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, Esq. | Copies to: | |
Goldman, Sachs & Co. | Geoffrey R. T. Kenyon, Esq. | |
200 West Street | Dechert LLP | |
New York, New York 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: June 30, 2011
ITEM 1. | REPORTS TO STOCKHOLDERS. | |
The Semi-Annual Reports to Stockholders are filed herewith. |
* | The Barclays Capital U.S. Aggregate Bond Index (formerly known as the Lehman Brothers Aggregate Bond Index) represents an unmanaged diversified portfolio of fixed income securities, including U.S. Treasuries, investment-grade corporate bonds, and mortgage-backed and asset-backed securities. The Index figures do not reflect any deduction for fees, expenses or taxes. It is not possible to invest directly in an unmanaged index. |
STANDARDIZED AVERAGE ANNUAL TOTAL RETURNS1 |
For the period ended 6/30/2011 | One Year | Five Year | Since Inception | Inception Date | ||||||||||||
Service | 4.24 | % | 5.30 | % | 4.64 | % | 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”). | |
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 | 0.69 | % | 0.83 | % | ||||||
2 | The expense ratios of the Fund, both current (net of any fee waivers or expense limitations) and before waivers (gross of any fee waivers or expense limitations) are as set forth above. The Fund’s waivers and/or expense limitations will remain in place through at least April 29, 2012, and prior to such date the investment adviser may not terminate the arrangements without the approval of the Fund’s Board of Trustees. The expense ratios set forth above may differ from the expense ratios disclosed in the Financial Highlights in this report. |
FUND COMPOSITION3 |
3 | 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. The above graph depicts the Fund’s investments but may not represent the Fund’s market exposure due to the exclusion of derivatives, if any, as listed in the Additional Investment Information section of the Schedule of Investments. | |
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 a foreign government guarantee program and are backed by the full faith and credit of the United States or the 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. | |
6 | “Agency Debentures” include agency securities offered by companies such as FNMA and FHLMC, which operate under a government charter. While they are required to report to a government regulator, their assets are not explicitly guaranteed by the government and they otherwise operate like any other publicly traded company. |
* | The S&P 500 Index is the Standard & Poor’s 500 Composite Index of 500 stocks, an unmanaged index of common stock prices. The Index figures do not reflect any deduction for fees, expenses or taxes. It is not possible to invest directly in an unmanaged index. |
STANDARDIZED AVERAGE ANNUAL TOTAL RETURNS1 |
For the period ended 6/30/11 | One Year | Five Year | Since Inception | Inception Date | ||||||||||||
Service | 30.30 | % | 2.74 | % | 2.41 | % | 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”). | |
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 | 0.48 | % | 0.71 | % | ||||||
2 | The expense ratios of the Fund, both current (net of any fee waivers or expense limitations) and before waivers (gross of any fee waivers or expense limitations) are as set forth above. The Fund’s waivers and/or expense limitations will remain in place through at least April 29, 2012, and prior to such date the investment adviser may not terminate the arrangements without the approval of the Fund’s Board of Trustees. The expense ratios set forth above may differ from the expense ratios disclosed in the Financial Highlights in this report. |
TOP 10 HOLDINGS AS OF 6/30/113 |
Holding | % of Net Assets | Line of Business | ||||||
Exxon Mobil Corp. | 3.3 | % | Energy | |||||
Apple, Inc. | 2.6 | Technology Hardware & Equipment | ||||||
International Business Machines Corp. | 1.7 | Software & Services | ||||||
Chevron Corp. | 1.7 | Energy | ||||||
General Electric Co. | 1.7 | Capital Goods | ||||||
Microsoft Corp. | 1.6 | Software & Services | ||||||
AT&T, Inc. | 1.5 | Telecommunication Services | ||||||
Johnson & Johnson | 1.5 | Pharmaceuticals, Biotechnology & Life Sciences | ||||||
The Procter & Gamble Co. | 1.5 | Household & Personal Products | ||||||
Pfizer, Inc. | 1.4 | Pharmaceuticals, Biotechnology & Life Sciences | ||||||
3 | The top 10 holdings may not be representative of the Fund’s future investments. |
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. The above graph depicts the Fund’s investments but may not represent the Fund’s market exposure due to the exclusion of derivatives, if any, as listed in the Additional Investment Information section of the Schedule of Investments. |
* | The Barclays Capital Government/Mortgage Index (formerly the Lehman Brothers Government/Mortgage Index), an unmanaged index, does not reflect any deduction for fees, expenses or taxes. It is not possible to invest directly in an unmanaged index. |
STANDARDIZED AVERAGE ANNUAL TOTAL RETURNS1 |
For the period ended 6/30/11 | One Year | Five Year | Since Inception | Inception Date | ||||||||||||
Service | 2.24 | % | 5.67 | % | 5.07 | % | 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”). | |
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 | 0.85 | % | 1.12 | % | ||||||
2 | The expense ratios of the Fund, both current (net of any fee waivers or expense limitations) and before waivers (gross of any fee waivers or expense limitations) are as set forth above. The Fund’s waivers and/or expense limitations will remain in place through at least April 29, 2012, and prior such date the investment adviser may not terminate the arrangements without the approval of the Fund’s Board of Trustees. The expense ratios set forth above may differ from the expense ratios disclosed in the Financial Highlights in this report. |
FUND COMPOSITION3 |
3 | 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. The above graph depicts the Fund’s investments but may not represent the Fund’s market exposure due to the exclusion of derivatives, if any, as listed in the Additional Investment Information section of the Schedule of Investments. | |
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. | |
6 | “Agency Debentures” include agency securities offered by companies such as FNMA and FHLMC, which operate under a government charter. While they are required to report to a government regulator, their assets are not explicitly guaranteed by the government and they otherwise operate like any other publicly traded company. |
* | The Russell Midcap Growth Index is an unmanaged index that measures the performance of those Russell Midcap companies with higher price-to-book ratios and higher forecasted growth values. The Index figures do not reflect any deduction for fees, expenses or taxes. It is not possible to invest directly in an unmanaged index. |
STANDARDIZED AVERAGE ANNUAL TOTAL RETURNS1 |
For the period ended 6/30/11 | One Year | Five Year | Since Inception | Inception Date | ||||||||||||
Service | 30.84 | % | 8.38% | 6.71 | % | 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”). | |
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 | 1.15 | % | 1.43 | % | ||||||
2 | The expense ratios of the Fund, both current (net of any fee waivers or expense limitations) and before waivers (gross of any fee waivers or expense limitations) are as set forth above. The Fund’s waivers and/or expense limitations will remain in place through at least April 29, 2012, and prior to such date the investment adviser may not terminate the arrangements without the approval of the Fund’s Board of Trustees. The expense ratios set forth above may differ from the expense ratios disclosed in the Financial Highlights in this report. |
TOP 10 HOLDINGS AS OF 6/30/113 |
Holding | % of Net Assets | Line of Business | ||||||
Global Payments, Inc. | 2.6 | % | Software & Services | |||||
Xilinx, Inc. | 2.5 | Semiconductors & Semiconductor Equipment | ||||||
Cameron International Corp. | 2.3 | Energy | ||||||
Kennametal, Inc. | 2.2 | Capital Goods | ||||||
SBA Communications Corp. Class A | 2.2 | Telecommunication Services | ||||||
PetSmart, Inc. | 2.2 | Retailing | ||||||
Phillips-Van Heusen Corp. | 2.2 | Consumer Durables & Apparel | ||||||
Bed Bath & Beyond, Inc. | 2.1 | Retailing | ||||||
IntercontinentalExchange, Inc. | 2.1 | Diversified Financials | ||||||
Coinstar, Inc. | 2.0 | Consumer Services | ||||||
3 | The top 10 holdings may not be representative of the Fund’s future investments. |
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. The above graph depicts the Fund’s investments but may not represent the Fund’s market exposure due to the exclusion of derivatives, if any, as listed in the Additional Investment Information section of the Schedule of Investments. |
Principal | Interest | Maturity | ||||||||||||
Amount | Rate | Date | Value | |||||||||||
Corporate Obligations – 22.0% | ||||||||||||||
Banks – 6.4% | ||||||||||||||
Abbey National Treasury Services PLC | ||||||||||||||
$ | 175,000 | 2.875 | % | 04/25/14 | $ | 175,154 | ||||||||
100,000 | 4.000 | 04/27/16 | 98,887 | |||||||||||
Bank of America Corp. | ||||||||||||||
425,000 | 3.625 | 03/17/16 | 425,317 | |||||||||||
200,000 | 5.750 | 12/01/17 | 212,569 | |||||||||||
375,000 | 5.625 | 07/01/20 | 384,766 | |||||||||||
BBVA Bancomer SA(a) | ||||||||||||||
425,000 | 7.250 | 04/22/20 | 446,371 | |||||||||||
Capital One Bank NA | ||||||||||||||
300,000 | 8.800 | 07/15/19 | 368,482 | |||||||||||
CBA Capital Trust II(a)(b)(c) | ||||||||||||||
325,000 | 6.024 | 03/29/49 | 320,255 | |||||||||||
Citigroup Capital XXI(b)(c) | ||||||||||||||
383,000 | 8.300 | 12/21/57 | 390,660 | |||||||||||
Citigroup, Inc. | ||||||||||||||
225,000 | 6.375 | 08/12/14 | 249,589 | |||||||||||
600,000 | 5.000 | 09/15/14 | 629,610 | |||||||||||
155,000 | 6.125 | 11/21/17 | 171,042 | |||||||||||
165,000 | 5.375 | 08/09/20 | 172,691 | |||||||||||
Fifth Third Bancorp | ||||||||||||||
150,000 | 3.625 | 01/25/16 | 151,371 | |||||||||||
HSBC Bank NA | ||||||||||||||
275,000 | 4.875 | 08/24/20 | 272,323 | |||||||||||
ING Bank NV(a) | ||||||||||||||
325,000 | 2.375 | 06/09/14 | 323,494 | |||||||||||
JPMorgan Chase Capital XXV Series Y | ||||||||||||||
275,000 | 6.800 | 10/01/37 | 274,026 | |||||||||||
Merrill Lynch & Co., Inc. | ||||||||||||||
325,000 | 6.400 | 08/28/17 | 357,771 | |||||||||||
Morgan Stanley & Co. | ||||||||||||||
275,000 | 5.750 | 08/31/12 | 289,471 | |||||||||||
400,000 | 5.950 | 12/28/17 | 424,099 | |||||||||||
300,000 | 6.625 | 04/01/18 | 329,263 | |||||||||||
PNC Bank NA | ||||||||||||||
225,000 | 6.875 | 04/01/18 | 259,923 | |||||||||||
Regions Financial Corp. | ||||||||||||||
325,000 | 5.750 | 06/15/15 | 319,313 | |||||||||||
Resona Bank Ltd.(a)(b)(c) | ||||||||||||||
650,000 | 5.850 | 09/29/49 | 648,676 | |||||||||||
Santander Holdings USA, Inc. | ||||||||||||||
165,000 | 4.625 | 04/19/16 | 165,118 | |||||||||||
SunTrust Banks, Inc.(b) | ||||||||||||||
225,000 | 3.600 | 04/15/16 | 227,888 | |||||||||||
The Bear Stearns Companies, LLC | ||||||||||||||
500,000 | 7.250 | 02/01/18 | 592,959 | |||||||||||
The Royal Bank of Scotland Group PLC(a) | ||||||||||||||
425,000 | 4.875 | 08/25/14 | 442,325 | |||||||||||
U.S. Bancorp | ||||||||||||||
375,000 | 3.442 | 02/01/16 | 379,525 | |||||||||||
Union Bank NA | ||||||||||||||
400,000 | 3.000 | 06/06/16 | 396,251 | |||||||||||
Wachovia Bank NA | ||||||||||||||
300,000 | 6.600 | 01/15/38 | 331,511 | |||||||||||
10,230,700 | ||||||||||||||
Captive Auto – 0.2% | ||||||||||||||
FUEL Trust(a) | ||||||||||||||
325,000 | 3.984 | 06/15/16 | 320,936 | |||||||||||
Chemicals – 0.4% | ||||||||||||||
The Dow Chemical Co. | ||||||||||||||
500,000 | 7.600 | 05/15/14 | 579,168 | |||||||||||
Diversified Manufacturing – 0.2% | ||||||||||||||
Valmont Industries, Inc. | ||||||||||||||
250,000 | 6.625 | 04/20/20 | 273,411 | |||||||||||
Electric – 0.9% | ||||||||||||||
Arizona Public Service Co. | ||||||||||||||
250,000 | 6.375 | 10/15/11 | 254,121 | |||||||||||
Ipalco Enterprises, Inc.(a) | ||||||||||||||
400,000 | 5.000 | 05/01/18 | 396,000 | |||||||||||
PPL WEM Holdings PLC(a)(b) | ||||||||||||||
350,000 | 5.375 | 05/01/21 | 360,944 | |||||||||||
Progress Energy, Inc. | ||||||||||||||
350,000 | 7.000 | 10/30/31 | 405,810 | |||||||||||
1,416,875 | ||||||||||||||
Energy – 2.8% | ||||||||||||||
Anadarko Petroleum Corp. | ||||||||||||||
375,000 | 6.375 | 09/15/17 | 429,438 | |||||||||||
BP Capital Markets PLC | ||||||||||||||
225,000 | 3.200 | 03/11/16 | 228,662 | |||||||||||
500,000 | 4.500 | 10/01/20 | 510,290 | |||||||||||
Dolphin Energy Ltd.(a) | ||||||||||||||
212,064 | 5.888 | 06/15/19 | 228,561 | |||||||||||
Gazprom OAO Via Gaz Capital SA | ||||||||||||||
350,000 | 9.250 | 04/23/19 | 435,313 | |||||||||||
Nexen, Inc. | ||||||||||||||
120,000 | 6.400 | 05/15/37 | 119,243 | |||||||||||
200,000 | 7.500 | 07/30/39 | 223,973 | |||||||||||
Noble Energy, Inc. | ||||||||||||||
250,000 | 6.000 | 03/01/41 | 256,364 | |||||||||||
Pemex Project Funding Master Trust | ||||||||||||||
330,000 | 6.625 | 06/15/35 | 345,675 | |||||||||||
Petrobras International Finance Co. | ||||||||||||||
170,000 | 5.375 | 01/27/21 | 174,461 | |||||||||||
PTTEP Canada International Finance Ltd.(a) | ||||||||||||||
240,000 | 5.692 | 04/05/21 | 239,208 | |||||||||||
Ras Laffan Liquefied Natural Gas Co. Ltd. III(a) | ||||||||||||||
250,000 | 5.500 | 09/30/14 | 270,774 | |||||||||||
TNK-BP Finance SA | ||||||||||||||
140,000 | 7.875 | 03/13/18 | 160,479 | |||||||||||
Transocean, Inc. | ||||||||||||||
100,000 | 4.950 | 11/15/15 | 107,056 | |||||||||||
325,000 | 6.000 | 03/15/18 | 357,698 | |||||||||||
100,000 | 6.500 | 11/15/20 | 111,838 | |||||||||||
Weatherford International Ltd. | ||||||||||||||
225,000 | 9.625 | 03/01/19 | 290,436 | |||||||||||
4,489,469 | ||||||||||||||
Food & Beverage – 0.7% | ||||||||||||||
Cargill, Inc.(a) | ||||||||||||||
425,000 | 4.307 | 05/14/21 | 428,313 |
Principal | Interest | Maturity | ||||||||||||
Amount | Rate | Date | Value | |||||||||||
Corporate Obligations – (continued) | ||||||||||||||
Food & Beverage – (continued) | ||||||||||||||
Kraft Foods, Inc. | ||||||||||||||
$ | 275,000 | 6.125 | % | 08/23/18 | $ | 314,260 | ||||||||
225,000 | 6.500 | 02/09/40 | 247,529 | |||||||||||
990,102 | ||||||||||||||
Food & Drug Retail(b)(c) – 0.3% | ||||||||||||||
CVS Caremark Corp. | ||||||||||||||
500,000 | 6.302 | 06/01/37 | 484,997 | |||||||||||
Healthcare – 0.4% | ||||||||||||||
Boston Scientific Corp. | ||||||||||||||
525,000 | 4.500 | 01/15/15 | 553,012 | |||||||||||
Life Technologies Corp. | ||||||||||||||
150,000 | 6.000 | 03/01/20 | 162,539 | |||||||||||
715,551 | ||||||||||||||
Life Insurance – 1.1% | ||||||||||||||
Lincoln National Corp. | ||||||||||||||
300,000 | 4.850 | 06/24/21 | 299,337 | |||||||||||
MetLife Capital Trust X(a)(b)(c) | ||||||||||||||
300,000 | 9.250 | 04/08/38 | 366,000 | |||||||||||
Prudential Financial, Inc. | ||||||||||||||
575,000 | 3.875 | 01/14/15 | 599,478 | |||||||||||
The Northwestern Mutual Life Insurance Co.(a) | ||||||||||||||
425,000 | 6.063 | 03/30/40 | 447,943 | |||||||||||
1,712,758 | ||||||||||||||
Media Cable – 0.3% | ||||||||||||||
DIRECTV Holdings LLC/DIRECTV Financing Co., Inc. | ||||||||||||||
425,000 | 3.500 | 03/01/16 | 436,856 | |||||||||||
Media Non Cable(a) – 0.5% | ||||||||||||||
NBCUniversal Media LLC | ||||||||||||||
175,000 | 2.875 | 04/01/16 | 175,137 | |||||||||||
400,000 | 4.375 | 04/01/21 | 395,813 | |||||||||||
News America, Inc. | ||||||||||||||
375,000 | 6.150 | 02/15/41 | 377,112 | |||||||||||
948,062 | ||||||||||||||
Metals and Mining(b) – 0.5% | ||||||||||||||
Freeport-McMoRan Copper & Gold, Inc. | ||||||||||||||
418,000 | 8.375 | 04/01/17 | 456,142 | |||||||||||
Teck Resources Ltd. | ||||||||||||||
300,000 | 10.750 | 05/15/19 | 379,125 | |||||||||||
835,267 | ||||||||||||||
Noncaptive-Financial – 1.6% | ||||||||||||||
Capital One Capital III | ||||||||||||||
125,000 | 7.686 | 08/15/36 | 127,500 | |||||||||||
Capital One Capital IV(b)(c) | ||||||||||||||
350,000 | 6.745 | 02/17/37 | 353,500 | |||||||||||
Discover Bank | ||||||||||||||
250,000 | 8.700 | 11/18/19 | 301,031 | |||||||||||
General Electric Capital Corp. | ||||||||||||||
825,000 | 5.625 | 05/01/18 | 898,854 | |||||||||||
International Lease Finance Corp. | ||||||||||||||
375,000 | 5.750 | 05/15/16 | 369,375 | |||||||||||
SLM Corp. | ||||||||||||||
AUD | 150,000 | 6.000 | 05/10/12 | 158,909 | ||||||||||
$ | 325,000 | 6.250 | 01/25/16 | 339,707 | ||||||||||
2,548,876 | ||||||||||||||
Pipelines – 1.4% | ||||||||||||||
Boardwalk Pipelines LP | ||||||||||||||
550,000 | 5.875 | 11/15/16 | 613,103 | |||||||||||
El Paso Pipeline Partners Operating Co. LLC | ||||||||||||||
150,000 | 6.500 | 04/01/20 | 168,000 | |||||||||||
Energy Transfer Partners LP | ||||||||||||||
450,000 | 5.950 | 02/01/15 | 498,361 | |||||||||||
Enterprise Products Operating LLC | ||||||||||||||
175,000 | 5.000 | 03/01/15 | 190,390 | |||||||||||
Tennessee Gas Pipeline Co. | ||||||||||||||
150,000 | 8.000 | 02/01/16 | 180,897 | |||||||||||
200,000 | 8.375 | 06/15/32 | 252,838 | |||||||||||
TransCanada Pipelines Ltd.(b)(c) | ||||||||||||||
325,000 | 6.350 | 05/15/67 | 325,000 | |||||||||||
2,228,589 | ||||||||||||||
Property/Casualty Insurance – 0.9% | ||||||||||||||
QBE Capital Funding III Ltd.(a)(b)(c) | ||||||||||||||
250,000 | 7.250 | 05/24/41 | 250,843 | |||||||||||
QBE Insurance Group Ltd.(a) | ||||||||||||||
225,000 | 9.750 | 03/14/14 | 261,775 | |||||||||||
Transatlantic Holdings, Inc. | ||||||||||||||
225,000 | 8.000 | 11/30/39 | 244,657 | |||||||||||
ZFS Finance USA Trust IV(a)(b)(c) | ||||||||||||||
675,000 | 5.875 | 05/09/32 | 681,386 | |||||||||||
1,438,661 | ||||||||||||||
Real Estate Investment Trusts – 2.1% | ||||||||||||||
Brandywine Operating Partnership LP(b) | ||||||||||||||
325,000 | 4.950 | 04/15/18 | 329,486 | |||||||||||
Developers Diversified Realty Corp. | ||||||||||||||
375,000 | 7.500 | 04/01/17 | 424,688 | |||||||||||
Duke Realty LP | ||||||||||||||
350,000 | 5.950 | 02/15/17 | 382,899 | |||||||||||
HCP, Inc. | ||||||||||||||
275,000 | 6.000 | 01/30/17 | 302,158 | |||||||||||
250,000 | 5.375 | (b) | 02/01/21 | 256,711 | ||||||||||
Healthcare Realty Trust, Inc. | ||||||||||||||
350,000 | 5.750 | 01/15/21 | 357,502 | |||||||||||
Kilroy Realty LP | ||||||||||||||
275,000 | 5.000 | 11/03/15 | 287,290 | |||||||||||
ProLogis LP | ||||||||||||||
100,000 | 2.250 | 04/01/37 | 99,625 | |||||||||||
175,000 | 1.875 | (b) | 11/15/37 | 172,375 | ||||||||||
Simon Property Group LP | ||||||||||||||
350,000 | 10.350 | 04/01/19 | 482,448 | |||||||||||
WEA Finance LLC(a) | ||||||||||||||
125,000 | 7.500 | 06/02/14 | 144,079 | |||||||||||
3,239,261 | ||||||||||||||
Principal | Interest | Maturity | ||||||||||||
Amount | Rate | Date | Value | |||||||||||
Corporate Obligations – (continued) | ||||||||||||||
Retailers – 0.2% | ||||||||||||||
Macy’s Retail Holdings, Inc. | ||||||||||||||
$ | 250,000 | 7.450 | % | 07/15/17 | $ | 297,500 | ||||||||
Tobacco – 0.1% | ||||||||||||||
Altria Group, Inc. | ||||||||||||||
175,000 | 9.700 | 11/10/18 | 230,059 | |||||||||||
Transportation – 0.3% | ||||||||||||||
Transnet Ltd.(a) | ||||||||||||||
400,000 | 4.500 | 02/10/16 | 412,835 | |||||||||||
Wirelines Telecommunications – 0.7% | ||||||||||||||
AT&T, Inc. | ||||||||||||||
625,000 | 2.950 | 05/15/16 | 632,449 | |||||||||||
Qwest Communications International, Inc.(b) | ||||||||||||||
325,000 | 8.000 | 10/01/15 | 352,300 | |||||||||||
Qwest Corp. | ||||||||||||||
150,000 | 8.375 | 05/01/16 | 176,219 | |||||||||||
1,160,968 | ||||||||||||||
TOTAL CORPORATE OBLIGATIONS | ||||||||||||||
(Cost $33,591,229) | $ | 34,990,901 | ||||||||||||
Mortgage-Backed Obligations – 58.3% | ||||||||||||||
Adjustable Rate Non-Agency(c) – 2.9% | ||||||||||||||
Bear Stearns Adjustable Rate Mortgage Trust Series 2004-1, Class 21A1 | ||||||||||||||
$ | 27,716 | 2.475 | % | 04/25/34 | $ | 24,346 | ||||||||
Countrywide Alternative Loan Trust Series 2005-38, Class A1 | ||||||||||||||
270,220 | 1.778 | 09/25/35 | 170,292 | |||||||||||
Countrywide Home Loan Mortgage Pass-Through Trust Series 2003-52, Class A1 | ||||||||||||||
104,902 | 2.831 | 02/19/34 | 93,677 | |||||||||||
Countrywide Home Loan Mortgage Pass-Through Trust Series 2004-HYB6, Class A2 | ||||||||||||||
20,515 | 3.067 | 11/20/34 | 17,163 | |||||||||||
Indymac Index Mortgage Loan Trust Series 2005-AR15, Class A1 | ||||||||||||||
484,042 | 4.970 | 09/25/35 | 408,254 | |||||||||||
Indymac Index Mortgage Loan Trust Series 2006-AR4, Class A1A | ||||||||||||||
999,856 | 0.396 | 05/25/46 | 594,186 | |||||||||||
J.P. Morgan Mortgage Trust Series 2007-A1, Class 2A2 | ||||||||||||||
356,201 | 3.078 | 07/25/35 | 314,944 | |||||||||||
Lehman XS Trust Series 2005-7N, Class 1A1A | ||||||||||||||
396,211 | 0.456 | 12/25/35 | 262,585 | |||||||||||
Master Adjustable Rate Mortgages Trust Series 2006-OA2, Class 4A1A | ||||||||||||||
661,448 | 1.128 | 12/25/46 | 233,299 | |||||||||||
Structured Adjustable Rate Mortgage Loan Trust Series 2004-12, Class 3A2 | ||||||||||||||
23,091 | 2.561 | 09/25/34 | 19,890 | |||||||||||
Structured Adjustable Rate Mortgage Loan Trust Series 2004-5, Class 3A1 | ||||||||||||||
50,158 | 2.542 | 05/25/34 | 44,412 | |||||||||||
Thornburg Mortgage Securities Trust Series 2006-4, Class A2B | ||||||||||||||
1,335,079 | 0.314 | 07/25/36 | 1,332,748 | |||||||||||
Washington Mutual Mortgage Pass-Through Certificates Series 2004-AR3, Class A2 | ||||||||||||||
28,750 | 2.577 | 06/25/34 | 27,142 | |||||||||||
Washington Mutual Mortgage Pass-Through Certificates Series 2007-OA2, Class 1A | ||||||||||||||
618,842 | 0.978 | 03/25/47 | 392,135 | |||||||||||
Wells Fargo Mortgage Backed Securities Trust Series 2006-AR10, Class 5A3 | ||||||||||||||
812,249 | 3.149 | 07/25/36 | 640,281 | |||||||||||
4,575,354 | ||||||||||||||
Collateralized Mortgage Obligations – 15.0% | ||||||||||||||
Agency Multi-Family – 2.8% | ||||||||||||||
FNMA | ||||||||||||||
398,126 | 2.800 | 03/01/18 | 392,604 | |||||||||||
1,098,899 | 3.740 | 05/01/18 | 1,139,120 | |||||||||||
320,000 | 3.840 | 05/01/18 | 330,294 | |||||||||||
800,000 | 4.506 | 06/01/19 | 845,718 | |||||||||||
199,267 | 3.416 | 10/01/20 | 195,531 | |||||||||||
298,869 | 3.375 | 11/01/20 | 292,209 | |||||||||||
199,290 | 3.632 | 12/01/20 | 197,970 | |||||||||||
994,949 | 3.763 | 12/01/20 | 998,258 | |||||||||||
GNMA | ||||||||||||||
193,941 | 3.950 | 07/15/25 | 200,263 | |||||||||||
4,591,967 | ||||||||||||||
Covered Bonds(a) – 8.0% | ||||||||||||||
Bank of Scotland PLC | ||||||||||||||
300,000 | 5.250 | 02/21/17 | 320,781 | |||||||||||
Companhia de Financement Foncier | ||||||||||||||
1,900,000 | 2.125 | 04/22/13 | 1,928,337 | |||||||||||
DnB NOR Boligkreditt | ||||||||||||||
1,300,000 | 2.100 | 10/14/15 | 1,284,781 | |||||||||||
1,100,000 | 2.900 | 03/29/16 | 1,119,642 | |||||||||||
ING Bank NV | ||||||||||||||
800,000 | 2.500 | 01/14/16 | 785,959 | |||||||||||
Nordea Eiendomskreditt AS | ||||||||||||||
800,000 | 1.875 | 04/07/14 | 808,105 | |||||||||||
Sparebank 1 Boligkreditt AS | ||||||||||||||
1,400,000 | 1.250 | 10/25/13 | 1,398,568 | |||||||||||
1,200,000 | 2.625 | 05/27/16 | 1,201,519 | |||||||||||
Stadshypotek AB | ||||||||||||||
450,000 | 1.450 | 09/30/13 | 452,934 | |||||||||||
Swedbank Hypotek AB(c) | ||||||||||||||
300,000 | 0.696 | 03/28/14 | 301,654 | |||||||||||
The Bank of Nova Scotia | ||||||||||||||
2,000,000 | 1.450 | 07/26/13 | 2,022,960 | |||||||||||
The Canadian Imperial Bank of Commerce | ||||||||||||||
500,000 | 2.000 | 02/04/13 | 509,386 | |||||||||||
400,000 | 2.750 | 01/27/16 | 409,260 | |||||||||||
12,543,886 | ||||||||||||||
Interest Only(c)(d)(e) – 0.0% | ||||||||||||||
FNMA REMIC Series 2004-71, Class DI | ||||||||||||||
301,246 | 0.000 | 04/25/34 | 3,756 | |||||||||||
Principal | Interest | Maturity | ||||||||||||
Amount | Rate | Date | Value | |||||||||||
Mortgage-Backed Obligations – (continued) | ||||||||||||||
Planned Amortization Class – 1.0% | ||||||||||||||
FNMA REMIC Series 2003-92, Class PD | ||||||||||||||
$ | 1,590,707 | 4.500 | % | 03/25/17 | $ | 1,626,873 | ||||||||
Regular Floater(c) – 2.9% | ||||||||||||||
Arkle Master Issuer PLC Series 2010-2A, Class 1A1(a) | ||||||||||||||
800,000 | 1.661 | 05/17/60 | 800,517 | |||||||||||
Arran Residential Mortgages Funding PLC Series 2011-1A, Class A1B(a) | ||||||||||||||
400,000 | 2.624 | 11/19/47 | 579,819 | |||||||||||
FHLMC REMIC Series 2005-3038, Class XA(d) | ||||||||||||||
7,787 | 0.000 | 09/15/35 | 7,730 | |||||||||||
Fosse Master Issuer PLC Series 2011-1A, Class A2(a) | ||||||||||||||
750,000 | 1.619 | 10/18/54 | 748,975 | |||||||||||
Holmes Master Issuer PLC Series 2010-1A, Class A2(a) | ||||||||||||||
300,000 | 1.678 | 10/15/54 | 300,515 | |||||||||||
Permanent Master Issuer PLC Series 2011-1A, Class 1A3(a) | ||||||||||||||
900,000 | 2.617 | 07/15/42 | 1,303,843 | |||||||||||
Silverstone Master Issuer PLC Series 2010-1A, Class A1(a) | ||||||||||||||
800,000 | 1.674 | 01/21/55 | 799,998 | |||||||||||
4,541,397 | ||||||||||||||
Sequential Fixed Rate – 0.3% | ||||||||||||||
National Credit Union Administration Guaranteed Notes | ||||||||||||||
500,000 | 3.000 | 06/12/19 | 494,250 | |||||||||||
TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS | 23,802,129 | |||||||||||||
Commercial Mortgage-Backed Securities – 5.6% | ||||||||||||||
Adjustable Rate Non-Agency(c) – 0.8% | ||||||||||||||
Wachovia Bank Commercial Mortgage Trust Series 2006-C25, Class A5 | ||||||||||||||
$ | 1,200,000 | 5.860 | % | 05/15/43 | $ | 1,316,851 | ||||||||
Sequential Fixed Rate – 4.3% | ||||||||||||||
CWCapital Cobalt Ltd. Series 2006-C1, Class A4 | ||||||||||||||
1,052,000 | 5.223 | 08/15/48 | 1,121,866 | |||||||||||
GE Capital Commercial Mortgage Corp. Series 2002-1A, Class A3 | ||||||||||||||
2,385,371 | 6.269 | 12/10/35 | 2,435,575 | |||||||||||
LB-UBS Commercial Mortgage Trust Series 2007-C1, Class A4 | ||||||||||||||
400,000 | 5.424 | 02/15/40 | 430,749 | |||||||||||
Morgan Stanley Dean Witter Capital I Series 2003-TOP9, Class A2 | ||||||||||||||
2,681,024 | 4.740 | 11/13/36 | 2,772,320 | |||||||||||
6,760,510 | ||||||||||||||
Sequential Floating Rate(c) – 0.5% | ||||||||||||||
LB-UBS Commercial Mortgage Trust Series 2007-C7, Class A3 | ||||||||||||||
800,000 | 5.866 | 09/15/45 | 869,998 | |||||||||||
TOTAL COMMERCIAL MORTGAGE-BACKED SECURITIES | 8,947,359 | |||||||||||||
Federal Agencies – 34.8% | ||||||||||||||
Adjustable Rate FHLMC(c) – 1.7% | ||||||||||||||
$ | 1,686,681 | 2.591 | % | 09/01/35 | $ | 1,775,115 | ||||||||
778,217 | 4.775 | 10/01/35 | 829,774 | |||||||||||
2,604,889 | ||||||||||||||
Adjustable Rate FNMA(c) – 1.6% | ||||||||||||||
590,073 | 2.077 | 05/01/33 | 614,351 | |||||||||||
848,364 | 2.457 | 05/01/35 | 888,626 | |||||||||||
1,002,245 | 2.786 | 09/01/35 | 1,058,982 | |||||||||||
2,561,959 | ||||||||||||||
FHLMC – 2.9% | ||||||||||||||
1,736 | 7.000 | 11/01/11 | 1,761 | |||||||||||
996 | 7.000 | 12/01/11 | 1,010 | |||||||||||
28,621 | 7.500 | 06/01/15 | 31,355 | |||||||||||
56,267 | 7.000 | 07/01/16 | 60,334 | |||||||||||
551,809 | 5.500 | 02/01/18 | 598,756 | |||||||||||
43,051 | 5.500 | 04/01/18 | 46,714 | |||||||||||
16,103 | 4.500 | 09/01/18 | 17,176 | |||||||||||
78,230 | 5.500 | 09/01/18 | 84,885 | |||||||||||
8,723 | 9.500 | 08/01/19 | 9,766 | |||||||||||
663 | 9.500 | 08/01/20 | 744 | |||||||||||
142,032 | 6.500 | 10/01/20 | 160,157 | |||||||||||
31,738 | 4.500 | 07/01/24 | 33,912 | |||||||||||
180,833 | 4.500 | 11/01/24 | 193,336 | |||||||||||
41,428 | 4.500 | 12/01/24 | 44,293 | |||||||||||
59,942 | 6.000 | 03/01/29 | 66,605 | |||||||||||
680 | 6.000 | 04/01/29 | 756 | |||||||||||
38,125 | 7.500 | 12/01/29 | 42,978 | |||||||||||
354,451 | 7.000 | 05/01/32 | 400,091 | |||||||||||
1,126 | 6.000 | 08/01/32 | 1,247 | |||||||||||
194,945 | 7.000 | 12/01/32 | 220,046 | |||||||||||
36,498 | 5.000 | 12/01/35 | 38,893 | |||||||||||
40,677 | 6.000 | 09/01/37 | 45,117 | |||||||||||
66,568 | 6.000 | 02/01/38 | 73,844 | |||||||||||
162,792 | 6.000 | 07/01/38 | 180,785 | |||||||||||
47,728 | 6.000 | 10/01/38 | 53,041 | |||||||||||
877,482 | 4.500 | 09/01/39 | 914,398 | |||||||||||
89,223 | 4.500 | 10/01/39 | 92,976 | |||||||||||
790,456 | 5.500 | 01/01/40 | 854,078 | |||||||||||
297,046 | 4.000 | 12/01/40 | 297,267 | |||||||||||
4,566,321 | ||||||||||||||
FNMA – 23.0% | ||||||||||||||
7,533 | 6.000 | 08/01/13 | 8,198 | |||||||||||
77,839 | 7.500 | 08/01/15 | 85,025 | |||||||||||
35,936 | 6.000 | 04/01/16 | 39,202 | |||||||||||
67,377 | 6.500 | 05/01/16 | 73,474 | |||||||||||
99,686 | 6.500 | 09/01/16 | 108,706 | |||||||||||
126,841 | 6.500 | 11/01/16 | 138,318 | |||||||||||
33,527 | 7.500 | 04/01/17 | 35,857 | |||||||||||
480,380 | 5.500 | 02/01/18 | 520,574 | |||||||||||
471,895 | 5.000 | 05/01/18 | 506,310 | |||||||||||
41,868 | 6.500 | 08/01/18 | 47,438 | |||||||||||
200,383 | 7.000 | 08/01/18 | 228,750 | |||||||||||
7,745 | 5.000 | 06/01/23 | 8,310 | |||||||||||
573,604 | 5.500 | 09/01/23 | 622,475 | |||||||||||
116,666 | 5.500 | 10/01/23 | 126,993 | |||||||||||
25,083 | 4.500 | 07/01/24 | 26,867 | |||||||||||
404,216 | 4.500 | 11/01/24 | 432,954 | |||||||||||
144,125 | 4.500 | 12/01/24 | 154,372 | |||||||||||
287 | 7.000 | 07/01/25 | 328 | |||||||||||
6,358 | 7.000 | 11/01/25 | 7,256 |
Principal | Interest | Maturity | ||||||||||||
Amount | Rate | Date | Value | |||||||||||
Mortgage-Backed Obligations – (continued) | ||||||||||||||
FNMA – (continued) | ||||||||||||||
$ | 40,505 | 9.000 | % | 11/01/25 | $ | 47,873 | ||||||||
182,952 | 7.000 | 08/01/26 | 211,006 | |||||||||||
1,807 | 7.000 | 08/01/27 | 2,062 | |||||||||||
11,268 | 7.000 | 09/01/27 | 12,862 | |||||||||||
56,086 | 6.000 | 12/01/27 | 61,666 | |||||||||||
455 | 7.000 | 01/01/28 | 520 | |||||||||||
331,592 | 6.000 | 02/01/29 | 367,135 | |||||||||||
304,362 | 6.000 | 06/01/29 | 336,964 | |||||||||||
60,502 | 8.000 | 10/01/29 | 71,086 | |||||||||||
21,349 | 7.000 | 12/01/29 | 24,361 | |||||||||||
1,535 | 8.500 | 04/01/30 | 1,814 | |||||||||||
7,626 | 8.000 | 05/01/30 | 8,689 | |||||||||||
419 | 8.500 | 06/01/30 | 496 | |||||||||||
23,870 | 7.000 | 05/01/32 | 27,190 | |||||||||||
182,861 | 7.000 | 06/01/32 | 207,952 | |||||||||||
241,035 | 7.000 | 08/01/32 | 274,109 | |||||||||||
48,769 | 8.000 | 08/01/32 | 57,498 | |||||||||||
21,667 | 5.000 | 08/01/33 | 23,134 | |||||||||||
3,075 | 5.500 | 09/01/33 | 3,344 | |||||||||||
4,180 | 5.500 | 02/01/34 | 4,546 | |||||||||||
664 | 5.500 | 04/01/34 | 722 | |||||||||||
39,718 | 5.500 | 12/01/34 | 43,178 | |||||||||||
85,137 | 5.000 | 04/01/35 | 90,811 | |||||||||||
250,076 | 6.000 | 04/01/35 | 276,464 | |||||||||||
12,340 | 5.000 | 09/01/35 | 13,169 | |||||||||||
5,316 | 5.500 | 09/01/35 | 5,775 | |||||||||||
578 | 5.500 | 02/01/37 | 628 | |||||||||||
943 | 5.500 | 04/01/37 | 1,025 | |||||||||||
969 | 5.500 | 05/01/37 | 1,053 | |||||||||||
88,364 | 6.000 | 12/01/37 | 98,084 | |||||||||||
1,420 | 5.500 | 03/01/38 | 1,544 | |||||||||||
41,793 | 6.000 | 05/01/38 | 46,463 | |||||||||||
993 | 5.500 | 06/01/38 | 1,079 | |||||||||||
37,604 | 6.000 | 06/01/38 | 41,806 | |||||||||||
1,406 | 5.500 | 07/01/38 | 1,528 | |||||||||||
92,213 | 6.000 | 07/01/38 | 102,529 | |||||||||||
1,582 | 5.500 | 08/01/38 | 1,719 | |||||||||||
36,825 | 6.000 | 08/01/38 | 40,944 | |||||||||||
904 | 5.500 | 09/01/38 | 983 | |||||||||||
19,910 | 5.500 | 10/01/38 | 21,639 | |||||||||||
47,011 | 6.000 | 10/01/38 | 52,270 | |||||||||||
50,883 | 6.000 | 11/01/38 | 56,575 | |||||||||||
553 | 5.500 | 12/01/38 | 601 | |||||||||||
378,300 | 5.000 | 01/01/39 | 403,746 | |||||||||||
67,503 | 4.500 | 08/01/39 | 70,282 | |||||||||||
199,414 | 4.500 | 12/01/39 | 207,960 | |||||||||||
49,746 | 4.500 | 01/01/40 | 51,864 | |||||||||||
93,526 | 3.500 | 12/01/40 | 89,617 | |||||||||||
7,886,727 | 3.500 | 02/01/41 | 7,556,942 | |||||||||||
996,747 | 3.500 | 03/01/41 | 955,084 | |||||||||||
6,000,000 | 3.500 | TBA-15yr | (f) | 6,108,750 | ||||||||||
9,000,000 | 4.000 | TBA-30yr | (f) | 9,000,000 | ||||||||||
3,000,000 | 4.500 | TBA-30yr | (f) | 3,103,828 | ||||||||||
2,000,000 | 5.000 | TBA-30yr | (f) | 2,124,688 | ||||||||||
1,000,000 | 6.000 | TBA-30yr | (f) | 1,098,906 | ||||||||||
36,587,970 | ||||||||||||||
GNMA – 5.6% | ||||||||||||||
1,521 | 7.000 | 03/15/12 | 1,527 | |||||||||||
11,405 | 7.000 | 10/15/25 | 13,231 | |||||||||||
15,772 | 7.000 | 11/15/25 | 18,296 | |||||||||||
2,895 | 7.000 | 02/15/26 | 3,365 | |||||||||||
11,418 | 7.000 | 04/15/26 | 13,268 | |||||||||||
6,658 | 7.000 | 03/15/27 | 7,604 | |||||||||||
107,320 | 7.000 | 11/15/27 | 122,570 | |||||||||||
5,239 | 7.000 | 01/15/28 | 5,986 | |||||||||||
40,417 | 7.000 | 02/15/28 | 46,183 | |||||||||||
15,444 | 7.000 | 03/15/28 | 17,647 | |||||||||||
4,091 | 7.000 | 04/15/28 | 4,675 | |||||||||||
644 | 7.000 | 05/15/28 | 736 | |||||||||||
10,637 | 7.000 | 06/15/28 | 12,154 | |||||||||||
22,878 | 7.000 | 07/15/28 | 26,141 | |||||||||||
15,154 | 7.000 | 08/15/28 | 17,315 | |||||||||||
38,097 | 7.000 | 09/15/28 | 43,531 | |||||||||||
4,356 | 7.000 | 11/15/28 | 4,978 | |||||||||||
5,135 | 7.500 | 11/15/30 | 5,972 | |||||||||||
627 | 7.000 | 12/15/31 | 716 | |||||||||||
25,869 | 7.500 | 10/15/32 | 30,587 | |||||||||||
665,412 | 6.000 | 08/20/34 | 740,301 | |||||||||||
332,386 | 3.500 | 11/15/40 | 323,331 | |||||||||||
2,000,000 | 4.500 | TBA-30yr | (f) | 2,110,781 | ||||||||||
3,000,000 | 5.000 | TBA-30yr | (f) | 3,249,375 | ||||||||||
2,000,000 | 4.500 | TBA-30yr | (f) | 2,104,219 | ||||||||||
8,924,489 | ||||||||||||||
TOTAL FEDERAL AGENCIES | $ | 55,245,628 | ||||||||||||
TOTAL MORTGAGE-BACKED OBLIGATIONS | ||||||||||||||
(Cost $92,803,684) | $ | 92,570,470 | ||||||||||||
Agency Debenture – 0.6% | ||||||||||||||
Tennessee Valley Authority(g) | ||||||||||||||
$ | 900,000 | 5.375 | % | 04/01/56 | $ | 966,449 | ||||||||
(Cost $895,011) | ||||||||||||||
Asset-Backed Securities – 2.5% | ||||||||||||||
Home Equity – 0.2% | ||||||||||||||
GMAC Mortgage Corp. Loan Trust Series 2007-HE3, Class 1A1 | ||||||||||||||
$ | 152,202 | 7.000 | % | 09/25/37 | $ | 110,346 | ||||||||
GMAC Mortgage Corp. Loan Trust Series 2007-HE3, Class 2A1 | ||||||||||||||
195,541 | 7.000 | (b) | 09/25/37 | 136,683 | ||||||||||
247,029 | ||||||||||||||
Student Loans(c) – 2.3% | ||||||||||||||
Brazos Higher Education Authority Series 2011-1, Class A2 | ||||||||||||||
1,000,000 | 1.057 | 02/25/30 | 987,043 | |||||||||||
Brazos Higher Education Authority Series 2011-2, Class A2 | ||||||||||||||
800,000 | 1.097 | 07/25/29 | 791,995 | |||||||||||
College Loan Corp. Trust Series 2006-1, Class A3 | ||||||||||||||
1,000,000 | 0.364 | 10/25/25 | 991,061 | |||||||||||
Goal Capital Funding Trust Series 2010-1, Class A(a) | ||||||||||||||
276,142 | 0.957 | 08/25/48 | 273,014 |
Principal | Interest | Maturity | ||||||||||||
Amount | Rate | Date | Value | |||||||||||
Asset-Backed Securities – (continued) | ||||||||||||||
Student Loans(c) – (continued) | ||||||||||||||
Knowledgeworks Foundation Series 2010-1, Class A | ||||||||||||||
$ | 282,535 | 1.207 | % | 02/25/42 | $ | 278,682 | ||||||||
Nelnet Student Loan Trust Series 2010-3A, Class A(a) | ||||||||||||||
364,218 | 1.054 | 07/27/48 | 364,564 | |||||||||||
3,686,359 | ||||||||||||||
TOTAL ASSET-BACKED SECURITIES | ||||||||||||||
(Cost $4,029,099) | $ | 3,933,388 | ||||||||||||
Foreign Debt Obligations – 8.0% | ||||||||||||||
Sovereign – 7.6% | ||||||||||||||
Bank Negara Malaysia Monetary Notes(h) | ||||||||||||||
MYR | 2,450,000 | 0.000 | % | �� | 09/22/11 | $ | 805,673 | |||||||
2,450,000 | 0.000 | 09/27/11 | 805,307 | |||||||||||
Federal Republic of Brazil | ||||||||||||||
$ | 220,000 | 8.250 | 01/20/34 | 302,500 | ||||||||||
200,000 | 7.125 | 01/20/37 | 247,000 | |||||||||||
Malaysia Government Bond | ||||||||||||||
MYR | 1,220,000 | 3.434 | 08/15/14 | 406,303 | ||||||||||
State of Qatar | ||||||||||||||
$ | 260,000 | 5.150 | 04/09/14 | 282,360 | ||||||||||
330,000 | 5.250 | (a) | 01/20/20 | 352,110 | ||||||||||
United Kingdom Gilt | ||||||||||||||
GBP | 4,200,000 | 4.500 | 03/07/13 | 7,155,079 | ||||||||||
1,000,000 | 2.750 | 01/22/15 | 1,665,216 | |||||||||||
12,021,548 | ||||||||||||||
Supranational – 0.4% | ||||||||||||||
North American Development Bank | ||||||||||||||
