Fund’s sector positioning relative to the Russell Index at the end of the Reporting Period?
As of December 31, 2010, the Fund was modestly overweight the consumer discretionary and consumer staples sectors relative to the Russell Index. The Fund was moderately underweight financials, utilities and industrials and health care compared to the Russell Index on the same date.
What is your strategy going forward for the Fund?
Looking ahead, we continue to believe that less expensive stocks should outpace more expensive stocks, and 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 capitalization 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.
FUND BASICS
Structured Small Cap Equity Fund
as of December 31, 2010
STANDARDIZED AVERAGE ANNUAL TOTAL RETURNS1
| For the period ended 12/31/10 | One Year | Five Years | Ten Years | Since Inception | Inception Date | |||||||||||||||
| Institutional | 30.12 | % | 0.55 | % | 5.10 | % | 4.60 | % | 2/13/98 | |||||||||||
| Service | 29.86 | N/A | N/A | 0.69 | 8/31/07 | |||||||||||||||
1 The Standardized Average Annual Total Returns are average annual total returns as of the most recent calendar quarter-end. They assume reinvestment of all distributions at net asset value (“NAV”). These returns are required by securities industry regulations and are designed to establish a standard method of showing mutual fund performance. Because VIT Funds do not involve a sales charge, such a charge is not applied to their Standardized Total Returns.
Total return figures in the above chart represent past performance and do not indicate future results, which will vary. The investment return and principal value of an investment will fluctuate and, therefore, an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance may be lower or higher than the total return figures in the above chart. Please visit www.goldmansachsfunds.com/vit to obtain the most recent month-end returns. Performance reflects fee waivers and/or expense limitations in effect. In their absence, performance would be reduced.
EXPENSE RATIOS2
| Net Expense Ratio (Current) | Gross Expense Ratio (Before Waivers) | |||||||||
| Institutional | 0.86 | % | 1.02 | % | ||||||
| Service | 1.11 | 1.27 | ||||||||
2 The expense ratios of the Fund, both current (net of applicable fee waivers and/or expense limitations) and before waivers (gross of applicable fee waivers and/or expense limitations), are as set forth above according to the most recent publicly available Prospectuses for the Fund and may differ from the expense ratios disclosed in the Financial Highlights in this report. Applicable waivers and expense limitations may be modified or terminated in the future, consistent with the terms of any agreements in place. If this occurs, the expense ratios may change without shareholder approval.
TOP TEN HOLDINGS AS OF 12/31/103
| Holding | % of Net Assets | Line of Business | ||||||
| Allegiant Travel Co. | 2.0 | % | Transportation | |||||
| Tesoro Corp. | 1.6 | Energy | ||||||
| VeriFone Systems, Inc. | 1.4 | Software & Services | ||||||
| Complete Production Services, Inc. | 1.2 | Energy | ||||||
| Rayonier, Inc. | 1.2 | Real Estate Investment Trust | ||||||
| Lattice Semiconductor Corp. | 1.1 | Semiconductors & Semiconductor Equipment | ||||||
| Nationwide Health Properties, Inc. | 1.1 | Real Estate Investment Trust | ||||||
| International Bancshares Corp. | 1.0 | Banks | ||||||
| Lancaster Colony Corp. | 0.9 | Food, Beverage & Tobacco | ||||||
| Polaris Industries, Inc. | 0.9 | Consumer Durables & Apparel | ||||||
3 The top 10 holdings may not be representative of the Fund’s future investments.
FUND BASICS
FUND vs. BENCHMARK SECTOR ALLOCATIONS4
As of December 31, 2010
4 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 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 2.9% of the Fund’s net assets at December 31, 2010. Short-term investments represent investments in investment companies other than those that are exchange traded.
GOLDMAN SACHS VARIABLE INSURANCE TRUST STRUCTURED SMALL CAP EQUITY FUND
Performance Summary
December 31, 2010
The following graph shows the value as of December 31, 2010, of a $10,000 investment made on January 1, 2001 in Institutional Shares at NAV. 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
Performance of a $10,000 investment, with distributions reinvested, from January 1, 2001 through December 31, 2010.
| Average Annual Total Return through December 31, 2010 | One Year | Five Years | Ten Years | Since Inception | ||||||||||||
Institutional (Commenced February 13, 1998) | 30.12% | 0.55% | 5.10% | 4.60% | ||||||||||||
Service (Commenced August 31, 2007) | 29.86% | N/A | N/A | 0.69% | ||||||||||||
GOLDMAN SACHS VARIABLE INSURANCE TRUST STRUCTURED SMALL CAP EQUITY FUND
Schedule of Investments
December 31, 2010
| Shares | Description | Value | ||||||||
Common Stocks – 97.1% | ||||||||||
| Automobiles & Components – 2.0% | ||||||||||
| 22,229 | American Axle & Manufacturing Holdings, Inc.* | $ | 285,865 | |||||||
| 4,736 | Amerigon, Inc.* | 51,528 | ||||||||
| 40,506 | Dana Holding Corp.* | 697,108 | ||||||||
| 13,519 | Modine Manufacturing Co.* | 209,545 | ||||||||
| 13,146 | Spartan Motors, Inc. | 80,059 | ||||||||
| 13,479 | Standard Motor Products, Inc. | 184,662 | ||||||||
| 22,346 | Stoneridge, Inc.* | 352,843 | ||||||||
| 17,077 | Superior Industries International, Inc. | 362,374 | ||||||||
| 7,973 | TRW Automotive Holdings Corp.* | 420,177 | ||||||||
| 2,644,161 | ||||||||||
| Banks – 4.8% | ||||||||||
| 3,894 | 1st Source Corp. | 78,815 | ||||||||
| 19,073 | Astoria Financial Corp. | 265,306 | ||||||||
| 6,330 | Banco Latinoamericano de Comercio Exterior SA Class E | 116,852 | ||||||||
| 4,778 | Commerce Bancshares, Inc. | 189,830 | ||||||||
| 74,687 | CVB Financial Corp.(a) | 647,536 | ||||||||
| 24,110 | First Bancorp | 369,124 | ||||||||
| 6,132 | First Bancorp, Inc. | 96,824 | ||||||||
| 11,406 | First Financial Bancorp | 210,783 | ||||||||
| 12,553 | First Interstate Bancsystem, Inc. | 191,308 | ||||||||
| 4,567 | FirstMerit Corp. | 90,381 | ||||||||
| 5,555 | FNB Corp. | 54,550 | ||||||||
| 38,007 | Fulton Financial Corp. | 392,992 | ||||||||
| 3,265 | Glacier Bancorp, Inc. | 49,334 | ||||||||
| 14,075 | Great Southern Bancorp, Inc. | 332,029 | ||||||||
| 64,629 | International Bancshares Corp. | 1,294,519 | ||||||||
| 14,386 | Investors Bancorp, Inc.* | 188,744 | ||||||||
| 28,832 | NewAlliance Bancshares, Inc. | 431,903 | ||||||||
| 3,893 | Northfield Bancorp, Inc. | 51,855 | ||||||||
| 70,828 | Popular, Inc.* | 222,400 | ||||||||
| 11,699 | Renasant Corp.(a) | 197,830 | ||||||||
| 2,231 | SVB Financial Group* | 118,355 | ||||||||
| 2,979 | TCF Financial Corp. | 44,119 | ||||||||
| 19,977 | Texas Capital Bancshares, Inc.* | 424,911 | ||||||||
| 50,591 | Wilshire Bancorp, Inc.(a) | 385,503 | ||||||||
| 6,445,803 | ||||||||||
| Capital Goods – 7.5% | ||||||||||
| 1,857 | Alamo Group, Inc. | 51,662 | ||||||||
| 11,114 | Albany International Corp. Class A | 263,291 | ||||||||
| 6,857 | American Woodmark Corp. | 168,271 | ||||||||
| 5,369 | Applied Industrial Technologies, Inc. | 174,385 | ||||||||
| 1,383 | Armstrong World Industries, Inc. | 59,469 | ||||||||
| 5,325 | ArvinMeritor, Inc.* | 109,269 | ||||||||
| 8,057 | Astec Industries, Inc.* | 261,127 | ||||||||
| 2,507 | Astronics Corp.* | 52,647 | ||||||||
| 1,658 | Belden, Inc. | 61,047 | ||||||||
| 28,797 | Briggs & Stratton Corp. | 567,013 | ||||||||
| 9,482 | Ceradyne, Inc.* | 298,967 | ||||||||
| 4,177 | Cubic Corp. | 196,945 | ||||||||
| 4,623 | Ducommun, Inc. | 100,689 | ||||||||
| 8,338 | Encore Wire Corp. | $ | 209,117 | |||||||
| 7,773 | EnPro Industries, Inc.* | 323,046 | ||||||||
| 2,829 | Franklin Electric Co., Inc. | 110,105 | ||||||||
| 3,446 | Generac Holdings, Inc.* | 55,722 | ||||||||
| 13,667 | General Cable Corp.* | 479,575 | ||||||||
| 977 | Hubbell, Inc. Class B | 58,747 | ||||||||
| 3,119 | II-VI, Inc.* | 144,597 | ||||||||
| 14,762 | Kadant, Inc.* | 347,940 | ||||||||
| 3,622 | LMI Aerospace, Inc.* | 57,916 | ||||||||
| 43,981 | LSI Industries, Inc. | 372,079 | ||||||||
| 8,267 | Lydall, Inc.* | 66,549 | ||||||||
| 17,917 | Miller Industries, Inc. | 254,959 | ||||||||
| 25,011 | Mueller Industries, Inc. | 817,860 | ||||||||
| 8,408 | NACCO Industries, Inc. Class A | 911,175 | ||||||||
| 8,325 | Oshkosh Corp.* | 293,373 | ||||||||
| 1,755 | Polypore International, Inc.* | 71,481 | ||||||||
| 2,702 | Quanex Building Products Corp. | 51,257 | ||||||||
| 647 | Regal-Beloit Corp. | 43,194 | ||||||||
| 7,062 | Sauer-Danfoss, Inc.* | 199,501 | ||||||||
| 1,777 | Simpson Manufacturing Co., Inc. | 54,927 | ||||||||
| 19,312 | Tecumseh Products Co. Class A* | 252,022 | ||||||||
| 4,987 | Tennant Co. | 191,551 | ||||||||
| 15,036 | Toro Co.(b) | 926,819 | ||||||||
| 6,519 | Tredegar Corp. | 126,338 | ||||||||
| 4,980 | TriMas Corp.* | 101,891 | ||||||||
| 1,857 | United Rentals, Inc.* | 42,247 | ||||||||
| 12,563 | Universal Forest Products, Inc. | 488,701 | ||||||||
| 11,061 | Vicor Corp. | 181,400 | ||||||||
| 6,945 | Wabash National Corp.* | 82,298 | ||||||||
| 3,121 | Watsco, Inc. | 196,873 | ||||||||
| 5,741 | Woodward Governor Co. | 215,632 | ||||||||
| 10,093,674 | ||||||||||
| Commercial & Professional Services – 2.7% | ||||||||||
| 6,580 | Administaff, Inc. | 192,794 | ||||||||
| 17,398 | CDI Corp. | 323,429 | ||||||||
| 577 | Clean Harbors, Inc.* | 48,514 | ||||||||
| 1,500 | Copart, Inc.* | 56,025 | ||||||||
| 23,393 | HNI Corp. | 729,862 | ||||||||
| 48,423 | Kelly Services, Inc. Class A* | 910,352 | ||||||||
| 30,916 | Kforce, Inc.* | 500,221 | ||||||||
| 25,263 | Kimball International, Inc. Class B | 174,315 | ||||||||
| 19,607 | SFN Group, Inc.* | 191,364 | ||||||||
| 10,824 | Steelcase, Inc. Class A | 114,410 | ||||||||
| 6,282 | United Stationers, Inc.* | 400,854 | ||||||||
| 3,642,140 | ||||||||||
| Consumer Durables & Apparel – 3.6% | ||||||||||
| 9,389 | Blyth, Inc. | 323,733 | ||||||||
| 9,121 | Columbia Sportswear Co.(a) | 549,996 | ||||||||
| 2,729 | CSS Industries, Inc. | 56,245 | ||||||||
| 1,751 | Fossil, Inc.* | 123,410 | ||||||||
| 8,198 | Harman International Industries, Inc.* | 379,567 | ||||||||
| 18,768 | iRobot Corp.* | 466,948 | ||||||||
| 29,873 | Kenneth Cole Productions, Inc. Class A* | 373,114 | ||||||||
GOLDMAN SACHS VARIABLE INSURANCE TRUST STRUCTURED SMALL CAP EQUITY FUND
| Shares | Description | Value | ||||||||
Common Stocks – (continued) | ||||||||||
| Consumer Durables & Apparel – (continued) | ||||||||||
| 5,880 | Mohawk Industries, Inc.* | $ | 333,749 | |||||||
| 17,085 | Oxford Industries, Inc. | 437,547 | ||||||||
| 19,424 | Perry Ellis International, Inc.* | 533,577 | ||||||||
| 15,005 | Polaris Industries, Inc. | 1,170,690 | ||||||||
| 1,545 | Under Armour, Inc. Class A* | 84,728 | ||||||||
| 4,833,304 | ||||||||||
| Consumer Services – 2.7% | ||||||||||
| 2,512 | Biglari Holdings, Inc.* | 1,030,448 | ||||||||
| 13,647 | Boyd Gaming Corp.* | 144,658 | ||||||||
| 2,793 | Choice Hotels International, Inc. | 106,888 | ||||||||
| 34,361 | Domino’s Pizza, Inc.* | 548,058 | ||||||||
| 48,755 | O’Charleys, Inc.* | 351,036 | ||||||||
| 1,794 | Panera Bread Co. Class A* | 181,571 | ||||||||
| 22,693 | Papa John’s International, Inc.* | 628,596 | ||||||||
| 1,389 | Peet’s Coffee & Tea, Inc.* | 57,977 | ||||||||
| 7,245 | Pre-Paid Legal Services, Inc.*(a) | 436,511 | ||||||||
| 9,981 | Texas Roadhouse, Inc.* | 171,374 | ||||||||
| 3,657,117 | ||||||||||
| Diversified Financials – 4.4% | ||||||||||
| 92,314 | Advance America, Cash Advance Centers, Inc. | 520,651 | ||||||||
| 27,432 | BlackRock Kelso Capital Corp. | 303,398 | ||||||||
| 6,023 | Cash America International, Inc. | 222,429 | ||||||||
| 43,359 | Compass Diversified Holdings | 767,021 | ||||||||
| 677 | Diamond Hill Investment Group, Inc. | 48,974 | ||||||||
| 13,822 | Federated Investors, Inc. Class B(a) | 361,722 | ||||||||
| 2,826 | Financial Engines, Inc.* | 56,040 | ||||||||
| 9,011 | First Cash Financial Services, Inc.* | 279,251 | ||||||||
| 7,909 | GAMCO Investors, Inc. Class A | 379,711 | ||||||||
| 17,521 | Gladstone Capital Corp. | 201,842 | ||||||||
| 3,595 | Golub Capital BDC, Inc. | 61,546 | ||||||||
| 29,610 | Hercules Technology Growth Capital, Inc. | 306,760 | ||||||||
| 5,467 | International Assets Holding Corp.* | 129,021 | ||||||||
| 4,718 | Life Partners Holdings, Inc.(a) | 90,255 | ||||||||
| 37,002 | NGP Capital Resources Co. | 340,418 | ||||||||
| 60,795 | Primus Guaranty Ltd.* | 308,839 | ||||||||
| 5,589 | Safeguard Scientifics, Inc.* | 95,460 | ||||||||
| 4,200 | SEI Investments Co. | 99,918 | ||||||||
| 4,373 | Solar Capital Ltd. | 108,363 | ||||||||
| 38,290 | TICC Capital Corp. | 429,231 | ||||||||
| 13,522 | World Acceptance Corp.*(a) | 713,962 | ||||||||
| 5,824,812 | ||||||||||
| Energy – 6.5% | ||||||||||
| 12,358 | Cloud Peak Energy, Inc.* | 287,076 | ||||||||
| 54,741 | Complete Production Services, Inc.* | 1,617,597 | ||||||||
| 6,556 | Dril-Quip, Inc.* | 509,532 | ||||||||
| 4,285 | Exterran Holdings, Inc.* | 102,626 | ||||||||
| 33,920 | Frontier Oil Corp.* | 610,899 | ||||||||
| 2,935 | James River Coal Co.* | 74,344 | ||||||||
| 2,682 | Oil States International, Inc.* | 171,889 | ||||||||
| 15,162 | Petroquest Energy, Inc.* | $ | 114,170 | |||||||
| 12,659 | RPC, Inc.(a) | 229,372 | ||||||||
| 3,926 | SM Energy Co. | 231,359 | ||||||||
| 6,582 | Stone Energy Corp.* | 146,713 | ||||||||
| 113,742 | Tesoro Corp.* | 2,108,777 | ||||||||
| 46,923 | USEC, Inc.* | 282,477 | ||||||||
| 52,936 | W&T Offshore, Inc. | 945,966 | ||||||||
| 86,866 | Western Refining, Inc.* | 919,042 | ||||||||
| 8,959 | World Fuel Services Corp. | 323,957 | ||||||||
| 8,675,796 | ||||||||||
| Food & Staples Retailing – 0.3% | ||||||||||
| 8,869 | PriceSmart, Inc. | 337,288 | ||||||||
| 5,800 | Susser Holdings Corp.* | 80,330 | ||||||||
| 417,618 | ||||||||||
| Food, Beverage & Tobacco – 2.4% | ||||||||||
| 42,484 | Alliance One International, Inc.* | 180,132 | ||||||||
| 6,291 | Boston Beer Co., Inc. Class A* | 598,211 | ||||||||
| 35,928 | Dole Food Co., Inc.*(a) | 485,387 | ||||||||
| 5,928 | J&J Snack Foods Corp. | 285,967 | ||||||||
| 21,912 | Lancaster Colony Corp. | 1,253,367 | ||||||||
| 32,278 | National Beverage Corp. | 424,133 | ||||||||
| 3,227,197 | ||||||||||
| Health Care Equipment & Services – 5.9% | ||||||||||
| 17,925 | Align Technology, Inc.* | 350,255 | ||||||||
| 3,494 | Amerigroup Corp.* | 153,456 | ||||||||
| 10,455 | AMN Healthcare Services, Inc.* | 64,194 | ||||||||
| 10,616 | Assisted Living Concepts, Inc. Class A* | 345,338 | ||||||||
| 3,539 | Beckman Coulter, Inc. | 266,239 | ||||||||
| 1,740 | Coventry Health Care, Inc.* | 45,936 | ||||||||
| 19,693 | Health Net, Inc.* | 537,422 | ||||||||
| 18,235 | Hill-Rom Holdings, Inc. | 717,912 | ||||||||
| 821 | IDEXX Laboratories, Inc.* | 56,830 | ||||||||
| 18,579 | Invacare Corp. | 560,343 | ||||||||
| 35,753 | Kindred Healthcare, Inc.* | 656,783 | ||||||||
| 1,685 | Lincare Holdings, Inc. | 45,209 | ||||||||
| 13,114 | Masimo Corp. | 381,224 | ||||||||
| 9,734 | Medcath Corp.* | 135,789 | ||||||||
| 23,880 | Medical Action Industries, Inc.* | 228,770 | ||||||||
| 33,898 | Molina Healthcare, Inc.* | 944,059 | ||||||||
| 33,485 | PharMerica Corp.* | 383,403 | ||||||||
| 5,065 | Sirona Dental Systems, Inc.* | 211,616 | ||||||||
| 31,532 | Skilled Healthcare Group, Inc. Class A* | 283,157 | ||||||||
| 4,370 | STERIS Corp. | 159,330 | ||||||||
| 6,654 | SXC Health Solutions Corp.* | 285,190 | ||||||||
| 2,721 | Teleflex, Inc. | 146,417 | ||||||||
| 32,822 | Universal American Corp. | 671,210 | ||||||||
| 12,622 | Vascular Solutions, Inc.* | 147,930 | ||||||||
| 3,473 | WellCare Health Plans, Inc.* | 104,954 | ||||||||
| 7,882,966 | ||||||||||
GOLDMAN SACHS VARIABLE INSURANCE TRUST STRUCTURED SMALL CAP EQUITY FUND
Schedule of Investments (continued)
December 31, 2010
| Shares | Description | Value | ||||||||
Common Stocks – (continued) | ||||||||||
| Household & Personal Products – 0.9% | ||||||||||
| 58,085 | Central Garden and Pet Co. Class A* | $ | 573,880 | |||||||
| 34,661 | Prestige Brands Holdings, Inc.* | 414,199 | ||||||||
| 2,825 | Spectrum Brands Holdings, Inc.* | 88,055 | ||||||||
| 4,199 | USANA Health Sciences, Inc.* | 182,447 | ||||||||
| 1,258,581 | ||||||||||
| Insurance – 3.2% | ||||||||||
| 1,897 | Allied World Assurance Co. Holdings Ltd. | 112,758 | ||||||||
| 17,877 | American Equity Investment Life Holding Co. | 224,356 | ||||||||
| 33,636 | Aspen Insurance Holdings Ltd. | 962,662 | ||||||||
| 3,610 | Axis Capital Holdings Ltd. | 129,527 | ||||||||
| 18,577 | CNA Surety Corp.* | 439,903 | ||||||||
| 3,858 | Endurance Specialty Holdings Ltd. | 177,738 | ||||||||
| 25,354 | Flagstone Reinsurance Holdings SA | 319,460 | ||||||||
| 4,129 | Global Indemnity PLC* | 84,438 | ||||||||
| 1,436 | Kansas City Life Insurance Co. | 47,431 | ||||||||
| 33,139 | Maiden Holdings Ltd. | 260,473 | ||||||||
| 1,230 | Mercury General Corp. | 52,902 | ||||||||
| 21,109 | Montpelier Re Holdings Ltd. | 420,914 | ||||||||
| 4,705 | OneBeacon Insurance Group Ltd. Class A | 71,328 | ||||||||
| 2,599 | Platinum Underwriters Holdings Ltd. | 116,877 | ||||||||
| 8,575 | RenaissanceRe Holdings Ltd. | 546,142 | ||||||||
| 11,579 | Symetra Financial Corp. | 158,632 | ||||||||
| 468 | White Mountains Insurance Group Ltd. | 157,061 | ||||||||
| 4,282,602 | ||||||||||
| Materials – 5.8% | ||||||||||
| 15,836 | A. Schulman, Inc. | 362,486 | ||||||||
| 11,376 | American Vanguard Corp. | 97,151 | ||||||||
| 9,056 | Boise, Inc. | 71,814 | ||||||||
| 15,635 | Brush Engineered Materials, Inc.* | 604,136 | ||||||||
| 5,030 | Century Aluminum Co.* | 78,116 | ||||||||
| 14,542 | Clearwater Paper Corp.* | 1,138,639 | ||||||||
| 7,050 | Domtar Corp. | 535,236 | ||||||||
| 34,028 | Golden Star Resources Ltd.* | 156,188 | ||||||||
| 6,316 | Hecla Mining Co.* | 71,118 | ||||||||
| 3,537 | Innophos Holdings, Inc. | 127,615 | ||||||||
| 6,779 | Kaiser Aluminum Corp. | 339,560 | ||||||||
| 29,287 | KapStone Paper and Packaging Corp.* | 448,091 | ||||||||
| 1,526 | Koppers Holdings, Inc. | 54,600 | ||||||||
| 20,916 | Noranda Aluminum Holding Corp.* | 305,374 | ||||||||
| 13,541 | OM Group, Inc.* | 521,464 | ||||||||
| 28,891 | PolyOne Corp.* | 360,849 | ||||||||
| 2,523 | Royal Gold, Inc. | 137,831 | ||||||||
| 48,974 | Senomyx, Inc.* | 349,185 | ||||||||
| 20,667 | Spartech Corp.* | 193,443 | ||||||||
| 7,970 | Stepan Co. | 607,872 | ||||||||
| 15,763 | Stillwater Mining Co.* | 336,540 | ||||||||
| 8,647 | STR Holdings, Inc.* | $ | 172,940 | |||||||
| 4,558 | The Scotts Miracle-Gro Co. Class A | 231,410 | ||||||||
| 11,576 | Titanium Metals Corp.* | 198,876 | ||||||||
| 6,562 | TPC Group, Inc.* | 198,960 | ||||||||
| 7,699,494 | ||||||||||
| Media – 0.7% | ||||||||||
| 5,136 | AH Belo Corp. Class A* | 44,683 | ||||||||
| 9,497 | Ascent Media Corp. Class A* | 368,104 | ||||||||
| 6,720 | EW Scripps Co. Class A* | 68,208 | ||||||||
| 7,679 | Harte-Hanks, Inc. | 98,061 | ||||||||
| 59,889 | Journal Communications, Inc. Class A* | 302,439 | ||||||||
| 881,495 | ||||||||||
| Pharmaceuticals, Biotechnology & Life Sciences – 6.0% | ||||||||||
| 40,564 | Accelrys, Inc.* | 336,681 | ||||||||
| 89,357 | Affymetrix, Inc.* | 449,466 | ||||||||
| 8,305 | Akorn, Inc.* | 50,411 | ||||||||
| 25,361 | Albany Molecular Research, Inc.* | 142,529 | ||||||||
| 905 | Bio-Rad Laboratories, Inc. Class A* | 93,984 | ||||||||
| 7,189 | Codexis, Inc.* | 76,203 | ||||||||
| 43,652 | Cubist Pharmaceuticals, Inc.* | 934,153 | ||||||||
| 27,078 | Emergent Biosolutions, Inc.* | 635,250 | ||||||||
| 18,219 | eResearchTechnology, Inc.* | 133,910 | ||||||||
| 10,774 | Genomic Health, Inc.*(a) | 230,456 | ||||||||
| 17,246 | Impax Laboratories, Inc.* | 346,817 | ||||||||
| 36,516 | King Pharmaceuticals, Inc.* | 513,050 | ||||||||
| 18,733 | Martek Biosciences Corp.* | 586,343 | ||||||||
| 38,437 | Maxygen, Inc.(a) | 151,057 | ||||||||
| 92,957 | Nabi Biopharmaceuticals* | 538,221 | ||||||||
| 4,645 | Par Pharmaceutical Cos, Inc.* | 178,879 | ||||||||
| 117,180 | PDL BioPharma, Inc. | 730,031 | ||||||||
| 55,984 | Progenics Pharmaceuticals, Inc.* | 305,673 | ||||||||
| 13,019 | Questcor Pharmaceuticals, Inc.* | 191,770 | ||||||||
| 48,417 | Sciclone Pharmaceuticals, Inc.* | 202,383 | ||||||||
| 20,701 | Seattle Genetics, Inc.* | 309,480 | ||||||||
| 9,376 | The Medicines Co.* | 132,483 | ||||||||
| 47,344 | Viropharma, Inc.* | 819,998 | ||||||||
| 8,089,228 | ||||||||||
| Real Estate Investment Trust – 6.1% | ||||||||||
| 10,812 | Agree Realty Corp. | 283,166 | ||||||||
| 28,043 | American Campus Communities, Inc. | 890,646 | ||||||||
| 7,460 | Ashford Hospitality Trust, Inc.* | 71,989 | ||||||||
| 14,767 | Chesapeake Lodging Trust | 277,767 | ||||||||
| 13,192 | Equity Lifestyle Properties, Inc. | 737,829 | ||||||||
| 12,279 | Extra Space Storage, Inc. | 213,655 | ||||||||
| 4,007 | Federal Realty Investment Trust | 312,265 | ||||||||
| 41,845 | Franklin Street Properties Corp. | 596,291 | ||||||||
| 11,817 | LTC Properties, Inc. | 331,821 | ||||||||
| 1,683 | Mack-Cali Realty Corp. | 55,640 | ||||||||
| 123,176 | MPG Office Trust, Inc.* | 338,734 | ||||||||
| 6,345 | National Health Investors, Inc. | 285,652 | ||||||||
GOLDMAN SACHS VARIABLE INSURANCE TRUST STRUCTURED SMALL CAP EQUITY FUND
| Shares | Description | Value | ||||||||
Common Stocks – (continued) | ||||||||||
| Real Estate Investment Trust – (continued) | ||||||||||
| 39,103 | Nationwide Health Properties, Inc. | $ | 1,422,567 | |||||||
| 30,555 | Rayonier, Inc. | 1,604,749 | ||||||||
| 13,105 | Realty Income Corp. | 448,191 | ||||||||
| 12,266 | Starwood Property Trust, Inc. | 263,474 | ||||||||
| 3,365 | Urstadt Biddle Properties, Inc. Class A | 65,449 | ||||||||
| 8,199,885 | ||||||||||
| Retailing – 5.2% | ||||||||||
| 12,137 | AnnTaylor Stores Corp.* | 332,432 | ||||||||
| 30,832 | Asbury Automotive Group, Inc.* | 569,775 | ||||||||
| 11,640 | Audiovox Corp. Class A* | 100,453 | ||||||||
| 25,221 | Brown Shoe Co., Inc. | 351,329 | ||||||||
| 6,876 | Build-A-Bear Workshop, Inc. Class A* | 52,533 | ||||||||
| 4,868 | Cabela’s, Inc.* | 105,879 | ||||||||
| 7,988 | Core-Mark Holding Co., Inc.* | 284,293 | ||||||||
| 16,054 | DSW, Inc. Class A* | 627,711 | ||||||||
| 33,394 | Fred’s, Inc. Class A | 459,502 | ||||||||
| 4,823 | Genesco, Inc.* | 180,814 | ||||||||
| 25,042 | Group 1 Automotive, Inc. | 1,045,754 | ||||||||
| 22,446 | Lithia Motors, Inc. Class A | 320,753 | ||||||||
| 5,355 | Penske Automotive Group, Inc.* | 93,284 | ||||||||
| 12,242 | Shoe Carnival, Inc.* | 330,534 | ||||||||
| 20,696 | Sonic Automotive, Inc. Class A | 274,015 | ||||||||
| 62,365 | Stage Stores, Inc. | 1,081,409 | ||||||||
| 10,862 | Ulta Salon Cosmetics & Fragrance, Inc.* | 369,308 | ||||||||
| 15,818 | Zumiez, Inc.* | 425,030 | ||||||||
| 7,004,808 | ||||||||||
| Semiconductors & Semiconductor Equipment – 3.6% | ||||||||||
| 27,960 | Applied Micro Circuits Corp.* | 298,613 | ||||||||
| 7,015 | DSP Group, Inc.* | 57,102 | ||||||||
| 9,778 | Integrated Device Technology, Inc.* | 65,122 | ||||||||
| 249,889 | Lattice Semiconductor Corp.* | 1,514,327 | ||||||||
| 28,760 | LTX-Credence Corp.* | 212,824 | ||||||||
| 28,994 | Micrel, Inc. | 376,632 | ||||||||
| 37,506 | Photronics, Inc.* | 221,660 | ||||||||
| 53,382 | PLX Technology, Inc.* | 192,709 | ||||||||
| 71,225 | RF Micro Devices, Inc.* | 523,504 | ||||||||
| 125,368 | Silicon Image, Inc.* | 921,455 | ||||||||
| 6,113 | Standard Microsystems Corp.* | 176,238 | ||||||||
| 32,155 | Zoran Corp.* | 282,964 | ||||||||
| 4,843,150 | ||||||||||
| Software & Services – 9.2% | ||||||||||
| 3,146 | Advent Software, Inc.*(b) | 182,216 | ||||||||
| 7,427 | AOL, Inc.* | 176,094 | ||||||||
| 23,168 | Blackbaud, Inc. | 600,051 | ||||||||
| 17,947 | Bottomline Technologies, Inc.* | 389,629 | ||||||||
| 86,289 | Ciber, Inc.* | 403,833 | ||||||||
| 27,157 | CommVault Systems, Inc.* | 777,233 | ||||||||
| 11,209 | CSG Systems International, Inc.* | 212,298 | ||||||||
| 16,745 | Kenexa Corp.* | 364,874 | ||||||||
| 121,557 | Lionbridge Technologies, Inc.* | 448,545 | ||||||||
| 6,352 | LivePerson, Inc.* | 71,778 | ||||||||
| 17,649 | LogMeIn, Inc.* | $ | 782,557 | |||||||
| 79,406 | Magma Design Automation, Inc.* | 397,824 | ||||||||
| 20,179 | Manhattan Associates, Inc.* | 616,267 | ||||||||
| 55,638 | Marchex, Inc. Class B | 530,787 | ||||||||
| 23,702 | Mentor Graphics Corp.* | 284,424 | ||||||||
| 10,493 | MicroStrategy, Inc. Class A* | 896,837 | ||||||||
| 2,341 | NeuStar, Inc. Class A* | 60,983 | ||||||||
| 5,863 | Opnet Technologies, Inc. | 156,953 | ||||||||
| 15,125 | PROS Holdings, Inc.* | 172,274 | ||||||||
| 7,381 | QAD, Inc. Class A* | 67,167 | ||||||||
| 18,332 | Quest Software, Inc.* | 508,530 | ||||||||
| 99,910 | RealNetworks, Inc.* | 419,622 | ||||||||
| 25,007 | Renaissance Learning, Inc. | 296,083 | ||||||||
| 15,437 | Saba Software, Inc.* | 94,474 | ||||||||
| 5,221 | SolarWinds, Inc.* | 100,504 | ||||||||
| 9,854 | Taleo Corp. Class A* | 272,463 | ||||||||
| 8,794 | TeleTech Holdings, Inc.* | 181,068 | ||||||||
| 16,094 | Ultimate Software Group, Inc.* | 782,651 | ||||||||
| 48,391 | VeriFone Systems, Inc.* | 1,865,957 | ||||||||
| 1,205 | VistaPrint NV* | 55,430 | ||||||||
| 4,354 | Websense, Inc.* | 88,168 | ||||||||
| 12,257,574 | ||||||||||
| Technology Hardware & Equipment – 5.6% | ||||||||||
| 16,911 | Agilysys, Inc.* | 95,209 | ||||||||
| 12,099 | Aruba Networks, Inc.* | 252,627 | ||||||||
| 41,074 | Brightpoint, Inc.* | 358,576 | ||||||||
| 3,844 | DG FastChannel, Inc.* | 111,015 | ||||||||
| 9,838 | EchoStar Corp. Class A* | 245,655 | ||||||||
| 22,783 | Electronics for Imaging, Inc.* | 326,025 | ||||||||
| 3,145 | EMS Technologies, Inc.* | 62,208 | ||||||||
| 8,031 | Emulex Corp.* | 93,641 | ||||||||
| 56,040 | Extreme Networks* | 173,164 | ||||||||
| 20,500 | Gerber Scientific, Inc.* | 161,335 | ||||||||
| 18,417 | Hypercom Corp.* | 154,150 | ||||||||
| 38,302 | Imation Corp.* | 394,894 | ||||||||
| 10,182 | Infinera Corp.* | 105,180 | ||||||||
| 12,472 | Ingram Micro, Inc. Class A* | 238,091 | ||||||||
| 19,606 | Insight Enterprises, Inc.* | 258,015 | ||||||||
| 32,835 | Methode Electronics, Inc. | 425,870 | ||||||||
| 3,068 | National Instruments Corp. | 115,480 | ||||||||
| 16,477 | Plantronics, Inc. | 613,274 | ||||||||
| 8,745 | Power-One, Inc.*(a) | 89,199 | ||||||||
| 39,900 | Powerwave Technologies, Inc.*(a) | 101,346 | ||||||||
| 165,434 | Quantum Corp.* | 615,414 | ||||||||
| 21,771 | Radisys Corp.* | 193,762 | ||||||||
| 4,567 | Riverbed Technology, Inc.* | 160,621 | ||||||||
| 36,456 | ShoreTel, Inc.* | 284,721 | ||||||||
| 9,391 | Super Micro Computer, Inc.* | 108,372 | ||||||||
| 30,589 | Symmetricom, Inc.* | 216,876 | ||||||||
| 2,200 | Synaptics, Inc.* | 64,636 | ||||||||
| 32,503 | Tellabs, Inc. | 220,370 | ||||||||
| 18,178 | Tollgrade Communications, Inc.* | 168,692 | ||||||||
| 50,794 | Vishay Intertechnology, Inc.* | 745,656 | ||||||||
GOLDMAN SACHS VARIABLE INSURANCE TRUST STRUCTURED SMALL CAP EQUITY FUND
Schedule of Investments (continued)
December 31, 2010
| Shares | Description | Value | ||||||||
Common Stocks – (continued) | ||||||||||
| Technology Hardware & Equipment – (continued) | ||||||||||
| 5,085 | Vishay Precision Group, Inc.* | $ | 95,801 | |||||||
| 17,799 | Xyratex Ltd.* | 290,302 | ||||||||
| 7,540,177 | ||||||||||
| Telecommunication Services – 1.3% | ||||||||||
| 17,985 | Cbeyond, Inc.* | 274,811 | ||||||||
| 17,844 | IDT Corp. Class B | 457,699 | ||||||||
| 9,210 | Neutral Tandem, Inc.* | 132,992 | ||||||||
| 51,313 | USA Mobility, Inc. | 911,832 | ||||||||
| �� | 1,777,334 | |||||||||
| Transportation – 4.6% | ||||||||||
| 15,434 | Alaska Air Group, Inc.* | 874,953 | ||||||||
| 53,494 | Allegiant Travel Co. | 2,634,045 | ||||||||
| 8,796 | Celadon Group, Inc.* | 130,093 | ||||||||
| 3,706 | Dynamex, Inc.* | 91,761 | ||||||||
| 142,985 | JetBlue Airways Corp.* | 945,131 | ||||||||
| 83,110 | Pacer International, Inc.* | 568,472 | ||||||||
| 7,676 | Saia, Inc.* | 127,345 | ||||||||
| 20,077 | SkyWest, Inc. | 313,603 | ||||||||
| 7,243 | Universal Truckload Services, Inc.* | 115,308 | ||||||||
| 15,464 | Werner Enterprises, Inc. | 349,486 | ||||||||
| 6,150,197 | ||||||||||
| Utilities – 2.1% | ||||||||||
| 8,674 | Atmos Energy Corp. | 270,629 | ||||||||
| 5,751 | Energen Corp. | 277,543 | ||||||||
| 16,059 | Integrys Energy Group, Inc. | 779,022 | ||||||||
| 4,668 | NV Energy, Inc. | 65,585 | ||||||||
| 19,947 | PNM Resources, Inc. | 259,710 | ||||||||
| 26,960 | Portland General Electric Co. | 585,032 | ||||||||
| 15,970 | Southwest Gas Corp. | 585,620 | ||||||||
| 2,823,141 | ||||||||||
TOTAL COMMON STOCKS | ||||||||||
| (Cost $97,227,541) | $ | 130,152,254 | ||||||||
| Shares | Rate | Value | ||||||||
Short-term Investment(c) – 2.3% | ||||||||||
| JPMorgan U.S. Government Money Market Fund – Capital Shares | ||||||||||
| 3,139,910 | 0.043% | $ | 3,139,910 | |||||||
| (Cost $3,139,910) | ||||||||||
| TOTAL INVESTMENTS BEFORE SECURITIES LENDING REINVESTMENT VEHICLE | ||||||||||
| (Cost $100,367,451) | $ | 133,292,164 | ||||||||
Securities Lending Reinvestment Vehicle(c)(d) – 2.9% | ||||||||||
| Goldman Sachs Financial Square Money Market Fund – FST Shares | ||||||||||
| 3,893,138 | 0.140% | $ | 3,893,138 | |||||||
| (Cost $3,893,138) | ||||||||||
TOTAL INVESTMENTS – 102.3% | ||||||||||
| (Cost $104,260,589) | $ | 137,185,302 | ||||||||
LIABILITIES IN EXCESS OF OTHER ASSETS – (2.3)% | (3,111,027 | ) | ||||||||
| NET ASSETS – 100.0% | $ | 134,074,275 | ||||||||
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, 2010. | |
| (d) | Represents an affiliated issuer. |
ADDITIONAL INVESTMENT INFORMATION
FUTURES CONTRACTS — At December 31, 2010, the following futures contracts were open:
| Number of | ||||||||||||||||
| Contracts | Expiration | Current | Unrealized | |||||||||||||
| Type | Long (Short) | Date | Value | Gain (Loss) | ||||||||||||
| Russell 2000 Mini Index | 40 | March 2011 | $ | 3,129,200 | $ | 34,708 | ||||||||||
GOLDMAN SACHS VARIABLE INSURANCE TRUST STRUCTURED SMALL CAP EQUITY FUND
Statement of Assets and Liabilities
December 31, 2010
| Assets: | ||||||
| Investments in securities of unaffiliated issuers, at value (identified cost $100,367,451)(a) | $ | 133,292,164 | ||||
| Investments in affiliated securities lending reinvestment vehicle, at value (identified cost $3,893,138) | 3,893,138 | |||||
| Cash | 6,349 | |||||
| Receivables: | ||||||
Investment securities sold | 916,229 | |||||
Dividends | 162,858 | |||||
Reimbursement from investment adviser | 11,161 | |||||
Fund shares sold | 3,301 | |||||
Securities lending income | 3,147 | |||||
| Total assets | 138,288,347 | |||||
| Liabilities: | ||||||
| Payables: | ||||||
Payable upon return of securities loaned | 3,893,138 | |||||
Amounts owed to affiliates | 90,195 | |||||
Investment securities purchased | 78,891 | |||||
Fund shares redeemed | 46,281 | |||||
Due to broker — variation margin | 20,400 | |||||
| Accrued expenses | 85,167 | |||||
| Total liabilities | 4,214,072 | |||||
| Net Assets: | ||||||
| Paid-in capital | 142,325,521 | |||||
| Accumulated undistributed net investment income | 736,756 | |||||
| Accumulated net realized loss from investment and futures transactions | (41,947,423 | ) | ||||
| Net unrealized gain on investments and futures | 32,959,421 | |||||
| NET ASSETS | $ | 134,074,275 | ||||
| Net Assets: | ||||||
Institutional | $ | 106,646,132 | ||||
Service | 27,428,143 | |||||
| Total Net Assets | $ | 134,074,275 | ||||
| Shares of beneficial interest outstanding $0.001 par value (unlimited shares authorized): | ||||||
Institutional | 9,335,763 | |||||
Service | 2,411,503 | |||||
| Net asset value, offering and redemption price per share: | ||||||
Institutional | $ | 11.42 | ||||
Service | 11.37 | |||||
| (a) | Includes loaned securities having a market value of $3,766,930. |
GOLDMAN SACHS VARIABLE INSURANCE TRUST STRUCTURED SMALL CAP EQUITY FUND
Statement of Operations
For the Fiscal Year Ended December 31, 2010
| Investment income: | ||||||
| Dividends | $ | 1,965,574 | ||||
| Securities lending income — affiliated issuer | 67,496 | |||||
| Total investment income | 2,033,070 | |||||
| Expenses: | ||||||
| Management fees | 909,674 | |||||
| Printing and mailing costs | 97,994 | |||||
| Professional fees | 72,730 | |||||
| Distribution and Service fees — Service Class | 59,553 | |||||
| Custody and accounting fees | 52,370 | |||||
| Transfer Agent fees(a) | 24,256 | |||||
| Trustee fees | 14,896 | |||||
| Other | 10,735 | |||||
| Total expenses | 1,242,208 | |||||
| Less — expense reductions | (146,586 | ) | ||||
| Net expenses | 1,095,622 | |||||
| NET INVESTMENT INCOME | 937,448 | |||||
| Realized and unrealized gain (loss) from investment and futures transactions: | ||||||
| Net realized gain from: | ||||||
Investment transactions — unaffiliated issuers | 10,601,070 | |||||
Securities lending reinvestment vehicle transactions — affiliated issuer | 95,080 | |||||
Futures transactions | 604,143 | |||||
| Net change in unrealized gain (loss) on: | ||||||
Investments — unaffiliated issuers | 20,162,161 | |||||
Securities lending reinvestment vehicle — affiliated issuer | (99,482 | ) | ||||
Futures | (24,138 | ) | ||||
| Net realized and unrealized gain from investment and futures transactions | 31,338,834 | |||||
| NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS | $ | 32,276,282 | ||||
| (a) | Institutional and Service Shares had Transfer Agent fees of $19,492 and $4,764, respectively. |
GOLDMAN SACHS VARIABLE INSURANCE TRUST STRUCTURED SMALL CAP EQUITY FUND
Statements of Changes in Net Assets
| For the | For the | |||||||||
| Fiscal Year Ended | Fiscal Year Ended | |||||||||
| December 31, 2010 | December 31, 2009 | |||||||||
| From operations: | ||||||||||
| Net investment income | $ | 937,448 | $ | 987,578 | ||||||
| Net realized gain (loss) from investment and futures transactions | 11,300,293 | (5,830,824 | ) | |||||||
| Net change in unrealized gain on investments and futures | 20,038,541 | 31,445,116 | ||||||||
| Net increase in net assets resulting from operations | 32,276,282 | 26,601,870 | ||||||||
| Distributions to shareholders: | ||||||||||
| From net investment income | ||||||||||
Institutional Shares | (529,767 | ) | (984,250 | ) | ||||||
Service Shares | (77,675 | ) | (203,812 | ) | ||||||
| Total distributions to shareholders | (607,442 | ) | (1,188,062 | ) | ||||||
| From share transactions: | ||||||||||
| Proceeds from sales of shares | 16,035,389 | 17,664,477 | ||||||||
| Reinvestment of distributions | 607,442 | 1,188,062 | ||||||||
| Cost of shares redeemed | (32,863,054 | ) | (18,357,340 | ) | ||||||
| Net increase (decrease) in net assets resulting from share transactions | (16,220,223 | ) | 495,199 | |||||||
| TOTAL INCREASE | 15,448,617 | 25,909,007 | ||||||||
| Net assets: | ||||||||||
| Beginning of year | 118,625,658 | 92,716,651 | ||||||||
| End of year | $ | 134,074,275 | $ | 118,625,658 | ||||||
| Accumulated undistributed net investment income | $ | 736,756 | $ | 436,154 | ||||||
GOLDMAN SACHS VARIABLE INSURANCE TRUST STRUCTURED SMALL CAP 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 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 | 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, | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||
| 2010 - Institutional | $ | 8.82 | $ | 0.08(b | )(c) | $ | 2.58 | $ | 2.66 | $ | (0.06 | ) | $ | — | $ | (0.06 | ) | $ | 11.42 | 30.12 | % | $ | 106,646 | 0.85 | % | 0.97 | % | 0.82 | %(c) | 63 | % | |||||||||||||||||||||||||
| 2010 - Service | 8.78 | 0.06(b | )(c) | 2.56 | 2.62 | (0.03 | ) | — | (0.03 | ) | 11.37 | 29.86 | 27,428 | 1.10 | 1.22 | 0.58 | (c) | 63 | ||||||||||||||||||||||||||||||||||||||
| 2009 - Institutional | 6.98 | 0.08(b | )(d) | 1.85 | 1.93 | (0.09 | ) | — | (0.09 | ) | 8.82 | 27.67 | 95,334 | 0.86 | 1.02 | 1.03 | (d) | 212 | ||||||||||||||||||||||||||||||||||||||
| 2009 - Service | 6.96 | 0.07(b | )(d) | 1.83 | 1.90 | (0.08 | ) | — | (0.08 | ) | 8.78 | 27.26 | 23,291 | 1.11 | 1.27 | 0.83 | (d) | 212 | ||||||||||||||||||||||||||||||||||||||
| 2008 - Institutional | 10.71 | 0.09(e | ) | (3.74 | ) | (3.65 | ) | (0.06 | ) | (0.02 | ) | (0.08 | ) | 6.98 | (33.95 | ) | 86,253 | 0.86 | 1.06 | 0.85 | (e) | 189 | ||||||||||||||||||||||||||||||||||
| 2008 - Service | 10.71 | 0.06(e | ) | (3.73 | ) | (3.67 | ) | (0.06 | ) | (0.02 | ) | (0.08 | ) | 6.96 | (34.16 | ) | 6,464 | 1.11 | 1.31 | 1.92 | (e) | 189 | ||||||||||||||||||||||||||||||||||
| 2007 - Institutional | 14.44 | 0.07(b | )(f) | (2.42 | ) | (2.35 | ) | (0.05 | ) | (1.33 | ) | (1.38 | ) | 10.71 | (16.48 | ) | 152,896 | 0.90 | (g) | 0.95 | (g) | 0.49 | (f)(g) | 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 | (h) | 1.21 | (h) | 0.56 | (h) | 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 | ||||||||||||||||||||||||||||||||||||||
| (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 non-recurring special dividends which amounted to $0.04 per share and 0.43% of average net assets. | |
| (d) | Reflects income recognized from non-recurring special dividends which amounted to $0.03 per share and 0.43% of average net assets. | |
| (e) | Reflects income recognized from non-recurring special dividends which amounted to $0.01 per share and 0.14% of average net assets. | |
| (f) | Reflects income recognized from non-recurring special dividends which amounted to $0.02 per share and 0.14% of average net assets. | |
| (g) | Includes non-recurring expense for a special shareholder meeting, which amounted to approximately 0.03% of average net assets. | |
| (h) | Annualized. |
The accompanying notes are an integral part of these financial statements.
16
GOLDMAN SACHS VARIABLE INSURANCE TRUST STRUCTURED SMALL CAP EQUITY FUND
Notes to Financial Statements
December 31, 2010
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 Asset Management, L.P. (“GSAM”), an affiliate of Goldman, Sachs & Co. (“Goldman Sachs”), serves as investment adviser to the Fund pursuant to a management agreement (the “Agreement”) with the Trust.
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. 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 the 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.
B. 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
GOLDMAN SACHS VARIABLE INSURANCE TRUST STRUCTURED SMALL CAP EQUITY FUND
Notes to Financial Statements (continued)
December 31, 2010
| 2. SIGNIFICANT ACCOUNTING POLICIES (continued) |
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.
Investment income 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.
C. Expenses — Expenses incurred by the Trust that do not specifically relate to an individual Fund of the Trust are allocated to the Fund on a straight-line and/or pro-rata basis depending upon the nature of the expense and are accrued daily.
D. 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, the Fund is not required to make any provisions for the payment of federal income tax. 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.
E. Futures Contracts — 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 its obligations under these contracts.
3. 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
GOLDMAN SACHS VARIABLE INSURANCE TRUST STRUCTURED SMALL CAP EQUITY FUND
| 3. FAIR VALUE OF INVESTMENTS (continued) |
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 significant inputs are observable (including, but not limited to, quoted prices for similar securities, interest rates, foreign exchange rates, volatility and credit spreads), either directly or indirectly;
Level 3 — Prices or valuations that require significant unobservable inputs (including GSAM’s assumptions in determining fair value measurement).
The following is a summary of the Fund’s investments categorized in the fair value hierarchy as of December 31, 2010:
| Level 1 | Level 2 | Level 3 | ||||||||||
Assets | ||||||||||||
| Common Stock and/or Other Equity Investments | $ | 130,152,254 | $ | — | $ | — | ||||||
| Securities Lending Reinvestment Vehicle | 3,893,138 | — | — | |||||||||
| Short-term Investment | 3,139,910 | — | — | |||||||||
| Derivatives | 34,708 | — | — | |||||||||
| Total | $ | 137,220,010 | $ | — | $ | — | ||||||
4. 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 paid monthly, equal to an annual percentage rate of the Fund’s average daily net assets.
For the fiscal year ended December 31, 2010, 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 agreed to waive a portion of its management fee in order to achieve the effective net management rate above through at least April 30, 2011. Prior to such date GSAM may not terminate the agreement without the approval of the trustees. For the fiscal year ended December 31, 2010, GSAM waived approximately $24,300 of the Fund’s management fee. |
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, which serves as distributor, is entitled to a fee computed daily and paid monthly for distribution services, which may then be paid by Goldman Sachs to authorized dealers, 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 computed daily and paid monthly at an annual rate of 0.02% of the average daily net assets for Institutional and Service Shares.
GOLDMAN SACHS VARIABLE INSURANCE TRUST STRUCTURED SMALL CAP EQUITY FUND
Notes to Financial Statements (continued)
December 31, 2010
| 4. AGREEMENTS AND AFFILIATED TRANSACTIONS (continued) |
D. Other Expense Agreements and Affiliated Transactions — GSAM has agreed to limit certain “Other Expense” (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, 0.094% of the average daily net assets of the Fund. Prior to July 1, 2010, the Other Expense limitation was 0.114% of the average daily net assets of the Fund. Such Other 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. These Other Expense reimbursement will remain in place through at least April 30, 2011, and prior to such date GSAM may not terminate the arrangement without the approval of the trustees. For the fiscal year ended December 31, 2010, GSAM reimbursed approximately $122,300 to the Fund.
As of December 31, 2010, amounts owed to affiliates were approximately $82,200, $5,800 and $2,200 for management, distribution and service, and transfer agent fees, respectively.
E. Line of Credit Facility — As of December 31, 2010, the Fund participated in a $580,000,000 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 could increase the credit amount by an additional $340,000,000, for a total of up to $920,000,000. This facility is to be used solely for temporary or emergency purposes. The interest rate on borrowings is based on the federal funds rate. The 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, 2010, the Fund did not have any borrowings under the facility. Prior to May 11, 2010, the amount available through the facility was $660,000,000.
F. Other Transactions with Affiliates — For the fiscal year ended December 31, 2010, Goldman Sachs earned approximately $1,300 in brokerage commissions from portfolio transactions, including futures transactions executed with Goldman Sachs as the Futures Commission Merchant, on behalf of the Fund.
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.
During the fiscal year ended December 31, 2010, the Fund entered into futures contracts with respect to a representative index to seek to increase total return. The following table sets forth, by certain risk types, the gross value of these derivative contracts for trading activities as of December 31, 2010. The value in the table below excludes the effects of cash collateral received or posted pursuant to these derivative contracts, and therefore is not representative of the Fund’s net exposure.
GOLDMAN SACHS VARIABLE INSURANCE TRUST STRUCTURED SMALL CAP EQUITY FUND
| 5. INVESTMENTS IN DERIVATIVES (continued) |
| Statement of | ||||||
| Assets and Liabilities | ||||||
| Risk | Location | Assets | ||||
| Equity | Due from broker — variation margin | $ | 34,708 | (a) | ||
| (a) | Includes unrealized gain (loss) on 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. |
The following table sets forth, by certain risk types, the Fund’s gains (losses) related to these derivatives and their indicative volumes for the fiscal year ended December 31, 2010. 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 | Average | ||||||||||||||
| Net Realized | Unrealized | Number of | |||||||||||||
| Risk | Statement of Operations Location | Gain (Loss) | Gain (Loss) | Contracts(a) | |||||||||||
| Equity | Net realized gain (loss) from futures transactions/Net change in unrealized gain (loss) on futures | $ | 604,143 | $ | (24,138 | ) | 38 | ||||||||
| (a) | Average number of contracts is based on the average of month end balances for the fiscal year ended December 31, 2010. |
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, 2010, were $73,861,124 and $90,276,429, respectively.
7. SECURITIES LENDING
Pursuant to exemptive relief granted by the Securities and Exchange Commission (“SEC”) 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 their 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.
Effective December 29, 2010, the Fund invests the cash collateral received in connection with securities lending transactions in the Goldman Sachs Financial Square Money Market Fund (“Money Market Fund”), a series of Goldman Sachs Trust, a Delaware statutory trust. The Money Market Fund, deemed an affiliate of the Trust, is registered under the Act as an open end investment company, is subject to Rule 2a-7 under the Act, and is managed by GSAM, for which GSAM may receive an investment advisory fee of up to 0.205% on an annualized basis of the average daily net assets of the Money Market Fund. Prior to December 29, 2010, the Fund invested 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, was exempt from registration under Section 3(c)(7) of the Act and managed by GSAM, for which GSAM received 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 invested primarily in short-term investments, but was not a “money market fund” subject to the requirements of Rule 2a-7 of the Act.
GOLDMAN SACHS VARIABLE INSURANCE TRUST STRUCTURED SMALL CAP EQUITY FUND
Notes to Financial Statements (continued)
December 31, 2010
| 7. SECURITIES LENDING (continued) |
Both the Fund and GSAL received compensation relating to the lending of the Fund’s securities. The amount earned by the Fund for the fiscal year ended December 31, 2010, is reported under Investment Income on the Statement of Operations. A portion of this amount, $32,244, represents compensation earned by the Fund from lending its securities to Goldman Sachs. For the fiscal year ended December 31, 2010, GSAL earned $7,468 in fees as securities lending agent.
The following table provides information about the Fund’s investment in the Enhanced Portfolio II and Money Market Fund for the fiscal year ended December 31, 2010 (in thousands):
| Number of | Number of | |||||||||||||||||||
| Shares Held | Shares Held | Value at End | ||||||||||||||||||
| Fund | Beginning of Year | Shares Bought | Shares Sold | End of Year | of Year | |||||||||||||||
| Enhanced Portfolio II | 29,498 | 28,202 | (57,700 | ) | — | $ | — | |||||||||||||
| Money Market Fund | — | 4,095 | (202 | ) | 3,893 | 3,893 | ||||||||||||||
8. TAX INFORMATION
The tax character of distributions paid during the fiscal years ended December 31, 2009 and December 31, 2010 was as follows:
| 2009 | 2010 | |||||||
| Distributions paid from ordinary income | $ | 1,188,062 | $ | 607,442 | ||||
As of December 31, 2010, the components of accumulated earnings (losses) on a tax basis were as follows:
| Undistributed ordinary income — net | $ | 695,061 | ||
Capital loss carryforward:(1) | ||||
| Expiring 2016 | $ | (23,544,097 | ) | |
| Expiring 2017 | (17,973,195 | ) | ||
| Total capital loss carryforward | $ | (41,517,292 | ) | |
| Unrealized gains — net | 32,570,985 | |||
| Total accumulated losses — net | $ | (8,251,246 | ) | |
| (1) | Expiration occurs on December 31 of the year indicated. The Fund had utilized $11,433,161 of capital losses in the current fiscal year. |
As of December 31, 2010, the Fund’s aggregate security unrealized gains and losses based on cost for U.S. federal income tax purposes was as follows:
| Tax cost | $ | 104,614,317 | ||
| Gross unrealized gain | 34,442,115 | |||
| Gross unrealized loss | (1,871,130 | ) | ||
| Net unrealized security gain | $ | 32,570,985 | ||
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, partnership investments and underlying fund investments.
GOLDMAN SACHS VARIABLE INSURANCE TRUST STRUCTURED SMALL CAP EQUITY FUND
| 8. TAX INFORMATION (continued) |
In order to present certain components of the Fund’s capital accounts on a tax basis, the Fund has reclassified $29,404 from accumulated undistributed net investment income to accumulated net realized gain from investment and futures transactions. 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 and underlying fund investments.
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.
9. OTHER RISKS
Fund’s Shareholder Concentration Risk — 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 entities of their holdings in the Fund may impact the Fund’s liquidity and NAV. These redemptions may also force the Fund to sell securities.
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.
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. SUBSEQUENT EVENTS
Subsequent events after the balance sheet date have been evaluated through the date the financial statements were issued. GSAM has concluded that there is no impact requiring adjustment or disclosure in the financial statements.
GOLDMAN SACHS VARIABLE INSURANCE TRUST STRUCTURED SMALL CAP EQUITY FUND
Notes to Financial Statements (continued)
December 31, 2010
12. SUMMARY OF SHARE TRANSACTIONS
Share activity is as follows:
| For the Fiscal Year Ended | For the Fiscal Year Ended | |||||||||||||||
| December 31, 2010 | December 31, 2009 | |||||||||||||||
| Shares | Dollars | Shares | Dollars | |||||||||||||
Institutional Shares | ||||||||||||||||
| Shares sold | 1,530,530 | $ | 14,982,716 | 846,977 | $ | 6,179,797 | ||||||||||
| Reinvestment of distributions | 46,067 | 529,767 | 111,846 | 984,250 | ||||||||||||
| Shares redeemed | (3,053,874 | ) | (29,401,499 | ) | (2,509,667 | ) | (18,206,566 | ) | ||||||||
| (1,477,277 | ) | (13,889,016 | ) | (1,550,844 | ) | (11,042,519 | ) | |||||||||
Service Shares | ||||||||||||||||
| Shares sold | 103,448 | 1,052,673 | 1,717,923 | 11,484,680 | ||||||||||||
| Reinvestment of distributions | 6,784 | 77,675 | 23,240 | 203,812 | ||||||||||||
| Shares redeemed | (350,880 | ) | (3,461,555 | ) | (18,237 | ) | (150,774 | ) | ||||||||
| (240,648 | ) | (2,331,207 | ) | 1,722,926 | 11,537,718 | |||||||||||
NET INCREASE (DECREASE) | (1,717,925 | ) | $ | (16,220,223 | ) | 172,082 | $ | 495,199 | ||||||||
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, 2010, 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, 2010 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 14, 2011
GOLDMAN SACHS VARIABLE INSURANCE TRUST STRUCTURED SMALL CAP EQUITY FUND
Fund Expenses — Six Month Period Ended December 31, 2010 (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, 2010 through December 31, 2010.