$ | 600,000 | 4.375 | 02/11/20 | 620,296 | ||||||||||
TOTAL FOREIGN DEBT OBLIGATIONS | ||||||||||||||
(Cost $12,361,222) | $ | 12,641,844 | ||||||||||||
Municipal Debt Obligations – 2.3% | ||||||||||||||
California – 1.1% | ||||||||||||||
California State Various Purpose GO Bonds Series 2009 | ||||||||||||||
$ | 325,000 | 7.500 | % | 04/01/34 | $ | 367,575 | ||||||||
450,000 | 7.550 | 04/01/39 | 514,962 | |||||||||||
California State Various Purpose GO Bonds Series 2010 | ||||||||||||||
140,000 | 7.950 | 03/01/36 | 152,535 | |||||||||||
575,000 | 7.625 | 03/01/40 | 661,946 | |||||||||||
1,697,018 | ||||||||||||||
Illinois – 0.2% | ||||||||||||||
Illinois State GO Bonds for Build American Bonds Series 2010-5 | ||||||||||||||
275,000 | 7.350 | 07/01/35 | 292,386 | |||||||||||
Missouri – 0.5% | ||||||||||||||
Missouri Higher Education Loan Authority RB Asset-Backed Notes Series 2010 A-1(c)(i) | ||||||||||||||
847,031 | 1.207 | 08/25/11 | 849,043 | |||||||||||
New York – 0.3% | ||||||||||||||
Rensselaer Polytechnic Institute Taxable Bonds Series 2010 | ||||||||||||||
475,000 | 5.600 | 09/01/20 | 506,844 | |||||||||||
Ohio – 0.1% | ||||||||||||||
American Municipal Power, Inc. RB Build America Bond Series 2010 E RMKT | ||||||||||||||
250,000 | 6.270 | 02/15/50 | 250,398 | |||||||||||
Texas – 0.1% | ||||||||||||||
Dallas Area Rapid Transit Sales Tax RB Senior Lien Series 2008 B2 | ||||||||||||||
100,000 | 5.250 | 12/01/48 | 102,708 | |||||||||||
TOTAL MUNICIPAL DEBT OBLIGATIONS | ||||||||||||||
(Cost $3,478,234) | $ | 3,698,397 | ||||||||||||
Government Guarantee Obligations(j) – 4.8% | ||||||||||||||
Achmea Hypotheekbank NV(a) | ||||||||||||||
$ | 1,300,000 | 3.200 | % | 11/03/14 | $ | 1,364,483 | ||||||||
BRFkredit AS(a) | ||||||||||||||
1,700,000 | 2.050 | 04/15/13 | 1,736,004 | |||||||||||
Commonwealth Bank of Australia(a) | ||||||||||||||
700,000 | 2.500 | 12/10/12 | 717,823 | |||||||||||
FIH Erhvervsbank A/S(a) | ||||||||||||||
1,400,000 | 1.750 | 12/06/12 | 1,422,974 | |||||||||||
Landwirtschaftliche Rentenbank | ||||||||||||||
1,400,000 | 4.125 | 07/15/13 | 1,495,061 | |||||||||||
400,000 | 2.125 | 07/15/16 | 400,091 | |||||||||||
Swedbank AB(a) | ||||||||||||||
200,000 | 2.900 | 01/14/13 | 206,944 | |||||||||||
Westpac Securities NZ Ltd.(a) | ||||||||||||||
200,000 | 2.500 | 05/25/12 | 203,231 | |||||||||||
TOTAL GOVERNMENT GUARANTEE OBLIGATIONS | ||||||||||||||
(Cost $7,346,321) | $ | 7,546,611 | ||||||||||||
U.S. Treasury Obligations – 4.0% | ||||||||||||||
United States Treasury Bonds | ||||||||||||||
$ | 1,200,000 | 4.250 | % | 11/15/40 | $ | 1,173,132 | ||||||||
United States Treasury Inflation-Protected Securities | ||||||||||||||
669,150 | 2.375 | 01/15/27 | 763,039 | |||||||||||
United States Treasury Notes | ||||||||||||||
2,300,000 | 1.500 | 06/30/16 | 2,271,871 | |||||||||||
2,200,000 | 3.125 | 05/15/21 | 2,193,818 | |||||||||||
TOTAL U.S. TREASURY OBLIGATIONS | ||||||||||||||
(Cost $6,356,177) | $ | 6,401,860 | ||||||||||||
Shares | Rate | Value | ||||||||
Short-term Investment(c) – 15.2% | ||||||||||
JPMorgan U.S. Government Money Market Fund – Capital Shares | ||||||||||
24,126,683 | 0.010 | % | $ | 24,126,683 | ||||||
(Cost $24,126,683) | ||||||||||
TOTAL INVESTMENTS – 117.7% | ||||||||||
(Cost $184,987,660) | $ | 186,876,603 | ||||||||
LIABILITIES IN EXCESS OF OTHER ASSETS – (17.7)% | (28,061,818 | ) | ||||||||
NET ASSETS – 100.0% | $ | 158,814,785 | ||||||||
(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 31,657,480, which represents approximately 19.9% of net assets as of June 30, 2011. | |
(b) | Securities with “Call” features with resetting interest rates. Maturity dates disclosed are the final maturity dates. | |
(c) | Variable rate security. Interest rate disclosed is that which is in effect at June 30, 2011. | |
(d) | Issued with a zero coupon. Interest rate is contingent upon LIBOR reaching a predetermined level. | |
(e) | Security with notional or nominal principal amount. The actual effective yield of this security is different than the stated interest rate. | |
(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 $28,900,547 which represents approximately 18.2% of net assets as of June 30, 2011. | |
(g) | All or a portion of this security is segregated as collateral for initial margin requirements or futures transactions. | |
(h) | Issued with zero coupon. Income is recognized through the accretion of discount. | |
(i) | Maturity date disclosed is the next interest reset date. | |
(j) | Guaranteed by a foreign government under maturity. |
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 | ||
RMKT | — | Remarketed | ||
Currency Abbreviations: | ||||
AUD | — | Australian Dollar | ||
CAD | — | Canadian Dollar | ||
CHF | — | Swiss Franc | ||
EUR | — | Euro Dollar | ||
GBP | — | British Pound | ||
JPY | — | Japanese Yen | ||
MYR | — | Malaysian Ringgit | ||
NOK | — | Norwegian Krone | ||
NZD | — | New Zealand Dollar | ||
SEK | — | Swedish Krona | ||
USD | — | United States Dollar | ||
ADDITIONAL INVESTMENT INFORMATION |
Contracts to | Expiration | Current | Unrealized | |||||||||||
Counterparty | Buy/Sell | Date | Value | Gain | ||||||||||
Barclays Bank PLC | USD/JPY | 9/21/11 | $ | 443,252 | $ | 1,872 | ||||||||
Citibank NA | AUD/USD | 9/21/11 | 415,068 | 2,799 | ||||||||||
NZD/EUR | 9/21/11 | 216,533 | 2,388 | |||||||||||
NZD/USD | 9/21/11 | 215,085 | 2,985 | |||||||||||
HSBC Bank PLC | NOK/USD | 9/21/11 | 366,456 | 3,456 | ||||||||||
Royal Bank of Canada | CAD/JPY | 9/21/11 | 109,689 | 1,847 | ||||||||||
CAD/USD | 9/21/11 | 531,457 | 7,530 | |||||||||||
Royal Bank of Scotland | EUR/CHF | 9/21/11 | 180,866 | 3,462 | ||||||||||
JPY/GBP | 9/21/11 | 319,576 | 489 | |||||||||||
SEK/EUR | 9/21/11 | 216,983 | 1,390 | |||||||||||
USD/CHF | 9/21/11 | 155,341 | 659 | |||||||||||
UBS AG | CHF/EUR | 9/21/11 | 215,312 | 1,166 | ||||||||||
EUR/CHF | 9/21/11 | 218,486 | 3,013 | |||||||||||
Westpac Banking Corp. | AUD/USD | 9/21/11 | 107,243 | 707 | ||||||||||
NZD/USD | 9/21/11 | 363,297 | 2,812 | |||||||||||
TOTAL | $ | 36,575 | ||||||||||||
Contracts to | Expiration | Current | Unrealized | |||||||||||
Counterparty | Buy/Sell | Date | Value | Loss | ||||||||||
Citibank NA | EUR/USD | 9/21/11 | $ | 214,146 | $ | (1,309 | ) | |||||||
USD/AUD | 9/21/11 | 108,305 | (2,062 | ) | ||||||||||
USD/EUR | 9/21/11 | 609,157 | (2,158 | ) | ||||||||||
USD/NZD | 9/21/11 | 220,029 | (5,719 | ) | ||||||||||
Deutsche Bank Securities, Inc. | USD/EUR | 7/27/11 | 1,976,328 | (28,810 | ) | |||||||||
USD/GBP | 8/05/11 | 8,862,952 | (33,500 | ) | ||||||||||
HSBC Bank PLC | USD/SEK | 9/21/11 | 599,237 | (11,507 | ) | |||||||||
JPMorgan Chase Bank NA | NOK/USD | 9/21/11 | 466,114 | (3,787 | ) | |||||||||
Royal Bank of Canada | JPY/CAD | 9/21/11 | 106,884 | (1,770 | ) | |||||||||
USD/CAD | 9/21/11 | 272,380 | (4,380 | ) | ||||||||||
USD/SEK | 9/21/11 | 109,002 | (2,003 | ) | ||||||||||
Royal Bank of Scotland | GBP/USD | 9/21/11 | 112,794 | (2,614 | ) | |||||||||
SEK/USD | 9/21/11 | 376,518 | (10,435 | ) | ||||||||||
USD/EUR | 9/21/11 | 217,040 | (2,109 | ) | ||||||||||
State Street Bank and Trust Co. | EUR/CHF | 9/21/11 | 326,844 | (834 | ) | |||||||||
UBS AG | EUR/USD | 9/21/11 | 245,828 | (2,492 | ) | |||||||||
USD/AUD | 9/21/11 | 430,033 | (7,327 | ) | ||||||||||
USD/NOK | 9/21/11 | 354,967 | (10,967 | ) | ||||||||||
Westpac Banking Corp. | USD/AUD | 9/21/11 | 87,068 | (2,376 | ) | |||||||||
USD/NZD | 9/21/11 | 498,165 | (6,402 | ) | ||||||||||
TOTAL | $ | (142,561 | ) | |||||||||||
ADDITIONAL INVESTMENT INFORMATION (continued) |
Interest | Maturity | Settlement | Principal | |||||||||||||||
Description | Rate | Date(f) | Date | Amount | Value | |||||||||||||
FNMA | 3.500 | % | TBA-30yr | 07/14/11 | $ | (6,000,000 | ) | $ | (5,738,907 | ) | ||||||||
FNMA | 3.500 | TBA-30yr | 08/11/11 | (2,000,000 | ) | (1,907,656 | ) | |||||||||||
TOTAL (Proceeds Receivable: $7,723,516) | $ | (7,646,563 | ) | |||||||||||||||
Number of | ||||||||||||||
Contracts | Expiration | Current | Unrealized | |||||||||||
Type | Long (Short) | Date | Value | Gain (Loss) | ||||||||||
Eurodollars | (7 | ) | March 2012 | $ | (1,741,513 | ) | $ | (12,207 | ) | |||||
U.S. Treasury Bonds | 7 | September 2011 | 861,219 | (637 | ) | |||||||||
U.S. Ultra Long Treasury Bonds | 27 | September 2011 | 3,408,750 | (57,576 | ) | |||||||||
2 Year U.S. Treasury Notes | 54 | September 2011 | 11,844,562 | 21,124 | ||||||||||
5 Year U.S. Treasury Notes | 25 | September 2011 | 2,979,883 | (23,690 | ) | |||||||||
10 Year U.S. Treasury Notes | 62 | September 2011 | 7,584,344 | (44,798 | ) | |||||||||
TOTAL | $ | (117,784 | ) | |||||||||||
Shares | Description | Value | ||||||
Common Stocks – 99.4% | ||||||||
Automobiles & Components – 0.8% | ||||||||
59,913 | Ford Motor Co.* | $ | 826,200 | |||||
3,800 | Harley-Davidson, Inc. | 155,686 | ||||||
10,835 | Johnson Controls, Inc. | 451,386 | ||||||
3,800 | The Goodyear Tire & Rubber Co.* | 63,726 | ||||||
1,496,998 | ||||||||
Banks – 2.7% | ||||||||
10,900 | BB&T Corp. | 292,556 | ||||||
2,850 | Comerica, Inc. | 98,525 | ||||||
14,305 | Fifth Third Bancorp | 182,389 | ||||||
4,486 | First Horizon National Corp. | 42,796 | ||||||
8,700 | Hudson City Bancorp, Inc. | 71,253 | ||||||
12,749 | Huntington Bancshares, Inc. | 83,633 | ||||||
14,300 | KeyCorp | 119,119 | ||||||
1,916 | M&T Bank Corp. | 168,512 | ||||||
8,000 | Marshall & Ilsley Corp. | 63,760 | ||||||
6,100 | People’s United Financial, Inc. | 81,984 | ||||||
8,257 | PNC Financial Services Group, Inc. | 492,200 | ||||||
19,425 | Regions Financial Corp. | 120,435 | ||||||
7,900 | SunTrust Banks, Inc. | 203,820 | ||||||
30,551 | U.S. Bancorp | 779,356 | ||||||
83,967 | Wells Fargo & Co. | 2,356,114 | ||||||
2,800 | Zions Bancorporation | 67,228 | ||||||
5,223,680 | ||||||||
Capital Goods – 8.6% | ||||||||
11,339 | 3M Co. | 1,075,504 | ||||||
10,171 | Caterpillar, Inc. | 1,082,805 | ||||||
3,100 | Cummins, Inc. | 320,819 | ||||||
8,600 | Danaher Corp. | 455,714 | ||||||
6,679 | Deere & Co. | 550,684 | ||||||
2,901 | Dover Corp. | 196,688 | ||||||
5,400 | Eaton Corp. | 277,830 | ||||||
11,996 | Emerson Electric Co. | 674,775 | ||||||
4,800 | Fastenal Co. | 172,752 | ||||||
900 | Flowserve Corp. | 98,901 | ||||||
2,782 | Fluor Corp. | 179,884 | ||||||
5,906 | General Dynamics Corp. | 440,115 | ||||||
167,747 | General Electric Co. | 3,163,708 | ||||||
2,037 | Goodrich Corp. | 194,534 | ||||||
12,408 | Honeywell International, Inc. | 739,393 | ||||||
7,900 | Illinois Tool Works, Inc. | 446,271 | ||||||
5,200 | Ingersoll-Rand PLC | 236,132 | ||||||
3,000 | ITT Corp. | 176,790 | ||||||
2,100 | Jacobs Engineering Group, Inc.* | 90,825 | ||||||
1,700 | Joy Global, Inc. | 161,908 | ||||||
1,600 | L-3 Communications Holdings, Inc. | 139,920 | ||||||
4,551 | Lockheed Martin Corp. | 368,495 | ||||||
5,400 | Masco Corp. | 64,962 | ||||||
4,692 | Northrop Grumman Corp. | 325,390 | ||||||
5,793 | PACCAR, Inc. | 295,964 | ||||||
1,900 | Pall Corp. | 106,837 | ||||||
2,548 | Parker Hannifin Corp. | 228,658 | ||||||
2,300 | Precision Castparts Corp. | 378,695 | ||||||
3,500 | Quanta Services, Inc.* | 70,700 | ||||||
5,676 | Raytheon Co. | 282,949 | ||||||
2,200 | Rockwell Automation, Inc. | 190,872 | ||||||
2,460 | Rockwell Collins, Inc. | 151,757 | ||||||
1,500 | Roper Industries, Inc. | 124,950 | ||||||
1,003 | Snap-On, Inc. | 62,667 | ||||||
2,652 | Stanley Black & Decker, Inc. | 191,077 | ||||||
4,500 | Textron, Inc. | 106,245 | ||||||
11,667 | The Boeing Co. | 862,541 | ||||||
7,500 | Tyco International Ltd. | 370,725 | ||||||
14,414 | United Technologies Corp. | 1,275,783 | ||||||
933 | W.W. Grainger, Inc. | 143,355 | ||||||
16,478,574 | ||||||||
Commercial & Professional Services – 0.6% | ||||||||
1,800 | Avery Dennison Corp. | 69,534 | ||||||
2,000 | Cintas Corp. | 66,060 | ||||||
800 | Dun & Bradstreet Corp. | 60,432 | ||||||
2,050 | Equifax, Inc. | 71,176 | ||||||
3,100 | Iron Mountain, Inc. | 105,679 | ||||||
3,100 | Pitney Bowes, Inc. | 71,269 | ||||||
2,800 | R.R. Donnelley & Sons Co. | 54,908 | ||||||
5,010 | Republic Services, Inc. | 154,559 | ||||||
2,200 | Robert Half International, Inc. | 59,466 | ||||||
1,400 | Stericycle, Inc.* | 124,768 | ||||||
7,549 | Waste Management, Inc. | 281,351 | ||||||
1,119,202 | ||||||||
Consumer Durables & Apparel – 1.0% | ||||||||
4,600 | Coach, Inc. | 294,078 | ||||||
4,700 | D.R. Horton, Inc. | 54,144 | ||||||
2,500 | Fortune Brands, Inc. | 159,425 | ||||||
1,100 | Harman International Industries, Inc. | 50,127 | ||||||
2,221 | Hasbro, Inc. | 97,568 | ||||||
2,500 | Leggett & Platt, Inc. | 60,950 | ||||||
2,500 | Lennar Corp. Class A | 45,375 | ||||||
5,651 | Mattel, Inc. | 155,346 | ||||||
4,733 | Newell Rubbermaid, Inc. | 74,687 | ||||||
6,059 | NIKE, Inc. Class B | 545,189 | ||||||
1,000 | Polo Ralph Lauren Corp. | 132,610 | ||||||
5,413 | Pulte Group, Inc.* | 41,464 | ||||||
1,400 | VF Corp. | 151,984 | ||||||
1,259 | Whirlpool Corp. | 102,382 | ||||||
1,965,329 | ||||||||
Consumer Services – 1.9% | ||||||||
1,900 | Apollo Group, Inc. Class A* | 82,992 | ||||||
6,900 | Carnival Corp. | 259,647 | ||||||
500 | Chipotle Mexican Grill, Inc.* | 154,095 | ||||||
2,220 | Darden Restaurants, Inc. | 110,467 | ||||||
900 | DeVry, Inc. | 53,217 | ||||||
5,100 | H&R Block, Inc. | 81,804 | ||||||
4,900 | International Game Technology | 86,142 | ||||||
4,563 | Marriott International, Inc. Class A | 161,941 | ||||||
16,397 | McDonald’s Corp. | 1,382,595 | ||||||
11,856 | Starbucks Corp. | 468,194 | ||||||
3,100 | Starwood Hotels & Resorts Worldwide, Inc. | 173,724 | ||||||
2,626 | Wyndham Worldwide Corp. | 88,365 |
Shares | Description | Value | ||||||
Common Stocks – (continued) | ||||||||
Consumer Services – (continued) | ||||||||
1,200 | Wynn Resorts Ltd. | $ | 172,248 | |||||
7,497 | Yum! Brands, Inc. | 414,134 | ||||||
3,689,565 | ||||||||
Diversified Financials – 6.9% | ||||||||
16,631 | American Express Co. | 859,823 | ||||||
3,880 | Ameriprise Financial, Inc. | 223,798 | ||||||
161,192 | Bank of America Corp. | 1,766,664 | ||||||
1,500 | BlackRock, Inc. | 287,715 | ||||||
7,333 | Capital One Financial Corp. | 378,896 | ||||||
46,251 | Citigroup, Inc. | 1,925,892 | ||||||
1,039 | CME Group, Inc. | 302,962 | ||||||
8,617 | Discover Financial Services | 230,505 | ||||||
3,050 | E*Trade Financial Corp.* | 42,090 | ||||||
1,656 | Federated Investors, Inc. Class B | 39,479 | ||||||
2,330 | Franklin Resources, Inc. | 305,906 | ||||||
1,200 | IntercontinentalExchange, Inc.* | 149,652 | ||||||
7,300 | Invesco Ltd. | 170,820 | ||||||
2,800 | Janus Capital Group, Inc. | 26,432 | ||||||
62,867 | JPMorgan Chase & Co. | 2,573,775 | ||||||
2,500 | Legg Mason, Inc. | 81,900 | ||||||
3,200 | Leucadia National Corp. | 109,120 | ||||||
3,100 | Moody’s Corp. | 118,885 | ||||||
24,747 | Morgan Stanley | 569,428 | ||||||
3,800 | Northern Trust Corp. | 174,648 | ||||||
4,100 | NYSE Euronext | 140,507 | ||||||
7,871 | SLM Corp. | 132,312 | ||||||
8,067 | State Street Corp. | 363,741 | ||||||
4,100 | T. Rowe Price Group, Inc. | 247,394 | ||||||
19,715 | The Bank of New York Mellon Corp. | 505,098 | ||||||
15,742 | The Charles Schwab Corp. | 258,956 | ||||||
8,182 | The Goldman Sachs Group, Inc.(a) | 1,088,942 | ||||||
2,500 | The NASDAQ OMX Group, Inc.* | 63,250 | ||||||
13,138,590 | ||||||||
Energy – 12.6% | ||||||||
3,600 | Alpha Natural Resources, Inc.* | 163,584 | ||||||
7,865 | Anadarko Petroleum Corp. | 603,717 | ||||||
6,116 | Apache Corp. | 754,653 | ||||||
6,960 | Baker Hughes, Inc. | 505,018 | ||||||
1,700 | Cabot Oil & Gas Corp. | 112,727 | ||||||
3,900 | Cameron International Corp.* | 196,131 | ||||||
10,517 | Chesapeake Energy Corp. | 312,250 | ||||||
31,893 | Chevron Corp. | 3,279,876 | ||||||
22,452 | ConocoPhillips | 1,688,166 | ||||||
3,500 | Consol Energy, Inc. | 169,680 | ||||||
6,200 | Denbury Resources, Inc.* | 124,000 | ||||||
6,772 | Devon Energy Corp. | 533,701 | ||||||
1,100 | Diamond Offshore Drilling, Inc. | 77,451 | ||||||
11,630 | El Paso Corp. | 234,926 | ||||||
4,181 | EOG Resources, Inc. | 437,124 | ||||||
2,400 | EQT Corp. | 126,048 | ||||||
77,960 | Exxon Mobil Corp. | 6,344,385 | ||||||
3,746 | FMC Technologies, Inc.* | 167,783 | ||||||
14,517 | Halliburton Co. | 740,367 | ||||||
1,700 | Helmerich & Payne, Inc. | 112,404 | ||||||
4,800 | Hess Corp. | 358,848 | ||||||
11,199 | Marathon Oil Corp. | 589,963 | ||||||
3,000 | Murphy Oil Corp. | 196,980 | ||||||
4,700 | Nabors Industries Ltd.* | 115,808 | ||||||
6,618 | National Oilwell Varco, Inc. | 517,594 | ||||||
2,100 | Newfield Exploration Co.* | 142,842 | ||||||
3,900 | Noble Corp. | 153,699 | ||||||
2,800 | Noble Energy, Inc. | 250,964 | ||||||
12,895 | Occidental Petroleum Corp. | 1,341,596 | ||||||
4,306 | Peabody Energy Corp. | 253,667 | ||||||
1,900 | Pioneer Natural Resources Co. | 170,183 | ||||||
2,750 | QEP Resources, Inc. | 115,033 | ||||||
2,600 | Range Resources Corp. | 144,300 | ||||||
1,800 | Rowan Companies, Inc.* | 69,858 | ||||||
21,440 | Schlumberger Ltd. | 1,852,416 | ||||||
5,500 | Southwestern Energy Co.* | 235,840 | ||||||
10,142 | Spectra Energy Corp. | 277,992 | ||||||
1,900 | Sunoco, Inc. | 79,249 | ||||||
2,200 | Tesoro Corp.* | 50,402 | ||||||
9,345 | The Williams Companies, Inc. | 282,686 | ||||||
9,013 | Valero Energy Corp. | 230,462 | ||||||
24,114,373 | ||||||||
Food & Staples Retailing – 2.3% | ||||||||
6,987 | Costco Wholesale Corp. | 567,624 | ||||||
21,664 | CVS Caremark Corp. | 814,133 | ||||||
5,800 | Safeway, Inc. | 135,546 | ||||||
3,373 | SUPERVALU, Inc. | 31,740 | ||||||
9,200 | Sysco Corp. | 286,856 | ||||||
9,432 | The Kroger Co. | 233,914 | ||||||
14,610 | Walgreen Co. | 620,341 | ||||||
30,260 | Wal-Mart Stores, Inc. | 1,608,016 | ||||||
2,400 | Whole Foods Market, Inc. | 152,280 | ||||||
4,450,450 | ||||||||
Food, Beverage & Tobacco – 6.0% | ||||||||
33,226 | Altria Group, Inc. | 877,499 | ||||||
10,233 | Archer-Daniels-Midland Co. | 308,525 | ||||||
1,650 | Brown-Forman Corp. Class B | 123,238 | ||||||
2,800 | Campbell Soup Co. | 96,740 | ||||||
5,150 | Coca-Cola Enterprises, Inc. | 150,277 | ||||||
6,600 | ConAgra Foods, Inc. | 170,346 | ||||||
2,900 | Constellation Brands, Inc. Class A* | 60,378 | ||||||
2,600 | Dean Foods Co.* | 31,902 | ||||||
3,600 | Dr. Pepper Snapple Group, Inc. | 150,948 | ||||||
10,224 | General Mills, Inc. | 380,537 | ||||||
5,068 | H.J. Heinz Co. | 270,023 | ||||||
2,100 | Hormel Foods Corp. | 62,601 | ||||||
4,000 | Kellogg Co. | 221,280 | ||||||
27,757 | Kraft Foods, Inc. Class A | 977,879 | ||||||
2,316 | Lorillard, Inc. | 252,143 | ||||||
2,200 | McCormick & Co., Inc. | 109,054 | ||||||
3,202 | Mead Johnson Nutrition Co. Class A | 216,295 | ||||||
2,600 | Molson Coors Brewing Co. Class B | 116,324 | ||||||
24,962 | PepsiCo, Inc. | 1,758,074 | ||||||
28,175 | Philip Morris International, Inc. | 1,881,245 | ||||||
5,490 | Reynolds American, Inc. | 203,404 | ||||||
9,100 | Sara Lee Corp. | 172,809 |
Shares | Description | Value | ||||||
Common Stocks – (continued) | ||||||||
Food, Beverage & Tobacco – (continued) | ||||||||
36,206 | The Coca-Cola Co. | $ | 2,436,302 | |||||
2,400 | The Hershey Co. | 136,440 | ||||||
1,934 | The J.M. Smucker Co. | 147,835 | ||||||
4,500 | Tyson Foods, Inc. Class A | 87,390 | ||||||
11,399,488 | ||||||||
Health Care Equipment & Services – 4.2% | ||||||||
6,089 | Aetna, Inc. | 268,464 | ||||||
4,360 | AmerisourceBergen Corp. | 180,504 | ||||||
9,110 | Baxter International, Inc. | 543,776 | ||||||
3,523 | Becton, Dickinson and Co. | 303,577 | ||||||
23,706 | Boston Scientific Corp.* | 163,808 | ||||||
1,367 | C. R. Bard, Inc. | 150,179 | ||||||
5,532 | Cardinal Health, Inc. | 251,263 | ||||||
3,416 | CareFusion Corp.* | 92,813 | ||||||
2,200 | Cerner Corp.* | 134,442 | ||||||
4,219 | CIGNA Corp. | 216,983 | ||||||
2,300 | Coventry Health Care, Inc.* | 83,881 | ||||||
7,800 | Covidien PLC | 415,194 | ||||||
1,500 | DaVita, Inc.* | 129,915 | ||||||
2,200 | DENTSPLY International, Inc. | 83,776 | ||||||
1,800 | Edwards Lifesciences Corp.* | 156,924 | ||||||
8,474 | Express Scripts, Inc.* | 457,427 | ||||||
2,700 | Humana, Inc. | 217,458 | ||||||
617 | Intuitive Surgical, Inc.* | 229,592 | ||||||
1,600 | Laboratory Corp. of America Holdings* | 154,864 | ||||||
3,964 | McKesson Corp. | 331,589 | ||||||
6,437 | Medco Health Solutions, Inc.* | 363,819 | ||||||
16,882 | Medtronic, Inc. | 650,463 | ||||||
1,381 | Patterson Companies, Inc. | 45,421 | ||||||
2,400 | Quest Diagnostics, Inc. | 141,840 | ||||||
5,080 | St. Jude Medical, Inc. | 242,214 | ||||||
5,400 | Stryker Corp. | 316,926 | ||||||
8,150 | Tenet Healthcare Corp.* | 50,856 | ||||||
17,070 | UnitedHealth Group, Inc. | 880,471 | ||||||
1,900 | Varian Medical Systems, Inc.* | 133,038 | ||||||
5,817 | WellPoint, Inc. | 458,205 | ||||||
3,017 | Zimmer Holdings, Inc.* | 190,674 | ||||||
8,040,356 | ||||||||
Household & Personal Products – 2.3% | ||||||||
6,700 | Avon Products, Inc. | 187,600 | ||||||
7,748 | Colgate-Palmolive Co. | 677,253 | ||||||
6,340 | Kimberly-Clark Corp. | 421,990 | ||||||
2,100 | The Clorox Co. | 141,624 | ||||||
1,800 | The Estee Lauder Companies, Inc. Class A | 189,342 | ||||||
44,187 | The Procter & Gamble Co. | 2,808,968 | ||||||
4,426,777 | ||||||||
Insurance – 3.8% | ||||||||
5,400 | ACE Ltd. | 355,428 | ||||||
7,392 | Aflac, Inc. | 345,059 | ||||||
7,041 | American International Group, Inc.* | 206,442 | ||||||
5,250 | Aon Corp. | 269,325 | ||||||
1,700 | Assurant, Inc. | 61,659 | ||||||
27,515 | Berkshire Hathaway, Inc. Class B* | 2,129,386 | ||||||
2,668 | Cincinnati Financial Corp. | 77,852 | ||||||
7,900 | Genworth Financial, Inc. Class A* | 81,212 | ||||||
7,173 | Hartford Financial Services Group, Inc. | 189,152 | ||||||
5,158 | Lincoln National Corp. | 146,951 | ||||||
5,047 | Loews Corp. | 212,428 | ||||||
8,688 | Marsh & McLennan Companies, Inc. | 270,979 | ||||||
16,781 | MetLife, Inc. | 736,183 | ||||||
5,232 | Principal Financial Group, Inc. | 159,157 | ||||||
7,633 | Prudential Financial, Inc. | 485,382 | ||||||
8,438 | The Allstate Corp. | 257,612 | ||||||
4,749 | The Chubb Corp. | 297,335 | ||||||
10,682 | The Progressive Corp. | 228,381 | ||||||
6,584 | The Travelers Companies, Inc. | 384,374 | ||||||
1,141 | Torchmark Corp. | 73,184 | ||||||
4,918 | Unum Group | 125,311 | ||||||
4,900 | XL Group PLC | 107,702 | ||||||
7,200,494 | ||||||||
Materials – 3.6% | ||||||||
3,400 | Air Products & Chemicals, Inc. | 324,972 | ||||||
1,100 | Airgas, Inc. | 77,044 | ||||||
1,900 | AK Steel Holding Corp. | 29,944 | ||||||
16,868 | Alcoa, Inc. | 267,527 | ||||||
1,651 | Allegheny Technologies, Inc. | 104,789 | ||||||
2,600 | Ball Corp. | 99,996 | ||||||
1,600 | Bemis Co., Inc. | 54,048 | ||||||
1,090 | CF Industries Holdings, Inc. | 154,420 | ||||||
2,094 | Cliffs Natural Resources, Inc. | 193,590 | ||||||
14,738 | E.I. du Pont de Nemours & Co. | 796,589 | ||||||
1,100 | Eastman Chemical Co. | 112,277 | ||||||
3,612 | Ecolab, Inc. | 203,645 | ||||||
1,100 | FMC Corp. | 94,622 | ||||||
15,036 | Freeport-McMoRan Copper & Gold, Inc. | 795,405 | ||||||
1,300 | International Flavors & Fragrances, Inc. | 83,512 | ||||||
6,859 | International Paper Co. | 204,535 | ||||||
2,798 | MeadWestvaco Corp. | 93,201 | ||||||
8,554 | Monsanto Co. | 620,507 | ||||||
7,887 | Newmont Mining Corp. | 425,661 | ||||||
5,000 | Nucor Corp. | 206,100 | ||||||
2,500 | Owens-Illinois, Inc.* | 64,525 | ||||||
2,600 | PPG Industries, Inc. | 236,054 | ||||||
4,800 | Praxair, Inc. | 520,272 | ||||||
2,616 | Sealed Air Corp. | 62,235 | ||||||
2,000 | Sigma-Aldrich Corp. | 146,760 | ||||||
18,513 | The Dow Chemical Co. | 666,468 | ||||||
1,400 | The Sherwin-Williams Co. | 117,418 | ||||||
1,500 | Titanium Metals Corp. | 27,480 | ||||||
2,220 | United States Steel Corp. | 102,209 | ||||||
2,100 | Vulcan Materials Co. | 80,913 | ||||||
6,966,718 | ||||||||
Media – 3.3% | ||||||||
3,700 | Cablevision Systems Corp. Class A | 133,977 | ||||||
10,764 | CBS Corp. Class B | 306,666 | ||||||
43,698 | Comcast Corp. Class A | 1,107,307 | ||||||
12,139 | DIRECTV Class A* | 616,904 |
Shares | Description | Value | ||||||
Common Stocks – (continued) | ||||||||
Media – (continued) | ||||||||
4,500 | Discovery Communications, Inc. Class A* | $ | 184,320 | |||||
3,871 | Gannett Co., Inc. | 55,433 | ||||||
36,086 | News Corp. Class A | 638,722 | ||||||
4,448 | Omnicom Group, Inc. | 214,216 | ||||||
1,500 | Scripps Networks Interactive, Inc. Class A | 73,320 | ||||||
8,071 | The Interpublic Group of Companies, Inc. | 100,888 | ||||||
4,808 | The McGraw-Hill Companies, Inc. | 201,503 | ||||||
29,829 | The Walt Disney Co. | 1,164,524 | ||||||
83 | The Washington Post Co. Class B | 34,773 | ||||||
5,396 | Time Warner Cable, Inc. | 421,104 | ||||||
16,871 | Time Warner, Inc. | 613,598 | ||||||
9,144 | Viacom, Inc. Class B | 466,344 | ||||||
6,333,599 | ||||||||
Pharmaceuticals, Biotechnology & Life Sciences – 7.4% | ||||||||
24,598 | Abbott Laboratories | 1,294,347 | ||||||
5,496 | Agilent Technologies, Inc.* | 280,900 | ||||||
4,900 | Allergan, Inc. | 407,925 | ||||||
14,768 | Amgen, Inc.* | 861,713 | ||||||
3,815 | Biogen Idec, Inc.* | 407,900 | ||||||
27,026 | Bristol-Myers Squibb Co. | 782,673 | ||||||
7,300 | Celgene Corp.* | 440,336 | ||||||
1,200 | Cephalon, Inc.* | 95,880 | ||||||
16,142 | Eli Lilly & Co. | 605,809 | ||||||
4,500 | Forest Laboratories, Inc.* | 177,030 | ||||||
12,600 | Gilead Sciences, Inc.* | 521,766 | ||||||
2,590 | Hospira, Inc.* | 146,749 | ||||||
43,428 | Johnson & Johnson | 2,888,831 | ||||||
2,870 | Life Technologies Corp.* | 149,441 | ||||||
49,069 | Merck & Co., Inc. | 1,731,645 | ||||||
6,900 | Mylan, Inc.* | 170,223 | ||||||
1,900 | PerkinElmer, Inc. | 51,129 | ||||||
125,473 | Pfizer, Inc. | 2,584,744 | ||||||
5,968 | Thermo Fisher Scientific, Inc.* | 384,279 | ||||||
1,500 | Waters Corp.* | 143,610 | ||||||
1,800 | Watson Pharmaceuticals, Inc.* | 123,714 | ||||||
14,250,644 | ||||||||
Real Estate – 1.7% | ||||||||
1,780 | Apartment Investment & Management Co. Class A (REIT) | 45,443 | ||||||
1,391 | AvalonBay Communities, Inc. (REIT) | 178,604 | ||||||
2,227 | Boston Properties, Inc. (REIT) | 236,418 | ||||||
4,500 | CB Richard Ellis Group, Inc. Class A* | 112,995 | ||||||
4,500 | Equity Residential (REIT) | 270,000 | ||||||
6,100 | HCP, Inc. (REIT) | 223,809 | ||||||
2,700 | Health Care REIT, Inc. (REIT) | 141,561 | ||||||
11,052 | Host Hotels & Resorts, Inc. (REIT) | 187,331 | ||||||
6,300 | Kimco Realty Corp. (REIT) | 117,432 | ||||||
2,500 | Plum Creek Timber Co., Inc. (REIT) | 101,350 | ||||||
6,799 | ProLogis, Inc. (REIT) | 243,676 | ||||||
2,251 | Public Storage (REIT) | 256,637 | ||||||
4,707 | Simon Property Group, Inc. (REIT) | 547,095 | ||||||
2,600 | Ventas, Inc. (REIT) | 137,046 | ||||||
2,622 | Vornado Realty Trust (REIT) | 244,318 | ||||||
8,409 | Weyerhaeuser Co. (REIT) | 183,821 | ||||||
3,227,536 | ||||||||
Retailing – 3.6% | ||||||||
1,377 | Abercrombie & Fitch Co. Class A | 92,149 | ||||||
5,638 | Amazon.com, Inc.* | 1,152,915 | ||||||
1,072 | AutoNation, Inc.* | 39,246 | ||||||
379 | AutoZone, Inc.* | 111,748 | ||||||
3,924 | Bed Bath & Beyond, Inc.* | 229,044 | ||||||
5,150 | Best Buy Co., Inc. | 161,762 | ||||||
1,300 | Big Lots, Inc.* | 43,095 | ||||||
3,500 | CarMax, Inc.* | 115,745 | ||||||
3,000 | Expedia, Inc. | 86,970 | ||||||
1,900 | Family Dollar Stores, Inc. | 99,864 | ||||||
2,300 | GameStop Corp. Class A* | 61,341 | ||||||
2,540 | Genuine Parts Co. | 138,176 | ||||||
25,164 | Home Depot, Inc. | 911,440 | ||||||
3,300 | J.C. Penney Co., Inc. | 113,982 | ||||||
4,619 | Kohl’s Corp. | 230,996 | ||||||
3,900 | Limited Brands, Inc. | 149,955 | ||||||
20,536 | Lowe’s Companies, Inc. | 478,694 | ||||||
6,734 | Macy’s, Inc. | 196,902 | ||||||
700 | Netflix, Inc.* | 183,883 | ||||||
2,724 | Nordstrom, Inc. | 127,865 | ||||||
2,300 | O’Reilly Automotive, Inc.* | 150,673 | ||||||
787 | Priceline.com, Inc.* | 402,889 | ||||||
1,878 | Ross Stores, Inc. | 150,465 | ||||||
700 | Sears Holdings Corp.* | 50,008 | ||||||
11,497 | Staples, Inc. | 181,653 | ||||||
10,839 | Target Corp. | 508,457 | ||||||
5,950 | The Gap, Inc. | 107,695 | ||||||
2,000 | Tiffany & Co. | 157,040 | ||||||
6,193 | TJX Companies, Inc. | 325,318 | ||||||
2,100 | Urban Outfitters, Inc.* | 59,115 | ||||||
6,819,085 | ||||||||
Semiconductors & Semiconductor Equipment – 2.4% | ||||||||
9,100 | Advanced Micro Devices, Inc.* | 63,609 | ||||||
4,974 | Altera Corp. | 230,545 | ||||||
4,700 | Analog Devices, Inc. | 183,958 | ||||||
21,122 | Applied Materials, Inc. | 274,797 | ||||||
7,450 | Broadcom Corp. Class A* | 250,618 | ||||||
880 | First Solar, Inc.* | 116,397 | ||||||
84,080 | Intel Corp. | 1,863,213 | ||||||
2,525 | KLA-Tencor Corp. | 102,212 | ||||||
3,500 | Linear Technology Corp. | 115,570 | ||||||
10,200 | LSI Corp.* | 72,624 | ||||||
3,700 | MEMC Electronic Materials, Inc.* | 31,561 | ||||||
3,100 | Microchip Technology, Inc. | 117,521 | ||||||
13,543 | Micron Technology, Inc.* | 101,302 | ||||||
3,800 | National Semiconductor Corp. | 93,518 | ||||||
1,465 | Novellus Systems, Inc.* | 52,945 | ||||||
9,050 | NVIDIA Corp.* | 144,212 | ||||||
2,800 | Teradyne, Inc.* | 41,440 |
Shares | Description | Value | ||||||
Common Stocks – (continued) | ||||||||
Semiconductors & Semiconductor Equipment – (continued) | ||||||||
18,628 | Texas Instruments, Inc. | $ | 611,557 | |||||
4,100 | Xilinx, Inc. | 149,527 | ||||||
4,617,126 | ||||||||
Software & Services – 8.5% | ||||||||
8,115 | Adobe Systems, Inc.* | 255,217 | ||||||
3,000 | Akamai Technologies, Inc.* | 94,410 | ||||||
3,600 | Autodesk, Inc.* | 138,960 | ||||||
7,900 | Automatic Data Processing, Inc. | 416,172 | ||||||
2,900 | BMC Software, Inc.* | 158,630 | ||||||
6,204 | CA, Inc. | 141,699 | ||||||
3,000 | Citrix Systems, Inc.* | 240,000 | ||||||
4,835 | Cognizant Technology Solutions Corp. Class A* | 354,599 | ||||||
2,500 | Computer Sciences Corp. | 94,900 | ||||||
3,500 | Compuware Corp.* | 34,160 | ||||||
18,144 | eBay, Inc.* | 585,507 | ||||||
5,200 | Electronic Arts, Inc.* | 122,720 | ||||||
4,300 | Fidelity National Information Services, Inc. | 132,397 | ||||||
2,250 | Fiserv, Inc.* | 140,917 | ||||||
3,944 | Google, Inc. Class A* | 1,997,163 | ||||||
19,179 | International Business Machines Corp. | 3,290,157 | ||||||
4,400 | Intuit, Inc.* | 228,184 | ||||||
1,447 | Mastercard, Inc. Class A | 436,039 | ||||||
117,500 | Microsoft Corp. | 3,055,000 | ||||||
2,100 | Monster Worldwide, Inc.* | 30,786 | ||||||
61,937 | Oracle Corp. | 2,038,347 | ||||||
5,009 | Paychex, Inc. | 153,876 | ||||||
3,155 | Red Hat, Inc.* | 144,814 | ||||||
4,933 | SAIC, Inc.* | 82,973 | ||||||
1,900 | Salesforce.com, Inc.* | 283,062 | ||||||
12,312 | Symantec Corp.* | 242,793 | ||||||
2,600 | Teradata Corp.* | 156,520 | ||||||
10,219 | The Western Union Co. | 204,687 | ||||||
2,800 | Total System Services, Inc. | 52,024 | ||||||
2,602 | VeriSign, Inc. | 87,063 | ||||||
7,680 | Visa, Inc. Class A | 647,117 | ||||||
20,900 | Yahoo!, Inc.* | 314,336 | ||||||
16,355,229 | ||||||||
Technology Hardware & Equipment – 6.7% | ||||||||
2,700 | Amphenol Corp. Class A | 145,773 | ||||||
14,672 | Apple, Inc.* | 4,924,950 | ||||||
86,881 | Cisco Systems, Inc. | 1,356,212 | ||||||
25,125 | Corning, Inc. | 456,019 | ||||||
25,800 | Dell, Inc.* | 430,086 | ||||||
32,872 | EMC Corp.* | 905,624 | ||||||
1,300 | F5 Networks, Inc.* | 143,325 | ||||||
2,400 | FLIR Systems, Inc. | 80,904 | ||||||
2,100 | Harris Corp. | 94,626 | ||||||
32,833 | Hewlett-Packard Co. | 1,195,121 | ||||||
3,083 | Jabil Circuit, Inc. | 62,277 | ||||||
3,425 | JDS Uniphase Corp.* | 57,061 | ||||||
8,400 | Juniper Networks, Inc.* | 264,600 | ||||||
1,200 | Lexmark International, Inc. Class A* | 35,112 | ||||||
2,025 | Molex, Inc. | 52,184 | ||||||
4,860 | Motorola Mobility Holdings, Inc.* | 107,114 | ||||||
5,354 | Motorola Solutions, Inc.* | 246,498 | ||||||
5,811 | NetApp, Inc.* | 306,705 | ||||||
26,185 | QUALCOMM, Inc. | 1,487,046 | ||||||
3,700 | SanDisk Corp.* | 153,550 | ||||||
6,600 | Tellabs, Inc. | 30,426 | ||||||
3,800 | Western Digital Corp.* | 138,244 | ||||||
21,976 | Xerox Corp. | 228,770 | ||||||
12,902,227 | ||||||||
Telecommunication Services – 3.1% | ||||||||
6,240 | American Tower Corp. Class A* | 326,539 | ||||||
93,674 | AT&T, Inc. | 2,942,300 | ||||||
9,529 | CenturyLink, Inc. | 385,257 | ||||||
16,108 | Frontier Communications Corp. | 129,992 | ||||||
4,000 | MetroPCS Communications, Inc.* | 68,840 | ||||||
47,110 | Sprint Nextel Corp.* | 253,923 | ||||||
45,043 | Verizon Communications, Inc. | 1,676,951 | ||||||
7,681 | Windstream Corp. | 99,546 | ||||||
5,883,348 | ||||||||
Transportation – 2.0% | ||||||||
2,630 | C.H. Robinson Worldwide, Inc. | 207,349 | ||||||
17,586 | CSX Corp. | 461,105 | ||||||
3,400 | Expeditors International of Washington, Inc. | 174,046 | ||||||
5,000 | FedEx Corp. | 474,250 | ||||||
5,635 | Norfolk Southern Corp. | 422,230 | ||||||
800 | Ryder System, Inc. | 45,480 | ||||||
12,118 | Southwest Airlines Co. | 138,388 | ||||||
7,820 | Union Pacific Corp. | 816,408 | ||||||
15,692 | United Parcel Service, Inc. Class B | 1,144,418 | ||||||
3,883,674 | ||||||||
Utilities – 3.4% | ||||||||
3,977 | Ameren Corp. | 114,697 | ||||||
7,691 | American Electric Power Co., Inc. | 289,797 | ||||||
6,598 | CenterPoint Energy, Inc. | 127,671 | ||||||
4,200 | CMS Energy Corp. | 82,698 | ||||||
4,600 | Consolidated Edison, Inc. | 244,904 | ||||||
3,277 | Constellation Energy Group, Inc. | 124,395 | ||||||
9,147 | Dominion Resources, Inc. | 441,526 | ||||||
2,600 | DTE Energy Co. | 130,052 | ||||||
21,293 | Duke Energy Corp. | 400,947 | ||||||
5,269 | Edison International | 204,174 | ||||||
2,875 | Entergy Corp. | 196,305 | ||||||
10,481 | Exelon Corp. | 449,006 | ||||||
6,578 | FirstEnergy Corp. | 290,419 | ||||||
1,131 | Integrys Energy Group, Inc. | 58,631 | ||||||
6,646 | NextEra Energy, Inc. | 381,879 | ||||||
700 | Nicor, Inc. | 38,318 | ||||||
4,500 | NiSource, Inc. | 91,125 | ||||||
2,790 | Northeast Utilities | 98,124 | ||||||
4,000 | NRG Energy, Inc.* | 98,320 | ||||||
1,700 | Oneok, Inc. | 125,817 | ||||||
3,600 | Pepco Holdings, Inc. | 70,668 | ||||||
6,331 | PG&E Corp. | 266,092 |
Shares | Description | Value | ||||||
Common Stocks – (continued) | ||||||||
Utilities – (continued) | ||||||||
1,800 | Pinnacle West Capital Corp. | $ | 80,244 | |||||
9,051 | PPL Corp. | 251,889 | ||||||
4,677 | Progress Energy, Inc. | 224,543 | ||||||
7,942 | Public Service Enterprise Group, Inc. | 259,227 | ||||||
1,831 | SCANA Corp. | 72,086 | ||||||
3,713 | Sempra Energy | 196,343 | ||||||
13,541 | Southern Co. | 546,786 | ||||||
3,600 | TECO Energy, Inc. | 68,004 | ||||||
10,764 | The AES Corp.* | 137,133 | ||||||
3,800 | Wisconsin Energy Corp. | 119,130 | ||||||
7,210 | Xcel Energy, Inc. | 175,203 | ||||||
6,456,153 | ||||||||
TOTAL COMMON STOCKS | ||||||||
(Cost $155,428,634) | $ | 190,439,215 | ||||||
Principal | Interest | Maturity | ||||||||||||
Amount | Rate | Date | Value | |||||||||||
U.S. Treasury Obligation(b)(c) – 0.1% | ||||||||||||||
United States Treasury Bills | ||||||||||||||
$ | 45,000 | 0.000 | % | 07/07/11 | $ | 45,000 | ||||||||
95,000 | 0.000 | 08/25/11 | 94,997 | |||||||||||
TOTAL U.S. TREASURY OBLIGATIONS | ||||||||||||||
(Cost $139,996) | $ | 139,997 | ||||||||||||
Shares | Rate | Value | ||||||||
Short-term Investment(d) – 0.1% | ||||||||||
JPMorgan U.S. Government Money Market Fund — Capital Shares | ||||||||||
249,711 | 0.010 | % | $ | 249,711 | ||||||
(Cost $249,711) | ||||||||||
TOTAL INVESTMENTS – 99.6% | ||||||||||
(Cost $155,818,341) | $ | 190,828,923 | ||||||||
OTHER ASSETS IN EXCESS OF LIABILITIES – 0.4% | 726,283 | |||||||||
NET ASSETS – 100.0% | $ | 191,555,206 | ||||||||
* | 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 June 30, 2011. |
Investment Abbreviation: | ||||
REIT | — | Real Estate Investment Trust | ||
ADDITIONAL INVESTMENT INFORMATION |
Number of | ||||||||||||||
Contracts | Expiration | Current | Unrealized | |||||||||||
Type | Long (Short) | Date | Value | Gain (Loss) | ||||||||||
S&P 500 E-mini Index | 20 | September 2011 | $ | 1,315,500 | $ | 48,015 | ||||||||
Principal | Interest | Maturity | ||||||||||||
Amount | Rate | Date | Value | |||||||||||
Mortgage-Backed Obligations – 55.0% | ||||||||||||||