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 (loads), redemption fees, or exchange fees, but shareholders of other funds may incur such costs. The second line of the table is useful in comparing 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 | 7/01/10 | 12/31/10 | 12/31/10* | ||||||||||||
Institutional | |||||||||||||||
| Actual | $ | 1,000 | $ | 1,304.10 | $ | 4.94 | |||||||||
| Hypothetical 5% return | 1,000 | 1,020.92 | + | 4.33 | |||||||||||
Service | |||||||||||||||
| Actual | 1,000 | 1,303.10 | 6.39 | ||||||||||||
| 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, 2010. 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 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 Age1,2 | with the Trust | Time Served3 | During Past 5 Years | Trustee4 | Held by Trustee5 | |||||
| Ashok N. Bakhru Age: 68 | Chairman of the Board of Trustees | Since 1996 (Trustee Since 1991) | President, ABN 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-Linked Investors II (April 2002-2007); and Chairman, Lenders Service Inc. (provider of mortgage lending services ) (2000-2003). Chairman of the Board of Trustees—Goldman Sachs Mutual Fund Complex. | 90 | Apollo Investment Corporation (a business development company) | |||||
| Donald C. Burke Age: 50 | Trustee | Since 2010 | Director, BlackRock Luxembourg and Cayman Funds (2006-2010); President and Chief Executive Officer, BlackRock U.S. Funds (2007-2009); Managing Director, BlackRock, Inc. (2006-2009); Managing Director, Merrill Lynch Investment Managers, L.P. (“MLIM”) (2006); First Vice President, MLIM (1997-2005); Chief Financial Officer and Treasurer, MLIM U.S. Funds (1999-2006). Trustee—Goldman Sachs Mutual Fund Complex. | 90 | None | |||||
| John P. Coblentz, Jr. Age: 69 | 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. | 90 | None | |||||
| Diana M. Daniels Age: 61 | 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 Vice Chair of the Board of Trustees, Cornell University (2009-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. | 90 | None | |||||
| Joseph P. LoRusso Age: 53 | Trustee | Since 2010 | President, Fidelity Investments Institutional Services Co. (“FIIS”) (2002-2008); Director, FIIS (2002-2008); Director, Fidelity Investments Institutional Operations Company (2003-2007); Executive Officer, Fidelity Distributors Corporation (2007-2008). Trustee—Goldman Sachs Mutual Fund Complex. | 90 | None | |||||
| Jessica Palmer Age: 61 | Trustee | Since 2007 | Ms. Palmer is retired. Formerly, she was Consultant, Citigroup Human Resources Department (2007-2008); Managing Director, Citigroup Corporate and Investment Banking (previously, Salomon Smith Barney/Salomon Brothers) (1984-2006). Ms. Palmer was a Member of the Board of Trustees of Indian Mountain School (private elementary and secondary school) (2004-2009). Trustee—Goldman Sachs Mutual Fund Complex. | 90 | 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 Age1,2 | with the Trust | Time Served3 | During Past 5 Years | Trustee4 | Held by Trustee5 | |||||
| Richard P. Strubel Age: 71 | 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. | 90 | 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 Age1,2 | with the Trust | Time Served3 | During Past 5 Years | Trustee4 | Held by Trustee5 | |||||
| James A. McNamara* Age: 48 | 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). | 90 | None | |||||
| Alan A. Shuch* Age: 61 | 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. | 90 | 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, 200 West Street, New York, New York, 10282, Attn: Peter V. Bonanno. Information is provided as of December 31, 2010. | |
| 2 | From 2000 until September 30, 2010, Patrick T. Harker also served as Trustee of the Trust and of the Goldman Sachs Mutual Fund Complex. Mr. Harker resigned from these positions on September 30, 2010. | |
| 3 | 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 74 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. | |
| 4 | The Goldman Sachs Mutual Fund Complex consists of the Trust, Goldman Sachs Trust, Goldman Sachs Municipal Opportunity Fund and Goldman Sachs Credit Strategies Fund. As of December 31, 2010, the Trust consisted of 11 portfolios, Goldman Sachs Trust consisted of 77 portfolios and the Goldman Sachs Municipal Opportunity Fund did not offer shares to the public. | |
| 5 | 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
Officers of the Trust* (Unaudited)
| 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 200 West Street New York, NY 10282 Age: 48 | 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 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 200 West Street New York, NY 10282 Age: 43 | 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 200 West Street New York, NY 10282 Age: 39 | 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. Information is provided as of December 31, 2010. | |
| * | 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 fiscal year ended December 31, 2010, 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 Donald C. Burke* John P. Coblentz, Jr. Diana M. Daniels Joseph P. LoRusso* James A. McNamara Jessica Palmer Alan A. Shuch Richard P. Strubel * Effective August 19, 2010 | 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 200 West Street, New York New York 10282 | ||
| Visit our website at www.goldmansachsfunds.com/vit to obtain the most recent month-end returns. | ||
| The reports concerning the Fund included in this shareholder report may contain certain forward-looking statements about the factors that may affect the performance of the Fund in the future. These statements are based on Fund management’s predictions and expectations concerning certain future events and their expected impact on the Fund, such as performance of the economy as a whole and of specific industry sectors, changes in the levels of interest rates, the impact of developing world events, and other factors that may influence the future performance of the Fund. Management believes these forward-looking statements to be reasonable, although they are inherently uncertain and difficult to predict. Actual events may cause adjustments in portfolio management strategies from those currently expected to be employed. | ||
| Economic and market forecasts presented herein reflect our judgment as of the date of this presentation and are subject to change without notice. These forecasts do not take into account the specific investment objectives, restrictions, tax and financial situation or other needs of any specific client. Actual data will vary and may not be reflected here. These forecasts are subject to high levels of uncertainty that may affect actual performance. Accordingly, these forecasts should be viewed as merely representative of a broad range of possible outcomes. These forecasts are estimated, based on assumptions, and are subject to significant revision and may change materially as economic and market conditions change. Goldman Sachs has no obligation to provide updates or changes to these forecasts. Case studies and examples are for illustrative purposes only. | ||
| 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”) website 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 or summary prospectus, if applicable. Investors should consider a Fund’s objective, risks, and charges and expenses, and read the summary prospectus, if available, and/or the Prospectus carefully before investing or sending money. The summary prospectus, if available, and the Prospectus contain this and other information about a Fund and may be obtained from your authorized dealer or from Goldman, Sachs & Co. by calling 1-800-621-2550. | ||
| 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. | ||
| © 2011 Goldman Sachs. All rights reserved. | ||
| VITSTRSCAR11/47819.MF.MED.TMPL/2/2011 | ||
Goldman
Sachs Variable Insurance Trust
Strategic Growth Fund
Annual Report
December 31, 2010
|
GOLDMAN SACHS VARIABLE INSURANCE TRUST STRATEGIC GROWTH FUND
Principal Investment Strategies and Risks
Shares of the Goldman Sachs Variable Insurance Trust — Goldman Sachs Strategic Growth Fund are offered to separate accounts of participating life insurance companies for the purpose of funding variable annuity contracts and variable life insurance policies. Shares of the Fund are not offered directly to the general public. The variable annuity contracts and variable life insurance policies are described in the separate prospectuses issued by participating insurance companies. You should refer to those prospectuses for information about surrender charges, mortality and expense risk fees and other charges that may be assessed by participating insurance companies under the variable annuity contracts or variable life insurance policies. Such fees or charges, if any, may affect the return you realize with respect to your investments. Ask your representative for more complete information. Please consider the Fund’s objective, risks and charges and expenses, and read the Prospectus carefully before investing. The Prospectus contains this and other information about the Fund.
1
GOLDMAN SACHS VARIABLE INSURANCE TRUST STRATEGIC 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 performance of Goldman Sachs Variable Insurance Trust (“VIT”) — Goldman Sachs Strategic Growth Fund (formerly, Goldman Sachs Capital Growth Fund) (the “Fund”) and positioning for the 12-month period ended December 31, 2010 (the “Reporting Period”).
How did the Fund perform during the Reporting Period?
During the Reporting Period, the Fund’s Institutional and Service Shares generated average annual total returns of 10.74% and 10.50%, respectively. These returns compare to the 16.71% 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.
Were there any significant changes in the Fund’s investment approach during the Reporting Period?
Effective April 30, 2010, the Goldman Sachs VIT Capital Growth Fund was renamed “Goldman Sachs VIT Strategic Growth Fund”. The Fund’s investment objective, performance benchmark and fees and expenses remained the same, but the investment strategies of the Fund did change. The investment focus is now on large-cap U.S. equity investments that are considered to be strategically positioned for consistent long-term growth. The Fund seeks 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.
What economic and market factors most influenced the equity markets as a whole during the Reporting Period?
U.S. equities began 2010 with their strongest annual start in over a decade, despite a lack of conviction from underlying economic data. While housing and labor data remained mixed, investors opted to view this, in combination with statements from the Federal Reserve Board (the Fed), as supportive of ongoing accommodative monetary policy. Further, increasing levels of corporate cash, high productivity and significant cost cutting fueled expectations of forthcoming business spending and corporate profits. Investor sentiment turned sharply in late April, and the U.S. equity market broke a four-quarter winning streak with a sharp drop in the second quarter that erased modest gains from the previous quarter and sent most major equity indices into negative territory for the first half of the Reporting Period. The equity markets reflected investor angst regarding the health of Europe’s financial system and the potential that the continent’s sovereign debt dilemma could spark another financial crisis. At the same time, investors became increasingly concerned about growing evidence that the global economy might be losing steam. Indeed, U.S. markets were doused with a number of disappointing economic readings at the end of June. Adding pressure were China’s attempts to cool its nation’s property market along with a decline in Chinese leading economic indicators that fueled fears of slowing global demand.
In the third quarter, U.S. equities roared back. The quarter featured strong corporate earnings announcements as well as news that the U.S. had officially come out of its economic recession in June. Still, concerns remained about the pace of the recovery, evidenced by the Fed’s signaling a willingness to take further action if necessary. U.S. equities indices, for example, S&P 500 capped 2010 on a note of optimism. Positive data points from December included robust retail sales figures and strong increases in purchasing and manufacturing surveys.
For the Reporting Period overall, economically-sensitive, cyclical stocks led returns, as investors focused on the strong growth and demand from outside the developed markets. In turn, the consumer discretionary sector, particularly auto stocks, and the industrials and materials sectors performed best. More traditionally defensive sectors, such as utilities and health care, lagged. Notably, the U.S. equity market outpaced the developed international equity markets, as investors gained confidence in the U.S. economic recovery. U.S. markets also reflected confidence in continued accommodative monetary and fiscal policy, most recently evidenced by the extension of tax cuts. Consistent with investor optimism and preference for cyclical exposure, small-cap and mid-cap stocks significantly outperformed large-cap stocks during the Reporting Period as a whole. Similarly, growth-oriented stocks outpaced value-oriented stocks across the capitalization spectrum. (Market segments are as measured by the Russell Indices.)
2
GOLDMAN SACHS VARIABLE INSURANCE TRUST STRATEGIC GROWTH FUND
What key factors were responsible for the Fund’s performance during the Reporting Period?
Stock selection overall detracted most from the Fund’s performance relative to the Russell Index during the Reporting Period.
Which equity market sectors most significantly affected Fund performance?
Effective stock selection in the energy and information technology sectors and an overweighted position in the strongly performing telecommunication services sector helped the Fund’s performance most relative to the Russell Index. Detracting most from the Fund’s relative results was stock selection in the consumer discretionary and financials sectors, where company-specific issues weighed on certain holdings. Having an underweighted exposure to the strongly performing industrials sector also hurt the Fund’s performance 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 Halliburton, a leading oil services company; Broadcom, a global leader in semiconductors for wired and wireless communications; and CB Richard Ellis Group, the world’s leading commercial real estate services firm.
During the Reporting Period, Halliburton’s shares rose upon its reporting an unexpected increase in activity and stronger pricing in its pressure pumping business. In addition, the company noted solid improvements in its cementing and directional drilling segments.
A position in Broadcom also contributed to the Fund’s relative performance. Early in the Reporting Period, Broadcom reported first quarter earnings that beat consensus estimates and provided a better-than-expected second quarter outlook. The company’s results were driven by strength in its mobile/wireless and enterprise networking business segments. During the Reporting Period, Broadcom shipped to five of the six largest cellular handset manufacturers. Included among these were Samsung and Nokia, which signed agreements with Broadcom thereby providing a tailwind to unit sales growth. Later in the Reporting Period, Broadcom’s shares rose upon the company’s Chief Financial Officer providing an encouraging outlook for 2011 at an investor meeting.
Shares of CB Richard Ellis Group* performed well during the Reporting Period. The company reported better-than-expected earnings results driven by strong revenues in property sales and leasing as well as by cost reductions during the recent downturn, which resulted in significant operating leverage.
Which stocks detracted significantly from the Fund’s performance during the Reporting Period?
Detracting most from the Fund’s results relative to the Russell Index were positions in office supply company Staples, medical products company Baxter International and data center services company Equinix.
Shares of Staples declined during the Reporting Period. We held the position in the Fund, however, given that the company remains focused on cost cutting, gaining market share from competitors and expanding its geographic footprint in less saturated markets. Staples also continued during the Reporting Period to make investments in new business processes that we believe should strengthen its brand and position it for growth over the long term. We further believe that Staples should benefit from pent up demand given the drawdown of inventory in its corporate client base.
Baxter International’s shares fell early in the Reporting Period after the company reported that competition in the blood plasma market had increased, making it more difficult for Baxter International to price its products at a premium. The stock subsequently rallied after one of Baxter’s competitors issued a product recall, leading to an improvement in pricing. For six months through October, the stock performed well before pulling back again. At the end of the Reporting Period, we continued to believe the company was trading at an attractive valuation due to its robust product pipeline and its market leading biosciences franchise.
During the first half of the Reporting Period, shares of Equinix sold off as investors were nervous about the company’s exposure to Europe. During the second half of the Reporting Period, the company’s disappointing third quarter earnings weighed on its shares. More specifically, in October, Equinix pre-announced third quarter and full year 2010 revenue that fell short of expectations as the company was believed to have made pricing concessions to retain key customers. While it may take time for investors to regain confidence in the company, we continued to believe at the end of the Reporting Period that the key long-term secular growth drivers behind our original investment thesis on Equinix, including cloud computing (i.e., Internet-based computing, whereby shared resources, software, and information are provided to computers and other devices on demand, like the electricity grid), mobile data, and video, were still in place.
| * | Position no longer held by the Fund. |
3
GOLDMAN SACHS VARIABLE INSURANCE TRUST STRATEGIC GROWTH FUND
How did the Fund use derivatives during the Reporting Period?
The Fund did not use derivatives during the Reporting Period.
Did the Fund make any significant purchases or sales during the Reporting Period?
We initiated a position in semiconductor chip company Xilinx. Xilinx is a leader in programmable logic devices (PLDs), which are used by customers around the world in a variety of industries, including automotive, broadcast, consumer, medical and military. The company met our investment criteria based on its dominant market position and competitive edge in PLDs. Also, in our view, Xilinx should benefit from the secular trend of PLDs taking market share from application-specific integrated circuits (ASICs), an alternative semiconductor chip. We believe the addressable market for PLDs should continue to expand as they offer significant benefits over ASICs, such as lower development costs, shorter development time and upgradability. Xilinx operates a duopoly in the PLD space, which provides pricing power. Its low fixed costs enable it to generate significant free cash flow. Furthermore, we believe the company’s innovative software serves as a barrier to entry. Finally, at the time of purchase, the company’s stock was trading at a historically low valuation and, in our view, offered significant upside potential.
We sold out of the Fund’s position in United Technologies, an industrial conglomerate. During the Reporting Period, United Technologies announced that the president of its commercial businesses would be leaving the company. Due to the unexpected change in management, we decided to sell out of the Fund’s position and purchase Raytheon, an aerospace and defense company that we believe offered a more attractive risk/reward opportunity. Raytheon, the fifth largest U.S. defense firm, is focused on designing and manufacturing defense electronics such as sensors, missiles, missile defense systems, satellites as well as providing homeland security support services. We believe that Raytheon is a leading franchise with a well positioned product portfolio. In addition, we believe that its management has a demonstrated history of effective capital allocation and is focused on growing the business organically. In our view, weakness in Raytheon’s stock in the last months of the Reporting Period was due to concerns that defense spending will be cut in an effort to reduce the U.S. federal budget deficit. However, we believe that the U.S. Department of Defense should continue to purchase defense weapons while actively reducing its services expenditures. As a result, Raytheon, in our view, should benefit from these secular spending trends over the long term.
We exited the Fund’s position in Express Scripts, a full service pharmacy benefit management and specialty managed care company, as its shares meaningfully appreciated since our original purchase date. The Fund’s initial investment was made shortly after Express Scripts acquired the pharmacy benefits management (PBM) business of WellPoint, the country’s largest managed care organization. We believed that in addition to being accretive, the acquisition would significantly strengthen Express Scripts’ purchasing power and increase administrative efficiencies. Indeed, our thesis played out, and we believe these positive attributes were reflected in its share price. Furthermore, we believe growth in the PBM industry may well be challenged over the next several years following the recent wave of patent expirations. Consequently, we sold the Fund’s position in Express Scripts, taking profits, as the risk/reward profile had become less attractive in our view.
Were there any notable changes in the Fund’s weightings during the Reporting Period?
In constructing the Fund’s portfolio, we focus on picking stocks rather than on making industry or sector bets. We seek to outpace the Russell Index by overweighting stocks that we expect to outperform and underweighting those that we think may lag. Consequently, changes in its sector weights are generally the direct result of individual stock selection or of stock appreciation or depreciation. That said, during the Reporting Period, the Fund’s exposure to consumer staples, health care and information technology increased. The Fund’s allocations compared to the Russell Index in energy, financials and industrials decreased.
How was the Fund positioned relative to the Russell Index at the end of the Reporting Period?
At the end of December 2010, the Fund had overweighted positions relative to the Russell Index in the telecommunication services, health care, financials and consumer staples sectors. On the same date, the Fund had underweighted positions compared to the Russell Index in industrials, materials and energy and was rather neutrally weighted to the Index in consumer discretionary, information technology and utilities.
What is the Fund’s tactical view and strategy for the months ahead?
Equity markets rallied strongly during the fourth quarter of 2010, extending gains that began in early September. Additionally, stock price momentum became a growing trend, and investors’ appetites for equities increased, as evidenced by retail mutual fund inflows. At the end of the Reporting Period, we were encouraged that the global economy appeared to
4
GOLDMAN SACHS VARIABLE INSURANCE TRUST STRATEGIC GROWTH FUND
have entered its next chapter of recovery and that a hand-off from government-subsidized stimulus to a more self-sustainable stage, led by healthy corporate spending and consumer participation, had begun. Recent tax policies out of Washington, D.C. were also helpful, in our view, to increasing investor confidence and helping create some needed visibility into the future, so that longer-term investment plans may be put in place.
At the end of the Reporting Period, we remained optimistic on corporate profits, predominantly driven by top-line rather than margin expansion. We have seen and expect to continue to see more in the way of strategic mergers and acquisitions, private equity transactions and corporate buybacks giving investors a good backdrop for demand for equities. However, we also believe that the need to pick the right stocks will increase in the coming year, as not all companies will be beneficiaries of these trends. In our view, greater differentiation between stocks will likely continue as correlations decline from their 2010 highs. Therefore, an investment manager’s ability to identify and purchase those companies best poised for earnings and free cash flow growth will be an important component of investment returns. 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.
5
FUND BASICS
Strategic Growth Fund
as of December 31, 2010
STANDARDIZED AVERAGE ANNUAL TOTAL RETURNS1
| For the period ended 12/31/10 | One Year | Five Years | Ten Years | Since Inception | Inception Date | |||||||||||||||
| Institutional | 10.74 | % | 2.64 | % | 0.24 | % | 2.45 | % | 4/30/98 | |||||||||||
| Service | 10.50 | N/A | N/A | 1.80 | 1/09/06 | |||||||||||||||
1 The Standardized Average Annual Total Returns are average annual total returns as of the most recent calendar quarter-end. They assume reinvestment of all distributions at net asset value (“NAV”). Because VIT Funds do not involve a sales charge, such a charge is not applied to their Standardized Total Returns.
Total return figures in the above chart represent past performance and do not indicate future results, which will vary. The investment return and principal value of an investment will fluctuate and, therefore, an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance may be lower or higher than the total return figures in the above chart. Please visit www.goldmansachsfunds.com/vit to obtain the most recent month-end returns. Performance reflects expense limitations in effect. In their absence, performance would be reduced.
EXPENSE RATIOS2
| Net Expense Ratio (Current) | Gross Expense Ratio (Before Waivers) | |||||||||
| Institutional | 0.85 | % | 0.85 | % | ||||||
| Service | 1.10 | 1.10 | ||||||||
2 The expense ratios of the Fund, both current (net of applicable fee waivers and/or expense limitations) and before waivers (gross of applicable fee waivers and/or expense limitations), are as set forth above according to the most recent publicly available Prospectuses for the Fund and may differ from the expense ratios disclosed in the Financial Highlights in this report. Applicable waivers and expense limitations may be modified or terminated in the future, consistent with the terms of any agreements in place. If this occurs, the expense ratios may change without shareholder approval.
TOP TEN HOLDINGS AS OF 12/31/103
| Holding | % of Net Assets | Line of Business | ||||||
| Apple, Inc. | 5.1 | % | Technology Hardware & Equipment | |||||
| Schlumberger Ltd. | 4.5 | Energy | ||||||
| QUALCOMM, Inc. | 4.2 | Technology Hardware & Equipment | ||||||
| PepsiCo, Inc. | 3.5 | Food, Beverage & Tobacco | ||||||
| Costco Wholesale Corp. | 3.0 | Food & Staples Retailing | ||||||
| Oracle Corp. | 3.0 | Software & Services | ||||||
| Cisco Systems, Inc. | 3.0 | Technology Hardware & Equipment | ||||||
| Microsoft Corp. | 2.9 | Software & Services | ||||||
| Google, Inc. Class A | 2.9 | Software & Services | ||||||
| American Tower Corp. Class A | 2.8 | Telecommunication Services | ||||||
3 The top 10 holdings may not be representative of the Fund’s future investments.
6
FUND BASICS
FUND vs. BENCHMARK SECTOR ALLOCATIONS4
As of December 31, 2010
4 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 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. Short-term investments represent investments in investment companies other than those that are exchange traded.
7
GOLDMAN SACHS VARIABLE INSURANCE TRUST STRATEGIC GROWTH FUND
Performance Summary
December 31, 2010
The following graph shows the value, as of December 31, 2010, of a $10,000 investment made on January 1, 2001 in the Institutional Shares at NAV. 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.
Strategic Growth Fund’s 10 Year Performance
| Average Annual Total Return through December 31, 2010 | One Year | Five Years | Ten Years | Since Inception | ||||||||||||
Institutional (Commenced April 30, 1998) | 10.74% | 2.64% | 0.24% | 2.45% | ||||||||||||
Service (Commenced January 9, 2006) | 10.50% | N/A | N/A | �� | 1.80% | |||||||||||
GOLDMAN SACHS VARIABLE INSURANCE TRUST STRATEGIC GROWTH FUND
Schedule of Investments
December 31, 2010
| Shares | Description | Value | ||||||||
Common Stocks – 97.5% | ||||||||||
| Banks – 0.8% | ||||||||||
| 213,800 | People’s United Financial, Inc. | $ | 2,995,338 | |||||||
| Capital Goods – 2.1% | ||||||||||
| 92,500 | Danaher Corp. | 4,363,225 | ||||||||
| 68,800 | Raytheon Co. | 3,188,192 | ||||||||
| 7,551,417 | ||||||||||
| Consumer Durables & Apparel – 2.1% | ||||||||||
| 87,700 | NIKE, Inc. Class B | 7,491,334 | ||||||||
| Consumer Services – 1.8% | ||||||||||
| 58,279 | McDonald’s Corp. | 4,473,496 | ||||||||
| 36,300 | Yum! Brands, Inc. | 1,780,515 | ||||||||
| 6,254,011 | ||||||||||
| Diversified Financials – 7.0% | ||||||||||
| 30,617 | CME Group, Inc. | 9,851,020 | ||||||||
| 163,506 | Morgan Stanley | 4,448,998 | ||||||||
| 112,800 | Northern Trust Corp. | 6,250,248 | ||||||||
| 260,430 | The Charles Schwab Corp. | 4,455,957 | ||||||||
| 25,006,223 | ||||||||||
| Energy – 9.6% | ||||||||||
| 181,171 | Halliburton Co. | 7,397,212 | ||||||||
| 40,146 | Occidental Petroleum Corp. | 3,938,323 | ||||||||
| 194,622 | Schlumberger Ltd. | 16,250,937 | ||||||||
| 181,800 | Southwestern Energy Co.* | 6,804,774 | ||||||||
| 34,391,246 | ||||||||||
| Food & Staples Retailing – 3.0% | ||||||||||
| 150,300 | Costco Wholesale Corp. | 10,853,163 | ||||||||
| Food, Beverage & Tobacco – 5.5% | ||||||||||
| 108,000 | Kraft Foods, Inc. Class A | 3,403,080 | ||||||||
| 190,500 | PepsiCo, Inc. | 12,445,365 | ||||||||
| 60,700 | The Coca-Cola Co. | 3,992,239 | ||||||||
| 19,840,684 | ||||||||||
| Health Care Equipment & Services – 4.4% | ||||||||||
| 156,973 | Baxter International, Inc. | 7,945,973 | ||||||||
| 184,062 | St. Jude Medical, Inc.* | 7,868,651 | ||||||||
| 15,814,624 | ||||||||||
| Household & Personal Products – 3.9% | ||||||||||
| 244,458 | Avon Products, Inc. | 7,103,949 | ||||||||
| 107,600 | The Procter & Gamble Co. | 6,921,908 | ||||||||
| 14,025,857 | ||||||||||
| Materials – 2.5% | ||||||||||
| 77,900 | Ecolab, Inc. | 3,927,718 | ||||||||
| 54,000 | Praxair, Inc. | 5,155,380 | ||||||||
| 9,083,098 | ||||||||||
| Media – 1.3% | ||||||||||
| 121,574 | Viacom, Inc. Class B | 4,815,546 | ||||||||
| Pharmaceuticals, Biotechnology & Life Sciences – 9.4% | ||||||||||
| 63,019 | Amgen, Inc.* | 3,459,743 | ||||||||
| 38,281 | Biogen Idec, Inc.* | 2,566,741 | ||||||||
| 105,753 | Gilead Sciences, Inc.* | 3,832,489 | ||||||||
| 141,777 | Johnson & Johnson | 8,768,907 | ||||||||
| 96,700 | Merck & Co., Inc. | 3,485,068 | ||||||||
| 85,991 | Teva Pharmaceutical Industries Ltd. ADR | 4,482,711 | ||||||||
| 127,000 | Thermo Fisher Scientific, Inc.* | 7,030,720 | ||||||||
| 33,626,379 | ||||||||||
| Retailing – 8.8% | ||||||||||
| 105,200 | Bed Bath & Beyond, Inc.* | 5,170,580 | ||||||||
| 399,968 | Lowe’s Companies, Inc. | 10,031,197 | ||||||||
| 412,852 | Staples, Inc. | 9,400,640 | ||||||||
| 118,000 | Target Corp. | 7,095,340 | ||||||||
| 31,697,757 | ||||||||||
| Semiconductors & Semiconductor Equipment – 3.3% | ||||||||||
| 86,900 | Broadcom Corp. Class A | 3,784,495 | ||||||||
| 277,556 | Xilinx, Inc. | 8,043,573 | ||||||||
| 11,828,068 | ||||||||||
| Software & Services – 13.4% | ||||||||||
| 34,468 | Equinix, Inc.* | 2,800,870 | ||||||||
| 17,269 | Google, Inc. Class A* | 10,257,268 | ||||||||
| 30,900 | MasterCard, Inc. Class A | 6,924,999 | ||||||||
| 367,768 | Microsoft Corp. | 10,268,082 | ||||||||
| 346,400 | Oracle Corp. | 10,842,320 | ||||||||
| 218,791 | The Western Union Co. | 4,062,949 | ||||||||
| 38,100 | Visa, Inc. Class A | 2,681,478 | ||||||||
| 47,837,966 | ||||||||||
| Technology Hardware & Equipment – 13.6% | ||||||||||
| 56,600 | Apple, Inc.* | 18,256,896 | ||||||||
| 533,184 | Cisco Systems, Inc.* | 10,786,312 | ||||||||
| 78,500 | NetApp, Inc.* | 4,314,360 | ||||||||
| 306,868 | QUALCOMM, Inc. | 15,186,898 | ||||||||
| 48,544,466 | ||||||||||
| Telecommunication Services – 5.0% | ||||||||||
| 197,138 | American Tower Corp. Class A* | 10,180,206 | ||||||||
| 173,668 | Crown Castle International Corp.* | 7,611,869 | ||||||||
| 17,792,075 | ||||||||||
TOTAL COMMON STOCKS | ||||||||||
| (Cost $295,122,180) | $ | 349,449,252 | ||||||||
GOLDMAN SACHS VARIABLE INSURANCE TRUST STRATEGIC GROWTH FUND
Schedule of Investments (continued)
December 31, 2010
| Shares | Rate | Value | ||||||||
Short-term Investment(a) – 2.5% | ||||||||||
| JPMorgan U.S. Government Money Market Fund – Capital Shares | ||||||||||
| 8,864,160 | 0.043% | $ | 8,864,160 | |||||||
| (Cost $8,864,160) | ||||||||||
TOTAL INVESTMENTS – 100.0% | ||||||||||
| (Cost $303,986,340) | $ | 358,313,412 | ||||||||
OTHER ASSETS IN EXCESS OF LIABILITIES – 0.0% | 66,801 | |||||||||
| NET ASSETS – 100.0% | $ | 358,380,213 | ||||||||
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) | Variable rate security. Interest rate disclosed is that which is in effect at December 31, 2010. |
| Investment Abbreviation: | ||||||
| ADR | — | American Depositary Receipt | ||||
GOLDMAN SACHS VARIABLE INSURANCE TRUST STRATEGIC GROWTH FUND
Statement of Assets and Liabilities
December 31, 2010
| Assets: | ||||||
| Investments in securities, at value (identified cost $303,986,340) | $ | 358,313,412 | ||||
| Receivables: | ||||||
Dividends | 352,614 | |||||
Investment securities sold | 344,938 | |||||
Fund shares sold | 81,151 | |||||
| Total assets | 359,092,115 | |||||
| Liabilities: | ||||||
| Payables: | ||||||
Amounts owed to affiliates | 282,382 | |||||
Fund shares redeemed | 199,389 | |||||
Investment securities purchased | 134,241 | |||||
| Accrued expenses | 95,890 | |||||
| Total liabilities | 711,902 | |||||
| Net Assets: | ||||||
| Paid-in capital | 376,444,868 | |||||
| Accumulated undistributed net investment income | 164,809 | |||||
| Accumulated net realized loss from investment transactions | (72,556,536 | ) | ||||
| Net unrealized gain on investments | 54,327,072 | |||||
| NET ASSETS | $ | 358,380,213 | ||||
| Net Assets: | ||||||
Institutional | $ | 120,027,040 | ||||
Service | 238,353,173 | |||||
| Total Net Assets | $ | 358,380,213 | ||||
| Shares of beneficial interest outstanding $0.001 par value (unlimited shares authorized): | ||||||
Institutional | 9,991,782 | |||||
Service | 19,865,574 | |||||
| Net asset value, offering and redemption price per share: | ||||||
Institutional | $ | 12.01 | ||||
Service | 12.00 | |||||
GOLDMAN SACHS VARIABLE INSURANCE TRUST STRATEGIC GROWTH FUND
Statement of Operations
For the Fiscal Year Ended December 31, 2010
| Investment income: | ||||||
| Dividends (net of foreign taxes withheld of $1,482) | $ | 4,481,824 | ||||
| Securities lending income — affiliated issuer | 1,026 | |||||
| Total investment income | 4,482,850 | |||||
| Expenses: | ||||||
| Management fees | 2,502,684 | |||||
| Distribution and Service fees — Service Class | 541,046 | |||||
| Printing and mailing costs | 119,362 | |||||
| Professional fees | 77,006 | |||||
| Transfer Agent fees(a) | 66,733 | |||||
| Custody and accounting fees | 57,440 | |||||
| Trustee fees | 15,503 | |||||
| Other | 14,755 | |||||
| Total expenses | 3,394,529 | |||||
| NET INVESTMENT INCOME | 1,088,321 | |||||
| Realized and unrealized gain (loss) from investment transactions: | ||||||
| Net realized gain from: | ||||||
Investment transactions — unaffiliated issuers (including commissions recaptured of $27,287) | 21,826,708 | |||||
Securities lending reinvestment vehicle transactions — affiliated issuer | 5,850 | |||||
| Net change in unrealized gain (loss) on: | ||||||
Investments — unaffiliated issuers | 11,398,737 | |||||
Securities lending reinvestment vehicle — affiliated issuer | (11,583 | ) | ||||
| Net realized and unrealized gain from investment transactions | 33,219,712 | |||||
| NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS | $ | 34,308,033 | ||||
| (a) | Institutional and Service Shares had Transfer Agent fees of $23,453 and $43,280, respectively. |
GOLDMAN SACHS VARIABLE INSURANCE TRUST STRATEGIC GROWTH FUND
Statements of Changes in Net Assets
| For the | For the | |||||||||
| Fiscal Year Ended | Fiscal Year Ended | |||||||||
| December 31, 2010 | December 31, 2009 | |||||||||
From operations: | ||||||||||
| Net investment income | $ | 1,088,321 | $ | 552,696 | ||||||
| Net realized gain (loss) from investment transactions | 21,832,558 | (45,876,538 | ) | |||||||
| Net change in unrealized gain on investments | 11,387,154 | 160,768,884 | ||||||||
Net increase in net assets resulting from operations | 34,308,033 | 115,445,042 | ||||||||
Distributions to shareholders: | ||||||||||
| From net investment income | ||||||||||
Institutional Shares | (490,173 | ) | (442,989 | ) | ||||||
Service Shares | (435,824 | ) | (360,499 | ) | ||||||
| From return of capital | ||||||||||
Institutional Shares | — | (53,630 | ) | |||||||
Service Shares | — | (43,643 | ) | |||||||
Total distributions to shareholders | (925,997 | ) | (900,761 | ) | ||||||
From share transactions: | ||||||||||
| Proceeds from sales of shares | 37,422,641 | 24,273,407 | ||||||||
| Reinvestment of distributions | 925,997 | 900,761 | ||||||||
| Cost of shares redeemed | (58,517,681 | ) | (57,699,129 | ) | ||||||
Net decrease in net assets resulting from share transactions | (20,169,043 | ) | (32,524,961 | ) | ||||||
TOTAL INCREASE | 13,212,993 | 82,019,320 | ||||||||
Net assets: | ||||||||||
| Beginning of year | 345,167,220 | 263,147,900 | ||||||||
| End of year | $ | 358,380,213 | $ | 345,167,220 | ||||||
Accumulated undistributed net investment income | $ | 164,809 | $ | 2,485 | ||||||
GOLDMAN SACHS VARIABLE INSURANCE TRUST STRATEGIC 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, | ||||||||||||||||||||||||||||||||||||||||||||||||||
| 2010 - Institutional | $ | 10.89 | $ | 0.05 | $ | 1.12 | $ | 1.17 | $ | (0.05 | ) | $ | 12.01 | 10.74 | % | $ | 120,027 | 0.86 | % | 0.86 | % | 0.49 | % | 38 | % | |||||||||||||||||||||||||
| 2010 - Service | 10.88 | 0.03 | 1.11 | 1.14 | (0.02 | ) | 12.00 | 10.50 | 238,353 | 1.11 | 1.11 | 0.24 | 38 | |||||||||||||||||||||||||||||||||||||
| 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) | 1.11 | (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 | |||||||||||||||||||||||||||||||||
| (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 non-recurring special dividends which amounted to $0.01 per share and 0.09% of average net assets. | |
| (e) | Includes non-recurring expense for a special shareholder proxy 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.
14
GOLDMAN SACHS VARIABLE INSURANCE TRUST STRATEGIC GROWTH FUND
Notes to Financial Statements
December 31, 2010
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 Growth Fund (the “Fund”). The Fund is a diversified portfolio under the Act offering two classes of shares — Institutional and Service.
Goldman Sachs Asset Management, L.P. (“GSAM”), an affiliate of Goldman, Sachs & Co. (“Goldman Sachs”), serves as investment adviser to the Fund pursuant to a management agreement (the “Agreement”) with the Trust.
Effective April 30, 2010, the Fund’s name was changed from the Goldman Sachs Capital Growth Fund to the Goldman Sachs Strategic Growth 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. 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.
B. 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
GOLDMAN SACHS VARIABLE INSURANCE TRUST STRATEGIC GROWTH FUND
Notes to Financial Statements (continued)
December 31, 2010
2. SIGNIFICANT ACCOUNTING POLICIES (continued)
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.
Investment income 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.
C. Expenses — Expenses incurred by the Trust that do not specifically relate to an individual Fund of the Trust are allocated to the Fund on a straight-line and/or pro-rata basis depending upon the nature of the expense and are accrued daily.
D. Federal Taxes and Distributions to Shareholders — It is the Fund’s policy to comply with the requirements of the Internal Revenue Code of 1986, as amended (the “Code”), applicable to regulated investment companies (mutual funds) and to distribute each year substantially all of its investment company taxable income and capital gains to its shareholders. Accordingly, the Fund is not required to make any provisions for the payment of federal income tax. 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.
E. 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. 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 significant inputs are observable (including, but not limited to, quoted prices for similar securities, interest rates, foreign exchange rates, volatility and credit spreads), either directly or indirectly;
Level 3 — Prices or valuations that require significant unobservable inputs (including GSAM’s assumptions in determining fair value measurement).
GOLDMAN SACHS VARIABLE INSURANCE TRUST STRATEGIC GROWTH FUND
| 3. FAIR VALUE OF INVESTMENTS (continued) |
The following is a summary of the Fund’s investments categorized in the fair value hierarchy as of December 31, 2010:
| Level 1 | Level 2 | Level 3 | ||||||||||
Assets | ||||||||||||
| Common Stock and/or Other Equity Investments | $ | 349,449,252 | $ | — | $ | — | ||||||
| Short-term Investment | 8,864,160 | — | — | |||||||||
| Total | $ | 358,313,412 | $ | — | $ | — | ||||||
4. 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 paid monthly, equal to an annual percentage rate of the Fund’s average daily net assets.
For the fiscal year ended December 31, 2010, 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 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, which serves as distributor, is entitled to a fee computed daily and paid monthly for distribution services, which may then be paid by Goldman Sachs to authorized dealers, 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 computed daily and paid monthly at an annual rate of 0.02% of the average daily net assets for Institutional and Service Shares.
D. Other Expense Agreements and Affiliated Transactions — GSAM has agreed to limit certain “Other Expense” (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 Other 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. These Other Expense reimbursements will remain in place through at least April 30, 2011, and prior to such date GSAM may not terminate the arrangement without the approval of the trustees. For the fiscal year ended December 31, 2010, GSAM did not make any reimbursements to the Fund.
As of December 31, 2010, amounts owed to affiliates were approximately $226,300, $50,000 and $6,000 for management, distribution and service, and transfer agent fees, respectively.
E. Line of Credit Facility — As of December 31, 2010, the Fund participated in a $580,000,000 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 could increase the credit amount by an additional $340,000,000, for a total of up to $920,000,000. This facility is to be used solely for temporary or emergency purposes. The interest rate on borrowings is based on the federal funds rate.
GOLDMAN SACHS VARIABLE INSURANCE TRUST STRATEGIC GROWTH FUND
Notes to Financial Statements (continued)
December 31, 2010
| 4. AGREEMENTS AND AFFILIATED TRANSACTIONS (continued) |
The 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, 2010, the Fund did not have any borrowings under the facility. Prior to May 11, 2010, the amount available through the facility was $660,000,000.
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, 2010, were $124,728,596 and $148,094,654, respectively.
6. SECURITIES LENDING
Pursuant to exemptive relief granted by the Securities and Exchange Commission (“SEC”) 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. Effective May 26, 2010, the Fund no longer participated in the securities lending program. During its participation in this securities lending program, and in accordance with the Fund’s securities lending procedures, the Fund received cash collateral at least equal to the market value of the securities on loan. The market value of the loaned securities was 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 were traded, and any additional required collateral was delivered to the Fund on the next business day.
The Fund invested 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, was exempt from registration under Section 3(c)(7) of the Act and was managed by GSAM, for which GSAM may have received 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 invested primarily in short-term investments, but was not a “money market fund” subject to the requirements of Rule 2a-7 of the Act.
Both the Fund and GSAL received compensation relating to the lending of the Fund’s securities. The amount earned by the Fund for the fiscal year ended December 31, 2010, is reported under Investment Income on the Statement of Operations. A portion of this amount, $61, represents compensation earned by the Fund from lending its securities to Goldman Sachs. For the fiscal year ended December 31, 2010, GSAL earned $111 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, 2010 (in thousands):
| Number of | Number of | |||||||
| Shares Held | Shares Held | Value at End | ||||||
| Beginning of Year | Shares Bought | Shares Sold | End of Year | of Year | ||||
| 11,689 | 6,373 | (18,062) | — | $— | ||||
7. TAX INFORMATION
The tax character of distributions paid during the fiscal years ended December 31, 2009 and December 31, 2010 was as follows:
| 2009 | 2010 | |||||||
| Distributions paid from ordinary income | $ | 803,488 | $ | 925,997 | ||||
| Tax return of capital | $ | 97,273 | $ | — | ||||
GOLDMAN SACHS VARIABLE INSURANCE TRUST STRATEGIC GROWTH FUND
| 7. TAX INFORMATION (continued) |
As of December 31, 2010, the components of accumulated earnings (losses) on a tax basis were as follows:
| Undistributed ordinary income — net | $ | 164,809 | ||
Capital loss carryforward:(1) | ||||
| Expiring 2011 | (1,064,803 | ) | ||
| Expiring 2016 | (23,475,963 | ) | ||
| Expiring 2017 | (43,614,413 | ) | ||
| Total capital loss carryforward | $ | (68,155,179 | ) | |
| Unrealized gains — net | 49,925,715 | |||
| Total accumulated losses — net | $ | (18,064,655 | ) | |
| (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 $15,769,829 and $43,499,640 that were utilized and expired, respectively, in the current fiscal year. |
As of December 31, 2010, the Fund’s aggregate security unrealized gains and losses based on cost for U.S. federal income tax purposes was as follows:
| Tax cost | $ | 308,387,697 | ||
| Gross unrealized gain | 54,753,969 | |||
| Gross unrealized loss | (4,828,254 | ) | ||
| Net unrealized security gain | $ | 49,925,715 | ||
The difference between GAAP-basis and tax-basis unrealized gains (losses) are attributable primarily to wash sales.
In order to present certain components of the Fund’s capital accounts on a tax basis, the Fund has reclassified $43,499,640 from paid-in-capital to accumulated net realized loss from investment transactions. These reclassifications have no impact on the net asset value of the Fund and result from expired capital loss carryforwards.
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.
8. OTHER RISKS
Fund’s Shareholder Concentration Risk — 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 entities of their holdings in the Fund may impact the Fund’s liquidity and NAV. These redemptions may also force the Fund to sell securities.
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.
GOLDMAN SACHS VARIABLE INSURANCE TRUST STRATEGIC GROWTH FUND
Notes to Financial Statements (continued)
December 31, 2010
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. SUBSEQUENT EVENTS
Subsequent events after the balance sheet date have been evaluated through the date the financial statements were issued. GSAM has concluded that there is no impact requiring adjustment or disclosure in the financial statements.
11. SUMMARY OF SHARE TRANSACTIONS
Share activity is as follows:
| For the Fiscal Year Ended | For the Fiscal Year Ended | |||||||||||||||
| December 31, 2010 | December 31, 2009 | |||||||||||||||
| Shares | Dollars | Shares | Dollars | |||||||||||||
Institutional Shares | ||||||||||||||||
| Shares sold | 589,735 | $ | 6,437,104 | 1,185,929 | $ | 10,504,936 | ||||||||||
| Reinvestment of distributions | 40,882 | 490,173 | 45,729 | 496,619 | ||||||||||||
| Shares redeemed | (2,141,448 | ) | (23,457,107 | ) | (2,600,340 | ) | (22,772,377 | ) | ||||||||
| (1,510,831 | ) | (16,529,830 | ) | (1,368,682 | ) | (11,770,822 | ) | |||||||||
Service Shares | ||||||||||||||||
| Shares sold | 2,823,030 | 30,985,537 | 1,508,421 | 13,768,471 | ||||||||||||
| Reinvestment of distributions | 36,379 | 435,824 | 37,214 | 404,142 | ||||||||||||
| Shares redeemed | (3,207,332 | ) | (35,060,574 | ) | (4,046,698 | ) | (34,926,752 | ) | ||||||||
| (347,923 | ) | (3,639,213 | ) | (2,501,063 | ) | (20,754,139 | ) | |||||||||
NET DECREASE | (1,858,754 | ) | $ | (20,169,043 | ) | (3,869,745 | ) | $ | (32,524,961 | ) | ||||||
Report of Independent Registered Public Accounting Firm
To the Board of Trustees and Shareholders of Goldman Sachs Variable Insurance Trust — Goldman Sachs Strategic 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 Strategic Growth Fund (formerly Goldman Sachs Capital Growth Fund, the “Fund”) at December 31, 2010, 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, 2010 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 14, 2011
GOLDMAN SACHS VARIABLE INSURANCE TRUST STRATEGIC GROWTH FUND
Fund Expenses — Six Month Period Ended December 31, 2010 (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, 2010 through December 31, 2010.
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 (loads), redemption fees, or exchange fees, but shareholders of other funds may incur such costs. The second line of the table is useful in comparing 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 | 7/01/10 | 12/31/10 | 12/31/10* | ||||||||||||
Institutional | |||||||||||||||
| Actual | $ | 1,000 | $ | 1,212.00 | $ | 4.79 | |||||||||
| Hypothetical 5% return | 1,000 | 1,020.87 | + | 4.38 | |||||||||||
Service | |||||||||||||||
| Actual | 1,000 | 1,210.70 | 6.19 | ||||||||||||
| Hypothetical 5% return | 1,000 | 1,019.66 | + | 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, 2010. 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 STRATEGIC 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 Age1,2 | with the Trust | Time Served3 | During Past 5 Years | Trustee4 | Held by Trustee5 | |||||
| Ashok N. Bakhru Age: 68 | Chairman of the Board of Trustees | Since 1996 (Trustee Since 1991) | President, ABN 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-Linked Investors II (April 2002-2007); and Chairman, Lenders Service Inc. (provider of mortgage lending services ) (2000-2003). Chairman of the Board of Trustees—Goldman Sachs Mutual Fund Complex. | 90 | Apollo Investment Corporation (a business development company) | |||||
| Donald C. Burke Age: 50 | Trustee | Since 2010 | Director, BlackRock Luxembourg and Cayman Funds (2006-2010); President and Chief Executive Officer, BlackRock U.S. Funds (2007-2009); Managing Director, BlackRock, Inc. (2006-2009); Managing Director, Merrill Lynch Investment Managers, L.P. (“MLIM”) (2006); First Vice President, MLIM (1997-2005); Chief Financial Officer and Treasurer, MLIM U.S. Funds (1999-2006). Trustee—Goldman Sachs Mutual Fund Complex. | 90 | None | |||||
| John P. Coblentz, Jr. Age: 69 | 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. | 90 | None | |||||
| Diana M. Daniels Age: 61 | 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 Vice Chair of the Board of Trustees, Cornell University (2009-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. | 90 | None | |||||
| Joseph P. LoRusso Age: 53 | Trustee | Since 2010 | President, Fidelity Investments Institutional Services Co. (“FIIS”) (2002-2008); Director, FIIS (2002-2008); Director, Fidelity Investments Institutional Operations Company (2003-2007); Executive Officer, Fidelity Distributors Corporation (2007-2008). Trustee—Goldman Sachs Mutual Fund Complex. | 90 | None | |||||
| Jessica Palmer Age: 61 | Trustee | Since 2007 | Ms. Palmer is retired. Formerly, she was Consultant, Citigroup Human Resources Department (2007-2008); Managing Director, Citigroup Corporate and Investment Banking (previously, Salomon Smith Barney/Salomon Brothers) (1984-2006). Ms. Palmer was a Member of the Board of Trustees of Indian Mountain School (private elementary and secondary school) (2004-2009). Trustee—Goldman Sachs Mutual Fund Complex. | 90 | None | |||||
GOLDMAN SACHS VARIABLE INSURANCE TRUST STRATEGIC 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 Age1,2 | with the Trust | Time Served3 | During Past 5 Years | Trustee4 | Held by Trustee5 | |||||
| Richard P. Strubel Age: 71 | 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. | 90 | 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 Age1,2 | with the Trust | Time Served3 | During Past 5 Years | Trustee4 | Held by Trustee5 | |||||
| James A. McNamara* Age: 48 | 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). | 90 | None | |||||
| Alan A. Shuch* Age: 61 | 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. | 90 | 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, 200 West Street, New York, New York, 10282, Attn: Peter V. Bonanno. Information is provided as of December 31, 2010. | |
| 2 | From 2000 until September 30, 2010, Patrick T. Harker also served as Trustee of the Trust and of the Goldman Sachs Mutual Fund Complex. Mr. Harker resigned from these positions on September 30, 2010. | |
| 3 | 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 74 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. | |
| 4 | The Goldman Sachs Mutual Fund Complex consists of the Trust, Goldman Sachs Trust, Goldman Sachs Municipal Opportunity Fund, and Goldman Sachs Credit Strategies Fund. As of December 31, 2010, the Trust consisted of 11 portfolios. Goldman Sachs Trust consisted of 77 portfolios and the Goldman Sachs Municipal Opportunity Fund did not offer shares to the public. | |
| 5 | 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 GROWTH FUND
Officers of the Trust* (Unaudited)
| 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 200 West Street New York, NY 10282 Age: 48 | 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 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 200 West Street New York, NY 10282 Age: 43 | 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 200 West Street New York, NY 10282 Age: 39 | 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. Information is provided as of December 31, 2010. | |
| * | 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 fiscal year ended December 31, 2010, 100% of the dividends paid from net investment company taxable income by the Goldman Sachs Strategic Growth Fund qualify for the dividends received deduction available to corporations.
| TRUSTEES | OFFICERS | |
| Ashok N. Bakhru, Chairman Donald C. Burke* John P. Coblentz, Jr. Diana M. Daniels Joseph P. LoRusso* James A. McNamara Jessica Palmer Alan A. Shuch Richard P. Strubel * Effective August 19, 2010 | 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 200 West Street, New York New York 10282 | ||
| Visit our website at www.goldmansachsfunds.com/vit to obtain the most recent month-end returns. | ||
| The reports concerning the Fund included in this shareholder report may contain certain forward-looking statements about the factors that may affect the performance of the Fund in the future. These statements are based on Fund management’s predictions and expectations concerning certain future events and their expected impact on the Fund, such as performance of the economy as a whole and of specific industry sectors, changes in the levels of interest rates, the impact of developing world events, and other factors that may influence the future performance of the Fund. Management believes these forward-looking statements to be reasonable, although they are inherently uncertain and difficult to predict. Actual events may cause adjustments in portfolio management strategies from those currently expected to be employed. | ||
| Economic and market forecasts presented herein reflect our judgment as of the date of this presentation and are subject to change without notice. These forecasts do not take into account the specific investment objectives, restrictions, tax and financial situation or other needs of any specific client. Actual data will vary and may not be reflected here. These forecasts are subject to high levels of uncertainty that may affect actual performance. Accordingly, these forecasts should be viewed as merely representative of a broad range of possible outcomes. These forecasts are estimated, based on assumptions, and are subject to significant revision and may change materially as economic and market conditions change. Goldman Sachs has no obligation to provide updates or changes to these forecasts. Case studies and examples are for illustrative purposes only. | ||
| 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”) website 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 or summary prospectus, if applicable. Investors should consider a Fund’s objective, risks, and charges and expenses, and read the summary prospectus, if available, and/or the Prospectus carefully before investing or sending money. The summary prospectus, if available, and the Prospectus contain this and other information about a Fund and may be obtained from your authorized dealer or from Goldman, Sachs & Co. by calling 1-800-621-2550. | ||
| 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 Growth Fund. | ||
| © 2011 Goldman Sachs. All rights reserved. | ||
| VITSGAR11/47820.MF.MED.TMPL/2/2011 | ||
Goldman
Sachs Variable Insurance Trust
Mid Cap Value Fund
Annual Report
December 31, 2010
|
GOLDMAN SACHS VARIABLE INSURANCE TRUST MID CAP VALUE FUND
Principal Investment Strategies and Risks
Shares of the Goldman Sachs Variable Insurance Trust — Goldman Sachs Mid Cap Value Fund are offered to separate accounts of participating life insurance companies for the purpose of funding variable annuity contracts and variable life insurance policies. Shares of the Fund are not offered directly to the general public. The variable annuity contracts and variable life insurance policies are described in the separate prospectuses issued by participating insurance companies. You should refer to those prospectuses for information about surrender charges, mortality and expense risk fees and other charges that may be assessed by participating insurance companies under the variable annuity contracts or variable life insurance policies. Such fees or charges, if any, may affect the return you realize with respect to your investments. Ask your representative for more complete information. Please consider the Fund’s objective, risks and charges and expenses, and read the Prospectus carefully before investing. The Prospectus contains this and other information about the Fund.
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 performance of Goldman Sachs Variable Insurance Trust (“VIT”) — Goldman Sachs Mid Cap Value Fund (the “Fund”) and positioning for the 12-month period ended December 31, 2010 (the “Reporting Period”).
How did the Fund perform during the Reporting Period?
During the Reporting Period, the Fund’s Institutional and Service Shares generated average annual total returns of 25.00% and 24.69%, respectively. These returns compare to the 24.75% 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. equities began 2010 with their strongest annual start in over a decade, despite a lack of conviction from underlying economic data. While housing and labor data remained mixed, investors opted to view this, in combination with statements from the Federal Reserve Board (the Fed), as supportive of ongoing accommodative monetary policy. Further, increasing levels of corporate cash, high productivity and significant cost cutting fueled expectations of forthcoming business spending and corporate profits. Investor sentiment turned sharply in late April, and the U.S. equity market broke a four-quarter winning streak with a sharp drop in the second quarter that erased modest gains from the previous quarter and sent most major equity indices into negative territory for the first half of the Reporting Period. The equity markets reflected investor angst regarding the health of Europe’s financial system and the potential that the continent’s sovereign debt dilemma could spark another financial crisis. At the same time, investors became increasingly concerned about growing evidence that the global economy might be losing steam. Indeed, U.S. markets were doused with a number of disappointing economic readings at the end of June. Adding pressure were China’s attempts to cool its nation’s property market along with a decline in Chinese leading economic indicators that fueled fears of slowing global demand.
In the third quarter, U.S. equities roared back. The quarter featured strong corporate earnings announcements as well as news that the U.S. had officially come out of its economic recession in June. Still, concerns remained about the pace of the recovery, evidenced by the Fed’s signaling a willingness to take further action if necessary. U.S. equities indices, for example, S&P 500 capped 2010 on a note of optimism. Positive data points from December included robust retail sales figures and strong increases in purchasing and manufacturing surveys.
For the Reporting Period overall, economically-sensitive, cyclical stocks led returns, as investors focused on the strong growth and demand from outside the developed markets. In turn, the consumer discretionary sector, particularly auto stocks, and the industrials and materials sectors performed best. More traditionally defensive sectors, such as utilities and health care, lagged. Notably, the U.S. equity market outpaced the developed international equity markets, as investors gained confidence in the U.S. economic recovery. U.S. markets also reflected confidence in continued accommodative monetary and fiscal policy, most recently evidenced by the extension of tax cuts. Consistent with investor optimism and preference for cyclical exposure, small-cap and mid-cap stocks significantly outperformed large-cap stocks during the Reporting Period as a whole. Similarly, growth-oriented stocks outpaced value-oriented stocks across the capitalization spectrum. (Market segments are as measured by the Russell Indices.)
The Russell Index rose 24.75% during the Reporting Period. The year was marked by a challenging stock-picking environment, with high stock correlations offering limited differentiation between winners and losers. Indeed, 2010 peak correlation was at 82% above the long term average. Among value-oriented sectors, regulatory uncertainty was most pronounced, as health care, financials and energy — each facing significant reform — comprise over half of the Russell Value Index. Another phenomenon impacting value-oriented stocks overall was that higher yielding stocks meaningfully outperformed during the Reporting Period despite slower earnings growth and, sometimes, weaker fundamentals. Still, increased merger and acquisition activity helped boost the market, especially in the mid-cap and small-cap segments.
GOLDMAN SACHS VARIABLE INSURANCE TRUST MID CAP VALUE FUND
What key factors were responsible for the Fund’s performance during the Reporting Period?
Stock selection overall contributed positively to the Fund’s performance relative to the Russell Index during the Reporting Period.
Which equity market sectors most significantly affected Fund performance?
Effective stock selection in the information technology, materials and industrials sectors helped the Fund’s performance most relative to the Russell Index. Detracting most from the Fund’s relative results was stock selection in the consumer discretionary, energy and financials sectors, where company-specific issues weighed on certain holdings.
What were some of the Fund’s best-performing individual stocks?
The Fund benefited most relative to the Russell Index from positions in Internet security company McAfee of the information technology sector and diversified mining and natural resources company Cliffs Natural Resources of the materials sector.
We had initiated a position in McAfee as we felt it was a leader in the security software industry trading at an attractive valuation. In August 2010, Intel announced it was acquiring McAfee for a large premium, and the stock rose accordingly. We sold out of the position soon after the announcement.
Cliffs Natural Resources, the only public iron ore company in the U.S., performed well during the Reporting Period, benefiting from improved volume, lower fixed costs and higher pricing. The company’s shares also rose as it reported better-than-anticipated earnings and raised guidance.
Which stocks detracted significantly from the Fund’s performance during the annual period?
Detracting from the Fund’s results relative to the Russell Index were positions in satellite TV provider DISH Network of the consumer discretionary sector and independent oil and natural gas producer Range Resources of the energy sector.
DISH Network reported a spike in churn during the Reporting Period and also showed slight weakness in gross additions. The main reason for the increase in churn may be attributed to the fact that a 24-month contract came up and, given recent economic conditions, many subscribers chose not to renew. We maintained conviction in DISH Network, however, as we believe the company is in transition with a renewed focus on improving its core operations through improved customer service, a new and improved high-definition channel line-up, and high value economical offerings to subscribers.
Range Resources’ shares were negatively affected by weak natural gas prices and regulatory uncertainty within the energy sector broadly. Also, the company’s announcement that it had increased its capital expenditures in the Marcellus region was not well received by investors. We trimmed the Fund’s position in Range Resources based on what we considered to be increased financial risk in a still-weak natural gas price environment and higher than originally expected capital costs.
How did the Fund use derivatives during the Reporting Period?
The Fund did not use derivatives during the Reporting Period.
Did the Fund make any significant purchases or sales during the Reporting Period?
During the Reporting Period, we initiated a Fund position in automotive supplier Lear. During the economic downturn, Lear was able to improve its cost position and business portfolio mix by shedding its worst-performing assets. Subsequently, the company had significant leverage to more normalized auto demand, and we believe Lear will use its strong balance sheet to return capital to shareholders.
Among real estate investment trusts (REITs), we are constructive on apartment fundamentals due to extremely low supply, secular shifts away from home ownership and a continuing lower turnover trend. As such, we established a Fund position during the Reporting Period in Equity Residential, a REIT with 550 apartment communities in over 20 states in its portfolio. We believe that Equity Residential can achieve higher growth than expected and may also benefit from the refinancing of its debt in 2011 at lower rates.
Our forward-looking approach to risk management played a critical role in our strategy during the Reporting Period. One of the reasons we will sell out of a stock is if we believe there are other more attractive opportunities on a relative risk-reward basis elsewhere. On this basis, we sold out of the Fund’s position in energy stock Whiting Petroleum in order to fund other names with what we believed to have higher potential upside. Similarly, we exited the Fund’s position in materials company United States Steel, as it reached our price target and we saw opportunity elsewhere.