Adjustable Rate Non-Agency(a) – 1.2% | ||||||||||||||
First Horizon Alternative Mortgage Securities Series 2005-AA7, Class 2A1 | ||||||||||||||
$ | 426,294 | 2.367 | % | 09/25/35 | $ | 265,067 | ||||||||
Harborview Mortgage Loan Trust Series 2006-6, Class 3A1A | ||||||||||||||
384,524 | 2.822 | 08/19/36 | 240,172 | |||||||||||
J.P. Morgan Mortgage Trust Series 2007-A1, Class 2A2 | ||||||||||||||
356,201 | 3.078 | 07/25/35 | 314,945 | |||||||||||
820,184 | ||||||||||||||
Collateralized Mortgage Obligations – 7.4% | ||||||||||||||
Agency Multi-Family – 3.1% | ||||||||||||||
FNMA | ||||||||||||||
$ | 199,063 | 2.800 | % | 03/01/18 | $ | 196,302 | ||||||||
499,499 | 3.740 | 05/01/18 | 517,782 | |||||||||||
110,000 | 3.840 | 05/01/18 | 113,539 | |||||||||||
400,000 | 4.506 | 06/01/19 | 422,859 | |||||||||||
99,633 | 3.416 | 10/01/20 | 97,766 | |||||||||||
199,246 | 3.375 | 11/01/20 | 194,806 | |||||||||||
99,645 | 3.632 | 12/01/20 | 98,985 | |||||||||||
397,980 | 3.763 | 12/01/20 | 399,303 | |||||||||||
GNMA | ||||||||||||||
96,970 | 3.950 | 07/15/25 | 100,131 | |||||||||||
2,141,473 | ||||||||||||||
Interest Only(a)(b)(c) – 0.0% | ||||||||||||||
FNMA REMIC Series 2004-47, Class EI | ||||||||||||||
203,460 | 0.000 | 06/25/34 | 3,322 | |||||||||||
FNMA REMIC Series 2004-62, Class DI | ||||||||||||||
85,674 | 0.000 | 07/25/33 | 1,021 | |||||||||||
4,343 | ||||||||||||||
Regular Floater(a) – 2.7% | ||||||||||||||
National Credit Union Administration Guaranteed Notes Series 2011-R3, Class 1A | ||||||||||||||
283,236 | 0.590 | 03/11/20 | 283,701 | |||||||||||
National Credit Union Administration Guaranteed Notes Series 2011-R4, Class 1A | ||||||||||||||
373,118 | 0.570 | 03/06/20 | 373,380 | |||||||||||
National Credit Union Administration Guaranteed Notes Series 2011-R5, Class 1A | ||||||||||||||
381,216 | 0.570 | 04/06/20 | 381,499 | |||||||||||
National Credit Union Administration Guaranteed Notes Series 2011-R6, Class 1A | ||||||||||||||
378,440 | 0.570 | 05/07/20 | 378,735 | |||||||||||
National Credit Union Administration Guaranteed Notes Series A1 | ||||||||||||||
400,000 | 0.206 | 06/12/13 | 400,000 | |||||||||||
1,817,315 | ||||||||||||||
Sequential Fixed Rate – 1.6% | ||||||||||||||
Banc of America Funding Corp. Series 2007-8, Class 2A1 | ||||||||||||||
550,538 | 7.000 | 10/25/37 | 395,752 | |||||||||||
National Credit Union Administration Guaranteed Notes | ||||||||||||||
400,000 | 3.000 | 06/12/19 | 395,400 | |||||||||||
National Credit Union Administration Guaranteed Notes Series 2010-C1, Class APT | ||||||||||||||
294,706 | 2.650 | 10/29/20 | 293,453 | |||||||||||
1,084,605 | ||||||||||||||
TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS | $ | 5,047,736 | ||||||||||||
Federal Agencies – 46.4% | ||||||||||||||
Adjustable Rate FHLMC(a) – 0.9% | ||||||||||||||
$ | 421,670 | 2.591 | % | 09/01/35 | $ | 443,779 | ||||||||
194,554 | 4.775 | 10/01/35 | 207,443 | |||||||||||
651,222 | ||||||||||||||
Adjustable Rate FNMA(a) – 1.4% | ||||||||||||||
196,691 | 2.077 | 05/01/33 | 204,784 | |||||||||||
424,182 | 2.457 | 05/01/35 | 444,312 | |||||||||||
281,060 | 2.555 | 12/01/35 | 293,902 | |||||||||||
942,998 | ||||||||||||||
FHLMC – 1.7% | ||||||||||||||
3,013 | 10.000 | 03/01/21 | 3,355 | |||||||||||
4,568 | 6.500 | 06/01/23 | 5,136 | |||||||||||
790,456 | 5.500 | 01/01/40 | 854,078 | |||||||||||
297,046 | 4.000 | 12/01/40 | 297,268 | |||||||||||
1,159,837 | ||||||||||||||
FNMA – 34.5% | ||||||||||||||
1,150 | 5.000 | 02/01/14 | 1,204 | |||||||||||
62,506 | 5.000 | 03/01/18 | 67,064 | |||||||||||
27,488 | 5.000 | 06/01/18 | 29,493 | |||||||||||
589,913 | 5.500 | 03/01/19 | 639,722 | |||||||||||
10,971 | 8.000 | 09/01/21 | 12,816 | |||||||||||
13,058 | 5.000 | 04/01/23 | 14,011 | |||||||||||
49,544 | 5.000 | 06/01/23 | 53,160 | |||||||||||
701,670 | 5.500 | 05/01/25 | 762,892 | |||||||||||
74 | 6.000 | 03/01/32 | 82 | |||||||||||
2,622 | 6.000 | 05/01/33 | 2,898 | |||||||||||
21,667 | 5.000 | 08/01/33 | 23,134 | |||||||||||
1,504 | 6.000 | 12/01/33 | 1,670 | |||||||||||
1,071 | 6.000 | 12/01/34 | 1,185 | |||||||||||
37,106 | 5.000 | 04/01/35 | 39,579 | |||||||||||
2,208 | 6.000 | 04/01/35 | 2,432 | |||||||||||
4,600 | 6.000 | 02/01/36 | 5,073 | |||||||||||
16,473 | 6.500 | 03/01/36 | 18,653 | |||||||||||
90,541 | 4.500 | 09/01/39 | 94,424 | |||||||||||
89,007 | 4.500 | 10/01/39 | 92,824 | |||||||||||
264,847 | 4.500 | 12/01/39 | 276,207 | |||||||||||
996,115 | 3.500 | 01/01/41 | 954,478 | |||||||||||
3,988,020 | 3.500 | 02/01/41 | 3,821,291 | |||||||||||
1,000,000 | 3.500 | 03/01/41 | 958,168 | |||||||||||
2,000,000 | 3.500 | TBA-15yr | (d) | 2,036,250 | ||||||||||
5,000,000 | 4.000 | TBA-30yr | (d) | 5,000,000 | ||||||||||
3,000,000 | 5.000 | TBA-30yr | (d) | 3,187,031 | �� | |||||||||
5,000,000 | 6.000 | TBA-30yr | (d) | 5,494,531 | ||||||||||
23,590,272 | ||||||||||||||
Principal | Interest | Maturity | ||||||||||||
Amount | Rate | Date | Value | |||||||||||
Mortgage-Backed Obligations – (continued) | ||||||||||||||
GNMA – 7.9% | ||||||||||||||
$ | 52,297 | 3.500 | % | 12/15/40 | $ | 50,872 | ||||||||
3,000,000 | 4.500 | TBA-30yr | (d) | 3,159,610 | ||||||||||
2,000,000 | 5.000 | TBA-30yr | (d) | 2,166,250 | ||||||||||
5,376,732 | ||||||||||||||
TOTAL FEDERAL AGENCIES | $ | 31,721,061 | ||||||||||||
TOTAL MORTGAGE-BACKED OBLIGATIONS | ||||||||||||||
(Cost $37,882,592) | $ | 37,588,981 | ||||||||||||
Agency Debentures – 7.3% | ||||||||||||||
FFCB | ||||||||||||||
$ | 500,000 | 5.400 | % | 06/08/17 | $ | 579,716 | ||||||||
FHLB | ||||||||||||||
800,000 | 1.750 | 12/14/12 | 814,739 | |||||||||||
300,000 | 5.375 | 05/15/19 | 346,709 | |||||||||||
200,000 | 5.625 | 06/11/21 | 233,883 | |||||||||||
FHLMC | ||||||||||||||
1,000,000 | 1.375 | 02/25/14 | 1,013,222 | |||||||||||
1,500,000 | 4.500 | 04/02/14 | 1,644,574 | |||||||||||
Tennessee Valley Authority(e) | ||||||||||||||
300,000 | 5.375 | 04/01/56 | 322,150 | |||||||||||
TOTAL AGENCY DEBENTURES | ||||||||||||||
(Cost $4,739,400) | $ | 4,954,993 | ||||||||||||
Asset-Backed Securities – 3.2% | ||||||||||||||
Credit Card(a) – 0.7% | ||||||||||||||
Chase Issuance Trust Series 2005-A11, Class A | ||||||||||||||
$ | 500,000 | 0.257 | % | 12/15/14 | $ | 499,812 | ||||||||
Home Equity – 0.1% | ||||||||||||||
GMAC Mortgage Corp. Loan Trust Series 2007-HE3, Class 1A1 | ||||||||||||||
43,486 | 7.000 | 09/25/37 | 31,528 | |||||||||||
GMAC Mortgage Corp. Loan Trust Series 2007-HE3, Class 2A1 | ||||||||||||||
55,869 | 7.000 | 09/25/37 | 39,052 | |||||||||||
70,580 | ||||||||||||||
Student Loans(a) – 2.4% | ||||||||||||||
Brazos Higher Education Authority Series 2005-3, Class A14 | ||||||||||||||
174,053 | 0.357 | 09/25/23 | 172,884 | |||||||||||
Brazos Higher Education Authority Series 2011-1, Class A2 | ||||||||||||||
400,000 | 1.057 | 02/25/30 | 394,817 | |||||||||||
Brazos Higher Education Authority Series 2011-2, Class A2 | ||||||||||||||
400,000 | 1.097 | 07/25/29 | 395,998 | |||||||||||
Knowledgeworks Foundation Series 2010-1, Class A | ||||||||||||||
282,535 | 1.207 | 02/25/42 | 278,682 | |||||||||||
Nelnet Student Loan Trust Series 2010-3A, Class A(f) | ||||||||||||||
364,218 | 1.054 | 07/27/48 | 364,564 | |||||||||||
1,606,945 | ||||||||||||||
TOTAL ASSET-BACKED SECURITIES | ||||||||||||||
(Cost $2,117,709) | $ | 2,177,337 | ||||||||||||
Government Guarantee Obligations(g) – 9.2% | ||||||||||||||
Ally Financial, Inc. | ||||||||||||||
$ | 1,100,000 | 1.750 | % | 10/30/12 | $ | 1,119,596 | ||||||||
Citigroup Funding, Inc. | ||||||||||||||
1,300,000 | 1.875 | 10/22/12 | 1,325,392 | |||||||||||
600,000 | 1.875 | 11/15/12 | 612,063 | |||||||||||
General Electric Capital Corp. | ||||||||||||||
700,000 | 2.125 | 12/21/12 | 717,297 | |||||||||||
Private Export Funding Corp. | ||||||||||||||
2,000,000 | 3.550 | 04/15/13 | 2,103,862 | |||||||||||
U.S. Central Federal Credit Union | ||||||||||||||
400,000 | 1.900 | 10/19/12 | 407,799 | |||||||||||
TOTAL GOVERNMENT GUARANTEE OBLIGATIONS | ||||||||||||||
(Cost $6,179,287) | $ | 6,286,009 | ||||||||||||
U.S. Treasury Obligations – 20.0% | ||||||||||||||
United States Treasury Bill(h) | ||||||||||||||
$ | 5,200,000 | 0.000 | % | 09/29/11 | $ | 5,199,675 | ||||||||
United States Treasury Bonds | ||||||||||||||
200,000 | 5.000 | 05/15/37 | 222,190 | |||||||||||
100,000 | 4.250 | 05/15/39 | 98,134 | |||||||||||
100,000 | 4.375 | 11/15/39 | 100,075 | |||||||||||
100,000 | 4.375 | 05/15/40 | 99,970 | |||||||||||
400,000 | 4.250 | 11/15/40 | 391,044 | |||||||||||
500,000 | 4.375 | 05/15/41 | 499,295 | |||||||||||
United States Treasury Inflation-Protected Securities | ||||||||||||||
250,174 | 3.000 | 07/15/12 | 261,237 | |||||||||||
223,050 | 2.375 | 01/15/27 | 254,346 | |||||||||||
United States Treasury Notes | ||||||||||||||
1,800,000 | 1.000 | 04/30/12 | 1,811,898 | |||||||||||
1,900,000 | 0.750 | 06/15/14 | 1,897,701 | |||||||||||
400,000 | 2.875 | 03/31/18 | 412,064 | |||||||||||
1,800,000 | 3.625 | 02/15/21 | 1,876,878 | |||||||||||
500,000 | 3.125 | 05/15/21 | 498,595 | |||||||||||
TOTAL U.S. TREASURY OBLIGATIONS | ||||||||||||||
(Cost $13,630,349) | $ | 13,623,102 | ||||||||||||
Shares | Rate | Value | ||||||||
Short-term Investment(a) – 35.9 | ||||||||||
JPMorgan U.S. Government Money Market Fund — Capital Shares | ||||||||||
24,532,792 | 0.010 | % | $ | 24,532,792 | ||||||
(Cost $24,532,792) | ||||||||||
TOTAL INVESTMENTS – 130.6% | ||||||||||
(Cost $89,082,129) | $ | 89,163,214 | ||||||||
LIABILITIES IN EXCESS OF OTHER ASSETS – (30.6)% | (20,869,654 | ) | ||||||||
NET ASSETS – 100.0% | $ | 68,293,560 | ||||||||
(a) | Variable rate security. Interest rate disclosed is that which is in effect at June 30, 2011. | |
(b) | Issued with a zero coupon. Interest rate is contingent upon LIBOR reaching a predetermined level. | |
(c) | Security with notional or nominal principal amount. The actual effective yield of this security is different than the stated interest rate. | |
(d) | TBA (To Be Announced) Securities are purchased/sold on a forward commitment basis with an approximate principal amount and no defined maturity date. The actual principal and maturity date will be determined upon settlement when the specific mortgage pools are assigned. Total market value of TBA securities (excluding forward sales contracts, if any) amounts to $21,043,672 which represents approximately 30.8% of net assets as of June 30, 2011. | |
(e) | All or a portion of security is segregated as collateral for initial margin requirements on futures transactions. | |
(f) | 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 $364,564, which represents approximately 0.5% of net assets as of June 30, 2011. | |
(g) | Guaranteed under the Federal Deposit Insurance Corporation’s (“FDIC”) Temporary Liquidity Guarantee Program and 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. | |
(h) | Issued with zero coupon. Income is recognized through the accretion of discount. |
Investment Abbreviations: | ||||
FFCB | — | Federal Farm Credit Bank | ||
FHLB | — | Federal Home Loan Bank | ||
FHLMC | — | Federal Home Loan Mortgage Corp. | ||
FNMA | — | Federal National Mortgage Association | ||
GNMA | — | Government National Mortgage Association | ||
LIBOR | — | London Interbank Offered Rate | ||
REMIC | — | Real Estate Mortgage Investment Conduit | ||
ADDITIONAL INVESTMENT INFORMATION |
Interest | Maturity | Settlement | Principal | |||||||||||||||
Description | Rate | Date(d) | Date | Amount | Value | |||||||||||||
FNMA | 3.500 | % | TBA-30yr | 07/14/11 | $ | (3,000,000 | ) | $ | (2,869,453 | ) | ||||||||
FNMA | 3.500 | TBA-30yr | 08/11/11 | (2,000,000 | ) | (1,907,656 | ) | |||||||||||
TOTAL (Proceeds Receivable: $4,827,031) | $ | (4,777,109 | ) | |||||||||||||||
Number of | ||||||||||||||
Contracts | Expiration | Current | Unrealized | |||||||||||
Type | Long (Short) | Date | Value | Gain (Loss) | ||||||||||
U.S. Treasury Bonds | 3 | September 2011 | $ | 369,094 | $ | (255 | ) | |||||||
U.S. Ultra Long Treasury Bonds | 12 | September 2011 | 1,515,000 | (19,610 | ) | |||||||||
2 Year U.S. Treasury Notes | 19 | September 2011 | 4,167,531 | 7,580 | ||||||||||
5 Year U.S. Treasury Notes | 27 | September 2011 | 3,218,274 | (24,854 | ) | |||||||||
10 Year U.S. Treasury Notes | 27 | September 2011 | 3,302,859 | (30,568 | ) | |||||||||
TOTAL | $ | (67,707 | ) | |||||||||||
Shares | Description | Value | ||||||
Common Stocks – 97.7% | ||||||||
Banks – 1.0% | ||||||||
51,921 | First Republic Bank* | $ | 1,676,010 | |||||
Capital Goods – 8.0% | ||||||||
50,615 | DigitalGlobe, Inc.* | 1,286,127 | ||||||
85,517 | Kennametal, Inc. | 3,609,673 | ||||||
107,682 | Quanta Services, Inc.* | 2,175,176 | ||||||
37,383 | Raytheon Co. | 1,863,542 | ||||||
13,630 | Rockwell Automation, Inc. | 1,182,539 | ||||||
34,039 | Roper Industries, Inc. | 2,835,449 | ||||||
12,952,506 | ||||||||
Commercial & Professional Services – 2.2% | ||||||||
43,411 | Ritchie Bros Auctioneers, Inc. | 1,193,369 | ||||||
68,765 | Verisk Analytics, Inc. Class A* | 2,380,644 | ||||||
3,574,013 | ||||||||
Consumer Durables & Apparel – 4.2% | ||||||||
156,861 | Newell Rubbermaid, Inc. | 2,475,267 | ||||||
53,454 | Phillips-Van Heusen Corp. | 3,499,633 | ||||||
6,398 | Polo Ralph Lauren Corp. | 848,439 | ||||||
6,823,339 | ||||||||
Consumer Services – 3.8% | ||||||||
60,157 | Coinstar, Inc.* | 3,280,963 | ||||||
32,560 | Darden Restaurants, Inc. | 1,620,185 | ||||||
34,729 | Marriott International, Inc. Class A | 1,232,532 | ||||||
6,133,680 | ||||||||
Diversified Financials – 9.6% | ||||||||
8,859 | Affiliated Managers Group, Inc.* | 898,746 | ||||||
27,177 | IntercontinentalExchange, Inc.* | 3,389,244 | ||||||
36,854 | Invesco Ltd. | 862,384 | ||||||
60,970 | Lazard Ltd. Class A | 2,261,987 | ||||||
59,555 | MSCI, Inc. Class A* | 2,244,032 | ||||||
58,539 | Northern Trust Corp. | 2,690,452 | ||||||
97,869 | SLM Corp. | 1,645,178 | ||||||
82,405 | TD Ameritrade Holding Corp. | 1,607,721 | ||||||
15,599,744 | ||||||||
Energy – 11.0% | ||||||||
74,937 | Cameron International Corp.* | 3,768,582 | ||||||
17,852 | Core Laboratories NV | 1,991,212 | ||||||
39,798 | Dril-Quip, Inc.* | 2,699,498 | ||||||
65,066 | Petrohawk Energy Corp.* | 1,605,178 | ||||||
32,329 | Pioneer Natural Resources Co. | 2,895,709 | ||||||
47,842 | Southwestern Energy Co.* | 2,051,465 | ||||||
50,031 | Whiting Petroleum Corp.* | 2,847,264 | ||||||
17,858,908 | ||||||||
Health Care Equipment & Services – 7.8% | ||||||||
20,448 | C. R. Bard, Inc. | 2,246,417 | ||||||
90,632 | CareFusion Corp.* | 2,462,472 | ||||||
82,510 | Emdeon, Inc. Class A* | 1,082,531 | ||||||
36,047 | Henry Schein, Inc.* | 2,580,605 | ||||||
4,149 | Intuitive Surgical, Inc.* | 1,543,884 | ||||||
58,226 | St. Jude Medical, Inc. | 2,776,216 | ||||||
12,692,125 | ||||||||
Household & Personal Products – 1.9% | ||||||||
109,234 | Avon Products, Inc. | 3,058,552 | ||||||
Insurance – 1.4% | ||||||||
74,578 | Principal Financial Group, Inc. | 2,268,663 | ||||||
Materials – 2.0% | ||||||||
28,698 | Ecolab, Inc. | 1,617,993 | ||||||
58,420 | Nalco Holding Co. | 1,624,660 | ||||||
3,242,653 | ||||||||
Media – 2.0% | ||||||||
61,511 | Lamar Advertising Co. Class A* | 1,683,556 | ||||||
32,332 | Scripps Networks Interactive, Inc. Class A | 1,580,388 | ||||||
3,263,944 | ||||||||
Real Estate – 1.6% | ||||||||
102,066 | CB Richard Ellis Group, Inc. Class A* | 2,562,877 | ||||||
Retailing – 9.4% | ||||||||
58,977 | Bed Bath & Beyond, Inc.* | 3,442,487 | ||||||
46,810 | Dick’s Sporting Goods, Inc.* | 1,799,845 | ||||||
57,420 | GameStop Corp. Class A* | 1,531,391 | ||||||
79,026 | PetSmart, Inc. | 3,585,410 | ||||||
165,482 | Staples, Inc. | 2,614,616 | ||||||
79,780 | Urban Outfitters, Inc.* | 2,245,807 | ||||||
15,219,556 | ||||||||
Semiconductors & Semiconductor Equipment – 5.6% | ||||||||
42,376 | Altera Corp. | 1,964,128 | ||||||
43,782 | Linear Technology Corp. | 1,445,682 | ||||||
104,857 | NVIDIA Corp.* | 1,670,896 | ||||||
110,148 | Xilinx, Inc. | 4,017,097 | ||||||
9,097,803 | ||||||||
Software & Services – 15.0% | ||||||||
30,240 | Citrix Systems, Inc.* | 2,419,200 | ||||||
23,482 | Equinix, Inc.* | 2,372,152 | ||||||
22,175 | FleetCor Technologies, Inc.* | 657,267 | ||||||
103,847 | Genpact Ltd.* | 1,790,322 | ||||||
82,701 | Global Payments, Inc. | 4,217,751 | ||||||
20,281 | Rackspace Hosting, Inc.* | 866,810 | ||||||
104,678 | RealD, Inc.* | 2,448,419 | ||||||
101,053 | Renren, Inc. ADR* | 894,319 | ||||||
16,192 | Salesforce.com, Inc.* | 2,412,284 | ||||||
71,513 | SuccessFactors, Inc.* | 2,102,482 | ||||||
103,565 | The Western Union Co. | 2,074,407 | ||||||
45,883 | VeriFone Systems, Inc.* | 2,034,911 | ||||||
24,290,324 | ||||||||
Technology Hardware & Equipment – 5.8% | ||||||||
58,939 | Amphenol Corp. Class A | 3,182,117 | ||||||
35,091 | Dolby Laboratories, Inc. Class A* | 1,489,964 | ||||||
65,768 | FLIR Systems, Inc. | 2,217,039 | ||||||
47,021 | NetApp, Inc.* | 2,481,768 | ||||||
9,370,888 | ||||||||
Shares | Description | Value | ||||||
Common Stocks – (continued) | ||||||||
Telecommunication Services – 4.8% | ||||||||
45,295 | Crown Castle International Corp.* | $ | 1,847,583 | |||||
94,253 | SBA Communications Corp. Class A* | 3,599,522 | ||||||
113,947 | tw telecom, inc.* | 2,339,332 | ||||||
7,786,437 | ||||||||
Transportation – 0.6% | ||||||||
13,297 | C.H. Robinson Worldwide, Inc. | 1,048,335 | ||||||
TOTAL COMMON STOCKS | ||||||||
(Cost $133,499,865) | $ | 158,520,357 | ||||||
Shares | Rate | Value | ||||||||
Short-term Investment(a) – 2.3% | ||||||||||
JPMorgan U.S. Government Money Market Fund — Capital Shares | ||||||||||
3,790,358 | 0.010 | % | $ | 3,790,358 | ||||||
(Cost $3,790,358) | ||||||||||
TOTAL INVESTMENTS – 100.0% | ||||||||||
(Cost $137,290,223) | $ | 162,310,715 | ||||||||
LIABILITIES IN EXCESS OF OTHER ASSETS – 0.0% | (28,554 | ) | ||||||||
NET ASSETS – 100.0% | $ | 162,282,161 | ||||||||
* | Non-income producing security. | |
(a) | Variable rate security. Interest rate disclosed is that which is in effect at June 30, 2011. |
Investment Abbreviation: | ||||
ADR | — | American Depositary Receipt | ||
Growth | ||||||||||||||||
Core Fixed | Equity Index | Government | Opportunities | |||||||||||||
Income Fund | Fund | Income Fund | Fund | |||||||||||||
Assets: | ||||||||||||||||
Investments in securities, at value (identified cost $184,987,660, $155,818,341, $89,082,129 and $137,290,223, respectively) | $ | 186,876,603 | $ | 190,828,923 | $ | 89,163,214 | $ | 162,310,715 | ||||||||
Cash | 1,510 | — | — | — | ||||||||||||
Foreign currencies, at value (identified cost $5,652 for the Core Fixed Income Fund) | 5,756 | — | — | — | ||||||||||||
Receivables: | ||||||||||||||||
Investment securities sold on an extended-delivery basis | 25,608,985 | — | 14,169,687 | — | ||||||||||||
Investment securities sold | 1,678,531 | 550,299 | 414 | 260,031 | ||||||||||||
Interest and dividends, at value | 1,032,782 | 242,619 | 157,774 | 61,100 | ||||||||||||
Fund shares sold | 92,122 | 84,189 | 138,004 | 65,132 | ||||||||||||
Reimbursement from investment adviser | 41,420 | 26,318 | 35,288 | 32,378 | ||||||||||||
Forward foreign currency exchange contracts, at value | 36,575 | — | — | — | ||||||||||||
Due from broker — variation margin, at value | — | 11,200 | — | — | ||||||||||||
Other assets | 1,369 | 1,263 | 622 | 1,017 | ||||||||||||
Total assets | 215,375,653 | 191,744,811 | 103,665,003 | 162,730,373 | ||||||||||||
Liabilities: | ||||||||||||||||
Payables: | ||||||||||||||||
Investment securities purchased on an extended-delivery basis | 46,841,328 | — | 30,426,875 | — | ||||||||||||
Forward Sale Contracts, at value (proceeds receivable $7,723,516, $0, $4,827,031 and $0, respectively) | 7,646,563 | — | 4,777,109 | — | ||||||||||||
Investment securities purchased | 1,612,509 | — | — | 112,662 | ||||||||||||
Forward foreign currency exchange contracts, at value | 142,561 | — | — | — | ||||||||||||
Fund shares redeemed | 94,733 | 23,559 | 20,206 | 109,688 | ||||||||||||
Amounts owed to affiliates | 88,787 | 87,901 | 46,854 | 152,293 | ||||||||||||
Due to broker — variation margin, at value | 51,248 | — | 30,320 | — | ||||||||||||
Accrued expenses | 83,139 | 78,145 | 70,079 | 73,569 | ||||||||||||
Total liabilities | 56,560,868 | 189,605 | 35,371,443 | 448,212 | ||||||||||||
Net Assets: | ||||||||||||||||
Paid-in capital | 170,623,940 | 183,686,964 | 67,370,254 | 137,232,495 | ||||||||||||
Accumulated undistributed (distributions in excess of) net investment income (loss) | (59,420 | ) | 1,723,441 | (3,201 | ) | (374,472 | ) | |||||||||
Accumulated net realized gain (loss) from investment, futures and foreign currency related transactions | (13,489,192 | ) | (28,913,796 | ) | 863,207 | 403,646 | ||||||||||
Net unrealized gain on investments, futures and translation of assets and liabilities denominated in foreign currencies | 1,739,457 | 35,058,597 | 63,300 | 25,020,492 | ||||||||||||
NET ASSETS | $ | 158,814,785 | $ | 191,555,206 | $ | 68,293,560 | $ | 162,282,161 | ||||||||
Total Service Shares of beneficial interest outstanding $0.001 par value (unlimited shares authorized): | 15,704,512 | 19,475,827 | 6,396,484 | 23,175,720 | ||||||||||||
Net asset value, offering and redemption price per share | $10.11 | $9.84 | $10.68 | $7.00 | ||||||||||||
Growth | ||||||||||||||||
Core Fixed | Equity Index | Government | Opportunities | |||||||||||||
Income Fund | Fund | Income Fund | Fund | |||||||||||||
Investment income: | ||||||||||||||||
Interest | $ | 2,519,250 | $ | — | $ | 658,179 | $ | — | ||||||||
Dividends (net of foreign taxes withheld of $2,303 for the Growth Opportunities Fund) | 3,029 | 1,929,175 | 2,621 | 530,159 | ||||||||||||
Total investment income | 2,522,279 | 1,929,175 | 660,800 | 530,159 | ||||||||||||
Expenses: | ||||||||||||||||
Management fees | 325,394 | 292,314 | 188,395 | 777,850 | ||||||||||||
Distribution and Service fees | 203,371 | 243,593 | 87,220 | 194,462 | ||||||||||||
Professional fees | 49,295 | 40,806 | 46,252 | 38,483 | ||||||||||||
Custody and accounting fees | 37,760 | 25,027 | 29,611 | 26,506 | ||||||||||||
Printing and mailing costs | 30,845 | 32,245 | 25,358 | 31,060 | ||||||||||||
Transfer Agent fees | 16,268 | 19,486 | 6,977 | 15,556 | ||||||||||||
Trustee fees | 8,307 | 8,365 | 8,241 | 8,316 | ||||||||||||
Other | 4,955 | 3,868 | 3,527 | 4,715 | ||||||||||||
Total expenses | 676,195 | 665,704 | 395,581 | 1,096,948 | ||||||||||||
Less — expense reductions | (127,910 | ) | (194,110 | ) | (111,594 | ) | (176,104 | ) | ||||||||
Net expenses | 548,285 | 471,594 | 283,987 | 920,844 | ||||||||||||
NET INVESTMENT INCOME (LOSS) | 1,973,994 | 1,457,581 | 376,813 | (390,685 | ) | |||||||||||
Realized and unrealized gain (loss) from investment, futures and foreign currency related transactions: | ||||||||||||||||
Net realized gain (loss) from: | ||||||||||||||||
Investment transactions (including commissions recaptured of $33,261 for the Growth Opportunities Fund) | 2,523,063 | 3,005,121 | 1,717,387 | 7,481,042 | ||||||||||||
Futures transactions | (111,782 | ) | 115,198 | (362,654 | ) | — | ||||||||||
Forward foreign currency exchange contracts (includes $23,158 of losses on foreign currency related transactions) | (265,349 | ) | — | — | — | |||||||||||
Net change in unrealized gain (loss) on: | ||||||||||||||||
Investments | (28,787 | ) | 6,599,144 | (632,411 | ) | (856,542 | ) | |||||||||
Futures | 232,900 | 35,156 | 161,242 | — | ||||||||||||
Forward foreign currency exchange contracts (includes $274 of losses on translation of assets and liabilities denominated in foreign currencies) | (75,001 | ) | — | — | — | |||||||||||
Net realized and unrealized gain from investment, futures and foreign currency related transactions | 2,275,044 | 9,754,619 | 883,564 | 6,624,500 | ||||||||||||
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS | $ | 4,249,038 | $ | 11,212,200 | $ | 1,260,377 | $ | 6,233,815 | ||||||||
Core Fixed Income Fund | ||||||||
For the | ||||||||
Six Months Ended | For the | |||||||
June 30, 2011 | Fiscal Year Ended | |||||||
(Unaudited) | December 31, 2010 | |||||||
From operations: | ||||||||
Net investment income (loss) | $ | 1,973,994 | $ | 5,067,283 | ||||
Net realized gain from investment, futures and foreign currency related transactions | 2,145,932 | 5,695,098 | ||||||
Net change in unrealized gain (loss) on investments, futures and translation of assets and liabilities denominated in foreign currencies | 129,112 | 2,132,947 | ||||||
Net increase in net assets resulting from operations | 4,249,038 | 12,895,328 | ||||||
Distributions to shareholders: | ||||||||
From net investment income | (2,442,779 | ) | (5,464,354 | ) | ||||
From net realized gains | — | — | ||||||
Total distributions to shareholders | (2,442,779 | ) | (5,464,354 | ) | ||||
From share transactions: | ||||||||
Proceeds from sales of shares | 4,470,079 | 14,587,352 | ||||||
Reinvestment of distributions | 2,442,779 | 5,464,354 | ||||||
Cost of shares redeemed | (20,624,683 | ) | (39,940,402 | ) | ||||
Net decrease in net assets resulting from share transactions | (13,711,825 | ) | (19,888,696 | ) | ||||
TOTAL INCREASE (DECREASE) | (11,905,566 | ) | (12,457,722 | ) | ||||
Net assets: | ||||||||
Beginning of period | 170,720,351 | 183,178,073 | ||||||
End of period | $ | 158,814,785 | $ | 170,720,351 | ||||
Accumulated undistributed (distributions in excess of) net investment income (loss) | $ | (59,420 | ) | $ | 409,365 | |||
Summary of share transactions: | ||||||||
Shares sold | 441,889 | 1,456,328 | ||||||
Shares issued on reinvestment of distributions | 243,656 | 549,659 | ||||||
Shares redeemed | (2,045,368 | ) | (3,991,289 | ) | ||||
NET INCREASE (DECREASE) | (1,359,823 | ) | (1,985,302 | ) | ||||
Equity Index Fund | Government Income Fund | Growth Opportunities Fund | ||||||||||||||||||||
For the | For the | For the | ||||||||||||||||||||
Six Months Ended | For the | Six Months Ended | For the | Six Months Ended | For the | |||||||||||||||||
June 30, 2011 | Fiscal Year Ended | June 30, 2011 | Fiscal Year Ended | June 30, 2011 | Fiscal Year Ended | |||||||||||||||||
(Unaudited) | December 31, 2010 | (Unaudited) | December 31, 2010 | (Unaudited) | December 31, 2010 | |||||||||||||||||
$ | 1,457,581 | $ | 2,867,686 | $ | 376,813 | $ | 1,174,322 | $ | (390,685 | ) | $ | (712,464 | ) | |||||||||
3,120,319 | 3,039,130 | 1,354,733 | 2,243,162 | 7,481,042 | 16,003,733 | |||||||||||||||||
6,634,300 | 19,814,112 | (471,169 | ) | 337,789 | (856,542 | ) | 8,130,062 | |||||||||||||||
11,212,200 | 25,720,928 | 1,260,377 | 3,755,273 | 6,233,815 | 23,421,331 | |||||||||||||||||
— | (2,986,451 | ) | (468,085 | ) | (1,312,896 | ) | — | — | ||||||||||||||
— | — | — | (523,731 | ) | — | — | ||||||||||||||||
— | (2,986,451 | ) | (468,085 | ) | (1,836,627 | ) | — | — | ||||||||||||||
13,100,098 | 4,058,717 | 7,272,370 | 16,983,366 | 22,301,861 | 19,089,330 | |||||||||||||||||
— | 2,986,451 | 468,085 | 1,836,627 | — | — | |||||||||||||||||
(26,631,092 | ) | (34,493,149 | ) | (12,550,424 | ) | (23,187,620 | ) | (12,157,180 | ) | (24,317,063 | ) | |||||||||||
(13,530,994 | ) | (27,447,981 | ) | (4,809,969 | ) | (4,367,627 | ) | 10,144,681 | (5,227,733 | ) | ||||||||||||
(2,318,794 | ) | (4,713,504 | ) | (4,017,677 | ) | (2,448,981 | ) | 16,378,496 | 18,193,598 | |||||||||||||
193,874,000 | 198,587,504 | 72,311,237 | 74,760,218 | 145,903,665 | 127,710,067 | |||||||||||||||||
$ | 191,555,206 | $ | 193,874,000 | $ | 68,293,560 | $ | 72,311,237 | $ | 162,282,161 | $ | 145,903,665 | |||||||||||
$ | 1,723,441 | $ | 265,860 | $ | (3,201 | ) | $ | 88,071 | $ | (374,472 | ) | $ | 16,213 | |||||||||
238,533 | 481,675 | 685,472 | 1,598,199 | 3,195,217 | 3,177,035 | |||||||||||||||||
— | 322,163 | 44,245 | 174,144 | — | — | |||||||||||||||||
(1,628,690 | ) | (4,084,097 | ) | (1,183,519 | ) | (2,183,890 | ) | (1,733,520 | ) | (4,134,939 | ) | |||||||||||
(1,390,157 | ) | (3,280,259 | ) | (453,802 | ) | (411,547 | ) | 1,461,697 | (957,904 | ) | ||||||||||||
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 | period | to average | to average | to average | effect of mortgage | effect of mortgage | ||||||||||||||||||||||||||||||||||||||||||
Year | of period | income(a) | gain (loss) | operations | income | period | return(b) | (in 000s) | net assets | net assets | net assets | dollar rolls) | dollar rolls) | |||||||||||||||||||||||||||||||||||||||||
FOR THE SIX MONTHS ENDED JUNE 30, (UNAUDITED) | ||||||||||||||||||||||||||||||||||||||||||||||||||||||
2011 | $ | 10.00 | $ | 0.12 | $ | 0.14 | $ | 0.26 | $ | (0.15 | ) | $ | 10.11 | 2.65 | % | $ | 158,815 | 0.67 | %(c) | 0.83 | %(c) | 2.43 | %(c) | 301 | % | 216 | % | |||||||||||||||||||||||||||
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 | (d) | 0.76 | (d) | 4.82 | (d) | 123 | 92 | |||||||||||||||||||||||||||||||||||||
2006(e) | 9.98 | 0.44 | (0.03 | )(f) | 0.41 | (0.45 | ) | 9.94 | 4.23 | (g) | 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 period, reinvestment of all distributions and a complete redemption of the investment at the net asset value at the end of the period. The Goldman Sachs Core Fixed Income Fund first began operations as the Allmerica Select Investment Grade Fund (the “Predecessor AIT Fund”) of the Allmerica Investment Trust. On January 9, 2006, the Predecessor AIT Fund was reorganized as a new portfolio of the Goldman Sachs Variable Insurance Trust. Performance prior to January 9, 2006 is that of the Predecessor AIT Fund. The Predecessor AIT Fund was considered the accounting survivor of the reorganization and as such, the historical total return information of the Predecessor AIT Fund is provided. | |
(c) | Annualized. | |
(d) | Includes non-recurring expense for a special shareholder meeting which amounted to approximately 0.02% of average net assets. | |
(e) | The Predecessor AIT Fund was the accounting survivor of the reorganization and as such, the financial highlights reflect the financial information of the Predecessor AIT Fund through January 8, 2006. In connection with such reorganization, the Goldman Sachs Core Fixed Income Fund issued Service Shares to the former shareholders of the Predecessor AIT Fund at $10.00 per share. Historical per-share amounts prior to the Fund reorganization have been adjusted to reflect the conversion ratio utilized for the reorganization. | |
(f) | Reflects an increase of $0.04 due to payments received for class action settlements received this year. | |
(g) | Total return reflects the impact of payments received for class action settlements received this year. Excluding such payment, the total return would have been 3.81%. |
Income (loss) from | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
investment operations | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Net | Distributions to shareholders | 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 | period | to average | to average | to average | turnover | |||||||||||||||||||||||||||||||||||||||||||||
Year | of period | income(a) | gain (loss) | operations | income | gains | distributions | period | return(b) | (in 000s) | net assets | net assets | net assets | rate | ||||||||||||||||||||||||||||||||||||||||||||
FOR THE SIX MONTHS ENDED JUNE 30, (UNAUDITED) | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
2011 | $ | 9.29 | $ | 0.07 | $ | 0.48 | $ | 0.55 | $ | — | $ | — | $ | — | $ | 9.84 | 5.92 | % | $ | 191,555 | 0.48 | %(c) | 0.68 | %(c) | 1.50 | %(c) | 1 | % | ||||||||||||||||||||||||||||||
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 | (d) | 0.68 | (d) | 1.57 | (d) | 8 | |||||||||||||||||||||||||||||||||||||||
2006(e) | 9.71 | 0.16 | 1.34 | 1.50 | (0.17 | ) | — | (0.17 | ) | 11.04 | 15.49 | (f) | 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 period, reinvestment of all distributions and a complete redemption of the investment at the net asset value at the end of the period. The Goldman Sachs Equity Index Fund first began operations as the Allmerica Equity Index Fund (the “Predecessor AIT Fund”) of the Allmerica Investment Trust. On January 9, 2006, the Predecessor AIT Fund was reorganized as a new portfolio of the Goldman Sachs Variable Insurance Trust. Performance prior to January 9, 2006 is that of the Predecessor AIT Fund. The Predecessor AIT Fund was considered the accounting survivor of the reorganization and as such, the historical total return information of the Predecessor AIT Fund is provided. | |
(c) | Annualized. | |
(d) | Includes non-recurring expense for a special shareholder meeting which amounted to approximately 0.02% of average net assets. | |
(e) | The Predecessor AIT Fund was the accounting survivor of the reorganization and as such, the 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. | |
(f) | 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%. |
Income (loss) from | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
investment operations | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Net | Distributions to shareholders | Ratio of | Ratio of | Portfolio | Portfolio | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Net asset | realized | From | Net asset | Net assets, | Ratio of | total | net investment | turnover rate | turnover rate | |||||||||||||||||||||||||||||||||||||||||||||||||||||
value, | Net | and | Total from | From net | net | value, | end of | net expenses | expenses | income | (including the | (excluding the | ||||||||||||||||||||||||||||||||||||||||||||||||||
beginning | investment | unrealized | investment | investment | realized | Total | end of | Total | period | to average | to average | to average | effect of mortgage | effect of mortgage | ||||||||||||||||||||||||||||||||||||||||||||||||
Year | of period | income(a) | gain (loss) | operations | income | gains | distributions | period | return(b) | (in 000s) | net assets | net assets | net assets | dollar rolls) | dollar rolls) | |||||||||||||||||||||||||||||||||||||||||||||||
FOR THE SIX MONTHS ENDED JUNE 30, (UNAUDITED) | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
2011 | $ | 10.56 | $ | 0.06 | $ | 0.13 | $ | 0.19 | $ | (0.07 | ) | $ | — | $ | (0.07 | ) | $ | 10.68 | 1.82 | % | $ | 68,294 | 0.81 | %(c) | 1.13 | %(c) | 1.08 | %(c) | 482 | % | 312 | % | ||||||||||||||||||||||||||||||
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 | (d) | 1.03 | (d) | 4.19 | (d) | 217 | 146 | ||||||||||||||||||||||||||||||||||||||||||
2006(e) | 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 period, reinvestment of all distributions and a complete redemption of the investment at the net asset value at the end of the period. The Goldman Sachs Government Income Fund first began operations as the Allmerica Government Bond Fund (the “Predecessor AIT Fund”) of the Allmerica Investment Trust. On January 9, 2006, the Predecessor AIT Fund was reorganized as a new portfolio of the Goldman Sachs Variable Insurance Trust. Performance prior to January 9, 2006 is that of the Predecessor AIT Fund. The Predecessor AIT Fund was considered the accounting survivor of the reorganization and as such, the historical total return information of the Predecessor AIT Fund is provided. | |
(c) | Annualized. | |
(d) | Includes non-recurring expense for a special shareholder meeting which amounted to approximately 0.03% of average net assets. | |
(e) | The Predecessor AIT Fund was the accounting survivor of the reorganization and as such, the 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. |
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 | Portfolio | ||||||||||||||||||||||||||||||||||||||||
beginning | investment | unrealized | investment | realized | end of | Total | period | to average | to average | to average | turnover | |||||||||||||||||||||||||||||||||||||||
Year | of period | loss(a) | gain (loss) | operations | gains | period | return(b) | (in 000s) | net assets | net assets | net assets | rate | ||||||||||||||||||||||||||||||||||||||
FOR THE SIX MONTHS ENDED JUNE 30, (UNAUDITED) | ||||||||||||||||||||||||||||||||||||||||||||||||||
2011 | $ | 6.72 | $ | (0.02 | ) | $ | 0.30 | $ | 0.28 | $ | — | $ | 7.00 | 4.17 | % | $ | 162,282 | 1.18 | %(c) | 1.41 | %(c) | (0.50 | )%(c) | 23 | % | |||||||||||||||||||||||||
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 | (d) | 1.38 | (d) | (0.48 | )(d) | 73 | |||||||||||||||||||||||||||||||||