GOLDMAN SACHS VARIABLE INSURANCE TRUST MID CAP VALUE FUND
Were there any notable changes in the Fund’s weightings during the Reporting Period?
In constructing the Fund’s portfolio, we focus on picking stocks rather than on making industry or sector bets. We seek to outpace the Russell Index by overweighting stocks that we expect to outperform and underweighting those that we think may lag. Consequently, changes in its sector weights are generally the direct result of individual stock selection or of stock appreciation or depreciation. That said, during the Reporting Period, the Fund’s exposure to utilities, consumer staples and telecommunication services increased compared to the Russell Index. The Fund’s allocation compared to the Russell Index in energy and materials decreased.
How was the Fund positioned relative to the Russell Index at the end of the Reporting Period?
At the end of December 2010, the Fund had overweighted positions relative to the Russell Index in the consumer discretionary and telecommunication services sectors. On the same date, the Fund had underweighted positions compared to the Russell Index in consumer staples and utilities and was rather neutrally weighted to the Russell Index in financials, energy, industrials, information technology, health care and materials.
What is the Fund’s tactical view and strategy for the months ahead?
At the end of the Reporting Period, we believed there were many reasons to be constructive on the U.S. equity market in 2011. In our view, valuations were compelling on both absolute and relative levels, and companies were exhibiting strong fundamentals, with improving corporate profits and balance sheets. We believe that high cash levels and strong balance sheets bode well for capital expenditure — the fuel for long-term growth. We also expect management teams to be focused on capital redeployment through mergers and acquisitions, share buybacks and deleveraging of balance sheets, thereby providing further catalyst for growth. Also, in our view, recent government actions have created an environment that is more conducive for businesses to grow.
Given this backdrop, we believe the coming year should be fertile ground for stock picking. The trends that were headwinds for stock pickers in 2010, including historically high levels of correlation, started, by the end of the Reporting Period, to reverse. The market appears to be shifting its focus from the macro, i.e. broad economic, political and monetary conditions, to the micro, i.e. company specifics, now that valuation and volatility levels have normalized from extremes. A recent increase in merger and acquisition activity has contributed to the trend toward greater stock level differentiation, especially between higher and lower quality stocks trading, at the end of the Reporting Period, at comparable valuations. Further, there seems to have been a reduction of regulatory uncertainty with the passage of financial reform and health care reform and more clarity is expected on drilling requirements and best practices in energy in 2011.
The combination of these factors, we believe, should create a favorable stock picking environment in 2011, particularly for our investment approach. We maintain our discipline as we seek companies with strong or improving fundamentals, led by quality management teams focused on creating shareholder value. 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.
FUND BASICS
Mid Cap Value Fund
as of December 31, 2010
STANDARDIZED AVERAGE ANNUAL TOTAL RETURNS1
| For the period ended 12/31/10 | One Year | Five Years | Ten Years | Since Inception | Inception Date | |||||||||||||||
| Institutional | 25.00 | % | 4.66 | % | 9.35 | % | 8.29 | % | 5/01/98 | |||||||||||
| Service | 24.69 | N/A | N/A | 3.92 | 1/09/06 | |||||||||||||||
1 The Standardized Average Annual Total Returns are average annual total returns as of the most recent calendar quarter-end. They assume reinvestment of all distributions at net asset value (“NAV”). Because VIT Funds do not involve a sales charge, such a charge is not applied to their Standardized Total Returns.
Total return figures in the above chart represent past performance and do not indicate future results, which will vary. The investment return and principal value of an investment will fluctuate and, therefore, an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance may be lower or higher than the total return figures in the above chart. Please visit www.goldmansachsfunds.com/vit to obtain the most recent month-end returns. Performance reflects expense limitations in effect. In their absence, performance would be reduced.
EXPENSE RATIOS2
| Net Expense Ratio (Current) | Gross Expense Ratio (Before Waivers) | |||||||||
| Institutional | 0.86 | % | 0.86 | % | ||||||
| Service | 1.11 | 1.11 | ||||||||
2 The expense ratios of the Fund, both current (net of applicable fee waivers and/or expense limitations) and before waivers (gross of applicable fee waivers and/or expense limitations), are as set forth above according to the most recent publicly available Prospectuses for the Fund and may differ from the expense ratios disclosed in the Financial Highlights in this report. Applicable waivers and expense limitations may be modified or terminated in the future, consistent with the terms of any agreements in place. If this occurs, the expense ratios may change without shareholder approval.
TOP TEN HOLDINGS AS OF 12/31/103
| Holding | % of Net Assets | Line of Business | ||||||
| Newfield Exploration Co. | 2.8 | % | Energy | |||||
| Principal Financial Group, Inc. | 2.2 | Insurance | ||||||
| CBS Corp. Class B | 1.8 | Media | ||||||
| Lear Corp. | 1.7 | Automobiles & Components | ||||||
| Equity Residential | 1.7 | Real Estate Investment Trust | ||||||
| Forest Oil Corp. | 1.7 | Energy | ||||||
| Everest Re Group Ltd. | 1.6 | Insurance | ||||||
| Xcel Energy, Inc. | 1.6 | Utilities | ||||||
| Weatherford International Ltd. | 1.6 | Energy | ||||||
| The J.M. Smucker Co. | 1.6 | Food, Beverage & Tobacco | ||||||
3 The top 10 holdings may not be representative of the Fund’s future investments.
FUND BASICS
FUND vs. BENCHMARK SECTOR ALLOCATIONS4
As of December 31, 2010
4 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 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. Short-term investment represent investments in investment companies other than those that are exchange traded.
GOLDMAN SACHS VARIABLE INSURANCE TRUST MID CAP VALUE FUND
Performance Summary
December 31, 2010
The following graph shows the value, as of December 31, 2010, of a $10,000 investment made on January 1, 2001 in the Institutional Shares at NAV. 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, 2010 | One Year | Five Years | Ten Years | Since Inception | ||||||||||||
Institutional (Commenced May 1, 1998) | 25.00% | 4.66% | 9.35% | 8.29% | ||||||||||||
Service (Commenced January 9, 2006) | 24.69% | N/A | N/A | 3.92% | ||||||||||||
GOLDMAN SACHS VARIABLE INSURANCE TRUST MID CAP VALUE FUND
Schedule of Investments
December 31, 2010
| Shares | Description | Value | ||||||||
Common Stocks – 98.4% | ||||||||||
| Automobiles & Components – 2.7% | ||||||||||
| 157,570 | Lear Corp.* | $ | 15,553,735 | |||||||
| 182,865 | TRW Automotive Holdings Corp.* | 9,636,985 | ||||||||
| 25,190,720 | ||||||||||
| Banks – 5.0% | ||||||||||
| 58,450 | CIT Group, Inc.* | 2,752,995 | ||||||||
| 133,699 | Comerica, Inc. | 5,647,446 | ||||||||
| 973,299 | Fifth Third Bancorp | 14,288,029 | ||||||||
| 9,258 | First Horizon National Corp.* | 109,054 | ||||||||
| 73,658 | First Republic Bank* | 2,144,921 | ||||||||
| 75,080 | M&T Bank Corp. | 6,535,714 | ||||||||
| 481,961 | SunTrust Banks, Inc. | 14,222,669 | ||||||||
| 45,700,828 | ||||||||||
| Capital Goods – 6.6% | ||||||||||
| 195,446 | BE Aerospace, Inc.* | 7,237,365 | ||||||||
| 118,257 | Cooper Industries PLC Class A | 6,893,201 | ||||||||
| 94,850 | Eaton Corp. | 9,628,223 | ||||||||
| 530,224 | Masco Corp. | 6,712,636 | ||||||||
| 118,370 | Parker Hannifin Corp. | 10,215,331 | ||||||||
| 317,818 | Pentair, Inc. | 11,603,535 | ||||||||
| 344,754 | Textron, Inc. | 8,149,985 | ||||||||
| 60,440,276 | ||||||||||
| Commercial & Professional Services – 0.7% | ||||||||||
| 219,488 | Republic Services, Inc. | 6,553,912 | ||||||||
| Consumer Durables & Apparel – 2.9% | ||||||||||
| 95,217 | Hasbro, Inc. | 4,492,338 | ||||||||
| 82,247 | Mohawk Industries, Inc.* | 4,668,340 | ||||||||
| 596,638 | Newell Rubbermaid, Inc. | 10,846,879 | ||||||||
| 9,001 | NVR, Inc.* | 6,219,871 | ||||||||
| 26,227,428 | ||||||||||
| Consumer Services – 0.7% | ||||||||||
| 223,747 | Wyndham Worldwide Corp. | 6,703,460 | ||||||||
| Diversified Financials – 5.0% | ||||||||||
| 573,294 | Invesco Ltd. | 13,793,454 | ||||||||
| 524,089 | Janus Capital Group, Inc. | 6,797,434 | ||||||||
| 151,734 | Lazard Ltd. Class A | 5,991,976 | ||||||||
| 194,201 | Legg Mason, Inc. | 7,043,670 | ||||||||
| 947,480 | SLM Corp.* | 11,928,773 | ||||||||
| 45,555,307 | ||||||||||
| Energy – 11.2% | ||||||||||
| 180,570 | Alpha Natural Resources, Inc.* | 10,839,617 | ||||||||
| 224,316 | Cameron International Corp.* | 11,379,551 | ||||||||
| 401,420 | Forest Oil Corp.* | 15,241,917 | ||||||||
| 339,907 | Key Energy Services, Inc.* | 4,411,993 | ||||||||
| 355,877 | Newfield Exploration Co.* | 25,662,290 | ||||||||
| 330,703 | QEP Resources, Inc. | 12,007,826 | ||||||||
| 183,972 | Range Resources Corp. | 8,275,061 | ||||||||
| 654,003 | Weatherford International Ltd.* | 14,911,268 | ||||||||
| 102,729,523 | ||||||||||
| Food, Beverage & Tobacco – 4.5% | ||||||||||
| 387,002 | ConAgra Foods, Inc. | 8,738,505 | ||||||||
| 163,292 | H.J. Heinz Co. | 8,076,422 | ||||||||
| 77,590 | Hansen Natural Corp.* | 4,056,405 | ||||||||
| 347,034 | Sara Lee Corp. | 6,076,566 | ||||||||
| 220,506 | The J.M. Smucker Co. | 14,476,219 | ||||||||
| 41,424,117 | ||||||||||
| Health Care Equipment & Services – 4.5% | ||||||||||
| 388,100 | Aetna, Inc. | 11,840,931 | ||||||||
| 641,607 | Boston Scientific Corp.* | 4,856,965 | ||||||||
| 88,654 | C. R. Bard, Inc. | 8,135,778 | ||||||||
| 383,564 | Hologic, Inc.* | 7,218,674 | ||||||||
| 209,750 | Kinetic Concepts, Inc.* | 8,784,330 | ||||||||
| 40,836,678 | ||||||||||
| Household & Personal Products – 0.5% | ||||||||||
| 62,067 | Energizer Holdings, Inc.* | 4,524,684 | ||||||||
| Insurance – 10.8% | ||||||||||
| 177,023 | Everest Re Group Ltd. | 15,015,091 | ||||||||
| 749,974 | Genworth Financial, Inc. Class A* | 9,854,658 | ||||||||
| 359,768 | Marsh & McLennan Companies, Inc. | 9,836,057 | ||||||||
| 606,593 | Principal Financial Group, Inc. | 19,750,668 | ||||||||
| 506,581 | The Hartford Financial Services Group, Inc. | 13,419,331 | ||||||||
| 236,069 | The Progressive Corp. | 4,690,691 | ||||||||
| 281,061 | Unum Group | 6,807,298 | ||||||||
| 381,524 | W.R. Berkley Corp. | 10,446,127 | ||||||||
| 417,784 | XL Group PLC | 9,116,047 | ||||||||
| 98,935,968 | ||||||||||
| Materials – 5.3% | ||||||||||
| 131,980 | Celanese Corp. Class A | 5,433,617 | ||||||||
| 66,889 | Cliffs Natural Resources, Inc. | 5,218,011 | ||||||||
| 835,591 | Huntsman Corp. | 13,043,575 | ||||||||
| 208,034 | Owens-Illinois, Inc.* | 6,386,644 | ||||||||
| 158,815 | Steel Dynamics, Inc. | 2,906,314 | ||||||||
| 235,554 | Stillwater Mining Co.* | 5,029,078 | ||||||||
| 322,921 | Temple-Inland, Inc. | 6,858,842 | ||||||||
| 258,376 | Thompson Creek Metals Co., Inc.* | 3,803,295 | ||||||||
| 48,679,376 | ||||||||||
| Media – 3.2% | ||||||||||
| 847,849 | CBS Corp. Class B | 16,151,523 | ||||||||
| 675,709 | DISH Network Corp. Class A* | 13,284,439 | ||||||||
| 29,435,962 | ||||||||||
| Pharmaceuticals, Biotechnology & Life Sciences – 1.4% | ||||||||||
| 197,216 | Biogen Idec, Inc.* | 13,223,333 | ||||||||
| Real Estate Investment Trust – 7.9% | ||||||||||
| 98,639 | Alexandria Real Estate Equities, Inc. | 7,226,293 | ||||||||
| 112,141 | Boston Properties, Inc. | 9,655,340 | ||||||||
| 314,357 | Douglas Emmett, Inc. | 5,218,326 | ||||||||
| 299,140 | Equity Residential | 15,540,323 | ||||||||
| 535,647 | Host Hotels & Resorts, Inc. | 9,572,012 | ||||||||
GOLDMAN SACHS VARIABLE INSURANCE TRUST MID CAP VALUE FUND
| Shares | Description | Value | ||||||||
Common Stocks – (continued) | ||||||||||
| Real Estate Investment Trust – (continued) | ||||||||||
| 1,015,680 | MFA Financial, Inc. | 8,287,949 | ||||||||
| 133,700 | Tanger Factory Outlet Centers, Inc. | 6,844,103 | ||||||||
| 187,322 | Ventas, Inc. | 9,830,659 | ||||||||
| 72,175,005 | ||||||||||
| Retailing – 2.5% | ||||||||||
| 146,765 | Guess?, Inc. | 6,944,920 | ||||||||
| 772,247 | Liberty Media Corp. – Interactive Class A* | 12,178,335 | ||||||||
| 114,713 | Urban Outfitters, Inc.* | 4,107,872 | ||||||||
| 23,231,127 | ||||||||||
| Semiconductors & Semiconductor Equipment – 1.5% | ||||||||||
| 879,750 | ON Semiconductor Corp.* | 8,691,930 | ||||||||
| 162,388 | Xilinx, Inc. | 4,706,004 | ||||||||
| 13,397,934 | ||||||||||
| Software & Services – 4.0% | ||||||||||
| 300,035 | Adobe Systems, Inc.* | 9,235,077 | ||||||||
| 194,925 | BMC Software, Inc.* | 9,188,765 | ||||||||
| 104,475 | Check Point Software Technologies Ltd.* | 4,833,014 | ||||||||
| 329,902 | Parametric Technology Corp.* | 7,432,692 | ||||||||
| 104,600 | Quest Software, Inc.* | 2,901,604 | ||||||||
| 76,656 | VeriFone Systems, Inc.* | 2,955,855 | ||||||||
| 36,547,007 | ||||||||||
| Technology Hardware & Equipment – 1.3% | ||||||||||
| 130,819 | Amphenol Corp. Class A | 6,904,627 | ||||||||
| 121,076 | Polycom, Inc.* | 4,719,542 | ||||||||
| 11,624,169 | ||||||||||
| Telecommunication Services – 3.4% | ||||||||||
| 302,553 | CenturyLink, Inc. | 13,968,872 | ||||||||
| 660,686 | Clearwire Corp. Class A* | 3,402,533 | ||||||||
| 3,156,736 | Sprint Nextel Corp.* | 13,352,993 | ||||||||
| 30,724,398 | ||||||||||
| Transportation – 2.1% | ||||||||||
| 803,437 | JetBlue Airways Corp.* | 5,310,719 | ||||||||
| 178,968 | Kansas City Southern* | 8,565,408 | ||||||||
| 97,609 | Ryder System, Inc. | 5,138,138 | ||||||||
| 19,014,265 | ||||||||||
| Utilities – 10.7% | ||||||||||
| 49,470 | Alliant Energy Corp. | 1,819,012 | ||||||||
| 576,014 | CMS Energy Corp. | 10,713,861 | ||||||||
| 101,797 | DPL, Inc. | 2,617,201 | ||||||||
| 194,919 | Edison International | 7,523,874 | ||||||||
| 89,853 | FirstEnergy Corp. | 3,326,358 | ||||||||
| 272,361 | Northeast Utilities | 8,682,869 | ||||||||
| 503,263 | NV Energy, Inc. | 7,070,845 | ||||||||
| 130,400 | Pinnacle West Capital Corp. | 5,405,080 | ||||||||
| 378,763 | PPL Corp. | 9,969,042 | ||||||||
| 82,432 | Progress Energy, Inc. | 3,584,143 | ||||||||
| 267,292 | SCANA Corp. | 10,852,055 | ||||||||
| 175,725 | Sempra Energy | 9,222,048 | ||||||||
| 96,938 | Westar Energy, Inc. | 2,438,960 | ||||||||
| 633,946 | Xcel Energy, Inc. | 14,929,428 | ||||||||
| 98,154,776 | ||||||||||
TOTAL COMMON STOCKS | ||||||||||
| (Cost $737,456,891) | $ | 901,030,253 | ||||||||
| Shares | Rate | Value | ||||||||||
Short-term Investment(a) – 2.2% | ||||||||||||
| JPMorgan U.S. Government Money Market Fund – Capital Shares | ||||||||||||
| 20,195,657 | 0.043 | % | $ | 20,195,657 | ||||||||
| (Cost $20,195,657) | ||||||||||||
TOTAL INVESTMENTS – 100.6% | ||||||||||||
| (Cost $757,652,548) | $ | 921,225,910 | ||||||||||
LIABILITIES IN EXCESS OF OTHER ASSETS – (0.6)% | (5,041,732 | ) | ||||||||||
| NET ASSETS – 100.0% | $ | 916,184,178 | ||||||||||
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) | Variable rate security. Interest rate disclosed is that which is in effect at December 31, 2010. |
GOLDMAN SACHS VARIABLE INSURANCE TRUST MID CAP VALUE FUND
Statement of Assets and Liabilities
December 31, 2010
| Assets: | ||||||
| Investments in securities, at value (identified cost $757,652,548) | $ | 921,225,910 | ||||
| Receivables: | ||||||
Dividends | 1,378,261 | |||||
Fund shares sold | 42,231 | |||||
| Total assets | 922,646,402 | |||||
| Liabilities: | ||||||
| Payables: | ||||||
Investment securities purchased | 4,614,068 | |||||
Fund shares redeemed | 1,055,695 | |||||
Amounts owed to affiliates | 660,753 | |||||
| Accrued expenses | 131,708 | |||||
| Total liabilities | 6,462,224 | |||||
| Net Assets: | ||||||
| Paid-in capital | 978,353,264 | |||||
| Accumulated undistributed net investment income | 2,729,154 | |||||
| Accumulated net realized loss from investment transactions | (228,471,602 | ) | ||||
| Net unrealized gain on investments | 163,573,362 | |||||
| NET ASSETS | $ | 916,184,178 | ||||
| Net Assets: | ||||||
Institutional | $ | 769,552,201 | ||||
Service | 146,631,977 | |||||
| Total Net Assets | $ | 916,184,178 | ||||
| Shares of beneficial interest outstanding $0.001 par value (unlimited shares authorized): | ||||||
Institutional | 54,578,096 | |||||
Service | 10,384,185 | |||||
| Net asset value, offering and redemption price per share: | ||||||
Institutional | $ | 14.10 | ||||
Service | 14.12 | |||||
GOLDMAN SACHS VARIABLE INSURANCE TRUST MID CAP VALUE FUND
Statement of Operations
For the Fiscal Year Ended December 31, 2010
| Investment income: | ||||||
| Dividends | $ | 13,556,892 | ||||
| Securities lending income — affiliated issuer | 33,720 | |||||
| Total investment income | 13,590,612 | |||||
| Expenses: | ||||||
| Management fees | 7,128,198 | |||||
| Distribution and Service fees — Service Shares | 313,386 | |||||
| Printing and mailing costs | 214,357 | |||||
| Transfer Agent fees(a) | 178,190 | |||||
| Custody and accounting fees | 87,898 | |||||
| Professional fees | 77,601 | |||||
| Trustee fees | 16,389 | |||||
| Other | 27,376 | |||||
| Total expenses | 8,043,395 | |||||
| NET INVESTMENT INCOME | 5,547,217 | |||||
| Realized and unrealized gain (loss) from investment transactions: | ||||||
| Net realized gain from: | ||||||
Investment transactions — unaffiliated issuers (including commissions recaptured of $263,675) | 140,458,763 | |||||
Securities lending reinvestment vehicle transactions — affiliated issuer | 26,974 | |||||
| Net change in unrealized gain (loss) on: | ||||||
Investments — unaffiliated issuers | 51,132,221 | |||||
Securities lending reinvestment vehicle — affiliated issuer | (67,665 | ) | ||||
| Net realized and unrealized gain from investment transactions | 191,550,293 | |||||
| NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS | $ | 197,097,510 | ||||
| (a) | Institutional and Service Shares had Transfer Agent fees of $153,121 and $25,069, respectively. |
GOLDMAN SACHS VARIABLE INSURANCE TRUST MID CAP VALUE FUND
Statements of Changes in Net Assets
| For the | For the | |||||||||
| Fiscal Year Ended | Fiscal Year Ended | |||||||||
| December 31, 2010 | December 31, 2009 | |||||||||
From operations: | ||||||||||
| Net investment income | $ | 5,547,217 | $ | 12,170,021 | ||||||
| Net realized gain (loss) from investment transactions | 140,485,737 | (145,586,797 | ) | |||||||
| Net change in unrealized gain on investments | 51,064,556 | 380,146,294 | ||||||||
Net increase in net assets resulting from operations | 197,097,510 | 246,729,518 | ||||||||
Distributions to shareholders: | ||||||||||
| From net investment income | ||||||||||
Institutional Shares | (4,764,554 | ) | (13,210,185 | ) | ||||||
Service Shares | (592,691 | ) | (1,663,339 | ) | ||||||
Total distributions to shareholders | (5,357,245 | ) | (14,873,524 | ) | ||||||
From share transactions: | ||||||||||
| Proceeds from sales of shares | 52,232,265 | 41,603,690 | ||||||||
| Reinvestment of distributions | 5,357,245 | 14,873,524 | ||||||||
| Cost of shares redeemed | (289,923,397 | ) | (191,673,776 | ) | ||||||
Net decrease in net assets resulting from share transactions | (232,333,887 | ) | (135,196,562 | ) | ||||||
TOTAL INCREASE (DECREASE) | (40,593,622 | ) | 96,659,432 | |||||||
Net assets: | ||||||||||
| Beginning of year | 956,777,800 | 860,118,368 | ||||||||
| End of year | $ | 916,184,178 | $ | 956,777,800 | ||||||
Accumulated undistributed net investment income | $ | 2,729,154 | $ | 2,682,726 | ||||||
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 | 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, | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
| 2010 - Institutional | $ | 11.35 | $ | 0.08 | $ | 2.76 | $ | 2.84 | $ | (0.09 | ) | $ | — | $ | (0.09 | ) | $ | 14.10 | 25.00 | % | $ | 769,552 | 0.87 | % | 0.87 | % | 0.65 | % | 88 | % | ||||||||||||||||||||||||||||
| 2010 - Service | 11.37 | 0.05 | 2.76 | 2.81 | (0.06 | ) | — | (0.06 | ) | 14.12 | 24.69 | 146,632 | 1.12 | 1.12 | 0.44 | 88 | ||||||||||||||||||||||||||||||||||||||||||
| 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 | ||||||||||||||||||||||||||||||||||||||
| (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 non-recurring special dividends which amounted to $0.03 per share and 0.37% of average net assets. | |
| (d) | Reflects income recognized from non-recurring special dividends which amounted to $0.01 per share and 0.11% of average net assets. | |
| (e) | Reflects income recognized from non-recurring special dividends which amounted to $0.01 per share and 0.06% of average net assets. | |
| (f) | Includes non-recurring expense for a special shareholder proxy meeting which amounted to approximately 0.02% of average net assets. | |
| (g) | Annualized |
The accompanying notes are an integral part of these financial statements.
13
GOLDMAN SACHS VARIABLE INSURANCE TRUST MID CAP VALUE FUND
Notes to Financial Statements
December 31, 2010
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 Asset Management, L.P. (“GSAM”), an affiliate of Goldman, Sachs & Co. (“Goldman Sachs”), serves as investment adviser to the Fund pursuant to a management agreement (the “Agreement”) with the Trust.
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. 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 the 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.
B. 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
GOLDMAN SACHS VARIABLE INSURANCE TRUST MID CAP VALUE FUND
| 2. SIGNIFICANT ACCOUNTING POLICIES (continued) |
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.
Investment income 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.
C. Expenses — Expenses incurred by the Trust that do not specifically relate to an individual Fund of the Trust are allocated to the Fund on a straight-line and/or pro-rata basis depending upon the nature of the expense and are accrued daily.
D. 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, the Fund is not required to make any provisions for the payment of federal income tax. 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.
E. 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. 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 significant inputs are observable (including, but not limited to, quoted prices for similar securities, interest rates, foreign exchange rates, volatility and credit spreads), either directly or indirectly;
Level 3 — Prices or valuations that require significant unobservable inputs (including GSAM’s assumptions in determining fair value measurement).
GOLDMAN SACHS VARIABLE INSURANCE TRUST MID CAP VALUE FUND
Notes to Financial Statements (continued)
December 31, 2010
| 3. FAIR VALUE OF INVESTMENTS (continued) |
The following is a summary of the Fund’s investments categorized in the fair value hierarchy as of December 31, 2010:
| Level 1 | Level 2 | Level 3 | ||||||||||
Assets | ||||||||||||
| Common Stock and/or Other Equity Investments | $ | 901,030,253 | $ | — | $ | — | ||||||
| Short-term Investment | 20,195,657 | — | — | |||||||||
| Total | $ | 921,225,910 | $ | — | $ | — | ||||||
4. 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 paid monthly, equal to an annual percentage rate of the Fund’s average daily net assets.
For the fiscal year ended December 31, 2010, contractual management fees with GSAM were at the following rates:
| Contractual Management Rate | ||||||||||||||||
| First | Next | Next | Over | Effective | ||||||||||||
| $2 billion | $3 billion | $3 billion | $8 billion | Rate | ||||||||||||
| 0.80% | 0.72 | % | 0.68 | % | 0.67 | % | 0.80 | % | ||||||||
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, which serves as distributor, is entitled to a fee computed daily and paid monthly for distribution services, which may then be paid by Goldman Sachs to authorized dealers, 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 computed daily and paid monthly at an annual rate of 0.02% of the average daily net assets for Institutional and Service Shares.
D. Other Expense Agreements and Affiliated Transactions — GSAM has agreed to limit certain “Other Expense” (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 Other 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. These Other Expense reimbursements will remain in place through at least April 30, 2011, and prior to such date GSAM may not terminate the arrangement without the approval of the trustees. For the fiscal year ended December 31, 2010, GSAM did not make any reimbursements to the Fund.
As of December 31, 2010, amounts owed to affiliates were approximately $615,000, $30,400 and $15,400 for management, distribution and service, and transfer agent fees, respectively.
E. Line of Credit Facility — As of December 31, 2010, the Fund participated in a $580,000,000 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 could increase the credit amount by an additional $340,000,000, for a total of up to $920,000,000. This facility is to be used solely for temporary or emergency purposes. The interest rate on borrowings is based on the federal funds rate.
GOLDMAN SACHS VARIABLE INSURANCE TRUST MID CAP VALUE FUND
| 4. AGREEMENTS AND AFFILIATED TRANSACTIONS (continued) |
The 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, 2010, the Fund did not have any borrowings under the facility. Prior to May 11, 2010, the amount available through the facility was $660,000,000.
F. Other Transactions with Affiliates — For the fiscal year ended December 31, 2010, Goldman Sachs earned approximately $74,000 in brokerage commissions from portfolio transactions on behalf of the Fund.
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, 2010, were $770,977,293 and $997,363,296, respectively.
6. SECURITIES LENDING
Pursuant to exemptive relief granted by the Securities and Exchange Commission (“SEC”) 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. Effective May 26, 2010, the Fund no longer participated in the securities lending program. During its participation in this securities lending program, and in accordance with the Fund’s securities lending procedures, the Fund received cash collateral at least equal to the market value of the securities on loan. The market value of the loaned securities was 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 were traded, and any additional required collateral was delivered to the Fund on the next business day.
The Fund invested 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, was exempt from registration under Section 3(c)(7) of the Act and was managed by GSAM, for which GSAM may have received 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 invested primarily in short-term investments, but was not a “money market fund” subject to the requirements of Rule 2a-7 of the Act.
Both the Fund and GSAL received compensation relating to the lending of the Fund’s securities. The amount earned by the Fund for the fiscal year ended December 31, 2010, is reported under Investment Income on the Statement of Operations. A portion of this amount, $3,074, represents compensation earned by the Fund from lending its securities to Goldman Sachs. For the fiscal year ended December 31, 2010, GSAL earned $3,690 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, 2010 (in thousands):
| Number of | Number of | |||||||||||||||
| Shares Held | Shares Held | Value at End | ||||||||||||||
| Beginning of Year | Shares Bought | Shares Sold | End of Year | of Year | ||||||||||||
| 70,462 | 35,481 | (105,943 | ) | — | $ | — | ||||||||||
GOLDMAN SACHS VARIABLE INSURANCE TRUST MID CAP VALUE FUND
Notes to Financial Statements (continued)
December 31, 2010
7. TAX INFORMATION
The tax character of distributions paid during the fiscal years ended December 31, 2009 and December 31, 2010 was as follows:
| 2009 | 2010 | |||||||
| Distributions paid from ordinary income | $ | 14,873,524 | $ | 5,357,245 | ||||
As of December 31, 2010, the components of accumulated earnings (losses) on a tax basis were as follows:
| Undistributed ordinary income — net | $ | 2,522,538 | ||
Capital loss carryforward:(1) | ||||
| Expiring 2016 | (23,257,351 | ) | ||
| Expiring 2017 | (198,932,335 | ) | ||
| Total capital loss carryforward | $ | (222,189,686 | ) | |
| Timing differences (certain REIT dividends) | 131,894 | |||
| Unrealized gains — net | 157,366,168 | |||
| Total accumulated losses — net | $ | (62,169,086 | ) | |
| (1) | Expiration occurs on December 31 of the year indicated. The Fund utilized $122,105,675 of capital losses in the current fiscal year. |
As of December 31, 2010, the Fund’s aggregate security unrealized gains and losses based on cost for U.S. federal income tax purposes was as follows:
| Tax cost | $ | 763,859,742 | ||
| Gross unrealized gain | 165,651,443 | |||
| Gross unrealized loss | (8,285,275 | ) | ||
| Net unrealized security gain | $ | 157,366,168 | ||
The difference between GAAP-basis and tax basis unrealized losses are attributable primarily to wash sales and the differences related to the tax treatment of partnership and real estate investment trust investments.
In order to present certain components of the Fund’s capital accounts on a tax basis, the Fund has reclassified $143,544 from accumulated undistributed net investment income to accumulated net realized loss from investment transactions. This reclassification has no impact on the net asset value of the Fund and results primarily from the differences in the tax treatment of real estate investment trust investments and underlying fund investments.
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.
8. OTHER RISKS
Fund’s Shareholder Concentration Risk — 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 entities of their holdings in the Fund may impact the Fund’s liquidity and NAV. These redemptions may also force the Fund to sell securities.
GOLDMAN SACHS VARIABLE INSURANCE TRUST MID CAP VALUE FUND
| 8. OTHER RISKS (continued) |
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.
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. SUBSEQUENT EVENTS
Subsequent events after the balance sheet date have been evaluated through the date the financial statements were issued. GSAM has concluded that there is no impact requiring adjustment or disclosure in the financial statements.
11. SUMMARY OF SHARE TRANSACTIONS
Share activity is as follows:
| For the Fiscal Year Ended | For the Fiscal Year Ended | |||||||||||||||
| December 31, 2010 | December 31, 2009 | |||||||||||||||
| Shares | Dollars | Shares | Dollars | |||||||||||||
Institutional Shares | ||||||||||||||||
| Shares sold | 2,606,517 | $ | 31,970,939 | 4,258,252 | $ | 39,092,639 | ||||||||||
| Reinvestment of distributions | 337,912 | 4,764,554 | 1,159,806 | 13,210,185 | ||||||||||||
| Shares redeemed | (21,886,065 | ) | (265,055,214 | ) | (18,316,480 | ) | (168,736,934 | ) | ||||||||
| (18,941,636 | ) | (228,319,721 | ) | (12,898,422 | ) | (116,434,110 | ) | |||||||||
Service Shares | ||||||||||||||||
| Shares sold | 1,609,166 | 20,261,326 | 270,915 | 2,511,051 | ||||||||||||
| Reinvestment of distributions | 41,975 | 592,691 | 145,779 | 1,663,339 | ||||||||||||
| Shares redeemed | (2,031,654 | ) | (24,868,183 | ) | (2,486,621 | ) | (22,936,842 | ) | ||||||||
| (380,513 | ) | (4,014,166 | ) | (2,069,927 | ) | (18,762,452 | ) | |||||||||
NET DECREASE | (19,322,149 | ) | $ | (232,333,887 | ) | (14,968,349 | ) | $ | (135,196,562 | ) | ||||||
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, 2010, 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, 2010 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 14, 2011
GOLDMAN SACHS VARIABLE INSURANCE TRUST MID CAP VALUE FUND
Fund Expenses — Six Month Period Ended December 31, 2010 (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, 2010 through December 31, 2010.
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 (loads), redemption fees, or exchange fees, but shareholders of other funds may incur such costs. The second line of the table is useful in comparing 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 | 7/01/10 | 12/31/10 | 12/31/10* | ||||||||||||
Institutional | |||||||||||||||
| Actual | $ | 1,000 | $ | 1,290.90 | $ | 5.02 | |||||||||
| Hypothetical 5% return | 1,000 | 1,020.82 | + | 4.43 | |||||||||||
Service | |||||||||||||||
| Actual | 1,000 | 1,290.00 | 6.46 | ||||||||||||
| Hypothetical 5% return | 1,000 | 1,019.56 | + | 5.70 | |||||||||||
| * | 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, 2010. Expenses are calculated by multiplying the annualized net expense ratio by the average account value for the period; then multiplying the result by the number of days in the most recent fiscal half year; and then dividing that result by the number of days in the fiscal year. The annualized net expense ratios for the period were 0.87% and 1.12% 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 Age1,2 | with the Trust | Time Served3 | During Past 5 Years | Trustee4 | Held by Trustee5 | |||||
| Ashok N. Bakhru Age: 68 | Chairman of the Board of Trustees | Since 1996 (Trustee Since 1991) | President, ABN 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-Linked Investors II (April 2002-2007); and Chairman, Lenders Service Inc. (provider of mortgage le nding services) (2000-2003). Chairman of the Board of Trustees — Goldman Sachs Mutual Fund Complex. | 90 | Apollo Investment Corporation (a business development company) | |||||
| Donald C. Burke Age: 50 | Trustee | Since 2010 | Director, BlackRock Luxembourg and Cayman Funds (2006-2010); President and Chief Executive Officer, BlackRock U.S. Funds (2007-2009); Managing Director, BlackRock, Inc. (2006-2009); Managing Director, Merrill Lynch Investment Managers, L.P. (“MLIM”) (2006); First Vice President, MLIM (1997-2005); Chief Financial Officer and Treasurer, MLIM U.S. Funds (1999-2006). Trustee — Goldman Sachs Mutual Fund Complex. | 90 | None | |||||
| John P. Coblentz, Jr. Age: 69 | 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. | 90 | None | |||||
| Diana M. Daniels Age: 61 | 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 Vice Chair of the Board of Trustees, Cornell University (2009-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. | 90 | None | |||||
| Joseph P. LoRusso Age: 53 | Trustee | Since 2010 | President, Fidelity Investments Institutional Services Co. (“FIIS”) (2002-2008); Director, FIIS (2002-2008); Director, Fidelity Investments Institutional Operations Company (2003-2007); Executive Officer, Fidelity Distributors Corporation (2007-2008). Trustee — Goldman Sachs Mutual Fund Complex. | 90 | None | |||||
| Jessica Palmer Age: 61 | Trustee | Since 2007 | Ms. Palmer is retired. Formerly, she was Consultant, Citigroup Human Resources Department (2007-2008); Managing Director, Citigroup Corporate and Investment Banking (previously, Salomon Smith Barney/Salomon Brothers) (1984-2006). Ms. Palmer was a Member of the Board of Trustees of Indian Mountain School (private elementary and secondary school) (2004-2009). Trustee — Goldman Sachs Mutual Fund Complex. | 90 | None | |||||
GOLDMAN SACHS VARIABLE INSURANCE TRUST MID CAP VALUE FUND
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 Age1,2 | with the Trust | Time Served3 | During Past 5 Years | Trustee4 | Held by Trustee5 | |||||
| Richard P. Strubel Age: 71 | 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. | 90 | 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 Age1,2 | with the Trust | Time Served3 | During Past 5 Years | Trustee4 | Held by Trustee5 | |||||
| James A. McNamara* Age: 48 | 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). | 90 | None | |||||
| Alan A. Shuch* Age: 61 | 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. | 90 | 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, 200 West Street, New York, New York, 10282, Attn: Peter V. Bonanno. Information is provided as of December 31, 2010. | |
| 2 | From 2000 until September 30, 2010, Patrick T. Harker also served as Trustee of the Trust and of the Goldman Sachs Mutual Fund Complex. Mr. Harker resigned from these positions on September 30, 2010. | |
| 3 | 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 74 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. | |
| 4 | The Goldman Sachs Mutual Fund Complex consists of the Trust, Goldman Sachs Trust, Goldman Sachs Municipal Opportunity Fund and Goldman Sachs Credit Strategies Fund. As of December 31, 2010, the Trust consisted of 11 portfolios, Goldman Sachs Trust consisted of 77 portfolios and the Goldman Sachs Municipal Opportunity Fund did not offer shares to the public. | |
| 5 | 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 200 West Street New York, NY 10282 Age: 48 | 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 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 200 West Street New York, NY 10282 Age: 43 | 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 200 West Street New York, NY 10282 Age: 39 | 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. Information is provided as of December 31, 2010. | |
| * | 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 MID CAP VALUE FUND
Goldman Sachs Variable Insurance Trust — Tax Information (Unaudited)
For the fiscal year ended December 31, 2010, 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 Donald C. Burke* John P. Coblentz, Jr. Diana M. Daniels Joseph P. LoRusso* James A. McNamara Jessica Palmer Alan A. Shuch Richard P. Strubel *Effective August 19, 2010 | 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 200 West Street, New York New York 10282 | ||
| Visit our website at www.goldmansachsfunds.com/vit to obtain the most recent month-end returns. | ||
| The reports concerning the Fund included in this shareholder report may contain certain forward-looking statements about the factors that may affect the performance of the Fund in the future. These statements are based on Fund management’s predictions and expectations concerning certain future events and their expected impact on the Fund, such as performance of the economy as a whole and of specific industry sectors, changes in the levels of interest rates, the impact of developing world events, and other factors that may influence the future performance of the Fund. Management believes these forward-looking statements to be reasonable, although they are inherently uncertain and difficult to predict. Actual events may cause adjustments in portfolio management strategies from those currently expected to be employed. | ||
| Economic and market forecasts presented herein reflect our judgment as of the date of this presentation and are subject to change without notice. These forecasts do not take into account the specific investment objectives, restrictions, tax and financial situation or other needs of any specific client. Actual data will vary and may not be reflected here. These forecasts are subject to high levels of uncertainty that may affect actual performance. Accordingly, these forecasts should be viewed as merely representative of a broad range of possible outcomes. These forecasts are estimated, based on assumptions, and are subject to significant revision and may change materially as economic and market conditions change. Goldman Sachs has no obligation to provide updates or changes to these forecasts. Case studies and examples are for illustrative purposes only. | ||
| 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”) website 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 or summary prospectus, if applicable. Investors should consider a Fund’s objective, risks, and charges and expenses, and read the summary prospectus, if available, and/or the Prospectus carefully before investing or sending money. The summary prospectus, if available, and the Prospectus contain this and other information about a Fund and may be obtained from your authorized dealer or from Goldman, Sachs & Co. by calling 1-800-621-2550. | ||
| 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. | ||
| © 2011 Goldman Sachs. All rights reserved. | ||
| VITMIDCAR11/47823.MF.MED.TMPL/2/2011 | ||
Goldman
Sachs Variable Insurance Trust
Strategic International Equity Fund
Annual Report
December 31, 2010
|
GOLDMAN SACHS VARIABLE INSURANCE TRUST STRATEGIC INTERNATIONAL EQUITY FUND
Principal Investment Strategies and Risks
Shares of the Goldman Sachs Variable Insurance Trust- Goldman Sachs Strategic International Equity Fund are offered to separate accounts of participating life insurance companies for the purpose of funding variable annuity contracts and variable life insurance policies. Shares of the Fund are not offered directly to the general public. The variable annuity contracts and variable life insurance policies are described in the separate prospectuses issued by participating insurance companies. You should refer to those prospectuses for information about surrender charges, mortality and expense risk fees and other charges that may be assessed by participating insurance companies under the variable annuity contracts or variable life insurance policies. Such fees or charges, if any, may affect the return you realize with respect to your investments. Ask your representative for more complete information. Please consider the Fund’s objective, risks and charges and expenses, and read the Prospectus carefully before investing. The Prospectus contains this and other information about the Fund.
GOLDMAN SACHS VARIABLE INSURANCE TRUST STRATEGIC INTERNATIONAL EQUITY FUND
INVESTMENT OBJECTIVE
The Fund seeks long-term growth of capital.
Portfolio Management Discussion and Analysis
Below, the Goldman Sachs International Equity Portfolio Management Team discusses the performance of Goldman Sachs Variable Insurance Trust (“VIT”) — Goldman Sachs Strategic International Equity Fund (the “Fund”) and positioning for the 12-month period ended December 31, 2010 (the “Reporting Period”).
How did the Fund perform during the Reporting Period?
During the Reporting Period, the Fund’s Institutional and Service Shares generated average annual total returns of 10.36% and 10.09%, respectively. These returns compare to the 7.75% average annual total return of the Fund’s benchmark, the Morgan Stanley Capital International (MSCI) Europe, Australasia, Far East (EAFE) Index (net, unhedged) (the “MSCI EAFE Index”), during the same time period. Effective March 1, 2010, the Fund changed its benchmark from the MSCI EAFE Index (gross, unhedged) to the MSCI EAFE Index. During the Reporting Period, the average annual total return of the MSCI EAFE Index (gross, unhedged) was 8.21%.
What economic and market factors most influenced the international equity markets as a whole during the Reporting Period?
While international equity markets ended the first half of the year in negative territory, a strong rally in the last four months of the Reporting Period enabled most major international equity indices to cap 2010 on a note of optimism. The MSCI EAFE Index (gross, unhedged) rose 8.11% in December, lifting fourth quarter gains to 6.65% and annual returns to 8.21% (all returns in U.S. dollar terms). The materials sector posted the strongest performance during the fourth quarter, reflecting strength in the demand for commodities, such as copper, where futures prices in December blew past previous peak levels from 2006. Energy stocks were similarly strong during the fourth quarter, as oil prices climbed back over $90 per barrel during December, a high for the year and a level not seen since late 2008.
For the Reporting Period as a whole, cyclical stocks led returns, as investors focused on the strong growth and demand from outside the developed markets. As a result, the consumer discretionary sector, particularly auto stocks, and the industrials and materials sectors outperformed. More defensive sectors, such as utilities and health care, lagged both in the fourth quarter and for the full year.
From a regional perspective, currency played a major role in equity returns during the Reporting Period. While the exceptional strength of the yen weighed heavily on Japanese equity market performance in local currency terms, the returns from the currency made it the best performing market for the year in U.S. dollar terms. Conversely, European equities far outperformed Japanese equities in local currency terms for the Reporting Period, but significantly underperformed both the U.S. and Japanese equity markets in U.S. dollar terms, given the euro’s weakness and the yen’s strength.
What key factors were responsible for the Fund’s performance during the Reporting Period?
The Fund outperformed the MSCI EAFE Index due primarily to effective security selection overall.
What were some of the Fund’s best-performing individual stocks?
French aerospace company Safran of the industrials sector was a top contributor to the Fund’s results relative to the MSCI EAFE Index during the Reporting Period. Safran performed well on the back of rising demand and a positive outlook for the year.
Spanish telecommunication services company Telefonica also contributed to Fund performance. We subsequently decided to sell out of the Fund’s position in Telefonica, taking profits, as we believed the stock was fully valued. We also wanted to reduce the Fund’s exposure to Spain’s equity market given the economic conditions in the country and the impact such conditions were having on Spanish consumers.
Banco Santander Central, Spain’s largest bank, was another top performer for the Fund during the Reporting Period. We had initiated the Fund position during the first half of the Reporting Period when its valuation was severely depressed on the back of the European sovereign debt crisis. We decided to sell out of the position, taking profits, after its shares rallied
GOLDMAN SACHS VARIABLE INSURANCE TRUST STRATEGIC INTERNATIONAL EQUITY FUND
sharply in June and July following positive reports regarding the European bank stress tests and the set-up of the Eurozone sovereign support mechanism.
Which stocks detracted significantly from the Fund’s performance during the Reporting Period?
Japanese electronic parts maker Ibiden detracted from the Fund’s performance relative to the MSCI EAFE Index during the Reporting Period. Its shares lagged due in part to market concern about earnings deterioration caused by the yen’s appreciation against the U.S. dollar. The company was also impacted by worries about the sustainability of the global economic recovery, though, notably, its earnings momentum remained strong. We sold out of the Fund’s position in Ibiden by the end of the Reporting Period as we believed other companies in the Fund’s portfolio offered more attractive investment opportunities from a risk/reward perspective.
Shares of Italian bank UniCredit detracted from the Fund’s results despite proving more resilient than other peripheral European banks during the Reporting Period. We continued to hold the position. As Italy has not gone through a property bubble, we believe Italian banks remain well funded and well capitalized. In our view, UniCredit in particular offers exposure to growth markets in Eastern Europe, toward which it is refocusing under the leadership of a new Chief Executive Officer.
The Fund’s overall positioning in the health care sector contributed positively to its relative results. However, global pharmaceutical company Roche was a significant detractor from Fund performance during the Reporting Period. We sold out of the Fund’s position in Roche given a material change in the company’s fundamentals. More specifically, Roche experienced a number of setbacks, including its high profile cancer drug Avastin receiving a negative recommendation from the U.S. Food and Drug Administration (FDA). In addition, the breast cancer drug Roche has been developing received a Refuse to File letter, and its diabetes drug showed negative side effects, thereby reducing its commercial potential.
Which equity market sectors most significantly affected Fund performance?
Security selection within the industrials, telecommunication services and financials sectors contributed most positively to the Fund’s performance relative to the MSCI EAFE Index during the Reporting Period.
The only sector that detracted from the Fund’s results was information technology. Although the sector provided positive absolute returns, security selection within information technology hurt the Fund’s relative results.
Which countries or regions most affected the Fund’s performance during the Reporting Period?
Typically, the Fund’s individual stock holdings will significantly influence the Fund’s performance within a particular country or region relative to the MSCI EAFE Index. This effect may be even more pronounced in countries that represent only a modest proportion of the MSCI Index.
That said, based on effective individual stock selection, France, Spain and the United Kingdom contributed most positively to the Fund’s returns relative to the MSCI EAFE Index. The countries that detracted most from the Fund’s performance during the Reporting Period were Italy, Sweden and Singapore.
How did the Fund use derivatives during the Reporting Period?
During the Reporting Period, we did not use derivatives to hedge positions or as part of an active management strategy, however we did use derivatives to ensure the portfolio remained almost fully exposed to equities following cash inflows or stock sales. In this case, we held a basket of index futures. We use index futures to efficiently manage flow activity within the Fund.
Did the Fund make any significant purchases or sales during the Reporting Period?
We established a new Fund position in Total during the Reporting Period. Total is the world’s fourth largest integrated oil and gas company. We believe it has the strongest organic growth profile amongst the integrated oil majors, with long-established relationships in the growing regions of West Africa, the Middle East and Russia. Total enjoys scale benefits that enable it to maintain low exploration and production operating costs per barrel.
We also initiated a Fund position in Admiral Group, a direct sales U.K. motor insurer. We liked the company as it has a capital-light business model, a low cost structure and leadership by a strong, incentivized management team. At the time of purchase, we also believed the stock was attractively valued given its competitive advantages and potential secular growth.
GOLDMAN SACHS VARIABLE INSURANCE TRUST STRATEGIC INTERNATIONAL EQUITY FUND
In addition to those sales already mentioned, we sold out of the Fund’s position in BP, which had performed well since we purchased it in 2008. We were concerned about the potential for operational and reputation-based risks impacting its returns following the Gulf of Mexico disaster.
Were there any notable changes in the Fund’s weightings during the Reporting Period?
In constructing the Fund’s portfolio, we focus on picking stocks rather than on making regional, country, sector or industry bets. We seek to outpace the MSCI EAFE Index by overweighting stocks that we expect to outperform and underweighting those that we think may lag. Consequently, changes in its country or sector weights are generally the direct result of individual stock selection or of stock appreciation or depreciation. That said, during the Reporting Period, the Fund’s exposure to materials, telecommunication services and industrials increased, and its exposure to utilities, financials and information technology decreased. There were no notable changes in the Fund’s country weightings.
How was the Fund positioned relative to the MSCI EAFE Index at the end of the Reporting Period?
At the end of December 2010, the Fund had modestly greater weightings than the MSCI EAFE Index in the health care, consumer discretionary and telecommunication services sectors. The Fund had underweighted allocations to the financials, consumer staples, materials, industrials and utilities sectors at the end of the Reporting Period.
From a country perspective, the Fund had greater positions in Switzerland, Italy and the United Kingdom compared to the MSCI EAFE Index at the end of December 2010. The Fund had less exposure to Germany, France and Spain than the MSCI EAFE Index at the end of the Reporting Period.
As always, we remained focused on individual stock selection, with sector and country positioning being a secondary, but closely monitored, effect.
What is the Fund’s tactical view and strategy for the months ahead?
As fundamental equity investors, we believe that uncertainty brings opportunities. The new year 2011 begins with improving expectations for global economic growth but concerns over lingering sovereign debt issues in Europe and potentially looming inflation and interest rate increases in high growth markets. As a result, investors have been slow to return to equities. In turn, we considered valuations at the end of 2010 rather compelling given current free cash flow yields versus historical fixed income yields. Also, in our view, the current high equity risk premium may be signaling that the market could be over-estimating risk for equities and therefore under-pricing stocks. Furthermore, company fundamentals at the end of the Reporting Period were actually quite strong and are likely, we believe, to benefit shareholders going forward. We are particularly encouraged by multi-decade high corporate profits and cash levels for U.S. companies, dramatically improved European corporate balance sheets, and strong global demand from the growth markets. In our view, these conditions, combined with low cash and bond yields, may well support stock buybacks, higher dividends and continued merger and acquisition activity in the months ahead.
Finally, we believe equity markets in 2011 may offer better rewards for good stock pickers, as correlations should retreat from their high levels of the past several years, if they indeed follow historical patterns. More importantly perhaps, forward price/earnings ratios converged toward the end of the Reporting Period, so that the market was similarly valuing companies that we believe have very different prospects. Better stock pickers may be able to take advantage of this mispricing by distinguishing between the companies that can sustain their strong fundamentals through the economic cycle and those that cannot — before the market catches on.
We intend to look for well-positioned companies in their respective industries, particularly favoring companies with economies of scale, strong brands and seasoned management. 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 still uncertain times.
FUND BASICS
Strategic International Equity Fund
as of December 31, 2010
STANDARDIZED AVERAGE ANNUAL TOTAL RETURNS1
| For the period ended 12/31/10 | One Year | Five Years | Ten Years | Since Inception | Inception Date | |||||||||||||||
| Institutional | 10.36 | % | 0.22 | % | 1.16 | % | 3.39 | % | 1/12/98 | |||||||||||
| Service | 10.09 | N/A | N/A | -1.00 | 1/09/06 | |||||||||||||||
1 The Standardized Average Annual Total Returns are average annual total returns as of the most recent calendar quarter-end. They assume reinvestment of all distributions at net asset value (“NAV”). Because VIT Funds do not involve a sales charge, such a charge is not applied to their Standardized Total Returns.
Total return figures in the above chart represent past performance and do not indicate future results, which will vary. The investment return and principal value of an investment will fluctuate and, therefore, an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance may be lower or higher than the total return figures in the above chart. Please visit www.goldmansachsfunds.com/vit to obtain the most recent month-end returns. Performance reflects expense limitations in effect. In their absence, performance would be reduced.
EXPENSE RATIOS2
| Net Expense Ratio (Current) | Gross Expense Ratio (Before Waivers) | |||||||||
| Institutional | 1.03 | % | 1.03 | % | ||||||
| Service | 1.28 | 1.28 | ||||||||
2 The expense ratios of the Fund, both current (net of applicable fee waivers and/or expense limitations) and before waivers (gross of applicable fee waivers and/or expense limitations), are as set forth above according to the most recent publicly available Prospectuses for the Fund and may differ from the expense ratios disclosed in the Financial Highlights in this report. Applicable waivers and expense limitations may be modified or terminated in the future, consistent with the terms of any agreements in place. If this occurs, the expense ratios may change without shareholder approval.
FUND BASICS
Portfolio Composition
TOP TEN HOLDINGS AS OF 12/31/103
| Holding | % of Net Assets | Line of Business | Country | |||||||
| HSBC Holdings PLC | 2.7 | % | Banks | United Kingdom | ||||||
| Eni SpA | 2.4 | Energy | Italy | |||||||
| Novartis AG (Registered) | 2.1 | Pharmaceuticals, Biotechnology & Life Sciences | Switzerland | |||||||
| Total SA | 2.0 | Energy | France | |||||||
| Reed Elsevier PLC | 1.7 | Media | United Kingdom | |||||||
| Admiral Group PLC | 1.7 | Insurance | United Kingdom | |||||||
| Rio Tinto PLC | 1.7 | Materials | United Kingdom | |||||||
| Vodafone Group PLC | 1.6 | Telecommunication Services | United Kingdom | |||||||
| UBS AG (Registered) | 1.5 | Diversified Financials | Switzerland | |||||||
| GlaxoSmithKline PLC | 1.5 | Pharmaceuticals, Biotechnology & Life Sciences | United Kingdom | |||||||
3 The top 10 holdings may not be representative of the Fund’s future investments.
FUND vs. BENCHMARK SECTOR ALLOCATIONS4
As of December 31, 2010
4 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 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. Short-term investments represent investments in investment companies other than those that are exchange traded.
GOLDMAN SACHS VARIABLE INSURANCE TRUST STRATEGIC INTERNATIONAL EQUITY FUND
Performance Summary
December 31, 2010
The following graph shows the value, as of December 31, 2010, of a $10,000 investment made on January 1, 2001 in the Institutional Shares at NAV. For comparative purposes, the performance of the Fund’s benchmark, the MSCI EAFE Index (unhedged, net, 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, 2001 through December 31, 2010.
| Average Annual Total Return through December 31, 2010 | One Year | Five Years | Ten Years | Since Inception | ||||||||||||||
| Institutional (Commenced January 12, 1998) | 10.36 | % | 0.22 | % | 1.16 | % | 3.39 | % | ||||||||||
| Service (Commenced January 9, 2006) | 10.09 | % | N/A | N/A | −1.00 | % | ||||||||||||
GOLDMAN SACHS VARIABLE INSURANCE TRUST STRATEGIC INTERNATIONAL EQUITY FUND
Schedule of Investments
December 31, 2010
| Shares | Description | Value | ||||||||
Common Stocks – 88.5% | ||||||||||
| Australia – 0.5% | ||||||||||
| 660,520 | CFS Retail Property Trust (REIT) | $ | 1,188,597 | |||||||
| Denmark – 2.3% | ||||||||||
| 27,924 | Carlsberg A/S Class B (Food, Beverage & Tobacco) | 2,802,885 | ||||||||
| 38,837 | Christian Hansen Holding A/S (Materials) | 794,851 | ||||||||
| 17,363 | Novo Nordisk A/S Class B (Pharmaceuticals, Biotechnology & Life Sciences) | 1,956,194 | ||||||||
| 5,553,930 | ||||||||||
| Finland – 0.4% | ||||||||||
| 15,148 | Outotec Oyj (Capital Goods) | 938,480 | ||||||||
| France – 9.7% | ||||||||||
| 7,024 | Air Liquide SA (Materials) | 889,334 | ||||||||
| 15,913 | Air Liquide SA- Prime De Fidelite (Materials)* | 2,014,802 | ||||||||
| 125,729 | AXA SA (Insurance) | 2,092,801 | ||||||||
| 45,100 | BNP Paribas (Banks) | 2,872,247 | ||||||||
| 28,508 | Compagnie Generale de Geophysicque-Veritas (Energy)* | 870,264 | ||||||||
| 66,226 | GDF Suez SA (Utilities) | 2,378,503 | ||||||||
| 20,919 | Remy Cointreau SA (Food, Beverage & Tobacco) | 1,481,298 | ||||||||
| 82,119 | Safran SA (Capital Goods) | 2,910,972 | ||||||||
| 49,956 | Societe Generale SA (Banks) | 2,687,957 | ||||||||
| 89,270 | Total SA (Energy) | 4,754,714 | ||||||||
| 22,952,892 | ||||||||||
| Germany – 5.1% | ||||||||||
| 28,643 | BASF SE (Materials) | 2,285,782 | ||||||||
| 44,650 | Bayer AG (Pharmaceuticals, Biotechnology & Life Sciences) | 3,309,764 | ||||||||
| 28,790 | Daimler AG (Registered) (Automobiles & Components)* | 1,948,060 | ||||||||
| 39,476 | Henkel AG & Co. KGaA Preference Shares (Household & Personal Products) | 2,447,564 | ||||||||
| 30,984 | Kabel Deutschland Holding AG (Media)* | 1,452,946 | ||||||||
| 3,418 | Volkswagen AG Preference Shares (Automobiles & Components) | 555,724 | ||||||||
| 11,999,840 | ||||||||||
| Hong Kong – 2.4% | ||||||||||
| 634,000 | BOC Hong Kong (Holdings) Ltd. (Banks) | 2,155,933 | ||||||||
| 248,000 | Kerry Properties Ltd. (Real Estate) | 1,291,164 | ||||||||
| 135,443 | Sun Hung Kai Properties Ltd. (Real Estate) | 2,247,216 | ||||||||
| 5,694,313 | ||||||||||
| Ireland – 1.2% | ||||||||||
| 83,801 | Kerry Group PLC Class A (Food, Beverage & Tobacco) | 2,796,222 | ||||||||
| Israel – 1.0% | ||||||||||
| 43,112 | Teva Pharmaceutical Industries Ltd. ADR (Pharmaceuticals, Biotechnology & Life Sciences) | $ | 2,247,429 | |||||||
| Italy – 5.8% | ||||||||||
| 202,818 | Azimut Holding SpA (Diversified Financials) | 1,839,578 | ||||||||
| 78,889 | Bulgari SpA (Consumer Durables & Apparel) | 854,075 | ||||||||
| 262,535 | Eni SpA (Energy) | 5,754,050 | ||||||||
| 2,134,921 | Telecom Italia SpA (Telecommunication Services) | 2,323,618 | ||||||||
| 957,566 | UniCredit SpA (Banks) | 1,985,181 | ||||||||
| 121,276 | Unione di Banche Italiane ScpA (Banks) | 1,064,094 | ||||||||
| 13,820,596 | ||||||||||
| Japan – 23.1% | ||||||||||
| 34,400 | Advantest Corp. (Semiconductors & Semiconductor Equipment) | 773,422 | ||||||||
| 181,000 | Amada Co. Ltd. (Capital Goods) | 1,466,842 | ||||||||
| 299,000 | Calsonic Kansei Corp. (Automobiles & Components)* | 1,188,626 | ||||||||
| 1,034,000 | DIC Corp. (Materials) | 2,304,672 | ||||||||
| 66,400 | FUJIFILM Holdings Corp. (Technology Hardware & Equipment) | 2,391,641 | ||||||||
| 56,500 | Hitachi High-Technologies Corp. (Technology Hardware & Equipment) | 1,316,490 | ||||||||
| 396,000 | Hitachi Ltd. (Technology Hardware & Equipment) | 2,102,431 | ||||||||
| 66,800 | Honda Motor Co. Ltd. (Automobiles & Components) | 2,636,515 | ||||||||
| 39,500 | JFE Holdings, Inc. (Materials) | 1,369,557 | ||||||||
| 240,300 | JX Holdings, Inc. (Energy) | 1,626,118 | ||||||||
| 161,000 | Kirin Holdings Co. Ltd. (Food, Beverage & Tobacco) | 2,251,755 | ||||||||
| 194,000 | Kubota Corp. (Capital Goods) | 1,827,696 | ||||||||
| 179,000 | Kyowa Hakko Kirin Co. Ltd. (Pharmaceuticals, Biotechnology & Life Sciences) | 1,838,325 | ||||||||
| 82,000 | Mitsubishi Corp. (Capital Goods) | 2,210,043 | ||||||||
| 171,000 | Mitsubishi Electric Corp. (Capital Goods) | 1,786,825 | ||||||||
| 102,000 | Mitsubishi Estate Co. Ltd. (Real Estate) | 1,885,084 | ||||||||
| 442,900 | Mitsubishi UFJ Financial Group, Inc. (Banks) | 2,388,170 | ||||||||
| 46,900 | Mitsui & Co. Ltd. (Capital Goods) | 771,688 | ||||||||
| 2,721 | Monex Group, Inc. (Diversified Financials) | 801,954 | ||||||||
| 38,600 | MS&AD Insurance Group Holdings, Inc. (Insurance) | 963,560 | ||||||||
| 110,800 | Namco Bandai Holdings, Inc. (Consumer Durables & Apparel) | 1,187,653 | ||||||||
GOLDMAN SACHS VARIABLE INSURANCE TRUST STRATEGIC INTERNATIONAL EQUITY FUND
| Shares | Description | Value | ||||||||
Common Stocks – (continued) | ||||||||||
| Japan – (continued) | ||||||||||
| 209,000 | Nippon Express Co. Ltd. (Transportation) | $ | 938,596 | |||||||
| 40,900 | Nippon Telegraph & Telephone Corp. (Telecommunication Services) | 1,862,496 | ||||||||
| 113,600 | Nomura Holdings, Inc. (Diversified Financials) | 720,800 | ||||||||
| 14,140 | ORIX Corp. (Diversified Financials) | 1,385,369 | ||||||||
| 39,900 | Seven & I Holdings Co. Ltd. (Food & Staples Retailing) | 1,061,505 | ||||||||
| 41,500 | Softbank Corp. (Telecommunication Services) | 1,430,939 | ||||||||
| 80,200 | Sony Corp. (Consumer Durables & Apparel) | 2,868,325 | ||||||||
| 48,600 | Sumitomo Mitsui Financial Group, Inc. (Banks) | 1,720,787 | ||||||||
| 52,000 | Taiyo Yuden Co. Ltd. (Technology Hardware & Equipment) | 790,328 | ||||||||
| 150,000 | The Iyo Bank Ltd. (Banks) | 1,196,714 | ||||||||
| 34,300 | The Tokyo Electric Power Co., Inc. (Utilities) | 836,321 | ||||||||
| 347,000 | Tokyo Gas Co. Ltd. (Utilities) | 1,536,607 | ||||||||
| 53,600 | Toyota Motor Corp. (Automobiles & Components) | 2,110,149 | ||||||||
| 15,510 | Yamada Denki Co. Ltd. (Retailing) | 1,055,164 | ||||||||
| 54,603,167 | ||||||||||
| Luxembourg – 0.3% | ||||||||||
| 576,936 | Regus PLC (Commercial & Professional Services) | 775,649 | ||||||||
| Netherlands – 2.3% | ||||||||||
| 77,659 | ING Groep NV CVA (Diversified Financials)* | 757,616 | ||||||||
| 212,973 | Koninklijke KPN NV (Telecommunication Services) | 3,110,644 | ||||||||
| 60,687 | TNT NV (Transportation) | 1,604,906 | ||||||||
| 5,473,166 | ||||||||||
| Singapore – 0.5% | ||||||||||
| 732,000 | Global Logistic Properties Ltd. (Real Estate)* | 1,232,025 | ||||||||
| Spain – 0.4% | ||||||||||
| 20,814 | Red Electrica Corp. SA (Utilities) | 981,200 | ||||||||
| 4,639 | Sol Melia SA (Consumer Services) | 43,254 | ||||||||
| 1,024,454 | ||||||||||
| Sweden – 1.3% | ||||||||||
| 34,468 | Assa Abloy AB Class B (Capital Goods) | 972,297 | ||||||||
| 160,085 | Swedish Orphan Biovitrum AB (Pharmaceuticals, Biotechnology & Life Sciences)* | 963,169 | ||||||||
| 94,548 | �� | Telefonaktiebolaget LM Ericsson Class B (Technology Hardware & Equipment) | $ | 1,095,699 | ||||||
| 3,031,165 | ||||||||||
| Switzerland – 10.2% | ||||||||||
| 15,861 | Actelion Ltd. (Registered) (Pharmaceuticals, Biotechnology & Life Sciences)* | 868,538 | ||||||||
| 49,957 | Aryzta AG (Food, Beverage & Tobacco)* | 2,307,644 | ||||||||
| 29,291 | Compagnie Financiere Richemont SA Class A (Consumer Durables & Apparel) | 1,722,423 | ||||||||
| 45,376 | Julius Baer Group Ltd. (Diversified Financials) | 2,124,643 | ||||||||
| 149 | Kaba Holding AG (Capital Goods) | 63,903 | ||||||||
| 11,534 | Kuehne + Nagel International AG (Registered) (Transportation) | 1,604,711 | ||||||||
| 245 | Lindt & Spruengli AG (Food, Beverage & Tobacco) | 739,593 | ||||||||
| 83,565 | Novartis AG (Registered) (Pharmaceuticals, Biotechnology & Life Sciences) | 4,919,104 | ||||||||
| 6,331 | Straumann Holding AG (Registered) (Health Care Equipment & Services) | 1,449,832 | ||||||||
| 5,407 | Sulzer AG (Registered) (Capital Goods) | 824,898 | ||||||||
| 9,166 | Syngenta AG (Registered) (Materials) | 2,686,865 | ||||||||
| 19,823 | Temenos Group AG (Software & Services)* | 824,103 | ||||||||
| 214,217 | UBS AG (Registered) (Diversified Financials)* | 3,517,156 | ||||||||
| 24,029 | Weatherford International Ltd. (Energy)* | 546,114 | ||||||||
| 24,199,527 | ||||||||||
| United Kingdom – 22.0% | ||||||||||
| 167,305 | Admiral Group PLC (Insurance) | 3,957,189 | ||||||||
| 201,352 | Amlin PLC (Insurance) | 1,285,453 | ||||||||
| 45,297 | Anglo American PLC (Materials) | 2,369,617 | ||||||||
| 64,973 | Autonomy Corp. PLC (Software & Services)* | 1,528,575 | ||||||||
| 258,275 | Balfour Beatty PLC (Capital Goods) | 1,262,929 | ||||||||
| 146,807 | BG Group PLC (Energy) | 2,978,030 | ||||||||
| 40,618 | BHP Billiton PLC (Materials) | 1,634,141 | ||||||||
| 65,109 | Cookson Group PLC (Capital Goods)* | 670,502 | ||||||||
| 180,239 | GlaxoSmithKline PLC (Pharmaceuticals, Biotechnology & Life Sciences) | 3,495,364 | ||||||||
| 207,081 | Halfords Group PLC (Retailing) | 1,479,524 | ||||||||
| 621,121 | HSBC Holdings PLC (Banks) | 6,347,969 | ||||||||
| 202,799 | Inchcape PLC (Retailing)* | 1,131,136 | ||||||||
GOLDMAN SACHS VARIABLE INSURANCE TRUST STRATEGIC INTERNATIONAL EQUITY FUND
Schedule of Investments (continued)
December 31, 2010
| Shares | Description | Value | ||||||||
Common Stocks – (continued) | ||||||||||
| United Kingdom – (continued) | ||||||||||
| 112,325 | Inmarsat PLC (Telecommunication Services) | $ | 1,181,332 | |||||||
| 117,577 | Intercontinental Hotels Group PLC (Consumer Services) | 2,296,752 | ||||||||
| 138,659 | Prudential PLC (Insurance) | 1,448,606 | ||||||||
| 37,623 | Reckitt Benckiser Group PLC (Household & Personal Products) | 2,069,832 | ||||||||
| 483,007 | Reed Elsevier PLC (Media) | 4,079,980 | ||||||||
| 55,368 | Rio Tinto PLC (Materials)(a) | 3,946,733 | ||||||||
| 76,075 | Smiths Group PLC (Capital Goods) | 1,478,880 | ||||||||
| 133,675 | The Capita Group PLC (Commercial & Professional Services) | 1,453,794 | ||||||||
| 115,706 | Tullow Oil PLC (Energy) | 2,284,918 | ||||||||
| 1,420,761 | Vodafone Group PLC (Telecommunication Services) | 3,729,720 | ||||||||
| 52,110,976 | ||||||||||
TOTAL COMMON STOCKS | ||||||||||
| (Cost $185,696,236) | $ | 209,642,428 | ||||||||
Exchange Traded Funds – 7.9% | ||||||||||
| Australia – 4.9% | ||||||||||
| 456,874 | iShares MSCI Australia Index Fund | $ | 11,622,875 | |||||||
| Other – 3.0% | ||||||||||
| 148,000 | iShares MSCI Emerging Markets Index Fund | 7,047,760 | ||||||||
TOTAL EXCHANGE TRADED FUNDS | ||||||||||
| (Cost $11,016,581) | $ | 18,670,635 | ||||||||
| Shares | Rate | Value | ||||||||
Short-term Investment(b) – 3.7% | ||||||||||
| JPMorgan U.S. Government Money Market Fund – Capital Shares | ||||||||||
| 8,783,144 | 0.043% | $ | 8,783,144 | |||||||
| (Cost $8,783,144) | ||||||||||
TOTAL INVESTMENTS – 100.1% | ||||||||||
| (Cost $205,495,961) | $ | 237,096,207 | ||||||||
LIABILITIES IN EXCESS OF OTHER ASSETS – (0.1)% | (324,058 | ) | ||||||||
NET ASSETS – 100.0% | $ | 236,772,149 | ||||||||
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 segregated as collateral for initial margin requirements on futures transactions. | |
| (b) | Variable rate security. Interest rate disclosed is that which is in effect at December 31, 2010. |
| Investment Abbreviations: | ||||||
| ADR | — | American Depositary Receipt | ||||
| CVA | — | Dutch Certification | ||||
| REIT | — | Real Estate Investment Trust | ||||
GOLDMAN SACHS VARIABLE INSURANCE TRUST STRATEGIC INTERNATIONAL EQUITY FUND
ADDITIONAL INVESTMENT INFORMATION
FUTURES CONTRACTS — At December 31, 2010, the following futures contracts were open:
| Number of | ||||||||||||||||
| Contracts | Expiration | Current | Unrealized | |||||||||||||
| Type | Long (Short) | Date | Value | Gain (Loss) | ||||||||||||
| SPI 200 Index | 64 | March 2011 | $ | 7,740,550 | $ | (80,142 | ) | |||||||||
GOLDMAN SACHS VARIABLE INSURANCE TRUST STRATEGIC INTERNATIONAL EQUITY FUND
Statement of Assets and Liabilities
December 31, 2010
| Assets: | ||||||
| Investments in securities of unaffiliated issuers, at value (identified cost $205,495,961) | $ | 237,096,207 | ||||
| Foreign currencies, at value (identified cost $3,084) | 4,706 | |||||
| Receivables: | ||||||
Dividends, at value | 305,860 | |||||
Foreign tax reclaims, at value | 126,011 | |||||
Fund shares sold | 9,010 | |||||
Reimbursement from investment adviser | 8,297 | |||||
| Total assets | 237,550,091 | |||||
| Liabilities: | ||||||
| Payables: | ||||||
Amounts owed to affiliates | 206,661 | |||||
Fund shares redeemed | 166,807 | |||||
Investment securities purchased, at value | 148,835 | |||||
Due to broker — variation margin, at value | 106,147 | |||||
| Accrued expenses | 149,492 | |||||
| Total liabilities | 777,942 | |||||
| Net Assets: | ||||||
| Paid-in capital | 340,668,139 | |||||
| Accumulated undistributed net investment income | 528,796 | |||||
| Accumulated net realized loss from investment, futures and foreign currency related transactions | (135,968,652 | ) | ||||
| Net unrealized gain on investments, futures and translation of assets and liabilities denominated in foreign currencies | 31,543,866 | |||||
| NET ASSETS | $ | 236,772,149 | ||||
| Net Assets: | ||||||
Institutional | $ | 77,558,213 | ||||
Service | 159,213,936 | |||||
| Total Net Assets | $ | 236,772,149 | ||||
| Shares of beneficial interest outstanding $0.001 par value (unlimited shares authorized): | ||||||
Institutional | 8,793,099 | |||||
Service | 18,029,062 | |||||
| Net asset value, offering and redemption price per share: | ||||||
Institutional | $ | 8.82 | ||||
Service | 8.83 | |||||
GOLDMAN SACHS VARIABLE INSURANCE TRUST STRATEGIC INTERNATIONAL EQUITY FUND
Statement of Operations
For the Fiscal Year Ended December 31, 2010
| Investment income: | ||||||
| Dividends (net of foreign taxes withheld of $444,048) | $ | 5,393,113 | ||||
| Securities lending income — affiliated issuer | 77,250 | |||||
| Interest | 7,216 | |||||
| Total investment income | 5,477,579 | |||||
| Expenses: | ||||||
| Management fees | 1,934,150 | |||||
| Distribution and Service fees — Service Class | 378,783 | |||||
| Printing and mailing costs | 156,873 | |||||
| Custody and accounting fees | 135,249 | |||||
| Professional fees | 93,337 | |||||
| Transfer Agent fees(a) | 45,505 | |||||
| Trustee fees | 14,471 | |||||
| Other | 13,564 | |||||
| Total expenses | 2,771,932 | |||||
| Less — expense reductions | (63,235 | ) | ||||
| Net expenses | 2,708,697 | |||||
| NET INVESTMENT INCOME | 2,768,882 | |||||
| Realized and unrealized gain (loss) from investment, futures and foreign currency related transactions: | ||||||
| Net realized gain (loss) from: | ||||||
Investment transactions — unaffiliated issuers | 20,345,945 | |||||
Securities lending reinvestment vehicle transactions — affiliated issuer | 17,096 | |||||
Futures transactions | 125,762 | |||||
Foreign currency related transactions | (33,100 | ) | ||||
| Net change in unrealized gain (loss) on: | ||||||
Investments — unaffiliated issuers | (480,682 | ) | ||||
Securities lending reinvestment vehicle — affiliated issuer | (13,513 | ) | ||||
Futures | (456,255 | ) | ||||
Translation of asset and liabilities denominated in foreign currencies | 21,204 | |||||
| Net realized and unrealized gain from investment, futures and foreign currency related transactions | 19,526,457 | |||||
| NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS | $ | 22,295,339 | ||||
| (a) | Institutional and Service Shares had Transfer Agent fees of $15,205 and $30,300, respectively. |
GOLDMAN SACHS VARIABLE INSURANCE TRUST STRATEGIC INTERNATIONAL EQUITY FUND
Statements of Changes in Net Assets
| For the | For the | |||||||||
| Fiscal Year Ended | Fiscal Year Ended | |||||||||
| December 31, 2010 | December 31, 2009 | |||||||||
From operations: | ||||||||||
| Net investment income | $ | 2,768,882 | $ | 3,349,055 | ||||||
| Net realized gain (loss) from investment, futures and foreign currency related transactions | 20,455,703 | (17,279,593 | ) | |||||||
| Net change in unrealized gain (loss) on investments, futures and translation of assets and liabilities denominated in foreign currencies | (929,246 | ) | 68,649,680 | |||||||
Net increase in net assets resulting from operations | 22,295,339 | 54,719,142 | ||||||||
Distributions to shareholders: | ||||||||||
| From net investment income | ||||||||||
Institutional Shares | (1,126,914 | ) | (1,367,314 | ) | ||||||
Service Shares | (1,932,729 | ) | (2,291,819 | ) | ||||||
Total distributions to shareholders | (3,059,643 | ) | (3,659,133 | ) | ||||||
From share transactions: | ||||||||||
| Proceeds from sales of shares | 8,858,275 | 28,564,731 | ||||||||
| Reinvestment of distributions | 3,059,643 | 3,659,133 | ||||||||
| Cost of shares redeemed | (33,755,347 | ) | (31,894,234 | ) | ||||||
Net increase (decrease) in net assets resulting from share transactions | (21,837,429 | ) | 329,630 | |||||||
TOTAL INCREASE (DECREASE) | (2,601,733 | ) | 51,389,639 | |||||||
Net assets: | ||||||||||
| Beginning of year | 239,373,882 | 187,984,243 | ||||||||
| End of year | $ | 236,772,149 | $ | 239,373,882 | ||||||
Accumulated undistributed net investment income | $ | 528,796 | $ | 352,277 | ||||||
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 | 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, | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
| 2010 - Institutional | $ | 8.11 | $ | 0.11 | $ | 0.73 | $ | 0.84 | $ | (0.13 | ) | $ | — | $ | (0.13 | ) | $ | 8.82 | 10.36 | % | $ | 77,558 | 1.02 | % | 1.05 | % | 1.38 | % | 112 | % | ||||||||||||||||||||||||||||
| 2010 - Service | 8.12 | 0.09 | 0.73 | 0.82 | (0.11 | ) | — | (0.11 | ) | 8.83 | 10.09 | 159,214 | 1.27 | 1.30 | 1.13 | 112 | ||||||||||||||||||||||||||||||||||||||||||
| 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 | |||||||||||||||||||||||||||||||||||||
| (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 non-recurring special dividends which amounted to $0.12 per share and 1.12% of average net assets. | |
| (d) | Includes non-recurring expense for a special shareholder proxy 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.
15
GOLDMAN SACHS VARIABLE INSURANCE TRUST STRATEGIC INTERNATIONAL EQUITY FUND
Notes to Financial Statements
December 31, 2010
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 Asset Management International (“GSAMI”), an affiliate of Goldman, Sachs & Co. (“Goldman Sachs”), serves as investment adviser to the Fund pursuant to a management agreement (the “Agreement”) with the Trust.
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. 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 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 the 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.
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
GOLDMAN SACHS VARIABLE INSURANCE TRUST STRATEGIC INTERNATIONAL EQUITY FUND
| 2. SIGNIFICANT ACCOUNTING POLICIES (continued) |
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.
B. 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.
Investment income 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.
C. Expenses — Expenses incurred by the Trust that do not specifically relate to an individual Fund of the Trust are allocated to the Fund on a straight-line and/or pro-rata basis depending upon the nature of the expense and are accrued daily.
D. Federal Taxes and Distributions to Shareholders — It is the Fund’s policy to comply with the requirements of the Internal Revenue Code of 1986, as amended (the “Code”), applicable to regulated investment companies (mutual funds) and to distribute each year substantially all of its investment company taxable income and capital gains to its shareholders. Accordingly, the Fund is not required to make any provisions for the payment of federal income tax. 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.
E. 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 foreign currency 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
GOLDMAN SACHS VARIABLE INSURANCE TRUST STRATEGIC INTERNATIONAL EQUITY FUND
Notes to Financial Statements (continued)
December 31, 2010
| 2. SIGNIFICANT ACCOUNTING POLICIES (continued) |
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.
F. Futures Contracts — 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 its obligations under these contracts.
3. 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 significant inputs are observable (including, but not limited to, quoted prices for similar securities, interest rates, foreign exchange rates, volatility and credit spreads), either directly or indirectly;
Level 3 — Prices or valuations that require significant unobservable inputs (including GSAMI’s assumptions in determining fair value measurement).
The following is a summary of the Fund’s investments categorized in the fair value hierarchy as of December 31, 2010:
| Level 1 | Level 2 | Level 3 | ||||||||||
Assets | ||||||||||||
| Common Stock and/or Other Equity Investments | $ | 20,918,064 | $ | 207,394,999 | (a) | $ | — | |||||
| Short-term Investment | 8,783,144 | — | — | |||||||||
| Total | $ | 29,701,208 | $ | 207,394,999 | $ | — | ||||||
Liabilities | ||||||||||||
| Derivatives | $ | (80,142 | ) | $ | — | — | ||||||
| (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. |
GOLDMAN SACHS VARIABLE INSURANCE TRUST STRATEGIC INTERNATIONAL EQUITY FUND
4. 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 paid monthly, equal to an annual percentage rate of the Fund’s average daily net assets.
For the fiscal year ended December 31, 2010, contractual management fees with GSAMI 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 | |||||||||||||||
| 0.85% | 0.77 | % | 0.73 | % | 0.72 | % | 0.71 | % | 0.85 | % | ||||||||||
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, which serves as distributor, is entitled to a fee computed daily and paid monthly for distribution services, which may then be paid by Goldman Sachs to authorized dealers, 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 computed daily and paid monthly at an annual rate of 0.02% of the average daily net assets for Institutional and Service Shares.
D. Other Expense Agreements and Affiliated Transactions — GSAMI has agreed to limit certain “Other Expense” (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, 0.144% of the average daily net assets of the Fund. Prior to July 1, 2010 the Other Expense limitation was 0.164% of the average daily net assets of the Fund. Such Other 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. These Other Expense reimbursements will remain in place through at least April 30, 2011, and prior to such date GSAMI may not terminate the arrangement without the approval of the trustees. For the fiscal year ended December 31, 2010, GSAMI reimbursed approximately $63,200 to the Fund.
As of December 31, 2010, amounts owed to affiliates were approximately $169,300, $33,400 and $4,000 for management, distribution and service, and transfer agent fees, respectively.
E. Line of Credit Facility — As of December 31, 2010, the Fund participated in a $580,000,000 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 could increase the credit amount by an additional $340,000,000, for a total of up to $920,000,000. This facility is to be used solely for temporary or emergency purposes. The interest rate on borrowings is based on the federal funds rate. The 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, 2010, the Fund did not have any borrowings under the facility. Prior to May 11, 2010, the amount available through the facility was $660,000,000.
F. Other Transactions with Affiliates — For the fiscal year ended December 31, 2010, Goldman Sachs earned approximately $6,800 in brokerage commissions from portfolio transactions, including futures transactions executed with Goldman Sachs as the Futures Commission Merchant, on behalf of the Fund.
GOLDMAN SACHS VARIABLE INSURANCE TRUST STRATEGIC INTERNATIONAL EQUITY FUND
Notes to Financial Statements (continued)
December 31, 2010
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.
During the fiscal year ended December 31, 2010, the Fund entered into futures contracts with respect to a representative index to seek to increase total return. The following table sets forth, by certain risk types, the gross value of these derivative contracts for trading activities as of December 31, 2010. The value in the table below excludes the effects of cash collateral received or posted pursuant to these derivative contracts, and therefore is not representative of the Fund’s net exposure.
| Risk | Statement of Assets and Liabilities Location | Liabilities | ||||||
| Equity | Due to broker — variation margin, at value | $ | (80,142 | )(a) | ||||
| (a) | Includes unrealized gain (loss) on 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. |
The following table sets forth, by certain risk types, the Fund’s gains (losses) related to these derivatives and their indicative volumes for the fiscal year ended December 31, 2010. 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 | Average | ||||||||||||||
| Net Realized | Unrealized | Number of | |||||||||||||
| Risk | Statement of Operations Location | Gain (Loss) | Gain (Loss) | Contracts(a) | |||||||||||
| Equity | Net realized gain (loss) from futures transactions/Net change in unrealized gain (loss) on futures | $ | 125,762 | $ | (456,255 | ) | 92 | ||||||||
| (a) | Average number of contracts is based on the average of month end balances for the fiscal year ended December 31, 2010. |
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, 2010, were $241,555,756 and $258,773,027, respectively.
7. SECURITIES LENDING
Pursuant to exemptive relief granted by the Securities and Exchange Commission (“SEC”) 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. Effective May 26, 2010, the Fund no longer participated in the securities lending program. During its participation in this securities lending program, and in accordance with the Fund’s securities lending procedures, the Fund received cash collateral at least equal to the market value of the securities on loan. The market value of the loaned securities was 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 were traded, and any additional required collateral was delivered to the Fund on the next business day.
GOLDMAN SACHS VARIABLE INSURANCE TRUST STRATEGIC INTERNATIONAL EQUITY FUND
| 7. SECURITIES LENDING (continued) |
The Fund invested 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, was exempt from registration under Section 3(c)(7) of the Act and was managed by GSAM, for which GSAM may have received 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 invested primarily in short-term investments, but was not a “money market fund” subject to the requirements of Rule 2a-7 of the Act.
Both the Fund and GSAL received compensation relating to the lending of the Fund’s securities. The amount earned by the Fund for the fiscal year ended December 31, 2010, is reported under Investment Income on the Statement of Operations. A portion of this amount, $21,502, represents compensation earned by the Fund from lending its securities to Goldman Sachs. For the fiscal year ended December 31, 2010, GSAL earned $8,579 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, 2010 (in thousands):
| Number of | Number of | |||||||||||||||
| Shares Held | Shares Held | Value at End | ||||||||||||||
| Beginning of Year | Shares Bought | Shares Sold | End of Year | of Year | ||||||||||||
| 13,790 | 38,434 | (52,224 | ) | — | $ | — | ||||||||||
8. TAX INFORMATION
The tax character of distributions paid during the fiscal years ended December 31, 2009 and December 31, 2010 was as follows:
| 2009 | 2010 | |||||||
| Distributions paid from ordinary income | $ | 3,659,133 | $ | 3,059,643 | ||||
As of December 31, 2010, the components of accumulated earnings (losses) on a tax basis were as follows:
| Undistributed ordinary income — net | $ | 1,031,432 | ||
Capital loss carryforward:(1) | ||||
| Expiring 2016 | (69,095,795 | ) | ||
| Expiring 2017 | (63,558,058 | ) | ||
| Total capital loss carryforward | $ | (132,653,853 | ) | |
| Unrealized gains — net | 27,726,431 | |||
| Total accumulated losses — net | $ | (103,895,990 | ) | |
| (1) | Expiration occurs on December 31 of the year indicated. The Fund had utilized $13,438,292 of capital losses in the current fiscal year. |
GOLDMAN SACHS VARIABLE INSURANCE TRUST STRATEGIC INTERNATIONAL EQUITY FUND
Notes to Financial Statements (continued)
December 31, 2010
| 8. TAX INFORMATION (continued) |
As of December 31, 2010, the Fund’s aggregate security unrealized gains and losses based on cost for U.S. federal income tax purposes was as follows:
| Tax cost | $ | 209,313,396 | ||
| Gross unrealized gain | 30,781,243 | |||
| Gross unrealized loss | (2,998,432 | ) | ||
| Net unrealized security gain | $ | 27,782,811 | ||
| Net unrealized loss on other investments | (56,380 | ) | ||
| Net unrealized gain | $ | 27,726,431 | ||
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 investments.
In order to present certain components of the Fund’s capital accounts on a tax basis, the Fund has reclassified $467,280 to accumulated undistributed net investment income from accumulated net realized loss from investment transactions. These reclassifications have no impact on the net asset value of the Fund and result primarily from the differences in the tax treatment of foreign currency transactions and passive foreign investment company investments.
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.
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. 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. 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.
Fund’s Shareholder Concentration Risk — 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 entities of their holdings in the Fund may impact the Fund’s liquidity and NAV. These redemptions may also force the Fund to sell securities.
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.
GOLDMAN SACHS VARIABLE INSURANCE TRUST STRATEGIC INTERNATIONAL 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, GSAMI believes the risk of loss under these arrangements to be remote.
11. SUBSEQUENT EVENTS
Subsequent events after the balance sheet date have been evaluated through the date the financial statements were issued. GSAMI has concluded that there is no impact requiring adjustment or disclosure in the financial statements.
12. SUMMARY OF SHARE TRANSACTIONS
Share activity is as follows:
| For the Fiscal Year Ended | For the Fiscal Year Ended | |||||||||||||||
| December 31, 2010 | December 31, 2009 | |||||||||||||||
| Shares | Dollars | Shares | Dollars | |||||||||||||
Institutional Shares | ||||||||||||||||
| Shares sold | 177,071 | $ | 1,399,863 | 234,309 | $ | 1,485,598 | ||||||||||
| Reinvestment of distributions | 128,790 | 1,126,914 | 170,701 | 1,367,314 | ||||||||||||
| Shares redeemed | (1,630,467 | ) | (13,247,331 | ) | (1,856,208 | ) | (12,941,114 | ) | ||||||||
| (1,324,606 | ) | (10,720,554 | ) | (1,451,198 | ) | (10,088,202 | ) | |||||||||
Service Shares | ||||||||||||||||
| Shares sold | 950,196 | 7,458,412 | 4,165,773 | 27,079,133 | ||||||||||||
| Reinvestment of distributions | 220,380 | 1,932,729 | 285,763 | 2,291,819 | ||||||||||||
| Shares redeemed | (2,528,885 | ) | (20,508,016 | ) | (2,795,956 | ) | (18,953,120 | ) | ||||||||
| (1,358,309 | ) | (11,116,875 | ) | 1,655,580 | 10,417,832 | |||||||||||
NET INCREASE (DECREASE) | (2,682,915 | ) | $ | (21,837,429 | ) | 204,382 | $ | 329,630 | ||||||||
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, 2010, 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, 2010 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 14, 2011
GOLDMAN SACHS VARIABLE INSURANCE TRUST STRATEGIC INTERNATIONAL EQUITY FUND
Fund Expenses — Six Month Period Ended December 31, 2010 (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, 2010 through December 31, 2010.
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 (loads), redemption fees, or exchange fees, but shareholders of other funds may incur such costs. The second line of the table is useful in comparing 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 | 7/01/10 | 12/31/10 | 12/31/10* | ||||||||||||
Institutional | |||||||||||||||
| Actual | $ | 1,000 | $ | 1,269.60 | $ | 5.84 | |||||||||
| Hypothetical 5% return | 1,000 | 1,020.06 | + | 5.19 | |||||||||||
Service | |||||||||||||||
| Actual | 1,000 | 1,267.90 | 7.26 | ||||||||||||
| Hypothetical 5% return | 1,000 | 1,018.80 | + | 6.46 | |||||||||||
| * | 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, 2010. 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 1.02% and 1.27% 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 Age1,2 | with the Trust | Time Served3 | During Past 5 Years | Trustee4 | Held by Trustee5 | |||||
| Ashok N. Bakhru Age: 68 | Chairman of the Board of Trustees | Since 1996 (Trustee Since 1991) | President, ABN 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-Linked Investors II (April 2002-2007); and Chairman, Lenders Service Inc. (provider of mortgage lending services ) (2000-2003). Chairman of the Board of Trustees—Goldman Sachs Mutual Fund Complex. | 90 | Apollo Investment Corporation (a business development company) | |||||
| Donald C. Burke Age: 50 | Trustee | Since 2010 | Director, BlackRock Luxembourg and Cayman Funds (2006-2010); President and Chief Executive Officer, BlackRock U.S. Funds (2007-2009); Managing Director, BlackRock, Inc. (2006-2009); Managing Director, Merrill Lynch Investment Managers, L.P. (“MLIM”) (2006); First Vice President, MLIM (1997-2005); Chief Financial Officer and Treasurer, MLIM U.S. Funds (1999-2006). Trustee—Goldman Sachs Mutual Fund Complex. | 90 | None | |||||
| John P. Coblentz, Jr. Age: 69 | 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. | 90 | None | |||||
| Diana M. Daniels Age: 61 | 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 Vice Chair of the Board of Trustees, Cornell University (2009-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. | 90 | None | |||||
| Joseph P. LoRusso Age: 53 | Trustee | Since 2010 | President, Fidelity Investments Institutional Services Co. (“FIIS”) (2002-2008); Director, FIIS (2002-2008); Director, Fidelity Investments Institutional Operations Company (2003-2007); Executive Officer, Fidelity Distributors Corporation (2007-2008). Trustee—Goldman Sachs Mutual Fund Complex. | 90 | None | |||||
| Jessica Palmer Age: 61 | Trustee | Since 2007 | Ms. Palmer is retired. Formerly, she was Consultant, Citigroup Human Resources Department (2007-2008); Managing Director, Citigroup Corporate and Investment Banking (previously, Salomon Smith Barney/Salomon Brothers) (1984-2006). Ms. Palmer was a Member of the Board of Trustees of Indian Mountain School (private elementary and secondary school) (2004-2009). Trustee—Goldman Sachs Mutual Fund Complex. | 90 | None | |||||
GOLDMAN SACHS VARIABLE INSURANCE TRUST STRATEGIC INTERNATIONAL EQUITY FUND
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 Age1,2 | with the Trust | Time Served3 | During Past 5 Years | Trustee4 | Held by Trustee5 | |||||
| Richard P. Strubel Age: 71 | 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. | 90 | 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 Age1,2 | with the Trust | Time Served3 | During Past 5 Years | Trustee4 | Held by Trustee5 | |||||
| James A. McNamara* Age: 48 | 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). | 90 | None | |||||
| Alan A. Shuch* Age: 61 | 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. | 90 | 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, 200 West Street, New York, New York, 10282, Attn: Peter V. Bonanno. Information is provided as of December 31, 2010. | |
| 2 | From 2000 until September 30, 2010, Patrick T. Harker also served as Trustee of the Trust and of the Goldman Sachs Mutual Fund Complex. Mr. Harker resigned from these positions on September 30, 2010. | |
| 3 | 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 74 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. | |
| 4 | The Goldman Sachs Mutual Fund Complex consists of the Trust, Goldman Sachs Trust, Goldman Sachs Municipal Opportunity Fund and Goldman Sachs Credit Strategies Fund. As of December 31, 2010, the Trust consisted of 11 portfolios, Goldman Sachs Trust consisted of 77 portfolios and the Goldman Sachs Municipal Opportunity Fund did not offer shares to the public. | |
| 5 | 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 (Unaudited)*
| 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 200 West Street New York, NY 10282 Age: 48 | 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 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 200 West Street New York, NY 10282 Age: 43 | 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 200 West Street New York, NY 10282 Age: 39 | 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. Information is provided as of December 31, 2010. | |
| * | 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 fiscal year ended December 31, 2010, 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 $0.0988 per share, all of which is attributable to qualified passive income. The percentage of net investment income dividends paid by the Fund during the fiscal year ended December 31, 2010 from foreign sources was 76.77%. The total amount of foreign taxes paid by the Fund was $0.0135 per share.
| TRUSTEES | OFFICERS | |
| Ashok N. Bakhru, Chairman Donald C. Burke* John P. Coblentz, Jr. Diana M. Daniels Joseph P. LoRusso* James A. McNamara Jessica Palmer Alan A. Shuch Richard P. Strubel * Effective August 19, 2010 | 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 website at www.goldmansachsfunds.com/vit to obtain the most recent month-end returns. | ||
| The reports concerning the Fund included in this shareholder report may contain certain forward-looking statements about the factors that may affect the performance of the Fund in the future. These statements are based on Fund management’s predictions and expectations concerning certain future events and their expected impact on the Fund, such as performance of the economy as a whole and of specific industry sectors, changes in the levels of interest rates, the impact of developing world events, and other factors that may influence the future performance of the Fund. Management believes these forward-looking statements to be reasonable, although they are inherently uncertain and difficult to predict. Actual events may cause adjustments in portfolio management strategies from those currently expected to be employed. | ||
| Economic and market forecasts presented herein reflect our judgment as of the date of this presentation and are subject to change without notice. These forecasts do not take into account the specific investment objectives, restrictions, tax and financial situation or other needs of any specific client. Actual data will vary and may not be reflected here. These forecasts are subject to high levels of uncertainty that may affect actual performance. Accordingly, these forecasts should be viewed as merely representative of a broad range of possible outcomes. These forecasts are estimated, based on assumptions, and are subject to significant revision and may change materially as economic and market conditions change. Goldman Sachs has no obligation to provide updates or changes to these forecasts. Case studies and examples are for illustrative purposes only. | ||
| 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”) website 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 or summary prospectus, if applicable. Investors should consider a Fund’s objective, risks, and charges and expenses, and read the summary prospectus, if available, and/or the Prospectus carefully before investing or sending money. The summary prospectus, if available, and the Prospectus contain this and other information about a Fund and may be obtained from your authorized dealer or from Goldman, Sachs & Co. by calling 1-800-621-2550. | ||
| 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. | ||
| © 2011 Goldman Sachs. All rights reserved. | ||
| VITINTLAR11/47821.MF.MED.TMPL/2/2011 | ||
Goldman
Sachs Variable Insurance Trust
Goldman Sachs
Money Market Fund
Annual Report
December 31, 2010
|
GOLDMAN SACHS VARIABLE INSURANCE TRUST MONEY MARKET FUND
Principal Investment Strategies and Risks
Shares of the Goldman Sachs Variable Insurance Trust — Goldman Sachs Money Market Fund are offered to separate accounts of participating life insurance companies for the purpose of funding variable annuity contracts and variable life insurance policies. Shares of the Fund are not offered directly to the general public. The variable annuity contracts and variable life insurance policies are described in the separate prospectuses issued by participating insurance companies. You should refer to those prospectuses for information about surrender charges, mortality and expense risk fees and other charges that may be assessed by participating insurance companies under the variable annuity contracts or variable life insurance policies. Such fees or charges, if any, may affect the return you realize with respect to your investments. Ask your representative for more complete information. Please consider the Fund’s objective, risks and charges and expenses, and read the Prospectus carefully before investing. The Prospectus contains this and other information about the Fund.
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 performance of Goldman Sachs Variable Insurance Trust — Goldman Sachs Money Market Fund (the “Fund”) and positioning for the 12-month period ended December 31, 2010 (the “Reporting Period”).
How did the Fund perform during the Reporting Period?
The Fund’s standardized 7-day current yield was 0.01% and its standardized 7-day effective yield was 0.01% as of December 31, 2010. The Fund’s one-month simple average yield was 0.01% as of December 31, 2010. The Fund’s 7-day distribution yield as of December 31, 2010 was 0.01%.
What economic and market factors most influenced the money markets as a whole during the Reporting Period?
The Reporting Period was one wherein mixed economic conditions, Federal Reserve System (the Fed) policy and government regulation initiatives had great effect on the money markets. Yields in the money markets remained low throughout.
The first quarter of 2010 was characterized by relatively mixed economic data but generally improving investor sentiment. As the quarter began in January, sentiment was generally negative, as investors questioned the robustness of the economic recovery. There were also concerns about the potential impact of withdrawal of government stimulus programs and the eventual tightening of monetary policy. The labor market was still soft, and there were various signs that earlier improvements seen in the employment data were more the result of reduced layoffs than increased hires. All of these factors, combined with President Obama’s proposal of the Financial Crisis Responsibility Fee and other initiatives designed to limit the size and trading activities of financial institutions in order to minimize risk taking, sparked a sell-off across risky assets early in the quarter. By the end of March, more encouraging data had been posted. The labor market, however, remained weak, although job losses seemed to be stabilizing. The Fed’s policy statement in March indicated that it intended to maintain the “low for long” theme with respect to the targeted federal funds rate.
The second quarter of the year saw yields on U.S. Treasuries hit lows that had not been seen in some time. We believe such a rally in U.S. Treasuries was primarily due to fears surrounding the debt sustainability of European peripheries, the possible impact of U.S. financial regulation reform on banks’ profitability and balance sheets, signs of heat running out of the Chinese economy, and a slowdown in the recovery of global economic growth. Europe’s fiscal problems came to a head in May, forcing policymakers to announce a EUR750 billion backstop for the sovereign debt of Eurozone peripheral countries. The European Central Bank, in turn, began directly purchasing government bonds. U.S. Treasuries rallied strongly, with interest rates moving lower across the yield curve, or spectrum of maturities. As Treasury yields fell, the gap in yields between Treasury securities and the relatively steady short-term interest rate narrowed.
The global economic recovery continued in the third quarter, although data also pointed to slowing momentum. Policymakers in the U.S. returned their focus to options for further stimulus, thus clearing the way for a possible resumption of quantitative easing, or asset purchases by the Fed. These economic and policy conditions kept downward pressure on benchmark government yields, such that, in the U.S., the two-year Treasury yield fell to a historic low around 0.50%. Though U.S. economic growth had slowed, in our view, it continued to follow a historical pattern whereby activity grows rapidly as the economy exits recession and then experiences a mid-cycle pause before settling into a more sustainable rate. Earlier gains in U.S. industrial production and business investment leveled out, and though activity slowed across the manufacturing and services sectors, these sectors still continued to expand. The exception to this pattern in the U.S. was consumer demand, which remained constrained by ongoing job losses and a persistently weak housing market.
In the fourth quarter, the global economy appears to have regained momentum following the mid-year slowdown that raised concerns about a double-dip recession. U.S. Treasury yields reversed their declining trend, although yields at the short-term end of the curve, remained low, anchored by the Fed keeping the targeted federal funds rate near zero. Though job creation and the housing market remained weak in the U.S., the recovery did seem to start to broaden beyond the corporate sector
GOLDMAN SACHS VARIABLE INSURANCE TRUST MONEY MARKET FUND
with a pick-up in consumer demand. Further stimulus — including extensions of tax cuts and jobless benefits, as well as more quantitative easing by the Fed, formally announced in November — boosted confidence in the recovery and prompted upward revisions to economic growth forecasts by many.
Another major factor that impacted the money markets during the Reporting Period was the SEC Rule 2a-7 amendments that became effective May 5, 2010, with required compliance dates staggered throughout 2010. The rule changes adopted by the SEC were designed to strengthen the regulatory requirements governing money market funds and better protect investors. They were also intended to increase the resilience of money market funds to economic stresses. The regulations include revisions designed to increase credit quality, improve liquidity, shorten maturity limits and modify reporting requirements of money market funds. These initiatives, in conjunction with the Dodd-Frank Wall Street Reform and Consumer Protection Act passed into law on July 16, 2010 and Basel III, which is an international regulatory framework for banks announced on September 12, 2010, reformed the money market industry during the Reporting Period.
The combination of all of these factors led the taxable money market yield curve to flatten during 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. That said, the taxable money market yield curve remained positively sloped, meaning longer-term yields were still somewhat higher than shorter-term yields.
What key factors were responsible for the Fund’s performance during the Reporting Period?
The Fund’s yields stayed low throughout the Reporting Period due primarily to the market factors discussed above. As concerns about the debt in peripheral Europe caused volatility in the financial markets, keeping short-term Treasury rates low, we sought to take advantage of the higher rates available in the LIBOR curve by holding asset-backed commercial paper with maturities in the one- to three-month range. LIBOR, or London interbank offered rates, are floating interest rates that are widely used as reference rates in bank, corporate and government lending agreements. During the second half of the Reporting Period, when LIBOR rates began to decline, we shifted the Fund’s portfolio to a barbelled strategy, wherein we began to purchase longer-dated government agency securities while at the same time maintaining a healthy portion of the Fund’s holdings in maturities of less than a week.
Overall, the Fund was well positioned to take advantage of the interest rate environment during the Reporting Period. That said, it should be noted that regardless of interest rate conditions, we manage the Fund consistently. Our investment approach has always been tri-fold — to seek preservation of capital, daily liquidity and maximization of yield potential. We manage interest and credit risk daily. Whether interest rates are historically low, high or in-between, we intend to continue to use our actively managed approach to provide the best possible return within the framework of the Fund’s guidelines and objectives.
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 39 days. As market conditions shifted, especially regarding liquidity in the short-term markets, we adjusted the Fund’s weighted average maturity between 20 days and 40 days for most of the Reporting Period. The Fund’s weighted average maturity was 49 days on December 31, 2010. The weighted average maturity of a money market fund is a measure of its price sensitivity to changes in interest rates.
Due to new requirements implemented by the SEC during the Reporting Period, the Fund was required to have a minimum of 10% of its total assets in “daily liquid assets” and 30% of its total assets in “weekly liquid assets”. Although the Fund, for the most part, was meeting this SEC requirement even before the SEC mandated the change, we did increase the Fund’s holdings in securities maturing in less than a week once the new SEC rules became effective in May. This resulted in the Fund’s weighted average maturity being pulled closer to the shorter end of our target range. However, as mentioned, during the second half of the Reporting Period, we implemented a barbelled strategy in managing the Fund’s duration, wherein the Fund purchased longer duration assets but also kept a healthy percentage of its net assets in securities maturing within a week.
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.
While money market yields were low throughout the Reporting Period, the Fund’s investment strategy helped it provide current income while meeting its two primary objectives — liquidity and capital preservation. The primary focal points for our management team are consistently interest rate risk and credit risk. We were able to navigate interest rate risk by
GOLDMAN SACHS VARIABLE INSURANCE TRUST MONEY MARKET FUND
adjusting the Fund’s weighted average maturity as market conditions shifted. We were able to mitigate potential credit risk by buying high quality, creditworthy names, which helped buoy the Fund’s performance.
It is important to note that while one of the goals of the SEC’s recently adopted money market fund rule changes is to reinforce conservative investment practices across the money market fund industry, our security selection process has long emphasized conservative investment choices. The Fund maintains an approach to investing that prioritizes the preservation of capital and the maintenance of liquidity by investing exclusively in high quality money market instruments. As such, the spirit of the SEC’s changes aligns well with our conservative approach to money market investing.
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 between 20 and 40 days through most of the Reporting Period as market conditions shifted. We managed toward the shorter end of this target range when volatility and stress in the market increased due to events such as the European debt crisis or weak economic data. We managed toward the longer end of the range near calendar quarter ends given the need to be fully invested in an environment of decreasing dealer balance sheets and a scarcity of repurchase agreement collateral.
We also placed an increased emphasis on building a higher Fund concentration in overnight securities.
What is the Fund’s tactical view and strategy for the months ahead?
Macroeconomic trends appear to be diverging as we move into 2011, with policymakers across the largest economies pursuing distinctly different goals. In the U.S., weak job creation has led to more monetary and fiscal stimulus. Still, we think the positives in the U.S. and in the emerging economies overall outweigh the challenges in Europe and portray a better picture on the macroeconomic side looking ahead. Thus, we have upgraded our forecasts for economic growth for 2011 and see the U.S. leading the G3 (the three largest developed economies — the U.S., Eurozone and Japan) with an estimated 3.5% Gross Domestic Product (GDP) growth rate. At the same time, we believe the divergent trends across the largest economies point to increased volatility. Whether that volatility is to the upside or downside in growth and risk assets depends largely on how the Eurozone’s sovereign issues unfold.
The Fed is now entering its third year of a massive effort to engineer the U.S. economy’s recovery from the financial crisis and recession. With economic growth still below par and inflation widely considered to be too low, the Fed starts 2011 on a second round of quantitative easing, commonly termed QE2. This latest step in a highly experimental phase of the Fed’s history has stirred controversy not only among U.S. Fed watchers but also in financial circles worldwide.
We expect the Fed to remain on hold throughout 2011, maintaining its near-zero targeted federal funds rate in an effort to help meet its dual mission of price stability and employment. Yet, a more optimistic macroeconomic picture in the U.S., positive asset trends and decreasing volatility may combine to pressure interest rates to rise absent a move by the Fed. As such, we believe duration management may become a more predominant theme in the new year. Should rates indeed start to move up at the short-term end of the yield curve, we may begin to shorten the Fund’s targeted weighted average maturity range. We will, of course, 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.
The yields represent past performance. Past performance does not guarantee future results. Current performance may be lower or higher than the performance quoted above. Visit our website at www.goldmansachsfunds.com/vit to obtain the most recent month-end returns.
Yields will fluctuate as market conditions change. The yield quotations more closely reflect the current earnings of the Fund than total return quotations.
GOLDMAN SACHS VARIABLE INSURANCE TRUST MONEY MARKET FUND
MONEY MARKET FUND†
Security Type
(Percentage of Net Assets)
(Percentage of Net Assets)
† The Fund is actively managed and, as such, its composition may differ over time. The percentage shown for each investment category reflects the value (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.
5
GOLDMAN SACHS VARIABLE INSURANCE TRUST MONEY MARKET FUND
Schedule of Investments
December 31, 2010
| Principal | Interest | Maturity | Amortized | |||||||||||||
| Amount | Rate | Date | Cost | |||||||||||||
Commercial Paper and Corporate Obligations – 26.4% | ||||||||||||||||
| ABN Amro Funding USA LLC | ||||||||||||||||
| $ | 1,000,000 | 0.320 | % | 01/27/11 | $ | 999,769 | ||||||||||
| Amstel Funding Corp. | ||||||||||||||||
| 1,000,000 | 0.380 | 01/07/11 | 999,937 | |||||||||||||
| Amsterdam Funding Corp. | ||||||||||||||||
| 2,000,000 | 0.260 | 01/13/11 | 1,999,827 | |||||||||||||
| Argento Variable Funding Co. LLC | ||||||||||||||||
| 1,000,000 | 0.370 | 01/20/11 | 999,805 | |||||||||||||
| Barclays Bank PLC | ||||||||||||||||
| 2,000,000 | 0.300 | 02/22/11 | 1,999,133 | |||||||||||||
| Chariot Funding LLC | ||||||||||||||||
| 2,000,000 | 0.300 | 03/21/11 | 1,998,683 | |||||||||||||
| Clipper Receivables Co. LLC | ||||||||||||||||
| 2,000,000 | 0.600 | 01/20/11 | 1,999,367 | |||||||||||||
| Gemini Securitization Corp. | ||||||||||||||||
| 2,000,000 | 0.245 | 01/13/11 | 1,999,837 | |||||||||||||
| Govco LLC | ||||||||||||||||
| 2,000,000 | 0.290 | 02/22/11 | 1,999,162 | |||||||||||||
| Hannover Funding Co. LLC | ||||||||||||||||
| 1,000,000 | 0.700 | 04/21/11 | 997,861 | |||||||||||||
| Jupiter Securitization Co. LLC | ||||||||||||||||
| 2,000,000 | 0.300 | 03/21/11 | 1,998,683 | |||||||||||||
| LMA Americas LLC | ||||||||||||||||
| 2,000,000 | 0.270 | 01/12/11 | 1,999,835 | |||||||||||||
| NRW. Bank | ||||||||||||||||
| 2,000,000 | 0.350 | 05/09/11 | 1,997,511 | |||||||||||||
| Regency Assets Ltd. | ||||||||||||||||
| 2,537,000 | 0.280 | 01/20/11 | 2,536,625 | |||||||||||||
| Royal Park Investments SA | ||||||||||||||||
| 2,000,000 | 0.310 | 01/10/11 | 1,999,845 | |||||||||||||
| Tasman Funding, Inc. | ||||||||||||||||
| 2,000,000 | 0.320 | 01/24/11 | 1,999,591 | |||||||||||||
| Thames Asset Global Securitization, Inc. | ||||||||||||||||
| 2,000,000 | 0.280 | 01/18/11 | 1,999,736 | |||||||||||||
| Windmill Funding Corp. | ||||||||||||||||
| 2,000,000 | 0.400 | 04/26/11 | 1,997,444 | |||||||||||||
TOTAL COMMERCIAL PAPER AND CORPORATE OBLIGATIONS | $ | 32,522,651 | ||||||||||||||
Municipal Debt Obligation – 0.5% | ||||||||||||||||
| Texas State TRANS Series 2010 | ||||||||||||||||
| $ | 650,000 | 2.000 | % | 08/31/11 | $ | 656,994 | ||||||||||
U.S. Government Agency Obligations – 20.8% | ||||||||||||||||
| Federal Farm Credit Bank(a) | ||||||||||||||||
| $ | 1,000,000 | 0.223 | % | 01/27/12 | $ | 999,593 | ||||||||||
| 200,000 | 0.330 | 11/01/12 | 200,000 | |||||||||||||
| Federal Home Loan Bank | ||||||||||||||||
| 1,000,000 | 0.166 | (a) | 05/13/11 | 999,816 | ||||||||||||
| 900,000 | 0.211 | (a) | 05/25/11 | 899,893 | ||||||||||||
| 500,000 | 0.162 | (a) | 07/11/11 | 499,839 | ||||||||||||
| 1,000,000 | 0.310 | 10/05/11 | 999,970 | |||||||||||||
| 700,000 | 0.300 | 10/21/11 | 700,000 | |||||||||||||
| 500,000 | 0.320 | 12/06/11 | 499,840 | |||||||||||||
| 1,000,000 | 0.320 | 12/09/11 | 999,677 | |||||||||||||
| 400,000 | 0.350 | 12/13/11 | 399,868 | |||||||||||||
| 100,000 | 0.350 | 12/19/11 | 99,947 | |||||||||||||
| 1,000,000 | 0.223 | (a) | 01/26/12 | 999,675 | ||||||||||||
| 1,000,000 | 0.157 | (a) | 01/30/12 | 999,610 | ||||||||||||
| 1,000,000 | 0.156 | (a) | 02/03/12 | 999,659 | ||||||||||||
| Federal Home Loan Mortgage Corp. | ||||||||||||||||
| 5,740,000 | 0.340 | (a) | 04/07/11 | 5,740,262 | ||||||||||||
| 300,000 | 0.216 | (a) | 08/05/11 | 299,965 | ||||||||||||
| 4,000,000 | 0.290 | 09/13/11 | 3,991,783 | |||||||||||||
| 1,400,000 | 0.182 | (a) | 01/11/12 | 1,399,282 | ||||||||||||
| Federal National Mortgage Association | ||||||||||||||||
| 3,000,000 | 0.430 | 07/07/11 | 2,993,299 | |||||||||||||
| 1,000,000 | 0.291 | (a) | 12/28/12 | 999,599 | ||||||||||||
| TOTAL U.S. GOVERNMENT AGENCY OBLIGATIONS | $ | 25,721,577 | ||||||||||||||
U.S. Treasury Obligation – 0.1% | ||||||||||||||||
| United States Treasury Notes | ||||||||||||||||
| $ | 100,000 | 0.750 | % | 11/30/11 | $ | 100,404 | ||||||||||
Variable Rate Municipal Debt Obligations(a) – 2.0% | ||||||||||||||||
| Colorado Educational & Cultural Facilities Authority VRDN RB Taxable-Nature Conservancy Series 2008 A (Bank of America N.A. SPA) | ||||||||||||||||
| $ | 1,000,000 | 0.450 | % | 07/01/33 | $ | 1,000,000 | ||||||||||
| New York City GO VRDN Taxable Fiscal Series 2008 Subseries J-13 (Lloyds TSB Bank PLC SPA) | ||||||||||||||||
| 1,500,000 | 0.410 | 08/01/19 | 1,500,000 | |||||||||||||
| TOTAL VARIABLE RATE MUNICIPAL DEBT OBLIGATIONS | $ | 2,500,000 | ||||||||||||||
Variable Rate Obligations(a) – 10.9% | ||||||||||||||||
| Australia & New Zealand Banking Group Ltd. | ||||||||||||||||
| $ | 1,000,000 | 0.291 | % | 01/25/11 | $ | 1,000,000 | ||||||||||
| JPMorgan Chase & Co. | ||||||||||||||||
| 3,000,000 | 0.261 | 01/20/12 | 3,000,000 | |||||||||||||
| Lloyds TSB Bank PLC | ||||||||||||||||
| 2,000,000 | 0.286 | 11/07/11 | 2,000,000 | |||||||||||||
| National Australia Bank Ltd. | ||||||||||||||||
| 1,400,000 | 0.296 | 04/06/11 | 1,400,038 | |||||||||||||
| Rabobank Nederland | ||||||||||||||||
| 2,000,000 | 1.790 | 04/07/11 | 2,000,000 | |||||||||||||
| 1,000,000 | 0.354 | 12/16/11 | 1,000,000 | |||||||||||||
| Westpac Securities New Zealand Ltd. | ||||||||||||||||
| 2,000,000 | 0.341 | 01/21/11 | 2,000,000 | |||||||||||||
| 1,000,000 | 0.366 | 11/04/11 | 1,000,000 | |||||||||||||
| TOTAL VARIABLE RATE OBLIGATIONS | $ | 13,400,038 | ||||||||||||||
GOLDMAN SACHS VARIABLE INSURANCE TRUST MONEY MARKET FUND
| Principal | Interest | Maturity | Amortized | |||||||||||||
| Amount | Rate | Date | Cost | |||||||||||||
Yankee Certificates of Deposit – 7.0% | ||||||||||||||||
| Banco Santander SA | ||||||||||||||||
| $ | 600,000 | 0.370 | % | 02/10/11 | $ | 600,000 | ||||||||||
| Cooperatieve Centrale Raiffeisen – Boerenleenbank BA | ||||||||||||||||
| 1,000,000 | 0.400 | 10/18/11 | 1,000,000 | |||||||||||||
| Mitsubishi UFJ Financial Group, Inc. | ||||||||||||||||
| 2,000,000 | 0.300 | 01/24/11 | 2,000,000 | |||||||||||||
| Royal Bank of Scotland Group PLC | ||||||||||||||||
| 3,500,000 | 0.480 | 04/11/11 | 3,500,000 | |||||||||||||
| Societe Generale | ||||||||||||||||
| 1,500,000 | 0.410 | 04/08/11 | 1,500,040 | |||||||||||||
| TOTAL YANKEE CERTIFICATES OF DEPOSIT | $ | 8,600,040 | ||||||||||||||
| TOTAL INVESTMENTS BEFORE REPURCHASE AGREEMENTS | $ | 83,501,704 | ||||||||||||||
Repurchase Agreements(b) – 32.2% | ||||||||||||||||
| BNP Paribas Securities Co. | ||||||||||||||||
| $ | 4,000,000 | 0.270 | % | 01/03/11 | $ | 4,000,000 | ||||||||||
| Maturity Value: $4,000,090 | ||||||||||||||||
| Collateralized by a corporate security issuer, 8.000%, due 11/15/11. The market value of the collateral, including accrued interest, was $4,200,001. | ||||||||||||||||
| Deutsche Bank Securities, Inc. | ||||||||||||||||
| 4,000,000 | 0.500 | 01/03/11 | 4,000,000 | |||||||||||||
| Maturity Value: $4,000,167 | ||||||||||||||||
| Collateralized by various corporate security issuers, 0.000% to 5.000%, due 04/15/12 to 10/15/25 and various preferred security issuers, 4.750% to 8.500%, due 01/03/11 to 12/01/27. The aggregate market value of the collateral, including accrued interest, was $4,400,364. | ||||||||||||||||
| Joint Repurchase Agreement Account II | ||||||||||||||||
| 31,800,000 | 0.247 | 01/03/11 | 31,800,000 | |||||||||||||
| Maturity Value: $31,800,655 | ||||||||||||||||
TOTAL REPURCHASE AGREEMENTS | $ | 39,800,000 | ||||||||||||||
TOTAL INVESTMENTS – 99.9% | $ | 123,301,704 | ||||||||||||||
| OTHER ASSETS IN EXCESS OF LIABILITIES – 0.1% | 63,710 | |||||||||||||||
NET ASSETS – 100.0% | $ | 123,365,414 | ||||||||||||||
The percentage shown for each investment category reflects the value of investments in that category as a percentage of net assets.
| (a) | Variable or floating rate security. Interest rate disclosed is that which is in effect at December 31, 2010. | |
| (b) | Unless noted, all repurchase agreements were entered into on December 31, 2010. Additional information on Joint Repurchase Agreement Account II appears on pages 8-9. |
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 date, which is based upon current interest rate indices.
Maturity dates represent either the final maturity date on the security, the demand date for puttable securities or the prerefunded date for those types of securities.
| Investment Abbreviations: | ||||||
| GO | — | General Obligation | ||||
| RB | — | Revenue Bond | ||||
| SPA | — | Stand-by Purchase Agreement | ||||
| TRANS | — | Tax Revenue Anticipation Notes | ||||
| VRDN | — | Variable Rate Demand Notes | ||||
GOLDMAN SACHS VARIABLE INSURANCE TRUST MONEY MARKET FUND
Schedule of Investments (continued)
December 31, 2010
ADDITIONAL INVESTMENT INFORMATION
JOINT REPURCHASE AGREEMENT ACCOUNT II — At December 31, 2010, the Fund had an undivided interest in the Joint Repurchase Agreement Account II which equaled $31,800,000 in principal amount.