2006(e) | 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 period. The Goldman Sachs Growth Opportunities Fund first began operations as the Allmerica Select Capital Appreciation Fund (the “Predecessor AIT Fund”) of the Allmerica Investment Trust. On January 9, 2006, the Predecessor AIT Fund was reorganized as a new portfolio of the Goldman Sachs Variable Insurance Trust. Performance prior to January 9, 2006 is that of the Predecessor AIT Fund. The Predecessor AIT Fund was considered the accounting survivor of the reorganization and as such, the historical total return information of the Predecessor AIT Fund is provided. | |
(c) | Annualized. | |
(d) | Includes non-recurring expense for a special shareholder meeting which amounted to approximately 0.02% of average net assets. | |
(e) | The Predecessor AIT Fund was the accounting survivor of the reorganization and as such, the 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. |
1. ORGANIZATION |
2. SIGNIFICANT ACCOUNTING POLICIES |
2. SIGNIFICANT ACCOUNTING POLICIES (continued) |
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 | ||||||
2. SIGNIFICANT ACCOUNTING POLICIES (continued) |
2. SIGNIFICANT ACCOUNTING POLICIES (continued) |
3. FAIR VALUE OF INVESTMENTS |
3. FAIR VALUE OF INVESTMENTS (continued) |
CORE FIXED INCOME | ||||||||||||
Investment Type | Level 1 | Level 2 | Level 3 | |||||||||
Assets | ||||||||||||
Fixed Income | ||||||||||||
Corporate Obligations | $ | — | $ | 34,990,901 | $ | — | ||||||
Mortgage-Backed Obligations | — | 92,570,470 | — | |||||||||
U.S. Treasury Obligations and/or Other U.S. Government Agencies | 7,368,309 | — | — | |||||||||
Asset-Backed Securities | — | 3,933,388 | — | |||||||||
Foreign Debt Obligations | — | 12,641,844 | — | |||||||||
Municipal Debt Obligations | — | 3,698,397 | — | |||||||||
Government Guarantee Obligations | — | 7,546,611 | — | |||||||||
Short-term Investment | 24,126,683 | — | — | |||||||||
Total | $ | 31,494,992 | $ | 155,381,611 | $ | — | ||||||
Liabilities | ||||||||||||
Fixed Income | ||||||||||||
Mortgage-Backed Obligations — Forward Sales Contracts | $ | — | $ | (7,646,563 | ) | $ | — | |||||
Derivative Type | ||||||||||||
Assets(a) | ||||||||||||
Futures Contracts | $ | 21,124 | $ | — | $ | — | ||||||
Forward Foreign Currency Exchange Contracts | — | 36,575 | — | |||||||||
Liabilities(a) | ||||||||||||
Futures Contracts | $ | (138,908 | ) | $ | — | $ | — | |||||
Forward Foreign Currency Exchange Contracts | — | (142,561 | ) | $ | — | |||||||
3. FAIR VALUE OF INVESTMENTS (continued) |
EQUITY INDEX | ||||||||||||
Investment Type | Level 1 | Level 2 | Level 3 | |||||||||
Assets | ||||||||||||
Common Stock and/or Other Equity Investments | $ | 190,439,215 | $ | — | $ | — | ||||||
U.S. Treasury Obligations and/or Other U.S. Government Agencies | 139,997 | — | — | |||||||||
Short-term Investment | 249,711 | — | — | |||||||||
Total | $ | 190,828,923 | $ | — | $ | — | ||||||
Derivative Type | ||||||||||||
Assets(a) | ||||||||||||
Futures Contracts | $ | 48,015 | $ | — | $ | — | ||||||
GOVERNMENT INCOME | ||||||||||||
Investment Type | Level 1 | Level 2 | Level 3 | |||||||||
Assets | ||||||||||||
Fixed Income | ||||||||||||
Mortgage-Backed Obligations | $ | — | $ | 37,588,981 | $ | — | ||||||
U.S. Treasury Obligations and/or Other U.S. Government Agencies | 13,945,252 | 4,632,843 | — | |||||||||
Asset-Backed Securities | — | 2,177,337 | — | |||||||||
Government Guarantee Obligations | — | 6,286,009 | — | |||||||||
Short-term Investment | 24,532,792 | — | — | |||||||||
Total | $ | 38,478,044 | $ | 50,685,170 | $ | — | ||||||
Liabilities | ||||||||||||
Fixed Income | ||||||||||||
Mortgage-Backed Obligations — Forward Sales Contracts | $ | — | $ | (4,777,109 | ) | $ | — | |||||
Derivative Type | ||||||||||||
Assets(a) | ||||||||||||
Futures Contracts | $ | 7,580 | $ | — | $ | — | ||||||
Liabilities(a) | ||||||||||||
Futures Contracts | $ | (75,287 | ) | $ | — | $ | — | |||||
GROWTH OPPORTUNITIES | ||||||||||||
Investment Type | Level 1 | Level 2 | Level 3 | |||||||||
Assets | ||||||||||||
Common Stock and/or Other Equity Investments | $ | 158,520,357 | $ | — | $ | — | ||||||
Short-term Investment | 3,790,358 | — | — | |||||||||
Total | $ | 162,310,715 | $ | — | $ | — | ||||||
(a) | Amount shown represents unrealized gain (loss) at period end. |
4. INVESTMENTS IN DERIVATIVES |
Core Fixed Income | |||||||||||||||
Statements of Assets | Statements of Assets | ||||||||||||||
and Liabilities | and Liabilities | ||||||||||||||
Risk | Location | Assets | Location | Liabilities | |||||||||||
Interest rate | Due from broker — variation margin, at value | $ | 21,124 | (a) | Due to broker — variation margin, at value | $ | (138,908 | )(a) | |||||||
Currency | Receivables for forward foreign currency exchange contracts, at value | 36,575 | Payables for forward foreign currency exchange contracts, at value | (142,561 | ) | ||||||||||
Total | $ | 57,699 | $ | (281,469 | ) | ||||||||||
Statements of Assets | Statements of Assets | ||||||||||||||||
Fund | Risk | and Liabilities Location | Assets(a) | and Liabilities Location | Liabilities(a) | ||||||||||||
Equity Index | Equity | Due from broker — variation margin, at value | $ | 48,015 | — | $ | — | ||||||||||
Government Income | Interest Rate | Due from broker — variation margin, at value | 7,580 | Due to broker — variation margin, at value | (75,287 | ) | |||||||||||
(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. |
4. INVESTMENTS IN DERIVATIVES (continued) |
Core Fixed Income | |||||||||||||||
Net Change in | Average | ||||||||||||||
Net Realized | Unrealized | Number of | |||||||||||||
Risk | Statements of Operations Location | Gain (Loss) | Gain (Loss) | Contracts(a) | |||||||||||
Interest rate | Net realized gain (loss) from futures transactions/Net change in unrealized gain (loss) on futures | $ | (111,782 | ) | $ | 232,900 | 213 | ||||||||
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 | (242,191 | ) | (75,275 | ) | 150 | |||||||||
Total | $ | (353,973 | ) | $ | 157,625 | 363 | |||||||||
Net | Net Change in | Average | |||||||||||||
Realized | Unrealized | Number of | |||||||||||||
Risk | Fund | Gain (Loss) | Gain (Loss) | Contracts(a) | |||||||||||
Equity | Equity Index | $ | 115,198 | $ | 35,156 | 22 | |||||||||
Interest rate | Government Income | (362,654 | ) | 161,242 | 104 | ||||||||||
(a) | Average number of contracts is based on the average of month end balances for the six months ended June 30, 2011. |
5. AGREEMENTS AND AFFILIATED TRANSACTIONS |
Contractual Management Rate | Effective Net | |||||||||||||||||||||||||||
First | Next | Next | Next | Over | Effective | Management | ||||||||||||||||||||||
Fund | $1 billion | $1 billion | $3 billion | $3 billion | $8 billion | Rate | Rate | |||||||||||||||||||||
Core Fixed Income | 0.40 | % | 0.36 | % | 0.34 | % | 0.33 | % | 0.32 | % | 0.40 | % | 0.40 | % | ||||||||||||||
Government Income | 0.54 | 0.49 | 0.47 | 0.46 | 0.45 | 0.54 | 0.54 | |||||||||||||||||||||
Growth Opportunities | 1.00 | 1.00 | 0.90 | 0.86 | 0.84 | 1.00 | 1.00 | * | ||||||||||||||||||||
* | Effective June 30, 2011, GSAM agreed to waive a portion of its management fee in order to achieve an effective net management rate of 0.97% through at least April 29, 2012. Prior to such date GSAM may not terminate the arrangement without the approval of the trustees. |
5. AGREEMENTS AND AFFILIATED TRANSACTIONS (continued) |
Management Rate | ||||||||||
$0 – $400 million | Over $400 million | Effective Rate | ||||||||
0.21 | % | 0.20 | % | 0.21 | % | |||||
Management | Distribution and | Other | Total | |||||||||||||
Fee | Service Fee | Expense | Expense | |||||||||||||
Fund | Waiver | Waiver | Reimbursement | Reductions | ||||||||||||
Core Fixed Income | $ | — | $ | — | $ | 128 | $ | 128 | ||||||||
Equity Index | 88 | — | 106 | 194 | ||||||||||||
Government Income | — | — | 112 | 112 | ||||||||||||
Growth Opportunities | — | * | 70 | 106 | 176 | |||||||||||
* | Amount is less than $500. |
5. AGREEMENTS AND AFFILIATED TRANSACTIONS (continued) |
Distribution | Transfer | |||||||||||||||
Management | and Service | Agent | ||||||||||||||
Fund | Fees | Fees | Fees | Total | ||||||||||||
Core Fixed Income | $ | 53 | $ | 33 | $ | 3 | $ | 89 | ||||||||
Equity Index | 46 | 39 | 3 | 88 | ||||||||||||
Government Income | 31 | 15 | 1 | 47 | ||||||||||||
Growth Opportunities | 129 | 21 | 2 | 152 | ||||||||||||
6. PORTFOLIO SECURITIES TRANSACTIONS |
Sales and | ||||||||||||||||
Purchases | Sales and | Maturities | ||||||||||||||
Purchases of U.S. | (Excluding U.S. | Maturities of U.S. | (Excluding U.S. | |||||||||||||
Government and | Government and | Government and | Government and | |||||||||||||
Fund | Agency Obligations | Agency Obligations) | Agency Obligations | Agency Obligations) | ||||||||||||
Core Fixed Income | $ | 458,663,319 | $ | 33,426,012 | $ | 473,374,407 | $ | 34,571,650 | ||||||||
Equity Index | — | 2,180,877 | — | 14,441,786 | ||||||||||||
Government Income | 308,809,062 | 3,593,930 | 320,343,811 | 272,458 | ||||||||||||
Growth Opportunities | — | 46,558,515 | — | 34,897,793 | ||||||||||||
7. TAX INFORMATION |
Core Fixed | Equity | Government | Growth | |||||||||||||
Income | Index | Income | Opportunities | |||||||||||||
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 | ) | |||||
(1) | Expiration occurs on December 31 of the year indicated. |
Core Fixed | Equity | Government | Growth | |||||||||||||
Income | Index | Income | Opportunities | |||||||||||||
Tax cost | $ | 184,987,660 | $ | 172,607,606 | $ | 89,100,626 | $ | 138,448,377 | ||||||||
Gross unrealized gain | 4,182,364 | 57,367,307 | 733,566 | 29,912,700 | ||||||||||||
Gross unrealized loss | (2,293,421 | ) | (39,145,990 | ) | (670,978 | ) | (6,050,362 | ) | ||||||||
Net unrealized security gain | $ | 1,888,943 | $ | 18,221,317 | 62,588 | 23,862,338 | ||||||||||
8. OTHER RISKS |
8. OTHER RISKS (continued) |
9. INDEMNIFICATIONS |
10. SUBSEQUENT EVENTS |
(a) | the nature and quality of the advisory, administrative and other services provided to the Funds by the Investment Adviser and its affiliates, including information about: |
(i) | the structure, staff and capabilities of the Investment Adviser and its portfolio management teams; | |
(ii) | the groups within the Investment Adviser and its affiliates that support the portfolio management teams or provide other types of necessary services, including fund services groups (e.g., accounting and financial reporting, tax, shareholder services and operations), controls and risk management groups (e.g., legal, compliance, valuation oversight, credit risk management, internal audit, market risk analysis, finance and strategy and central funding), sales and distribution support groups and others (e.g., information technology and training); | |
(iii) | trends in headcount; | |
(iv) | the Investment Adviser’s financial resources and ability to hire and retain talented personnel and strengthen its operations; and | |
(v) | the parent company’s support of the Investment Adviser and its mutual fund business, as expressed by the firm’s senior management; |
(b) | information on the investment performance of the Funds, including comparisons to the performance of similar mutual funds, as provided by a third party mutual fund data provider engaged as part of the contract review process (the “Outside Data Provider”), benchmark performance indices, (for Growth Opportunities and Core Fixed Income Funds) comparable institutional composites managed by the Investment Adviser, and general investment outlooks in the markets in which the Funds invest; | |
(c) | the terms of the Management Agreements and agreements with affiliated service providers entered into by the Trust on behalf of the Funds; | |
(d) | expense information for the Funds, including: |
(i) | the relative management fee and expense levels of the Funds as compared to those of comparable funds managed by other advisers, as provided by the Outside Data Provider; | |
(ii) | each Fund’s expense trends over time; and | |
(iii) | to the extent the Investment Adviser manages institutional accounts or collective investment vehicles having investment objectives and policies similar to those of the Funds, comparative information on the advisory fees charged and services provided to those accounts by the Investment Adviser; |
(e) | with respect to the extensive investment performance and expense comparison data provided by the Outside Data Provider, its processes in producing that data for the Funds; |
(f) | the undertakings of the Investment Adviser to waive certain fees (with respect to the Equity Index Fund and Growth Opportunities Fund) and reimburse certain expenses of each of the Funds that exceed specified levels; the undertaking of Goldman, Sachs & Co. (“Goldman Sachs”), the Funds’ distributor, to waive a portion of the distribution and service fees paid by the Growth Opportunities Fund; and a summary of contractual fee reductions made by the Investment Adviser and its affiliates over the past several years with respect to the Funds; | |
(g) | information relating to the profitability of the Management Agreements and the transfer agency and distribution and service arrangements of each of the Funds and the Trust as a whole to the Investment Adviser and its affiliates; | |
(h) | whether each Fund’s existing management fee schedule adequately addressed any economies of scale; | |
(i) | a summary of the “fall-out” benefits derived by the Investment Adviser and its affiliates from their relationships with the Funds, including the fees received by the Investment Adviser’s affiliates from the Funds for transfer agency, portfolio brokerage (in the case of the Growth Opportunities and Equity Index Funds (the “Equity Funds”)), distribution and other services; | |
(j) | a summary of potential benefits derived by the Funds as a result of their relationship with the Investment Adviser; | |
(k) | information regarding commissions paid by the Equity Funds, an update on the Investment Adviser’s soft dollars practices (in the case of the Growth Opportunities Fund) and other information regarding portfolio trading and how the Investment Adviser carries out its duty to seek best execution; | |
(l) | the manner in which portfolio manager compensation is determined, and the number and types of accounts managed by the portfolio managers; | |
(m) | the nature and quality of the services provided to the Funds by their unaffiliated service providers (including the Equity Index Fund’s Sub-Adviser), and the Investment Adviser’s general oversight and evaluation (including reports on due diligence) of those service providers as part of the administration services provided under the Management Agreements; and | |
(n) | the Investment Adviser’s processes and policies addressing various types of potential conflicts of interest; its approach to risk management; the annual review of the effectiveness of the Funds’ compliance program; and compliance reports. |
Core Fixed | Government | Growth | ||||||||||
Income | Income | Opportunities | ||||||||||
Fund | Fund | Fund | ||||||||||
First $1 billion | 0.40 | % | 0.54 | % | 1.00 | % | ||||||
Next $1 billion | 0.36 | 0.49 | 1.00 | |||||||||
Next $3 billion | 0.34 | 0.47 | 0.90 | |||||||||
Next $3 billion | 0.33 | 0.46 | 0.86 | |||||||||
Over $8 billion | 0.32 | 0.45 | 0.84 |
Equity Index Fund | ||||
(Sub-Advisory Fee) | ||||
First $50 million | 0.03 | % | ||
Next $200 million | 0.02 | |||
Next $750 million | 0.01 | |||
Over $1 billion | 0.008 |
Core Fixed Income Fund | Equity Index Fund | Government Income Fund | Growth Opportunities Fund | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Beginning | Ending | Expenses | Beginning | Ending | Expenses | Beginning | Ending | Expenses | Beginning | Ending | Expenses | |||||||||||||||||||||||||||||||||||||||||||||||||
Account | Account | Paid for the | Account | Account | Paid for the | Account | Account | Paid for the | Account | Account | Paid for the | |||||||||||||||||||||||||||||||||||||||||||||||||
Value | Value | 6 Months Ended | Value | Value | 6 Months Ended | Value | Value | 6 Months Ended | Value | Value | 6 Months Ended | |||||||||||||||||||||||||||||||||||||||||||||||||
1/01/11 | 6/30/11 | 6/30/11* | 1/01/11 | 6/30/11 | 6/30/11* | 1/01/11 | 6/30/11 | 6/30/11* | 1/01/11 | 6/30/11 | 6/30/11* | |||||||||||||||||||||||||||||||||||||||||||||||||
Actual | $ | 1,000 | $ | 1,026.50 | $ | 3.37 | $ | 1,000 | $ | 1,059.20 | $ | 2.45 | $ | 1,000 | $ | 1,018.20 | $ | 4.05 | $ | 1,000 | $ | 1,041.70 | $ | 5.97 | ||||||||||||||||||||||||||||||||||||
Hypothetical 5% return | 1,000 | 1,021.47 | + | 3.36 | 1,000 | 1,022.41 | + | 2.41 | 1,000 | 1,020.78 | + | 4.06 | 1,000 | 1,018.94 | + | 5.91 | ||||||||||||||||||||||||||||||||||||||||||||
* | 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 June 30, 2011. 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 | 0.48 | |||
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. |
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 |
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. | ||
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. | ||
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. | ||
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. | ||
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. | ||
The portfolio risk management process includes an effort to monitor and manage risk, but does not imply low risk. | ||
Shares of the Goldman Sachs VIT 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 Fund are not offered directly to the general public. The variable annuity contracts and variable life insurance policies are described in the separate prospectuses issued by participating insurance companies. You should refer to those prospectuses for information about surrender charges, mortality and expense risk fees and other charges that may be assessed by participating insurance companies under the variable annuity contracts or variable life insurance policies. Such fees or charges, if any, may affect the return you may realize with respect to your investments. Ask your representative for more complete information. Please consider a fund’s objectives, risks and charges and expenses, and read the prospectus carefully before investing. The prospectus contains this and other information about the Fund. | ||
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. | ||
VITSVCSAR11/57755.MF.MED.TMPL/8/2011 |
* | The Russell 1000 Value Index is an unmanaged market capitalization weighted index of the 1000 largest U.S. companies with lower-price-to-book ratios and lower forecasted growth values. The Index figures do not include any deduction for fees, expenses or taxes. It is not possible to invest directly in an unmanaged index. |
STANDARDIZED AVERAGE ANNUAL TOTAL RETURNS1 |
For the period ended 6/30/11 | One Year | Five Years | Ten Years | Since Inception | Inception Date | |||||||||||||||
Institutional | 25.40 | % | 0.90 | % | 3.81 | % | 2.80 | % | 1/12/98 | |||||||||||
Service | 24.97 | N/A | N/A | −4.06 | 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”). | |
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 | 0.78 | % | 0.80 | % | ||||||
Service | 1.03 | 1.05 | ||||||||
2 | The expense ratios of the Fund, both current (net of any fee waivers or expense limitations) and before waivers (gross of any fee waivers or expense limitations) are as set forth above. The Fund’s waivers and/or expense limitations will remain in place through at least April 29, 2012, and prior to such date the investment adviser may not terminate the arrangements without the approval of the Fund’s Board of Trustees. The expense ratios set forth above may differ from the expense ratios disclosed in the Financial Highlights in this report. |
TOP TEN HOLDINGS AS OF 6/30/113 |
Holding | % of Net Assets | Line of Business | ||||||
JPMorgan Chase & Co. | 4.7 | % | Diversified Financials | |||||
General Electric Co. | 4.0 | Capital Goods | ||||||
Merck & Co., Inc. | 3.4 | Pharmaceuticals, Biotechnology & Life Sciences | ||||||
Bank of America Corp. | 3.1 | Diversified Financials | ||||||
U.S. Bancorp | 2.8 | Banks | ||||||
Devon Energy Corp. | 2.8 | Energy | ||||||
Sprint Nextel Corp. | 2.8 | Telecommunication Services | ||||||
Comcast Corp. Class A | 2.7 | Media | ||||||
WellPoint, Inc. | 2.6 | Health Care Equipment & Services | ||||||
Prudential Financial, Inc. | 2.6 | Insurance | ||||||
3 | The top 10 holdings may not be representative of the Fund’s future investments. |
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. The above graph depicts the Fund’s investments but may not represent the Fund’s market exposure due to the exclusion of derivatives, if any, as listed in the Additional Investment Information section of the Schedule of Investments. |
Shares | Description | Value | ||||||
Common Stocks – 100.5% | ||||||||
Automobiles & Components – 3.4% | ||||||||
937,834 | Ford Motor Co.* | $ | 12,932,731 | |||||
355,055 | General Motors Co.* | 10,779,469 | ||||||
482,877 | Johnson Controls, Inc. | 20,116,656 | ||||||
43,828,856 | ||||||||
Banks – 6.4% | ||||||||
364,174 | PNC Financial Services Group, Inc. | 21,708,412 | ||||||
913,347 | SunTrust Banks, Inc. | 23,564,353 | ||||||
1,424,902 | U.S. Bancorp | 36,349,250 | ||||||
81,622,015 | ||||||||
Capital Goods – 10.0% | ||||||||
112,638 | Emerson Electric Co. | 6,335,888 | ||||||
2,718,494 | General Electric Co. | 51,270,797 | ||||||
461,433 | Honeywell International, Inc. | 27,496,792 | ||||||
216,828 | Illinois Tool Works, Inc. | 12,248,614 | ||||||
418,669 | The Boeing Co. | 30,952,199 | ||||||
128,304,290 | ||||||||
Diversified Financials – 13.1% | ||||||||
167,733 | Ameriprise Financial, Inc. | 9,674,839 | ||||||
3,623,638 | Bank of America Corp. | 39,715,072 | ||||||
120,596 | Franklin Resources, Inc. | 15,833,049 | ||||||
527,807 | Invesco Ltd. | 12,350,684 | ||||||
1,457,438 | JPMorgan Chase & Co. | 59,667,512 | ||||||
1,083,774 | SLM Corp. | 18,218,241 | ||||||
279,146 | State Street Corp. | 12,586,693 | ||||||
168,046,090 | ||||||||
Energy – 10.7% | ||||||||
140,017 | Baker Hughes, Inc. | 10,159,634 | ||||||
161,733 | Cameron International Corp.* | 8,133,553 | ||||||
404,422 | ConocoPhillips | 30,408,490 | ||||||
455,901 | Devon Energy Corp. | 35,929,558 | ||||||
177,523 | Newfield Exploration Co.* | 12,075,114 | ||||||
284,411 | Occidental Petroleum Corp. | 29,590,120 | ||||||
122,433 | Schlumberger Ltd. | 10,578,211 | ||||||
136,874,680 | ||||||||
Food & Staples Retailing – 1.8% | ||||||||
626,015 | CVS Caremark Corp. | 23,525,644 | ||||||
Food, Beverage & Tobacco – 7.0% | ||||||||
227,922 | Coca-Cola Enterprises, Inc. | 6,650,764 | ||||||
171,275 | ConAgra Foods, Inc. | 4,420,608 | ||||||
725,678 | General Mills, Inc. | 27,009,735 | ||||||
352,238 | PepsiCo, Inc. | 24,808,122 | ||||||
794,490 | Unilever NV | 26,098,997 | ||||||
88,988,226 | ||||||||
Health Care Equipment & Services – 3.9% | ||||||||
2,398,261 | Boston Scientific Corp.* | 16,571,984 | ||||||
418,968 | WellPoint, Inc. | 33,002,109 | ||||||
49,574,093 | ||||||||
Insurance – 8.9% | ||||||||
187,199 | Aflac, Inc. | 8,738,449 | ||||||
165,896 | Everest Re Group Ltd. | 13,561,998 | ||||||
607,744 | Hartford Financial Services Group, Inc. | 16,026,209 | ||||||
353,830 | Marsh & McLennan Companies, Inc. | 11,035,958 | ||||||
518,135 | Prudential Financial, Inc. | 32,948,205 | ||||||
511,401 | The Allstate Corp. | 15,613,073 | ||||||
282,330 | The Travelers Companies, Inc. | 16,482,425 | ||||||
114,406,317 | ||||||||
Materials – 2.9% | ||||||||
93,049 | Cliffs Natural Resources, Inc. | 8,602,380 | ||||||
334,853 | Huntsman Corp. | 6,311,979 | ||||||
408,068 | LyondellBasell Industries NV Class A | 15,718,779 | ||||||
179,754 | The Dow Chemical Co. | 6,471,144 | ||||||
37,104,282 | ||||||||
Media – 6.0% | ||||||||
605,669 | CBS Corp. Class B | 17,255,510 | ||||||
1,343,073 | Comcast Corp. Class A | 34,033,470 | ||||||
827,708 | DISH Network Corp. Class A* | 25,385,804 | ||||||
76,674,784 | ||||||||
Pharmaceuticals, Biotechnology & Life Sciences – 7.5% | ||||||||
344,403 | Celgene Corp.* | 20,774,389 | ||||||
1,234,855 | Merck & Co., Inc. | 43,578,033 | ||||||
652,181 | Teva Pharmaceutical Industries Ltd. ADR | 31,448,168 | ||||||
95,800,590 | ||||||||
Retailing – 0.8% | ||||||||
616,955 | Liberty Media Corp. — Interactive Class A* | 10,346,335 | ||||||
Semiconductors & Semiconductor Equipment – 1.6% | ||||||||
160,918 | Maxim Integrated Products, Inc. | 4,113,064 | ||||||
378,515 | NVIDIA Corp.* | 6,031,636 | ||||||
320,161 | Texas Instruments, Inc. | 10,510,886 | ||||||
20,655,586 | ||||||||
Software & Services – 4.9% | ||||||||
611,435 | Adobe Systems, Inc.* | 19,229,630 | ||||||
44,810 | Google, Inc. Class A* | 22,690,888 | ||||||
821,400 | Microsoft Corp. | 21,356,400 | ||||||
63,276,918 | ||||||||
Technology Hardware & Equipment – 1.8% | ||||||||
817,092 | EMC Corp.* | 22,510,885 | ||||||
Telecommunication Services – 4.0% | ||||||||
397,171 | CenturyLink, Inc. | 16,057,623 | ||||||
6,588,222 | Sprint Nextel Corp.* | 35,510,517 | ||||||
51,568,140 | ||||||||
Utilities – 5.8% | ||||||||
554,297 | American Electric Power Co., Inc. | 20,885,911 | ||||||
199,436 | Entergy Corp. | 13,617,490 |
Shares | Description | Value | ||||||
Common Stocks – (continued) | ||||||||
Utilities – (continued) | ||||||||
473,069 | PG&E Corp. | $ | 19,883,090 | |||||
735,785 | PPL Corp. | 20,476,897 | ||||||
74,863,388 | ||||||||
TOTAL COMMON STOCKS | ||||||||
(Cost $1,180,761,483) | $ | 1,287,971,119 | ||||||
Shares | Rate | Value | ||||||||
Short-term Investment(a) – 2.7% | ||||||||||
JPMorgan U.S. Government Money Market Fund — Capital Shares | ||||||||||
34,943,449 | 0.010 | % | $ | 34,943,449 | ||||||
(Cost $34,943,449) | ||||||||||
TOTAL INVESTMENTS – 103.2% | ||||||||||
(Cost $1,215,704,932) | $ | 1,322,914,568 | ||||||||
LIABILITIES IN EXCESS OF OTHER ASSETS – (3.2)% | (41,326,899 | ) | ||||||||
NET ASSETS – 100.0% | $ | 1,281,587,669 | ||||||||
* | Non-income producing security. | |
(a) | Variable rate security. Interest rate disclosed is that which is in effect at June 30, 2011. |
Investment Abbreviation: | ||||
ADR | — | American Depositary Receipt | ||
Assets: | ||||
Investments in securities, at value (identified cost $1,215,704,932) | $ | 1,322,914,568 | ||
Receivables: | ||||
Fund shares sold | 7,178,137 | |||
Investment securities sold | 2,890,216 | |||
Dividends | 2,214,098 | |||
Other assets | 6,732 | |||
Total assets | 1,335,203,751 | |||
Liabilities: | ||||
Payables: | ||||
Fund shares redeemed | 49,365,657 | |||
Investment securities purchased | 3,160,330 | |||
Amounts owed to affiliates | 959,744 | |||
Accrued expenses | 130,351 | |||
Total liabilities | 53,616,082 | |||
Net Assets: | ||||
Paid-in capital | 1,220,485,017 | |||
Accumulated undistributed net investment income | 6,986,346 | |||
Accumulated net realized loss from investment transactions | (53,093,330 | ) | ||
Net unrealized gain on investments | 107,209,636 | |||
NET ASSETS | $ | 1,281,587,669 | ||
Net Assets: | ||||
Institutional | $ | 480,749,158 | ||
Service | 800,838,511 | |||
Total Net Assets | $ | 1,281,587,669 | ||
Shares of beneficial interest outstanding $0.001 par value (unlimited shares authorized): | ||||
Institutional | 45,414,031 | |||
Service | 75,813,101 | |||
Net asset value, offering and redemption price per share: | ||||
Institutional | $10.59 | |||
Service | 10.56 | |||
Investment income: | ||||
Dividends | $ | 11,104,921 | ||
Expenses: | ||||
Management fees | 4,646,023 | |||
Distribution and Service fees — Service Class | 944,320 | |||
Transfer Agent fees(a) | 126,428 | |||
Printing and mailing costs | 75,585 | |||
Custody and accounting fees | 46,363 | |||
Professional fees | 44,866 | |||
Trustee fees | 9,688 | |||
Registration fees | 609 | |||
Other | 21,221 | |||
Total expenses | 5,915,103 | |||
Less — expense reductions | (558 | ) | ||
Net expenses | 5,914,545 | |||
NET INVESTMENT INCOME | 5,190,376 | |||
Realized and unrealized gain (loss) from investment transactions: | ||||
Net realized gain from investment transactions (including commissions recaptured of $111,271) | 57,726,448 | |||
Net change in unrealized loss on investments | (23,978,528 | ) | ||
Net realized and unrealized gain from investment transactions | 33,747,920 | |||
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS | $ | 38,938,296 | ||
(a) | Institutional and Service Shares had Transfer Agent fees of $50,888 and $75,540, respectively. |
For the | For the | |||||||
Six Months Ended | Fiscal Year Ended | |||||||
June 30, 2011 (Unaudited) | December 31, 2010 | |||||||
From operations: | ||||||||
Net investment income | $ | 5,190,376 | $ | 8,805,701 | ||||
Net realized gain from investment transactions | 57,726,448 | 61,357,865 | ||||||
Net change in unrealized gain (loss) on investments | (23,978,528 | ) | 51,676,161 | |||||
Net increase in net assets resulting from operations | 38,938,296 | 121,839,727 | ||||||
Distributions to shareholders: | ||||||||
From net investment income | ||||||||
Institutional Shares | — | (3,935,813 | ) | |||||
Service Shares | — | (3,969,754 | ) | |||||
Total distributions to shareholders | — | (7,905,567 | ) | |||||
From share transactions: | ||||||||
Proceeds from sales of shares | 204,771,705 | 355,441,232 | ||||||
Reinvestment of distributions | — | 7,905,567 | ||||||
Cost of shares redeemed | (141,507,996 | ) | (176,911,161 | ) | ||||
Net increase in net assets resulting from share transactions | 63,263,709 | 186,435,638 | ||||||
TOTAL INCREASE | 102,202,005 | 300,369,798 | ||||||
Net assets: | ||||||||
Beginning of period | 1,179,385,664 | 879,015,866 | ||||||
End of period | $ | 1,281,587,669 | $ | 1,179,385,664 | ||||
Accumulated undistributed net investment income | $ | 6,986,346 | $ | 1,795,970 | ||||
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 | period | to average | to average | to average | turnover | |||||||||||||||||||||||||||||||||||||||||||||
Year - Share Class | of period | income(a) | gain (loss) | operations | income | gains | distributions | period | return(b) | (in 000s) | net assets | net assets | net assets | rate | ||||||||||||||||||||||||||||||||||||||||||||
FOR THE SIX MONTHS ENDED JUNE 30, (UNAUDITED) | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
2011 - Institutional | $ | 10.24 | $ | 0.05 | $ | 0.30 | $ | 0.35 | $ | — | $ | — | $ | — | $ | 10.59 | 3.42 | % | $ | 480,749 | 0.79 | %(c) | 0.79 | %(c) | 0.96 | %(c) | 32 | % | ||||||||||||||||||||||||||||||
2011 - Service | 10.23 | 0.04 | 0.29 | 0.33 | — | — | — | 10.56 | 3.23 | 800,839 | 1.04 | (c) | 1.04 | (c) | 0.73 | (c) | 32 | |||||||||||||||||||||||||||||||||||||||||
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 | (d) | 1.28 | 1.46 | (0.15 | ) | — | (0.15 | ) | 9.28 | 18.32 | 487,962 | 0.81 | 0.81 | 2.18 | (d) | 84 | ||||||||||||||||||||||||||||||||||||||||
2009 - Service | 7.98 | 0.16 | (d) | 1.28 | 1.44 | (0.14 | ) | — | (0.14 | ) | 9.28 | 17.87 | 391,053 | 1.06 | 1.06 | 1.92 | (d) | 84 | ||||||||||||||||||||||||||||||||||||||||
2008 - Institutional | 12.53 | 0.25 | (4.59 | ) | (4.34 | ) | (0.22 | ) | — | (e) | (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 | ) | — | (e) | (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 | (c) | 1.09 | (c) | 3.11 | (c) | 79 | |||||||||||||||||||||||||||||||||||
2006 - Institutional | 11.97 | 0.28 | 2.43 | 2.71 | (0.23 | ) | (0.54 | ) | (0.77 | ) | 13.91 | 22.63 | 432,016 | 0.86 | 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 period, reinvestment of all distributions, and a complete redemption of the investment at the net asset value at the end of the period. Total returns for periods less than one full year are not annualized. | |
(c) | Annualized. | |
(d) | Reflects income recognized from non-recurring special dividends which amounted to $0.02 per share and 0.24% of average net assets. | |
(e) | Amount is less than $0.005 per share. |
1. ORGANIZATION |
2. SIGNIFICANT ACCOUNTING POLICIES |
2. SIGNIFICANT ACCOUNTING POLICIES (continued) |
3. FAIR VALUE OF INVESTMENTS |
3. FAIR VALUE OF INVESTMENTS (continued) |
Investment Type | Level 1 | Level 2 | Level 3 | |||||||||
Assets | ||||||||||||
Common Stock and/or Other Equity Investments | $ | 1,287,971,119 | $ | — | $ | — | ||||||
Short-term Investment | 34,943,449 | — | — | |||||||||
Total | $ | 1,322,914,568 | $ | — | $ | — | ||||||
4. AGREEMENTS AND AFFILIATED TRANSACTIONS |
Contractual Management Rate | Effective Net | |||||||||||||||||||||||
First | Next | Next | Next | Over | Effective | Management | ||||||||||||||||||
$1 billion | $1 billion | $3 billion | $3 billion | $8 billion | Rate | Rate | ||||||||||||||||||
0.75% | 0.68 | % | 0.65 | % | 0.64 | % | 0.63 | % | 0.73 | % | 0.73 | %* | ||||||||||||
* | Effective June 30, 2011, GSAM agreed to waive a portion of its management fee in order to achieve an effective net management rate of 0.73% through at least April 29, 2012. Prior to such date GSAM may not terminate the arrangement without the approval of the trustees. For the six months ended June 30, 2011, GSAM waived approximately $600 of the Fund’s management fee. |
4. AGREEMENTS AND AFFILIATED TRANSACTIONS (continued) |
5. PORTFOLIO SECURITIES TRANSACTIONS |
6. TAX INFORMATION |
Capital loss carryforward:(1) | ||||
Expiring 2016 | $ | (1,262,514 | ) | |
Expiring 2017 | (99,804,144 | ) | ||
Total capital loss carryforward | $ | (101,066,658 | ) | |
(1) | Expiration occurs on December 31 of the year indicated. |
Tax cost | $ | 1,225,458,052 | ||
Gross unrealized gain | 137,259,315 | |||
Gross unrealized loss | (39,802,799 | ) | ||
Net unrealized security gain | $ | 97,456,516 | ||
6. TAX INFORMATION (continued) |
7. OTHER RISKS |
8. INDEMNIFICATIONS |
9. SUBSEQUENT EVENTS |
10. SUMMARY OF SHARE TRANSACTIONS |
For the Six Months Ended | ||||||||||||||||
June 30, 2011 | For the Fiscal Year Ended | |||||||||||||||
(Unaudited) | December 31, 2010 | |||||||||||||||
Shares | Dollars | Shares | Dollars | |||||||||||||
Institutional Shares | ||||||||||||||||
Shares sold | 2,340,368 | $ | 24,834,651 | 7,156,994 | $ | 65,134,638 | ||||||||||
Reinvestment of distributions | — | — | 386,622 | 3,935,813 | ||||||||||||
Shares redeemed | (6,461,000 | ) | (68,717,099 | ) | (10,612,256 | ) | (100,508,688 | ) | ||||||||
(4,120,632 | ) | (43,882,448 | ) | (3,068,640 | ) | (31,438,237 | ) | |||||||||
Service Shares | ||||||||||||||||
Shares sold | 16,966,248 | 179,937,054 | 31,182,290 | 290,306,594 | ||||||||||||
Reinvestment of distributions | — | — | 390,340 | 3,969,754 | ||||||||||||
Shares redeemed | (6,867,628 | ) | (72,790,897 | ) | (8,012,106 | ) | (76,402,473 | ) | ||||||||
10,098,620 | 107,146,157 | 23,560,524 | 217,873,875 | |||||||||||||
NET INCREASE | 5,977,988 | $ | 63,263,709 | 20,491,884 | $ | 186,435,638 | ||||||||||
(a) | the nature and quality of the advisory, administrative and other services provided to the Fund by the Investment Adviser and its affiliates, including information about: |
(i) | the structure, staff and capabilities of the Investment Adviser and its portfolio management teams; | |
(ii) | the groups within the Investment Adviser and its affiliates that support the portfolio management teams or provide other types of necessary services, including fund services groups (e.g., accounting and financial reporting, tax, shareholder services and operations), controls and risk management groups (e.g., legal, compliance, valuation oversight, credit risk management, internal audit, market risk analysis, finance and strategy and central funding), sales and distribution support groups and others (e.g., information technology and training); | |
(iii) | trends in headcount; | |
(iv) | the Investment Adviser’s financial resources and ability to hire and retain talented personnel and strengthen its operations; and | |
(v) | the parent company’s support of the Investment Adviser and its mutual fund business, as expressed by the firm’s senior management; |