REPURCHASE AGREEMENTS
| Principal | Interest | Maturity | Maturity | |||||||||||||
| Counterparty | Amount | Rate | Date | Value | ||||||||||||
| Barclays Capital, Inc. | $ | 1,500,000,000 | 0.25 | % | 01/03/11 | $ | 1,500,031,250 | |||||||||
| BNP Paribas Securities Co. | 2,000,000,000 | 0.15 | 01/03/11 | 2,000,025,000 | ||||||||||||
| BNP Paribas Securities Co. | 800,000,000 | 0.18 | 01/03/11 | 800,012,000 | ||||||||||||
| Citibank N.A. | 250,000,000 | 0.31 | 01/03/11 | 250,006,458 | ||||||||||||
| Citigroup Global Markets, Inc. | 1,250,000,000 | 0.31 | 01/03/11 | 1,250,032,291 | ||||||||||||
| Credit Suisse Securities (USA) LLC | 500,000,000 | 0.15 | 01/03/11 | 500,006,250 | ||||||||||||
| Credit Suisse Securities (USA) LLC | 525,000,000 | 0.20 | 01/03/11 | 525,008,750 | ||||||||||||
| Deutsche Bank Securities, Inc. | 1,090,000,000 | 0.28 | 01/03/11 | 1,090,025,433 | ||||||||||||
| JPMorgan Securities | 750,000,000 | 0.20 | 01/03/11 | 750,012,500 | ||||||||||||
| JPMorgan Securities | 490,000,000 | 0.30 | 01/03/11 | 490,012,250 | ||||||||||||
| Merrill Lynch & Co., Inc. | 1,700,000,000 | 0.25 | 01/03/11 | 1,700,035,417 | ||||||||||||
| RBS Securities, Inc. | 750,000,000 | 0.20 | 01/03/11 | 750,012,500 | ||||||||||||
| RBS Securities, Inc. | 1,250,000,000 | 0.40 | 01/03/11 | 1,250,041,667 | ||||||||||||
| UBS Securities LLC | 305,000,000 | 0.30 | 01/03/11 | 305,007,625 | ||||||||||||
| Wells Fargo Securities LLC | 4,250,000,000 | 0.25 | 01/03/11 | 4,250,088,542 | ||||||||||||
| TOTAL | $ | 17,410,357,933 | ||||||||||||||
GOLDMAN SACHS VARIABLE INSURANCE TRUST MONEY MARKET FUND
ADDITIONAL INVESTMENT INFORMATION (continued)
At December 31, 2010, the Joint Repurchase Agreement Account II was fully collateralized by:
| Issuer | Interest Rates | Maturity Dates | ||||||
| Federal Farm Credit Bank | 4.50 to 7.35 | % | 10/17/12 to 10/29/37 | |||||
| Federal Farm Credit Bank Principal-Only Stripped Security | 0.00 | 12/16/15 | ||||||
| Federal Home Loan Bank | 1.375 to 8.290 | 06/08/12 to 03/14/36 | ||||||
| Federal Home Loan Mortgage Corp. | 0.00 to 8.00 | 01/07/11 to 05/01/48 | ||||||
| Federal Home Loan Mortgage Corp. Interest-Only Stripped Securities | 0.00 | 01/15/12 to 01/15/28 | ||||||
| Federal National Mortgage Association | 0.00 to 10.35 | 02/01/11 to 12/01/50 | ||||||
| Federal National Mortgage Association Interest-Only Stripped Securities | 0.00 | 11/15/12 to 01/15/30 | ||||||
| Federal National Mortgage Association Principal-Only Stripped Security | 0.00 | 03/23/28 | ||||||
| Government National Mortgage Association | 4.00 to 6.00 | 11/15/24 to 11/15/40 | ||||||
| U.S. Treasury Interest-Only Stripped Securities | 0.00 | 01/31/11 to 08/15/14 | ||||||
| U.S. Treasury Notes | 0.625 to 11.250 | 04/30/11 to 08/15/20 | ||||||
The aggregate market value of the collateral, including accrued interest, was $17,773,671,159.
GOLDMAN SACHS VARIABLE INSURANCE TRUST MONEY MARKET FUND
Statement of Assets and Liabilities
December 31, 2010
| Assets: | ||||||
| Investments in securities, at value based on amortized cost | $ | 83,501,704 | ||||
| Repurchase agreements, at value based on amortized cost | 39,800,000 | |||||
| Cash | 72,536 | |||||
| Receivables: | ||||||
Fund shares sold | 179,774 | |||||
Reimbursement from investment adviser | 37,483 | |||||
Interest | 30,868 | |||||
| Total assets | 123,622,365 | |||||
| Liabilities: | ||||||
| Payables: | ||||||
Fund shares redeemed | 157,503 | |||||
Amounts owed to affiliates | 32,837 | |||||
| Accrued expenses | 66,611 | |||||
| Total liabilities | 256,951 | |||||
| Net Assets: | ||||||
| Paid-in capital | 123,365,414 | |||||
| NET ASSETS | $ | 123,365,414 | ||||
| Total Service Shares of beneficial interest outstanding, $0.001 par value (unlimited shares authorized) | 123,365,008 | |||||
| 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, 2010
| Investment income: | ||||||
| Interest | $ | 443,871 | ||||
| Expenses: | ||||||
| Management fees | 341,205 | |||||
| Distribution and Service fees | 336,566 | |||||
| Professional fees | 82,171 | |||||
| Custody and accounting fees | 49,798 | |||||
| Printing and mailing costs | 48,700 | |||||
| Transfer Agent fees | 26,925 | |||||
| Trustee fees | 15,084 | |||||
| Other | 11,583 | |||||
| Total expenses | 912,032 | |||||
| Less — expense reductions | (469,474 | ) | ||||
| Net expenses | 442,558 | |||||
| NET INVESTMENT INCOME | 1,313 | |||||
| NET REALIZED GAIN FROM INVESTMENT TRANSACTIONS | 2,913 | |||||
| NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS | $ | 4,226 | ||||
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, 2010 | December 31, 2009 | |||||||||
| From operations: | ||||||||||
| Net investment income | $ | 1,313 | $ | 256,440 | ||||||
| Net realized gain from investment transactions | 2,913 | 31,994 | ||||||||
| Net increase in net assets resulting from operations | 4,226 | 288,434 | ||||||||
| Distributions to shareholders: | ||||||||||
| From net investment income | (1,313 | ) | (281,099 | ) | ||||||
| From net realized gains | (8,391 | ) | — | |||||||
| From capital | (1,451 | ) | — | |||||||
| Total distributions to shareholders | (11,155 | ) | (281,099 | ) | ||||||
| From share transactions (at net asset value of $1.00 per share): | ||||||||||
| Proceeds from sales of shares | 49,250,147 | 36,215,518 | ||||||||
| Reinvestment of distributions | 11,155 | 281,099 | ||||||||
| Cost of shares redeemed | (69,236,185 | ) | (88,027,845 | ) | ||||||
| Net decrease in net assets resulting from share transactions | (19,974,883 | ) | (51,531,228 | ) | ||||||
| TOTAL DECREASE | (19,981,812 | ) | (51,523,893 | ) | ||||||
| Net assets: | ||||||||||
| Beginning of year | 143,347,226 | 194,871,119 | ||||||||
| End of year | $ | 123,365,414 | $ | 143,347,226 | ||||||
| Accumulated undistributed net investment income | $ | — | $ | 5,478 | ||||||
GOLDMAN SACHS VARIABLE INSURANCE TRUST MONEY MARKET FUND
Financial Highlights
Selected Data for a Share Outstanding Throughout Each Year
| Ratio of | ||||||||||||||||||||||||||||||||||||
| Net asset | Net assets, | Ratio of | Ratio of | net investment | ||||||||||||||||||||||||||||||||
| value, | Net | Distributions | Net asset | end of | net expenses | total expenses | income | |||||||||||||||||||||||||||||
| beginning | investment | from net | value, end | Total | year | to average | to average | to average | ||||||||||||||||||||||||||||
| of year | income(a) | investment income(b) | of year | return(c) | (in 000s) | net assets | net assets | net assets | ||||||||||||||||||||||||||||
| FOR THE FISCAL YEARS ENDED DECEMBER 31, | ||||||||||||||||||||||||||||||||||||
| 2010 | $ | 1.00 | $ | — | (d) | $ | — | (d) | $ | 1.00 | 0.01 | % | $ | 123,365 | 0.33 | % | 0.68 | % | — | %(e) | ||||||||||||||||
| 2009 | 1.00 | 0.002 | (f) | (0.002 | )(f) | 1.00 | 0.15 | 143,347 | 0.53 | 0.77 | 0.15 | |||||||||||||||||||||||||
| 2008 | 1.00 | 0.02 | (0.02 | ) | 1.00 | 2.25 | 194,871 | 0.63 | 0.71 | 2.27 | ||||||||||||||||||||||||||
| 2007 | 1.00 | 0.05 | (0.05 | ) | 1.00 | 4.98 | 205,518 | 0.48 | 0.71 | 4.87 | ||||||||||||||||||||||||||
2006(g) | 1.00 | 0.05 | (0.05 | ) | 1.00 | 4.65 | 199,439 | 0.49 | 0.71 | 4.59 | ||||||||||||||||||||||||||
| (a) | Calculated based on the average shares outstanding methodology. | |
| (b) | Distributions may not coincide with the current year net investment income or net realized gains as distributions may be paid from current or prior year earnings. | |
| (c) | Assumes reinvestment of all distributions. The Goldman Sachs Money Market Fund first began operations as the Allmerica Money Market Fund (the “Predecessor AIT Fund”) of the Allmerica Investment Trust. On January 9, 2006, the Predecessor AIT Fund was reorganized as a new portfolio of the Goldman Sachs Variable Insurance Trust. Performance prior to January 9, 2006, is that of the Predecessor AIT Fund. The Predecessor AIT Fund was considered the accounting survivor of the reorganization and as such, the historical total return information of the Predecessor AIT Fund is provided. | |
| (d) | Amount is less than $0.0001 per share. | |
| (e) | Amount is less than 0.001% of average net assets. | |
| (f) | Net investment income and distributions from net investment income contain $0.0002 of net realized capital gains and distributions from net realized gains. | |
| (g) | The Predecessor AIT Fund was the accounting survivor of the reorganization and as such, the prior years’ financial highlights reflect the financial information of the Predecessor AIT Fund through January 8, 2006. In connection with such reorganization, the Goldman Sachs Money Market Fund issued Service Shares to the former shareholders of the Predecessor AIT Fund. |
The accompanying notes are an integral part of these financial statements.
13
GOLDMAN SACHS VARIABLE INSURANCE TRUST MONEY MARKET FUND
Notes to Financial Statements
December 31, 2010
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 Asset Management, L.P. (“GSAM”), an affiliate of Goldman, Sachs & Co. (“Goldman Sachs”), serves as investment adviser to the Fund pursuant to a management agreement (the “Agreement”) with the Trust.
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. 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, as an adjustment to interest income. 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.
B. 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.
C. Expenses — Expenses incurred by the Trust that do not specifically relate to an individual Fund of the Trust are allocated to the Fund on a straight-line and/or pro-rata basis depending upon the nature of the expense and are accrued daily.
D. Federal Taxes and Distributions to Shareholders — It is the Fund’s policy to comply with the requirements of the Internal Revenue Code of 1986, as amended (the “Code”), applicable to regulated investment companies (mutual funds) and to distribute each year substantially all of its investment company taxable income and capital gains to its shareholders. Accordingly, the Fund is not required to make any provisions for the payment of federal income tax. Distributions to shareholders are declared and recorded daily and paid monthly by the Fund. Long-term capital gain 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 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.
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, 2010 and December 31, 2009, were as follows:
| 2010 | 2009 | |||||||
| Distributions paid from: | ||||||||
| Ordinary income | $ | 9,704 | $ | 279,019 | ||||
| Net long-term capital gains | — | 2,080 | ||||||
| Total taxable distributions | $ | 9,704 | $ | 281,099 | ||||
| Tax return of capital | $ | 1,451 | — | |||||
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 $5,478 to accumulated net realized gain on investments from 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.
E. Repurchase Agreements — The Fund may enter into repurchase agreements which 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. 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 significant inputs are observable (including, but not limited to, quoted prices for similar securities, interest rates, foreign exchange rates, volatility and credit spreads), either directly or indirectly;
GOLDMAN SACHS VARIABLE INSURANCE TRUST MONEY MARKET FUND
Notes to Financial Statements (continued)
December 31, 2010
| 3. FAIR VALUE OF INVESTMENTS (continued) |
Level 3 — Prices or valuations that require significant unobservable inputs (including GSAM’s assumptions in determining fair value measurement).
The following is a summary of the Funds’ investments categorized in the fair value hierarchy as of December 31, 2010. While assets are reported at amortized cost, the Levels below are based on valuation characteristics of the investments’ market value.
| Level 1 | Level 2 | Level 3 | ||||||||||
Assets | ||||||||||||
| Corporate Obligations (including repurchase agreements) | $ | — | $ | 94,322,729 | $ | — | ||||||
| Municipal Debt Obligations | — | 3,156,994 | — | |||||||||
| U.S. Treasuries and/or Other U.S. Government Obligations and Agencies | 100,404 | 25,721,577 | — | |||||||||
Total | $ | 100,404 | $ | 123,201,300 | $ | — | ||||||
4. 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 paid 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, which serves as distributor, is entitled to a fee, computed daily and paid monthly for distribution services, which may then be paid by Goldman Sachs to authorized dealers. This fee is equal to an annual percentage rate of the Fund’s average daily net assets.
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 computed daily and paid monthly and is equal to an annual percentage rate of the Fund’s average daily net assets.
D. Other Expense Agreements — GSAM has agreed to limit certain “Other Expense” 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 Other 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. These Other Expense reimbursements will remain in place through at least April 30, 2011, and prior to such date GSAM may not terminate the arrangement without the approval of the trustees. For the fiscal year ended December 31, 2010, GSAM reimbursed approximately $202,000 to the Fund.
E. Total Fund Expenses — GSAM voluntarily agreed to waive a portion of its management fee attributable to the Fund. Additionally, Goldman Sachs, as distributor and transfer agent, agreed to waive a portion of distribution and service plan fees and transfer agency fees attributable to the Fund. These waivers may be modified or terminated at any time at the option of GSAM or Goldman Sachs (as applicable). The following table outlines such fees (net of waivers) and Other Expenses (net of reimbursements and custodian and transfer agent fee credit reductions) in order to determine the Fund’s net
GOLDMAN SACHS VARIABLE INSURANCE TRUST MONEY MARKET FUND
| 4. AGREEMENTS AND AFFILIATED TRANSACTIONS (continued) |
annualized expenses for the fiscal year. The Fund is not obligated to reimburse GSAM or Goldman Sachs for prior fiscal year fee waivers, if any.
| Ratio of net expenses to | ||||
| average net assets | ||||
| Fee/Expense Type | for the fiscal year ended | |||
| (contractual rate, if any) | December 31, 2010 | |||
Management Fee (0.205%)# | 0.22 | % | ||
| Distribution and Service Fees (0.25%) | 0.10 | |||
| Transfer Agency Fee (0.02%) | 0.01 | |||
| Other Expenses | — | (a) | ||
| Net Expenses | 0.33 | % | ||
| # | Prior to April 30, 2010, the contractual rate was 0.35%. | |
| (a) | Amount is less than 0.005% of average net assets. |
For the fiscal year ended December 31, 2010, GSAM and Goldman Sachs waived approximately $50,000, $198,000, and $20,000 in management, distribution and service, and transfer agent fees, respectively.
For the fiscal year ended December 31, 2010, the amounts owed to affiliates of the Fund were approximately $22,000, $9,000, and $2,000 for management, distribution and service fees, and transfer agent fees, respectively.
F. Line of Credit Facility — As of December 31, 2010, the Fund participated in a $580,000,000 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 could increase the credit amount by an additional $340,000,000, for a total of up to $920,000,000. This facility is to be used solely for temporary or emergency purposes. The interest rate on borrowings is based on the federal funds rate. The 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, 2010, the Fund did not have any borrowings under the facility. Prior to May 11, 2010, the amount available through the facility was $660,000,000.
5. OTHER RISKS
Fund Shareholder Concentration Risk — 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 entities 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.
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.
GOLDMAN SACHS VARIABLE INSURANCE TRUST MONEY MARKET FUND
Notes to Financial Statements (continued)
December 31, 2010
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.
7. SUBSEQUENT EVENTS
Subsequent events after the balance sheet date have been evaluated through the date the financial statements were issued. GSAM has concluded that there is no impact requiring adjustment or disclosure in the financial statements.
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, 2010, 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, 2010 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 14, 2011
GOLDMAN SACHS VARIABLE INSURANCE TRUST MONEY MARKET FUND
Fund Expenses — Six Month Period Ended December 31, 2010 (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, 2010 through December 31, 2010.
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, 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 | |||||||||||||||
| Beginning | Ending | the | |||||||||||||
| Account | Account | 6 Months | |||||||||||||
| Value | Value | Ended | |||||||||||||
| 07/01/10 | 12/31/10 | 12/31/10* | |||||||||||||
| Actual | $ | 1,000.00 | $ | 1,000.00 | $ | 1.92 | |||||||||
| Hypothetical 5% return | 1,000.00 | 1,023.29 | + | 1.94 | |||||||||||
| * | 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, 2010. Expenses are calculated by multiplying the annualized net expense ratio by the average account value for the period; then multiplying the result by the number of days in the most recent fiscal half year; and then dividing that result by the number of days in the fiscal year. The annualized net expense ratio for the period was 0.33%. | |
| + | Hypothetical expenses are based on the Fund’s actual annualized net expense ratio and an assumed rate of return of 5% per year before expenses. |
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 Age1,2 | with the Trust | Time Served3 | During Past 5 Years | Trustee4 | Held by Trustee5 | |||||
| Ashok N. Bakhru Age: 68 | Chairman of the Board of Trustees | Since 1996 (Trustee since 1991) | President, ABN 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-Linked Investors II (April 2002-2007); and Chairman, Lenders Service Inc. (provider of mortgage lending services ) (2000-2003). Chairman of the Board of Trustees—Goldman Sachs Mutual Fund Complex. | 90 | Apollo Investment Corporation (a business development company) | |||||
| Donald C. Burke Age: 50 | Trustee | Since 2010 | Director, BlackRock Luxembourg and Cayman Funds (2006-2010); President and Chief Executive Officer, BlackRock U.S. Funds (2007-2009); Managing Director, BlackRock, Inc. (2006-2009); Managing Director, Merrill Lynch Investment Managers, L.P. (“MLIM”) (2006); First Vice President, MLIM (1997-2005); Chief Financial Officer and Treasurer, MLIM U.S. Funds (1999-2006). Trustee—Goldman Sachs Mutual Fund Complex. | 90 | None | |||||
| John P. Coblentz, Jr. Age: 69 | 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. | 90 | None | |||||
| Diana M. Daniels Age: 61 | 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 Vice Chair of the Board of Trustees of Cornell University (2009-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. | 90 | 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 Age1,2 | with the Trust | Time Served3 | During Past 5 Years | Trustee4 | Held by Trustee5 | |||||
| Joseph P. LoRusso Age: 53 | Trustee | Since 2010 | President, Fidelity Investments Institutional Services Co. (“FIIS”) (2002-2008); Director, FIIS (2002-2008); Director, Fidelity Investments Institutional Operations Company (2003-2007); Executive Officer, Fidelity Distributors Corporation (2007-2008). Trustee—Goldman Sachs Mutual Fund Complex. | 90 | None | |||||
| Jessica Palmer Age: 61 | Trustee | Since 2007 | Ms. Palmer is retired. Formerly, she was Consultant, Citigroup Human Resources Department (2007-2008); Managing Director, Citigroup Corporate and Investment Banking (previously, Salomon Smith Barney/Salomon Brothers) (1984-2006). Ms. Palmer was a Member of the Board of Trustees of Indian Mountain School (private elementary and secondary school) (2004-2009). Trustee—Goldman Sachs Mutual Fund Complex. | 90 | None | |||||
| Richard P. Strubel Age: 71 | 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. | 90 | 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 MONEY MARKET 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 Age1,2 | with the Trust | Time Served3 | During Past 5 Years | Trustee4 | Held by Trustee5 | |||||
| James A. McNamara* Age: 48 | 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). | 90 | None | |||||
| Alan A. Shuch* Age: 61 | 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. | 90 | 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, 200 West Street, New York, New York, 10282, Attn: Peter V. Bonanno. Information is provided as of December 31, 2010. | |
| 2 | From 2000 until September 30, 2010, Patrick T. Harker also served as Trustee of the Trust and of the Goldman Sachs Mutual Fund Complex. Mr. Harker resigned from these positions on September 30, 2010. | |
| 3 | 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 74 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. | |
| 4 | The Goldman Sachs Mutual Fund Complex consists of the Trust, Goldman Sachs Trust, Goldman Sachs Municipal Opportunity Fund and Goldman Sachs Credit Strategies Fund. As of December 31, 2010, the Trust consisted of 11 portfolios, Goldman Sachs Trust consisted of 77 portfolios, and the Goldman Sachs Municipal Opportunity Fund did not offer shares to the public. | |
| 5 | 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
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 200 West Street New York, NY 10282 Age: 48 | 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 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 200 West Street New York, NY 10282 Age: 43 | 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 200 West Street New York, NY 10282 Age: 39 | 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. Information is provided as of December 31, 2010. | |
| * | 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. |
| TRUSTEES | OFFICERS | |
| Ashok N. Bakhru, Chairman Donald C. Burke* John P. Coblentz, Jr. Diana M. Daniels Joseph P. LoRusso* James A. McNamara Jessica Palmer Alan A. Shuch Richard P. Strubel *Effective August 19, 2010 | 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 200 West Street, New York, NY 10282 | ||
| Visit our website at www.goldmansachsfunds.com/vit to obtain the most recent month-end returns. | ||
| The reports concerning the Fund included in this shareholder report may contain certain forward-looking statements about the factors that may affect the performance of the Fund in the future. These statements are based on Fund management’s predictions and expectations concerning certain future events and their expected impact on the Fund, such as performance of the economy as a whole and of specific industry sectors, changes in the levels of interest rates, the impact of developing world events, and other factors that may influence the future performance of the Fund. Management believes these forward-looking statements to be reasonable, although they are inherently uncertain and difficult to predict. Actual events may cause adjustments in portfolio management strategies from those currently expected to be employed. | ||
| Economic and market forecasts presented herein reflect our judgment as of the date of this presentation and are subject to change without notice. These forecasts do not take into account the specific investment objectives, restrictions, tax and financial situation or other needs of any specific client. Actual data will vary and may not be reflected here. These forecasts are subject to high levels of uncertainty that may affect actual performance. Accordingly, these forecasts should be viewed as merely representative of a broad range of possible outcomes. These forecasts are estimated, based on assumptions, and are subject to significant revision and may change materially as economic and market conditions change. Goldman Sachs has no obligation to provide updates or changes to these forecasts. Case studies and examples are for illustrative purposes only. | ||
| 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 or summary prospectus, if applicable. Investors should consider a Fund’s objective, risks, and charges and expenses, and read the summary prospectus, if available, and/or the Prospectus carefully before investing or sending money. The summary prospectus, if available, and the Prospectus contain this and other information about a Fund and may be obtained from your authorized dealer or from Goldman, Sachs & Co. by calling 1-800-621-2550. | ||
| 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© 2011 Goldman Sachs All rights reserved. | ||
| VITMMAR11/47816.MF.MED.TMPL/2/2011 | ||
Goldman
Sachs Variable Insurance Trust
Goldman Sachs Equity Index Fund
Goldman Sachs Government Income Fund
Goldman Sachs Growth Opportunities Fund
Annual Report
December 31, 2010
|
GOLDMAN SACHS VARIABLE INSURANCE TRUST FUNDS
Principal Investment Strategies and Risks
Shares of the Goldman Sachs Variable Insurance Trust Funds are offered to separate accounts of participating life insurance companies for the purpose of funding variable annuity contracts and variable life insurance policies. Shares of the Funds are not offered directly to the general public. The variable annuity contracts and variable life insurance policies are described in the separate prospectuses issued by participating insurance companies. You should refer to those prospectuses for information about surrender charges, mortality and expense risk fees and other charges that may be assessed by participating insurance companies under the variable annuity contracts or variable life insurance policies. Such fees or charges, if any, may affect the return you realize with respect to your investments. Ask your representative for more complete information. Please consider a Fund’s objective, risks and charges and expenses, and read the Prospectus carefully before investing. The Prospectus contains this and other information about a Fund.
1
GOLDMAN SACHS VARIABLE INSURANCE TRUST FUNDS
favorable, in the price of the derivative instrument; risks of default by a counterparty, and the risks that transactions may not be liquid.
2
MARKET REVIEW
Market Review
Despite heightened uncertainty, the U.S. financial markets posted substantial gains during the 12 months ended December 31, 2010 (the “Reporting Period”).
EQUITY MARKETS
U.S. equities, as represented by the S&P® 500 Index, began 2010 with their strongest annual start in over a decade, despite a lack of conviction from underlying economic data. Housing and labor data remained mixed, but investors opted to view this, in combination with statements from the Federal Reserve Board (the Fed), as supportive of ongoing accommodative monetary policy. Further, increasing levels of corporate cash, high productivity and significant cost cutting fueled expectations of forthcoming business spending and corporate profits.
Investor sentiment turned sharply in late April, and the U.S. equity market broke a four-quarter winning streak with a sharp drop in the second quarter that erased modest gains from the previous quarter and sent most major equity indices into negative territory for the first half of the Reporting Period. The equity markets reflected investor angst regarding the health of Europe’s financial system and the potential that the continent’s sovereign debt dilemma could spark another financial crisis. At the same time, investors became increasingly concerned about growing evidence that the global economy might be losing steam. Indeed, U.S. markets were doused with a number of disappointing economic readings at the end of June. Adding pressure were China’s attempts to cool its nation’s property market along with a decline in Chinese leading economic indicators that fueled fears of slowing global demand. As significant financial reform legislation neared its final stages, investors contemplated the potential impact on large banks that might be forced to spin off or limit ownership in highly profitable businesses.
In the third quarter, U.S. equities roared back on strong corporate earnings announcements as well as news that the U.S. had officially come out of its economic recession in June. Still, concerns remained about the pace of the recovery, evidenced by the Fed’s signaling a willingness to take further stimulative action, if necessary. U.S. equities capped 2010 on a note of optimism. Positive data points from December included robust retail sales figures and strong increases in purchasing and manufacturing surveys.
For the Reporting Period overall, economically-sensitive, cyclical stocks led returns, as investors focused on the strong growth and demand from outside the developed markets. In turn, the consumer discretionary sector, particularly auto stocks, and the industrials and materials sectors, performed best. More traditionally defensive sectors, such as utilities and health care, lagged. Notably, the U.S. equity market outpaced the developed international equity markets, as investors gained confidence in the U.S. economic recovery. U.S. markets also reflected confidence in continued accommodative monetary and fiscal policy. Consistent with investor optimism and preference for cyclical exposure, small-cap and mid-cap stocks significantly outperformed large-cap stocks during the Reporting Period as a whole. Similarly, growth-oriented stocks outpaced value-oriented stocks across the capitalization spectrum. (Market segments are as measured by the Russell Indices.)
FIXED INCOME MARKETS
The U.S. fixed income market, as represented by the Barclays Capital U.S. Aggregate Bond Index (“Barclays Capital Index”), had a relatively strong year. It returned 6.54% during the Reporting Period, its highest total return since 2007 when it rose 6.97%.
U.S. Treasury securities, which account for about one-third of the Barclays Capital Index, generated gains, as interest rates fell during the first 10 months of the Reporting Period. The 10-year Treasury note yield fell from 3.8% at the end of 2009 to below 2.4% in October 2010 as the economic recovery appeared to falter and the Fed announced its
3
MARKET REVIEW
intention to resume bond purchases with a new round of quantitative easing. In the fourth calendar quarter, however, interest rates reversed their decline, and the 10-year Treasury yield ended the year at 3.3%. Bond prices fell as yields increased, and the Barclays Capital Index experienced a negative fourth-quarter return, offsetting some of the gains made during the first three quarters of 2010. The increase in rates during the fourth quarter was due primarily to improving economic data and better economic growth forecasts for 2011, given the Fed’s efforts to stimulate the economy, as well as extensions of tax cuts and other fiscal stimulus measures that were passed by Congress in early December.
Corporate bonds were among the strongest-performing sectors of the U.S. bond market during the Reporting Period, with both investment grade and high yield corporate bonds outperforming Treasuries. The outperformance of corporate bonds was driven by a significant improvement in corporate credit fundamentals and investor demand for higher yields. Corporate balance sheets rebounded in 2010 as the cost-cutting measures implemented during the recession allowed profits to recover quickly when the economy stabilized, leading to record levels of cash on corporate balance sheets. As a result, the default rate in high yield corporate bonds plunged from more than 10% in 2009 to less than 1% in 2010, according to JP Morgan data.
Agency mortgage-backed securities (MBS) also outperformed Treasuries during the Reporting Period. As part of its initial quantitative easing program, the Fed had purchased $1.25 trillion in agency MBS from January 5, 2009 through March 31, 2010, which helped to support the MBS market through the first calendar quarter. However, instead of buying MBS with its second quantitative easing program, announced formally in November, the Fed opted to buy Treasuries when it resumed its bond purchases late in the Reporting Period, thus limiting the sector’s outperformance.
Outside of the U.S., emerging market bonds performed strongly during the Reporting Period. Local emerging market bonds, which are denominated in the issuing government’s local currency, performed even more strongly. Both dollar-denominated and local currency emerging market bonds benefited from strong investor demand for higher yields, with local currency bonds receiving additional support from currency appreciation versus the U.S. dollar.
Looking Ahead
EQUITY MARKETS
We are encouraged that the global economy appears to have entered the next chapter of its recovery and we believe that a transfer is underway from government subsidized stimulus to more self-sustainable growth, led by healthy corporate spending and consumer participation. Recent federal tax policies seem likely to help boost consumer confidence. We are optimistic about corporate profits, which we expect to be driven predominantly by top-line growth rather than by margin expansion. We have seen and expect to continue to see more strategic mergers and acquisitions, private equity transactions and corporate buybacks, further supporting a favorable backdrop for equities. However, not all companies will be beneficiaries of these trends. As correlations are anticipated to decline from 2010 highs, we expect to see greater differentiation between stock performance, thus making effective stock picking increasingly critical.
FIXED INCOME MARKETS
In 2011, we expect macroeconomic trends to diverge, with policymakers across the largest economies pursuing distinctly different goals. In the U.S., weak job creation has led to more monetary and fiscal stimulus. In Europe, policymakers are addressing sovereign credit risk by tightening fiscal policy and resisting monetary expansion. In China and other growth economies, fears of inflation and speculative inflows have prompted monetary
4
MARKET REVIEW
tightening and in some cases stricter capital controls. Overall, we continue to believe the positives in the U.S. and emerging economies outweigh the challenges in Europe. We have upgraded our forecasts for 2011, and expect to see the U.S. leading the G3 economies (the U.S., Japan and the European Union) with an estimated 3.5% growth rate. However, we also think the divergent trends across the world’s largest economies may lead to increased macro volatility.
From an investment perspective, we believe the macroeconomic backdrop primarily favors growth-sensitive, riskier fixed income assets in the U.S. and emerging market bonds denominated in local currencies. While the U.S. appears poised for stronger growth, we think the Fed is unlikely to pivot in 2011 from quantitative easing to rate hikes. As a result, we expect short-term interest rates to remain anchored at low levels. At the same time, we believe there is a risk of higher longer-term interest rates in 2011 because of the improving macroeconomic backdrop, but Fed purchases through the quantitative easing program could help contain the increase. While the environment appears favorable for riskier fixed income assets, we are cautious about European bonds given the uncertainty about potential contagion from sovereign credit risk. In the major developed markets, we also believe low yields may provide unattractive compensation for the risk of higher rates and longer-term inflation. As capital continues to flow into growth economies, we think local currency emerging market bonds may offer attractive yields, strong fundamentals and upside potential from currency appreciation. We also see opportunity in inflation-linked emerging market bonds, given the growing risk of inflation.
5
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 performance of Goldman Sachs Variable Insurance Trust (“VIT”) — Goldman Sachs Core Fixed Income Fund (the “Fund”) and positioning for the 12-month period ended December 31, 2010 (the “Reporting Period”).
How did the Fund perform during the Reporting Period?
During the Reporting Period, the Fund’s Service Shares generated an average annual total return of 7.18%. This return compares to the 6.54% average annual total return of the Fund’s benchmark, the Barclays Capital U.S. Aggregate Bond Index (the “Barclays Index”), during the same time period.
What key factors were responsible for the Fund’s performance during the Reporting Period?
Both top-down and bottom-up strategies contributed to the Fund’s performance during the Reporting Period. Within our top-down strategies, our cross-sector strategy contributed the most to relative performance. Our cross-sector strategy is one in which we invest Fund assets across a variety of fixed income sectors, including some that may not be included in the Barclays Index. Bottom-up individual issue selection among collateralized securities as well as government and agency securities contributed positively to the Fund’s performance during the Reporting Period.
Detracting most from performance was the Fund’s duration and U.S. yield curve strategy relative to the Barclays Index. Duration is a measure of the Fund’s sensitivity to changes in interest rates. Yield curve indicates a spectrum of maturities.
Which fixed income market sectors most significantly affected Fund performance?
The Fund’s exposure to non-agency residential mortgage-backed securities (RMBS) contributed to relative results. Our tactical decision to underweight agency RMBS during the third calendar quarter was advantageous as the sector underperformed, driven by fears of a refinancing wave.
Within the corporate bond sector, issue selection boosted relative performance. Lower credit quality investment grade issues performed strongly during the Reporting Period, and the Fund benefited from its overweighted bias compared with the Barclays Index to these securities. Also, an overweight relative to the Barclays Index in the financial industry enhanced results as the industry generated additional yield relative to the investment grade corporate bond sector as a whole.
An underweighted position in commercial mortgage-backed securities (CMBS) was a drag on the Fund’s performance, as CMBS returned 20.81% during the Reporting Period, significantly outperforming Treasuries.
Did the Fund’s duration and yield curve positioning strategy help or hurt its results during the Reporting Period?
The Fund’s duration and yield curve positioning strategy detracted from relative performance during the Reporting Period. During the second calendar quarter, the Fund’s shorter duration position relative to the Barclays Index in the intermediate part of the U.S. yield curve hampered results. Interest rates fell amid a flight to quality and increasing fear that the European sovereign debt crisis might spread. Interest rates continued to fall during the third quarter as the Fed hinted about its plans to implement a second round of quantitative easing. Based on our belief that interest rates would remain low, we extended the Fund’s duration to a longer bias on the yield curve. However, this stance detracted as government bond yields then rose sharply on news of strengthening U.S. economic data.
How did the Fund use derivatives during the Reporting Period?
As market conditions warranted during the Reporting Period, the Fund engaged in forward foreign currency exchange contracts and financial futures contracts to enhance the portfolio return potential and for hedging purposes. In general, we used derivatives for the efficient management of the Fund and to apply active investment views with greater versatility and to afford greater risk management precision. For example, as market conditions shifted, such instruments helped us shorten and lengthen the duration of the Fund or to introduce a steepening or flattening yield curve bias within the Fund.
6
GOLDMAN SACHS VARIABLE INSURANCE TRUST CORE FIXED INCOME FUND
Were there any notable changes in the Fund’s weightings during the Reporting Period?
Based on our view of interest rates, we tactically shifted the Fund’s duration position from shorter than the Barclays Index during the first half of the Reporting Period to a longer than the Barclays Index position during the second half of the Reporting Period. We increased the Fund’s existing underweight to U.S. Treasuries. In addition, we increased the Fund’s exposure to agency MBS from an underweighted position to an overweighted one. We maintained an overweight to non-agency MBS. We shifted the Fund from an underweight in emerging markets debt to an overweight.
How was the Fund positioned relative to the Barclays Index at the end of the Reporting Period?
At the end of the Reporting Period, the Fund was underweight government securities relative to the Barclays Index. It was overweight agency securities and residential MBS, particularly mortgage pass-throughs. Pass-through mortgages consist of a pool of residential mortgage loans, where homeowners’ monthly payments of principal, interest and prepayments pass from the original bank through a government agency or investment bank to investors. The Fund was modestly overweight CMBS, investment grade corporate credit and emerging markets debt relative to the Barclays Index at the end of the Reporting Period.
7
FUND BASICS
Core Fixed Income Fund
as of December 31, 2010
STANDARDIZED AVERAGE ANNUAL TOTAL RETURNS1
| For the period ended 12/31/10 | One Year | Since Inception | Inception Date | |||||||||
| Service | 7.18 | % | 4.56 | % | 1/09/06 | |||||||
1 The Standardized Average Annual Total Returns are average annual total returns as of the most recent calendar quarter-end. They assume reinvestment of all distributions at net asset value (“NAV”). Because VIT Funds do not involve a sales charge, such a charge is not applied to their Standardized Total Returns.
Total return figures in the above chart represent past performance and do not indicate future results, which will vary. The investment return and principal value of an investment will fluctuate and, therefore, an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance may be lower or higher than the total return figures in the above chart. Please visit www.goldmansachsfunds.com/vit to obtain the most recent month-end returns. Performance reflects expense limitations in effect. In their absence, performance would be reduced.
EXPENSE RATIOS2
| Net Expense Ratio (Current) | Gross Expense Ratio (Before Waivers) | |||||||||
| Service | 0.67 | % | 0.79 | % | ||||||
2 The expense ratios of the Fund, both current (net of applicable fee waivers and/or expense limitations) and before waivers (gross of applicable fee waivers and/or expense limitations), are as set forth above according to the most recent publicly available Prospectus for the Fund and may differ from the expense ratios disclosed in the Financial Highlights in this report. Applicable waivers and expense limitations may be modified or terminated in the future, consistent with the terms of any agreements in place. If this occurs, the expense ratios may change without shareholder approval.
8
FUND BASICS
FUND COMPOSITION3
3 The Fund is actively managed and, as such, its composition may differ over time. The percentage shown for each investment category reflects the value of investments in that category as a percentage of net assets. Short-term investments represent investments in investment companies other than those that are exchange traded. Figures in the above graph may not sum to 100% due to the exclusion of other assets and liabilities.
4 “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.
5 “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 and the expiration date of a foreign country guarantee is the maturity date of the debt.
9
GOLDMAN SACHS VARIABLE INSURANCE TRUST CORE FIXED INCOME FUND
Performance Summary
December 31, 2010
The following graph shows the value, as of December 31, 2010, 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, 2010.
| Average Annual Total Return through December 31, 2010 | One Year | Since Inception | ||||||
Core Fixed Income Fund (Commenced January 9, 2006) | 7.18% | 4.56% | ||||||
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, State Street Funds Management, Inc. (“SSgA”), the Subadvisor of Goldman Sachs Variable Insurance Trust (“VIT”) — Goldman Sachs Equity Index Fund (the “Fund”), discusses the Fund’s performance and positioning for the 12-month period ended December 31, 2010 (the “Reporting Period”).
How did the Fund perform during the Reporting Period?
During the Reporting Period, the Fund’s Service Shares generated an average annual total return of 14.92%. This return compares to the 15.06% 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.
During the Reporting 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 advanced during the Reporting Period. The best performing sectors were consumer discretionary, industrials and materials. The industries with the strongest performance were automobiles; machinery; real estate management and development; trading companies and distributors; and electrical equipment.
Which sectors and industries in the S&P 500 Index were the weakest contributors to the Fund’s performance?
The health care, utilities and information technology sectors were the weakest contributors. The industries that declined most were diversified consumer services; independent power producers; construction materials; thrifts and mortgage finance; and building products.
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 18.74%, and it provided one of the Reporting Period’s top performers and three of its top detractors. The leading individual contributors were Apple, General Electric, Citigroup, Exxon Mobil and Chevron. The greatest detractors from S&P 500 Index and Fund returns were Microsoft, Hewlett-Packard, Cisco Systems, Bank of America and Medtronic.
How did the Fund use derivatives during the Reporting Period?
During the Reporting Period, the Fund used equity index futures contracts to ensure the portfolio remained almost fully exposed equities following inflows or stock sales. We also used futures contracts to help us buy and sell quickly and have cash available for fund redemptions.
What changes were made to the makeup of the S&P 500 Index during the Reporting Period?
Sixteen stocks were removed from the S&P 500 Index during the Reporting Period. They were Eastman Kodak, King Pharmaceuticals, New York Times A, Office Depot, Pactiv, Smith International, Millipore, Questar, XTO Energy, BJ Services, Black & Decker, IMS Health, Pepsi Bottling Group, Burlington Northern Santa Fe, Affiliated Computer Services and Sun Microsystems.
There were also sixteen additions to the S&P 500 Index during the Reporting Period. They were Cablevision Systems A, F5 Networks, NetFlix, Newfield Exploration, Ingersoll-Rand, Tyco International, ACE Limited, QEP Resources, Carmax, Cerner, ONEOK, Helmerich & Payne, Discovery Communications, Berkshire Hathaway B, Urban Outfitters and NRG Energy.
FUND BASICS
Equity Index Fund
as of December 31, 2010
STANDARDIZED AVERAGE ANNUAL TOTAL RETURNS1
| For the period ended 12/31/10 | One Year | Since Inception | Inception Date | |||||||||
| Service | 14.92 | % | 1.47 | % | 1/09/06 | |||||||
1 The Standardized Average Annual Total Returns are average annual total returns as of the most recent calendar quarter-end. They assume reinvestment of all distributions at net asset value (“NAV”). Because VIT Funds do not involve a sales charge, such a charge is not applied to their Standardized Total Returns.
Total return figures in the above chart represent past performance and do not indicate future results, which will vary. The investment return and principal value of an investment will fluctuate and, therefore, an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance may be lower or higher than the total return figures in the above chart. Please visit www.goldmansachsfunds.com/vit to obtain the most recent month-end returns. Performance reflects fee waivers and/or expense limitations in effect. In their absence, performance would be reduced.
EXPENSE RATIOS2
| Net Expense Ratio (Current) | Gross Expense Ratio (Before Waivers) | |||||||||
| Service | 0.54 | % | 0.68 | % | ||||||
2 The expense ratios of the Fund, both current (net of applicable fee waivers and/or expense limitations) and before waivers (gross of applicable fee waivers and/or expense limitations), are as set forth above according to the most recent publicly available Prospectus for the Fund and may differ from the expense ratios disclosed in the Financial Highlights in this report. Applicable waivers and expense limitations may be modified or terminated in the future, consistent with the terms of any agreements in place. If this occurs, the expense ratios may change without shareholder approval.
TOP 10 HOLDINGS AS OF 12/31/103
| Holding | % of Net Assets | Line of Business | ||||||
| Exxon Mobil Corp. | 3.2 | % | Energy | |||||
| Apple, Inc. | 2.6 | Technology Hardware & Equipment | ||||||
| Microsoft Corp. | 1.8 | Software & Services | ||||||
| General Electric Co. | 1.7 | Capital Goods | ||||||
| Chevron Corp. | 1.6 | Energy | ||||||
| International Business Machines Corp. | 1.6 | Software & Services | ||||||
| The Procter & Gamble Co. | 1.6 | Household & Personal Products | ||||||
| AT&T, Inc. | 1.5 | Telecommunication Services | ||||||
| Johnson & Johnson | 1.5 | Pharmaceuticals, Biotechnology & Life Sciences | ||||||
| JPMorgan Chase & Co. | 1.4 | Diversified Financials | ||||||
3 The top 10 holdings may not be representative of the Fund’s future investments.
FUND BASICS
FUND vs. BENCHMARK SECTOR ALLOCATIONS4
4 The Fund’s 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 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. Short-term investments represent investments in investment companies other than those that are exchange traded.
GOLDMAN SACHS VARIABLE INSURANCE TRUST EQUITY INDEX FUND
Performance Summary
December 31, 2010
The following graph shows the value, as of December 31, 2010, 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, 2010.
| Average Annual Total Return through December 31, 2010 | One Year | Since Inception | ||||||
Equity Index Fund (Commenced January 9, 2006) | 14.92% | 1.47% | ||||||
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 performance of Goldman Sachs Variable Insurance Trust (“VIT”) — Goldman Sachs Government Income Fund (the “Fund”) and positioning for the 12-month period ended December 31, 2010 (the “Reporting Period”).
How did the Fund perform during the Reporting Period?
During the Reporting Period, the Fund’s Service Shares generated an average annual total return of 5.19%. This return compares to the 5.41% average annual total return of the Fund’s benchmark, the Barclays Capital Government/Mortgage Index (the “Barclays Index”) during the same time period.
What key factors were responsible for the Fund’s performance during the Reporting Period?
The Fund’s duration and yield curve positioning detracted from relative results during the Reporting Period. Duration is a measure of the Fund’s sensitivity to changes in interest rates. Yield curve indicates a spectrum of maturities.
On the positive side, both top-down and bottom-up strategies contributed positively. Within our top-down strategies, our cross-sector strategy enhanced relative performance. Our cross-sector strategy is one in which we invest Fund assets across a variety of fixed income sectors, including some that may not be included in the Barclays Index. Bottom-up individual issue selection among government and agency securities also added to the Fund’s results during the Reporting Period.
Which fixed income market sectors contributed the most to Fund performance?
Issue selection within agency mortgage-backed securities (MBS) boosted the Fund’s relative performance. During the first calendar quarter, we believed that the implementation of new accounting rules would create incentives for government-sponsored enterprises (GSE) to accelerate their buyouts of delinquent loans, negatively impacting the higher coupon MBS that generally have less creditworthy borrowers. The Fund benefited from its underweight to these higher coupon securities during this period of heightened prepayment volatility. However, these gains were modestly offset during the second quarter when prepayments were muted. As prepayments accelerated during the third quarter, the Fund benefited from its exposure to MBS with prepayment protection and its underweight to MBS that were more susceptible to prepayments.
The Fund’s exposure to non-agency MBS, which are not represented in the Barclays Index, was a strong contributor to its relative performance. Issue selection within the sector also added value. Despite high volatility and weakness in the housing markets, typical of the winter season, non-agency MBS rallied during the first quarter on supportive technicals and improving fundamentals. Despite a short-lived sell-off in May, non-agency MBS continued to perform well during the Reporting Period, driven primarily by supportive supply and demand dynamics.
What sectors detracted from the Fund’s performance?
During the Reporting Period, no fixed income sectors detracted meaningfully from the Fund’s performance relative to the Barclays Index.
Did the Fund’s duration and yield curve positioning strategy help or hurt its results during the Reporting Period?
The Fund’s duration and yield curve positioning strategy detracted from relative performance during the Reporting Period. During the second calendar quarter, the Fund’s shorter duration position relative to the Barclays Index in the intermediate part of the U.S. yield curve hampered results. Interest rates fell amid a flight to quality and increasing fear that the European debt crisis might spread. Interest rates continued to fall during the third quarter as the Fed hinted about its plans to implement a second round of quantitative easing. Based on our belief that interest rates would remain low, we extended the Fund’s duration to a longer bias on the yield curve. However, this stance detracted as government yields then rose sharply on news of strengthening U.S. economic data.
GOLDMAN SACHS VARIABLE INSURANCE TRUST GOVERNMENT INCOME FUND
How did the Fund use derivatives during the Reporting Period?
We used futures for the efficient management of the Fund, to apply active investment views with greater versatility, and to afford greater risk management precision. For example, as market conditions shifted, such instruments helped us shorten and lengthen the duration of the Fund or to introduce a steepening or flattening yield curve bias within the Fund.
Were there any notable changes in the Fund’s weightings during the Reporting Period?
Based on our view of interest rates, we tactically shifted the Fund’s duration position from shorter than the Barclays Index during the first half of the Reporting Period to a longer than the Barclays Index position during the second half of the Reporting Period. In addition, we moved from an underweighted position relative to the Barclays Index in residential mortgage backed securities (RMBS) to an overweighted position. Over the course of the Reporting Period, we gradually increased the Fund’s underweight to government securities.
How was the Fund positioned relative to the Barclays Index at the end of the Reporting Period?
The Fund held a duration position similar to the Barclays Index at the end of the Reporting Period. Our most substantial position was in the shorter to intermediate term maturity segment of the yield curve, reflecting our belief that shorter-term yields are well anchored by the Fed’s accommodative stance. In our opinion, the Fed is unlikely to raise rates before 2012. We also maintained a modest position in longer maturities because an improved economic outlook could cause the U.S. yield curve to steepen. Relative to the Barclays Index, the Fund maintained an underweighted allocation to U.S. Treasuries because we expect these securities to underperform spread, or non-Treasury, sectors in the near term.
The Fund had an overweighted exposure to agency MBS at the end of the Reporting Period because we believe their valuations have cheapened in response to rising yields and increased volatility. The Fund was also overweight to mortgage pass-throughs. Pass-through mortgages consist of a pool of residential mortgage loans, where homeowners’ monthly payments of principal, interest and prepayments pass from the original bank through a government agency or investment bank to investors. The Fund also had modest exposures to commercial mortgage-backed securities (CMBS), asset-backed securities (ABS), and non-agency adjustable-rate mortgages (ARMs), which are not represented in the Barclays Index.
FUND BASICS
Government Income Fund
as of December 31, 2010
STANDARDIZED AVERAGE ANNUAL TOTAL RETURNS1
| For the period ended 12/31/10 | One Year | Since Inception | Inception Date | |||||||||
| Service | 5.19 | % | 5.21 | % | 1/09/06 | |||||||
1 The Standardized Average Annual Total Returns are average annual total returns as of the most recent calendar quarter-end. They assume reinvestment of all distributions at net asset value (“NAV”). Because VIT Funds do not involve a sales charge, such a charge is not applied to their Standardized Total Returns.
Total return figures in the above chart represent past performance and do not indicate future results, which will vary. The investment return and principal value of an investment will fluctuate and, therefore, an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance may be lower or higher than the total return figures in the above chart. Please visit www.goldmansachsfunds.com/vit to obtain the most recent month-end returns. Performance reflects expense limitations in effect. In their absence, performance would be reduced.
EXPENSE RATIOS2
| Net Expense Ratio (Current) | Gross Expense Ratio (Before Waivers) | |||||||||
| Service | 0.81 | % | 1.05 | % | ||||||
2 The expense ratios of the Fund, both current (net of applicable fee waivers and/or expense limitations) and before waivers (gross of applicable fee waivers and/or expense limitations), are as set forth above according to the most recent publicly available Prospectus for the Fund and may differ from the expense ratios disclosed in the Financial Highlights in this report. Applicable waivers and expense limitations may be modified or terminated in the future, consistent with the terms of any agreements in place. If this occurs, the expense ratios may change without shareholder approval.
FUND BASICS
FUND COMPOSITION3
3 The Fund is actively managed and, as such, its composition may differ over time. The percentage shown for each investment category reflects the value of investments in that category as a percentage of net assets. Short-term investments represent investments in investment companies other than those that are exchange traded. Figures in the above graph may not sum to 100% due to the exclusion of other assets and liabilities.
4 “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.
5 “Government Guarantee Obligations” are guaranteed under the Federal Deposit Insurance Corporation’s (“FDIC”) Temporary Liquidity Guarantee Program and are 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.
GOLDMAN SACHS VARIABLE INSURANCE TRUST GOVERNMENT INCOME FUND
Performance Summary
December 31, 2010
The following graph shows the value, as of December 31, 2010, 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, 2010.
| Average Annual Total Return through December 31, 2010 | One Year | Since Inception | ||||||
Government Income Fund (Commenced January 9, 2006) | 5.19% | 5.21% | ||||||
19
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 performance of Goldman Sachs Variable Insurance Trust (“VIT”) — Goldman Sachs Growth Opportunities Fund (the “Fund”) and positioning for the 12-month period ended December 31, 2010 (the “Reporting Period”).
How did the Fund perform during the Reporting Period?
During the Reporting Period, the Fund’s Service Shares generated an average annual total return of 19.36%. This compares to the 26.38% 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?
The Fund’s underperformance relative to the Russell Index was largely the result of security selection.
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, stock picks in the information technology, industrials and financials sectors detracted from Fund performance. On the positive side, security selection in the energy sector added value. Underweighted positions in the utilities and health care sectors, which lagged the Russell Index, also contributed.
Which individual stocks detracted significantly from the Fund’s performance during the Reporting Period?
A top detractor during the Reporting Period was FormFactor, which designs and manufactures wafer probe cards used for testing semiconductor chips. Although the company has consistently generated revenue in line with market expectations, its shares traded down on concern that higher-than-expected supply chain costs could push margins lower. Due to these near-term challenges, the company has reorganized its management team in an effort to bring FormFactor back to profitability. In our view, the company has a strong balance sheet with a significant amount of cash, which should help it engineer a turnaround and reduce its long-term cost structure. However, because we believe a full recovery could take longer than we previously estimated, we sold the Fund’s position in the stock.
Electronic payments processor Global Payments also hampered the Fund’s relative results. Although the company reported higher-than-expected earnings, its revenues from Canada — an important market for the firm — were weak. The company also provided lower 2010 earnings guidance. On the positive side, its U.S. sales stabilized following the recession, and the company’s Asian operations experienced strong volume growth. We continue to have significant conviction in Global Payments and expect it to use its solid balance sheet to continue its international growth. We took advantage of weakness in its stock price to add to the Fund’s position during the Reporting Period.
People’s United Financial detracted from the Fund’s relative performance during the Reporting Period. The savings and loan company began to use its excess capital to acquire several smaller banks, but it did not complete any deals of significant size, which pushed down its share price. In our view, People’s United Financial is a well capitalized company with high quality assets, largely because of its strong management practices. The small acquisitions it made during the Reporting Period should also help it expand its geographic footprint.
What were some of the Fund’s best-performing individual stocks?
NetFlix was the top contributor to the Fund’s relative performance. The company has continued to add subscribers, primarily because of its “watch instantly” service that can stream movies and TV shows from the Internet directly to subscribers’ computers. The service is available via a Roku receiver box and Sony’s BRAVIA line of Internet capable high-definition televisions as well as the Microsoft Xbox 360, Sony Playstation 3 and Nintendo Wii video game consoles. Although we maintained our conviction in the fundamentals of the business, we believed the stock had reached its full valuation and sold the position in August 2010.
20
GOLDMAN SACHS VARIABLE INSURANCE TRUST GROWTH OPPORTUNITIES FUND
CB Richard Ellis, the world’s leading commercial real estate services firm, contributed to the Fund’s relative performance. During the Reporting Period, it announced better-than-expected earnings, driven by strong revenues in property sales and leasing as well as cost reductions that resulted in significant operating leverage. We continue to have conviction in the company based on the strength of its franchise, its service-oriented business model and its strong management team.
Whiting Petroleum was another top contributor to the Fund’s relative results during the Reporting Period. Its share price rose as the company reported strong drilling results at a number of new wells. The management team has also been disciplined about expenses.
Did the Fund make any significant purchases or sales during the Reporting Period?
During the Reporting Period, the Fund purchased Xilinx. A semiconductor chip company, Xilinx is the leader in programmable logic devices (PLDs) that are used around the world in a variety of industries including automotive, broadcast, consumer, medical, and military. The company meets our investment criteria because of its dominant market position and competitive edge in PLDs. In our view, Xilinx is likely to benefit as PLDs take market share from application-specific integrated circuits (ASICs), an alternative semiconductor chip. We believe that PLDs offer significant benefits over ASICs, such as lower development costs, shorter development time and upgradability, and that the market for PLDs will continue to expand. Xilinx is one of only two PLD producers, providing it with pricing power. It also has low fixed costs, which enable it to generate significant free cash flow. Furthermore, the company’s innovative software may serve as a barrier to entry for potential new competitors.
SBA Communications was another addition to the Fund during the Reporting Period. The company is a wireless tower owner and operator, which licenses antennae space on its towers to wireless service providers. We believe the company’s business model is attractive with long-term leases and fixed annual escalation clauses, which provide transparency and predictability to revenue and earnings growth. As demand for mobile content grows, we believe tower leasing will increase as wireless carriers are required to add capacity to support increased usage, network upgrades and improved coverage.
The Fund sold American Tower during the Reporting Period. The stock was a long-term holding with a history of strong performance. Given its larger market capitalization, however, we believed it was no longer suitable as an investment for a mid cap growth equity portfolio.
The Fund also eliminated its position in Biogen Idec. Shares of the biotechnology company had meaningfully appreciated since it was purchased. Our original investment thesis was based on our belief that the market did not fully recognize Biogen’s earnings potential because the company was over-spending on research and development. During the Reporting Period, Biogen announced a significant reduction in spending, resulting in higher earnings power. As its shares rose, we determined that the gap between the company’s intrinsic value and the stock price had narrowed. Therefore, we decided to sell the position.
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 did the Fund use derivatives during the Reporting Period?
The Fund does not use derivatives within its investment process.
How was the Fund positioned relative to the Russell Index at the end of the Reporting Period?
As mentioned, the Fund’s sector positioning relative to the Russell Index is the result of our stock selection, as we take a pure bottom-up, research-intensive approach to investing. From that perspective, then, at the end of the Reporting Period, the Fund’s portfolio was broadly diversified with overweighted positions compared to the Russell Index in the financials, telecommunication services and energy sectors. The Fund had smaller weightings relative to the Russell Index in the materials, health care, industrials, consumer staples, information technology, consumer discretionary and utilities sectors at the end of the Reporting Period.
21
FUND BASICS
Growth Opportunities Fund
as of December 31, 2010
STANDARDIZED AVERAGE ANNUAL TOTAL RETURNS1
| For the period ended 12/31/10 | One Year | Since Inception | Inception Date | |||||||||
| Service | 19.36 | % | 6.52 | % | 1/09/06 | |||||||
1 The Standardized Average Annual Total Returns are average annual total returns as of the most recent calendar quarter-end. They assume reinvestment of all distributions at net asset value (“NAV”). Because VIT Funds do not involve a sales charge, such a charge is not applied to their Standardized Total Returns.
Total return figures in the above chart represent past performance and do not indicate future results, which will vary. The investment return and principal value of an investment will fluctuate and, therefore, an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance may be lower or higher than the total return figures in the above chart. Please visit www.goldmansachsfunds.com/vit to obtain the most recent month-end returns. Performance reflects fee waivers and/or expense limitations in effect. In their absence, performance would be reduced.
EXPENSE RATIOS2
| Net Expense Ratio (Current) | Gross Expense Ratio (Before Waivers) | |||||||||
| Service | 1.18 | % | 1.43 | % | ||||||
2 The expense ratios of the Fund, both current (net of applicable fee waivers and/or expense limitations) and before waivers (gross of applicable fee waivers and/or expense limitations), are as set forth above according to the most recent publicly available Prospectus for the Fund and may differ from the expense ratios disclosed in the Financial Highlights in this report. Applicable waivers and expense limitations may be modified or terminated in the future, consistent with the terms of any agreements in place. If this occurs, the expense ratios may change without shareholder approval.
TOP 10 HOLDINGS AS OF 12/31/103
| Holding | % of Net Assets | Line of Business | ||||||
| St. Jude Medical, Inc. | 2.6 | % | Health Care Equipment & Services | |||||
| Global Payments, Inc. | 2.5 | Software & Services | ||||||
| Xilinx, Inc. | 2.4 | Semiconductors & Semiconductor Equipment | ||||||
| SBA Communications Corp. Class A | 2.4 | Telecommunication Services | ||||||
| Cameron International Corp. | 2.2 | Energy | ||||||
| PetSmart, Inc. | 2.2 | Retailing | ||||||
| Polo Ralph Lauren Corp. | 2.1 | Consumer Durables & Apparel | ||||||
| Staples, Inc. | 2.1 | Retailing | ||||||
| Northern Trust Corp. | 2.1 | Diversified Financials | ||||||
| Avon Products, Inc. | 2.0 | Household & Personal Products | ||||||
3The top 10 holdings may not be representative of the Fund’s future investments.
22
FUND BASICS
FUND vs. BENCHMARK SECTOR ALLOCATIONS4
4 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 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. Short-term investments represent investments in investment companies other than those that are exchange traded.
23
GOLDMAN SACHS VARIABLE INSURANCE TRUST GROWTH OPPORTUNITIES FUND
Performance Summary
December 31, 2010
The following graph shows the value, as of December 31, 2010, 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, 2010.
| Average Annual Total Return through December 31, 2010 | One Year | Since Inception | ||||||
Growth Opportunities Fund (Commenced January 9, 2006) | 19.36% | 6.52% | ||||||
24
GOLDMAN SACHS VARIABLE INSURANCE TRUST CORE FIXED INCOME FUND
Schedule of Investments
December 31, 2010
| Principal | Interest | Maturity | ||||||||||||||
| Amount | Rate | Date | Value | |||||||||||||
Corporate Obligations – 19.3% | ||||||||||||||||
| Banks – 5.8% | ||||||||||||||||
| Bank of America Corp. | ||||||||||||||||
| $ | 200,000 | 5.750 | % | 12/01/17 | $ | 208,033 | ||||||||||
| 375,000 | 5.625 | 07/01/20 | 382,495 | |||||||||||||
| 225,000 | 5.875 | 01/05/21 | 234,339 | |||||||||||||
BBVA Bancomer SA(a) | ||||||||||||||||
| 425,000 | 7.250 | 04/22/20 | 451,442 | |||||||||||||
| Capital One Bank NA | ||||||||||||||||
| 300,000 | 8.800 | 07/15/19 | 368,945 | |||||||||||||
| Citigroup, Inc. | ||||||||||||||||
| 225,000 | 6.375 | 08/12/14 | 248,669 | |||||||||||||
| 600,000 | 5.000 | 09/15/14 | 618,062 | |||||||||||||
| 325,000 | 5.375 | 08/09/20 | 336,601 | |||||||||||||
Credit Agricole SA(a)(b)(c) | ||||||||||||||||
| 200,000 | 8.375 | 12/31/49 | 205,500 | |||||||||||||
| Credit Suisse | ||||||||||||||||
| 250,000 | 4.375 | 08/05/20 | 244,078 | |||||||||||||
| Discover Bank | ||||||||||||||||
| 250,000 | 8.700 | 11/18/19 | 293,859 | |||||||||||||
Fifth Third Bank(b) | ||||||||||||||||
| 300,000 | 0.394 | 05/17/13 | 288,368 | |||||||||||||
| HSBC Bank NA | ||||||||||||||||
| 900,000 | 4.875 | 08/24/20 | 887,772 | |||||||||||||
Intesa Sanpaolo SpA(a) | ||||||||||||||||
| 500,000 | 3.625 | 08/12/15 | 483,369 | |||||||||||||
| JPMorgan Chase Capital XXV Series Y | ||||||||||||||||
| 275,000 | 6.800 | 10/01/37 | 278,380 | |||||||||||||
Lloyds TSB Bank PLC(a) | ||||||||||||||||
| 275,000 | 6.500 | 09/14/20 | 253,009 | |||||||||||||
| Merrill Lynch & Co., Inc. | ||||||||||||||||
| 325,000 | 6.400 | 08/28/17 | 347,555 | |||||||||||||
| Morgan Stanley & Co. | ||||||||||||||||
| 275,000 | 5.750 | 08/31/12 | 294,164 | |||||||||||||
| 400,000 | 5.950 | 12/28/17 | 423,304 | |||||||||||||
| 150,000 | 6.625 | 04/01/18 | 164,143 | |||||||||||||
| PNC Bank NA | ||||||||||||||||
| 225,000 | 6.875 | 04/01/18 | 253,958 | |||||||||||||
| Regions Financial Corp. | ||||||||||||||||
| 325,000 | 5.750 | 06/15/15 | 319,313 | |||||||||||||
Resona Bank Ltd.(a)(b)(c) | ||||||||||||||||
| 775,000 | 5.850 | 09/29/49 | 774,285 | |||||||||||||
Santander Issuances SA(a)(b) | ||||||||||||||||
| 200,000 | 5.805 | 06/20/16 | 193,901 | |||||||||||||
| The Bear Stearns Companies, LLC | ||||||||||||||||
| 500,000 | 7.250 | 02/01/18 | 592,447 | |||||||||||||
The Royal Bank of Scotland Group PLC(a) | ||||||||||||||||
| 425,000 | 4.875 | 08/25/14 | 435,272 | |||||||||||||
| Wachovia Bank NA | ||||||||||||||||
| 300,000 | 6.600 | 01/15/38 | 328,217 | |||||||||||||
| 9,909,480 | ||||||||||||||||
| Chemicals – 0.3% | ||||||||||||||||
| The Dow Chemical Co. | ||||||||||||||||
| 500,000 | 7.600 | 05/15/14 | 575,524 | |||||||||||||
| Consumer Products – 0.2% | ||||||||||||||||
| Whirlpool Corp. | ||||||||||||||||
| 125,000 | 8.000 | 05/01/12 | 134,663 | |||||||||||||
| 175,000 | 8.600 | 05/01/14 | 201,837 | |||||||||||||
| 336,500 | ||||||||||||||||
| Diversified Manufacturing – 0.2% | ||||||||||||||||
| Valmont Industries, Inc. | ||||||||||||||||
| 375,000 | 6.625 | 04/20/20 | 391,274 | |||||||||||||
| Electric – 0.6% | ||||||||||||||||
| Arizona Public Service Co. | ||||||||||||||||
| 250,000 | 6.375 | 10/15/11 | 260,422 | |||||||||||||
| Edison International | ||||||||||||||||
| 325,000 | 3.750 | 09/15/17 | 321,497 | |||||||||||||
| Progress Energy, Inc. | ||||||||||||||||
| 350,000 | 7.000 | 10/30/31 | 405,055 | |||||||||||||
| �� | 986,974 | |||||||||||||||
| Energy – 2.2% | ||||||||||||||||
| Anadarko Petroleum Corp. | ||||||||||||||||
| 375,000 | 6.375 | 09/15/17 | 407,541 | |||||||||||||
| BP Capital Markets PLC | ||||||||||||||||
| 200,000 | 5.250 | 11/07/13 | 216,947 | |||||||||||||
| 225,000 | 3.875 | 03/10/15 | 232,029 | |||||||||||||
| 275,000 | 4.500 | 10/01/20 | 274,470 | |||||||||||||
Dolphin Energy Ltd.(a) | ||||||||||||||||
| 221,496 | 5.888 | 06/15/19 | 237,761 | |||||||||||||
| Gazprom Via Gaz Capital SA | ||||||||||||||||
| 350,000 | 9.250 | 04/23/19 | 428,750 | |||||||||||||
| Nexen, Inc. | ||||||||||||||||
| 150,000 | 7.500 | 07/30/39 | 163,078 | |||||||||||||
| Pemex Project Funding Master Trust | ||||||||||||||||
| 330,000 | 6.625 | 06/15/35 | 331,650 | |||||||||||||
Ras Laffan Liquefied Natural Gas Co. Ltd. III(a) | ||||||||||||||||
| 250,000 | 5.500 | 09/30/14 | 269,698 | |||||||||||||
| Suncor Energy, Inc. | ||||||||||||||||
| 250,000 | 6.100 | 06/01/18 | 286,263 | |||||||||||||
| Talisman Energy, Inc. | ||||||||||||||||
| 325,000 | 7.750 | 06/01/19 | 399,748 | |||||||||||||
| Transocean, Inc. | ||||||||||||||||
| 100,000 | 4.950 | 11/15/15 | 103,207 | |||||||||||||
| 450,000 | 6.500 | 11/15/20 | 476,722 | |||||||||||||
| 3,827,864 | ||||||||||||||||
| Food & Beverage – 0.8% | ||||||||||||||||
| Anheuser-Busch InBev Worldwide, Inc. | ||||||||||||||||
| 400,000 | 7.200 | 01/15/14 | (a) | 457,438 | ||||||||||||
| 225,000 | 4.125 | 01/15/15 | 236,624 | |||||||||||||
| 75,000 | 7.750 | 01/15/19 | (a) | 93,326 | ||||||||||||
| Kraft Foods, Inc. | ||||||||||||||||
| 275,000 | 6.125 | 08/23/18 | 313,850 | |||||||||||||
| 225,000 | 6.500 | 02/09/40 | 250,640 | |||||||||||||
| 1,351,878 | ||||||||||||||||
| Food & Drug Retail – 0.3% | ||||||||||||||||
CVS Caremark Corp.(b) | ||||||||||||||||
| 450,000 | 6.302 | 06/01/62 | 435,154 | |||||||||||||
GOLDMAN SACHS VARIABLE INSURANCE TRUST CORE FIXED INCOME FUND
Schedule of Investments (continued)
December 31, 2010
| Principal | Interest | Maturity | ||||||||||||||
| Amount | Rate | Date | Value | |||||||||||||
Corporate Obligations – (continued) | ||||||||||||||||
| Healthcare – 0.8% | ||||||||||||||||
| Boston Scientific Corp. | ||||||||||||||||
| $ | 525,000 | 4.500 | % | 01/15/15 | $ | 534,877 | ||||||||||
| Laboratory Corp of America Holdings | ||||||||||||||||
| 125,000 | 3.125 | 05/15/16 | 122,936 | |||||||||||||
| 125,000 | 4.625 | 11/15/20 | 123,253 | |||||||||||||
| Life Technologies Corp. | ||||||||||||||||
| 275,000 | 6.000 | 03/01/20 | 295,969 | |||||||||||||
| 275,000 | 5.000 | 01/15/21 | 276,620 | |||||||||||||
| 1,353,655 | ||||||||||||||||
| Life Insurance – 1.0% | ||||||||||||||||
MetLife Capital Trust X(a)(b)(c) | ||||||||||||||||
| 300,000 | 9.250 | 04/08/38 | 352,500 | |||||||||||||
| MetLife, Inc. | ||||||||||||||||
| 175,000 | 4.750 | 02/08/21 | 179,172 | |||||||||||||
| Prudential Financial, Inc. | ||||||||||||||||
| 575,000 | 3.875 | 01/14/15 | 590,370 | |||||||||||||
| 100,000 | 4.500 | 11/15/20 | 97,860 | |||||||||||||
The Northwestern Mutual Life Insurance Co.(a) | ||||||||||||||||
| 425,000 | 6.063 | 03/30/40 | 469,431 | |||||||||||||
| 1,689,333 | ||||||||||||||||
| Media Cable – 0.3% | ||||||||||||||||
| Comcast Corp. | ||||||||||||||||
| 425,000 | 6.450 | 03/15/37 | 455,970 | |||||||||||||
| Media Non Cable – 0.4% | ||||||||||||||||
NBC Universal, Inc.(a) | ||||||||||||||||
| 400,000 | 4.375 | 04/01/21 | 387,793 | |||||||||||||
| WPP Finance UK | ||||||||||||||||
| 206,000 | 8.000 | 09/15/14 | 237,056 | |||||||||||||
| 624,849 | ||||||||||||||||
| Metals and Mining – 0.7% | ||||||||||||||||
Anglo American Capital PLC(a) | ||||||||||||||||
| 100,000 | 9.375 | 04/08/14 | 120,398 | |||||||||||||
| 225,000 | 9.375 | 04/08/19 | 302,655 | |||||||||||||
| Freeport-McMoRan Copper & Gold, Inc. | ||||||||||||||||
| 418,000 | 8.375 | 04/01/17 | 460,845 | |||||||||||||
| Teck Resources Ltd. | ||||||||||||||||
| 300,000 | 10.750 | 05/15/19 | 390,000 | |||||||||||||
| 1,273,898 | ||||||||||||||||
| Noncaptive-Financial – 0.2% | ||||||||||||||||
| Capital One Capital III | ||||||||||||||||
| 125,000 | 7.686 | 08/01/66 | 125,625 | |||||||||||||
| SLM Corp. | ||||||||||||||||
| AUD | 150,000 | 6.000 | 05/10/12 | 145,659 | ||||||||||||
| 271,284 | ||||||||||||||||
| Paper – 0.2% | ||||||||||||||||
| International Paper Co. | ||||||||||||||||
| $ | 325,000 | 7.500 | 08/15/21 | 378,054 | ||||||||||||
| Pharmaceuticals – 0.2% | ||||||||||||||||
| Watson Pharmaceuticals, Inc. | ||||||||||||||||
| 325,000 | 5.000 | 08/15/14 | 344,686 | |||||||||||||
| Pipelines – 1.9% | ||||||||||||||||
| Boardwalk Pipelines LP | ||||||||||||||||
| 550,000 | 5.875 | 11/15/16 | 599,495 | |||||||||||||
DCP Midstream LLC(a) | ||||||||||||||||
| 280,000 | 9.750 | 03/15/19 | 361,850 | |||||||||||||
| El Paso Pipeline Partners Operating Co. LLC | ||||||||||||||||
| 150,000 | 6.500 | 04/01/20 | 157,125 | |||||||||||||
| Energy Transfer Partners LP | ||||||||||||||||
| 450,000 | 5.950 | 02/01/15 | 490,788 | |||||||||||||
| Enterprise Products Operating LLC | ||||||||||||||||
| 175,000 | 5.000 | 03/01/15 | 187,938 | |||||||||||||
| Tennessee Gas Pipeline Co. | ||||||||||||||||
| 150,000 | 8.000 | 02/01/16 | 174,085 | |||||||||||||
| 200,000 | 8.375 | 06/15/32 | 228,988 | |||||||||||||
| The Williams Companies, Inc. | ||||||||||||||||
| 250,000 | 8.750 | 03/15/32 | 306,763 | |||||||||||||
TransCanada Pipelines Ltd.(b) | ||||||||||||||||
| 325,000 | 6.350 | 05/15/67 | 320,125 | |||||||||||||
| Williams Partners Finance Corp. | ||||||||||||||||
| 350,000 | 7.250 | 02/01/17 | 406,535 | |||||||||||||
| 3,233,692 | ||||||||||||||||
| Property/Casualty Insurance – 1.3% | ||||||||||||||||
| Alleghany Corp. | ||||||||||||||||
| 325,000 | 5.625 | 09/15/20 | 318,348 | |||||||||||||
| Aspen Insurance Holdings Ltd. | ||||||||||||||||
| 350,000 | 6.000 | 08/15/14 | 370,660 | |||||||||||||
| Axis Specialty Finance LLC | ||||||||||||||||
| 400,000 | 5.875 | 06/01/20 | 396,310 | |||||||||||||
QBE Insurance Group Ltd.(a) | ||||||||||||||||
| 225,000 | 9.750 | 03/14/14 | 264,259 | |||||||||||||
| Transatlantic Holdings, Inc. | ||||||||||||||||
| 225,000 | 8.000 | 11/30/39 | 230,127 | |||||||||||||
ZFS Finance USA Trust IV(a)(b)(c) | ||||||||||||||||
| 675,000 | 5.875 | 05/09/32 | 658,631 | |||||||||||||
| 2,238,335 | ||||||||||||||||
| Real Estate Investment Trusts – 1.5% | ||||||||||||||||
| Developers Diversified Realty Corp. | ||||||||||||||||
| 275,000 | 7.500 | 04/01/17 | 306,625 | |||||||||||||
| Duke Realty LP | ||||||||||||||||
| 350,000 | 5.950 | 02/15/17 | 369,998 | |||||||||||||
| HCP, Inc. | ||||||||||||||||
| 275,000 | 6.000 | 01/30/17 | 289,933 | |||||||||||||
| Healthcare Realty Trust, Inc. | ||||||||||||||||
| 350,000 | 5.750 | 01/15/21 | 350,298 | |||||||||||||
| Kilroy Realty LP | ||||||||||||||||
| 275,000 | 5.000 | 11/03/15 | 272,781 | |||||||||||||
| ProLogis | ||||||||||||||||
| 100,000 | 2.250 | 04/01/37 | 99,250 | |||||||||||||
| 175,000 | 1.875 | 11/15/37 | 173,031 | |||||||||||||
| Simon Property Group LP | ||||||||||||||||
| 350,000 | 10.350 | 04/01/19 | 478,012 | |||||||||||||
Westfield Group(a) | ||||||||||||||||
| 75,000 | 5.400 | 10/01/12 | 79,509 | |||||||||||||
| 125,000 | 7.500 | 06/02/14 | 141,870 | |||||||||||||
| 2,561,307 | ||||||||||||||||
GOLDMAN SACHS VARIABLE INSURANCE TRUST CORE FIXED INCOME FUND
| Principal | Interest | Maturity | ||||||||||||||
| Amount | Rate | Date | Value | |||||||||||||
Corporate Obligations – (continued) | ||||||||||||||||
| Tobacco – 0.2% | ||||||||||||||||
| Altria Group, Inc. | ||||||||||||||||
| $ | 275,000 | 9.700 | % | 11/10/18 | $ | 361,180 | ||||||||||
| Wireless Telecommunications – 0.2% | ||||||||||||||||
| Rogers Communications, Inc. | ||||||||||||||||
| 200,000 | 7.875 | 05/01/12 | 217,463 | |||||||||||||
| Qwest Corp. | ||||||||||||||||
| 150,000 | 8.375 | 05/01/16 | 177,750 | |||||||||||||
| 395,213 | ||||||||||||||||
TOTAL CORPORATE OBLIGATIONS | ||||||||||||||||
| (Cost $31,641,640) | $ | 32,996,104 | ||||||||||||||
Mortgage-Backed Obligations – 60.0% | ||||||||||||||||
| Adjustable Rate Non-Agency(b) – 3.0% | ||||||||||||||||
Bear Stearns Adjustable Rate Mortgage Trust Series 2004-1, Class 21A1 | ||||||||||||||||
| $ | 31,852 | 2.614 | % | 04/25/34 | $ | 29,087 | ||||||||||
Countrywide Alternative Loan Trust Series 2005-38, Class A1 | ||||||||||||||||
| 281,707 | 1.828 | 09/25/35 | 183,457 | |||||||||||||
Countrywide Home Loan Mortgage Pass-Through Trust Series 2003-52, Class A1 | ||||||||||||||||
| 111,099 | 2.833 | 02/19/34 | 104,567 | |||||||||||||
Countrywide Home Loan Mortgage Pass-Through Trust Series 2004-HYB6, Class A2 | ||||||||||||||||
| 21,509 | 3.089 | 11/20/34 | 18,039 | |||||||||||||
Indymac Index Mortgage Loan Trust Series 2005-AR15, Class A1 | ||||||||||||||||
| 512,400 | 5.047 | 09/25/35 | 414,956 | |||||||||||||
Indymac Index Mortgage Loan Trust Series 2006-AR4, Class A1A | ||||||||||||||||
| 1,055,316 | 0.471 | 05/25/46 | 662,186 | |||||||||||||
J.P. Morgan Mortgage Trust Series 2007-A1, Class 2A2 | ||||||||||||||||
| 406,093 | 3.102 | 07/25/35 | 367,927 | |||||||||||||
Lehman XS Trust Series 2005-7N, Class 1A1A | ||||||||||||||||
| 418,737 | 0.531 | 12/25/35 | 294,458 | |||||||||||||
Master Adjustable Rate Mortgages Trust Series 2006-OA2, Class 4A1A | ||||||||||||||||
| 661,448 | 1.178 | 12/25/46 | 237,169 | |||||||||||||
Structured Adjustable Rate Mortgage Loan Trust Series 2004-12, Class 3A2 | ||||||||||||||||
| 23,801 | 2.715 | 09/25/34 | 21,461 | |||||||||||||
Structured Adjustable Rate Mortgage Loan Trust Series 2004-5, Class 3A1 | ||||||||||||||||
| 52,494 | 2.602 | 05/25/34 | 50,356 | |||||||||||||
Thornburg Mortgage Securities Trust Series 2006-4, Class A2B | ||||||||||||||||
| 1,547,124 | 0.381 | 07/25/36 | 1,519,533 | |||||||||||||
Washington Mutual Mortgage Pass-Through Certificates Series 2004-AR3, Class A2 | ||||||||||||||||
| 31,687 | 2.707 | 06/25/34 | 30,631 | |||||||||||||
Washington Mutual Mortgage Pass-Through Certificates Series 2007-OA2, Class 1A | ||||||||||||||||
| 650,416 | 1.028 | 03/25/47 | 405,992 | |||||||||||||
Wells Fargo Mortgage Backed Securities Trust Series 2006-AR10, Class 5A3 | ||||||||||||||||
| 872,209 | 5.402 | 07/25/36 | 701,271 | |||||||||||||
| 5,041,090 | ||||||||||||||||
| Collateralized Mortgage Obligations – 7.8% | ||||||||||||||||
| Covered Bonds(a) – 4.9% | ||||||||||||||||
| Companhia de Financement Foncier | ||||||||||||||||
| 400,000 | 1.625 | 07/23/12 | 401,877 | |||||||||||||
| 500,000 | 2.125 | 04/22/13 | 504,255 | |||||||||||||
| DnB NOR Boligkreditt | ||||||||||||||||
| 800,000 | 2.100 | 10/14/16 | 760,797 | |||||||||||||
| ING Bank NV | ||||||||||||||||
| 800,000 | 2.500 | 01/14/16 | 780,334 | |||||||||||||
| Sparebanken 1 Boligkreditt | ||||||||||||||||
| 1,400,000 | 1.250 | 10/25/13 | 1,390,603 | |||||||||||||
| Stadshypotek AB | ||||||||||||||||
| 1,200,000 | 1.450 | 09/30/13 | 1,198,549 | |||||||||||||
| The Bank of Nova Scotia | ||||||||||||||||
| 1,800,000 | 1.450 | 07/26/13 | 1,800,220 | |||||||||||||
| The Canadian Imperial Bank of Commerce | ||||||||||||||||
| 700,000 | 2.000 | 02/04/13 | 712,515 | |||||||||||||
| 300,000 | 2.600 | 07/02/15 | 301,635 | |||||||||||||
| The Toronto-Dominion Bank | ||||||||||||||||
| 600,000 | 2.200 | 07/29/15 | 590,207 | |||||||||||||
| 8,440,992 | ||||||||||||||||
| Interest Only(b)(d)(e) – 0.0% | ||||||||||||||||
FNMA REMIC Series 2004-71, Class DI | ||||||||||||||||
| 351,217 | 0.000 | 04/25/34 | 2,602 | |||||||||||||
| Planned Amortization Class – 1.4% | ||||||||||||||||
FNMA REMIC Series 2003-92, Class PD | ||||||||||||||||
| 2,250,933 | 4.500 | 03/25/17 | 2,310,118 | |||||||||||||
| Regular Floater(b) – 1.1% | ||||||||||||||||
Arkle Master Issuer PLC Series 2010-2A, Class 1A1(a) | ||||||||||||||||
| 800,000 | 1.684 | 05/17/60 | 798,942 | |||||||||||||
FHLMC REMIC Series 2005-3038, Class XA(e) | ||||||||||||||||
| 16,295 | 0.000 | 09/15/35 | 16,237 | |||||||||||||
FNMA REMIC Series 2007-56, Class GY(e) | ||||||||||||||||
| 3,524 | 0.000 | 06/25/37 | 3,474 | |||||||||||||
Holmes Master Issuer PLC Series 2010-1A, Class A2(a) | ||||||||||||||||
| 300,000 | 1.671 | 10/15/54 | 299,997 | |||||||||||||
Silverstone Master Issuer plc Series 2010-1A, Class A1(a) | ||||||||||||||||
| 800,000 | 1.684 | 01/21/55 | 800,807 | |||||||||||||
| 1,919,457 | ||||||||||||||||
| Sequential Fixed Rate – 0.4% | ||||||||||||||||
National Credit Union Administration Guaranteed Notes Series 2010-C1, Class APT | ||||||||||||||||
| 696,549 | 2.650 | 10/29/20 | 677,835 | |||||||||||||
| TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS | $ | 13,351,004 | ||||||||||||||
GOLDMAN SACHS VARIABLE INSURANCE TRUST CORE FIXED INCOME FUND
Schedule of Investments (continued)
December 31, 2010
| Principal | Interest | Maturity | ||||||||||||||
| Amount | Rate | Date | Value | |||||||||||||
Mortgage-Backed Obligations – (continued) | ||||||||||||||||
| Sequential Fixed Rate – (continued) | ||||||||||||||||
| Commercial Mortgage-Backed Securities – 6.4% | ||||||||||||||||
| Adjustable Rate Non-Agency(b) – 0.7% | ||||||||||||||||
Wachovia Bank Commercial Mortgage Trust Series 2006-C25, Class A5 | ||||||||||||||||
| $ | 1,200,000 | 5.737 | % | 05/15/43 | $ | 1,292,116 | ||||||||||
| Agency Multi-Family – 0.1% | ||||||||||||||||
| GNMA | ||||||||||||||||
| 200,000 | 3.950 | 07/15/25 | 200,954 | |||||||||||||
| Sequential Fixed Rate – 5.6% | ||||||||||||||||
CWCapital Cobalt Ltd. Series 2006-C1, Class A4 | ||||||||||||||||
| 1,052,000 | 5.223 | 08/15/48 | 1,087,319 | |||||||||||||
GE Capital Commercial Mortgage Corp. Series 2002-1A, Class A3 | ||||||||||||||||
| 2,618,120 | 6.269 | 12/10/35 | 2,734,312 | |||||||||||||
Greenwich Capital Commercial Funding Corp. Series 2007-GG9, Class A4 | ||||||||||||||||
| 1,200,000 | 5.444 | 03/10/39 | 1,267,972 | |||||||||||||
J.P. Morgan Chase Commercial Mortgage Securities Corp. Series 2005-LDP2, Class A4 | ||||||||||||||||
| 1,500,000 | 4.738 | 07/15/42 | 1,590,158 | |||||||||||||
Morgan Stanley Dean Witter Capital I Series 2003-TOP9, Class A2 | ||||||||||||||||
| 2,700,000 | 4.740 | 11/13/36 | 2,820,660 | |||||||||||||
| 9,500,421 | ||||||||||||||||
| TOTAL COMMERCIAL MORTGAGE-BACKED SECURITIES | $ | 10,993,491 | ||||||||||||||
| Federal Agencies – 42.8% | ||||||||||||||||
| Adjustable Rate FHLMC(b) – 1.6% | ||||||||||||||||
| $ | 1,814,170 | 2.589 | % | 09/01/35 | $ | 1,901,686 | ||||||||||
| 786,896 | 4.775 | 10/01/35 | 820,812 | |||||||||||||
| 2,722,498 | ||||||||||||||||
| Adjustable Rate FNMA(b) – 1.6% | ||||||||||||||||
| 599,781 | 2.202 | 05/01/33 | 621,245 | |||||||||||||
| 860,681 | 2.582 | 05/01/35 | 898,338 | |||||||||||||
| 1,101,931 | 2.843 | 09/01/35 | 1,160,434 | |||||||||||||
| 2,680,017 | ||||||||||||||||
| FHLMC – 9.0% | ||||||||||||||||
| 3,760 | 7.000 | 11/01/11 | 3,841 | |||||||||||||
| 2,463 | 7.000 | 12/01/11 | 2,516 | |||||||||||||
| 33,285 | 7.500 | 06/01/15 | 36,317 | |||||||||||||
| 146,480 | 7.000 | 07/01/16 | 158,783 | |||||||||||||
| 660,015 | 5.500 | 02/01/18 | 711,305 | |||||||||||||
| 50,174 | 5.500 | 04/01/18 | 54,073 | |||||||||||||
| 17,851 | 4.500 | 09/01/18 | 18,813 | |||||||||||||
| 89,625 | 5.500 | 09/01/18 | 96,589 | |||||||||||||
| 10,039 | 9.500 | 08/01/19 | 11,208 | |||||||||||||
| 216,450 | 6.500 | 10/01/20 | 240,010 | |||||||||||||
| 34,974 | 4.500 | 07/01/24 | 36,929 | |||||||||||||
| 192,194 | 4.500 | 11/01/24 | 202,938 | |||||||||||||
| 44,446 | 4.500 | 12/01/24 | 46,930 | |||||||||||||
| 64,170 | 6.000 | 03/01/29 | 70,520 | |||||||||||||
| 41,766 | 7.500 | 12/01/29 | 48,030 | |||||||||||||
| 390,045 | 7.000 | 05/01/32 | 435,618 | |||||||||||||
| 1,230 | 6.000 | 08/01/32 | 1,351 | |||||||||||||
| 212,577 | 7.000 | 12/01/32 | 237,415 | |||||||||||||
| 41,529 | 5.000 | 12/01/35 | 43,672 | |||||||||||||
| 48,142 | 6.000 | 09/01/37 | 52,845 | |||||||||||||
| 74,212 | 6.000 | 02/01/38 | 81,507 | |||||||||||||
| 290,208 | 6.000 | 07/01/38 | 318,610 | |||||||||||||
| 52,266 | 6.000 | 10/01/38 | 57,478 | |||||||||||||
| 15,931 | 6.000 | 11/01/38 | 17,460 | |||||||||||||
| 914,192 | 4.500 | 09/01/39 | 942,975 | |||||||||||||
| 93,325 | 4.500 | 10/01/39 | 96,263 | |||||||||||||
| 928,199 | 5.500 | 01/01/40 | 988,500 | |||||||||||||
| 1,000,000 | 4.500 | TBA-30yr | (f) | 1,024,922 | ||||||||||||
| 1,000,000 | 5.000 | TBA-30yr | (f) | 1,048,828 | ||||||||||||
| 2,000,000 | 4.000 | TBA-30yr | (f) | 1,985,312 | ||||||||||||
| 6,000,000 | 5.500 | TBA-30yr | (f) | 6,393,282 | ||||||||||||
| 15,464,840 | ||||||||||||||||
| FNMA – 27.5% | ||||||||||||||||
| 9,848 | 6.000 | 08/01/13 | 10,676 | |||||||||||||
| 88,627 | 7.500 | 08/01/15 | 97,127 | |||||||||||||
| 40,537 | 6.000 | 04/01/16 | 44,095 | |||||||||||||
| 78,102 | 6.500 | 05/01/16 | 85,085 | |||||||||||||
| 118,899 | 6.500 | 09/01/16 | 129,528 | |||||||||||||
| 149,755 | 6.500 | 11/01/16 | 163,143 | |||||||||||||
| 42,223 | 6.000 | 12/01/16 | 45,929 | |||||||||||||
| 313,805 | 6.000 | 02/01/17 | 341,772 | |||||||||||||
| 41,268 | 7.500 | 04/01/17 | 44,174 | |||||||||||||
| 480,789 | 6.000 | 10/01/17 | 523,637 | |||||||||||||
| 591,731 | 5.500 | 02/01/18 | 638,905 | |||||||||||||
| 669,019 | 5.000 | 05/01/18 | 715,466 | |||||||||||||
| 48,297 | 6.500 | 08/01/18 | 53,027 | |||||||||||||
| 224,008 | 7.000 | 08/01/18 | 252,764 | |||||||||||||
| 2,109,459 | 4.000 | 09/01/18 | 2,199,823 | |||||||||||||
| 326,111 | 5.000 | 04/01/19 | 349,727 | |||||||||||||
| 9,850 | 5.000 | 06/01/23 | 10,447 | |||||||||||||
| 693,554 | 5.500 | 09/01/23 | 747,874 | |||||||||||||
| 133,614 | 5.500 | 10/01/23 | 144,335 | |||||||||||||
| 28,553 | 4.500 | 07/01/24 | 30,242 | |||||||||||||
| 441,990 | 4.500 | 11/01/24 | 468,147 | |||||||||||||
| 151,033 | 4.500 | 12/01/24 | 159,971 | |||||||||||||
| 6,764 | 7.000 | 11/01/25 | 7,976 | |||||||||||||
| 44,576 | 9.000 | 11/01/25 | 51,846 | |||||||||||||
| 186,761 | 7.000 | 08/01/26 | 211,926 | |||||||||||||
| 1,842 | 7.000 | 08/01/27 | 2,082 | |||||||||||||
| 12,765 | 7.000 | 09/01/27 | 14,427 | |||||||||||||
| 66,885 | 6.000 | 12/01/27 | 72,784 | |||||||||||||
| 384,516 | 6.000 | 02/01/29 | 424,166 | |||||||||||||
| 355,220 | 6.000 | 06/01/29 | 391,403 | |||||||||||||
| 1,144 | 7.000 | 09/01/29 | 1,293 | |||||||||||||
| 63,460 | 8.000 | 10/01/29 | 73,283 | |||||||||||||
| 24,611 | 7.000 | 12/01/29 | 27,822 | |||||||||||||
| 1,551 | 8.500 | 04/01/30 | 1,801 | |||||||||||||
| 7,713 | 8.000 | 05/01/30 | 8,790 | |||||||||||||
| 26,586 | 7.000 | 05/01/32 | 30,502 | |||||||||||||
| 194,767 | 7.000 | 06/01/32 | 219,419 | |||||||||||||
| 247,622 | 7.000 | 08/01/32 | 278,965 | |||||||||||||
GOLDMAN SACHS VARIABLE INSURANCE TRUST CORE FIXED INCOME FUND
| Principal | Interest | Maturity | ||||||||||||||
| Amount | Rate | Date | Value | |||||||||||||
Mortgage-Backed Obligations – (continued) | ||||||||||||||||
| FNMA – (continued) | ||||||||||||||||
| $ | 51,257 | 8.000 | % | 08/01/32 | $ | 59,341 | ||||||||||
| 25,113 | 5.000 | 08/01/33 | 26,510 | |||||||||||||
| 3,409 | 5.500 | 09/01/33 | 3,666 | |||||||||||||
| 4,290 | 5.500 | 02/01/34 | 4,613 | |||||||||||||
| 42,432 | 5.500 | 12/01/34 | 46,365 | |||||||||||||
| 95,991 | 5.000 | 04/01/35 | 101,181 | |||||||||||||
| 287,082 | 6.000 | 04/01/35 | 316,249 | |||||||||||||
| 13,995 | 5.000 | 09/01/35 | 14,762 | |||||||||||||
| 5,753 | 5.500 | 09/01/35 | 6,182 | |||||||||||||
| 1,068 | 5.500 | 04/01/37 | 1,871 | |||||||||||||
| 1,257 | 5.500 | 05/01/37 | 1,350 | |||||||||||||
| 45,648 | 6.000 | 06/01/37 | 50,152 | |||||||||||||
| 13,872 | 6.000 | 07/01/37 | 15,241 | |||||||||||||
| 20,074 | 6.000 | 10/01/37 | 22,058 | |||||||||||||
| 19,550 | 6.000 | 11/01/37 | 21,483 | |||||||||||||
| 234,801 | 5.500 | 12/01/37 | 251,139 | |||||||||||||
| 96,062 | 6.000 | 12/01/37 | 105,825 | |||||||||||||
| 507,297 | 5.500 | 01/01/38 | 542,595 | |||||||||||||
| 150,957 | 6.000 | 02/01/38 | 165,852 | |||||||||||||
| 1,539 | 5.500 | 03/01/38 | 1,654 | |||||||||||||
| 95,873 | 6.000 | 03/01/38 | 105,378 | |||||||||||||
| 307,883 | 5.500 | 05/01/38 | 329,209 | |||||||||||||
| 46,386 | 6.000 | 05/01/38 | 51,144 | |||||||||||||
| 308,010 | 5.500 | 06/01/38 | 329,350 | |||||||||||||
| 68,037 | 6.000 | 06/01/38 | 74,948 | |||||||||||||
| 76,981 | 5.500 | 07/01/38 | 82,321 | |||||||||||||
| 126,577 | 6.000 | 07/01/38 | 139,596 | |||||||||||||
| 1,914 | 5.500 | 08/01/38 | 2,056 | |||||||||||||
| 39,055 | 6.000 | 08/01/38 | 43,104 | |||||||||||||
| 974 | 5.500 | 09/01/38 | 1,047 | |||||||||||||
| 22,352 | 5.500 | 10/01/38 | 24,017 | |||||||||||||
| 53,195 | 6.000 | 10/01/38 | 58,710 | |||||||||||||
| 55,055 | 6.000 | 11/01/38 | 60,763 | |||||||||||||
| 406,016 | 5.000 | 01/01/39 | 429,003 | |||||||||||||
| 71,284 | 4.500 | 08/01/39 | 73,476 | |||||||||||||
| 209,190 | 4.500 | 12/01/39 | 216,078 | |||||||||||||
| 50,671 | 4.500 | 01/01/40 | 52,340 | |||||||||||||
| 2,000,000 | 5.000 | TBA-15yr | (f) | 2,123,594 | ||||||||||||
| 3,000,000 | 3.000 | TBA-15yr | (f) | 2,929,687 | ||||||||||||
| 7,000,000 | 4.000 | TBA-30yr | (f) | 6,963,359 | ||||||||||||
| 11,000,000 | 4.500 | TBA-30yr | (f) | 11,293,047 | ||||||||||||
| 10,000,000 | 5.500 | TBA-30yr | (f) | 10,699,219 | ||||||||||||
| 46,913,914 | ||||||||||||||||
| GNMA – 3.1% | ||||||||||||||||
| 4,010 | 7.000 | 03/15/12 | 3,958 | |||||||||||||
| 11,886 | 7.000 | 10/15/25 | 13,589 | |||||||||||||
| 19,035 | 7.000 | 11/15/25 | 21,764 | |||||||||||||
| 2,991 | 7.000 | 02/15/26 | 3,423 | |||||||||||||
| 11,743 | 7.000 | 04/15/26 | 13,437 | |||||||||||||
| 6,779 | 7.000 | 03/15/27 | 7,740 | |||||||||||||
| 112,740 | 7.000 | 11/15/27 | 128,727 | |||||||||||||
| 6,544 | 7.000 | 01/15/28 | 7,477 | |||||||||||||
| 41,230 | 7.000 | 02/15/28 | 47,103 | |||||||||||||
| 15,812 | 7.000 | 03/15/28 | 18,065 | |||||||||||||
| 4,154 | 7.000 | 04/15/28 | 4,746 | |||||||||||||
| 12,165 | 7.000 | 06/15/28 | 14,651 | |||||||||||||
| 28,446 | 7.000 | 07/15/28 | 32,498 | |||||||||||||
| 15,384 | 7.000 | 08/15/28 | 17,576 | |||||||||||||
| 38,661 | 7.000 | 09/15/28 | 44,169 | |||||||||||||
| 4,422 | 7.000 | 11/15/28 | 5,052 | |||||||||||||
| 5,283 | 7.500 | 11/15/30 | 5,935 | |||||||||||||
| 3,280 | 7.000 | 10/15/31 | 3,747 | |||||||||||||
| 26,109 | 7.500 | 10/15/32 | 31,059 | |||||||||||||
| 745,348 | 6.000 | 08/20/34 | 820,008 | |||||||||||||
| 2,000,000 | 3.500 | TBA-30yr | (f) | 1,925,000 | ||||||||||||
| 2,000,000 | 4.500 | TBA-30yr | (f) | 2,070,781 | ||||||||||||
| 5,240,505 | ||||||||||||||||
TOTAL FEDERAL AGENCIES | $ | 73,021,774 | ||||||||||||||
TOTAL MORTGAGE-BACKED OBLIGATIONS | ||||||||||||||||
| (Cost $102,168,653) | $ | 102,407,359 | ||||||||||||||
Agency Debentures – 1.0% | ||||||||||||||||
| FHLMC | ||||||||||||||||
| $ | 600,000 | 5.250 | % | 04/18/16 | $ | 684,453 | ||||||||||
Tennessee Valley Authority(g) | ||||||||||||||||
| 900,000 | 5.375 | 04/01/56 | 966,921 | |||||||||||||
TOTAL AGENCY DEBENTURES | ||||||||||||||||
| (Cost $1,576,592) | $ | 1,651,374 | ||||||||||||||
Asset-Backed Securities – 1.3% | ||||||||||||||||
| Home Equity – 0.2% | ||||||||||||||||
GMAC Mortgage Corp. Loan Trust Series 2007-HE3, Class 1A1 | ||||||||||||||||
| $ | 165,178 | 7.000 | % | 09/25/37 | $ | 120,840 | ||||||||||
GMAC Mortgage Corp. Loan Trust Series 2007-HE3, Class 2A1 | ||||||||||||||||
| 207,787 | 7.000 | 09/25/37 | 145,314 | |||||||||||||
| 266,154 | ||||||||||||||||
| Student Loans(b) – 1.1% | ||||||||||||||||
College Loan Corp. Trust Series 2006-1, Class A3 | ||||||||||||||||
| 1,000,000 | 0.378 | 10/25/25 | 984,384 | |||||||||||||
Goal Capital Funding Trust Series 2010-1, Class A(a) | ||||||||||||||||
| 290,126 | 0.984 | 08/25/48 | 284,428 | |||||||||||||
Knowledgeworks Foundation Series 2010-1, Class A | ||||||||||||||||
| 292,239 | 1.238 | 02/25/42 | 289,585 | |||||||||||||
Nelnet Student Loan Trust Series 2010-3A, Class A(a) | ||||||||||||||||
| 394,262 | 1.068 | 07/27/48 | 393,409 | |||||||||||||
| 1,951,806 | ||||||||||||||||
TOTAL ASSET-BACKED SECURITIES | ||||||||||||||||
| (Cost $2,329,302) | $ | 2,217,960 | ||||||||||||||
GOLDMAN SACHS VARIABLE INSURANCE TRUST CORE FIXED INCOME FUND
Schedule of Investments (continued)
December 31, 2010
| Principal | Interest | Maturity | ||||||||||||||
| Amount | Rate | Date | Value | |||||||||||||
Foreign Debt Obligations – 7.0% | ||||||||||||||||
| Sovereign – 6.6% | ||||||||||||||||
| Federal Republic of Brazil | ||||||||||||||||
| $ | 220,000 | 8.250 | % | 01/20/34 | $ | 293,150 | ||||||||||
| 200,000 | 7.125 | 01/20/37 | 238,500 | |||||||||||||
| Republic of Peru | ||||||||||||||||
| 40,000 | 5.625 | 11/18/50 | 37,000 | |||||||||||||
| Republic of South Africa Series R204 | ||||||||||||||||
| ZAR | 8,300,000 | 8.000 | 12/21/18 | 1,254,431 | ||||||||||||
| State of Qatar | ||||||||||||||||
| $ | 260,000 | 5.150 | 04/09/14 | 279,500 | ||||||||||||
| 560,000 | (a) | 5.250 | 01/20/20 | 593,600 | ||||||||||||
| United Kingdom Gilt | ||||||||||||||||
| GBP | 4,200,000 | 4.500 | 03/07/13 | 7,026,109 | ||||||||||||
| 1,000,000 | 2.750 | 01/22/15 | 1,602,209 | |||||||||||||
| 11,324,499 | ||||||||||||||||
| Supranational – 0.4% | ||||||||||||||||
| North American Development Bank | ||||||||||||||||
| $ | 600,000 | 4.375 | 02/11/20 | 616,839 | ||||||||||||
TOTAL FOREIGN DEBT OBLIGATIONS | ||||||||||||||||
| (Cost $11,922,788) | $ | 11,941,338 | ||||||||||||||
Municipal Debt Obligations – 2.0% | ||||||||||||||||
| California – 0.9% | ||||||||||||||||
| California State Various Purpose GO Bonds Series 2009 | ||||||||||||||||
| $ | 325,000 | 7.500 | % | 04/01/34 | $ | 336,294 | ||||||||||
| 450,000 | 7.550 | 04/01/39 | 466,713 | |||||||||||||
| California State Various Purpose GO Bonds Series 2010 | ||||||||||||||||
| 140,000 | 7.950 | 03/01/36 | 143,585 | |||||||||||||
| 575,000 | 7.625 | 03/01/40 | 599,961 | |||||||||||||
| 1,546,553 | ||||||||||||||||
| Connecticut – 0.1% | ||||||||||||||||
| Connecticut State Health & Educational Facility Authority RB,Series 2007 | ||||||||||||||||
| 150,000 | 5.000 | 07/01/42 | 151,865 | |||||||||||||
| Illinois – 0.2% | ||||||||||||||||
Illinois State GO Bonds for Build American Bonds, Series 2010-5 | ||||||||||||||||
| 275,000 | 7.350 | 07/01/35 | 269,357 | |||||||||||||
| Missouri – 0.5% | ||||||||||||||||
Missouri Higher Education Loan Authority RB Asset-Backed Notes,Series 2010 A-1(b)(h) | ||||||||||||||||
| 909,550 | 1.234 | 02/25/11 | 912,744 | |||||||||||||
| New York – 0.3% | ||||||||||||||||
| Rensselaer Polytechnic Institute Taxable Bonds,Series 2010 | ||||||||||||||||
| 475,000 | 5.600 | 09/01/20 | 489,972 | |||||||||||||
TOTAL MUNICIPAL DEBT OBLIGATIONS | ||||||||||||||||
| (Cost $3,345,192) | $ | 3,370,491 | ||||||||||||||
Government Guarantee Obligations(i) – 9.9% | ||||||||||||||||
Achmea Hypotheekbank NV(a) | ||||||||||||||||
| $ | 1,300,000 | 3.200 | % | 11/03/14 | $ | 1,352,551 | ||||||||||
ANZ National (International) Ltd.(a) | ||||||||||||||||
| 1,700,000 | 3.250 | 04/02/12 | 1,749,048 | |||||||||||||
BRFkredit AS(a) | ||||||||||||||||
| 1,700,000 | 2.050 | 04/15/13 | 1,728,703 | |||||||||||||
Commonwealth Bank of Australia(a) | ||||||||||||||||
| 700,000 | 2.500 | 12/10/12 | 721,463 | |||||||||||||
Danske Bank A/S(a) | ||||||||||||||||
| 400,000 | 2.500 | 05/10/12 | 409,751 | |||||||||||||
FIH Erhvervsbank A/S(a) | ||||||||||||||||
| 1,400,000 | 1.750 | 12/06/12 | 1,418,356 | |||||||||||||
| 400,000 | 2.000 | 06/12/13 | 406,643 | |||||||||||||
| Landwirtschaftliche Rentenbank | ||||||||||||||||
| 1,400,000 | 4.125 | 07/15/13 | 1,502,067 | |||||||||||||
LeasePlan Corp. NV(a) | ||||||||||||||||
| 1,000,000 | 3.000 | 05/07/12 | 1,027,364 | |||||||||||||
Royal Bank of Scotland Group PLC(a) | ||||||||||||||||
| 1,900,000 | 1.500 | 03/30/12 | 1,916,367 | |||||||||||||
Swedbank AB(a) | ||||||||||||||||
| 900,000 | 2.800 | 02/10/12 | 919,242 | |||||||||||||
Swedish Housing Finance Corp.(a) | ||||||||||||||||
| 300,000 | 3.125 | 03/23/12 | 308,545 | |||||||||||||
Westpac Banking Corp.(a) | ||||||||||||||||
| 2,000,000 | 3.250 | 12/16/11 | 2,049,780 | |||||||||||||
| 1,200,000 | 1.900 | 12/14/12 | 1,220,294 | |||||||||||||
Westpac Securities NZ Ltd.(a) | ||||||||||||||||
| 200,000 | 2.500 | 05/25/12 | 204,658 | |||||||||||||
TOTAL GOVERNMENT GUARANTEE OBLIGATIONS | ||||||||||||||||
| (Cost $16,638,648) | $ | 16,934,832 | ||||||||||||||
U.S. Treasury Obligations – 1.9% | ||||||||||||||||
| United States Treasury Inflation-Protected Securities | ||||||||||||||||
| $ | 928,232 | 2.375 | % | 01/15/25 | $ | 1,033,531 | ||||||||||
| 601,722 | 1.250 | 07/15/20 | 616,669 | |||||||||||||
| 271,133 | 2.375 | 01/15/27 | 301,339 | |||||||||||||
United States Treasury Principal-Only STRIPS(j) | ||||||||||||||||
| 2,000,000 | 0.000 | 11/15/21 | 1,332,280 | |||||||||||||
TOTAL U.S. TREASURY OBLIGATIONS | ||||||||||||||||
| (Cost $3,185,779) | $ | 3,283,819 | ||||||||||||||
GOLDMAN SACHS VARIABLE INSURANCE TRUST CORE FIXED INCOME FUND
| Shares | Rate | Value | ||||||||
Short-term Investment(b) – 24.2% | ||||||||||
| JPMorgan U.S. Government Money Market Fund – Capital Shares | ||||||||||
| 41,309,881 | 0.043% | $ | 41,309,881 | |||||||
| (Cost $41,309,881) | ||||||||||
TOTAL INVESTMENTS – 126.6% | ||||||||||
| (Cost $214,118,475) | $ | 216,113,158 | ||||||||
LIABILITIES IN EXCESS OF OTHER ASSETS – (26.6)% | (45,392,807 | ) | ||||||||
| NET ASSETS – 100.0% | $ | 170,720,351 | ||||||||
The percentage shown for each investment category reflects the value of investments in that category as a percentage of net assets.