(b) | information on the investment performance of the Fund, including comparisons to the performance of similar mutual funds, as provided by a third party mutual fund data provider engaged as part of the contract review process (the “Outside Data Provider”), its benchmark performance index, a comparable institutional composite managed by the Investment Adviser, and general investment outlooks in the markets in which the Fund invests; | |
(c) | the terms of the Management Agreement and agreements with affiliated service providers entered into by the Trust on behalf of the Fund; | |
(d) | expense information for the Fund, including: |
(i) | the relative management fee and expense level of the Fund as compared to those of comparable funds managed by other advisers, as provided by the Outside Data Provider; | |
(ii) | the Fund’s expense trends over time; and | |
(iii) | to the extent the Investment Adviser manages institutional accounts or collective investment vehicles having investment objectives and policies similar to those of the Fund, comparative information on the advisory fees charged and services provided to those accounts by the Investment Adviser; |
(e) | with respect to the extensive investment performance and expense comparison data provided by the Outside Data Provider, its processes in producing that data for the Fund; | |
(f) | the undertakings of the Investment Adviser to waive certain fees and reimburse certain expenses of the Fund that exceed a specified level, and a summary of contractual fee reductions made by the Investment Adviser and its affiliates over the past several years with respect to the Fund; |
(g) | information relating to the profitability of the Management Agreement and the transfer agency and distribution and service arrangements of the Fund and the Trust as a whole to the Investment Adviser and its affiliates; | |
(h) | whether the Fund’s existing management fee schedule adequately addressed any economies of scale; | |
(i) | a summary of the “fall-out” benefits derived by the Investment Adviser and its affiliates from their relationships with the Fund, including the fees received by the Investment Adviser’s affiliates from the Fund for transfer agency, portfolio brokerage, distribution and other services; | |
(j) | a summary of potential benefits derived by the Fund as a result of its relationship with the Investment Adviser; | |
(k) | information regarding commissions paid by the Fund, an update on the Investment Adviser’s soft dollars practices, other information regarding portfolio trading and how the Investment Adviser carries out its duty to seek best execution; | |
(l) | the manner in which portfolio manager compensation is determined, and the number and types of accounts managed by the portfolio managers; | |
(m) | the nature and quality of the services provided to the Fund by its unaffiliated service providers, and the Investment Adviser’s general oversight and evaluation (including reports on due diligence) of those service providers as part of the administration services provided under the Management Agreement; and | |
(n) | the Investment Adviser’s processes and policies addressing various types of potential conflicts of interest; its approach to risk management; the annual review of the effectiveness of the Fund’s compliance program; and compliance reports. |
First $1 billion | 0.75 | % | ||
Next $1 billion | 0.68 | |||
Next $3 billion | 0.65 | |||
Next $3 billion | 0.64 | |||
Over $8 billion | 0.63 |
Expenses Paid | |||||||||||||||
for the | |||||||||||||||
Beginning | Ending | 6 Months | |||||||||||||
Account Value | Account Value | Ended | |||||||||||||
Share Class | 1/01/11 | 6/30/11 | 6/30/11* | ||||||||||||
Institutional | |||||||||||||||
Actual | $ | 1,000 | $ | 1,034.20 | $ | 3.98 | |||||||||
Hypothetical 5% return | 1,000 | 1,020.88 | + | 3.96 | |||||||||||
Service | |||||||||||||||
Actual | 1,000 | 1,032.30 | 5.24 | ||||||||||||
Hypothetical 5% return | 1,000 | 1,019.64 | + | 5.21 | |||||||||||
* | Expenses for each share class are calculated using the Fund’s annualized net expense ratio for each class, which represents the ongoing expenses as a percentage of net assets for the six months ended June 30, 2011. 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 0.79% and 1.04% for Institutional and Service Shares, respectively. | |
+ | Hypothetical expenses are based on each Fund’s actual annualized net expense ratios and an assumed rate of return of 5% per year before expenses. |
TRUSTEES | 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 | 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. | ||
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. | ||
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. | ||
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. | ||
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. | ||
The portfolio risk management process includes an effort to monitor and manage risk, but does not imply low risk. | ||
Shares of the Goldman Sachs VIT 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 Fund are not offered directly to the general public. The variable annuity contracts and variable life insurance policies are described in the separate prospectuses issued by participating insurance companies. You should refer to those prospectuses for information about surrender charges, mortality and expense risk fees and other charges that may be assessed by participating insurance companies under the variable annuity contracts or variable life insurance policies. Such fees or charges, if any, may affect the return you may realize with respect to your investments. Ask your representative for more complete information. Please consider a fund’s objectives, risks and charges and expenses, and read the prospectus carefully before investing. The prospectus contains this and other information about the Fund. | ||
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. | ||
VITLCVSAR11/57740.MF.MED.TMPL/8/2011 |
* | The Russell 1000 Growth Index is an unmanaged market capitalization weighted index of the 1000 largest U.S. companies with higher price-to-book ratios and higher forecasted growth values. The Index figures do not include any deduction for fees, expenses or taxes. It is not possible to invest directly in an unmanaged index. |
STANDARDIZED AVERAGE ANNUAL TOTAL RETURNS1 |
For the period ended 6/30/11 | One Year | Five Years | Ten Years | Since Inception | Inception Date | |||||||||||||||
Institutional | 25.54 | % | 3.48 | % | 1.34 | % | 2.63 | % | 4/30/98 | |||||||||||
Service | 25.20 | 3.28 | N/A | 2.26 | 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”). | |
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 | 0.82 | % | 0.86 | % | ||||||
Service | 1.07 | % | 1.11 | |||||||
2 | The expense ratios of the Fund, both current (net of any fee waivers or expense limitations) and before waivers (gross of any fee waivers or expense limitations) are as set forth above. The Fund’s waivers and/or expense limitations will remain in place through at least April 29, 2012, and prior to such date the investment adviser may not terminate the arrangements without the approval of the Fund’s Board of Trustees. The expense ratios set forth above may differ from the expense ratios disclosed in the Financial Highlights in this report. |
TOP TEN HOLDINGS AS OF 6/30/113 |
Holding | % of Net Assets | Line of Business | ||||||
Apple, Inc. | 5.1 | % | Technology Hardware & Equipment | |||||
QUALCOMM, Inc. | 4.6 | Technology Hardware & Equipment | ||||||
Schlumberger Ltd. | 4.5 | Energy | ||||||
PepsiCo, Inc. | 3.6 | Food, Beverage & Tobacco | ||||||
Oracle Corp. | 3.0 | Software & Services | ||||||
Google, Inc. Class A | 3.0 | Software & Services | ||||||
Xilinx, Inc. | 3.0 | Semiconductors & Semiconductor Equipment | ||||||
American Tower Corp. Class A | 2.9 | Telecommunication Services | ||||||
Lowe’s Companies, Inc. | 2.6 | Retailing | ||||||
Costco Wholesale Corp. | 2.6 | Food & Staples Retailing | ||||||
3 | The top 10 holdings may not be representative of the Fund’s future investments. |
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. The above graph depicts the Fund’s investments but may not represent the Fund’s market exposure due to the exclusion of derivatives, if any, as listed in the Additional Investment Information section of the Schedule of Investments. |
Shares | Description | Value | ||||||
Common Stocks – 97.1% | ||||||||
Capital Goods – 3.9% | ||||||||
92,500 | Danaher Corp. | $ | 4,901,575 | |||||
90,166 | Emerson Electric Co. | 5,071,838 | ||||||
91,337 | Raytheon Co. | 4,553,149 | ||||||
14,526,562 | ||||||||
Consumer Durables & Apparel – 2.2% | ||||||||
93,207 | NIKE, Inc. Class B | 8,386,766 | ||||||
Consumer Services – 2.3% | ||||||||
52,952 | Marriott International, Inc. Class A | 1,879,267 | ||||||
58,279 | McDonald’s Corp. | 4,914,085 | ||||||
36,300 | Yum! Brands, Inc. | 2,005,212 | ||||||
8,798,564 | ||||||||
Diversified Financials – 7.8% | ||||||||
138,458 | American Express Co. | 7,158,279 | ||||||
24,708 | CME Group, Inc. | 7,204,606 | ||||||
14,396 | IntercontinentalExchange, Inc.* | 1,795,325 | ||||||
163,506 | Morgan Stanley | 3,762,273 | ||||||
112,800 | Northern Trust Corp. | 5,184,288 | ||||||
260,430 | The Charles Schwab Corp. | 4,284,073 | ||||||
29,388,844 | ||||||||
Energy – 11.1% | ||||||||
59,061 | Cameron International Corp.* | 2,970,177 | ||||||
49,443 | Devon Energy Corp. | 3,896,603 | ||||||
138,155 | Halliburton Co. | 7,045,905 | ||||||
27,937 | National Oilwell Varco, Inc. | 2,184,953 | ||||||
40,146 | Occidental Petroleum Corp. | 4,176,790 | ||||||
194,622 | Schlumberger Ltd. | 16,815,341 | ||||||
108,134 | Southwestern Energy Co.* | 4,636,786 | ||||||
41,726,555 | ||||||||
Food & Staples Retailing – 2.6% | ||||||||
120,346 | Costco Wholesale Corp. | 9,776,909 | ||||||
Food, Beverage & Tobacco – 4.7% | ||||||||
190,500 | PepsiCo, Inc. | 13,416,915 | ||||||
60,700 | The Coca-Cola Co. | 4,084,503 | ||||||
17,501,418 | ||||||||
Health Care Equipment & Services – 3.1% | ||||||||
68,583 | Baxter International, Inc. | 4,093,719 | ||||||
157,534 | St. Jude Medical, Inc. | 7,511,221 | ||||||
11,604,940 | ||||||||
Household & Personal Products – 2.8% | ||||||||
244,458 | Avon Products, Inc. | 6,844,824 | ||||||
58,380 | The Procter & Gamble Co. | 3,711,217 | ||||||
10,556,041 | ||||||||
Materials – 3.3% | ||||||||
53,493 | Ecolab, Inc. | 3,015,935 | ||||||
85,269 | Praxair, Inc. | 9,242,307 | ||||||
12,258,242 | ||||||||
Media – 1.6% | ||||||||
121,574 | Viacom, Inc. Class B | 6,200,274 | ||||||
Pharmaceuticals, Biotechnology & Life Sciences – 8.1% | ||||||||
63,019 | Amgen, Inc.* | 3,677,159 | ||||||
105,753 | Gilead Sciences, Inc.* | 4,379,232 | ||||||
109,404 | Johnson & Johnson | 7,277,554 | ||||||
54,212 | Merck & Co., Inc. | 1,913,141 | ||||||
85,991 | Teva Pharmaceutical Industries Ltd. ADR | 4,146,486 | ||||||
141,080 | Thermo Fisher Scientific, Inc.* | 9,084,141 | ||||||
30,477,713 | ||||||||
Real Estate* – 0.5% | ||||||||
75,218 | CB Richard Ellis Group, Inc. Class A | 1,888,724 | ||||||
Retailing – 8.1% | ||||||||
105,200 | Bed Bath & Beyond, Inc.* | 6,140,524 | ||||||
422,774 | Lowe’s Companies, Inc. | 9,854,862 | ||||||
476,032 | Staples, Inc. | 7,521,306 | ||||||
91,297 | Target Corp. | 4,282,742 | ||||||
93,943 | Urban Outfitters, Inc.* | 2,644,495 | ||||||
30,443,929 | ||||||||
Semiconductors & Semiconductor Equipment – 3.5% | ||||||||
118,760 | NVIDIA Corp.* | 1,892,441 | ||||||
309,760 | Xilinx, Inc. | 11,296,947 | ||||||
13,189,388 | ||||||||
Software & Services – 13.8% | ||||||||
34,468 | Equinix, Inc.* | 3,481,957 | ||||||
22,487 | Google, Inc. Class A* | 11,386,967 | ||||||
31,965 | Mastercard, Inc. Class A | 9,632,333 | ||||||
332,847 | Microsoft Corp. | 8,654,022 | ||||||
346,400 | Oracle Corp. | 11,400,024 | ||||||
20,903 | Salesforce.com, Inc.* | 3,114,129 | ||||||
218,791 | The Western Union Co. | 4,382,384 | ||||||
52,051,816 | ||||||||
Technology Hardware & Equipment – 12.9% | ||||||||
86,871 | Amphenol Corp. Class A | 4,690,165 | ||||||
56,600 | Apple, Inc.* | 18,998,922 | ||||||
136,981 | NetApp, Inc.* | 7,229,857 | ||||||
306,868 | QUALCOMM, Inc. | 17,427,034 | ||||||
48,345,978 | ||||||||
Telecommunication Services* – 4.8% | ||||||||
210,121 | American Tower Corp. Class A | 10,995,632 | ||||||
173,668 | Crown Castle International Corp. | 7,083,918 | ||||||
18,079,550 | ||||||||
TOTAL COMMON STOCKS | ||||||||
(Cost $302,735,017) | $ | 365,202,213 | ||||||
Shares | Rate | Value | ||||||||
Short-term Investment(a) – 2.7% | ||||||||||
JPMorgan U.S. Government Money Market Fund — Capital Shares | ||||||||||
10,055,413 | 0.010 | % | $ | 10,055,413 | ||||||
(Cost $10,055,413) | ||||||||||
TOTAL INVESTMENTS – 99.8% | ||||||||||
(Cost $312,790,430) | $ | 375,257,626 | ||||||||
OTHER ASSETS IN EXCESS OF LIABILITIES – 0.2% | 749,464 | |||||||||
NET ASSETS – 100.0% | $ | 376,007,090 | ||||||||
* | Non-income producing security. | |
(a) | Variable rate security. Interest rate disclosed is that which is in effect at June 30, 2011. |
Investment Abbreviation: | ||||
ADR | — | American Depositary Receipt | ||
Assets: | ||||
Investments in securities, at value (identified cost $312,790,430) | $ | 375,257,626 | ||
Receivables: | ||||
Investment securities sold | 990,441 | |||
Dividends | 350,047 | |||
Fund shares sold | 89,234 | |||
Other assets | 2,156 | |||
Total assets | 376,689,504 | |||
Liabilities: | ||||
Payables: | ||||
Amounts owed to affiliates | 282,430 | |||
Fund shares redeemed | 276,538 | |||
Accrued expenses | 123,446 | |||
Total liabilities | 682,414 | |||
Net Assets: | ||||
Paid-in capital | 381,583,759 | |||
Accumulated undistributed net investment income | 692,023 | |||
Accumulated net realized loss from investment transactions | (68,735,888 | ) | ||
Net unrealized gain on investments | 62,467,196 | |||
NET ASSETS | $ | 376,007,090 | ||
Net Assets: | ||||
Institutional | $ | 117,749,345 | ||
Service | 258,257,745 | |||
Total Net Assets | $ | 376,007,090 | ||
Shares of beneficial interest outstanding $0.001 par value (unlimited shares authorized): | ||||
Institutional | 9,465,552 | |||
Service | 20,810,816 | |||
Net asset value, offering and redemption price per share: | ||||
Institutional | $12.44 | |||
Service | 12.41 | |||
Investment income: | ||||
Dividends | $ | 2,375,110 | ||
Expenses: | ||||
Management fees | 1,368,630 | |||
Distribution and Service fees — Service Class | 308,463 | |||
Printing and mailing costs | 55,008 | |||
Professional fees | 39,729 | |||
Transfer Agent fees(a) | 36,494 | |||
Custody and accounting fees | 22,043 | |||
Trustee fees | 7,886 | |||
Registration fees | 615 | |||
Other | 9,439 | |||
Total expenses | 1,848,307 | |||
Less — expense reductions | (411 | ) | ||
Net expenses | 1,847,896 | |||
NET INVESTMENT INCOME | 527,214 | |||
Realized and unrealized gain from investment transactions: | ||||
Net realized gain from: | ||||
Investment transactions (including commissions recaptured of $10,105) | 3,820,648 | |||
Net change in unrealized gain on: | ||||
Investments | 8,140,124 | |||
Net realized and unrealized gain from investment transactions | 11,960,772 | |||
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS | $ | 12,487,986 | ||
(a) | Institutional and Service Shares had Transfer Agent fees of $11,819 and $24,675, respectively. |
For the | ||||||||
Six Months Ended | For the | |||||||
June 30, 2011 | Fiscal Year Ended | |||||||
(Unaudited) | December 31, 2010 | |||||||
From operations: | ||||||||
Net investment income | $ | 527,214 | $ | 1,088,321 | ||||
Net realized gain from investment transactions | 3,820,648 | 21,832,558 | ||||||
Net change in unrealized gain on investments | 8,140,124 | 11,387,154 | ||||||
Net increase in net assets resulting from operations | 12,487,986 | 34,308,033 | ||||||
Distributions to shareholders: | ||||||||
From net investment income | ||||||||
Institutional Shares | — | (490,173 | ) | |||||
Service Shares | — | (435,824 | ) | |||||
Total distributions to shareholders | — | (925,997 | ) | |||||
From share transactions: | ||||||||
Proceeds from sales of shares | 30,450,840 | 37,422,641 | ||||||
Reinvestment of distributions | — | 925,997 | ||||||
Cost of shares redeemed | (25,311,949 | ) | (58,517,681 | ) | ||||
Net increase (decrease) in net assets resulting from share transactions | 5,138,891 | (20,169,043 | ) | |||||
TOTAL INCREASE | 17,626,877 | 13,212,993 | ||||||
Net assets: | ||||||||
Beginning of period | 358,380,213 | 345,167,220 | ||||||
End of period | $ | 376,007,090 | $ | 358,380,213 | ||||
Accumulated undistributed net investment income | $ | 692,023 | $ | 164,809 | ||||
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 | income (loss) | Portfolio | ||||||||||||||||||||||||||||||||||||||||
beginning | investment | unrealized | investment | investment | end of | Total | period | to average | to average | to average | turnover | |||||||||||||||||||||||||||||||||||||||
Year - Share Class | of period | income (loss)(a) | gain (loss) | operations | income | period | return(b) | (in 000s) | net assets | net assets | net assets | rate | ||||||||||||||||||||||||||||||||||||||
FOR THE SIX MONTHS ENDED JUNE 30, (UNAUDITED) | ||||||||||||||||||||||||||||||||||||||||||||||||||
2011 - Institutional | $ | 12.01 | $ | 0.03 | $ | 0.40 | $ | 0.43 | $ | — | $ | 12.44 | 3.58 | % | $ | 117,749 | 0.84 | %(c) | 0.84 | %(c) | 0.45 | %(c) | 15 | % | ||||||||||||||||||||||||||
2011 - Service | 12.00 | 0.01 | 0.40 | 0.41 | — | 12.41 | 3.42 | 258,258 | 1.09 | (c) | 1.09 | (c) | 0.21 | (c) | 15 | |||||||||||||||||||||||||||||||||||
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 | )(d) | 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 | )(d) | 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 | (e) | 1.15 | 1.17 | (0.02 | ) | 12.73 | 10.13 | 172,418 | 0.86 | (f) | 0.86 | (f) | 0.18 | (e)(f) | 53 | |||||||||||||||||||||||||||||||||
2007 - Service | 11.58 | 0.01 | (e) | 1.15 | 1.16 | (0.01 | ) | 12.73 | 10.01 | 343,100 | 0.96 | (f) | 1.11 | (f) | 0.08 | (e)(f) | 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 | — | (g) | 0.55 | 0.55 | — | (g) | 11.58 | 5.01 | 386,526 | 0.94 | (c) | 1.10 | (c) | 0.03 | (c) | 70 | |||||||||||||||||||||||||||||||||
(a) | Calculated based on the average shares outstanding methodology. | |
(b) | Assumes investment at the net asset value at the beginning of the period, reinvestment of all distributions and a complete redemption of the investment at the net asset value at the end of the period. Total returns for periods less than one full year are not annualized. | |
(c) | Annualized. | |
(d) | Includes a return of capital amounting to less than $0.005 per share. | |
(e) | Reflects income recognized from non-recurring special dividends which amounted to $0.01 per share and 0.09% 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) | Amount is less than $0.005 per share. |
1. ORGANIZATION |
2. SIGNIFICANT ACCOUNTING POLICIES |
2. SIGNIFICANT ACCOUNTING POLICIES (continued) |
3. FAIR VALUE OF INVESTMENTS |
3. FAIR VALUE OF INVESTMENTS (continued) |
Investment Type | Level 1 | Level 2 | Level 3 | |||||||||
Assets | ||||||||||||
Common Stock and/or Other Equity Investments | $ | 365,202,213 | $ | — | $ | — | ||||||
Short-term Investment | 10,055,413 | — | — | |||||||||
Total | $ | 375,257,626 | $ | — | $ | — | ||||||
4. AGREEMENTS AND AFFILIATED TRANSACTIONS |
Contractual Management Rate | ||||||||||||||||||||||||
First | Next | Next | Next | Over | Effective | Effective Net | ||||||||||||||||||
$1 billion | $1 billion | $3 billion | $3 billion | $8 billion | Rate | Management Rate | ||||||||||||||||||
0.75% | 0.68 | % | 0.65 | % | 0.64 | % | 0.63 | % | 0.75 | % | 0.75 | %* | ||||||||||||
* | Effective June 30, 2011, GSAM agreed to waive a portion of its management fee in order to achieve an effective net management rate of 0.71% through at least April 29, 2012. Prior to such date GSAM may not terminate the arrangement without the approval of the trustees. For the six months ended June 30, 2011, GSAM waived approximately $400 of the Fund’s management fee. |
4. AGREEMENTS AND AFFILIATED TRANSACTIONS (continued) |
5. PORTFOLIO SECURITIES TRANSACTIONS |
6. TAX INFORMATION |
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 | ) | |
(1) | Expiration occurs on December 31 of the year indicated. |
Tax cost | $ | 317,191,787 | ||
Gross unrealized gain | 70,360,526 | |||
Gross unrealized loss | (12,294,687 | ) | ||
Net unrealized security gain | $ | 58,065,839 | ||
7. OTHER RISKS |
8. INDEMNIFICATIONS |
9. SUBSEQUENT EVENTS |
10. SUMMARY OF SHARE TRANSACTIONS |
For the Six Months Ended | ||||||||||||||||
June 30, 2011 | For the Fiscal Year Ended | |||||||||||||||
(Unaudited) | December 31, 2010 | |||||||||||||||
Shares | Dollars | Shares | Dollars | |||||||||||||
Institutional Shares | ||||||||||||||||
Shares sold | 307,680 | $ | 3,785,477 | 589,735 | $ | 6,437,104 | ||||||||||
Reinvestment of distributions | — | — | 40,882 | 490,173 | ||||||||||||
Shares redeemed | (833,910 | ) | (10,226,388 | ) | (2,141,448 | ) | (23,457,107 | ) | ||||||||
(526,230 | ) | (6,440,911 | ) | (1,510,831 | ) | (16,529,830 | ) | |||||||||
Service Shares | ||||||||||||||||
Shares sold | 2,179,173 | 26,665,363 | 2,823,030 | 30,985,537 | ||||||||||||
Reinvestment of distributions | — | — | 36,379 | 435,824 | ||||||||||||
Shares redeemed | (1,233,931 | ) | (15,085,561 | ) | (3,207,332 | ) | (35,060,574 | ) | ||||||||
945,242 | 11,579,802 | (347,923 | ) | (3,639,213 | ) | |||||||||||
NET INCREASE (DECREASE) | 419,012 | $ | 5,138,891 | (1,858,754 | ) | $ | (20,169,043 | ) | ||||||||
(a) | the nature and quality of the advisory, administrative and other services provided to the Fund by the Investment Adviser and its affiliates, including information about: |
(i) | the structure, staff and capabilities of the Investment Adviser and its portfolio management teams; | |
(ii) | the groups within the Investment Adviser and its affiliates that support the portfolio management teams or provide other types of necessary services, including fund services groups (e.g., accounting and financial reporting, tax, shareholder services and operations), controls and risk management groups (e.g., legal, compliance, valuation oversight, credit risk management, internal audit, market risk analysis, finance and strategy and central funding), sales and distribution support groups and others (e.g., information technology and training); | |
(iii) | trends in headcount; | |
(iv) | the Investment Adviser’s financial resources and ability to hire and retain talented personnel and strengthen its operations; and |
(v) | the parent company’s support of the Investment Adviser and its mutual fund business, as expressed by the firm’s senior management; |
(b) | information on the investment performance of the Fund, including comparisons to the performance of similar mutual funds, as provided by a third party mutual fund data provider engaged as part of the contract review process (the “Outside Data Provider”), its benchmark performance index, a comparable institutional composite managed by the Investment Adviser, and general investment outlooks in the markets in which the Fund invests; | |
(c) | the terms of the Management Agreement and agreements with affiliated service providers entered into by the Trust on behalf of the Fund; | |
(d) | expense information for the Fund, including: |
(i) | the relative management fee and expense level of the Fund as compared to those of comparable funds managed by other advisers, as provided by the Outside Data Provider; | |
(ii) | the Fund’s expense trends over time; and | |
(iii) | to the extent the Investment Adviser manages institutional accounts or collective investment vehicles having investment objectives and policies similar to those of the Fund, comparative information on the advisory fees charged and services provided to those accounts by the Investment Adviser; |
(e) | with respect to the extensive investment performance and expense comparison data provided by the Outside Data Provider, its processes in producing that data for the Fund; | |
(f) | the undertakings of the Investment Adviser to waive certain fees and reimburse certain expenses of the Fund that exceed a specified level, and a summary of contractual fee reductions made by the Investment Adviser and its affiliates over the past several years with respect to the Fund; | |
(g) | information relating to the profitability of the Management Agreement and the transfer agency and distribution and service arrangements of the Fund and the Trust as a whole to the Investment Adviser and its affiliates; | |
(h) | whether the Fund’s existing management fee schedule adequately addressed any economies of scale; | |
(i) | a summary of the “fall-out” benefits derived by the Investment Adviser and its affiliates from their relationships with the Fund, including the fees received by the Investment Adviser’s affiliates from the Fund for transfer agency, portfolio brokerage, distribution and other services; | |
(j) | a summary of potential benefits derived by the Fund as a result of its relationship with the Investment Adviser; |
(k) | information regarding commissions paid by the Fund, an update on the Investment Adviser’s soft dollars practices, other information regarding portfolio trading and how the Investment Adviser carries out its duty to seek best execution; | |
(l) | the manner in which portfolio manager compensation is determined, and the number and types of accounts managed by the portfolio managers; | |
(m) | the nature and quality of the services provided to the Fund by its unaffiliated service providers, and the Investment Adviser’s general oversight and evaluation (including reports on due diligence) of those service providers as part of the administration services provided under the Management Agreement; and | |
(n) | the Investment Adviser’s processes and policies addressing various types of potential conflicts of interest; its approach to risk management; the annual review of the effectiveness of the Fund’s compliance program; and compliance reports. |
First $1 billion | 0.75 | % | ||
Next $1 billion | 0.68 | |||
Next $3 billion | 0.65 | |||
Next $3 billion | 0.64 | |||
Over $8 billion | 0.63 |
Expenses Paid | |||||||||||||||
for the | |||||||||||||||
Beginning | Ending | 6 Months | |||||||||||||
Account Value | Account Value | Ended | |||||||||||||
Share Class | 1/01/11 | 6/30/11 | 6/30/11* | ||||||||||||
Institutional | |||||||||||||||
Actual | $ | 1,000 | $ | 1,035.80 | $ | 4.24 | |||||||||
Hypothetical 5% return | 1,000 | 1,020.63 | + | 4.21 | |||||||||||
Service | |||||||||||||||
Actual | 1,000 | 1,034.20 | 5.50 | ||||||||||||
Hypothetical 5% return | 1,000 | 1,019.39 | + | 5.46 | |||||||||||
* | 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 June 30, 2011. 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 0.84% and 1.09% for Institutional and Service Shares, respectively. | |
+ | Hypothetical expenses are based on the Fund’s actual annualized net expense ratios and an assumed rate of return of 5% per year before expenses. |
TRUSTEES | OFFICERS | |
Ashok N. Bakhru, Chairman Donald C. Burke John P. Coblentz, Jr. Diana M. Daniels Joseph P. LoRusso James A. McNamara Jessica Palmer Alan A. Shuch Richard P. Strubel | James A. McNamara, President George F. Travers, Principal Financial Officer Peter V. Bonanno, Secretary Scott M. McHugh, Treasurer | |
GOLDMAN, SACHS & CO. Distributor and Transfer Agent | ||
GOLDMAN SACHS ASSET MANAGEMENT, L.P. Investment Adviser 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. | ||
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. | ||
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. | ||
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. | ||
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. | ||
The portfolio risk management process includes an effort to monitor and manage risk, but does not imply low risk. | ||
Shares of the Goldman Sachs VIT 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 Fund are not offered directly to the general public. The variable annuity contracts and variable life insurance policies are described in the separate prospectuses issued by participating insurance companies. You should refer to those prospectuses for information about surrender charges, mortality and expense risk fees and other charges that may be assessed by participating insurance companies under the variable annuity contracts or variable life insurance policies. Such fees or charges, if any, may affect the return you may realize with respect to your investments. Ask your representative for more complete information. Please consider a fund’s objectives, risks and charges and expenses, and read the prospectus carefully before investing. The prospectus contains this and other information about the Fund. | ||
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. | ||
VITSGRWSAR11/57663.MF.MED.TMPL/8/2011 |
* | The Russell Midcap Value Index is an unmanaged index of common stock prices that measures the performance of those Russell Midcap companies with lower price-to-book ratios and lower forecasted growth values. The Index figures do not include any deduction for fees, expenses or taxes. It is not possible to invest directly in an unmanaged index. |
STANDARDIZED AVERAGE ANNUAL TOTAL RETURNS1 |
For the period ended 6/30/11 | One Year | Five Years | Ten Years | Since Inception | Inception Date | |||||||||||||||
Institutional | 36.97 | % | 4.94 | % | 9.19 | % | 8.45 | % | 5/01/98 | |||||||||||
Service | 36.68 | 4.72 | N/A | 4.65 | 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”). | |
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 | 0.84 | % | 0.87 | % | ||||||
Service | 1.09 | 1.12 | ||||||||
2 | The expense ratios of the Fund, both current (net of any fee waivers or expense limitations) and before waivers (gross of any fee waivers or expense limitations) are as set forth above. The Fund’s waivers and/or expense limitations will remain in place through at least April 29, 2012, and prior to such date the investment adviser may not terminate the arrangements without the approval of the Fund’s Board of Trustees. The expense ratios set forth above may differ from the expense ratios disclosed in the Financial Highlights in this report. |
TOP TEN HOLDINGS AS OF 6/30/113 |
Holding | % of Net Assets | Line of Business | ||||||
The J.M. Smucker Co. | 1.9 | % | Food, Beverage & Tobacco | |||||
Principal Financial Group, Inc. | 1.9 | Insurance | ||||||
PPL Corp. | 1.9 | Utilities | ||||||
Lear Corp. | 1.8 | Automobiles & Components | ||||||
Xcel Energy, Inc. | 1.8 | Utilities | ||||||
Sprint Nextel Corp. | 1.7 | Telecommunication Services | ||||||
Scripps Networks Interactive, Inc. Class A | 1.7 | Media | ||||||
SLM Corp. | 1.6 | Diversified Financials | ||||||
DISH Network Corp. Class A | 1.6 | Media | ||||||
Liberty Media Corp. – Interactive Class A | 1.5 | Retailing | ||||||
3 | The top 10 holdings may not be representative of the Fund’s future investments. |
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 investment represent investments in investment companies other than those that are exchange traded. The above graph depicts the Fund’s investments but may not represent the Fund’s market exposure due to the exclusion of derivatives, if any, as listed in the Additional Investment Information section of the Schedule of Investments. |
Shares | Description | Value | ||||||
Common Stocks – 98.9% | ||||||||
Automobiles & Components – 3.0% | ||||||||
316,491 | Lear Corp. | $ | 16,925,939 | |||||
181,089 | TRW Automotive Holdings Corp.* | 10,689,683 | ||||||
27,615,622 | ||||||||
Banks – 5.8% | ||||||||
205,640 | CIT Group, Inc.* | 9,101,626 | ||||||
958,036 | Fifth Third Bancorp | 12,214,959 | ||||||
70,289 | First Republic Bank* | 2,268,929 | ||||||
86,886 | M&T Bank Corp. | 7,641,624 | ||||||
507,266 | SunTrust Banks, Inc. | 13,087,463 | ||||||
393,778 | Zions Bancorporation | 9,454,610 | ||||||
53,769,211 | ||||||||
Capital Goods – 7.6% | ||||||||
186,816 | BE Aerospace, Inc.* | 7,623,961 | ||||||
109,422 | Cooper Industries PLC | 6,529,211 | ||||||
86,769 | Eaton Corp. | 4,464,265 | ||||||
217,366 | GrafTech International Ltd.* | 4,406,009 | ||||||
769,591 | Masco Corp. | 9,258,179 | ||||||
105,812 | Parker Hannifin Corp. | 9,495,569 | ||||||
300,951 | Pentair, Inc. | 12,146,382 | ||||||
359,694 | Spirit Aerosystems Holdings, Inc. Class A* | 7,913,268 | ||||||
361,603 | Textron, Inc. | 8,537,447 | ||||||
70,374,291 | ||||||||
Commercial & Professional Services – 0.7% | ||||||||
219,488 | Republic Services, Inc. | 6,771,205 | ||||||
Consumer Durables & Apparel – 3.1% | ||||||||
206,732 | Hasbro, Inc. | 9,081,737 | ||||||
75,705 | Mohawk Industries, Inc.* | 4,541,543 | ||||||
564,702 | Newell Rubbermaid, Inc. | 8,910,997 | ||||||
8,793 | NVR, Inc.* | 6,379,146 | ||||||
28,913,423 | ||||||||
Consumer Services – 1.9% | ||||||||
249,137 | Royal Caribbean Cruises Ltd.* | 9,377,517 | ||||||
240,761 | Wyndham Worldwide Corp. | 8,101,607 | ||||||
17,479,124 | ||||||||
Diversified Financials – 5.5% | ||||||||
386,846 | Invesco Ltd. | 9,052,196 | ||||||
495,616 | Janus Capital Group, Inc. | 4,678,615 | ||||||
121,943 | Lazard Ltd. Class A | 4,524,085 | ||||||
314,814 | Legg Mason, Inc. | 10,313,307 | ||||||
896,499 | SLM Corp. | 15,070,148 | ||||||
297,486 | The NASDAQ OMX Group, Inc.* | 7,526,396 | ||||||
51,164,747 | ||||||||
Energy – 7.1% | ||||||||
164,834 | Cabot Oil & Gas Corp. | 10,930,143 | ||||||
137,666 | Cameron International Corp.* | 6,923,223 | ||||||
86,478 | Consol Energy, Inc. | 4,192,453 | ||||||
35,909 | Energen Corp. | 2,028,859 | ||||||
263,769 | Frontier Oil Corp. | 8,522,376 | ||||||
110,121 | Helmerich & Payne, Inc. | 7,281,201 | ||||||
196,161 | Newfield Exploration Co.* | 13,342,871 | ||||||
89,530 | Oil States International, Inc.* | 7,154,342 | ||||||
52,824 | Pioneer Natural Resources Co. | 4,731,446 | ||||||
65,106,914 | ||||||||
Food, Beverage & Tobacco – 4.2% | ||||||||
241,743 | Coca-Cola Enterprises, Inc. | 7,054,061 | ||||||
366,224 | ConAgra Foods, Inc. | 9,452,241 | ||||||
76,403 | H.J. Heinz Co. | 4,070,752 | ||||||
233,136 | The J.M. Smucker Co. | 17,820,916 | ||||||
38,397,970 | ||||||||
Health Care Equipment & Services – 5.2% | ||||||||
238,623 | Aetna, Inc. | 10,520,888 | ||||||
1,907,543 | Boston Scientific Corp.* | 13,181,122 | ||||||
383,564 | Hologic, Inc.* | 7,736,486 | ||||||
199,744 | Kinetic Concepts, Inc.* | 11,511,247 | ||||||
139,238 | Patterson Companies, Inc. | 4,579,538 | ||||||
47,529,281 | ||||||||
Household & Personal Products – 1.0% | ||||||||
133,066 | Energizer Holdings, Inc.* | 9,628,656 | ||||||
Insurance – 10.6% | ||||||||
168,530 | Everest Re Group Ltd. | 13,777,327 | ||||||
710,152 | Genworth Financial, Inc. Class A* | 7,300,363 | ||||||
374,553 | Hartford Financial Services Group, Inc. | 9,876,963 | ||||||
234,060 | Lincoln National Corp. | 6,668,369 | ||||||
186,641 | Marsh & McLennan Companies, Inc. | 5,821,333 | ||||||
87,706 | PartnerRe Ltd. | 6,038,558 | ||||||
574,175 | Principal Financial Group, Inc. | 17,466,403 | ||||||
350,224 | Unum Group | 8,923,707 | ||||||
361,545 | W.R. Berkley Corp. | 11,728,520 | ||||||
479,211 | XL Group PLC | 10,533,058 | ||||||
98,134,601 | ||||||||
Materials – 4.0% | ||||||||
47,418 | Albemarle Corp. | 3,281,326 | ||||||
479,388 | Chemtura Corp.* | 8,724,861 | ||||||
122,991 | Cytec Industries, Inc. | 7,033,855 | ||||||
432,129 | Huntsman Corp. | 8,145,632 | ||||||
316,663 | Stillwater Mining Co.* | 6,969,753 | ||||||
244,746 | Thompson Creek Metals Co., Inc.* | 2,442,565 | ||||||
36,597,992 | ||||||||
Media – 4.5% | ||||||||
484,930 | DISH Network Corp. Class A* | 14,872,803 | ||||||
255,895 | Liberty Global, Inc. Class A* | 11,525,511 | ||||||
317,243 | Scripps Networks Interactive, Inc. Class A | 15,506,838 | ||||||
41,905,152 | ||||||||
Pharmaceuticals, Biotechnology & Life Sciences – 1.3% | ||||||||
479,084 | Warner Chilcott PLC Class A | 11,560,297 | ||||||
Real Estate Investment Trust – 7.0% | ||||||||
59,341 | Alexandria Real Estate Equities, Inc. | 4,594,180 | ||||||
59,050 | AvalonBay Communities, Inc. | 7,582,020 | ||||||
96,028 | Camden Property Trust | 6,109,301 |
Shares | Description | Value | ||||||
Common Stocks – (continued) | ||||||||