| (a) | 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 $34,038,837, which represents approximately 19.9% of net assets as of December 31, 2010. | |
| (b) | Variable rate security. Interest rate disclosed is that which is in effect at December 31, 2010. | |
| (c) | Securities with “Call” features and interest rate. Maturity date disclosed is the final maturity date. | |
| (d) | Represents security with notional or nominal principal amount. The actual effective yield of this security is different than the stated interest rate. | |
| (e) | 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 $48,457,031, which represents approximately 28.4% of net assets as of December 31, 2010. | |
| (g) | All or a portion of security is segregated as collateral for initial margin requirements on futures transactions. | |
| (h) | Maturity date disclosed is the next interest reset date. | |
| (i) | Guaranteed by a foreign government until maturity. | |
| (j) | Issued with zero coupon. Income is recognized through the accretion of discount. |
| 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 | ||||
| RB | — | Revenue Bond | ||||
| REMIC | — | Real Estate Mortgage Investment Conduit | ||||
| STRIPS | — | Separate Trading of Registered Interest and Principal of Securities | ||||
| UK | — | United Kingdom | ||||
| Currency Abbreviations: | ||||||
| AUD | — | Australian Dollar | ||||
| CAD | — | Canadian Dollar | ||||
| CHF | — | Swiss Franc | ||||
| EUR | — | Euro Dollar | ||||
| GBP | — | British Pound | ||||
| JPY | — | Japanese Yen | ||||
| NOK | — | Norwegian Krone | ||||
| NZD | — | New Zealand dollar | ||||
| SEK | — | Swedish Krona | ||||
| USD | — | United States Dollar | ||||
| ZAR | — | South African Rand | ||||
GOLDMAN SACHS VARIABLE INSURANCE TRUST CORE FIXED INCOME FUND
Schedule of Investments (continued)
December 31, 2010
ADDITIONAL INVESTMENT INFORMATION
FORWARD FOREIGN CURRENCY EXCHANGE CONTRACTS — At December 31, 2010, the Fund had outstanding forward foreign currency exchange contracts, both to purchase and sell foreign currencies:
FORWARD FOREIGN CURRENCY EXCHANGE CONTRACTS WITH UNREALIZED GAIN
| Contracts | Expiration | Current | Unrealized | |||||||||||
| Counterparty | to Buy/Sell | Date | Value | Gain | ||||||||||
| Barclays Bank PLC | SEK/EUR | 3/16/11 | $ | 131,957 | $ | 2,851 | ||||||||
| Citibank NA | NZD/USD | 3/16/11 | 127,843 | 5,790 | ||||||||||
| Credit Suisse (International) Holding AG | EUR/USD | 3/16/11 | 201,740 | 1,220 | ||||||||||
| Deutsche Bank Securities, Inc. | CAD/EUR | 3/16/11 | 251,137 | 1,300 | ||||||||||
| NZD/AUD | 3/16/11 | 205,881 | 99 | |||||||||||
| NZD/USD | 3/16/11 | 203,464 | 8,886 | |||||||||||
| USD/GBP | 1/20/11 | 1,620,316 | 20,289 | |||||||||||
| USD/EUR | 1/11/11 | 85,083 | 657 | |||||||||||
| HSBC Bank PLC | CHF/EUR | 3/16/11 | 219,436 | 11,016 | ||||||||||
| EUR/USD | 3/16/11 | 563,928 | 1,976 | |||||||||||
| EUR/GBP | 3/16/11 | 203,076 | 4,663 | |||||||||||
| SEK/EUR | 3/16/11 | 207,506 | 3,094 | |||||||||||
| JPMorgan Chase Bank NA | EUR/USD | 3/16/11 | 376,760 | 6,995 | ||||||||||
| NOK/EUR | 3/16/11 | 347,601 | 12,110 | |||||||||||
| EUR/GBP | 3/16/11 | 203,076 | 1,262 | |||||||||||
| Morgan Stanley Co., Inc. | GBP/USD | 3/16/11 | 195,038 | 953 | ||||||||||
| Royal Bank of Canada | CAD/USD | 3/16/11 | 237,604 | 5,880 | ||||||||||
| CAD/EUR | 3/16/11 | 404,537 | 5,065 | |||||||||||
| CHF/EUR | 3/16/11 | 408,471 | 7,663 | |||||||||||
| EUR/USD | 3/16/11 | 203,076 | 1,860 | |||||||||||
| Royal Bank of Scotland | CAD/EUR | 3/16/11 | 205,782 | 1,370 | ||||||||||
| UBS AG | CHF/EUR | 3/16/11 | 213,397 | 8,985 | ||||||||||
| JPY/USD | 3/16/11 | 210,872 | 6,872 | |||||||||||
| Westpac Banking Corp. | AUD/USD | 3/16/11 | 923,037 | 53,503 | ||||||||||
| AUD/EUR | 3/16/11 | 205,649 | 6,581 | |||||||||||
| EUR/USD | 3/16/11 | 205,748 | 2,220 | |||||||||||
TOTAL | $ | 183,160 | ||||||||||||
GOLDMAN SACHS VARIABLE INSURANCE TRUST CORE FIXED INCOME FUND
| ADDITIONAL INVESTMENT INFORMATION (continued) |
FORWARD FOREIGN CURRENCY EXCHANGE CONTRACTS WITH UNREALIZED LOSS
| Contracts | Expiration | Current | Unrealized | |||||||||||
| Counterparty | to Buy/Sell | Date | Value | Loss | ||||||||||
| Citibank NA | EUR/USD | 3/16/11 | $ | 601,212 | $ | (2,765 | ) | |||||||
| EUR/SEK | 3/16/11 | 200,404 | (2,430 | ) | ||||||||||
| USD/EUR | 3/16/11 | 203,076 | (1,833 | ) | ||||||||||
| Credit Suisse (International) Holding AG | USD/EUR | 3/16/11 | 207,084 | (4,693 | ) | |||||||||
| USD/JPY | 3/16/11 | 383,714 | (11,476 | ) | ||||||||||
| Deutsche Bank Securities, Inc. | GBP/EUR | 3/16/11 | 203,585 | (3,499 | ) | |||||||||
| JPY/AUD | 3/16/11 | 123,002 | (2,698 | ) | ||||||||||
| USD/ZAR | 1/31/11 | 1,277,833 | (48,309 | ) | ||||||||||
| HSBC Bank PLC | GBP/EUR | 3/16/11 | 200,474 | (1,266 | ) | |||||||||
| SEK/NOK | 3/16/11 | 128,067 | (1,379 | ) | ||||||||||
| USD/EUR | 3/16/11 | 199,068 | (721 | ) | ||||||||||
| JPMorgan Chase Bank NA | EUR/CHF | 3/16/11 | 200,404 | (5,744 | ) | |||||||||
| EUR/CAD | 3/16/11 | 248,501 | (2,309 | ) | ||||||||||
| EUR/USD | 3/16/11 | 400,808 | (40 | ) | ||||||||||
| NOK/JPY | 3/16/11 | 127,397 | (1,207 | ) | ||||||||||
| USD/EUR | 3/16/11 | 252,641 | (4,680 | ) | ||||||||||
| Royal Bank of Canada | EUR/CAD | 3/16/11 | 200,404 | (621 | ) | |||||||||
| GBP/USD | 3/16/11 | 121,544 | (698 | ) | ||||||||||
| USD/JPY | 3/16/11 | 211,840 | (6,840 | ) | ||||||||||
| USD/AUD | 3/16/11 | 120,304 | (1,194 | ) | ||||||||||
| USD/EUR | 3/16/11 | 205,748 | (2,336 | ) | ||||||||||
| USD/GBP | 1/20/11 | 7,160,637 | (19,475 | ) | ||||||||||
| Royal Bank of Scotland | EUR/CHF | 3/16/11 | 203,076 | (9,813 | ) | |||||||||
| USD/EUR | 3/16/11 | 617,244 | (9,033 | ) | ||||||||||
| UBS AG | EUR/CHF | 3/16/11 | 204,412 | (10,421 | ) | |||||||||
| GBP/USD | 3/16/11 | 201,015 | (1,669 | ) | ||||||||||
| USD/EUR | 3/16/11 | 418,176 | (8,693 | ) | ||||||||||
| USD/JPY | 3/16/11 | 207,453 | (4,453 | ) | ||||||||||
| USD/CHF | 3/16/11 | 717,055 | (43,576 | ) | ||||||||||
TOTAL | $ | (213,871 | ) | |||||||||||
GOLDMAN SACHS VARIABLE INSURANCE TRUST CORE FIXED INCOME FUND
Schedule of Investments (continued)
December 31, 2010
| ADDITIONAL INVESTMENT INFORMATION (continued) |
FUTURES CONTRACTS — At December 31, 2010, the following futures contracts were open:
| Number of | ||||||||||||||
| Contracts | Expiration | Current | Unrealized | |||||||||||
| Type | Long (Short) | Date | Value | Gain (Loss) | ||||||||||
| Euro-Bobl | 34 | March 2011 | $ | 5,396,674 | $ | (232 | ) | |||||||
| Euro-Bund | 44 | March 2011 | 7,367,877 | 31,753 | ||||||||||
| Eurodollars | (6 | ) | March 2011 | (1,494,525 | ) | (2,414 | ) | |||||||
| Eurodollars | (6 | ) | June 2011 | (1,493,400 | ) | (3,163 | ) | |||||||
| Eurodollars | (6 | ) | September 2011 | (1,491,675 | ) | (3,613 | ) | |||||||
| Eurodollars | (6 | ) | December 2011 | (1,489,050 | ) | (3,964 | ) | |||||||
| Eurodollars | (7 | ) | March 2012 | (1,733,375 | ) | (4,070 | ) | |||||||
| U.S. Long Bonds | (16 | ) | March 2011 | (1,954,000 | ) | (19,632 | ) | |||||||
| U.S. Ultra Long Treasury Bonds | 32 | March 2011 | 4,067,000 | (44,928 | ) | |||||||||
| 2 Year U.S. Treasury Notes | 40 | March 2011 | 8,756,250 | (13,744 | ) | |||||||||
| 5 Year U.S. Treasury Notes | 133 | March 2011 | 15,656,594 | (222,987 | ) | |||||||||
| 10 Year U.S. Treasury Notes | 29 | March 2011 | 3,492,687 | (63,690 | ) | |||||||||
TOTAL | $ | (350,684 | ) | |||||||||||
GOLDMAN SACHS VARIABLE INSURANCE TRUST EQUITY INDEX FUND
Schedule of Investments
December 31, 2010
| Shares | Description | Value | ||||||||
Common Stocks – 99.7% | ||||||||||
| Automobiles & Components – 0.9% | ||||||||||
| 63,413 | Ford Motor Co.* | $ | 1,064,704 | |||||||
| 4,000 | Harley-Davidson, Inc. | 138,680 | ||||||||
| 11,235 | Johnson Controls, Inc. | 429,177 | ||||||||
| 3,800 | The Goodyear Tire & Rubber Co.* | 45,030 | ||||||||
| 1,677,591 | ||||||||||
| Banks – 3.1% | ||||||||||
| 11,700 | BB&T Corp. | 307,593 | ||||||||
| 3,050 | Comerica, Inc. | 128,832 | ||||||||
| 13,705 | Fifth Third Bancorp | 201,189 | ||||||||
| 4,487 | First Horizon National Corp.* | 52,855 | ||||||||
| 8,700 | Hudson City Bancorp, Inc. | 110,838 | ||||||||
| 12,749 | Huntington Bancshares, Inc. | 87,586 | ||||||||
| 15,300 | KeyCorp | 135,405 | ||||||||
| 2,016 | M&T Bank Corp. | 175,493 | ||||||||
| 9,100 | Marshall & Ilsley Corp. | 62,972 | ||||||||
| 6,100 | People’s United Financial, Inc. | 85,461 | ||||||||
| 8,957 | PNC Financial Services Group, Inc. | 543,869 | ||||||||
| 21,525 | Regions Financial Corp. | 150,675 | ||||||||
| 8,400 | SunTrust Banks, Inc. | 247,884 | ||||||||
| 32,251 | U.S. Bancorp | 869,809 | ||||||||
| 88,739 | Wells Fargo & Co. | 2,750,022 | ||||||||
| 2,800 | Zions Bancorporation | 67,844 | ||||||||
| 5,978,327 | ||||||||||
| Capital Goods – 8.3% | ||||||||||
| 12,039 | 3M Co. | 1,038,966 | ||||||||
| 10,771 | Caterpillar, Inc. | 1,008,812 | ||||||||
| 3,400 | Cummins, Inc. | 374,034 | ||||||||
| 9,200 | Danaher Corp. | 433,964 | ||||||||
| 7,079 | Deere & Co. | 587,911 | ||||||||
| 3,101 | Dover Corp. | 181,254 | ||||||||
| 2,900 | Eaton Corp. | 294,379 | ||||||||
| 12,696 | Emerson Electric Co. | 725,830 | ||||||||
| 2,600 | Fastenal Co. | 155,766 | ||||||||
| 1,000 | Flowserve Corp. | 119,220 | ||||||||
| 2,982 | Fluor Corp. | 197,587 | ||||||||
| 6,406 | General Dynamics Corp. | 454,570 | ||||||||
| 179,908 | General Electric Co. | 3,290,517 | ||||||||
| 2,137 | Goodrich Corp. | 188,206 | ||||||||
| 13,008 | Honeywell International, Inc. | 691,505 | ||||||||
| 8,400 | Illinois Tool Works, Inc. | 448,560 | ||||||||
| 5,500 | Ingersoll-Rand PLC | 258,995 | ||||||||
| 3,100 | ITT Corp. | 161,541 | ||||||||
| 2,100 | Jacobs Engineering Group, Inc.* | 96,285 | ||||||||
| 2,000 | L-3 Communications Holdings, Inc. | 140,980 | ||||||||
| 4,951 | Lockheed Martin Corp. | 346,124 | ||||||||
| 6,500 | Masco Corp. | 82,290 | ||||||||
| 4,992 | Northrop Grumman Corp. | 323,382 | ||||||||
| 6,093 | PACCAR, Inc. | 349,860 | ||||||||
| 2,000 | Pall Corp. | 99,160 | ||||||||
| 2,748 | Parker Hannifin Corp. | 237,152 | ||||||||
| 2,400 | Precision Castparts Corp. | 334,104 | ||||||||
| 3,500 | Quanta Services, Inc.* | 69,720 | ||||||||
| 6,176 | Raytheon Co. | 286,196 | ||||||||
| 2,400 | Rockwell Automation, Inc. | 172,104 | ||||||||
| 2,660 | Rockwell Collins, Inc. | 154,972 | ||||||||
| 1,600 | Roper Industries, Inc. | 122,288 | ||||||||
| 1,003 | Snap-On, Inc. | 56,750 | ||||||||
| 4,500 | Textron, Inc. | 106,380 | ||||||||
| 12,367 | The Boeing Co. | 807,070 | ||||||||
| 8,300 | Tyco International Ltd. | 343,952 | ||||||||
| 15,514 | United Technologies Corp. | 1,221,262 | ||||||||
| 933 | W.W. Grainger, Inc. | 128,857 | ||||||||
| 16,090,505 | ||||||||||
| Commercial & Professional Services – 0.6% | ||||||||||
| 1,800 | Avery Dennison Corp. | 76,212 | ||||||||
| 2,300 | Cintas Corp. | 64,308 | ||||||||
| 800 | Dun & Bradstreet Corp. | 65,672 | ||||||||
| 2,050 | Equifax, Inc. | 72,980 | ||||||||
| 3,600 | Iron Mountain, Inc. | 90,036 | ||||||||
| 3,500 | Pitney Bowes, Inc. | 84,630 | ||||||||
| 3,500 | R.R. Donnelley & Sons Co. | 61,145 | ||||||||
| 5,310 | Republic Services, Inc. | 158,556 | ||||||||
| 2,500 | Robert Half International, Inc. | 76,500 | ||||||||
| 1,400 | Stericycle, Inc.* | 113,288 | ||||||||
| 8,149 | Waste Management, Inc. | 300,454 | ||||||||
| 1,163,781 | ||||||||||
| Consumer Durables & Apparel – 1.1% | ||||||||||
| 5,000 | Coach, Inc. | 276,550 | ||||||||
| 4,700 | D.R. Horton, Inc. | 56,071 | ||||||||
| 2,600 | Fortune Brands, Inc. | 156,650 | ||||||||
| 1,100 | Harman International Industries, Inc.* | 50,930 | ||||||||
| 2,221 | Hasbro, Inc. | 104,787 | ||||||||
| 2,500 | Leggett & Platt, Inc. | 56,900 | ||||||||
| 2,500 | Lennar Corp. Class A | 46,875 | ||||||||
| 6,151 | Mattel, Inc. | 156,420 | ||||||||
| 4,733 | Newell Rubbermaid, Inc. | 86,046 | ||||||||
| 6,459 | NIKE, Inc. Class B | 551,728 | ||||||||
| 1,100 | Polo Ralph Lauren Corp. | 122,012 | ||||||||
| 5,413 | Pulte Group, Inc.* | 40,705 | ||||||||
| 2,752 | Stanley Black & Decker, Inc. | 184,026 | ||||||||
| 1,500 | VF Corp. | 129,270 | ||||||||
| 1,359 | Whirlpool Corp. | 120,720 | ||||||||
| 2,139,690 | ||||||||||
| Consumer Services – 1.8% | ||||||||||
| 2,100 | Apollo Group, Inc. Class A* | 82,929 | ||||||||
| 7,400 | Carnival Corp. | 341,214 | ||||||||
| 2,420 | Darden Restaurants, Inc. | 112,385 | ||||||||
| 1,100 | DeVry, Inc. | 52,778 | ||||||||
| 5,500 | H&R Block, Inc. | 65,505 | ||||||||
| 4,900 | International Game Technology | 86,681 | ||||||||
| 4,963 | Marriott International, Inc. Class A | 206,163 | ||||||||
| 17,797 | McDonald’s Corp. | 1,366,098 | ||||||||
| 12,356 | Starbucks Corp. | 396,998 | ||||||||
| 3,300 | Starwood Hotels & Resorts Worldwide, Inc. | 200,574 | ||||||||
| 2,926 | Wyndham Worldwide Corp. | 87,663 | ||||||||
GOLDMAN SACHS VARIABLE INSURANCE TRUST EQUITY INDEX FUND
Schedule of Investments (continued)
December 31, 2010
| Shares | Description | Value | ||||||||
Common Stocks – (continued) | ||||||||||
| Consumer Services – (continued) | ||||||||||
| 1,300 | Wynn Resorts Ltd. | $ | 134,992 | |||||||
| 7,997 | Yum! Brands, Inc. | 392,253 | ||||||||
| 3,526,233 | ||||||||||
| Diversified Financials – 7.5% | ||||||||||
| 17,631 | American Express Co. | 756,723 | ||||||||
| 4,280 | Ameriprise Financial, Inc. | 246,314 | ||||||||
| 170,092 | Bank of America Corp. | 2,269,027 | ||||||||
| 7,833 | Capital One Financial Corp. | 333,372 | ||||||||
| 491,240 | Citigroup, Inc.* | 2,323,565 | ||||||||
| 1,139 | CME Group, Inc. | 366,473 | ||||||||
| 9,317 | Discover Financial Services | 172,644 | ||||||||
| 3,650 | E*Trade Financial Corp.* | 58,400 | ||||||||
| 1,656 | Federated Investors, Inc. Class B | 43,338 | ||||||||
| 2,430 | Franklin Resources, Inc. | 270,240 | ||||||||
| 1,200 | IntercontinentalExchange, Inc.* | 142,980 | ||||||||
| 7,800 | Invesco Ltd. | 187,668 | ||||||||
| 2,800 | Janus Capital Group, Inc. | 36,316 | ||||||||
| 66,034 | JPMorgan Chase & Co. | 2,801,162 | ||||||||
| 2,500 | Legg Mason, Inc. | 90,675 | ||||||||
| 3,200 | Leucadia National Corp. | 93,376 | ||||||||
| 3,600 | Moody’s Corp. | 95,544 | ||||||||
| 25,747 | Morgan Stanley | 700,576 | ||||||||
| 4,200 | Northern Trust Corp. | 232,722 | ||||||||
| 4,300 | NYSE Euronext | 128,914 | ||||||||
| 8,571 | SLM Corp.* | 107,909 | ||||||||
| 8,567 | State Street Corp. | 396,995 | ||||||||
| 4,400 | T. Rowe Price Group, Inc. | 283,976 | ||||||||
| 20,815 | The Bank of New York Mellon Corp. | 628,613 | ||||||||
| 16,842 | The Charles Schwab Corp. | 288,167 | ||||||||
| 8,677 | The Goldman Sachs Group, Inc.(a) | 1,459,124 | ||||||||
| 2,500 | The NASDAQ OMX Group, Inc.* | 59,275 | ||||||||
| 14,574,088 | ||||||||||
| Energy – 12.0% | ||||||||||
| 8,318 | Anadarko Petroleum Corp. | 633,499 | ||||||||
| 6,516 | Apache Corp. | 776,903 | ||||||||
| 7,415 | Baker Hughes, Inc. | 423,915 | ||||||||
| 1,700 | Cabot Oil & Gas Corp. | 64,345 | ||||||||
| 4,100 | Cameron International Corp.* | 207,993 | ||||||||
| 11,017 | Chesapeake Energy Corp. | 285,450 | ||||||||
| 34,073 | Chevron Corp. | 3,109,161 | ||||||||
| 24,752 | ConocoPhillips | 1,685,611 | ||||||||
| 3,700 | Consol Energy, Inc. | 180,338 | ||||||||
| 6,700 | Denbury Resources, Inc.* | 127,903 | ||||||||
| 7,372 | Devon Energy Corp. | 578,776 | ||||||||
| 1,200 | Diamond Offshore Drilling, Inc. | 80,244 | ||||||||
| 11,630 | El Paso Corp. | 160,029 | ||||||||
| 4,281 | EOG Resources, Inc. | 391,326 | ||||||||
| 2,400 | EQT Corp. | 107,616 | ||||||||
| 85,180 | Exxon Mobil Corp. | 6,228,362 | ||||||||
| 2,023 | FMC Technologies, Inc.* | 179,865 | ||||||||
| 15,517 | Halliburton Co. | 633,559 | ||||||||
| 1,700 | Helmerich & Payne, Inc. | 82,416 | ||||||||
| 5,000 | Hess Corp. | 382,700 | ||||||||
| 11,908 | Marathon Oil Corp. | 440,953 | ||||||||
| 1,700 | Massey Energy Co. | 91,205 | ||||||||
| 3,300 | Murphy Oil Corp. | 246,015 | ||||||||
| 4,700 | Nabors Industries Ltd.* | 110,262 | ||||||||
| 7,118 | National-Oilwell Varco, Inc. | 478,685 | ||||||||
| 2,300 | Newfield Exploration Co.* | 165,853 | ||||||||
| 3,000 | Noble Energy, Inc. | 258,240 | ||||||||
| 13,800 | Occidental Petroleum Corp. | 1,353,780 | ||||||||
| 4,506 | Peabody Energy Corp. | 288,294 | ||||||||
| 1,900 | Pioneer Natural Resources Co. | 164,958 | ||||||||
| 3,050 | QEP Resources, Inc. | 110,745 | ||||||||
| 2,800 | Range Resources Corp. | 125,944 | ||||||||
| 1,800 | Rowan Companies, Inc.* | 62,838 | ||||||||
| 23,118 | Schlumberger Ltd. | 1,930,353 | ||||||||
| 5,700 | Southwestern Energy Co.* | 213,351 | ||||||||
| 11,142 | Spectra Energy Corp. | 278,439 | ||||||||
| 1,900 | Sunoco, Inc. | 76,589 | ||||||||
| 2,200 | Tesoro Corp.* | 40,788 | ||||||||
| 9,883 | The Williams Companies, Inc. | 244,308 | ||||||||
| 9,513 | Valero Energy Corp. | 219,941 | ||||||||
| 23,221,552 | ||||||||||
| Food & Staples Retailing – 2.4% | ||||||||||
| 7,387 | Costco Wholesale Corp. | 533,415 | ||||||||
| 22,964 | CVS Caremark Corp. | 798,458 | ||||||||
| 6,400 | Safeway, Inc. | 143,936 | ||||||||
| 3,373 | SUPERVALU, Inc. | 32,482 | ||||||||
| 9,900 | Sysco Corp. | 291,060 | ||||||||
| 11,032 | The Kroger Co. | 246,676 | ||||||||
| 15,700 | Walgreen Co. | 611,672 | ||||||||
| 33,060 | Wal-Mart Stores, Inc. | 1,782,926 | ||||||||
| 2,500 | Whole Foods Market, Inc.* | 126,475 | ||||||||
| 4,567,100 | ||||||||||
| Food, Beverage & Tobacco – 5.8% | ||||||||||
| 35,226 | Altria Group, Inc. | 867,264 | ||||||||
| 10,933 | Archer-Daniels-Midland Co. | 328,865 | ||||||||
| 1,850 | Brown-Forman Corp. Class B | 128,797 | ||||||||
| 3,300 | Campbell Soup Co. | 114,675 | ||||||||
| 5,550 | Coca-Cola Enterprises, Inc. | 138,917 | ||||||||
| 7,200 | ConAgra Foods, Inc. | 162,576 | ||||||||
| 2,900 | Constellation Brands, Inc. Class A* | 64,235 | ||||||||
| 3,300 | Dean Foods Co.* | 29,172 | ||||||||
| 3,900 | Dr. Pepper Snapple Group, Inc. | 137,124 | ||||||||
| 10,724 | General Mills, Inc. | 381,667 | ||||||||
| 5,368 | H.J. Heinz Co. | 265,501 | ||||||||
| 1,200 | Hormel Foods Corp. | 61,512 | ||||||||
| 4,400 | Kellogg Co. | 224,752 | ||||||||
| 29,457 | Kraft Foods, Inc. Class A | 928,190 | ||||||||
| 2,516 | Lorillard, Inc. | 206,463 | ||||||||
| 2,300 | McCormick & Co., Inc. | 107,019 | ||||||||
| 3,402 | Mead Johnson Nutrition Co. Class A | 211,775 | ||||||||
| 2,800 | Molson Coors Brewing Co. Class B | 140,532 | ||||||||
| 26,762 | PepsiCo, Inc. | 1,748,361 | ||||||||
| 30,644 | Philip Morris International, Inc. | 1,793,593 | ||||||||
| 5,890 | Reynolds American, Inc. | 192,132 | ||||||||
GOLDMAN SACHS VARIABLE INSURANCE TRUST EQUITY INDEX FUND
| Shares | Description | Value | ||||||||
Common Stocks – (continued) | ||||||||||
| Food, Beverage & Tobacco – (continued) | ||||||||||
| 10,900 | Sara Lee Corp. | $ | 190,859 | |||||||
| 39,180 | The Coca-Cola Co. | 2,576,869 | ||||||||
| 2,600 | The Hershey Co. | 122,590 | ||||||||
| 2,034 | The J.M. Smucker Co. | 133,532 | ||||||||
| 5,400 | Tyson Foods, Inc. Class A | 92,988 | ||||||||
| 11,349,960 | ||||||||||
| Health Care Equipment & Services – 3.6% | ||||||||||
| 6,989 | Aetna, Inc. | 213,234 | ||||||||
| 4,560 | AmerisourceBergen Corp. | 155,587 | ||||||||
| 9,810 | Baxter International, Inc. | 496,582 | ||||||||
| 3,923 | Becton, Dickinson and Co. | 331,572 | ||||||||
| 24,906 | Boston Scientific Corp.* | 188,538 | ||||||||
| 1,567 | C. R. Bard, Inc. | 143,804 | ||||||||
| 5,932 | Cardinal Health, Inc. | 227,255 | ||||||||
| 3,816 | CareFusion Corp.* | 98,071 | ||||||||
| 1,200 | Cerner Corp.* | 113,688 | ||||||||
| 4,719 | CIGNA Corp. | 172,999 | ||||||||
| 2,600 | Coventry Health Care, Inc.* | 68,640 | ||||||||
| 1,700 | DaVita, Inc.* | 118,133 | ||||||||
| 2,500 | DENTSPLY International, Inc. | 85,425 | ||||||||
| 8,974 | Express Scripts, Inc.* | 485,045 | ||||||||
| 2,900 | Humana, Inc.* | 158,746 | ||||||||
| 651 | Intuitive Surgical, Inc.* | 167,795 | ||||||||
| 1,800 | Laboratory Corp. of America Holdings* | 158,256 | ||||||||
| 4,264 | McKesson Corp. | 300,100 | ||||||||
| 7,237 | Medco Health Solutions, Inc.* | 443,411 | ||||||||
| 18,158 | Medtronic, Inc. | 673,480 | ||||||||
| 1,681 | Patterson Companies, Inc. | 51,489 | ||||||||
| 2,500 | Quest Diagnostics, Inc. | 134,925 | ||||||||
| 5,580 | St. Jude Medical, Inc.* | 238,545 | ||||||||
| 5,900 | Stryker Corp. | 316,830 | ||||||||
| 8,150 | Tenet Healthcare Corp.* | 54,524 | ||||||||
| 18,670 | UnitedHealth Group, Inc. | 674,174 | ||||||||
| 2,100 | Varian Medical Systems, Inc.* | 145,488 | ||||||||
| 6,664 | WellPoint, Inc.* | 378,915 | ||||||||
| 3,317 | Zimmer Holdings, Inc.* | 178,057 | ||||||||
| 6,973,308 | ||||||||||
| Household & Personal Products – 2.4% | ||||||||||
| 7,500 | Avon Products, Inc. | 217,950 | ||||||||
| 8,148 | Colgate-Palmolive Co. | 654,855 | ||||||||
| 6,940 | Kimberly-Clark Corp. | 437,498 | ||||||||
| 2,400 | The Clorox Co. | 151,872 | ||||||||
| 2,000 | The Estee Lauder Companies, Inc. Class A | 161,400 | ||||||||
| 47,295 | The Procter & Gamble Co. | 3,042,487 | ||||||||
| 4,666,062 | ||||||||||
| Insurance – 3.9% | ||||||||||
| 5,700 | ACE Ltd. | 354,825 | ||||||||
| 7,992 | Aflac, Inc. | 450,989 | ||||||||
| 2,141 | American International Group, Inc.* | 123,364 | ||||||||
| 5,450 | Aon Corp. | 250,755 | ||||||||
| 1,800 | Assurant, Inc. | 69,336 | ||||||||
| 29,159 | Berkshire Hathaway, Inc. Class B* | 2,335,927 | ||||||||
| 2,668 | Cincinnati Financial Corp. | 84,549 | ||||||||
| 8,600 | Genworth Financial, Inc. Class A* | 113,004 | ||||||||
| 5,358 | Lincoln National Corp. | 149,006 | ||||||||
| 5,347 | Loews Corp. | 208,052 | ||||||||
| 9,188 | Marsh & McLennan Companies, Inc. | 251,200 | ||||||||
| 15,281 | MetLife, Inc. | 679,088 | ||||||||
| 5,432 | Principal Financial Group, Inc. | 176,866 | ||||||||
| 8,033 | Prudential Financial, Inc. | 471,617 | ||||||||
| 8,938 | The Allstate Corp. | 284,943 | ||||||||
| 5,149 | The Chubb Corp. | 307,086 | ||||||||
| 7,473 | The Hartford Financial Services Group, Inc. | 197,960 | ||||||||
| 11,282 | The Progressive Corp. | 224,173 | ||||||||
| 7,784 | The Travelers Companies, Inc. | 433,647 | ||||||||
| 1,441 | Torchmark Corp. | 86,085 | ||||||||
| 5,418 | Unum Group | 131,224 | ||||||||
| 5,400 | XL Group PLC | 117,828 | ||||||||
| 7,501,524 | ||||||||||
| Materials – 3.7% | ||||||||||
| 3,600 | Air Products & Chemicals, Inc. | 327,420 | ||||||||
| 1,200 | Airgas, Inc. | 74,952 | ||||||||
| 2,200 | AK Steel Holding Corp. | 36,014 | ||||||||
| 17,268 | Alcoa, Inc. | 265,755 | ||||||||
| 1,651 | Allegheny Technologies, Inc. | 91,102 | ||||||||
| 1,500 | Ball Corp. | 102,075 | ||||||||
| 1,900 | Bemis Co., Inc. | 62,054 | ||||||||
| 1,190 | CF Industries Holdings, Inc. | 160,828 | ||||||||
| 2,294 | Cliffs Natural Resources, Inc. | 178,955 | ||||||||
| 15,238 | E.I. du Pont de Nemours & Co. | 760,071 | ||||||||
| 1,200 | Eastman Chemical Co. | 100,896 | ||||||||
| 4,012 | Ecolab, Inc. | 202,285 | ||||||||
| 1,300 | FMC Corp. | 103,857 | ||||||||
| 8,018 | Freeport-McMoRan Copper & Gold, Inc. | 962,882 | ||||||||
| 1,400 | International Flavors & Fragrances, Inc. | 77,826 | ||||||||
| 7,359 | International Paper Co. | 200,459 | ||||||||
| 2,798 | MeadWestvaco Corp. | 73,196 | ||||||||
| 9,154 | Monsanto Co. | 637,485 | ||||||||
| 8,387 | Newmont Mining Corp. | 515,213 | ||||||||
| 5,400 | Nucor Corp. | 236,628 | ||||||||
| 2,800 | Owens-Illinois, Inc.* | 85,960 | ||||||||
| 2,800 | PPG Industries, Inc. | 235,396 | ||||||||
| 5,200 | Praxair, Inc. | 496,444 | ||||||||
| 2,616 | Sealed Air Corp. | 66,577 | ||||||||
| 2,100 | Sigma-Aldrich Corp. | 139,776 | ||||||||
| 19,513 | The Dow Chemical Co. | 666,174 | ||||||||
| 1,500 | The Sherwin-Williams Co. | 125,625 | ||||||||
| 1,500 | Titanium Metals Corp.* | 25,770 | ||||||||
| 2,420 | United States Steel Corp. | 141,376 | ||||||||
| 2,100 | Vulcan Materials Co. | 93,156 | ||||||||
| 7,246,207 | ||||||||||
GOLDMAN SACHS VARIABLE INSURANCE TRUST EQUITY INDEX FUND
Schedule of Investments (continued)
December 31, 2010
| Shares | Description | Value | ||||||||
Common Stocks – (continued) | ||||||||||
| Media – 3.1% | ||||||||||
| 4,100 | Cablevision Systems Corp. Class A | $ | 138,744 | |||||||
| 11,264 | CBS Corp. Class B | 214,579 | ||||||||
| 47,312 | Comcast Corp. Class A | 1,039,445 | ||||||||
| 14,192 | DIRECTV Class A* | 566,687 | ||||||||
| 4,800 | Discovery Communications, Inc. Class A* | 200,160 | ||||||||
| 4,271 | Gannett Co., Inc. | 64,449 | ||||||||
| 500 | Meredith Corp. | 17,325 | ||||||||
| 38,386 | News Corp. Class A | 558,900 | ||||||||
| 5,048 | Omnicom Group, Inc. | 231,198 | ||||||||
| 1,500 | Scripps Networks Interactive, Inc. Class A | 77,625 | ||||||||
| 8,571 | The Interpublic Group of Companies, Inc.* | 91,024 | ||||||||
| 5,308 | The McGraw-Hill Companies, Inc. | 193,264 | ||||||||
| 32,129 | The Walt Disney Co. | 1,205,159 | ||||||||
| 83 | The Washington Post Co. Class B | 36,479 | ||||||||
| 5,996 | Time Warner Cable, Inc. | 395,916 | ||||||||
| 18,871 | Time Warner, Inc. | 607,080 | ||||||||
| 10,244 | Viacom, Inc. Class B | 405,765 | ||||||||
| 6,043,799 | ||||||||||
| Pharmaceuticals, Biotechnology & Life Sciences – 7.3% | ||||||||||
| 26,098 | Abbott Laboratories | 1,250,355 | ||||||||
| 5,896 | Agilent Technologies, Inc.* | 244,271 | ||||||||
| 5,200 | Allergan, Inc. | 357,084 | ||||||||
| 16,068 | Amgen, Inc.* | 882,133 | ||||||||
| 4,115 | Biogen Idec, Inc.* | 275,911 | ||||||||
| 28,926 | Bristol-Myers Squibb Co. | 765,960 | ||||||||
| 7,900 | Celgene Corp.* | 467,206 | ||||||||
| 1,200 | Cephalon, Inc.* | 74,064 | ||||||||
| 17,142 | Eli Lilly & Co. | 600,656 | ||||||||
| 4,800 | Forest Laboratories, Inc.* | 153,504 | ||||||||
| 4,425 | Genzyme Corp.* | 315,060 | ||||||||
| 13,800 | Gilead Sciences, Inc.* | 500,112 | ||||||||
| 2,790 | Hospira, Inc.* | 155,375 | ||||||||
| 46,394 | Johnson & Johnson | 2,869,469 | ||||||||
| 3,170 | Life Technologies Corp.* | 175,935 | ||||||||
| 52,169 | Merck & Co., Inc. | 1,880,171 | ||||||||
| 7,300 | Mylan, Inc.* | 154,249 | ||||||||
| 1,900 | PerkinElmer, Inc. | 49,058 | ||||||||
| 135,156 | Pfizer, Inc. | 2,366,582 | ||||||||
| 6,768 | Thermo Fisher Scientific, Inc.* | 374,676 | ||||||||
| 1,600 | Waters Corp.* | 124,336 | ||||||||
| 1,800 | Watson Pharmaceuticals, Inc.* | 92,970 | ||||||||
| 14,129,137 | ||||||||||
| Real Estate – 1.5% | ||||||||||
| 2,080 | Apartment Investment & Management Co. Class A (REIT) | 53,747 | ||||||||
| 1,491 | AvalonBay Communities, Inc. (REIT) | 167,812 | ||||||||
| 2,427 | Boston Properties, Inc. (REIT) | 208,965 | ||||||||
| 5,200 | CB Richard Ellis Group, Inc. Class A* | 106,496 | ||||||||
| 4,800 | Equity Residential (REIT) | 249,360 | ||||||||
| 5,200 | HCP, Inc. (REIT) | 191,308 | ||||||||
| 2,400 | Health Care REIT, Inc. (REIT) | 114,336 | ||||||||
| 11,052 | Host Hotels & Resorts, Inc. (REIT) | 197,499 | ||||||||
| 6,800 | Kimco Realty Corp. (REIT) | 122,672 | ||||||||
| 2,800 | Plum Creek Timber Co., Inc. (REIT) | 104,860 | ||||||||
| 9,700 | ProLogis (REIT) | 140,068 | ||||||||
| 2,351 | Public Storage, Inc. (REIT) | 238,439 | ||||||||
| 5,007 | Simon Property Group, Inc. (REIT) | 498,147 | ||||||||
| 2,600 | Ventas, Inc. (REIT) | 136,448 | ||||||||
| 2,722 | Vornado Realty Trust (REIT) | 226,824 | ||||||||
| 8,809 | Weyerhaeuser Co. | 166,754 | ||||||||
| 2,923,735 | ||||||||||
| Retailing – 3.7% | ||||||||||
| 1,377 | Abercrombie & Fitch Co. Class A | 79,357 | ||||||||
| 5,938 | Amazon.com, Inc.* | 1,068,840 | ||||||||
| 1,072 | AutoNation, Inc.* | 30,230 | ||||||||
| 479 | AutoZone, Inc.* | 130,571 | ||||||||
| 4,424 | Bed Bath & Beyond, Inc.* | 217,440 | ||||||||
| 5,650 | Best Buy Co., Inc. | 193,738 | ||||||||
| 1,300 | Big Lots, Inc.* | 39,598 | ||||||||
| 4,000 | CarMax, Inc.* | 127,520 | ||||||||
| 3,400 | Expedia, Inc. | 85,306 | ||||||||
| 2,100 | Family Dollar Stores, Inc. | 104,391 | ||||||||
| 2,600 | GameStop Corp. Class A* | 59,488 | ||||||||
| 2,740 | Genuine Parts Co. | 140,672 | ||||||||
| 4,100 | J.C. Penney Co., Inc. | 132,471 | ||||||||
| 5,319 | Kohl’s Corp.* | 289,034 | ||||||||
| 4,500 | Limited Brands, Inc. | 138,285 | ||||||||
| 23,536 | Lowe’s Companies, Inc. | 590,283 | ||||||||
| 7,034 | Macy’s, Inc. | 177,960 | ||||||||
| 700 | Netflix, Inc.* | 122,990 | ||||||||
| 2,924 | Nordstrom, Inc. | 123,919 | ||||||||
| 2,400 | O’Reilly Automotive, Inc.* | 145,008 | ||||||||
| 810 | Priceline.com, Inc.* | 323,635 | ||||||||
| 1,700 | RadioShack Corp. | 31,433 | ||||||||
| 1,978 | Ross Stores, Inc. | 125,109 | ||||||||
| 700 | Sears Holdings Corp.* | 51,625 | ||||||||
| 12,497 | Staples, Inc. | 284,557 | ||||||||
| 12,039 | Target Corp. | 723,905 | ||||||||
| 7,550 | The Gap, Inc. | 167,157 | ||||||||
| 27,864 | The Home Depot, Inc. | 976,912 | ||||||||
| 6,693 | The TJX Companies, Inc. | 297,102 | ||||||||
| 2,100 | Tiffany & Co. | 130,767 | ||||||||
| 2,100 | Urban Outfitters, Inc.* | 75,201 | ||||||||
| 7,184,504 | ||||||||||
| Semiconductors & Semiconductor Equipment – 2.5% | ||||||||||
| 10,200 | Advanced Micro Devices, Inc.* | 83,436 | ||||||||
| 5,274 | Altera Corp. | 187,649 | ||||||||
| 4,900 | Analog Devices, Inc. | 184,583 | ||||||||
| 22,722 | Applied Materials, Inc. | 319,244 | ||||||||
| 7,650 | Broadcom Corp. Class A | 333,158 | ||||||||
| 880 | First Solar, Inc.* | 114,523 | ||||||||
GOLDMAN SACHS VARIABLE INSURANCE TRUST EQUITY INDEX FUND
| Shares | Description | Value | ||||||||
Common Stocks – (continued) | ||||||||||
| Semiconductors & Semiconductor Equipment – (continued) | ||||||||||
| 94,380 | Intel Corp. | $ | 1,984,811 | |||||||
| 2,825 | KLA-Tencor Corp. | 109,158 | ||||||||
| 3,800 | Linear Technology Corp. | 131,442 | ||||||||
| 10,200 | LSI Corp.* | 61,098 | ||||||||
| 3,700 | MEMC Electronic Materials, Inc.* | 41,662 | ||||||||
| 3,100 | Microchip Technology, Inc. | 106,051 | ||||||||
| 14,643 | Micron Technology, Inc.* | 117,437 | ||||||||
| 4,400 | National Semiconductor Corp. | 60,544 | ||||||||
| 1,465 | Novellus Systems, Inc.* | 47,349 | ||||||||
| 9,550 | NVIDIA Corp.* | 147,070 | ||||||||
| 3,400 | Teradyne, Inc.* | 47,736 | ||||||||
| 19,728 | Texas Instruments, Inc. | 641,160 | ||||||||
| 4,600 | Xilinx, Inc. | 133,308 | ||||||||
| 4,851,419 | ||||||||||
| Software & Services – 8.9% | ||||||||||
| 8,615 | Adobe Systems, Inc.* | 265,170 | ||||||||
| 3,000 | Akamai Technologies, Inc.* | 141,150 | ||||||||
| 3,900 | Autodesk, Inc.* | 148,980 | ||||||||
| 8,400 | Automatic Data Processing, Inc. | 388,752 | ||||||||
| 3,100 | BMC Software, Inc.* | 146,134 | ||||||||
| 6,504 | CA, Inc. | 158,958 | ||||||||
| 3,200 | Citrix Systems, Inc.* | 218,912 | ||||||||
| 5,135 | Cognizant Technology Solutions Corp. Class A* | 376,344 | ||||||||
| 2,700 | Computer Sciences Corp. | 133,920 | ||||||||
| 3,500 | Compuware Corp.* | 40,845 | ||||||||
| 19,444 | eBay, Inc.* | 541,127 | ||||||||
| 6,000 | Electronic Arts, Inc.* | 98,280 | ||||||||
| 4,700 | Fidelity National Information Services, Inc. | 128,733 | ||||||||
| 2,550 | Fiserv, Inc.* | 149,328 | ||||||||
| 4,199 | Google, Inc. Class A* | 2,494,080 | ||||||||
| 21,047 | International Business Machines Corp. | 3,088,858 | ||||||||
| 4,700 | Intuit, Inc.* | 231,710 | ||||||||
| 1,600 | Mastercard, Inc. Class A | 358,576 | ||||||||
| 2,600 | McAfee, Inc.* | 120,406 | ||||||||
| 127,147 | Microsoft Corp. | 3,549,944 | ||||||||
| 2,100 | Monster Worldwide, Inc.* | 49,623 | ||||||||
| 5,300 | Novell, Inc.* | 31,376 | ||||||||
| 65,563 | Oracle Corp. | 2,052,122 | ||||||||
| 5,509 | Paychex, Inc. | 170,283 | ||||||||
| 3,155 | Red Hat, Inc.* | 144,026 | ||||||||
| 4,933 | SAIC, Inc.* | 78,237 | ||||||||
| 2,000 | Salesforce.com, Inc.* | 264,000 | ||||||||
| 13,212 | Symantec Corp.* | 221,169 | ||||||||
| 2,800 | Teradata Corp.* | 115,248 | ||||||||
| 11,219 | The Western Union Co. | 208,337 | ||||||||
| 3,200 | Total System Services, Inc. | 49,216 | ||||||||
| 2,902 | VeriSign, Inc. | 94,808 | ||||||||
| 8,280 | Visa, Inc. Class A | 582,746 | ||||||||
| 21,800 | Yahoo!, Inc.* | 362,534 | ||||||||
| 17,203,932 | ||||||||||
| Technology Hardware & Equipment – 7.2% | ||||||||||
| 2,900 | Amphenol Corp. Class A | 153,062 | ||||||||
| 15,473 | Apple, Inc.* | 4,990,971 | ||||||||
| 93,458 | Cisco Systems, Inc.* | 1,890,655 | ||||||||
| 26,325 | Corning, Inc. | 508,599 | ||||||||
| 28,700 | Dell, Inc.* | 388,885 | ||||||||
| 34,572 | EMC Corp.* | 791,699 | ||||||||
| 1,400 | F5 Networks, Inc.* | 182,224 | ||||||||
| 2,900 | FLIR Systems, Inc.* | 86,275 | ||||||||
| 2,100 | Harris Corp. | 95,130 | ||||||||
| 38,433 | Hewlett-Packard Co. | 1,618,029 | ||||||||
| 3,083 | Jabil Circuit, Inc. | 61,937 | ||||||||
| 3,425 | JDS Uniphase Corp.* | 49,594 | ||||||||
| 9,000 | Juniper Networks, Inc.* | 332,280 | ||||||||
| 1,200 | Lexmark International, Inc. Class A* | 41,784 | ||||||||
| 2,025 | Molex, Inc. | 46,008 | ||||||||
| 38,882 | Motorola, Inc.* | 352,660 | ||||||||
| 6,011 | NetApp, Inc.* | 330,365 | ||||||||
| 1,700 | QLogic Corp.* | 28,934 | ||||||||
| 27,218 | QUALCOMM, Inc. | 1,347,019 | ||||||||
| 4,100 | SanDisk Corp.* | 204,426 | ||||||||
| 6,600 | Tellabs, Inc. | 44,748 | ||||||||
| 3,800 | Western Digital Corp.* | 128,820 | ||||||||
| 23,376 | Xerox Corp. | 269,291 | ||||||||
| 13,943,395 | ||||||||||
| Telecommunication Services – 3.1% | ||||||||||
| 6,740 | American Tower Corp. Class A* | 348,054 | ||||||||
| 99,806 | AT&T, Inc. | 2,932,300 | ||||||||
| 5,027 | CenturyLink, Inc. | 232,097 | ||||||||
| 17,008 | Frontier Communications Corp. | 165,488 | ||||||||
| 4,000 | MetroPCS Communications, Inc.* | 50,520 | ||||||||
| 30,163 | Qwest Communications International, Inc. | 229,540 | ||||||||
| 51,210 | Sprint Nextel Corp.* | 216,618 | ||||||||
| 47,843 | Verizon Communications, Inc. | 1,711,823 | ||||||||
| 7,681 | Windstream Corp. | 107,073 | ||||||||
| 5,993,513 | ||||||||||
| Transportation – 2.0% | ||||||||||
| 2,830 | C.H. Robinson Worldwide, Inc. | 226,938 | ||||||||
| 6,362 | CSX Corp. | 411,049 | ||||||||
| 3,600 | Expeditors International of Washington, Inc. | 196,560 | ||||||||
| 5,300 | FedEx Corp. | 492,953 | ||||||||
| 6,235 | Norfolk Southern Corp. | 391,683 | ||||||||
| 800 | Ryder System, Inc. | 42,112 | ||||||||
| 12,918 | Southwest Airlines Co. | 167,675 | ||||||||
| 8,320 | Union Pacific Corp. | 770,931 | ||||||||
| 16,792 | United Parcel Service, Inc. Class B | 1,218,763 | ||||||||
| 3,918,664 | ||||||||||
| Utilities – 3.3% | ||||||||||
| 2,800 | Allegheny Energy, Inc. | 67,872 | ||||||||
| 3,977 | Ameren Corp. | 112,112 | ||||||||
| 8,291 | American Electric Power Co., Inc. | 298,310 | ||||||||
GOLDMAN SACHS VARIABLE INSURANCE TRUST EQUITY INDEX FUND
Schedule of Investments (continued)
December 31, 2010
| Shares | Description | Value | ||||||||
Common Stocks – (continued) | ||||||||||
| Utilities – (continued) | ||||||||||
| 7,198 | CenterPoint Energy, Inc. | $ | 113,153 | |||||||
| 4,200 | CMS Energy Corp. | 78,120 | ||||||||
| 4,900 | Consolidated Edison, Inc. | 242,893 | ||||||||
| 3,477 | Constellation Energy Group, Inc. | 106,501 | ||||||||
| 9,947 | Dominion Resources, Inc. | 424,936 | ||||||||
| 2,800 | DTE Energy Co. | 126,896 | ||||||||
| 21,993 | Duke Energy Corp. | 391,695 | ||||||||
| 5,469 | Edison International | 211,103 | ||||||||
| 3,075 | Entergy Corp. | 217,802 | ||||||||
| 11,281 | Exelon Corp. | 469,741 | ||||||||
| 5,111 | FirstEnergy Corp. | 189,209 | ||||||||
| 1,431 | Integrys Energy Group, Inc. | 69,418 | ||||||||
| 7,046 | NextEra Energy, Inc. | 366,322 | ||||||||
| 700 | Nicor, Inc. | 34,944 | ||||||||
| 4,500 | NiSource, Inc. | 79,290 | ||||||||
| 2,790 | Northeast Utilities | 88,945 | ||||||||
| 4,300 | NRG Energy, Inc.* | 84,022 | ||||||||
| 1,700 | Oneok, Inc. | 94,299 | ||||||||
| 3,600 | Pepco Holdings, Inc. | 65,700 | ||||||||
| 6,631 | PG&E Corp. | 317,227 | ||||||||
| 2,000 | Pinnacle West Capital Corp. | 82,900 | ||||||||
| 8,151 | PPL Corp. | 214,534 | ||||||||
| 4,877 | Progress Energy, Inc. | 212,052 | ||||||||
| 8,442 | Public Service Enterprise Group, Inc. | 268,540 | ||||||||
| 1,831 | SCANA Corp. | 74,339 | ||||||||
| 4,113 | Sempra Energy | 215,850 | ||||||||
| 13,941 | Southern Co. | 532,964 | ||||||||
| 3,600 | TECO Energy, Inc. | 64,080 | ||||||||
| 11,264 | The AES Corp.* | 137,196 | ||||||||
| 2,000 | Wisconsin Energy Corp. | 117,720 | ||||||||
| 7,810 | Xcel Energy, Inc. | 183,925 | ||||||||
| 6,354,610 | ||||||||||
TOTAL COMMON STOCKS | ||||||||||
| (Cost $164,811,198) | $ | 193,222,636 | ||||||||
| Principal | Interest | Maturity | ||||||||||||||
| Amount | Rate | Date | Value | |||||||||||||
U.S. Treasury Obligation(b)(c) – 0.0% | ||||||||||||||||
| United States Treasury Bills | ||||||||||||||||
| $ | 25,000 | 0.000 | % | 01/20/11 | $ | 25,000 | ||||||||||
| 50,000 | 0.000 | 03/10/11 | 49,989 | |||||||||||||
TOTAL U.S. TREASURY OBLIGATIONS | ||||||||||||||||
| (Cost $74,989) | $ | 74,989 | ||||||||||||||
| Shares | Rate | Value | ||||||||
Short-term Investment(d) – 0.2% | ||||||||||
| JPMorgan U.S. Government Money Market Fund – Capital Shares | ||||||||||
| 436,110 | 0.043% | $ | 436,110 | |||||||
| (Cost $436,110) | ||||||||||
TOTAL INVESTMENTS – 99.9% | ||||||||||
| (Cost $165,322,297) | $ | 193,733,735 | ||||||||
| OTHER ASSETS IN EXCESS OF LIABILITIES – 0.1% | 140,265 | |||||||||
| NET ASSETS – 100.0% | $ | 193,874,000 | ||||||||
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) | Issued with 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, 2010. |
| Investment Abbreviation: | ||||||
| REIT | — | Real Estate Investment Trust | ||||
ADDITIONAL INVESTMENT INFORMATION
FUTURES CONTRACTS — At December 31, 2010, the following futures contracts were open:
| Number of | ||||||||||||||
| Contracts | Expiration | Current | Unrealized | |||||||||||
| Type | Long (Short) | Date | Value | Gain (Loss) | ||||||||||
S&P 500 E-mini Index | 14 | March 2011 | $ | 877,100 | $ | 12,859 | ||||||||
GOLDMAN SACHS VARIABLE INSURANCE TRUST GOVERNMENT INCOME FUND
Schedule of Investments
December 31, 2010
| Principal | Interest | Maturity | ||||||||||||||
| Amount | Rate | Date | Value | |||||||||||||
Mortgage-Backed Obligations – 61.3% | ||||||||||||||||
| Adjustable Rate Non-Agency – 1.3% | ||||||||||||||||
| First Horizon Alternative Mortgage Securities Series 2005-AA7, Class 2A1 | ||||||||||||||||
| $ | 440,047 | 2.570 | % | 09/25/35 | (a) | $ | 303,918 | |||||||||
| Harborview Mortgage Loan Trust Series 2006-6, Class 3A1A | ||||||||||||||||
| 413,639 | 5.204 | 08/19/36 | (a) | 281,130 | ||||||||||||
| J.P. Morgan Mortgage Trust Series 2007-A1, Class 2A2 | ||||||||||||||||
| 406,093 | 3.102 | 07/25/35 | (a) | 367,927 | ||||||||||||
| 952,975 | ||||||||||||||||
| Collateralized Mortgage Obligations – 1.0% | ||||||||||||||||
| Interest Only(a)(b) – 0.0% | ||||||||||||||||
| FNMA REMIC Series 2004-47, Class EI | ||||||||||||||||
| 231,634 | 0.000 | 06/25/34 | 1,725 | |||||||||||||
| FNMA REMIC Series 2004-62, Class DI | ||||||||||||||||
| 101,315 | 0.000 | 07/25/33 | 981 | |||||||||||||
| 2,706 | ||||||||||||||||
| Sequential Fixed Rate – 1.0% | ||||||||||||||||
| Banc of America Funding Corp. Series 2007-8, Class 2A1 | ||||||||||||||||
| 567,699 | 7.000 | 10/25/37 | 420,936 | |||||||||||||
| National Credit Union Administration Guaranteed Notes Series 2010-C1, Class APT | ||||||||||||||||
| 298,521 | 2.650 | 10/29/20 | 290,500 | |||||||||||||
| 711,436 | ||||||||||||||||
| TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS | $ | 714,142 | ||||||||||||||
| Commercial Mortgage-Backed Security – 0.2% | ||||||||||||||||
| Agency Multi-Family – 0.2% | ||||||||||||||||
| GNMA | ||||||||||||||||
| $ | 100,000 | 3.950 | % | 07/15/25 | $ | 100,477 | ||||||||||
| Federal Agencies – 58.8% | ||||||||||||||||
| Adjustable Rate FHLMC(a) – 0.9% | ||||||||||||||||
| 453,542 | 2.589 | 09/01/35 | 475,421 | |||||||||||||
| 196,724 | 4.775 | 10/01/35 | 205,203 | |||||||||||||
| 680,624 | ||||||||||||||||
| Adjustable Rate FNMA(a) – 1.4% | ||||||||||||||||
| 199,927 | 2.202 | 05/01/33 | 207,082 | |||||||||||||
| 430,341 | 2.582 | 05/01/35 | 449,169 | |||||||||||||
| 324,478 | 4.047 | 12/01/35 | 340,598 | |||||||||||||
| 996,849 | ||||||||||||||||
| FHLMC – 7.1% | ||||||||||||||||
| 3,298 | 10.000 | 03/01/21 | 3,670 | |||||||||||||
| 7,710 | 6.500 | 06/01/23 | 8,535 | |||||||||||||
| 928,199 | 5.500 | 01/01/40 | 988,500 | |||||||||||||
| 2,000,000 | 4.000 | TBA-30yr | (c) | 1,985,312 | ||||||||||||
| 2,000,000 | 5.500 | TBA-30yr | (c) | 2,131,094 | ||||||||||||
| 5,117,111 | ||||||||||||||||
| FNMA – 42.6% | ||||||||||||||||
| 1,582 | 5.000 | 02/01/14 | 1,645 | |||||||||||||
| 29,775 | 5.000 | 11/01/17 | 31,866 | |||||||||||||
| 162,716 | 5.000 | 12/01/17 | 174,140 | |||||||||||||
| 127,491 | 5.000 | 01/01/18 | 136,442 | |||||||||||||
| 45,816 | 5.000 | 02/01/18 | 49,103 | |||||||||||||
| 148,955 | �� | 5.000 | 03/01/18 | 159,360 | ||||||||||||
| 434,241 | 5.000 | 04/01/18 | 465,393 | |||||||||||||
| 227,835 | 5.000 | 05/01/18 | 244,180 | |||||||||||||
| 486,509 | 5.000 | 06/01/18 | 521,311 | |||||||||||||
| 13,668 | 5.000 | 07/01/18 | 14,648 | |||||||||||||
| 843,784 | 4.000 | 09/01/18 | 879,929 | |||||||||||||
| 305,512 | 5.000 | 11/01/18 | 327,430 | |||||||||||||
| 403,536 | 5.000 | 12/01/18 | 432,486 | |||||||||||||
| 30,118 | 5.000 | 01/01/19 | 32,278 | |||||||||||||
| 70,600 | 5.000 | 02/01/19 | 75,712 | |||||||||||||
| 326,261 | 5.000 | 03/01/19 | 349,888 | |||||||||||||
| 665,320 | 5.500 | 03/01/19 | 718,598 | |||||||||||||
| 279,524 | 5.000 | 04/01/19 | 299,766 | |||||||||||||
| 355,642 | 5.000 | 06/01/19 | 381,156 | |||||||||||||
| 217,997 | 6.000 | 09/01/19 | 237,425 | |||||||||||||
| 347,863 | 5.000 | 12/01/19 | 373,013 | |||||||||||||
| 268,655 | 6.000 | 12/01/20 | 292,597 | |||||||||||||
| 11,443 | 8.000 | 09/01/21 | 13,181 | |||||||||||||
| 15,009 | 5.000 | 04/01/23 | 15,919 | |||||||||||||
| 63,011 | 5.000 | 06/01/23 | 66,913 | |||||||||||||
| 5,048 | 6.000 | 05/01/33 | 5,564 | |||||||||||||
| 25,113 | 5.000 | 08/01/33 | 26,510 | |||||||||||||
| 2,129 | 6.000 | 12/01/33 | 2,336 | |||||||||||||
| 2,099 | 6.000 | 12/01/34 | 2,297 | |||||||||||||
| 41,837 | 5.000 | 04/01/35 | 44,099 | |||||||||||||
| 2,235 | 6.000 | 04/01/35 | 2,441 | |||||||||||||
| 5,396 | 6.000 | 02/01/36 | 5,877 | |||||||||||||
| 16,597 | 6.500 | 03/01/36 | 18,555 | |||||||||||||
| 93,962 | 4.500 | 09/01/39 | 97,056 | |||||||||||||
| 91,952 | 4.500 | 10/01/39 | 94,979 | |||||||||||||
| 278,232 | 4.500 | 12/01/39 | 287,394 | |||||||||||||
| 965,224 | 5.000 | 07/01/40 | 1,015,534 | |||||||||||||
| 67,937 | 4.000 | 12/01/40 | 67,651 | |||||||||||||
| 1,932,063 | 4.000 | 01/01/41 | 1,923,941 | |||||||||||||
| 1,000,000 | 4.000 | TBA-15yr | (c) | 1,029,609 | ||||||||||||
| 1,000,000 | 3.000 | TBA-15yr | (c) | 976,563 | ||||||||||||
| 9,000,000 | 4.500 | TBA-30yr | (c) | 9,239,765 | ||||||||||||
| 2,000,000 | 5.000 | TBA-30yr | (c) | 2,102,656 | ||||||||||||
| 4,000,000 | 5.500 | TBA-30yr | (c) | 4,279,688 | ||||||||||||
| 3,000,000 | 6.000 | TBA-30yr | (c) | 3,260,157 | ||||||||||||
| 30,777,051 | ||||||||||||||||
| GNMA – 6.8% | ||||||||||||||||
| 3,000,000 | 3.500 | TBA-30yr | (c) | 2,887,500 | ||||||||||||
| 2,000,000 | 4.500 | TBA-30yr | (c) | 2,070,781 | ||||||||||||
| 4,958,281 | ||||||||||||||||
TOTAL FEDERAL AGENCIES | $ | 42,529,916 | ||||||||||||||
| TOTAL MORTGAGE-BACKED OBLIGATIONS | ||||||||||||||||
| (Cost $43,973,934) | $ | 44,297,510 | ||||||||||||||
GOLDMAN SACHS VARIABLE INSURANCE TRUST GOVERNMENT INCOME FUND
Schedule of Investments (continued)
December 31, 2010
| Principal | Interest | Maturity | ||||||||||||||
| Amount | Rate | Date | Value | |||||||||||||
Agency Debentures – 8.6% | ||||||||||||||||
| FFCB | ||||||||||||||||
| $ | 500,000 | 5.400 | % | 06/08/17 | $ | 572,798 | ||||||||||
| FHLB | ||||||||||||||||
| 800,000 | 1.750 | 12/14/12 | 816,111 | |||||||||||||
| FHLMC | ||||||||||||||||
| 1,500,000 | 4.500 | 04/02/14 | 1,649,151 | |||||||||||||
| 700,000 | 3.800 | 03/09/16 | 704,288 | |||||||||||||
| 300,000 | 5.250 | 04/18/16 | 342,227 | |||||||||||||
| FNMA | ||||||||||||||||
| 800,000 | 3.000 | 01/28/15 | 801,544 | |||||||||||||
| 1,000,000 | 3.000 | 02/17/15 | 1,003,066 | |||||||||||||
| Tennessee Valley Authority(d) | ||||||||||||||||
| 300,000 | 5.375 | 04/01/56 | 322,307 | |||||||||||||
TOTAL AGENCY DEBENTURES | ||||||||||||||||
| (Cost $6,033,224) | $ | 6,211,492 | ||||||||||||||
Asset-Backed Securities – 2.0% | ||||||||||||||||
| Credit Card – 0.7% | ||||||||||||||||
| Chase Issuance Trust Series 2005-A11, Class A(a) | ||||||||||||||||
| $ | 500,000 | 0.330 | % | 12/15/14 | $ | 498,295 | ||||||||||
| Home Equity – 0.1% | ||||||||||||||||
| GMAC Mortgage Corp. Loan Trust Series 2007-HE3, Class 1A1 | ||||||||||||||||
| 47,194 | 7.000 | 09/25/37 | 34,526 | |||||||||||||
| GMAC Mortgage Corp. Loan Trust Series 2007-HE3, Class 2A1 | ||||||||||||||||
| 59,368 | 7.000 | 09/25/37 | 41,518 | |||||||||||||
| 76,044 | ||||||||||||||||
| Student Loans – 1.2% | ||||||||||||||||
| Brazos Higher Education Auth. Series 2005-3, Class A14(a) | ||||||||||||||||
| 205,265 | 0.413 | 09/25/23 | 203,485 | |||||||||||||
| Knowledgeworks Foundation Series 2010-1, Class A(a) | ||||||||||||||||
| 292,239 | 1.238 | 02/25/42 | 289,585 | |||||||||||||
| Nelnet Student Loan Trust Series 2010-3A, Class A(a)(e) | ||||||||||||||||
| 394,262 | 1.068 | 07/27/48 | 393,409 | |||||||||||||
| 886,479 | ||||||||||||||||
TOTAL ASSET-BACKED SECURITIES | ||||||||||||||||
| (Cost $1,404,643) | $ | 1,460,818 | ||||||||||||||
Government Guarantee Obligations(f) – 8.7% | ||||||||||||||||
| Ally Financial, Inc. | ||||||||||||||||
| $ | 1,100,000 | 1.750 | % | 10/30/12 | $ | 1,120,993 | ||||||||||
| Citigroup Funding, Inc. | ||||||||||||||||
| 1,300,000 | 1.875 | 10/22/12 | 1,327,936 | |||||||||||||
| 600,000 | 1.875 | 11/15/12 | 613,044 | |||||||||||||
| General Electric Capital Corp. | ||||||||||||||||
| 700,000 | 2.125 | 12/21/12 | 719,044 | |||||||||||||
| Private Export Funding Corp. | ||||||||||||||||
| 2,000,000 | 3.550 | 04/15/13 | 2,115,735 | |||||||||||||
| U.S. Central Federal Credit Union | ||||||||||||||||
| 400,000 | 1.900 | 10/19/12 | 408,417 | |||||||||||||
TOTAL GOVERNMENT GUARANTEE OBLIGATIONS | ||||||||||||||||
| (Cost $6,202,117) | $ | 6,305,169 | ||||||||||||||
U.S. Treasury Obligations – 16.2% | ||||||||||||||||
| United States Treasury Bonds | ||||||||||||||||
| $ | 200,000 | 5.000 | % | 05/15/37 | $ | 223,094 | ||||||||||
| 800,000 | 4.375 | 05/15/40 | 804,064 | |||||||||||||
| 500,000 | 4.250 | 11/15/40 | 491,955 | |||||||||||||
| United States Treasury Inflation-Protected Securities | ||||||||||||||||
| 1,101,890 | 2.375 | 04/15/11 | 1,112,215 | |||||||||||||
| 608,205 | 3.000 | 07/15/12 | 646,406 | |||||||||||||
| 406,102 | 2.375 | 01/15/25 | 452,170 | |||||||||||||
| 200,574 | 1.250 | 07/15/20 | 205,556 | |||||||||||||
| 162,680 | 2.375 | 01/15/27 | 180,804 | |||||||||||||
| United States Treasury Notes | ||||||||||||||||
| 1,800,000 | 1.000 | 04/30/12 | 1,814,454 | |||||||||||||
| 1,800,000 | 3.125 | 10/31/16 | 1,877,778 | |||||||||||||
| 700,000 | 3.625 | 08/15/19 | 731,248 | |||||||||||||
| 800,000 | 2.625 | 11/15/20 | 754,560 | |||||||||||||
| United States Treasury Principal-Only STRIPS(g) | ||||||||||||||||
| 1,800,000 | 0.000 | 08/15/20 | 1,290,420 | |||||||||||||
| 300,000 | 0.000 | 08/15/26 | 153,747 | |||||||||||||
| 1,100,000 | 0.000 | 11/15/26 | 555,236 | |||||||||||||
| 800,000 | 0.000 | 11/15/27 | 383,920 | |||||||||||||
| TOTAL U.S. TREASURY OBLIGATIONS | ||||||||||||||||
| (Cost $11,558,561) | $ | 11,677,627 | ||||||||||||||
| Shares | Rate | Value | ||||||||||
Short-term Investment(a) – 44.8% | ||||||||||||
| JPMorgan U.S. Government Money Market Fund – Capital Shares | ||||||||||||
| 32,404,846 | 0.043 | % | $ | 32,404,846 | ||||||||
| (Cost $32,404,846) | ||||||||||||
TOTAL INVESTMENTS – 141.6% | ||||||||||||
| (Cost $101,577,325) | $ | 102,357,462 | ||||||||||
LIABILITIES IN EXCESS OF OTHER ASSETS – (41.6)% | (30,046,225 | ) | ||||||||||
| NET ASSETS – 100.0% | $ | 72,311,237 | ||||||||||
GOLDMAN SACHS VARIABLE INSURANCE TRUST GOVERNMENT INCOME FUND
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, 2010. | |
| (b) | Security with notional or nominal principal amount. The actual effective yield of this security is different than the stated interest rate. | |
| (c) | 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 $29,963,125, which represents approximately 41.4% of net assets as of December 31, 2010. | |
| (d) | A portion of security is segregated as collateral for initial margin requirements on futures transactions. | |
| (e) | 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 $393,409, which represents approximately 0.5% of net assets as of December 31, 2010. | |
| (f) | 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. | |
| (g) | 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 | ||||
| REMIC | — | Real Estate Mortgage Investment Conduit | ||||
| STRIPS | — | Separate Trading of Registered Interest and Principal of Securities | ||||
ADDITIONAL INVESTMENT INFORMATION
FORWARD SALES CONTRACTS — At December 31, 2010, the Fund had the following forward sales contract:
| Interest | Maturity | Settlement | Principal | |||||||||||||||||
| Description | Rate | Date | Date | Amount | Value | |||||||||||||||
| FNMA (Proceeds Receivable: $1,972,813) | 4.000 | % | TBA-30yr(c | ) | 01/13/11 | $ | 2,000,000 | $ | (1,989,531 | ) | ||||||||||
FUTURES CONTRACTS — At December 31, 2010, the following futures contracts were open:
| Number of | ||||||||||||||||
| Contracts | Expiration | Unrealized | ||||||||||||||
| Type | Long (Short) | Date | Current Value | Gain (Loss) | ||||||||||||
| U.S. Long Bonds | (14 | ) | March 2011 | $ | (1,709,750 | ) | $ | (17,273 | ) | |||||||
| 2 Year U.S. Treasury Notes | 6 | March 2011 | 1,313,438 | (1,891 | ) | |||||||||||
| 5 Year U.S. Treasury Notes | 68 | March 2011 | 8,004,875 | (132,278 | ) | |||||||||||
| 10 Year U.S. Treasury Notes | 24 | March 2011 | 2,890,500 | (77,507 | ) | |||||||||||
TOTAL | $ | (228,949 | ) | |||||||||||||
GOLDMAN SACHS VARIABLE INSURANCE GROWTH OPPORTUNITIES FUND
Schedule of Investments
December 31, 2010
| Shares | Description | Value | ||||||||
Common Stocks – 96.1% | ||||||||||
| Banks – 2.3% | ||||||||||
| 41,931 | First Republic Bank* | $ | 1,221,031 | |||||||
| 152,761 | People’s United Financial, Inc. | 2,140,181 | ||||||||
| 3,361,212 | ||||||||||
| Capital Goods – 8.5% | ||||||||||
| 26,691 | Alliant Techsystems, Inc.* | 1,986,611 | ||||||||
| 43,824 | DigitalGlobe, Inc.* | 1,389,659 | ||||||||
| 58,374 | Kennametal, Inc. | 2,303,438 | ||||||||
| 116,438 | Quanta Services, Inc.* | 2,319,445 | ||||||||
| 34,845 | Raytheon Co. | 1,614,717 | ||||||||
| 14,112 | Rockwell Automation, Inc. | 1,011,972 | ||||||||
| 22,370 | Roper Industries, Inc. | 1,709,739 | ||||||||
| 12,335,581 | ||||||||||
| Commercial & Professional Services – 3.8% | ||||||||||
| 114,506 | Iron Mountain, Inc. | 2,863,795 | ||||||||
| 78,167 | Verisk Analytics, Inc. Class A* | 2,663,931 | ||||||||
| 5,527,726 | ||||||||||
| Consumer Durables & Apparel – 5.8% | ||||||||||
| 146,211 | Newell Rubbermaid, Inc. | 2,658,116 | ||||||||
| 43,630 | Phillips-Van Heusen Corp. | 2,749,127 | ||||||||
| 28,072 | Polo Ralph Lauren Corp. | 3,113,746 | ||||||||
| 8,520,989 | ||||||||||
| Consumer Services – 1.5% | ||||||||||
| 40,129 | Coinstar, Inc.* | 2,264,881 | ||||||||
| Diversified Financials – 9.4% | ||||||||||
| 7,172 | Affiliated Managers Group, Inc.* | 711,606 | ||||||||
| 24,660 | IntercontinentalExchange, Inc.* | 2,938,239 | ||||||||
| 56,832 | Lazard Ltd. Class A | 2,244,296 | ||||||||
| 54,565 | Northern Trust Corp. | 3,023,446 | ||||||||
| 170,799 | SLM Corp.* | 2,150,359 | ||||||||
| 139,934 | TD Ameritrade Holding Corp. | 2,657,347 | ||||||||
| 13,725,293 | ||||||||||
| Energy – 9.2% | ||||||||||
| 64,293 | Cameron International Corp.* | 3,261,584 | ||||||||
| 21,161 | Core Laboratories NV | 1,884,387 | ||||||||
| 28,228 | Dril-Quip, Inc.* | 2,193,880 | ||||||||
| 60,649 | Petrohawk Energy Corp.* | 1,106,844 | ||||||||
| 73,893 | Southwestern Energy Co.* | 2,765,815 | ||||||||
| 19,054 | Whiting Petroleum Corp.* | 2,232,939 | ||||||||
| 13,445,449 | ||||||||||
| Health Care Equipment & Services – 9.1% | ||||||||||
| 30,521 | C. R. Bard, Inc. | 2,800,912 | ||||||||
| 84,479 | CareFusion Corp.* | 2,171,110 | ||||||||
| 81,230 | Emdeon, Inc. Class A* | 1,099,854 | ||||||||
| 40,119 | Henry Schein, Inc.* | 2,462,906 | ||||||||
| 3,866 | Intuitive Surgical, Inc.* | 996,462 | ||||||||
| 89,143 | St. Jude Medical, Inc.* | 3,810,863 | ||||||||
| 13,342,107 | ||||||||||
| Household & Personal Products – 2.0% | ||||||||||
| 101,819 | Avon Products, Inc. | 2,958,860 | ||||||||
| Insurance – 0.7% | ||||||||||
| 33,302 | Principal Financial Group, Inc. | $ | 1,084,313 | |||||||
| Materials – 2.5% | ||||||||||
| 51,290 | Ecolab, Inc. | 2,586,042 | ||||||||
| 16,379 | Schweitzer-Mauduit International, Inc. | 1,030,567 | ||||||||
| 3,616,609 | ||||||||||
| Media – 1.6% | ||||||||||
| 57,336 | Lamar Advertising Co. Class A* | 2,284,266 | ||||||||
| Real Estate – 2.0% | ||||||||||
| 141,541 | CB Richard Ellis Group, Inc. Class A* | 2,898,760 | ||||||||
| Retailing – 10.0% | ||||||||||
| 20,993 | Advance Auto Parts, Inc. | 1,388,687 | ||||||||
| 54,973 | Bed Bath & Beyond, Inc.* | 2,701,923 | ||||||||
| 43,632 | Dick’s Sporting Goods, Inc.* | 1,636,200 | ||||||||
| 118,400 | GameStop Corp. Class A* | 2,708,992 | ||||||||
| 80,188 | PetSmart, Inc. | 3,193,086 | ||||||||
| 133,532 | Staples, Inc. | 3,040,524 | ||||||||
| 14,669,412 | ||||||||||
| Semiconductors & Semiconductor Equipment – 5.3% | ||||||||||
| 39,499 | Altera Corp. | 1,405,374 | ||||||||
| 31,677 | Broadcom Corp. Class A | 1,379,533 | ||||||||
| 40,810 | Linear Technology Corp. | 1,411,618 | ||||||||
| 121,917 | Xilinx, Inc. | 3,533,155 | ||||||||
| 7,729,680 | ||||||||||
| Software & Services – 11.7% | ||||||||||
| 33,392 | Citrix Systems, Inc.* | 2,284,347 | ||||||||
| 22,067 | Equinix, Inc.* | 1,793,164 | ||||||||
| 21,352 | FleetCor Technologies, Inc.* | 660,204 | ||||||||
| 54,010 | Genpact Ltd.* | 820,952 | ||||||||
| 78,094 | Global Payments, Inc. | 3,608,724 | ||||||||
| 36,226 | GSI Commerce, Inc.* | 840,443 | ||||||||
| 47,002 | RealD, Inc.* | 1,218,292 | ||||||||
| 15,092 | Salesforce.com, Inc.* | 1,992,144 | ||||||||
| 31,935 | SuccessFactors, Inc.* | 924,838 | ||||||||
| 96,534 | The Western Union Co. | 1,792,636 | ||||||||
| 29,033 | VeriFone Systems, Inc.* | 1,119,512 | ||||||||
| 17,055,256 | ||||||||||
| Technology Hardware & Equipment – 5.0% | ||||||||||
| 54,938 | Amphenol Corp. Class A | 2,899,628 | ||||||||
| 73,474 | FLIR Systems, Inc.* | 2,185,851 | ||||||||
| 39,069 | NetApp, Inc.* | 2,147,232 | ||||||||
| 7,232,711 | ||||||||||
| Telecommunication Services – 5.0% | ||||||||||
| 42,221 | Crown Castle International Corp.* | 1,850,547 | ||||||||
| 84,781 | SBA Communications Corp. Class A* | 3,470,934 | ||||||||
| 112,379 | tw telecom, inc.* | 1,916,062 | ||||||||
| 7,237,543 | ||||||||||
GOLDMAN SACHS VARIABLE INSURANCE GROWTH OPPORTUNITIES FUND
| Shares | Description | Value | ||||||||
Common Stocks – (continued) | ||||||||||
| Transportation – 0.7% | ||||||||||
| 12,394 | C.H. Robinson Worldwide, Inc. | $ | 993,875 | |||||||
TOTAL COMMON STOCKS | ||||||||||
| (Cost $114,407,489) | $ | 140,284,523 | ||||||||
| Shares | Rate | Value | ||||||||||
Short-term Investment(a) – 4.2% | ||||||||||||
| JPMorgan U.S. Government Money Market Fund – Capital Shares | ||||||||||||
| 6,080,110 | 0.043 | % | $ | 6,080,110 | ||||||||
| (Cost $6,080,110) | ||||||||||||
TOTAL INVESTMENTS – 100.3% | ||||||||||||
| (Cost $120,487,599) | $ | 146,364,633 | ||||||||||
LIABILITIES IN EXCESS OF OTHER ASSETS – (0.3)% | (460,968 | ) | ||||||||||
| NET ASSETS – 100.0% | $ | 145,903,665 | ||||||||||
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) | Variable rate security. Interest rate disclosed is that which is in effect at December 31, 2010. |
GOLDMAN SACHS VARIABLE INSURANCE TRUST FUNDS
Statements of Assets and Liabilities
December 31, 2010
| Core | Equity | Government | Growth | |||||||||||||||||||
| Fixed Income | Index | Income | Opportunities | |||||||||||||||||||
| Fund | Fund | Fund | Fund | |||||||||||||||||||
| Assets: | ||||||||||||||||||||||
Investments in securities of unaffiliated issuers, at value (identified cost $214,118,475, $165,322,297, $101,577,325 and $120,487,599, respectively) | $ | 216,113,158 | $ | 193,733,735 | $ | 102,357,462 | $ | 146,364,633 | ||||||||||||||
Foreign currencies, at value (identified cost $834, $0, $0 and $0, respectively) | 1,155 | — | — | — | ||||||||||||||||||
| Receivables: | ||||||||||||||||||||||
Investment securities sold | 6,002,633 | — | 829,974 | — | ||||||||||||||||||
Investments sold on a delayed-delivery basis | 33,474,102 | — | 24,135,860 | — | ||||||||||||||||||
Due from custodian | 276,855 | — | — | — | ||||||||||||||||||
Interest and dividends, at value | 1,048,613 | 227,971 | 210,709 | 65,332 | ||||||||||||||||||
Forward foreign currency exchange contracts, at value | 183,160 | — | — | — | ||||||||||||||||||
Due from broker — variation margin, at value | 99,130 | — | 17,969 | — | ||||||||||||||||||
Reimbursement from investment adviser | 40,750 | 44,094 | 29,190 | 36,028 | ||||||||||||||||||
Fund shares sold | 36,945 | 61,365 | 33,111 | 40,018 | ||||||||||||||||||
Foreign tax reclaims, at value | 1,775 | — | — | — | ||||||||||||||||||
| Total assets | 257,278,276 | 194,067,165 | 127,614,275 | 146,506,011 | ||||||||||||||||||
| Liabilities: | ||||||||||||||||||||||
| Payables: | ||||||||||||||||||||||
Investment securities purchased | 3,971,268 | — | 755,842 | 336,735 | ||||||||||||||||||
Investments purchased on a delayed-delivery basis | 81,905,234 | — | 52,149,063 | — | ||||||||||||||||||
Fund shares redeemed | 279,541 | 9,852 | 284,665 | 45,130 | ||||||||||||||||||
Forward foreign currency exchange contracts, at value | 213,871 | — | — | — | ||||||||||||||||||
Amounts owed to affiliates | 97,678 | 78,451 | 50,078 | 144,356 | ||||||||||||||||||
Forward Sale Contracts, at value (proceeds receivable $0, $0, $1,972,813 and $0, respectively) | — | — | 1,989,531 | — | ||||||||||||||||||
Due to broker — variation margin, at value | — | 1,050 | — | — | ||||||||||||||||||
| Accrued expenses | 90,333 | 103,812 | 73,859 | 76,125 | ||||||||||||||||||
| Total liabilities | 86,557,925 | 193,165 | 55,303,038 | 602,346 | ||||||||||||||||||
| Net Assets: | ||||||||||||||||||||||
| Paid-in capital | 184,335,765 | 197,217,958 | 72,180,223 | 127,087,814 | ||||||||||||||||||
Accumulated undistributed net investment income | 409,365 | 265,860 | 88,071 | 16,213 | ||||||||||||||||||
Accumulated net realized loss from investment, futures and foreign currency related transactions | (15,635,124 | ) | (32,034,115 | ) | (491,526 | ) | (7,077,396 | ) | ||||||||||||||
Net unrealized gain on investments, futures and translation of assets and liabilities denominated in foreign currencies | 1,610,345 | 28,424,297 | 534,469 | 25,877,034 | ||||||||||||||||||
| NET ASSETS | $ | 170,720,351 | $ | 193,874,000 | $ | 72,311,237 | $ | 145,903,665 | ||||||||||||||
Total Service Shares of beneficial interest outstanding $0.001 par value (unlimited shares authorized) | 17,064,335 | 20,865,984 | 6,850,286 | 21,714,023 | ||||||||||||||||||
| Net asset value, offering and redemption price per share | $ | 10.00 | $ | 9.29 | $ | 10.56 | $ | 6.72 | ||||||||||||||
GOLDMAN SACHS VARIABLE INSURANCE TRUST FUNDS
Statements of Operations
For the Fiscal Year Ended December 31, 2010
| Core | Equity | Government | Growth | |||||||||||||||
| Fixed Income | Index | Income | Opportunities | |||||||||||||||
| Fund | Fund | Fund | Fund | |||||||||||||||
| Investment income: | ||||||||||||||||||
| Interest (net of foreign tax withheld of $1,667, $0, $0 and $0, respectively) | $ | 6,270,423 | $ | — | $ | 1,773,303 | $ | — | ||||||||||
Dividends (net of foreign taxes withheld of $0, $292, $0 and $3,009, respectively) | 17,379 | 3,837,019 | 13,997 | 797,759 | ||||||||||||||
| Securities lending income — affiliated issuer | — | — | — | 3,002 | ||||||||||||||
| Total investment income | 6,287,802 | 3,837,019 | 1,787,300 | 800,761 | ||||||||||||||
| Expenses: | ||||||||||||||||||
| Management fees | 724,347 | 565,058 | 406,645 | 1,278,061 | ||||||||||||||
| Distribution and Service fees | 452,716 | 470,879 | 188,261 | 319,515 | ||||||||||||||
| Professional fees | 80,397 | 73,147 | 71,681 | 69,922 | ||||||||||||||
| Printing and mailing costs | 75,102 | 72,825 | 55,477 | 67,109 | ||||||||||||||
| Custody and accounting fees | 69,653 | 56,533 | 55,350 | 46,450 | ||||||||||||||
| Transfer Agent fees | 36,214 | 37,667 | 15,060 | 25,559 | ||||||||||||||
| Trustee fees | 14,662 | 14,761 | 14,429 | 14,534 | ||||||||||||||
| Other | 12,003 | 50,489 | 9,612 | 10,634 | ||||||||||||||
| Total expenses | 1,465,094 | 1,341,359 | 816,515 | 1,831,784 | ||||||||||||||
| Less — expense reductions | (244,575 | ) | (372,026 | ) | (203,537 | ) | (318,559 | ) | ||||||||||
| Net expenses | 1,220,519 | 969,333 | 612,978 | 1,513,225 | ||||||||||||||
| NET INVESTMENT INCOME (LOSS) | 5,067,283 | 2,867,686 | 1,174,322 | (712,464 | ) | |||||||||||||
| Realized and unrealized gain (loss) from investment, futures and foreign currency related transactions: | ||||||||||||||||||
| Net realized gain from: | ||||||||||||||||||
Investment transactions — unaffiliated issuers (including commissions recaptured of $743 for the Growth Opportunities Fund) | 4,431,947 | 2,661,280 | 1,921,313 | 15,995,388 | ||||||||||||||
Securities lending reinvestment vehicle transactions — affiliated issuer | — | — | — | 8,345 | ||||||||||||||
Futures transactions | 1,214,356 | 377,850 | 321,849 | — | ||||||||||||||
Foreign currency related transactions (includes $156,203 of gains on forward foreign currency exchange contracts) | 48,795 | — | — | — | ||||||||||||||
| Net change in unrealized gain (loss) on: | ||||||||||||||||||
Investments — unaffiliated issuers | 2,241,864 | 19,820,136 | 510,194 | 8,141,723 | ||||||||||||||
Securities lending reinvestment vehicle — affiliated issuer | — | — | — | (11,661 | ) | |||||||||||||
Futures | 30,188 | (6,024 | ) | (172,405 | ) | — | ||||||||||||
Translation of asset and liabilities denominated in foreign currencies (includes $137,608 of unrealized losses on forward foreign currency exchange contracts) | (139,105 | ) | — | — | — | |||||||||||||
Net realized and unrealized gain from investment, futures and foreign currency related transactions | 7,828,045 | 22,853,242 | 2,580,951 | 24,133,795 | ||||||||||||||
| NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS | $ | 12,895,328 | $ | 25,720,928 | $ | 3,755,273 | $ | 23,421,331 | ||||||||||
GOLDMAN SACHS VARIABLE INSURANCE TRUST FUNDS
Statements of Changes in Net Assets
| Core Fixed Income Fund | Equity Index Fund | |||||||||||||||||
| For the | For the | For the | For the | |||||||||||||||
| Fiscal Year Ended | Fiscal Year Ended | Fiscal Year Ended | Fiscal Year Ended | |||||||||||||||
| December 31, 2010 | December 31, 2009 | December 31, 2010 | December 31, 2009 | |||||||||||||||
| From operations: | ||||||||||||||||||
| Net investment income (loss) | $ | 5,067,283 | $ | 7,690,617 | $ | 2,867,686 | $ | 3,551,567 | ||||||||||
Net realized gain (loss) from investment, futures and foreign currency related transactions | 5,695,098 | (14,302,215 | ) | 3,039,130 | (1,910,068 | ) | ||||||||||||
Net change in unrealized gain on investments, futures and translation of assets and liabilities denominated in foreign currencies | 2,132,947 | 30,830,557 | 19,814,112 | 40,904,634 | ||||||||||||||
| Net increase in net assets resulting from operations | 12,895,328 | 24,218,959 | 25,720,928 | 42,546,133 | ||||||||||||||
| Distributions to shareholders: | ||||||||||||||||||
| From net investment income | (5,464,354 | ) | (8,665,024 | ) | (2,986,451 | ) | (3,577,759 | ) | ||||||||||
| From net realized gains | — | — | — | — | ||||||||||||||
| Total distributions to shareholders | (5,464,354 | ) | (8,665,024 | ) | (2,986,451 | ) | (3,577,759 | ) | ||||||||||
| From share transactions: | ||||||||||||||||||
| Proceeds from sales of shares | 14,587,352 | 14,192,495 | 4,058,717 | 4,799,396 | ||||||||||||||
| Reinvestment of distributions | 5,464,354 | 8,665,024 | 2,986,451 | 3,577,759 | ||||||||||||||
| Cost of shares redeemed | (39,940,402 | ) | (38,211,108 | ) | (34,493,149 | ) | (36,141,486 | ) | ||||||||||
Net decrease in net assets resulting from share transactions | (19,888,696 | ) | (15,353,589 | ) | (27,447,981 | ) | (27,764,331 | ) | ||||||||||
| TOTAL INCREASE (DECREASE) | (12,457,722 | ) | 200,346 | (4,713,504 | ) | 11,204,043 | ||||||||||||
| Net assets: | ||||||||||||||||||
| Beginning of year | 183,178,073 | 182,977,727 | 198,587,504 | 187,383,461 | ||||||||||||||
| End of year | $ | 170,720,351 | $ | 183,178,073 | $ | 193,874,000 | $ | 198,587,504 | ||||||||||
Accumulated undistributed net investment income | $ | 409,365 | $ | 327,630 | $ | 265,860 | $ | 387,952 | ||||||||||
| Summary of share transactions: | ||||||||||||||||||
| Shares sold | 1,456,328 | 1,552,782 | 481,676 | 700,975 | ||||||||||||||
| Shares issued on reinvestment of distributions | 549,659 | 949,900 | 322,163 | 434,721 | ||||||||||||||
| Shares redeemed | (3,991,289 | ) | (4,216,306 | ) | (4,084,098 | ) | (5,319,029 | ) | ||||||||||
| NET DECREASE | (1,985,302 | ) | (1,713,624 | ) | (3,280,259 | ) | (4,183,333 | ) | ||||||||||
GOLDMAN SACHS VARIABLE INSURANCE TRUST FUNDS
| Government Income Fund | Growth Opportunities Fund | |||||||||||||||
| For the | For the | For the | For the | |||||||||||||
| Fiscal Year Ended | Fiscal Year Ended | Fiscal Year Ended | Fiscal Year Ended | |||||||||||||
| December 31, 2010 | December 31, 2009 | December 31, 2010 | December 31, 2009 | |||||||||||||
| $ | 1,174,322 | $ | 2,415,372 | $ | (712,464 | ) | $ | (533,107 | ) | |||||||
| 2,243,162 | (275,170 | ) | 16,003,733 | (16,819,019 | ) | |||||||||||
| 337,789 | 2,872,208 | 8,130,062 | 67,303,833 | |||||||||||||
| 3,755,273 | 5,012,410 | 23,421,331 | 49,951,707 | |||||||||||||
| (1,312,896 | ) | (2,806,892 | ) | — | — | |||||||||||
| (523,731 | ) | (931,782 | ) | — | — | |||||||||||
| (1,836,627 | ) | (3,738,674 | ) | — | — | |||||||||||
| 16,983,366 | 8,043,563 | 19,089,330 | 3,924,032 | |||||||||||||
| 1,836,627 | 3,738,674 | — | — | |||||||||||||
| (23,187,620 | ) | (25,345,776 | ) | (24,317,063 | ) | (21,402,568 | ) | |||||||||
| (4,367,627 | ) | (13,563,539 | ) | (5,227,733 | ) | (17,478,536 | ) | |||||||||
| (2,448,981 | ) | (12,289,803 | ) | 18,193,598 | 32,473,171 | |||||||||||
| 74,760,218 | 87,050,021 | 127,710,067 | 95,236,896 | |||||||||||||
| $ | 72,311,237 | $ | 74,760,218 | $ | 145,903,665 | $ | 127,710,067 | |||||||||
| $ | 88,071 | $ | 105,143 | $ | 16,213 | $ | 8,713 | |||||||||
| 1,598,199 | 786,658 | 3,177,035 | 878,935 | |||||||||||||
| 174,144 | 364,335 | — | — | |||||||||||||
| (2,183,890 | ) | (2,474,817 | ) | (4,134,939 | ) | (5,044,394 | ) | |||||||||
| (411,547 | ) | (1,323,824 | ) | (957,904 | ) | (4,165,459 | ) | |||||||||
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 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||
| Net | Distributions | Ratio of | Ratio of | Portfolio | Portfolio | |||||||||||||||||||||||||||||||||||||||||||||||||
| Net asset | realized | to shareholders | Net asset | Net assets, | Ratio of | total | net investment | turnover rate | turnover rate | |||||||||||||||||||||||||||||||||||||||||||||
| value, | Net | and | Total from | from net | value, | end of | net expenses | expenses | income | (including the | (excluding the | |||||||||||||||||||||||||||||||||||||||||||
| beginning | investment | unrealized | investment | investment | end of | Total | year | to average | to average | to average | effect of mortgage | effect of mortgage | ||||||||||||||||||||||||||||||||||||||||||
| of year | income(a) | gain (loss) | operations | income | year | return(b) | (in 000s) | net assets | net assets | net assets | dollar rolls) | dollar rolls) | ||||||||||||||||||||||||||||||||||||||||||
| �� | ||||||||||||||||||||||||||||||||||||||||||||||||||||||
| FOR THE FISCAL YEARS ENDED DECEMBER 31, | ||||||||||||||||||||||||||||||||||||||||||||||||||||||
| 2010 | $ | 9.62 | $ | 0.28 | $ | 0.41 | $ | 0.69 | $ | (0.31 | ) | $ | 10.00 | 7.18 | % | $ | 170,720 | 0.67 | % | 0.81 | % | 2.80 | % | 399 | % | 307 | % | |||||||||||||||||||||||||||
| 2009 | 8.81 | 0.39 | 0.87 | 1.26 | (0.45 | ) | 9.62 | 14.68 | 183,178 | 0.67 | 0.79 | 4.29 | 187 | 159 | ||||||||||||||||||||||||||||||||||||||||
| 2008 | 10.13 | 0.47 | (1.31 | ) | (0.84 | ) | (0.48 | ) | 8.81 | (8.56 | ) | 182,978 | 0.67 | 0.77 | 4.92 | 140 | 105 | |||||||||||||||||||||||||||||||||||||
| 2007 | 9.94 | 0.48 | 0.17 | 0.65 | (0.46 | ) | 10.13 | 6.81 | 264,389 | 0.54 | (c) | 0.76 | (c) | 4.82 | (c) | 123 | 92 | |||||||||||||||||||||||||||||||||||||
2006(d) | 9.98 | 0.44 | (0.03 | )(e) | 0.41 | (0.45 | ) | 9.94 | 4.23 | (f) | 285,768 | 0.54 | 0.78 | 4.49 | 265 | 259 | ||||||||||||||||||||||||||||||||||||||
| (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. 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. | |
| (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 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. | |
| (e) | Reflects an increase of $0.04 due to payments received for class action settlements received this year. | |
| (f) | 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%. |
The accompanying notes are an integral part of these financial statements.
50
GOLDMAN SACHS VARIABLE INSURANCE TRUST EQUITY INDEX 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 | Portfolio | |||||||||||||||||||||||||||||||||||||||||||||||
| beginning | investment | unrealized | investment | investment | realized | Total | end of | Total | year | to average | to average | to average | turnover | |||||||||||||||||||||||||||||||||||||||||||||
| 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, | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
| 2010 | $ | 8.22 | $ | 0.13 | $ | 1.08 | $ | 1.21 | $ | (0.14 | ) | $ | — | $ | (0.14 | ) | $ | 9.29 | 14.92 | % | $ | 193,874 | 0.51 | % | 0.71 | % | 1.52 | % | 4 | % | ||||||||||||||||||||||||||||
| 2009 | 6.61 | 0.14 | 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 | (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 | 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 | 1.34 | 1.50 | (0.17 | ) | — | (0.17 | ) | 11.04 | 15.49 | (e) | 438,471 | 0.41 | 0.67 | 1.53 | 4 | |||||||||||||||||||||||||||||||||||||||||
| (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. The Goldman Sachs Equity Index Fund first began operations as the Allmerica Equity Index Fund (the “Predecessor AIT Fund”) of the Allmerica Investment Trust. On January 9, 2006, the Predecessor AIT Fund was reorganized as a new portfolio of the Goldman Sachs Variable Insurance Trust. Performance prior to January 9, 2006 is that of the Predecessor AIT Fund. The Predecessor AIT Fund was considered the accounting survivor of the reorganization and as such, the historical total return information of the Predecessor AIT Fund is provided. | |
| (c) | 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 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%. |
The accompanying notes are an integral part of these financial statements.
51
GOLDMAN SACHS VARIABLE INSURANCE TRUST GOVERNMENT 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 | Portfolio | Portfolio | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
| Net asset | realized | Net asset | Net assets, | Ratio of | total | net investment | turnover rate | turnover rate | ||||||||||||||||||||||||||||||||||||||||||||||||||||||
| value, | Net | and | Total from | From net | From net | value, | end of | net expenses | expenses | income | (including the | (excluding the | ||||||||||||||||||||||||||||||||||||||||||||||||||
| beginning | investment | unrealized | investment | investment | realized | Total | end of | Total | year | to average | to average | to average | effect of mortgage | effect of mortgage | ||||||||||||||||||||||||||||||||||||||||||||||||
| of year | income(a) | gain (loss) | operations | income | gains | distributions | year | return(b) | (in 000s) | net assets | net assets | net assets | dollar rolls) | dollar rolls) | ||||||||||||||||||||||||||||||||||||||||||||||||
| FOR THE FISCAL YEARS ENDED DECEMBER 31, | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
| 2010 | $ | 10.29 | $ | 0.17 | $ | 0.37 | $ | 0.54 | $ | (0.19 | ) | $ | (0.08 | ) | $ | (0.27 | ) | $ | 10.56 | 5.19 | % | $ | 72,311 | 0.81 | % | 1.08 | % | 1.56 | % | 614 | % | 416 | % | |||||||||||||||||||||||||||||
| 2009 | 10.14 | 0.31 | 0.33 | 0.64 | (0.36 | ) | (0.13 | ) | (0.49 | ) | 10.29 | 6.44 | 74,760 | 0.81 | 1.05 | 3.01 | 287 | 231 | ||||||||||||||||||||||||||||||||||||||||||||
| 2008 | 10.27 | 0.42 | (0.11 | ) | 0.31 | (0.44 | ) | — | (0.44 | ) | 10.14 | 3.14 | 87,050 | 0.81 | 1.04 | 4.12 | 244 | 184 | ||||||||||||||||||||||||||||||||||||||||||||
| 2007 | 9.96 | 0.42 | 0.29 | 0.71 | (0.40 | ) | — | (0.40 | ) | 10.27 | 7.34 | 85,978 | 0.67 | (c) | 1.03 | (c) | 4.19 | (c) | 217 | 146 | ||||||||||||||||||||||||||||||||||||||||||
2006(d) | 9.98 | 0.39 | 0.01 | 0.40 | (0.42 | ) | — | (0.42 | ) | 9.96 | 4.05 | 87,063 | 0.68 | 1.02 | 3.96 | 523 | 447 | |||||||||||||||||||||||||||||||||||||||||||||
| (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. The Goldman Sachs Government Income Fund first began operations as the Allmerica Government Bond Fund (the “Predecessor AIT Fund”) of the Allmerica Investment Trust. On January 9, 2006, the Predecessor AIT Fund was reorganized as a new portfolio of the Goldman Sachs Variable Insurance Trust. Performance prior to January 9, 2006 is that of the Predecessor AIT Fund. The Predecessor AIT Fund was considered the accounting survivor of the reorganization and as such, the historical total return information of the Predecessor AIT Fund is provided. | |
| (c) | Includes non-recurring expense for a special shareholder meeting which amounted to approximately 0.03% of average net assets. | |
| (d) | The Predecessor AIT Fund was the accounting survivor of the reorganization and as such, the 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. |
The accompanying notes are an integral part of these financial statements.
52
GOLDMAN SACHS VARIABLE INSURANCE TRUST GROWTH OPPORTUNITIES 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 | realized | to shareholders | Net asset | Net assets, | Ratio of | total | net investment | |||||||||||||||||||||||||||||||||||||||||||
| value, | Net | and | Total from | from net | value, | end of | net expenses | expenses | loss to | Portfolio | ||||||||||||||||||||||||||||||||||||||||
| beginning | investment | unrealized | investment | realized | end of | Total | year | to average | to average | average | turnover | |||||||||||||||||||||||||||||||||||||||
| of year | loss(a) | gain (loss) | operations | gains | year | return(b) | (in 000s) | net assets | net assets | net assets | rate | |||||||||||||||||||||||||||||||||||||||
| FOR THE FISCAL YEARS ENDED DECEMBER 31, | ||||||||||||||||||||||||||||||||||||||||||||||||||
| 2010 | $ | 5.63 | $ | (0.03 | ) | $ | 1.12 | $ | 1.09 | $ | — | $ | 6.72 | 19.36 | % | $ | 145,904 | 1.18 | % | 1.43 | % | (0.56 | )% | 57 | % | |||||||||||||||||||||||||
| 2009 | 3.55 | (0.02 | ) | 2.10 | 2.08 | — | 5.63 | 58.59 | 127,710 | 1.18 | 1.43 | (0.50 | ) | 71 | ||||||||||||||||||||||||||||||||||||
| 2008 | 6.20 | (0.02 | ) | (2.52 | ) | (2.54 | ) | (0.11 | ) | 3.55 | (40.72 | ) | 95,237 | 1.18 | 1.37 | (0.32 | ) | 78 | ||||||||||||||||||||||||||||||||
| 2007 | 6.07 | (0.03 | ) | 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 | ) | 0.68 | 0.62 | (4.24 | ) | 6.07 | 5.74 | 215,251 | 1.15 | 1.37 | (0.60 | ) | 82 | |||||||||||||||||||||||||||||||||||
| (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. The Goldman Sachs Growth Opportunities Fund first began operations as the Allmerica Select Capital Appreciation Fund (the “Predecessor AIT Fund”) of the Allmerica Investment Trust. On January 9, 2006, the Predecessor AIT Fund was reorganized as a new portfolio of the Goldman Sachs Variable Insurance Trust. Performance prior to January 9, 2006 is that of the Predecessor AIT Fund. The Predecessor AIT Fund was considered the accounting survivor of the reorganization and as such, the historical total return information of the Predecessor AIT Fund is provided. | |
| (c) | 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 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. |
The accompanying notes are an integral part of these financial statements.
53
GOLDMAN SACHS VARIABLE INSURANCE TRUST FUNDS
Notes to Financial Statements
December 31, 2010
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 Asset Management, L.P. (“GSAM”), an affiliate of Goldman, Sachs & Co. (“Goldman Sachs”), serves as investment adviser to each Fund pursuant to management agreements (the “Agreements”) with the Trust.
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. 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 relating to earnings, products and regulatory news; significant litigation; low trading volume; and trading limits or suspensions.
B. 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
GOLDMAN SACHS VARIABLE INSURANCE TRUST FUNDS
| 2. SIGNIFICANT ACCOUNTING POLICIES (continued) |
income is recorded on the basis of interest accrued, premium amortized and discount accreted. 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.
Investment income 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.
C. Commission Recapture — The Growth Opportunities 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 Funds as cash payments and are included in net realized gain (loss) from investments on the Statements of Operations.
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, the Funds are not required to make any provisions for the payment of federal income tax. 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:
| Income Distributions | Capital Gains 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 Funds’ capital accounts on the Statements of Assets and Liabilities reflect permanent GAAP/tax differences based on the appropriate tax character.
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.
GOLDMAN SACHS VARIABLE INSURANCE TRUST FUNDS
Notes to Financial Statements (continued)
December 31, 2010
| 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 foreign currency 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.
G. Forward Foreign Currency Exchange Contracts — 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 Funds 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 exchange contracts do not necessarily represent the amounts potentially subject to risk. The measurement of the risks associated with these instruments is meaningful only when all related and offsetting transactions are considered. The Funds must set aside liquid assets, or engage in other appropriate measures to cover their obligations under these contracts.
H. Futures Contracts — 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 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
GOLDMAN SACHS VARIABLE INSURANCE TRUST FUNDS
| 2. SIGNIFICANT ACCOUNTING POLICIES (continued) |
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 accrue 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 other counterparty.
K. Treasury Inflation-Protected Securities — The 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.
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. 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
GOLDMAN SACHS VARIABLE INSURANCE TRUST FUNDS
Notes to Financial Statements (continued)
December 31, 2010
| 3. FAIR VALUE OF INVESTMENTS (continued) |
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 significant inputs are observable (including, but not limited to, quoted prices for similar securities, interest rates, foreign exchange rates, volatility and credit spreads), either directly or indirectly;
Level 3 — Prices or valuations that require significant unobservable inputs (including GSAM’s assumptions in determining fair value measurement).
The following is a summary of the Funds’ investments categorized in the fair value hierarchy as of December 31, 2010:
| Core Fixed Income | Level 1 | Level 2 | Level 3 | |||||||||
Assets | ||||||||||||
| Fixed Income | ||||||||||||
| Corporate Obligations | $ | — | $ | 32,996,104 | $ | — | ||||||
| Mortgage-Backed Obligations | — | 102,407,359 | — | |||||||||
| U.S. Treasury and/or Other U.S. Government Obligations and Agencies | 3,283,819 | 1,651,374 | — | |||||||||
| Asset-Backed Securities | — | 2,217,960 | — | |||||||||
| Foreign Debt Obligations | 8,628,318 | 3,313,020 | — | |||||||||
| Municipal Debt Obligations | — | 3,370,491 | — | |||||||||
| Government Guarantee Obligations | — | 16,934,832 | — | |||||||||
| Short-term Investment | 41,309,881 | — | — | |||||||||
| Derivatives | 31,753 | 183,160 | — | |||||||||
| Total | $ | 53,253,771 | $ | 163,074,300 | $ | — | ||||||
Liabilities | ||||||||||||
| Derivatives | $ | (382,437 | ) | $ | (213,871 | ) | $ | — | ||||
| Equity Index | Level 1 | Level 2 | Level 3 | |||||||||
Assets | ||||||||||||
| Common Stock and/or Other Equity Investments | $ | 193,222,636 | $ | — | $ | — | ||||||
| U.S. Treasury and/or Other U.S. Government Obligations and Agencies | 74,989 | — | — | |||||||||
| Short-term Investments | 436,110 | — | — | |||||||||
| Derivatives | 12,859 | — | — | |||||||||
| Total | $ | 193,746,594 | $ | — | $ | — | ||||||
GOLDMAN SACHS VARIABLE INSURANCE TRUST FUNDS
| 3. FAIR VALUE OF INVESTMENTS (continued) |
| Government Income | Level 1 | Level 2 | Level 3 | |||||||||
Assets | ||||||||||||
| Fixed Income | ||||||||||||
| Mortgage-Backed Obligations | $ | — | $ | 44,297,510 | $ | — | ||||||
| U.S. Treasury and/or Other U.S. Government Obligations and Agencies | 11,677,627 | 6,211,492 | — | |||||||||
| Asset-Backed Securities | — | 1,460,818 | — | |||||||||
| Government Guarantee Obligations | — | 6,305,169 | — | |||||||||
| Short-term Investment | 32,404,846 | — | — | |||||||||
| Total | $ | 44,082,473 | $ | 58,274,989 | $ | — | ||||||
Liabilities | ||||||||||||
| Fixed Income | ||||||||||||
| Mortgage-Backed Obligations — Forward Sales Contracts | $ | — | $ | (1,989,531 | ) | $ | — | |||||
| Derivatives | (228,949 | ) | — | — | ||||||||
| Total | $ | (228,949 | ) | $ | (1,989,531 | ) | $ | — | ||||
| Growth Opportunities | Level 1 | Level 2 | Level 3 | |||||||||
Assets | ||||||||||||
| Common Stock and/or Other Equity Investments | $ | 140,284,523 | $ | — | $ | — | ||||||
| Short-term Investment | 6,080,110 | — | — | |||||||||
| Total | $ | 146,364,633 | $ | — | $ | — | ||||||
4. AGREEMENTS AND AFFILIATED TRANSACTIONS
A. Management Agreements — Under the Agreements, GSAM manages the Funds, subject to the general supervision of the trustees.
As compensation for the services rendered pursuant to the Agreements, 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 paid monthly, equal to an annual percentage rate of the Funds’ average daily net assets.
For the fiscal year ended December 31, 2010, contractual management fees with GSAM were at the following rates:
| Contractual Management Rate | ||||||||||||||||||||||||
| First | Next | Next | Next | Over | Effective | |||||||||||||||||||
| Fund | $1 billion | $1 billion | �� | $3 billion | $3 billion | $8 billion | Rate | |||||||||||||||||
| Core Fixed Income | 0.40 | % | 0.36 | % | 0.34 | % | 0.33 | % | 0.32 | % | 0.40 | % | ||||||||||||
| Government Income | 0.54 | 0.49 | 0.47 | 0.46 | 0.45 | 0.54 | ||||||||||||||||||
| Growth Opportunities | 1.00 | 1.00 | 0.90 | 0.86 | 0.84 | 1.00 | ||||||||||||||||||
GOLDMAN SACHS VARIABLE INSURANCE TRUST FUNDS
Notes to Financial Statements (continued)
December 31, 2010
| 4. AGREEMENTS AND AFFILIATED TRANSACTIONS (continued) |
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, 2010, GSAM has agreed to waive a portion of its management fee in order to achieve the following effective annual rates:
| Management Rate | ||||||||||
| Effective | ||||||||||
| $0 – $400 million | Over $400 million | Rate | ||||||||
| 0.21 | % | 0.20 | % | 0.21 | % | |||||
Prior to July 1, 2010, GSAM had agreed to waive a portion of its management fees for the Equity Index Fund in order to achieve the following effective annual rates:
| Management Rate | ||||||||||||||
| $0 – $300 | Over $300 million – | Effective | ||||||||||||
| million | $400 million | Over $400 million | Rate | |||||||||||
| 0.27 | % | 0.24 | % | 0.20 | % | 0.27 | % | |||||||
As authorized by the Agreement, GSAM has entered into a Sub-advisory Agreement with SSgA which serves as the subadviser 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 paid monthly by GSAM, at the following annual rates of the Fund’s average daily net assets: 0.03% on the first $50 million, 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, 2010.
B. Distribution 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, which serves as distributor, is entitled to a fee computed daily and paid monthly for distribution services, which may then be paid by Goldman Sachs to authorized dealers, equal to, on an annual basis, 0.25% of the Fund’s average daily net assets attributable to Service Shares. For the Growth Opportunities Fund, Goldman Sachs has agreed to waive distribution and service fees so as not to exceed 0.16% of average daily net assets of the Fund. This distribution and service fee waiver will remain in place through at least April 30, 2011, and prior to such date Goldman Sachs may not terminate the arrangement without the approval of the trustees.
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 computed daily and paid monthly at an annual rate of 0.02% of the average daily net assets of the Funds.
D. Other Expense Agreements and Affiliated Transactions — GSAM has agreed to limit certain “Other Expense” (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 each Fund. Such Other 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. These Other Expense reimbursements will remain in place through at least April 30, 2011, and prior to such date GSAM may not terminate the arrangements without the approval of the trustees.
GOLDMAN SACHS VARIABLE INSURANCE TRUST FUNDS
| 4. AGREEMENTS AND AFFILIATED TRANSACTIONS (continued) |
For the fiscal year ended December 31, 2010, these expense reductions, including any fee waivers and Other Expense reimbursement, were as follows (in thousands):
| Distribution | ||||||||||||||||
| Management | and Service | Other Expense | Total Expense | |||||||||||||
| Fund | Fee Waiver | Fee Waiver | Reimbursement | Reductions | ||||||||||||
| Core Fixed Income | $ | — | $ | — | $ | 245 | $ | 245 | ||||||||
| Equity Index | 112 | — | 260 | 372 | ||||||||||||
| Government Income | — | — | 204 | 204 | ||||||||||||
| Growth Opportunities | — | 115 | 204 | 319 | ||||||||||||
As of December 31, 2010, 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 | $ | 59 | $ | 36 | $ | 3 | $ | 98 | ||||||||
| Equity Index | 34 | 41 | 3 | 78 | ||||||||||||
| Government Income | 33 | 16 | 1 | 50 | ||||||||||||
| Growth Opportunities | 122 | 20 | 2 | 144 | ||||||||||||
E. Line of Credit Facility — As of December 31, 2010, the Funds participated in a $580,000,000 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 could increase the credit amount by an additional $340,000,000, for a total of up to $920,000,000. This facility is to be used solely for temporary or emergency purposes. The interest rate on borrowings is based on the federal funds rate. The 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, 2010, the Funds did not have any borrowings under the facility. Prior to May 11, 2010, the amount available through the facility was $660,000,000.
F. Other Transactions with Affiliates — For the fiscal year ended December 31, 2010, Goldman Sachs earned approximately $100, $100, $100 and $1,000 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, Equity Index, Government Income and Growth Opportunities Funds, respectively.
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
GOLDMAN SACHS VARIABLE INSURANCE TRUST FUNDS
Notes to Financial Statements (continued)
December 31, 2010
| 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.
During the fiscal year ended December 31, 2010, the Core Fixed Income Fund entered 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 and to seek to increase total return. The Core Fixed Income, Government Income and Equity Index Funds entered into futures contracts to hedge against changes in interest rates, securities prices, currency exchange rates, and to seek to increase total return. The following tables set forth, by certain risk types, the gross value of these derivative contracts for trading activities as of December 31, 2010. The values in the tables below exclude the effects of cash collateral received or posted pursuant to these derivative contracts, and therefore are not representative of the Funds’ net exposure.
Core Fixed Income
| Statements of | Statements of Assets | ||||||||||||
| Assets and Liabilities | and Liabilities | ||||||||||||
| Risk | Location | Assets | Location | Liabilities | |||||||||
| Interest rate | Due from broker — variation margin, at value | $ | 31,753(a | ) | Due to broker — variation margin, at value | $ | (382,437 | )(a) | |||||
| Currency | Receivables for forward foreign currency exchange contracts, at value | 183,160 | Payables for forward foreign currency exchange contracts, at value | (213,871 | ) | ||||||||
| Total | $ | 214,913 | $ | (596,308 | ) | ||||||||
| Risk | Fund | Statements of Assets and Liabilities Location | Assets | Liabilities | |||||||||
| Equity | Equity Index | Due from broker — variation margin, at value(a) | $ | 12,859 | $ | — | |||||||
| Interest rate | Government Income | Due to broker — variation margin, at value(a) | — | (228,949 | ) | ||||||||
| (a) | Includes unrealized gain (loss) 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. |
The following tables set forth, by certain risk types, the Funds’ gains (losses) related to these derivative activities and their indicative volumes for the fiscal year ended December 31, 2010. These gains (losses) should be considered in the context that these contracts may have been executed to economically hedge securities, and accordingly, gains (losses) on such contracts may offset (losses) 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
| Statements of | Net Change in | Average | |||||||||||||
| Operations | Net Realized Gain | Unrealized Gain | Number of | ||||||||||||
| Risk | Location | (Loss) | (Loss) | Contracts(a) | |||||||||||
| Interest rate | Net realized gain (loss) from futures transactions/Net change in unrealized gain (loss) on futures | $ | 1,214,356 | $ | 30,188 | 266 | |||||||||
| 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 | 156,203 | (137,608 | ) | 114 | ||||||||||
| $ | 1,370,559 | $ | (107,420 | ) | 380 | ||||||||||
GOLDMAN SACHS VARIABLE INSURANCE TRUST FUNDS
| 5. INVESTMENTS IN DERIVATIVES (continued) |
The following table represents gains (losses) which are included in “Net realized gain (loss) from future transactions” and “Net change in unrealized gain (loss) on futures” in the Statements of Operations.
| Net Change in | Average | ||||||||||||||
| Net Realized | Unrealized | Number of | |||||||||||||
| Risk | Fund | Gain (Loss) | Gain (Loss) | Contracts(a) | |||||||||||
| Equity | Equity Index | $ | 377,850 | $ | (6,024 | ) | 45 | ||||||||
| Interest rate | Government Income | 321,849 | (172,405 | ) | 95 | ||||||||||
| (a) | Average number of contracts is based on the average of month end balances for the fiscal year ended December 31, 2010. |
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, 2010, 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 | $ | 616,315,191 | $ | 73,816,846 | $ | 634,263,439 | $ | 65,910,327 | ||||||||
| Equity Index | — | 7,882,921 | — | 32,436,484 | ||||||||||||
| Government Income | 425,135,351 | 3,313,108 | 430,259,378 | 6,753,950 | ||||||||||||
| Growth Opportunities | — | 70,612,118 | — | 79,579,290 | ||||||||||||
7. SECURITIES LENDING
Pursuant to exemptive relief granted by the Securities and Exchange Commission (“SEC”) 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. Effective May 26, 2010, the Fund no longer participated in the securities lending program. During its participation in this securities lending program, and in accordance with the Fund’s securities lending procedures, the Fund received cash collateral at least equal to the market value of the securities on loan. The market value of the loaned securities was 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 were traded, and any additional required collateral was delivered to the Fund on the next business day.
The Fund invested 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, was exempt from registration under Section 3(c)(7) of the Act and was managed by GSAM, for which GSAM may have received 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 invested primarily in short-term investments, but was not a “money market fund” subject to the requirements of Rule 2a-7 of the Act.
Both the Fund and GSAL received compensation relating to the lending of the Fund’s securities. The amount earned by the Fund for the fiscal year ended December 31, 2010, is reported under Investment Income on the Statements of
GOLDMAN SACHS VARIABLE INSURANCE TRUST FUNDS
Notes to Financial Statements (continued)
December 31, 2010
| 7. SECURITIES LENDING (continued) |
Operations. A portion of this amount, $1,913, represents compensation earned by the Fund from lending its securities to Goldman Sachs. For the fiscal year ended December 31, 2010, GSAL earned $325 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, 2010 (in thousands):
| Number of | Number of | |||||||||||||||||||
| Shares Held | Shares Held | Value at End | ||||||||||||||||||
| Fund | Beginning of Year | Shares Bought | Shares Sold | End of Year | of Year | |||||||||||||||
| Growth Opportunities | 11,691 | 5,153 | (16,844 | ) | — | $ | — | |||||||||||||
8. TAX INFORMATION
The tax character of distributions paid during the fiscal year ended December 31, 2010 was as follows:
| Core Fixed | Equity | Government | Growth | |||||||||||||
| Income | Index | Income | Opportunities | |||||||||||||
| Distributions paid from: | ||||||||||||||||
| Ordinary income | $ | 5,464,354 | $ | 2,986,451 | $ | 1,836,627 | $ | — | ||||||||
| Total taxable distributions | $ | 5,464,354 | $ | 2,986,451 | $ | 1,836,627 | $ | — | ||||||||
The tax character of distributions paid during the fiscal year ended December 31, 2009 was as follows:
| Core Fixed | Equity | Government | Growth | |||||||||||||
| Income | Index | Income | 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 | $ | — | ||||||||
GOLDMAN SACHS VARIABLE INSURANCE TRUST FUNDS
| 8. TAX INFORMATION (continued) |
As of December 31, 2010, the components of accumulated earnings (losses) on a tax basis were as follows:
| Core Fixed | Equity | Government | Growth | |||||||||||||
| Income | Index | Income | Opportunities | |||||||||||||
| Undistributed ordinary income — net | $ | 458,716 | $ | 225,397 | $ | 91,246 | $ | — | ||||||||
Capital loss carryforward:(1) | ||||||||||||||||
| Expiring 2011 | $ | — | $ | (8,097,717 | ) | $ | — | $ | — | |||||||
| Expiring 2012 | — | (2,961,297 | ) | — | — | |||||||||||
| Expiring 2014 | (4,813,823 | ) | — | — | — | |||||||||||
| Expiring 2017 | (5,634,986 | ) | (4,133,732 | ) | — | (5,903,029 | ) | |||||||||
| Expiring 2018 | (4,488,774 | ) | — | — | — | |||||||||||
| Total capital loss carryforward | $ | (14,937,583 | ) | $ | (15,192,746 | ) | $ | — | $ | (5,903,029 | ) | |||||
| Timing differences (post-October losses and straddle loss deferral) | (1,159,808 | ) | 1,218 | (705,153 | ) | — | ||||||||||
| Unrealized gains — net | 2,023,261 | 11,622,173 | 744,921 | 24,718,880 | ||||||||||||
| Total accumulated gains (losses) — net | $ | (13,615,414 | ) | $ | (3,343,958 | ) | $ | 131,014 | $ | 18,815,851 | ||||||
| (1) | Expiration occurs on December 31 of the year indicated. The Equity Index Fund had capital loss carryforwards of $10,805,538 which expired in the current year. The Equity Index and Growth Opportunities Funds utilized $2,575,119 and $13,193,696, respectively of capital losses in the current year. |
As of December 31, 2010, the Funds’ aggregate security unrealized gains and losses based on cost for U.S. federal income tax purposes was as follows:
| Core Fixed | Government | Growth | ||||||||||||||
| Fund | Income | Equity Index | Income | Opportunities | ||||||||||||
| Tax cost | $ | 214,118,475 | $ | 182,111,562 | $ | 101,595,822 | $ | 121,645,753 | ||||||||
| Gross unrealized gain | 4,582,751 | 36,808,156 | 1,418,855 | 25,734,847 | ||||||||||||
| Gross unrealized loss | (2,588,068 | ) | (25,185,983 | ) | (657,215 | ) | (1,015,967 | ) | ||||||||
| Net unrealized security gain | $ | 1,994,683 | $ | 11,622,173 | $ | 761,640 | $ | 24,718,880 | ||||||||
| Net unrealized gain (loss) on other investments | 28,578 | — | (16,719 | ) | — | |||||||||||
| Net unrealized gain | $ | 2,023,261 | $ | 11,622,173 | $ | 744,921 | $ | 24,718,880 | ||||||||
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 underlying fund investments.
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, net investment losses and dividend redesignation and the difference in tax treatment of foreign currency transactions, underlying fund investments and paydown losses.
GOLDMAN SACHS VARIABLE INSURANCE TRUST FUNDS
Notes to Financial Statements (continued)
December 31, 2010
| 8. TAX INFORMATION (continued) |
| Accumulated | Accumulated | |||||||||||
| Paid-in | Net Realized | Undistributed Net | ||||||||||
| Fund | Capital | Loss | Investment Income | |||||||||
| Core Fixed Income | $ | (87 | ) | $ | (478,719 | ) | $ | 478,806 | ||||
| Equity Index | (10,805,538 | ) | 10,808,865 | (3,327 | ) | |||||||
| Government Income | — | (121,502 | ) | 121,502 | ||||||||
| Growth Opportunities | (719,964 | ) | — | 719,964 | ||||||||
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.
9. OTHER RISKS
Funds’ Shareholder Concentration Risk — 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 entities of their holdings in the Funds may impact the Funds’ liquidity and NAV. These redemptions may also force the Funds to sell securities.
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.
GOLDMAN SACHS VARIABLE INSURANCE TRUST FUNDS
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. SUBSEQUENT EVENTS
Subsequent events after the balance sheet date have been evaluated through the date the financial statements were issued. GSAM has concluded that there is no impact requiring adjustment or disclosure in the financial statements.
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, 2010, 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, 2010 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 14, 2011
GOLDMAN SACHS VARIABLE INSURANCE TRUST FUNDS
Fund Expenses — Six Month Period Ended December 31, 2010 (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, 2010 through December 31, 2010.
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 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 (loads), redemption fees, or exchange fees, but shareholders of other funds may incur such costs. The second line of the table is useful in comparing 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 | |||||||||||||||||||||||||||||||||||||||||||||||||
| 7/01/10 | 12/31/10 | 12/31/10* | 7/01/10 | 12/31/10 | 12/31/10* | 7/01/10 | 12/31/10 | 12/31/10* | 7/01/10 | 12/31/10 | 12/31/10* | |||||||||||||||||||||||||||||||||||||||||||||||||
| Actual | $ | 1,000 | $ | 1,015.40 | $ | 3.40 | $ | 1,000 | $ | 1,230.10 | $ | 2.87 | $ | 1,000 | $ | 1,004.10 | $ | 4.09 | $ | 1,000 | $ | 1,256.10 | $ | 6.71 | ||||||||||||||||||||||||||||||||||||
| Hypothetical 5% return | 1,000 | 1,021.83 | + | 3.41 | 1,000 | 1,022.63 | + | 2.60 | 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 for each class, which represents the ongoing expenses as a percentage of net assets for the six months ended December 31, 2010. 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 | Service | |||
| Core Fixed Income | 0.67 | % | ||
| Equity Index | 0.51 | % | ||
| 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. |
69
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 Age1,2 | with the Trust | Time Served3 | During Past 5 Years | Trustee4 | Held by Trustee5 | |||||
| Ashok N. Bakhru Age: 68 | Chairman of the Board of Trustees | Since 1996 (Trustee Since 1991) | President, ABN 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-Linked Investors II (April 2002-2007); and Chairman, Lenders Service Inc. (provider of mortgage lending services ) (2000-2003). Chairman of the Board of Trustees—Goldman Sachs Mutual Fund Complex. | 90 | Apollo Investment Corporation (a business development company) | |||||
| Donald C. Burke Age: 50 | Trustee | Since 2010 | Director, BlackRock Luxembourg and Cayman Funds (2006-2010); President and Chief Executive Officer, BlackRock U.S. Funds (2007-2009); Managing Director, BlackRock, Inc. (2006-2009); Managing Director, Merrill Lynch Investment Managers, L.P. (“MLIM”) (2006); First Vice President, MLIM (1997-2005); Chief Financial Officer and Treasurer, MLIM U.S. Funds (1999-2006). Trustee—Goldman Sachs Mutual Fund Complex. | 90 | None | |||||
| John P. Coblentz, Jr. Age: 69 | 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. | 90 | None | |||||
| Diana M. Daniels Age: 61 | 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 Vice Chair of the Board of Trustees, Cornell University (2009-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. | 90 | None | |||||
| Joseph P. LoRusso Age: 53 | Trustee | Since 2010 | President, Fidelity Investments Institutional Services Co. (“FIIS”) (2002-2008); Director, FIIS (2002-2008); Director, Fidelity Investments Institutional Operations Company (2003-2007); Executive Officer, Fidelity Distributors Corporation (2007-2008). Trustee—Goldman Sachs Mutual Fund Complex. | 90 | None | |||||
| Jessica Palmer Age: 61 | Trustee | Since 2007 | Ms. Palmer is retired. Formerly, she was Consultant, Citigroup Human Resources Department (2007-2008); Managing Director, Citigroup Corporate and Investment Banking (previously, Salomon Smith Barney/Salomon Brothers) (1984-2006). Ms. Palmer was a Member of the Board of Trustees of Indian Mountain School (private elementary and secondary school) (2004-2009). Trustee—Goldman Sachs Mutual Fund Complex. | 90 | 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 Age1,2 | with the Trust | Time Served3 | During Past 5 Years | Trustee4 | Held by Trustee5 | |||||
| Richard P. Strubel Age: 71 | 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. | 90 | 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 Age1,2 | with the Trust | Time Served3 | During Past 5 Years | Trustee4 | Held by Trustee5 | |||||
| James A. McNamara* Age: 48 | 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). | 90 | None | |||||
| Alan A. Shuch* Age: 61 | 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. | 90 | 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, 200 West Street, New York, New York, 10282, Attn: Peter V. Bonanno. Information is provided as of December 31, 2010. | |
| 2 | From 2000 until September 30, 2010, Patrick T. Harker also served as Trustee of the Trust and of the Goldman Sachs Mutual Fund Complex. Mr. Harker resigned from these positions on September 30, 2010. | |
| 3 | 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 74 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. | |
| 4 | The Goldman Sachs Mutual Fund Complex consists of the Trust, Goldman Sachs Trust, Goldman Sachs Municipal Opportunity Fund and Goldman Sachs Credit Strategies Fund. As of December 31, 2010, the Trust consisted of 11 portfolios, Goldman Sachs Trust consisted of 77 portfolios and the Goldman Sachs Municipal Opportunity Fund did not offer shares to the public. | |
| 5 | 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
Officers of the Trust (Unaudited)*
| 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 200 West Street New York, NY 10282 Age: 48 | 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 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 200 West Street New York, NY 10282 Age: 43 | 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 200 West Street New York, NY 10282 Age: 39 | 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. Information is provided as of December 31, 2010. | |
| * | 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 FUNDS
Goldman Sachs Variable Insurance Trust — Tax Information (Unaudited)
For the fiscal year ended December 31, 2010, 100% of the dividends paid from net investment company taxable income by the Goldman Sachs Equity Index Fund qualify for the dividends received deduction available to corporations.
During the fiscal year ended December 31, 2010, the Goldman Sachs Government Income Fund designates $527,983 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 | |
| Donald C. Burke* | George F. Travers, Principal Financial Officer | |
| John P. Coblentz, Jr. | Peter V. Bonanno, Secretary | |
| Diana M. Daniels | Scott M. McHugh, Treasurer | |
| Joseph P. LaRusso* | ||
| James A. McNamara | ||
| Jessica Palmer | ||
| Alan A. Shuch | ||
| Richard P. Strubel | ||
| * Effective August 19, 2010 |
| GOLDMAN, SACHS & CO. Distributor and Transfer Agent | ||
| GOLDMAN SACHS ASSET MANAGEMENT, L.P. Investment Adviser | ||
| 200 West Street, New York, New York 10282 | ||
| Visit our website at www.goldmansachsfunds.com/vit to obtain the most recent month-end returns. | ||
| The reports concerning the Funds included in this shareholder report may contain certain forward-looking statements about the factors that may affect the performance of the Funds in the future. These statements are based on Fund management’s predictions and expectations concerning certain future events and their expected impact on the Funds, such as performance of the economy as a whole and of specific industry sectors, changes in the levels of interest rates, the impact of developing world events, and other factors that may influence the future performance of the Funds. Management believes these forward-looking statements to be reasonable, although they are inherently uncertain and difficult to predict. Actual events may cause adjustments in portfolio management strategies from those currently expected to be employed. | ||
| Economic and market forecasts presented herein reflect our judgment as of the date of this presentation and are subject to change without notice. These forecasts do not take into account the specific investment objectives, restrictions, tax and financial situation or other needs of any specific client. Actual data will vary and may not be reflected here. These forecasts are subject to high levels of uncertainty that may affect actual performance. Accordingly, these forecasts should be viewed as merely representative of a broad range of possible outcomes. These forecasts are estimated, based on assumptions, and are subject to significant revision and may change materially as economic and market conditions change. Goldman Sachs has no obligation to provide updates or changes to these forecasts. Case studies and examples are for illustrative purposes only. | ||
| 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”) website 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. | ||
| This material is not authorized for distribution to prospective investors unless preceded or accompanied by a current Prospectus or summary prospectus, if applicable. Investors should consider a Fund’s objective, risks, and charges and expenses, and read the summary prospectus, if available, and/or the Prospectus carefully before investing or sending money. The summary prospectus, if available, and the Prospectus contain this and other information about a Fund and may be obtained from your authorized dealer or from Goldman, Sachs & Co. by calling 1-800-621-2550. | ||
| Toll Free (in U.S.): 800-292-4726 | ||
| This report is prepared for the general information of contract owners and is not an offer of shares of the Goldman Sachs Variable Insurance Trust Funds. | ||
| © 2011 Goldman Sachs. All rights reserved. | ||
| VITSVCAR11/47815.MF.MED.TMPL/2/2011 | ||
| 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 (“GSVIT”):
Table 1 – Items 4(a) -4(d)
| 2010 | 2009 | Description of Services Rendered | ||||||||
| Audit Fees: | ||||||||||
| • PricewaterhouseCoopers (“PwC”) | $ | 55,000 | $ | 340,075 | Financial statement audits. | |||||
| Audit-Related Fees | ||||||||||
| PwC | $ | 28,610 | $ | 5,158 | Other attest services. | |||||
| Tax Fees | ||||||||||
| PwC | $ | 80,125 | $ | 75,700 | 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 | ||||||||||
| 2010 | 2009 | Description of Services Rendered | ||||||||
| Audit-Related Fees | ||||||||||
| PwC | $ | 1,333,000 | $ | 1,509,000 | 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 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, 2010 and December 31, 2009 by PwC were approximately $108,735 and $80,858, 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, 2010 and December 31, 2009 by PwC were approximately $6.4 million and $6.4 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 filed herewith | |||
| (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, 2011 | ||
| 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, 2011 | ||
/s/ Geoge F. Travers | ||
| By: George F. Travers | ||
| Chief Financial Officer of | ||
| Goldman Sachs Variable Insurance Trust | ||
| Date: February 25, 2011 | ||