Real Estate Investment Trust – (continued) | ||||||||
133,415 | Douglas Emmett, Inc. | $ | 2,653,624 | |||||
23,294 | Essex Property Trust, Inc. | 3,151,445 | ||||||
506,880 | Host Hotels & Resorts, Inc. | 8,591,616 | ||||||
481,695 | Kimco Realty Corp. | 8,978,795 | ||||||
961,194 | MFA Financial, Inc. | 7,728,000 | ||||||
247,230 | Tanger Factory Outlet Centers, Inc. | 6,618,347 | ||||||
161,833 | Ventas, Inc. | 8,530,218 | ||||||
64,537,546 | ||||||||
Retailing – 2.1% | ||||||||
124,283 | Guess?, Inc. | 5,227,343 | ||||||
844,684 | Liberty Media Corp. — Interactive Class A* | 14,165,351 | ||||||
19,392,694 | ||||||||
Semiconductors & Semiconductor Equipment – 2.3% | ||||||||
172,665 | Maxim Integrated Products, Inc. | 4,413,317 | ||||||
657,066 | ON Semiconductor Corp.* | 6,879,481 | ||||||
275,708 | Xilinx, Inc. | 10,055,071 | ||||||
21,347,869 | ||||||||
Software & Services – 3.4% | ||||||||
113,382 | BMC Software, Inc.* | 6,201,995 | ||||||
99,581 | Check Point Software Technologies Ltd.* | 5,661,180 | ||||||
227,359 | Electronic Arts, Inc.* | 5,365,672 | ||||||
350,103 | Parametric Technology Corp.* | 8,027,862 | ||||||
257,628 | Quest Software, Inc.* | 5,855,885 | ||||||
31,112,594 | ||||||||
Technology Hardware & Equipment – 2.0% | ||||||||
117,018 | Amphenol Corp. Class A | 6,317,802 | ||||||
1,003,736 | Brocade Communications Systems, Inc.* | 6,484,134 | ||||||
84,556 | Polycom, Inc.* | 5,436,951 | ||||||
18,238,887 | ||||||||
Telecommunication Services – 3.3% | ||||||||
286,568 | CenturyLink, Inc. | 11,585,944 | ||||||
695,191 | Clearwire Corp. Class A* | 2,627,822 | ||||||
2,943,485 | Sprint Nextel Corp.* | 15,865,384 | ||||||
30,079,150 | ||||||||
Transportation – 2.0% | ||||||||
1,055,639 | JetBlue Airways Corp.* | 6,439,398 | ||||||
116,410 | Kansas City Southern* | 6,906,605 | ||||||
84,766 | Ryder System, Inc. | 4,818,947 | ||||||
18,164,950 | ||||||||
Utilities – 11.3% | ||||||||
419,103 | CMS Energy Corp. | 8,252,138 | ||||||
155,085 | Edison International | 6,009,544 | ||||||
132,876 | Great Plains Energy, Inc. | 2,754,520 | ||||||
236,441 | Northeast Utilities | 8,315,630 | ||||||
476,380 | NV Energy, Inc. | 7,312,433 | ||||||
152,938 | Pinnacle West Capital Corp. | 6,817,976 | ||||||
615,222 | PPL Corp. | 17,121,628 | ||||||
144,656 | Questar Corp. | 2,561,858 | ||||||
247,801 | SCANA Corp. | 9,755,925 | ||||||
205,121 | Sempra Energy | 10,846,799 | ||||||
254,365 | The AES Corp.* | 3,240,610 | ||||||
167,074 | Westar Energy, Inc. | 4,495,961 | ||||||
673,844 | Xcel Energy, Inc. | 16,374,409 | ||||||
103,859,431 | ||||||||
TOTAL COMMON STOCKS | ||||||||
(Cost $787,044,266) | $ | 911,681,607 | ||||||
Shares | Rate | Value | ||||||||
Short-term Investment(a) – 1.2% | ||||||||||
JPMorgan U.S. Government Money Market Fund — Capital Shares | ||||||||||
11,384,811 | 0.010 | % | $ | 11,384,811 | ||||||
(Cost $11,384,811) | ||||||||||
TOTAL INVESTMENTS – 100.1% | ||||||||||
(Cost $798,429,077) | $ | 923,066,418 | ||||||||
LIABILITIES IN EXCESS OF OTHER ASSETS – (0.1)% | (993,003 | ) | ||||||||
NET ASSETS – 100.0% | $ | 922,073,415 | ||||||||
* | Non-income producing security. | |
(a) | Variable rate security. Interest rate disclosed is that which is in effect at June 30, 2011. |
Assets: | ||||
Investments in securities, at value (identified cost $798,429,077) | $ | 923,066,418 | ||
Receivables: | ||||
Investment securities sold | 1,708,219 | |||
Fund shares sold | 1,506,827 | |||
Dividends | 1,204,078 | |||
Other assets | 5,014 | |||
Total assets | 927,490,556 | |||
Liabilities: | ||||
Payables: | ||||
Investment securities purchased | 3,771,474 | |||
Fund shares redeemed | 863,498 | |||
Amounts owed to affiliates | 639,725 | |||
Accrued expenses | 142,444 | |||
Total liabilities | 5,417,141 | |||
Net Assets: | ||||
Paid-in capital | 929,242,118 | |||
Accumulated undistributed net investment income | 5,366,968 | |||
Accumulated net realized loss from investment transactions | (137,173,012 | ) | ||
Net unrealized gain on investments | 124,637,341 | |||
NET ASSETS | $ | 922,073,415 | ||
Net Assets: | ||||
Institutional | $ | 756,859,222 | ||
Service | 165,214,193 | |||
Total Net Assets | $ | 922,073,415 | ||
Shares of beneficial interest outstanding $0.001 par value (unlimited shares authorized): | ||||
Institutional | 50,587,835 | |||
Service | 11,040,355 | |||
Net asset value, offering and redemption price per share: | ||||
Institutional | $14.96 | |||
Service | 14.96 | |||
Investment income: | ||||
Dividends | $ | 6,802,281 | ||
Expenses: | ||||
Management fees | 3,711,596 | |||
Distribution and Service fees — Service Class | 195,458 | |||
Transfer Agent fees(a) | 92,782 | |||
Printing and mailing costs | 54,120 | |||
Professional fees | 45,522 | |||
Custody and accounting fees | 39,748 | |||
Trustee fees | 8,745 | |||
Other | 17,250 | |||
Total expenses | 4,165,221 | |||
Less — expense reductions | (754 | ) | ||
Net expenses | 4,164,467 | |||
NET INVESTMENT INCOME | 2,637,814 | |||
Realized and unrealized gain (loss) from investment transactions: | ||||
Net realized gain from: | ||||
Investment transactions (including commissions recaptured of $153,122) | 91,298,590 | |||
Net change in unrealized loss on: | ||||
Investments | (38,936,021 | ) | ||
Net realized and unrealized gain from investment transactions | 52,362,569 | |||
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS | $ | 55,000,383 | ||
(a) | Institutional and Service Shares had Transfer Agent fees of $77,147 and $15,635, respectively. |
For the | For the | |||||||
Six Months Ended | Fiscal Year Ended | |||||||
June 30, 2011 (Unaudited) | December 31, 2010 | |||||||
From operations: | ||||||||
Net investment income | $ | 2,637,814 | $ | 5,547,217 | ||||
Net realized gain from investment transactions | 91,298,590 | 140,485,737 | ||||||
Net change in unrealized gain (loss) on investments | (38,936,021 | ) | 51,064,556 | |||||
Net increase in net assets resulting from operations | 55,000,383 | 197,097,510 | ||||||
Distributions to shareholders: | ||||||||
From net investment income | ||||||||
Institutional Shares | — | (4,764,554 | ) | |||||
Service Shares | — | (592,691 | ) | |||||
Total distributions to shareholders | — | (5,357,245 | ) | |||||
From share transactions: | ||||||||
Proceeds from sales of shares | 47,156,873 | 52,232,265 | ||||||
Reinvestment of distributions | — | 5,357,245 | ||||||
Cost of shares redeemed | (96,268,019 | ) | (289,923,397 | ) | ||||
Net decrease in net assets resulting from share transactions | (49,111,146 | ) | (232,333,887 | ) | ||||
TOTAL INCREASE (DECREASE) | 5,889,237 | (40,593,622 | ) | |||||
Net assets: | ||||||||
Beginning of period | 916,184,178 | 956,777,800 | ||||||
End of period | $ | 922,073,415 | $ | 916,184,178 | ||||
Accumulated undistributed net investment income | $ | 5,366,968 | $ | 2,729,154 | ||||
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 | period | to average | to average | to average | turnover | |||||||||||||||||||||||||||||||||||||||||||||
Year - Share Class | of period | income(a) | gain (loss) | operations | income | gains | distributions | period | return(b) | (in 000s) | net assets | net assets | net assets | rate | ||||||||||||||||||||||||||||||||||||||||||||
FOR THE SIX MONTHS ENDED JUNE 30, (UNAUDITED) | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
2011 - Institutional | $ | 14.10 | $ | 0.04 | $ | 0.82 | $ | 0.86 | $ | — | $ | — | $ | — | $ | 14.96 | 6.10 | % | $ | 756,859 | 0.86 | %(c) | 0.86 | %(c) | 0.61 | %(c) | 38 | % | ||||||||||||||||||||||||||||||
2011 - Service | 14.12 | 0.03 | 0.81 | 0.84 | — | — | — | 14.96 | 5.95 | 165,214 | 1.11 | (c) | 1.11 | (c) | 0.37 | (c) | 38 | |||||||||||||||||||||||||||||||||||||||||
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 | (d) | 2.73 | 2.87 | (0.18 | ) | — | (0.18 | ) | 11.35 | 33.15 | 834,376 | 0.86 | 0.86 | 1.46 | (d) | 111 | ||||||||||||||||||||||||||||||||||||||||
2009 - Service | 8.68 | 0.12 | (d) | 2.73 | 2.85 | (0.16 | ) | — | (0.16 | ) | 11.37 | 32.78 | 122,402 | 1.11 | 1.11 | 1.21 | (d) | 111 | ||||||||||||||||||||||||||||||||||||||||
2008 - Institutional | 14.02 | 0.14 | (e) | (5.34 | ) | (5.20 | ) | (0.14 | ) | (0.02 | ) | (0.16 | ) | 8.66 | (36.97 | ) | 748,682 | 0.84 | 0.84 | 1.16 | (e) | 93 | ||||||||||||||||||||||||||||||||||||
2008 - Service | 14.03 | 0.11 | (e) | (5.34 | ) | (5.23 | ) | (0.10 | ) | (0.02 | ) | (0.12 | ) | 8.68 | (37.13 | ) | 111,437 | 1.09 | 1.09 | 0.91 | (e) | 93 | ||||||||||||||||||||||||||||||||||||
2007 - Institutional | 16.09 | 0.14 | (f) | 0.39 | 0.53 | (0.13 | ) | (2.47 | ) | (2.60 | ) | 14.02 | 3.20 | 1,559,013 | 0.87 | (g) | 0.87 | (g) | 0.85 | (f)(g) | 84 | |||||||||||||||||||||||||||||||||||||
2007 - Service | 16.09 | 0.12 | (f) | 0.40 | 0.52 | (0.11 | ) | (2.47 | ) | (2.58 | ) | 14.03 | 3.16 | 225,190 | 0.97 | (g) | 1.12 | (g) | 0.75 | (f)(g) | 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 | (c) | 1.12 | (c) | 0.72 | (c) | 57 | ||||||||||||||||||||||||||||||||||||||
(a) | Calculated based on the average shares outstanding methodology. | |
(b) | Assumes investment at the net asset value at the beginning of the period, reinvestment of all distributions, and a complete redemption of the investment at the net asset value at the end of the period. Total returns for periods less than one full year are not annualized. | |
(c) | Annualized. | |
(d) | Reflects income recognized from non-recurring special dividends which amounted to $0.03 per share and 0.37% of average net assets. | |
(e) | Reflects income recognized from non-recurring special dividends which amounted to $0.01 per share and 0.11% of average net assets. | |
(f) | Reflects income recognized from non-recurring special dividends which amounted to $0.01 per share and 0.06% of average net assets. | |
(g) | Includes non-recurring expense for a special shareholder proxy meeting which amounted to approximately 0.02% of average net assets. |
1. ORGANIZATION |
2. SIGNIFICANT ACCOUNTING POLICIES |
2. SIGNIFICANT ACCOUNTING POLICIES (continued) |
3. FAIR VALUE OF INVESTMENTS |
3. FAIR VALUE OF INVESTMENTS (continued) |
Investment Type | Level 1 | Level 2 | Level 3 | |||||||||
Assets | ||||||||||||
Common Stock and/or Other Equity Investments | $ | 911,681,607 | $ | — | $ | — | ||||||
Short-term Investment | 11,384,811 | — | — | |||||||||
Total | $ | 923,066,418 | $ | — | $ | — | ||||||
4. AGREEMENTS AND AFFILIATED TRANSACTIONS |
Contractual Management Rate | ||||||||||||||||||||
First | Next | Next | Over | Effective | Effective Net | |||||||||||||||
$2 billion | $3 billion | $3 billion | $8 billion | Rate | Management Rate | |||||||||||||||
0.80% | 0.72 | % | 0.68 | % | 0.67 | % | 0.80 | % | 0.80 | %* | ||||||||||
* | Effective June 30, 2011, GSAM agreed to waive a portion of its management fee in order to achieve an effective net management rate of 0.77% through at least April 29, 2012. Prior to such date GSAM may not terminate the arrangement without the approval of the trustees. For the six months ended June 30, 2011, GSAM waived approximately $800 of the Fund’s management fee. |
4. AGREEMENTS AND AFFILIATED TRANSACTIONS (continued) |
5. PORTFOLIO SECURITIES TRANSACTIONS |
6. TAX INFORMATION |
Capital loss carryforward:(1) | ||||
Expiring 2016 | $ | (23,257,351 | ) | |
Expiring 2017 | (198,932,335 | ) | ||
Total capital loss carryforward | $ | (222,189,686 | ) | |
(1) | Expiration occurs on December 31 of the year indicated. |
Tax cost | $ | 804,675,131 | ||
Gross unrealized gain | 139,589,526 | |||
Gross unrealized loss | (21,198,239 | ) | ||
Net unrealized security gain | $ | 118,391,287 | ||
6. TAX INFORMATION (continued) |
7. OTHER RISKS |
8. INDEMNIFICATIONS |
9. SUBSEQUENT EVENTS |
10. SUMMARY OF SHARE TRANSACTIONS |
For the Six Months Ended | ||||||||||||||||
June 30, 2011 | For the Fiscal Year Ended | |||||||||||||||
(Unaudited) | December 31, 2010 | |||||||||||||||
Shares | Dollars | Shares | Dollars | |||||||||||||
Institutional Shares | ||||||||||||||||
Shares sold | 1,620,923 | $ | 23,834,204 | 2,606,517 | $ | 31,970,939 | ||||||||||
Reinvestment of distributions | — | — | 337,912 | 4,764,554 | ||||||||||||
Shares redeemed | (5,611,184 | ) | (82,627,905 | ) | (21,886,065 | ) | (265,055,214 | ) | ||||||||
(3,990,261 | ) | (58,793,701 | ) | (18,941,636 | ) | (228,319,721 | ) | |||||||||
Service Shares | ||||||||||||||||
Shares sold | 1,580,451 | 23,322,669 | 1,609,166 | 20,261,326 | ||||||||||||
Reinvestment of distributions | — | — | 41,975 | 592,691 | ||||||||||||
Shares redeemed | (924,281 | ) | (13,640,114 | ) | (2,031,654 | ) | (24,868,183 | ) | ||||||||
656,170 | 9,682,555 | (380,513 | ) | (4,014,166 | ) | |||||||||||
NET DECREASE | (3,334,091 | ) | $ | (49,111,146 | ) | (19,322,149 | ) | $ | (232,333,887 | ) | ||||||
(a) | the nature and quality of the advisory, administrative and other services provided to the Fund by the Investment Adviser and its affiliates, including information about: |
(i) | the structure, staff and capabilities of the Investment Adviser and its portfolio management teams; | |
(ii) | the groups within the Investment Adviser and its affiliates that support the portfolio management teams or provide other types of necessary services, including fund services groups (e.g., accounting and financial reporting, tax, shareholder services and operations), controls and risk management groups (e.g., legal, compliance, valuation oversight, credit risk management, internal audit, market risk analysis, finance and strategy and central funding), sales and distribution support groups and others (e.g., information technology and training); | |
(iii) | trends in headcount; | |
(iv) | the Investment Adviser’s financial resources and ability to hire and retain talented personnel and strengthen its operations; and | |
(v) | the parent company’s support of the Investment Adviser and its mutual fund business, as expressed by the firm’s senior management; |
(b) | information on the investment performance of the Fund, including comparisons to the performance of similar mutual funds, as provided by a third party mutual fund data provider engaged as part of the contract review process (the “Outside Data Provider”), its benchmark performance index, a comparable institutional composite managed by the Investment Adviser, and general investment outlooks in the markets in which the Fund invests; | |
(c) | the terms of the Management Agreement and agreements with affiliated service providers entered into by the Trust on behalf of the Fund; | |
(d) | expense information for the Fund, including: |
(i) | the relative management fee and expense level of the Fund as compared to those of comparable funds managed by other advisers, as provided by the Outside Data Provider; | |
(ii) | the Fund’s expense trends over time; and | |
(iii) | to the extent the Investment Adviser manages institutional accounts or collective investment vehicles having investment objectives and policies similar to those of the Fund, comparative information on the advisory fees charged and services provided to those accounts by the Investment Adviser; |
(e) | with respect to the extensive investment performance and expense comparison data provided by the Outside Data Provider, its processes in producing that data for the Fund; | |
(f) | the undertakings of the Investment Adviser to waive certain fees and reimburse certain expenses of the Fund that exceed a specified level, and a summary of contractual fee reductions made by the Investment Adviser and its affiliates over the past several years with respect to the Fund; | |
(g) | information relating to the profitability of the Management Agreement and the transfer agency and distribution and service arrangements of the Fund and the Trust as a whole to the Investment Adviser and its affiliates; | |
(h) | whether the Fund’s existing management fee schedule adequately addressed any economies of scale; | |
(i) | a summary of the “fall-out” benefits derived by the Investment Adviser and its affiliates from their relationships with the Fund, including the fees received by the Investment Adviser’s affiliates from the Fund for transfer agency, portfolio brokerage, distribution and other services; | |
(j) | a summary of potential benefits derived by the Fund as a result of its relationship with the Investment Adviser; |
(k) | information regarding commissions paid by the Fund, an update on the Investment Adviser’s soft dollars practices, other information regarding portfolio trading and how the Investment Adviser carries out its duty to seek best execution; | |
(l) | the manner in which portfolio manager compensation is determined, and the number and types of accounts managed by the portfolio managers; | |
(m) | the nature and quality of the services provided to the Fund by its unaffiliated service providers, and the Investment Adviser’s general oversight and evaluation (including reports on due diligence) of those service providers as part of the administration services provided under the Management Agreement; and | |
(n) | the Investment Adviser’s processes and policies addressing various types of potential conflicts of interest; its approach to risk management; the annual review of the effectiveness of the Fund’s compliance program; and compliance reports. |
First $2 billion | 0.80 | % | ||
Next $3 billion | 0.72 | |||
Next $3 billion | 0.68 | |||
Over $8 billion | 0.67 |
Expenses Paid | |||||||||||||||
for the | |||||||||||||||
Beginning | Ending | 6 Months | |||||||||||||
Account Value | Account Value | Ended | |||||||||||||
Share Class | 1/01/11 | 6/30/11 | 6/30/11* | ||||||||||||
Institutional | |||||||||||||||
Actual | $ | 1,000 | $ | 1,061.00 | $ | 4.39 | |||||||||
Hypothetical 5% return | 1,000 | 1,020.53 | + | 4.31 | |||||||||||
Service | |||||||||||||||
Actual | 1,000 | 1,059.50 | 5.67 | ||||||||||||
Hypothetical 5% return | 1,000 | 1,019.29 | + | 5.56 | |||||||||||
* | Expenses for each share class are calculated using the Fund’s annualized net expense ratio for each class, which represents the ongoing expenses as a percentage of net assets for the six months ended June 30, 2011. Expenses are calculated by multiplying the annualized net expense ratio by the average account value for the period; then multiplying the result by the number of days in the most recent fiscal half year; and then dividing that result by the number of days in the fiscal year. The annualized net expense ratios for the period were 0.86% and 1.11% for Institutional and Service Shares, respectively. | |
+ | Hypothetical expenses are based on the Fund’s actual annualized net expense ratios and an assumed rate of return of 5% per year before expenses. |
TRUSTEES Ashok N. Bakhru, Chairman Donald C. Burke John P. Coblentz, Jr. Diana M. Daniels Joseph P. LoRusso James A. McNamara Jessica Palmer Alan A. Shuch Richard P. Strubel | OFFICERS James A. McNamara, President George F. Travers, Principal Financial Officer Peter V. Bonanno, Secretary Scott M. McHugh, Treasurer | |
GOLDMAN, SACHS & CO. Distributor and Transfer Agent | ||
GOLDMAN SACHS ASSET MANAGEMENT, L.P. Investment Adviser 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. | ||
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. | ||
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. | ||
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. | ||
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. | ||
The portfolio risk management process includes an effort to monitor and manage risk, but does not imply low risk. | ||
Shares of the Goldman Sachs VIT 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 Fund are not offered directly to the general public. The variable annuity contracts and variable life insurance policies are described in the separate prospectuses issued by participating insurance companies. You should refer to those prospectuses for information about surrender charges, mortality and expense risk fees and other charges that may be assessed by participating insurance companies under the variable annuity contracts or variable life insurance policies. Such fees or charges, if any, may affect the return you may realize with respect to your investments. Ask your representative for more complete information. Please consider a fund’s objectives, risks and charges and expenses, and read the prospectus carefully before investing. The prospectus contains this and other information about the Fund. | ||
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. | ||
VITMCVSAR11/57660.MF.MED.TMPL/8/2011 |
Strategic International Equity Fund
* | The unmanaged MSCI EAFE Index Net (unhedged) is a market capitalization weighted composite of securities in 22 developed markets as of May 30, 2010. The Index figures do not include any deduction for fees, expenses or taxes. It is not possible to invest directly in an unmanaged index. |
STANDARDIZED AVERAGE ANNUAL TOTAL RETURNS1 |
For the period ended 6/30/11 | One Year | Five Years | Ten Years | Since Inception | Inception Date | |||||||||||||||
Institutional | 32.86 | % | 0.05 | % | 3.28 | % | 3.62 | % | 1/12/98 | |||||||||||
Service | 32.54 | -0.13 | N/A | -0.11 | 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”). | |
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 | 0.97 | % | 1.09 | % | ||||||
Service | 1.22 | 1.34 | ||||||||
2 | The expense ratios of the Fund, both current (net of any fee waivers or expense limitations) and before waivers (gross of any fee waivers or expense limitations) are as set forth above. The Fund’s waivers and/or expense limitations will remain in place through at least April 29, 2012, and prior to such date the investment adviser may not terminate the arrangements without the approval of the Fund’s Board of Trustees. The expense ratios set forth above may differ from the expense ratios disclosed in the Financial Highlights in this report. |
TOP TEN HOLDINGS AS OF 6/30/113 |
Holding | % of Net Assets | Line of Business | Country | |||||||
HSBC Holdings PLC | 3.0 | % | Banks | United Kingdom | ||||||
Eni SpA | 2.4 | Energy | Italy | |||||||
Rio Tinto PLC | 2.1 | Materials | United Kingdom | |||||||
Novartis AG (Registered) | 1.8 | Pharmaceuticals, Biotechnology & Life Sciences | Switzerland | |||||||
Admiral Group PLC | 1.8 | Insurance | United Kingdom | |||||||
Telefonaktiebolaget LM Ericsson Class B | 1.8 | Technology Hardware & Equipment | Sweden | |||||||
Reckitt Benckiser Group PLC | 1.7 | Household & Personal Products | United Kingdom | |||||||
BNP Paribas | 1.7 | Banks | France | |||||||
Total SA | 1.7 | Energy | France | |||||||
Carlsberg A/S Class B | 1.6 | Food, Beverage & Tobacco | Denmark | |||||||
3 | The top 10 holdings may not be representative of the Fund’s future investments. |
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. 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. The above graph depicts the Fund’s investments but may not represent the Fund’s market exposure due to the exclusion of derivatives, if any, as listed in the Additional Investment Information section of the Schedule of Investments. |
Shares | Description | Value | ||||||
Common Stocks – 90.4% | ||||||||
Australia – 0.5% | ||||||||
660,520 | CFS Retail Property Trust (REIT) | $ | 1,287,552 | |||||
Belgium – 0.3% | ||||||||
18,261 | UCB SA (Pharmaceuticals, Biotechnology & Life Sciences) | 820,558 | ||||||
Czech Republic – 0.5% | ||||||||
20,704 | CEZ AS (Utilities) | 1,065,894 | ||||||
Denmark – 2.6% | ||||||||
33,884 | Carlsberg A/S Class B (Food, Beverage & Tobacco) | 3,689,388 | ||||||
69,324 | Christian Hansen Holding A/S (Materials) | 1,647,200 | ||||||
12,447 | Tryg A/S (Insurance) | 718,771 | ||||||
6,055,359 | ||||||||
Finland – 0.4% | ||||||||
14,962 | Outotec Oyj (Capital Goods) | 851,642 | ||||||
France – 11.7% | ||||||||
5,545 | Air Liquide SA (Materials) | 794,389 | ||||||
15,913 | Air Liquide SA-Prime De Fidelite (Materials)* | 2,279,732 | ||||||
51,290 | BNP Paribas (Banks) | 3,954,920 | ||||||
51,834 | EDF SA (Utilities) | 2,032,148 | ||||||
85,016 | GDF Suez (Utilities) | 3,107,132 | ||||||
8,297 | PPR (Retailing) | 1,477,739 | ||||||
30,808 | Remy Cointreau SA (Food, Beverage & Tobacco) | 2,591,245 | ||||||
82,676 | Safran SA (Capital Goods) | 3,527,851 | ||||||
57,936 | Societe Generale SA (Banks) | 3,431,321 | ||||||
67,378 | Total SA (Energy) | 3,895,357 | ||||||
27,091,834 | ||||||||
Germany – 5.9% | ||||||||
13,589 | Allianz SE (Registered) (Insurance) | 1,894,943 | ||||||
32,850 | Bayer AG (Registered) (Pharmaceuticals, Biotechnology & Life Sciences) | 2,638,400 | ||||||
26,100 | Daimler AG (Registered) (Automobiles & Components) | 1,968,241 | ||||||
19,118 | HeidelbergCement AG (Materials) | 1,222,707 | ||||||
39,125 | Henkel AG & Co. KGaA Preference Shares (Household & Personal Products) | 2,720,681 | ||||||
15,861 | Kabel Deutschland Holding AG (Media)* | 977,046 | ||||||
10,709 | Volkswagen AG Preference Shares (Automobiles & Components) | 2,214,576 | ||||||
13,636,594 | ||||||||
Hong Kong – 2.5% | ||||||||
339,000 | Hang Lung Properties Ltd. (Real Estate) | 1,393,848 | ||||||
494,000 | Lifestyle International Holdings Ltd. (Retailing) | 1,445,238 | ||||||
528,000 | Sands China Ltd. (Consumer Services)* | 1,431,170 | ||||||
106,443 | Sun Hung Kai Properties Ltd. (Real Estate) | 1,555,939 | ||||||
5,826,195 | ||||||||
Indonesia – 1.4% | ||||||||
304,000 | PT Gudang Garam Tbk (Food, Beverage & Tobacco) | 1,769,297 | ||||||
3,078,000 | PT Perusahaan Gas Negara (Utilities) | 1,447,684 | ||||||
3,216,981 | ||||||||
Ireland* – 0.2% | ||||||||
438,255 | Kenmare Resources PLC (Materials) | 414,641 | ||||||
Israel – 0.9% | ||||||||
42,583 | Teva Pharmaceutical Industries Ltd. ADR (Pharmaceuticals, Biotechnology & Life Sciences) | 2,053,352 | ||||||
Italy – 5.4% | ||||||||
137,736 | Azimut Holding SpA (Diversified Financials) | 1,285,900 | ||||||
235,807 | Eni SpA (Energy) | 5,588,382 | ||||||
1,043,082 | Telecom Italia SpA RSP (Telecommunication Services) | 1,213,499 | ||||||
1,663,294 | UniCredit SpA (Banks) | 3,520,723 | ||||||
165,421 | Unione di Banche Italiane ScpA (Banks) | 931,143 | ||||||
12,539,647 | ||||||||
Japan – 23.4% | ||||||||
62,400 | Advantest Corp. (Semiconductors & Semiconductor Equipment) | 1,148,748 | ||||||
260,000 | Calsonic Kansei Corp. (Automobiles & Components) | 1,567,004 | ||||||
530,000 | DIC Corp. (Materials) | 1,255,411 | ||||||
32,000 | East Japan Railway Co. (Transportation) | 1,832,666 | ||||||
11,100 | FANUC Corp. (Capital Goods) | 1,856,176 | ||||||
96,400 | FUJIFILM Holdings Corp. (Technology Hardware & Equipment) | 3,006,619 | ||||||
42,600 | Honda Motor Co. Ltd. (Automobiles & Components) | 1,641,247 | ||||||
191 | Inpex Corp. (Energy) | 1,412,098 | ||||||
85,500 | JSR Corp. (Materials) | 1,657,259 | ||||||
131,000 | Kirin Holdings Co. Ltd. (Food, Beverage & Tobacco) | 1,826,261 | ||||||
59,700 | Komatsu Ltd. (Capital Goods) | 1,864,022 | ||||||
10,400 | Kyocera Corp. (Technology Hardware & Equipment) | 1,058,907 | ||||||
135,000 | Mitsubishi Electric Corp. (Capital Goods) | 1,568,175 | ||||||
72,000 | Mitsubishi Estate Co. Ltd. (Real Estate) | 1,263,597 | ||||||
206,000 | Mitsubishi Gas Chemical Co., Inc. (Materials) | 1,509,268 | ||||||
611,400 | Mitsubishi UFJ Financial Group, Inc. (Banks) | 2,979,558 |
Shares | Description | Value | ||||||
Common Stocks – (continued) | ||||||||
Japan – (continued) | ||||||||
190,000 | Mitsui & Co. Ltd. (Capital Goods) | $ | 3,285,124 | |||||
12,400 | Nidec Corp. (Capital Goods) | 1,157,668 | ||||||
4,900 | Nintendo Co. Ltd. (Software & Services) | 920,162 | ||||||
42,100 | Nippon Telegraph & Telephone Corp. (Telecommunication Services) | 2,030,560 | ||||||
283,500 | Nissan Motor Co. Ltd. (Automobiles & Components) | 2,979,362 | ||||||
14,740 | ORIX Corp. (Diversified Financials) | 1,433,787 | ||||||
64,300 | Otsuka Holdings Co. Ltd. (Pharmaceuticals, Biotechnology & Life Sciences) | 1,701,419 | ||||||
52,000 | Seiko Epson Corp. (Technology Hardware & Equipment) | 901,355 | ||||||
74,000 | Seven & I Holdings Co. Ltd. (Food & Staples Retailing) | 1,990,154 | ||||||
89,500 | Sony Corp. (Consumer Durables & Apparel) | 2,361,481 | ||||||
119,000 | Sumitomo Metal Mining Co. Ltd. (Materials) | 1,955,080 | ||||||
69,100 | Sumitomo Mitsui Financial Group, Inc. (Banks) | 2,130,677 | ||||||
57,900 | The Kansai Electric Power Co., Inc. (Utilities) | 1,153,003 | ||||||
171,000 | Yamaguchi Financial Group, Inc. (Banks) | 1,595,307 | ||||||
100,700 | Yamaha Corp. (Consumer Durables & Apparel) | 1,148,438 | ||||||
54,190,593 | ||||||||
Luxembourg – 0.5% | ||||||||
655,451 | Regus PLC (Commercial & Professional Services) | 1,163,748 | ||||||
Netherlands – 1.4% | ||||||||
123,727 | PostNL NV (Transportation) | 1,048,446 | ||||||
206,111 | TNT Express NV (Transportation)* | 2,137,674 | ||||||
3,186,120 | ||||||||
Spain – 0.6% | ||||||||
69,423 | Gas Natural SDG SA (Utilities) | 1,454,080 | ||||||
Sweden – 2.5% | ||||||||
441,802 | Swedish Orphan Biovitrum AB (Pharmaceuticals, Biotechnology & Life Sciences)* | 1,748,593 | ||||||
282,034 | Telefonaktiebolaget LM Ericsson Class B (Technology Hardware & Equipment) | 4,060,022 | ||||||
5,808,615 | ||||||||
Switzerland – 9.8% | ||||||||
49,344 | Aryzta AG (Food, Beverage & Tobacco) | 2,650,166 | ||||||
28,427 | Compagnie Financiere Richemont SA Class A (Consumer Durables & Apparel) | 1,862,908 | ||||||
29,802 | Julius Baer Group Ltd. (Diversified Financials)* | 1,231,062 | ||||||
645 | Lindt & Spruengli AG (Food, Beverage & Tobacco) | 2,013,609 | ||||||
67,794 | Novartis AG (Registered) (Pharmaceuticals, Biotechnology & Life Sciences) | 4,154,899 | ||||||
1,409 | Partners Group Holding AG (Diversified Financials) | 249,412 | ||||||
3,250 | Straumann Holding AG (Registered) (Health Care Equipment & Services) | 783,757 | ||||||
19,521 | Sulzer AG (Registered) (Capital Goods) | 3,182,898 | ||||||
72,210 | Temenos Group AG (Registered) (Software & Services)* | 2,227,133 | ||||||
181,487 | UBS AG (Registered) (Diversified Financials)* | 3,312,060 | ||||||
59,179 | Weatherford International Ltd. (Energy)* | 1,115,310 | ||||||
22,783,214 | ||||||||
United Kingdom – 19.9% | ||||||||
155,475 | Admiral Group PLC (Insurance) | 4,146,148 | ||||||
46,439 | Amlin PLC (Insurance) | 302,723 | ||||||
65,461 | Anglo American PLC (Materials) | 3,246,469 | ||||||
31,687 | Autonomy Corp. PLC (Software & Services)* | 867,971 | ||||||
108,505 | BG Group PLC (Energy) | 2,463,705 | ||||||
154,943 | GlaxoSmithKline PLC (Pharmaceuticals, Biotechnology & Life Sciences) | 3,321,087 | ||||||
318,308 | Halfords Group PLC (Retailing) | 1,897,600 | ||||||
709,091 | HSBC Holdings PLC (Banks) | 7,030,447 | ||||||
125,894 | Inmarsat PLC (Telecommunication Services) | 1,124,855 | ||||||
208,125 | Marks & Spencer Group PLC (Retailing) | 1,206,492 | ||||||
71,651 | Reckitt Benckiser Group PLC (Household & Personal Products) | 3,957,433 | ||||||
345,551 | Reed Elsevier PLC (Media) | 3,146,010 | ||||||
66,911 | Rio Tinto PLC (Materials)(a) | 4,831,358 | ||||||
1,831,719 | Royal Bank of Scotland Group PLC (Banks)* | 1,133,032 | ||||||
35,163 | Shire PLC (Pharmaceuticals, Biotechnology & Life Sciences) | 1,099,430 | ||||||
58,900 | Smiths Group PLC (Capital Goods) | 1,136,133 | ||||||
102,360 | The Capita Group PLC (Commercial & Professional Services) | 1,175,640 | ||||||
116,136 | Tullow Oil PLC (Energy) | 2,312,745 | ||||||
18,833 | Victrex PLC (Materials) | 453,752 | ||||||
529,020 | Vodafone Group PLC (Telecommunication Services) | 1,402,772 | ||||||
46,255,802 | ||||||||
TOTAL COMMON STOCKS | ||||||||
(Cost $194,362,089) | $ | 209,702,421 | ||||||
Shares | Description | Value | ||||||
Exchange Traded Fund – 4.8% | ||||||||
Australia – 4.8% | ||||||||
426,478 | iShares MSCI Australia Index Fund | $ | 11,109,752 | |||||
(Cost $5,038,108) | ||||||||
Shares | Rate | Value | ||||||||
Short-term Investment(b) – 4.7% | ||||||||||
JPMorgan U.S. Government Money Market Fund — Capital Shares | ||||||||||
11,015,186 | 0.010 | % | $ | 11,015,186 | ||||||
(Cost $11,015,186) | ||||||||||
TOTAL INVESTMENTS – 99.9% | ||||||||||
(Cost $210,415,383) | $ | 231,827,359 | ||||||||
OTHER ASSETS IN EXCESS OF LIABILITIES – 0.1% | 117,492 | |||||||||
NET ASSETS – 100.0% | $ | 231,944,851 | ||||||||
* | 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 June 30, 2011. |
Investment Abbreviations: | ||||
ADR | — | American Depositary Receipt | ||
REIT | — | Real Estate Investment Trust | ||
RSP | — | Risparmio Shares | ||
ADDITIONAL INVESTMENT INFORMATION |
Number of | ||||||||||||||
Contracts | Expiration | Current | Unrealized | |||||||||||
Type | Long (Short) | Date | Value | Gain (Loss) | ||||||||||
Hang Seng Index | 12 | July 2011 | $ | 1,729,288 | $ | 21,687 | ||||||||
SPI 200 Index | 64 | September 2011 | 7,895,684 | 78,131 | ||||||||||
TOTAL | $ | 99,818 | ||||||||||||
Assets: | ||||
Investments in securities, at value (identified cost $210,415,383) | $ | 231,827,359 | ||
Foreign currencies, at value (identified cost $203,865) | 206,587 | |||
Receivables: | ||||
Investment securities sold, at value | 3,747,040 | |||
Dividends, at value | 335,871 | |||
Foreign tax reclaims, at value | 227,173 | |||
Due from broker — variation margin, at value | 184,124 | |||
Fund shares sold | 10,177 | |||
Reimbursement from investment adviser | 3,870 | |||
Other assets | 1,494 | |||
Total assets | 236,543,695 | |||
Liabilities: | ||||
Payables: | ||||
Investment securities purchased, at value | 4,165,990 | |||
Amounts owed to affiliates | 195,394 | |||
Fund shares redeemed | 86,390 | |||
Accrued expenses | 151,070 | |||
Total liabilities | 4,598,844 | |||
Net Assets: | ||||
Paid-in capital | 325,091,612 | |||
Accumulated undistributed net investment income | 2,815,792 | |||
Accumulated net realized loss from investment, futures and foreign currency related transactions | (117,529,287 | ) | ||
Net unrealized gain on investments, futures and translation of assets and liabilities denominated in foreign currencies | 21,566,734 | |||
NET ASSETS | $ | 231,944,851 | ||
Net Assets: | ||||
Institutional | $ | 73,963,021 | ||
Service | 157,981,830 | |||
Total Net Assets | $ | 231,944,851 | ||
Shares of beneficial interest outstanding $0.001 par value (unlimited shares authorized): | ||||
Institutional | 8,010,948 | |||
Service | 17,111,477 | |||
Net asset value, offering and redemption price per share: | ||||
Institutional | $9.23 | |||
Service | 9.23 | |||
Investment income: | ||||
Dividends (net of foreign taxes withheld of $372,198) | $ | 3,663,745 | ||
Interest | 17,460 | |||
Total investment income | 3,681,205 | |||
Expenses: | ||||
Management fees | 1,002,030 | |||
Distribution and Service fees — Service Class | 199,130 | |||
Custody and accounting fees | 76,214 | |||
Printing and mailing costs | 58,584 | |||
Professional fees | 43,409 | |||
Transfer Agent fees(a) | 23,575 | |||
Trustee fees | 8,412 | |||
Other | 5,377 | |||
Total expenses | 1,416,731 | |||
Less — expense reductions | (22,522 | ) | ||
Net expenses | 1,394,209 | |||
NET INVESTMENT INCOME | 2,286,996 | |||
Realized and unrealized gain (loss) from investment, futures and foreign currency related transactions: | ||||
Net realized gain (loss) from: | ||||
Investment transactions | 18,543,642 | |||
Futures transactions | (264,608 | ) | ||
Foreign currency related transactions | 160,331 | |||
Net change in unrealized gain (loss) on: | ||||
Investments | (10,188,270 | ) | ||
Futures | 179,960 | |||
Translation of asset and liabilities denominated in foreign currencies | 31,178 | |||
Net realized and unrealized gain from investment, futures and foreign currency related transactions | 8,462,233 | |||
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS | $ | 10,749,229 | ||
(a) | Institutional and Service Shares had Transfer Agent fees of $7,646 and $15,929, respectively. |
For the | ||||||||
Six Months Ended | For the | |||||||
June 30, 2011 | Fiscal Year Ended | |||||||
(Unaudited) | December 31, 2010 | |||||||
From operations: | ||||||||
Net investment income | $ | 2,286,996 | $ | 2,768,882 | ||||
Net realized gain from investment, futures and foreign currency related transactions | 18,439,365 | 20,455,703 | ||||||
Net change in unrealized loss on investments, futures and translation of assets and liabilities denominated in foreign currencies | (9,977,132 | ) | (929,246 | ) | ||||
Net increase in net assets resulting from operations | 10,749,229 | 22,295,339 | ||||||
Distributions to shareholders: | ||||||||
From net investment income | ||||||||
Institutional Shares | — | (1,126,914 | ) | |||||
Service Shares | — | (1,932,729 | ) | |||||
Total distributions to shareholders | — | (3,059,643 | ) | |||||
From share transactions: | ||||||||
Proceeds from sales of shares | 2,228,124 | 8,858,275 | ||||||
Reinvestment of distributions | — | 3,059,643 | ||||||
Cost of shares redeemed | (17,804,651 | ) | (33,755,347 | ) | ||||
Net decrease in net assets resulting from share transactions | (15,576,527 | ) | (21,837,429 | ) | ||||
TOTAL DECREASE | (4,827,298 | ) | (2,601,733 | ) | ||||
Net assets: | ||||||||
Beginning of period | 236,772,149 | 239,373,882 | ||||||
End of period | $ | 231,944,851 | $ | 236,772,149 | ||||
Accumulated undistributed net investment income | $ | 2,815,792 | $ | 528,796 | ||||
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 | period | to average | to average | to average | turnover | |||||||||||||||||||||||||||||||||||||||||||||
Year - Share Class | of period | income(a) | gain (loss) | operations | income | gains | distributions | period | return(b) | (in 000s) | net assets | net assets | net assets | rate | ||||||||||||||||||||||||||||||||||||||||||||
FOR THE SIX MONTHS ENDED JUNE 30, (UNAUDITED) | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
2011 - Institutional | $ | 8.82 | $ | 0.10 | $ | 0.31 | $ | 0.41 | $ | — | $ | — | $ | — | $ | 9.23 | 4.65 | % | $ | 73,963 | 1.01 | %(c) | 1.03 | %(c) | 2.10 | %(c) | 60 | % | ||||||||||||||||||||||||||||||
2011 - Service | 8.83 | 0.08 | 0.32 | 0.40 | — | — | — | 9.23 | 4.53 | 157,982 | 1.26 | (c) | 1.28 | (c) | 1.86 | (c) | 60 | |||||||||||||||||||||||||||||||||||||||||
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 | (d) | (6.69 | ) | (6.37 | ) | (0.33 | ) | (0.65 | ) | (0.98 | ) | 6.41 | (45.87 | ) | 74,149 | 1.12 | 1.12 | 2.95 | (d) | 165 | ||||||||||||||||||||||||||||||||||||
2008 - Service | 13.76 | 0.28 | (d) | (6.67 | ) | (6.39 | ) | (0.30 | ) | (0.65 | ) | (0.95 | ) | 6.42 | (46.00 | ) | 113,836 | 1.37 | 1.37 | 2.64 | (d) | 165 | ||||||||||||||||||||||||||||||||||||
2007 - Institutional | 14.49 | 0.20 | 0.92 | 1.12 | (0.21 | ) | (1.64 | ) | (1.85 | ) | 13.76 | 7.88 | 136,785 | 1.16 | (e) | 1.16 | (e) | 1.30 | (e) | 134 | ||||||||||||||||||||||||||||||||||||||
2007 - Service | 14.49 | 0.20 | 0.92 | 1.12 | (0.21 | ) | (1.64 | ) | (1.85 | ) | 13.76 | 7.86 | 225,901 | 1.18 | (e) | 1.41 | (e) | 1.30 | (e) | 134 | ||||||||||||||||||||||||||||||||||||||
2006 - Institutional | 12.05 | 0.22 | 2.44 | (f) | 2.66 | (0.22 | ) | — | (0.22 | ) | 14.49 | 22.10 | (g) | 127,795 | 1.15 | 1.16 | 1.64 | 76 | ||||||||||||||||||||||||||||||||||||||||
2006 - Service (Commenced January 9, 2006) | 12.71 | 0.22 | 1.78 | (f) | 2.00 | (0.22 | ) | — | (0.22 | ) | 14.49 | 15.74 | (g) | 260,251 | 1.17 | (c) | 1.41 | (c) | 1.68 | (c) | 76 | |||||||||||||||||||||||||||||||||||||
(a) | Calculated based on the average shares outstanding methodology. | |
(b) | Assumes investment at the net asset value at the beginning of the period, reinvestment of all distributions and a complete redemption of the investment at the net asset value at the end of the period. Total returns for periods less than one full year are not annualized. | |
(c) | Annualized. | |
(d) | Reflects income recognized from non-recurring special dividends which amounted to $0.12 per share and 1.12% 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) | Reflects an increase of $0.05 due to payments by previous investment manager of a merged fund to compensate for possible adverse affects of the trading activity by certain contract holders of the acquired fund prior to January 9, 2006. | |
(g) | Performance has not been restated to reflect the impact of payments by previous investment manager of a merged fund recorded during the period related to (f) above. If restated, the performance would have been 21.69% and 15.26% for Institutional and Service Shares, respectively. |
1. ORGANIZATION |
2. SIGNIFICANT ACCOUNTING POLICIES |
2. SIGNIFICANT ACCOUNTING POLICIES (continued) |
2. SIGNIFICANT ACCOUNTING POLICIES (continued) |
3. FAIR VALUE OF INVESTMENTS |
Investment Type | Level 1 | Level 2 | Level 3 | |||||||||
Assets | ||||||||||||
Common Stock and/or Other Equity Investments | $ | 23,954,570 | $ | 196,857,603 | (a) | $ | — | |||||
Short-term Investment | 11,015,186 | — | — | |||||||||
Total | $ | 34,969,756 | $ | 196,857,603 | $ | — | ||||||
Derivative Type | ||||||||||||
Assets | ||||||||||||
Futures Contracts(b) | $ | 99,818 | $ | — | $ | — | ||||||
(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. | |
(b) | Amount shown represents unrealized gain (loss) at period end. |
4. INVESTMENTS IN DERIVATIVES |
Statement of | ||||||||||
Assets and Liabilities | ||||||||||
Risk | Location | Assets(a) | ||||||||
Equity | Due from broker — variation margin, at value | $ | 99,818 | |||||||
(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. |
Net | |||||||||||||||
Net | Change in | Average | |||||||||||||
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 | $ | (264,608 | ) | $ | 179,960 | 86 | ||||||||
(a) | Average number of contracts is based on the average of month end balances for the six months ended June 30, 2011. |
5. AGREEMENTS AND AFFILIATED TRANSACTIONS |
5. AGREEMENTS AND AFFILIATED TRANSACTIONS (continued) |
Contractual Management Rate | ||||||||||||||||||||||||
First | Next | Next | Next | Over | Effective | Effective Net | ||||||||||||||||||
$1 billion | $1 billion | $3 billion | $3 billion | $8 billion | Rate | Management Rate | ||||||||||||||||||
0.85% | 0.77 | % | 0.73 | % | 0.72 | % | 0.71 | % | 0.85 | % | 0.85 | %* | ||||||||||||
* | Effective June 30, 2011, GSAMI agreed to waive a portion of its management fee in order to achieve the effective net management rate of 0.81% through at least April 29, 2012. Prior to such date GSAMI may not terminate the arrangement without the approval of the trustees. For the six months ended June 30, 2011, GSAMI waived approximately $200 of the Fund’s management fee. |
6. PORTFOLIO SECURITIES TRANSACTIONS |
7. TAX INFORMATION |
Capital loss carryforward:(1) | ||||
Expiring 2016 | $ | (69,095,795 | ) | |
Expiring 2017 | (63,558,058 | ) | ||
Total capital loss carryforward | $ | (132,653,853 | ) | |
(1) | Expiration occurs on December 31 of the year indicated. |
Tax cost | $ | 214,232,818 | ||
Gross unrealized gain | 26,627,377 | |||
Gross unrealized loss | (9,032,836 | ) | ||
Net unrealized security gain | $ | 17,594,541 | ||
8. OTHER RISKS |
8. OTHER RISKS (continued) |
9. INDEMNIFICATIONS |
10. SUBSEQUENT EVENTS |
11. SUMMARY OF SHARE TRANSACTIONS |
For the Six Months Ended | ||||||||||||||||
June 30, 2011 | For the Fiscal Year Ended | |||||||||||||||
(Unaudited) | December 31, 2010 | |||||||||||||||
Shares | Dollars | Shares | Dollars | |||||||||||||
Institutional Shares | ||||||||||||||||
Shares sold | 47,673 | $ | 430,103 | 177,071 | $ | 1,399,863 | ||||||||||
Reinvestment of distributions | — | — | 128,790 | 1,126,914 | ||||||||||||
Shares redeemed | (829,824 | ) | (7,596,386 | ) | (1,630,467 | ) | (13,247,331 | ) | ||||||||
(782,151 | ) | (7,166,283 | ) | (1,324,606 | ) | (10,720,554 | ) | |||||||||
Service Shares | ||||||||||||||||
Shares sold | 197,375 | 1,798,021 | 950,196 | 7,458,412 | ||||||||||||
Reinvestment of distributions | — | — | 220,380 | 1,932,729 | ||||||||||||
Shares redeemed | (1,114,960 | ) | (10,208,265 | ) | (2,528,885 | ) | (20,508,016 | ) | ||||||||
(917,585 | ) | (8,410,244 | ) | (1,358,309 | ) | (11,116,875 | ) | |||||||||
NET DECREASE | (1,699,736 | ) | $ | (15,576,527 | ) | (2,682,915 | ) | $ | (21,837,429 | ) | ||||||
(a) | the nature and quality of the advisory, administrative and other services provided to the Fund by the Investment Adviser and its affiliates, including information about: |
(i) | the structure, staff and capabilities of the Investment Adviser and its portfolio management teams; | |
(ii) | the groups within the Investment Adviser and its affiliates that support the portfolio management teams or provide other types of necessary services, including fund services groups (e.g., accounting and financial reporting, tax, shareholder services and operations), controls and risk management groups (e.g., legal, compliance, valuation oversight, credit risk management, internal audit, market risk analysis, finance and strategy and central funding), sales and distribution support groups and others (e.g., information technology and training); | |
(iii) | trends in headcount; | |
(iv) | the Investment Adviser’s financial resources and ability to hire and retain talented personnel and strengthen its operations; and | |
(v) | the parent company’s support of the Investment Adviser and its mutual fund business, as expressed by the firm’s senior management; |
(b) | information on the investment performance of the Fund, including comparisons to the performance of similar mutual funds, as provided by a third party mutual fund data provider engaged as part of the contract review process (the “Outside Data Provider”), and its benchmark performance index, and general investment outlooks in the markets in which the Fund invests; | |
(c) | the terms of the Management Agreement and agreements with affiliated service providers entered into by the Trust on behalf of the Fund; | |
(d) | expense information for the Fund, including: |
(i) | the relative management fee and expense level of the Fund as compared to those of comparable funds managed by other advisers, as provided by the Outside Data Provider; | |
(ii) | the Fund’s expense trends over time; and | |
(iii) | to the extent the Investment Adviser manages institutional accounts or collective investment vehicles having investment objectives and policies similar to those of the Fund, comparative information on the advisory fees charged and services provided to those accounts by the Investment Adviser; |
(e) | with respect to the extensive investment performance and expense comparison data provided by the Outside Data Provider, its processes in producing that data for the Fund; | |
(f) | the undertakings of the Investment Adviser to waive certain fees and reimburse certain expenses of the Fund that exceed a specified level, and a summary of contractual fee reductions made by the Investment Adviser and its affiliates over the past several years with respect to the Fund; | |
(g) | information relating to the profitability of the Management Agreement and the transfer agency and distribution and service arrangements of the Fund and the Trust as a whole to the Investment Adviser and its affiliates; | |
(h) | whether the Fund’s existing management fee schedule adequately addressed any economies of scale; | |
(i) | a summary of the “fall-out” benefits derived by the Investment Adviser and its affiliates from their relationships with the Fund, including the fees received by the Investment Adviser’s affiliates from the Fund for transfer agency, portfolio brokerage, distribution and other services; | |
(j) | a summary of potential benefits derived by the Fund as a result of its relationship with the Investment Adviser; |
(k) | information regarding commissions paid by the Fund, an update on the Investment Adviser’s soft dollars practices, other information regarding portfolio trading and how the Investment Adviser carries out its duty to seek best execution; | |
(l) | the manner in which portfolio manager compensation is determined, and the number and types of accounts managed by the portfolio managers; | |
(m) | the nature and quality of the services provided to the Fund by its unaffiliated service providers, and the Investment Adviser’s general oversight and evaluation (including reports on due diligence) of those service providers as part of the administration services provided under the Management Agreement; and | |
(n) | the Investment Adviser’s processes and policies addressing various types of potential conflicts of interest; its approach to risk management; the annual review of the effectiveness of the Fund’s compliance program; and compliance reports. |
First $1 billion | 0.85 | % | ||
Next $1 billion | 0.77 | |||
Next $3 billion | 0.73 | |||
Next $3 billion | 0.72 | |||
Over $8 billion | 0.71 |
Expenses Paid | |||||||||||||||
for the | |||||||||||||||
Beginning | Ending | 6 Months | |||||||||||||
Account Value | Account Value | Ended | |||||||||||||
Share Class | 1/01/11 | 6/30/11 | 6/30/11* | ||||||||||||
Institutional | |||||||||||||||
Actual | $ | 1,000 | $ | 1,046.50 | $ | 5.12 | |||||||||
Hypothetical 5% return | 1,000 | 1,019.79 | + | 5.06 | |||||||||||
Service | |||||||||||||||
Actual | 1,000 | 1,045.30 | 6.39 | ||||||||||||
Hypothetical 5% return | 1,000 | 1,018.55 | + | 6.31 | |||||||||||
* | Expenses for each share class are calculated using the Fund’s annualized net expense ratio for each class, which represents the ongoing expenses as a percentage of net assets for the six months ended June 30, 2011. 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 1.01% and 1.26% for Institutional and Service Shares, respectively. | |
+ | Hypothetical expenses are based on each Fund’s actual annualized net expense ratios and an assumed rate of return of 5% per year before expenses. |
TRUSTEES | 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 | 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. | ||
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. | ||
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. | ||
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. | ||
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. | ||
The portfolio risk management process includes an effort to monitor and manage risk, but does not imply low risk. | ||
Shares of the Goldman Sachs VIT 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 Fund are not offered directly to the general public. The variable annuity contracts and variable life insurance policies are described in the separate prospectuses issued by participating insurance companies. You should refer to those prospectuses for information about surrender charges, mortality and expense risk fees and other charges that may be assessed by participating insurance companies under the variable annuity contracts or variable life insurance policies. Such fees or charges, if any, may affect the return you may realize with respect to your investments. Ask your representative for more complete information. Please consider a fund’s objectives, risks and charges and expenses, and read the prospectus carefully before investing. The prospectus contains this and other information about the Fund. | ||
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. | ||
VITINTLSAR11/57688.MF.MED.TMPL/8/2011 |
Structured Small Cap Equity Fund
* | The Russell 2000 Index is an unmanaged index of common stock prices that measures the performance of the 2000 smallest companies in the Russell 3000 Index. The Index figures do not reflect any deduction for fees, expenses or taxes. It is not possible to invest directly in an unmanaged index. |
STANDARDIZED AVERAGE ANNUAL TOTAL RETURNS1 |
For the period ended 6/30/11 | One Year | Five Years | Ten Years | Since Inception | Inception Date | |||||||||||||||
Institutional | 41.72 | % | 1.19 | % | 5.46 | % | 5.07 | % | 2/13/98 | |||||||||||
Service | 41.43 | N/A | N/A | 2.77 | 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 reinvestments of all distributions at net assets value (“NAV”). | |
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 | 0.81 | % | 0.97 | % | ||||||
Service | 1.06 | 1.22 | ||||||||
2 | The expense ratios of the Fund, both current (net of any fee waivers or expense limitations) and before waivers (gross of any fee waivers or expense limitations) are as set forth above. The Fund’s waivers and/or expense limitations will remain in place through at least April 29, 2012, and prior to such date the investment adviser may not terminate the arrangements without the approval of the Fund’s Board of Trustees. The expense ratios set forth above may differ from the expense ratios disclosed in the Financial Highlights in this report. |
TOP TEN HOLDINGS AS OF 6/30/113 |
Holding | % of Net Assets | Line of Business | ||||||
Tesoro Corp. | 2.0 | % | Energy | |||||
Rayonier, Inc. (REIT) | 1.8 | Real Estate | ||||||
W&T Offshore, Inc. | 1.5 | Energy | ||||||
MicroStrategy, Inc. Class A | 1.3 | Software & Services | ||||||
Western Refining, Inc. | 1.3 | Energy | ||||||
Lattice Semiconductor Corp. | 1.3 | Semiconductors & Semiconductor Equipment | ||||||
Nationwide Health Properties, Inc. (REIT) | 1.3 | Real Estate | ||||||
Cubist Pharmaceuticals, Inc. | 1.2 | Pharmaceuticals, Biotechnology & Life Sciences | ||||||
Polaris Industries, Inc. | 1.1 | Consumer Durables & Apparel | ||||||
Molina Healthcare, Inc. | 1.1 | Health Care Equipment & Services | ||||||
3 | The top 10 holdings may not be representative of the Fund’s future investments. |
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 (excluding investments in the securities lending reinvestment vehicle, if any). Investment in the securities lending reinvestment vehicle represented 2.2% of the Fund’s net assets at June 30, 2011. Short-term investments represent investments in investment companies other than those that are exchange traded. The above graph depicts the Fund’s investments but may not represent the Fund’s market exposure due to the exclusion of derivatives, if any, as listed in the Additional Investment Information section of the Schedule of Investments. |
Shares | Description | Value | ||||||
Common Stocks – 97.7% | ||||||||
Automobiles & Components – 0.9% | ||||||||
13,519 | Modine Manufacturing Co.* | $ | 207,787 | |||||
13,146 | Spartan Motors, Inc. | 70,988 | ||||||
13,479 | Standard Motor Products, Inc. | 205,285 | ||||||
22,346 | Stoneridge, Inc.* | 329,380 | ||||||
17,077 | Superior Industries International, Inc. | 377,573 | ||||||
1,191,013 | ||||||||
Banks – 4.3% | ||||||||
3,894 | 1st Source Corp. | 80,762 | ||||||
19,073 | Astoria Financial Corp. | 243,944 | ||||||
6,330 | Banco Latinoamericano de Comercio Exterior SA Class E | 109,636 | ||||||
4,778 | Commerce Bancshares, Inc. | 205,454 | ||||||
823 | Cullen/Frost Bankers, Inc. | 46,788 | ||||||
74,687 | CVB Financial Corp.(a) | 690,855 | ||||||
24,110 | First Bancorp | 246,886 | ||||||
6,132 | First Bancorp, Inc. | 91,122 | ||||||
11,406 | First Financial Bancorp | 190,366 | ||||||
12,553 | First Interstate Bancsystem, Inc. | 185,031 | ||||||
2,014 | First Republic Bank* | 65,012 | ||||||
4,567 | FirstMerit Corp. | 75,401 | ||||||
5,555 | FNB Corp. | 57,494 | ||||||
38,007 | Fulton Financial Corp. | 407,055 | ||||||
3,265 | Glacier Bancorp, Inc. | 44,012 | ||||||
14,075 | Great Southern Bancorp, Inc. | 266,721 | ||||||
64,629 | International Bancshares Corp. | 1,081,243 | ||||||
14,386 | Investors Bancorp, Inc.* | 204,281 | ||||||
3,893 | Northfield Bancorp, Inc. | 54,736 | ||||||
70,828 | Popular, Inc.* | 195,485 | ||||||
1,364 | Prosperity Bancshares, Inc. | 59,770 | ||||||
11,699 | Renasant Corp. | 169,518 | ||||||
2,231 | SVB Financial Group* | 133,213 | ||||||
2,979 | TCF Financial Corp. | 41,110 | ||||||
19,977 | Texas Capital Bancshares, Inc.* | 516,006 | ||||||
50,591 | Wilshire Bancorp, Inc.* | 148,738 | ||||||
5,610,639 | ||||||||
Capital Goods – 8.6% | ||||||||
1,857 | Alamo Group, Inc. | 44,011 | ||||||
11,114 | Albany International Corp. Class A | 293,298 | ||||||
751 | Alliant Techsystems, Inc. | 53,569 | ||||||
6,857 | American Woodmark Corp. | 118,763 | ||||||
5,369 | Applied Industrial Technologies, Inc. | 191,190 | ||||||
9,365 | Astec Industries, Inc.* | 346,318 | ||||||
2,507 | Astronics Corp.* | 77,216 | ||||||
2,325 | Belden, Inc. | 81,050 | ||||||
28,797 | Briggs & Stratton Corp. | 571,908 | ||||||
9,482 | Ceradyne, Inc.* | 369,703 | ||||||
4,177 | Cubic Corp. | 212,985 | ||||||
2,334 | Curtiss-Wright Corp. | 75,552 | ||||||
4,265 | DigitalGlobe, Inc.* | 108,374 | ||||||
4,623 | Ducommun, Inc. | 95,095 | ||||||
8,338 | Encore Wire Corp. | 201,946 | ||||||
5,173 | EnPro Industries, Inc.* | 248,666 | ||||||
2,829 | Franklin Electric Co., Inc. | 132,822 | ||||||
3,446 | Generac Holdings, Inc.* | 66,852 | ||||||
13,667 | General Cable Corp.* | 581,941 | ||||||
11,335 | Hexcel Corp.* | 248,123 | ||||||
977 | Hubbell, Inc. Class B | 63,456 | ||||||
4,414 | II-VI, Inc.* | 112,998 | ||||||
14,762 | Kadant, Inc.* | 465,151 | ||||||
3,622 | LMI Aerospace, Inc.* | 88,485 | ||||||
43,981 | LSI Industries, Inc. | 349,209 | ||||||
8,267 | Lydall, Inc.* | 98,873 | ||||||
17,917 | Miller Industries, Inc. | 334,869 | ||||||
25,011 | Mueller Industries, Inc. | 948,167 | ||||||
8,408 | NACCO Industries, Inc. Class A | 814,063 | ||||||
1,755 | Polypore International, Inc.* | 119,059 | ||||||
2,702 | Quanex Building Products Corp. | 44,286 | ||||||
7,062 | Sauer-Danfoss, Inc.* | 355,854 | ||||||
1,777 | Simpson Manufacturing Co., Inc. | 53,079 | ||||||
19,312 | Tecumseh Products Co. Class A* | 196,982 | ||||||
4,987 | Tennant Co. | 199,131 | ||||||
15,036 | Toro Co.(b) | 909,678 | ||||||
6,519 | Tredegar Corp. | 119,624 | ||||||
1,948 | United Rentals, Inc.* | 49,479 | ||||||
12,563 | Universal Forest Products, Inc. | 301,010 | ||||||
11,061 | Vicor Corp. | 178,856 | ||||||
15,038 | Watsco, Inc. | 1,022,434 | ||||||
5,741 | Woodward, Inc. | 200,131 | ||||||
11,144,256 | ||||||||
Commercial & Professional Services – 2.5% | ||||||||
17,398 | CDI Corp. | 231,219 | ||||||
577 | Clean Harbors, Inc.* | 59,575 | ||||||
1,500 | Copart, Inc.* | 69,900 | ||||||
23,393 | HNI Corp. | 587,632 | ||||||
6,580 | Insperity, Inc. | 194,834 | ||||||
48,423 | Kelly Services, Inc. Class A* | 798,980 | ||||||
30,916 | Kforce, Inc.* | 404,381 | ||||||
25,263 | Kimball International, Inc. Class B | 162,441 | ||||||
19,607 | SFN Group, Inc.* | 178,228 | ||||||
10,824 | Steelcase, Inc. Class A | 123,285 | ||||||
12,564 | United Stationers, Inc. | 445,143 | ||||||
3,255,618 | ||||||||
Consumer Durables & Apparel – 4.4% | ||||||||
9,389 | Blyth, Inc. | 472,736 | ||||||
7,091 | Columbia Sportswear Co. | 449,569 | ||||||
2,729 | CSS Industries, Inc. | 57,118 | ||||||
3,480 | Fossil, Inc.* | 409,666 | ||||||
8,198 | Harman International Industries, Inc. | 373,583 | ||||||
18,768 | iRobot Corp.* | 662,323 | ||||||
26,070 | Kenneth Cole Productions, Inc. Class A* | 325,614 | ||||||
5,880 | Mohawk Industries, Inc.* | 352,741 | ||||||
17,085 | Oxford Industries, Inc. | 576,790 | ||||||
19,424 | Perry Ellis International, Inc.* | 490,456 | ||||||
12,643 | Polaris Industries, Inc. | 1,405,522 | ||||||
867 | Under Armour, Inc. Class A* | 67,028 | ||||||
1,217 | Vera Bradley, Inc.* | 46,489 | ||||||
5,689,635 | ||||||||
Shares | Description | Value | ||||||
Common Stocks – (continued) | ||||||||
Consumer Services – 2.9% | ||||||||
9,497 | Ascent Media Corp. Class A* | $ | 503,056 | |||||
2,512 | Biglari Holdings, Inc.* | 982,318 | ||||||
12,948 | Domino’s Pizza, Inc.* | 326,807 | ||||||
48,755 | O’Charleys, Inc.* | 356,399 | ||||||
22,693 | Papa John’s International, Inc.* | 754,769 | ||||||
1,389 | Peet’s Coffee & Tea, Inc.* | 80,145 | ||||||
8,048 | Pre-Paid Legal Services, Inc.* | 535,112 | ||||||
9,981 | Texas Roadhouse, Inc. | 175,017 | ||||||
3,713,623 | ||||||||
Diversified Financials – 4.9% | ||||||||
92,314 | Advance America, Cash Advance Centers, Inc. | 636,044 | ||||||
27,432 | BlackRock Kelso Capital Corp. | 246,065 | ||||||
6,023 | Cash America International, Inc. | 348,551 | ||||||
43,359 | Compass Diversified Holdings | 714,990 | ||||||
677 | Diamond Hill Investment Group, Inc. | 55,033 | ||||||
13,822 | Federated Investors, Inc. Class B(a) | 329,517 | ||||||
2,826 | Financial Engines, Inc.* | 73,250 | ||||||
9,011 | First Cash Financial Services, Inc.* | 378,372 | ||||||
7,909 | GAMCO Investors, Inc. Class A | 366,108 | ||||||
17,521 | Gladstone Capital Corp. | 161,894 | ||||||
3,595 | Golub Capital BDC, Inc. | 53,673 | ||||||
29,610 | Hercules Technology Growth Capital, Inc. | 311,497 | ||||||
5,467 | Intl. FCStone, Inc.* | 132,356 | ||||||
37,002 | NGP Capital Resources Co. | 303,416 | ||||||
13,762 | PHH Corp.* | 282,396 | ||||||
60,795 | Primus Guaranty Ltd.* | 319,174 | ||||||
5,589 | Safeguard Scientifics, Inc.* | 105,520 | ||||||
4,200 | SEI Investments Co. | 94,542 | ||||||
4,373 | Solar Capital Ltd. | 107,969 | ||||||
38,290 | TICC Capital Corp. | 367,584 | ||||||
13,522 | World Acceptance Corp.* | 886,638 | ||||||
6,274,589 | ||||||||
Energy – 7.6% | ||||||||
15,430 | Alon USA Energy, Inc. | 173,896 | ||||||
36,677 | Complete Production Services, Inc.* | 1,223,545 | ||||||
7,284 | Dril-Quip, Inc.* | 494,074 | ||||||
6,901 | Energen Corp. | 389,907 | ||||||
4,285 | Exterran Holdings, Inc.* | 84,972 | ||||||
35,329 | Frontier Oil Corp. | 1,141,480 | ||||||
11,401 | Petroquest Energy, Inc.* | 80,035 | ||||||
113,742 | Tesoro Corp.* | 2,605,829 | ||||||
35,286 | USEC, Inc.* | 117,855 | ||||||
72,658 | W&T Offshore, Inc. | 1,897,827 | ||||||
93,306 | Western Refining, Inc.*(a) | 1,686,039 | ||||||
9,895,459 | ||||||||
Food & Staples Retailing – 0.4% | ||||||||
8,869 | PriceSmart, Inc. | 454,359 | ||||||
5,800 | Susser Holdings Corp.* | 91,176 | ||||||
545,535 | ||||||||
Food, Beverage & Tobacco – 2.6% | ||||||||
42,484 | Alliance One International, Inc.* | 137,223 | ||||||
6,291 | Boston Beer Co., Inc. Class A* | 563,674 | ||||||
35,928 | Dole Food Co., Inc.*(a) | 485,746 | ||||||
2,211 | Flowers Foods, Inc. | 48,730 | ||||||
5,928 | J&J Snack Foods Corp. | 295,511 | ||||||
21,912 | Lancaster Colony Corp. | 1,332,688 | ||||||
32,278 | National Beverage Corp. | 472,873 | ||||||
3,336,445 | ||||||||
Health Care Equipment & Services – 7.4% | ||||||||
27,652 | Align Technology, Inc.* | 630,466 | ||||||
3,494 | Amerigroup Corp.* | 246,222 | ||||||
10,455 | AMN Healthcare Services, Inc.* | 86,985 | ||||||
21,232 | Assisted Living Concepts, Inc. Class A | 356,273 | ||||||
1,791 | Centene Corp.* | 63,634 | ||||||
1,740 | Coventry Health Care, Inc.* | 63,458 | ||||||
24,807 | Health Net, Inc.* | 796,057 | ||||||
673 | HeartWare International, Inc.* | 49,856 | ||||||
18,235 | Hill-Rom Holdings, Inc. | 839,539 | ||||||
821 | IDEXX Laboratories, Inc.* | 63,677 | ||||||
18,579 | Invacare Corp. | 616,637 | ||||||
33,498 | Kindred Healthcare, Inc.* | 719,202 | ||||||
7,501 | Magellan Health Services, Inc.* | 410,605 | ||||||
16,186 | Masimo Corp. | 480,400 | ||||||
9,734 | Medcath Corp.* | 132,285 | ||||||
23,880 | Medical Action Industries, Inc.* | 194,622 | ||||||
50,847 | Molina Healthcare, Inc.* | 1,378,971 | ||||||
33,485 | PharMerica Corp.* | 427,269 | ||||||
5,065 | Sirona Dental Systems, Inc.* | 268,951 | ||||||
28,604 | Skilled Healthcare Group, Inc. Class A* | 270,594 | ||||||
4,370 | STERIS Corp. | 152,863 | ||||||
5,323 | SXC Health Solutions Corp.* | 313,631 | ||||||
1,424 | Teleflex, Inc. | 86,949 | ||||||
32,822 | Universal American Corp. | 359,401 | ||||||
12,622 | Vascular Solutions, Inc.* | 156,513 | ||||||
9,210 | WellCare Health Plans, Inc.* | 473,486 | ||||||
9,638,546 | ||||||||
Household & Personal Products* – 0.9% | ||||||||
58,085 | Central Garden and Pet Co. Class A | 589,563 | ||||||
34,661 | Prestige Brands Holdings, Inc. | 445,047 | ||||||
4,199 | USANA Health Sciences, Inc. | 131,345 | ||||||
1,165,955 | ||||||||
Insurance – 1.9% | ||||||||
4,022 | Allied World Assurance Co. Holdings Ltd. | 231,587 | ||||||
17,877 | American Equity Investment Life Holding Co. | 227,217 | ||||||
1,479 | American Financial Group, Inc. | 52,785 | ||||||
34,804 | Aspen Insurance Holdings Ltd. | 895,507 | ||||||
25,354 | Flagstone Reinsurance Holdings SA | 213,734 | ||||||
4,129 | Global Indemnity PLC* | 91,581 | ||||||
1,436 | Kansas City Life Insurance Co. | 44,731 | ||||||
33,139 | Maiden Holdings Ltd. | 301,565 | ||||||
4,705 | OneBeacon Insurance Group Ltd. Class A | 63,000 |
Shares | Description | Value | ||||||
Common Stocks – (continued) | ||||||||
Insurance – (continued) | ||||||||
11,579 | Symetra Financial Corp. | $ | 155,506 | |||||
1,318 | W.R. Berkley Corp. | 42,756 | ||||||
468 | White Mountains Insurance Group Ltd. | 196,635 | ||||||
2,516,604 | ||||||||
Materials – 5.6% | ||||||||
15,836 | A. Schulman, Inc. | 398,909 | ||||||
739 | Airgas, Inc. | 51,759 | ||||||
11,376 | American Vanguard Corp. | 147,547 | ||||||
13,458 | Clearwater Paper Corp.* | 918,912 | ||||||
2,346 | Domtar Corp. | 222,213 | ||||||
2,130 | Georgia Gulf Corp.* | 51,418 | ||||||
34,028 | Golden Star Resources Ltd.* | 74,862 | ||||||
3,537 | Innophos Holdings, Inc. | 172,606 | ||||||
5,967 | Kaiser Aluminum Corp. | 325,917 | ||||||
29,287 | KapStone Paper and Packaging Corp.* | 485,286 | ||||||
1,526 | Koppers Holdings, Inc. | 57,881 | ||||||
29,299 | Kraton Performance Polymers, Inc.* | 1,147,642 | ||||||
15,635 | Materion Corp.* | 578,026 | ||||||
23,883 | Noranda Aluminum Holding Corp.* | 361,589 | ||||||
7,352 | OM Group, Inc.* | 298,785 | ||||||
25,434 | PolyOne Corp. | 393,464 | ||||||
48,974 | Senomyx, Inc.* | 251,726 | ||||||
20,667 | Spartech Corp.* | 125,862 | ||||||
7,970 | Stepan Co. | 565,073 | ||||||
15,105 | Titanium Metals Corp. | 276,724 | ||||||
8,373 | TPC Group, Inc.* | 328,389 | ||||||
7,234,590 | ||||||||
Media – 0.3% | ||||||||
7,679 | Harte-Hanks, Inc. | 62,354 | ||||||
59,889 | Journal Communications, Inc. Class A* | 309,626 | ||||||
371,980 | ||||||||
Pharmaceuticals, Biotechnology & Life Sciences – 5.9% | ||||||||
40,564 | Accelrys, Inc.* | 288,410 | ||||||
89,357 | Affymetrix, Inc.* | 708,601 | ||||||
8,305 | Akorn, Inc.* | 58,135 | ||||||
25,361 | Albany Molecular Research, Inc.* | 121,986 | ||||||
905 | Bio-Rad Laboratories, Inc. Class A* | 108,021 | ||||||
7,189 | Codexis, Inc.* | 69,230 | ||||||
43,652 | Cubist Pharmaceuticals, Inc.* | 1,571,035 | ||||||
24,696 | Emergent Biosolutions, Inc.* | 556,895 | ||||||
18,219 | eResearchTechnology, Inc.* | 116,055 | ||||||
10,774 | Genomic Health, Inc.* | 300,702 | ||||||
38,437 | Maxygen, Inc. | 210,250 | ||||||
92,957 | Nabi Biopharmaceuticals* | 500,109 | ||||||
1,595 | Par Pharmaceutical Cos, Inc.* | 52,603 | ||||||
117,180 | PDL BioPharma, Inc. | 687,847 | ||||||
55,984 | Progenics Pharmaceuticals, Inc.* | 401,965 | ||||||
13,019 | Questcor Pharmaceuticals, Inc.* | 313,758 | ||||||
48,417 | Sciclone Pharmaceuticals, Inc.* | 292,439 | ||||||
14,306 | Seattle Genetics, Inc.* | 293,559 | ||||||
9,376 | The Medicines Co.* | 154,798 | ||||||
47,344 | Viropharma, Inc.* | 875,864 | ||||||
7,682,262 | ||||||||
Real Estate – 7.4% | ||||||||
10,812 | Agree Realty Corp. (REIT) | 241,432 | ||||||
24,991 | American Campus Communities, Inc. (REIT) | 887,680 | ||||||
7,460 | Ashford Hospitality Trust, Inc. (REIT) | 92,877 | ||||||
4,716 | Capstead Mortgage Corp. (REIT) | 63,195 | ||||||
16,865 | Equity Lifestyle Properties, Inc. (REIT) | 1,053,051 | ||||||
12,279 | Extra Space Storage, Inc. (REIT) | 261,911 | ||||||
4,007 | Federal Realty Investment Trust (REIT) | 341,316 | ||||||
41,845 | Franklin Street Properties Corp. (REIT) | 540,219 | ||||||
2,718 | Hatteras Financial Corp. (REIT) | 76,729 | ||||||
3,011 | Jones Lang LaSalle, Inc. | 283,937 | ||||||
11,817 | LTC Properties, Inc. (REIT) | 328,749 | ||||||
8,659 | MFA Financial, Inc. (REIT) | 69,618 | ||||||
123,176 | MPG Office Trust, Inc. (REIT)* | 352,283 | ||||||
6,345 | National Health Investors, Inc. (REIT) | 281,908 | ||||||
1,981 | National Retail Properties, Inc. (REIT) | 48,554 | ||||||
39,103 | Nationwide Health Properties, Inc. (REIT) | 1,619,255 | ||||||
1,604 | Potlatch Corp. (REIT) | 56,573 | ||||||
35,636 | Rayonier, Inc. (REIT) | 2,328,813 | ||||||
13,105 | Realty Income Corp. (REIT) | 438,887 | ||||||
3,323 | Senior Housing Properties Trust (REIT) | 77,792 | ||||||
2,625 | Starwood Property Trust, Inc. (REIT) | 53,839 | ||||||
4,265 | Two Harbors Investment Corp. (REIT) | 45,849 | ||||||
3,365 | Urstadt Biddle Properties, Inc. Class A (REIT) | 60,940 | ||||||
9,605,407 | ||||||||
Retailing – 5.4% | ||||||||
30,832 | Asbury Automotive Group, Inc.* | 571,317 | ||||||
11,640 | Audiovox Corp. Class A* | 87,998 | ||||||
7,359 | Cabela’s, Inc.* | 199,797 | ||||||
7,988 | Core-Mark Holding Co., Inc.* | 285,172 | ||||||
14,869 | DSW, Inc. Class A* | 752,520 | ||||||
33,394 | Fred’s, Inc. Class A | 481,875 | ||||||
4,823 | Genesco, Inc.* | 251,278 | ||||||
25,042 | Group 1 Automotive, Inc. | 1,031,230 | ||||||
22,446 | Lithia Motors, Inc. Class A | 440,615 | ||||||
1,567 | Rue21, Inc.* | 50,928 | ||||||
12,242 | Shoe Carnival, Inc.* | 369,096 | ||||||
17,563 | Sonic Automotive, Inc. Class A | 257,298 | ||||||
62,365 | Stage Stores, Inc. | 1,047,732 | ||||||
10,862 | Ulta Salon Cosmetics & Fragrance, Inc.* | 701,468 | ||||||
15,818 | Zumiez, Inc.* | 394,975 | ||||||
6,923,299 | ||||||||
Semiconductors & Semiconductor Equipment – 3.3% | ||||||||
10,678 | Applied Micro Circuits Corp.* | 94,607 | ||||||
7,015 | DSP Group, Inc.* | 61,030 | ||||||
249,889 | Lattice Semiconductor Corp.* | 1,629,276 | ||||||
28,760 | LTX-Credence Corp.* | 257,114 | ||||||
28,994 | Micrel, Inc. | 306,757 | ||||||
1,740 | MKS Instruments, Inc. | 45,971 | ||||||
37,506 | Photronics, Inc.* | 317,676 | ||||||
53,382 | PLX Technology, Inc.* | 185,236 | ||||||
46,093 | RF Micro Devices, Inc.* | 282,089 | ||||||
108,448 | Silicon Image, Inc.* | 700,574 |
Shares | Description | Value | ||||||
Common Stocks – (continued) | ||||||||
Semiconductors & Semiconductor Equipment – (continued) | ||||||||
6,113 | Standard Microsystems Corp.* | $ | 164,990 | |||||
2,467 | Tessera Technologies, Inc.* | 42,284 | ||||||
21,640 | Zoran Corp.* | 181,776 | ||||||
4,269,380 | ||||||||
Software & Services – 9.0% | ||||||||
6,292 | Advent Software, Inc.*(b) | 177,246 | ||||||
8,978 | AOL, Inc.* | 178,303 | ||||||
23,168 | Blackbaud, Inc. | 642,217 | ||||||
17,947 | Bottomline Technologies, Inc.* | 443,470 | ||||||
86,289 | Ciber, Inc.* | 478,904 | ||||||
18,590 | CommVault Systems, Inc.* | 826,326 | ||||||
11,209 | CSG Systems International, Inc.* | 207,142 | ||||||
16,745 | Kenexa Corp.* | 401,545 | ||||||
121,557 | Lionbridge Technologies, Inc.* | 386,551 | ||||||
6,352 | LivePerson, Inc.* | 89,817 | ||||||
17,649 | LogMeIn, Inc.* | 680,722 | ||||||
79,406 | Magma Design Automation, Inc.* | 634,454 | ||||||
20,179 | Manhattan Associates, Inc.* | 694,965 | ||||||
55,638 | Marchex, Inc. Class B | 494,065 | ||||||
23,702 | Mentor Graphics Corp.* | 303,623 | ||||||
10,493 | MicroStrategy, Inc. Class A* | 1,707,001 | ||||||
2,341 | NeuStar, Inc. Class A* | 61,334 | ||||||
5,863 | Opnet Technologies, Inc. | 240,031 | ||||||
15,125 | PROS Holdings, Inc.* | 264,536 | ||||||
7,469 | QAD, Inc. Class A* | 76,333 | ||||||
13,245 | Quest Software, Inc.* | 301,059 | ||||||
99,910 | RealNetworks, Inc.* | 339,694 | ||||||
25,007 | Renaissance Learning, Inc. | 313,588 | ||||||
15,437 | Saba Software, Inc.* | 139,396 | ||||||
4,884 | SRA International, Inc. Class A* | 151,013 | ||||||
8,794 | TeleTech Holdings, Inc.* | 185,378 | ||||||
13,969 | Ultimate Software Group, Inc.* | 760,333 | ||||||
7,645 | VeriFone Systems, Inc.* | 339,056 | ||||||
1,205 | VistaPrint NV* | 57,659 | ||||||
2,117 | Websense, Inc.* | 54,979 | ||||||
11,630,740 | ||||||||
Technology Hardware & Equipment – 5.3% | ||||||||
16,911 | Agilysys, Inc.* | 141,038 | ||||||
3,300 | Aruba Networks, Inc.* | 97,515 | ||||||
41,074 | Brightpoint, Inc.* | 333,110 | ||||||
3,844 | DG FastChannel, Inc.* | 123,200 | ||||||
11,946 | EchoStar Corp. Class A* | 435,193 | ||||||
22,783 | Electronics for Imaging, Inc.* | 392,323 | ||||||
3,145 | EMS Technologies, Inc.* | 103,691 | ||||||
8,031 | Emulex Corp.* | 69,067 | ||||||
56,040 | Extreme Networks* | 181,570 | ||||||
20,500 | Gerber Scientific, Inc.* | 228,165 | ||||||
18,417 | Hypercom Corp.* | 181,039 | ||||||
38,302 | Imation Corp.* | 361,571 | ||||||
12,472 | Ingram Micro, Inc. Class A* | 226,242 | ||||||
19,606 | Insight Enterprises, Inc.* | 347,222 | ||||||
32,835 | Methode Electronics, Inc. | 381,214 | ||||||
4,602 | National Instruments Corp. | 136,633 | ||||||
14,692 | Plantronics, Inc. | 536,699 | ||||||
28,360 | Powerwave Technologies, Inc.* | 83,662 | ||||||
165,434 | Quantum Corp.* | 545,932 | ||||||
21,771 | Radisys Corp.* | 158,711 | ||||||
36,456 | ShoreTel, Inc.* | 371,851 | ||||||
9,391 | Super Micro Computer, Inc.* | 151,101 | ||||||
30,589 | Symmetricom, Inc.* | 178,334 | ||||||
2,200 | Synaptics, Inc.*(a) | 56,628 | ||||||
32,503 | Tellabs, Inc. | 149,839 | ||||||
54,500 | Vishay Intertechnology, Inc.* | 819,680 | ||||||
5,085 | Vishay Precision Group, Inc.* | 85,835 | ||||||
6,877,065 | ||||||||
Telecommunication Services – 1.1% | ||||||||
17,985 | Cbeyond, Inc.* | 237,942 | ||||||
15,884 | IDT Corp. Class B | 429,186 | ||||||
51,313 | USA Mobility, Inc. | 783,036 | ||||||
1,450,164 | ||||||||
Transportation – 2.3% | ||||||||
10,181 | Alaska Air Group, Inc.* | 696,991 | ||||||
4,228 | Allegiant Travel Co.* | 209,286 | ||||||
8,796 | Celadon Group, Inc.* | 122,792 | ||||||
756 | Copa Holdings SA Class A | 50,455 | ||||||
9,461 | Heartland Express, Inc. | 156,674 | ||||||
2,560 | Landstar System, Inc. | 118,989 | ||||||
83,110 | Pacer International, Inc.* | 392,279 | ||||||
7,676 | Saia, Inc.* | 130,108 | ||||||
22,962 | SkyWest, Inc. | 345,808 | ||||||
7,243 | Universal Truckload Services, Inc.* | 124,073 | ||||||
26,635 | Werner Enterprises, Inc. | 667,207 | ||||||
3,014,662 | ||||||||
Utilities – 2.8% | ||||||||
2,634 | Alliant Energy Corp. | 107,098 | ||||||
8,674 | Atmos Energy Corp. | 288,410 | ||||||
3,935 | DPL, Inc. | 118,680 | ||||||
11,507 | Dynegy, Inc.* | 71,228 | ||||||
2,920 | El Paso Electric Co. | 94,316 | ||||||
1,038 | IDACORP, Inc. | 41,001 | ||||||
8,815 | Integrys Energy Group, Inc. | 456,970 | ||||||
658 | ITC Holdings Corp. | 47,225 | ||||||
1,041 | Nicor, Inc. | 56,984 | ||||||
6,980 | Northeast Utilities | 245,487 | ||||||
1,074 | NSTAR | 49,383 | ||||||
3,209 | NV Energy, Inc. | 49,258 | ||||||
10,519 | Pepco Holdings, Inc. | 206,488 | ||||||
26,088 | PNM Resources, Inc. | 436,713 | ||||||
18,257 | Portland General Electric Co. | 461,537 | ||||||
1,508 | SCANA Corp. | 59,370 | ||||||
15,970 | Southwest Gas Corp. | 616,602 | ||||||
2,861 | TECO Energy, Inc. | 54,044 | ||||||
2,589 | Westar Energy, Inc. | 69,670 | ||||||
1,856 | WGL Holdings, Inc. | 71,437 | ||||||
3,601,901 | ||||||||
TOTAL COMMON STOCKS | ||||||||
(Cost $89,819,270) | $ | 126,639,367 | ||||||
Shares | Rate | Value | ||||||||
Short-term Investment(c) – 2.3% | ||||||||||
JPMorgan U.S. Government Money Market Fund — Capital Shares | ||||||||||
2,938,019 | 0.010 | % | $ | 2,938,019 | ||||||
(Cost $2,938,019) | ||||||||||
TOTAL INVESTMENTS BEFORE SECURITIES LENDING REINVESTMENT VEHICLE | ||||||||||
(Cost $92,757,289) | $ | 129,577,386 | ||||||||
Securities Lending Reinvestment Vehicle(c)(d) – 2.2% | ||||||||||
Goldman Sachs Financial Square Money Market Fund — FST Shares | ||||||||||
2,887,450 | 0.099 | % | $ | 2,887,450 | ||||||
(Cost $2,887,450) | ||||||||||
TOTAL INVESTMENTS – 102.2% | ||||||||||
(Cost $95,644,739) | $ | 132,464,836 | ||||||||
LIABILITIES IN EXCESS OF OTHER ASSETS – (2.2)% | (2,896,137 | ) | ||||||||
NET ASSETS – 100.0% | $ | 129,568,699 | ||||||||
* | Non-income producing security. | |
(a) | All or a portion of security is on loan. | |
(b) | All or a portion of security is segregated as collateral for initial margin requirements on futures transactions. | |
(c) | Variable rate security. Interest rate disclosed is that which is in effect at June 30, 2011. | |
(d) | Represents an affiliated issuer. |
Investment Abbreviation: | ||||
REIT | — | Real Estate Investment Trust | ||
ADDITIONAL INVESTMENT INFORMATION |
Number of | ||||||||||||||
Contracts | Expiration | Current | Unrealized | |||||||||||
Type | Long (Short) | Date | Value | Gain (Loss) | ||||||||||
Russell 2000 Mini Index | 32 | September 2011 | $ | 2,641,280 | $ | 164,270 | ||||||||
Assets: | ||||
Investments in securities of unaffiliated issuers, at value (identified cost $92,757,289)(a) | $ | 129,577,386 | ||
Investments in affiliated securities lending reinvestment vehicle, at value (identified cost $2,887,450) | 2,887,450 | |||
Receivables: | ||||
Investment securities sold | 927,807 | |||
Dividends | 92,314 | |||
Due from custodian | 48,102 | |||
Due from broker — variation margin | 20,800 | |||
Fund shares sold | 16,769 | |||
Reimbursement from investment adviser | 13,789 | |||
Securities lending income | 1,492 | |||
Other assets | 948 | |||
Total assets | 133,586,857 | |||
Liabilities: | ||||
Payables: | ||||
Payable upon return of securities loaned | 2,887,450 | |||
Investment securities purchased | 802,211 | |||
Fund shares redeemed | 161,054 | |||
Amounts owed to affiliates | 82,777 | |||
Accrued expenses | 84,666 | |||
Total liabilities | 4,018,158 | |||
Net Assets: | ||||
Paid-in capital | 126,900,469 | |||
Accumulated undistributed net investment income | 963,168 | |||
Accumulated net realized loss from investment and futures transactions | (35,279,305 | ) | ||
Net unrealized gain on investments and futures | 36,984,367 | |||
NET ASSETS | $ | 129,568,699 | ||
Net Assets: | ||||
Institutional | $ | 103,612,085 | ||
Service | 25,956,614 | |||
Total Net Assets | $ | 129,568,699 | ||
Shares of beneficial interest outstanding $0.001 par value (unlimited shares authorized): | ||||
Institutional | 8,349,506 | |||
Service | 2,103,394 | |||
Net asset value, offering and redemption price per share: | ||||
Institutional | $12.41 | |||
Service | 12.34 | |||
(a) | Includes loaned securities having a market value of $2,850,253. |
Investment income: | ||||
Dividends | $ | 800,407 | ||
Securities lending income — affiliated issuer | 14,917 | |||
Total investment income | 815,324 | |||
Expenses: | ||||
Management fees | 493,991 | |||
Printing and mailing costs | 39,852 | |||
Professional fees | 39,245 | |||
Distribution and Service fees — Service Class | 33,129 | |||
Custody and accounting fees | 26,446 | |||
Transfer Agent fees(a) | 13,172 | |||
Trustee fees | 8,255 | |||
Registration fees | 667 | |||
Other | 5,778 | |||
Total expenses | 660,535 | |||
Less — expense reductions | (71,623 | ) | ||
Net expenses | 588,912 | |||
NET INVESTMENT INCOME | 226,412 | |||
Realized and unrealized gain from investment and futures transactions: | ||||
Net realized gain from: | ||||
Investment transactions | 6,598,090 | |||
Futures transactions | 70,028 | |||
Net change in unrealized gain on: | ||||
Investments | 3,895,384 | |||
Futures | 129,562 | |||
Net realized and unrealized gain from investment and futures transactions | 10,693,064 | |||
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS | $ | 10,919,476 | ||
(a) | Institutional and Service Shares had Transfer Agent fees of $10,522 and $2,650, respectively. |
For the | For the | |||||||
Six Months Ended | Fiscal Year Ended | |||||||
June 30, 2011 (Unaudited) | December 31, 2010 | |||||||
From operations: | ||||||||
Net investment income | $ | 226,412 | $ | 937,448 | ||||
Net realized gain from investment and futures transactions | 6,668,118 | 11,300,293 | ||||||
Net change in unrealized gain on investments and futures | 4,024,946 | 20,038,541 | ||||||
Net increase in net assets resulting from operations | 10,919,476 | 32,276,282 | ||||||
Distributions to shareholders: | ||||||||
From net investment income | ||||||||
Institutional Shares | — | (529,767 | ) | |||||
Service Shares | — | (77,675 | ) | |||||
Total distributions to shareholders | — | (607,442 | ) | |||||
From share transactions: | ||||||||
Proceeds from sales of shares | 5,532,558 | 16,035,389 | ||||||
Reinvestment of distributions | — | 607,442 | ||||||
Cost of shares redeemed | (20,957,610 | ) | (32,863,054 | ) | ||||
Net decrease in net assets resulting from share transactions | (15,425,052 | ) | (16,220,223 | ) | ||||
TOTAL INCREASE (DECREASE) | (4,505,576 | ) | 15,448,617 | |||||
Net assets: | ||||||||
Beginning of period | 134,074,275 | 118,625,658 | ||||||
End of period | $ | 129,568,699 | $ | 134,074,275 | ||||
Accumulated undistributed net investment income | $ | 963,168 | $ | 736,756 | ||||
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 | period | to average | to average | to average | turnover | |||||||||||||||||||||||||||||||||||||||||||||
Year - Share Class | of period | income | gain (loss) | operations | income | gains | distributions | period | return(a) | (in 000s) | net assets | net assets | net assets | rate | ||||||||||||||||||||||||||||||||||||||||||||
FOR THE SIX MONTHS ENDED JUNE 30, (UNAUDITED) | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
2011 - Institutional | $ | 11.42 | $ | 0.02 | (b) | $ | 0.97 | $ | 0.99 | $ | — | $ | — | $ | — | $ | 12.41 | 8.67 | % | $ | 103,612 | 0.84 | %(c) | 0.95 | %(c) | 0.39 | %(c) | 11 | % | |||||||||||||||||||||||||||||
2011 - Service | 11.37 | 0.01 | (b) | 0.96 | 0.97 | — | — | — | 12.34 | 8.53 | 25,957 | 1.09 | (c) | 1.20 | (c) | 0.14 | (c) | 11 | ||||||||||||||||||||||||||||||||||||||||
FOR THE FISCAL YEARS ENDED DECEMBER 31, | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
2010 - Institutional | 8.82 | 0.08 | (b)(d) | 2.58 | 2.66 | (0.06 | ) | — | (0.06 | ) | 11.42 | 30.12 | 106,646 | 0.85 | 0.97 | 0.82 | (d) | 63 | ||||||||||||||||||||||||||||||||||||||||
2010 - Service | 8.78 | 0.06 | (b)(d) | 2.56 | 2.62 | (0.03 | ) | — | (0.03 | ) | 11.37 | 29.86 | 27,428 | 1.10 | 1.22 | 0.58 | (d) | 63 | ||||||||||||||||||||||||||||||||||||||||
2009 - Institutional | 6.98 | 0.08 | (b)(e) | 1.85 | 1.93 | (0.09 | ) | — | (0.09 | ) | 8.82 | 27.67 | 95,334 | 0.86 | 1.02 | 1.03 | (e) | 212 | ||||||||||||||||||||||||||||||||||||||||
2009 - Service | 6.96 | 0.07 | (b)(e) | 1.83 | 1.90 | (0.08 | ) | — | (0.08 | ) | 8.78 | 27.26 | 23,291 | 1.11 | 1.27 | 0.83 | (e) | 212 | ||||||||||||||||||||||||||||||||||||||||
2008 - Institutional | 10.71 | 0.09 | (f) | (3.74 | ) | (3.65 | ) | (0.06 | ) | (0.02 | ) | (0.08 | ) | 6.98 | (33.95 | ) | 86,253 | 0.86 | 1.06 | 0.85 | (f) | 189 | ||||||||||||||||||||||||||||||||||||
2008 - Service | 10.71 | 0.06 | (f) | (3.73 | ) | (3.67 | ) | (0.06 | ) | (0.02 | ) | (0.08 | ) | 6.96 | (34.16 | ) | 6,464 | 1.11 | 1.31 | 1.92 | (f) | 189 | ||||||||||||||||||||||||||||||||||||
2007 - Institutional | 14.44 | 0.07 | (b)(g) | (2.42 | ) | (2.35 | ) | (0.05 | ) | (1.33 | ) | (1.38 | ) | 10.71 | (16.48 | ) | 152,896 | 0.90 | (h) | 0.95 | (h) | 0.49 | (g)(h) | 163 | ||||||||||||||||||||||||||||||||||
2007 - Service (Commenced August 31, 2007) | 12.81 | 0.02 | (b) | (0.74 | ) | (0.72 | ) | (0.05 | ) | (1.33 | ) | (1.38 | ) | 10.71 | (5.86 | ) | 10 | 0.96 | (c) | 1.21 | (c) | 0.56 | (c) | 163 | ||||||||||||||||||||||||||||||||||
2006 - Institutional | 13.93 | 0.07 | (b) | 1.64 | 1.71 | (0.10 | ) | (1.10 | ) | (1.20 | ) | 14.44 | 12.27 | 202,929 | 0.87 | 0.99 | 0.49 | 133 | ||||||||||||||||||||||||||||||||||||||||
(a) | Assumes investment at the net asset value at the beginning of the period, reinvestment of all distributions, and a complete redemption of the investment at the net asset value at the end of the period. Total returns for periods less than one full year are not annualized. | |
(b) | Calculated based on the average shares outstanding methodology. | |
(c) | Annualized. | |
(d) | Reflects income recognized from non-recurring special dividends which amounted to $0.04 per share and 0.43% of average net assets. | |
(e) | Reflects income recognized from non-recurring special dividends which amounted to $0.03 per share and 0.43% of average net assets. | |
(f) | Reflects income recognized from non-recurring special dividends which amounted to $0.01 per share and 0.14% of average net assets. | |
(g) | Reflects income recognized from non-recurring special dividends which amounted to $0.02 per share and 0.14% of average net assets. | |
(h) | Includes non-recurring expense for a special shareholder meeting, which amounted to approximately 0.03% of average net assets. |
1. ORGANIZATION |
2. SIGNIFICANT ACCOUNTING POLICIES |
2. SIGNIFICANT ACCOUNTING POLICIES (continued) |
3. FAIR VALUE OF INVESTMENTS |
Investment Type | Level 1 | Level 2 | Level 3 | |||||||||
Assets | ||||||||||||
Common Stock and/or Other Equity Investments | $ | 126,639,367 | $ | — | $ | — | ||||||
Short-term Investment | 2,938,019 | — | — | |||||||||
Securities Lending Reinvestment Vehicle | 2,887,450 | — | — | |||||||||
Total | $ | 132,464,836 | $ | — | $ | — | ||||||
Derivatives Type | ||||||||||||
Assets | ||||||||||||
Futures Contracts(a) | $ | 164,270 | $ | — | $ | — | ||||||
(a) | Amount shown represents unrealized gain (loss) at period end. |
4. INVESTMENTS IN DERIVATIVES |
4. INVESTMENTS IN DERIVATIVES (continued) |
Statement of | ||||||||
Assets and Liabilities | ||||||||
Risk | Location | Assets(a) | ||||||
Equity | Due from broker — variation margin | $ | 164,270 | |||||
(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. |
Net | Net Change in | Average | |||||||||||||
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 | $ | 70,028 | $ | 129,562 | 31 | |||||||||
(a) | Average number of contracts is based on the average of month end balances for the six months ended June 30, 2011. |
5. AGREEMENTS AND AFFILIATED TRANSACTIONS |
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 | %* | ||||||||||
* | Effective June 30, 2011, GSAM agreed to waive a portion of its management fee in order to achieve an effective net management rate of 0.70% through at least April 29, 2012. Prior to such date GSAM may not terminate the arrangement without the approval of the trustees. Prior to June 30, 2011, GSAM had agreed to waive a portion of its management fee in order to achieve an effective net management rate of 0.73%. For the six months ended June 30, 2011, GSAM waived approximately $13,300 of the Fund’s management fee. |
5. AGREEMENTS AND AFFILIATED TRANSACTIONS (continued) |
6. PORTFOLIO SECURITIES TRANSACTIONS |
7. SECURITIES LENDING |
7. SECURITIES LENDING (continued) |
Number of | Number of | |||||||||||||||
Shares Held | Shares Held | Value at End | ||||||||||||||
Beginning of Period | Shares Bought | Shares Sold | End of Period | of Period | ||||||||||||
3,893 | 16,362 | (17,368 | ) | 2,887 | $ | 2,887 | ||||||||||
8. TAX INFORMATION |
Capital loss carryforward:(1) | ||||
Expiring 2016 | $ | (23,544,097 | ) | |
Expiring 2017 | (17,973,195 | ) | ||
Total capital loss carryforward | $ | (41,517,292 | ) | |
(1) | Expiration occurs on December 31 of the year indicated. |
Tax cost | $ | 95,998,467 | ||
Gross unrealized gain | 39,854,284 | |||
Gross unrealized loss | (3,387,915 | ) | ||
Net unrealized security gain | $ | 36,466,369 | ||
2. SIGNIFICANT ACCOUNTING POLICIES (continued) |
9. OTHER RISKS |
10. INDEMNIFICATIONS |
11. SUBSEQUENT EVENTS |
12. SUMMARY OF SHARE TRANSACTIONS |
For the Six Months Ended | ||||||||||||||||
June 30, 2011 | For the Fiscal Year Ended | |||||||||||||||
(Unaudited) | December 31, 2010 | |||||||||||||||
Shares | Dollars | Shares | Dollars | |||||||||||||
Institutional Shares | ||||||||||||||||
Shares sold | 448,462 | $ | 5,432,402 | 1,530,530 | $ | 14,982,716 | ||||||||||
Reinvestment of distributions | — | — | 46,067 | 529,767 | ||||||||||||
Shares redeemed | (1,434,719 | ) | (17,174,503 | ) | (3,053,874 | ) | (29,401,499 | ) | ||||||||
(986,257 | ) | (11,742,101 | ) | (1,477,277 | ) | (13,889,016 | ) | |||||||||
Service Shares | ||||||||||||||||
Shares sold | 8,233 | 100,156 | 103,448 | 1,052,673 | ||||||||||||
Reinvestment of distributions | — | — | 6,784 | 77,675 | ||||||||||||
Shares redeemed | (316,342 | ) | (3,783,107 | ) | (350,880 | ) | (3,461,555 | ) | ||||||||
(308,109 | ) | (3,682,951 | ) | (240,648 | ) | (2,331,207 | ) | |||||||||
NET DECREASE | (1,294,366 | ) | $ | (15,425,052 | ) | (1,717,925 | ) | $ | (16,220,223 | ) | ||||||
(a) | the nature and quality of the advisory, administrative and other services provided to the Fund by the Investment Adviser and its affiliates, including information about: |
(i) | the structure, staff and capabilities of the Investment Adviser and its portfolio management teams; | |
(ii) | the groups within the Investment Adviser and its affiliates that support the portfolio management teams or provide other types of necessary services, including fund services groups (e.g., accounting and financial reporting, tax, shareholder services and operations), controls and risk management groups (e.g., legal, compliance, valuation oversight, credit risk management, internal audit, market risk analysis, finance and strategy and central funding), sales and distribution support groups and others (e.g., information technology and training); | |
(iii) | trends in headcount; | |
(iv) | the Investment Adviser’s financial resources and ability to hire and retain talented personnel and strengthen its operations; and | |
(v) | the parent company’s support of the Investment Adviser and its mutual fund business, as expressed by the firm’s senior management; |
(b) | information on the investment performance of the Fund, including comparisons to the performance of similar mutual funds, as provided by a third party mutual fund data provider engaged as part of the contract review process (the “Outside Data Provider”), and its benchmark performance index, and general investment outlooks in the markets in which the Fund invests; | |
(c) | the terms of the Management Agreement and agreements with affiliated service providers entered into by the Trust on behalf of the Fund; | |
(d) | expense information for the Fund, including: |
(i) | the relative management fee and expense level of the Fund as compared to those of comparable funds managed by other advisers, as provided by the Outside Data Provider; | |
(ii) | the Fund’s expense trends over time; and | |
(iii) | to the extent the Investment Adviser manages institutional accounts or collective investment vehicles having investment objectives and policies similar to those of the Fund, comparative information on the advisory fees charged and services provided to those accounts by the Investment Adviser; |
(e) | with respect to the extensive investment performance and expense comparison data provided by the Outside Data Provider, its processes in producing that data for the Fund; | |
(f) | the undertakings of the Investment Adviser to waive certain fees and reimburse certain expenses of the Fund that exceed specified levels, and a summary of contractual fee reductions made by the Investment Adviser and its affiliates over the past several years with respect to the Fund; | |
(g) | information relating to the profitability of the Management Agreement and the transfer agency and distribution and service arrangements of the Fund and the Trust as a whole to the Investment Adviser and its affiliates; | |
(h) | whether the Fund’s existing management fee schedule adequately addressed any economies of scale; | |
(i) | a summary of the “fall-out” benefits derived by the Investment Adviser and its affiliates from their relationships with the Fund, including the fees received by the Investment Adviser’s affiliates from the Fund for transfer agency, securities lending, portfolio brokerage, distribution and other services; | |
(j) | a summary of potential benefits derived by the Fund as a result of its relationship with the Investment Adviser; |
(k) | information regarding commissions paid by the Fund, portfolio trading and how the Investment Adviser carries out its duty to seek best execution; | |
(l) | the manner in which portfolio manager compensation is determined, and the number and types of accounts managed by the portfolio managers; | |
(m) | the nature and quality of the services provided to the Fund by its unaffiliated service providers, and the Investment Adviser’s general oversight and evaluation (including reports on due diligence) of those service providers as part of the administration services provided under the Management Agreement; and | |
(n) | the Investment Adviser’s processes and policies addressing various types of potential conflicts of interest; its approach to risk management; the annual review of the effectiveness of the Fund’s compliance program; and compliance reports. |
First $2 billion | 0.75 | % | ||
Next $3 billion | 0.68 | |||
Next $3 billion | 0.65 | |||
Over $8 billion | 0.64 |
Expenses | |||||||||||||||
Paid for the | |||||||||||||||
Beginning | Ending | 6 Months | |||||||||||||
Account Value | Account Value | Ended | |||||||||||||
Share Class | 1/01/11 | 6/30/11 | 6/30/11* | ||||||||||||
Institutional | |||||||||||||||
Actual | $ | 1,000 | $ | 1,086.70 | $ | 4.35 | |||||||||
Hypothetical 5% return | 1,000 | 1,020.63 | + | 4.21 | |||||||||||
Service | |||||||||||||||
Actual | 1,000 | 1,085.30 | 5.64 | ||||||||||||
Hypothetical 5% return | 1,000 | 1,019.39 | + | 5.46 | |||||||||||
* | 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 June 30, 2011. 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 0.84% and 1.09% for Institutional and Service Shares, respectively. | |
+ | Hypothetical expenses are based on the Fund’s actual annualized net expense ratios and an assumed rate of return of 5% per year before expenses. |
TRUSTEES | OFFICERS | |
Ashok N. Bakhru, Chairman Donald C. Burke John P. Coblentz, Jr. Diana M. Daniels Joseph P. LoRusso James A. McNamara Jessica Palmer Alan A. Shuch Richard P. Strubel | James A. McNamara, President George F. Travers, Principal Financial Officer Peter V. Bonanno, Secretary Scott M. McHugh, Treasurer | |
GOLDMAN, SACHS & CO. Distributor and Transfer Agent | ||
GOLDMAN SACHS ASSET MANAGEMENT, L.P. Investment Adviser 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. | ||
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. | ||
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. | ||
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. | ||
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. | ||
The portfolio risk management process includes an effort to monitor and manage risk, but does not imply low risk. | ||
Shares of the Goldman Sachs VIT 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 Fund are not offered directly to the general public. The variable annuity contracts and variable life insurance policies are described in the separate prospectuses issued by participating insurance companies. You should refer to those prospectuses for information about surrender charges, mortality and expense risk fees and other charges that may be assessed by participating insurance companies under the variable annuity contracts or variable life insurance policies. Such fees or charges, if any, may affect the return you may realize with respect to your investments. Ask your representative for more complete information. Please consider a fund’s objectives, risks and charges and expenses, and read the prospectus carefully before investing. The prospectus contains this and other information about the Fund. | ||
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. | ||
VITSCSAR11/57662.MF.MED.TMPL/8/2011 |
Structured U.S. Equity Fund
June 30, 2011
* | The S&P 500 Index is the Standard & Poor’s 500 Composite Index of 500 stocks, an unmanaged index of common stock prices. The Index figures do not reflect any deduction for fees, expenses or taxes. It is not possible to invest directly in an unmanaged index. |
STANDARDIZED AVERAGE ANNUAL TOTAL RETURNS1 |
For the period ended 6/30/11 | One Year | Five Years | Ten Years | Since Inception | Inception Date | |||||||||||||||
Institutional | 32.14 | % | 0.28 | % | 1.86 | % | 2.84 | % | 02/13/98 | |||||||||||
Service | 31.87 | 0.12 | N/A | -0.10 | 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”). | |
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 any fee waivers or expense limitations) and before waivers (gross of any fee waivers or expense limitations) are as set forth above. The Fund’s waivers and/or expense limitations will remain in place through at least April 29, 2012, and prior to such date the investment adviser may not terminate the arrangements without the approval of the Fund’s Board of Trustees. The expense ratios set forth above may differ from the expense ratios disclosed in the Financial Highlights in this report. |
TOP TEN HOLDINGS AS OF 6/30/113 |
Holding | % of Net Assets | Line of Business | ||||||
Microsoft Corp. | 4.0 | % | Software & Services | |||||
Exxon Mobil Corp. | 3.9 | Energy | ||||||
Lorillard, Inc. | 3.5 | Food, Beverage & Tobacco | ||||||
Eli Lilly & Co. | 3.2 | Pharmaceuticals, Biotechnology & Life Sciences | ||||||
ConocoPhillips | 2.7 | Energy | ||||||
Chevron Corp. | 2.5 | Energy | ||||||
Pfizer, Inc. | 2.5 | Pharmaceuticals, Biotechnology & Life Sciences | ||||||
AT&T, Inc. | 2.4 | Telecommunication Services | ||||||
Accenture PLC Class A | 2.1 | Software & Services | ||||||
Simon Property Group, Inc. | 2.1 | Real Estate Investment Trust | ||||||
3 | The top 10 holdings may not be representative of the Fund’s future investments. |
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 (excluding investments in the securities lending reinvestment vehicle, if any). Investment in the securities lending reinvestment vehicle represented 0.2% of the Fund’s net assets at June 30, 2011. Short-term investments represent investments in investment companies other than those that are exchange traded. The above graph depicts the Fund’s investments but may not represent the Fund’s market exposure due to the exclusion of derivatives, if any, as listed in the Additional Investment Information section of the Schedule of Investments. |
Shares | Description | Value | ||||||
Common Stocks – 98.1% | ||||||||
Automobiles & Components – 0.7% | ||||||||
12,207 | Autoliv, Inc. | $ | 957,639 | |||||
36,593 | TRW Automotive Holdings Corp.* | 2,160,085 | ||||||
3,117,724 | ||||||||
Banks – 2.0% | ||||||||
17,565 | Hudson City Bancorp, Inc. | 143,857 | ||||||
14,470 | PNC Financial Services Group, Inc. | 862,557 | ||||||
84,532 | U.S. Bancorp | 2,156,411 | ||||||
195,590 | Wells Fargo & Co. | 5,488,256 | ||||||
8,651,081 | ||||||||
Capital Goods – 7.4% | ||||||||
14,514 | Cummins, Inc. | 1,502,054 | ||||||
6,760 | Danaher Corp. | 358,212 | ||||||
45,288 | Eaton Corp. | 2,330,068 | ||||||
57,479 | Emerson Electric Co. | 3,233,194 | ||||||
2,702 | Fluor Corp. | 174,711 | ||||||
323,175 | General Electric Co. | 6,095,081 | ||||||
53,766 | Honeywell International, Inc. | 3,203,916 | ||||||
3,301 | Illinois Tool Works, Inc. | 186,473 | ||||||
3,044 | Ingersoll-Rand PLC | 138,228 | ||||||
3,205 | Lockheed Martin Corp. | 259,509 | ||||||
3,752 | MSC Industrial Direct Co. Class A | 248,795 | ||||||
64,083 | Northrop Grumman Corp. | 4,444,156 | ||||||
38,044 | Oshkosh Corp.* | 1,100,993 | ||||||
5,292 | Parker Hannifin Corp. | 474,904 | ||||||
10,930 | Rockwell Automation, Inc. | 948,287 | ||||||
2,999 | Rockwell Collins, Inc. | 185,008 | ||||||
18,852 | Timken Co. | 950,141 | ||||||
47,216 | Toro Co. | 2,856,568 | ||||||
16,757 | Tyco International Ltd. | 828,299 | ||||||
11,628 | United Technologies Corp. | 1,029,194 | ||||||
5,878 | W.W. Grainger, Inc. | 903,155 | ||||||
31,450,946 | ||||||||
Commercial & Professional Services – 0.3% | ||||||||
21,388 | Manpower, Inc. | 1,147,466 | ||||||
Consumer Durables & Apparel – 1.4% | ||||||||
16,191 | Fossil, Inc.* | 1,906,004 | ||||||
43,693 | Harman International Industries, Inc. | 1,991,090 | ||||||
3,471 | Lululemon Athletica, Inc.* | 388,127 | ||||||
25,444 | Mohawk Industries, Inc.* | 1,526,386 | ||||||
5,811,607 | ||||||||
Consumer Services – 1.7% | ||||||||
11,170 | Apollo Group, Inc. Class A* | 487,905 | ||||||
46,990 | Carnival Corp. | 1,768,234 | ||||||
2,294 | Chipotle Mexican Grill, Inc.* | 706,988 | ||||||
6,159 | McDonald’s Corp. | 519,327 | ||||||
85,321 | Starbucks Corp. | 3,369,326 | ||||||
6,242 | Yum! Brands, Inc. | 344,808 | ||||||
7,196,588 | ||||||||
Diversified Financials – 3.9% | ||||||||
205,394 | Bank of America Corp. | 2,251,118 | ||||||
72,983 | Capital One Financial Corp. | 3,771,032 | ||||||
34,758 | Citigroup, Inc. | 1,447,323 | ||||||
3,145 | CME Group, Inc. | 917,050 | ||||||
6,705 | Discover Financial Services | 179,359 | ||||||
1,164 | Franklin Resources, Inc. | 152,822 | ||||||
80,172 | JPMorgan Chase & Co. | 3,282,242 | ||||||
85,343 | SEI Investments Co. | 1,921,071 | ||||||
106,004 | The Bank of New York Mellon Corp. | 2,715,822 | ||||||
16,637,839 | ||||||||
Energy – 13.1% | ||||||||
104,310 | Chevron Corp. | 10,727,240 | ||||||
10,132 | Cimarex Energy Co. | 911,069 | ||||||
152,441 | ConocoPhillips | 11,462,039 | ||||||
6,096 | Core Laboratories NV | 679,948 | ||||||
25,949 | Devon Energy Corp. | 2,045,041 | ||||||
18,779 | Exterran Holdings, Inc.* | 372,388 | ||||||
203,277 | Exxon Mobil Corp. | 16,542,682 | ||||||
7,444 | Halliburton Co. | 379,644 | ||||||
13,746 | Hess Corp. | 1,027,651 | ||||||
7,132 | Marathon Oil Corp. | 375,714 | ||||||
9,181 | Murphy Oil Corp. | 602,824 | ||||||
1,999 | National Oilwell Varco, Inc. | 156,342 | ||||||
7,368 | Oil States International, Inc.* | 588,777 | ||||||
20,905 | Sunoco, Inc. | 871,948 | ||||||
79,352 | Tesoro Corp.* | 1,817,954 | ||||||
280,667 | Valero Energy Corp. | 7,176,655 | ||||||
55,737,916 | ||||||||
Food & Staples Retailing – 1.6% | ||||||||
15,256 | Costco Wholesale Corp. | 1,239,397 | ||||||
17,176 | CVS Caremark Corp. | 645,474 | ||||||
5,838 | Safeway, Inc. | 136,434 | ||||||
5,583 | The Kroger Co. | 138,458 | ||||||
87,036 | Walgreen Co. | 3,695,549 | ||||||
4,976 | Wal-Mart Stores, Inc. | 264,425 | ||||||
10,636 | Whole Foods Market, Inc. | 674,854 | ||||||
6,794,591 | ||||||||
Food, Beverage & Tobacco – 6.7% | ||||||||
125,471 | Archer-Daniels-Midland Co. | 3,782,951 | ||||||
18,775 | Dr. Pepper Snapple Group, Inc. | 787,236 | ||||||
7,113 | H.J. Heinz Co. | 378,980 | ||||||
18,515 | Hansen Natural Corp.* | 1,498,789 | ||||||
135,735 | Lorillard, Inc. | 14,777,469 | ||||||
5,737 | Molson Coors Brewing Co. Class B | 256,673 | ||||||
58,040 | Philip Morris International, Inc. | 3,875,331 | ||||||
4,555 | Reynolds American, Inc. | 168,763 | ||||||
155,542 | Tyson Foods, Inc. Class A | 3,020,626 | ||||||
28,546,818 | ||||||||
Health Care Equipment & Services – 3.3% | ||||||||
1,805 | Becton, Dickinson and Co. | 155,537 | ||||||
198,599 | Boston Scientific Corp.* | 1,372,319 | ||||||
62,591 | Cardinal Health, Inc. | 2,842,883 | ||||||
72,112 | CareFusion Corp.* | 1,959,283 | ||||||
6,100 | DENTSPLY International, Inc. | 232,288 | ||||||
25,846 | Humana, Inc. | 2,081,637 |
Shares | Description | Value | ||||||
Common Stocks – (continued) | ||||||||
Health Care Equipment & Services – (continued) | ||||||||
41,207 | UnitedHealth Group, Inc. | $ | 2,125,457 | |||||
39,683 | WellPoint, Inc. | 3,125,830 | ||||||
13,895,234 | ||||||||
Household & Personal Products – 2.6% | ||||||||
16,755 | Colgate-Palmolive Co. | 1,464,555 | ||||||
16,590 | Herbalife Ltd. | 956,248 | ||||||
134,857 | The Procter & Gamble Co. | 8,572,859 | ||||||
10,993,662 | ||||||||
Insurance – 4.2% | ||||||||
7,928 | Aspen Insurance Holdings Ltd. | 203,987 | ||||||
88,192 | Berkshire Hathaway, Inc. Class B* | 6,825,179 | ||||||
10,333 | Everest Re Group Ltd. | 844,723 | ||||||
57,955 | Loews Corp. | 2,439,326 | ||||||
40,509 | MetLife, Inc. | 1,777,130 | ||||||
10,529 | The Travelers Companies, Inc. | 614,683 | ||||||
209,546 | Unum Group | 5,339,232 | ||||||
18,044,260 | ||||||||
Materials – 3.2% | ||||||||
14,227 | Ashland, Inc. | 919,349 | ||||||
4,645 | CF Industries Holdings, Inc. | 658,057 | ||||||
10,806 | Domtar Corp. | 1,023,544 | ||||||
17,993 | Eastman Chemical Co. | 1,836,546 | ||||||
29,850 | Freeport-McMoRan Copper & Gold, Inc. | 1,579,065 | ||||||
60,070 | Huntsman Corp. | 1,132,319 | ||||||
40,471 | Newmont Mining Corp. | 2,184,220 | ||||||
2,290 | PPG Industries, Inc. | 207,909 | ||||||
24,523 | Southern Copper Corp. | 806,071 | ||||||
13,894 | The Dow Chemical Co. | 500,184 | ||||||
6,565 | The Mosaic Co. | 444,647 | ||||||
13,067 | The Scotts Miracle-Gro Co. Class A | 670,468 | ||||||
18,073 | The Sherwin-Williams Co. | 1,515,783 | ||||||
15,969 | Titanium Metals Corp. | 292,552 | ||||||
13,770,714 | ||||||||
Media – 4.0% | ||||||||
9,487 | Cablevision Systems Corp. Class A | 343,524 | ||||||
22,024 | Comcast Corp. Class A | 558,088 | ||||||
118,177 | Comcast Corp. Special A Shares | 2,863,429 | ||||||
34,642 | DIRECTV Class A* | 1,760,506 | ||||||
180,828 | DISH Network Corp. Class A* | 5,545,995 | ||||||
72,395 | News Corp. Class A | 1,281,392 | ||||||
3,823 | The Walt Disney Co. | 149,250 | ||||||
119,873 | Time Warner, Inc. | 4,359,781 | ||||||
16,861,965 | ||||||||
Pharmaceuticals, Biotechnology & Life Sciences – 8.9% | ||||||||
2,984 | Alexion Pharmaceuticals, Inc.* | 140,338 | ||||||
83,212 | Amgen, Inc.* | 4,855,420 | ||||||
25,138 | Biogen Idec, Inc.* | 2,687,755 | ||||||
20,985 | Celgene Corp.* | 1,265,815 | ||||||
1,806 | Cephalon, Inc.* | 144,299 | ||||||
367,171 | Eli Lilly & Co. | 13,779,928 | ||||||
78,280 | Gilead Sciences, Inc.* | 3,241,575 | ||||||
9,149 | Johnson & Johnson | 608,592 | ||||||
18,246 | Merck & Co., Inc. | 643,901 | ||||||
507,160 | Pfizer, Inc. | 10,447,496 | ||||||
37,815,119 | ||||||||
Real Estate Investment Trust – 3.5% | ||||||||
8,152 | AvalonBay Communities, Inc. | 1,046,717 | ||||||
3,276 | Plum Creek Timber Co., Inc. | 132,809 | ||||||
5,751 | Public Storage | 655,672 | ||||||
65,818 | Rayonier, Inc. | 4,301,206 | ||||||
76,715 | Simon Property Group, Inc. | 8,916,584 | ||||||
15,052,988 | ||||||||
Retailing – 3.3% | ||||||||
3,658 | Advance Auto Parts, Inc. | 213,956 | ||||||
19,542 | Amazon.com, Inc.* | 3,996,144 | ||||||
23,414 | AutoNation, Inc.*(a) | 857,187 | ||||||
10,137 | Dick’s Sporting Goods, Inc.* | 389,768 | ||||||
3,850 | Dollar Tree, Inc.* | 256,487 | ||||||
132,190 | Limited Brands, Inc. | 5,082,705 | ||||||
675 | Netflix, Inc.* | 177,316 | ||||||
8,638 | PetSmart, Inc. | 391,906 | ||||||
23,411 | Ross Stores, Inc. | 1,875,689 | ||||||
15,704 | Target Corp. | 736,675 | ||||||
13,977,833 | ||||||||
Semiconductors & Semiconductor Equipment – 2.5% | ||||||||
361,278 | Intel Corp. | 8,005,921 | ||||||
50,781 | Marvell Technology Group Ltd.* | 749,781 | ||||||
53,596 | Texas Instruments, Inc. | 1,759,557 | ||||||
10,515,259 | ||||||||
Software & Services – 9.2% | ||||||||
150,495 | Accenture PLC Class A | 9,092,908 | ||||||
7,509 | Amdocs Ltd.* | 228,199 | ||||||
1,809 | Cognizant Technology Solutions Corp. Class A* | 132,672 | ||||||
12,086 | eBay, Inc.* | 390,015 | ||||||
10,275 | Google, Inc. Class A* | 5,203,054 | ||||||
647,183 | Microsoft Corp. | 16,826,758 | ||||||
163,110 | Oracle Corp. | 5,367,950 | ||||||
20,384 | Teradata Corp.* | 1,227,117 | ||||||
17,329 | VeriSign, Inc. | 579,828 | ||||||
39,048,501 | ||||||||
Technology Hardware & Equipment – 6.1% | ||||||||
261,280 | Cisco Systems, Inc. | 4,078,581 | ||||||
309,803 | Dell, Inc.* | 5,164,416 | ||||||
58,909 | EMC Corp.* | 1,622,943 | ||||||
90,817 | Flextronics International Ltd.* | 583,045 | ||||||
57,707 | Hewlett-Packard Co. | 2,100,535 | ||||||
135,734 | Ingram Micro, Inc. Class A* | 2,462,215 | ||||||
9,213 | Juniper Networks, Inc.* | 290,209 | ||||||
26,905 | Motorola Solutions, Inc.* | 1,238,706 | ||||||
90,952 | NetApp, Inc.* | 4,800,447 | ||||||
46,605 | QLogic Corp.* | 741,952 | ||||||
69,450 | Tellabs, Inc. | 320,164 |
Shares | Description | Value | ||||||
Common Stocks – (continued) | ||||||||
Technology Hardware & Equipment – (continued) | ||||||||
109,983 | Vishay Intertechnology, Inc.* | $ | 1,654,144 | |||||
25,257 | Western Digital Corp.* | 918,850 | ||||||
25,976,207 | ||||||||
Telecommunication Services – 3.3% | ||||||||
320,722 | AT&T, Inc.(b) | 10,073,878 | ||||||
412,684 | Sprint Nextel Corp.* | 2,224,367 | ||||||
42,263 | Verizon Communications, Inc. | 1,573,451 | ||||||
13,871,696 | ||||||||
Transportation – 2.3% | ||||||||
2,297 | Copa Holdings SA Class A | 153,302 | ||||||
2,908 | Expeditors International of Washington, Inc. | 148,860 | ||||||
16,134 | FedEx Corp. | 1,530,310 | ||||||
5,491 | Norfolk Southern Corp. | 411,441 | ||||||
1,388 | Union Pacific Corp. | 144,907 | ||||||
101,970 | United Parcel Service, Inc. Class B | 7,436,672 | ||||||
9,825,492 | ||||||||
Utilities – 2.9% | ||||||||
8,905 | Dominion Resources, Inc. | 429,844 | ||||||
264,508 | Duke Energy Corp. | 4,980,686 | ||||||
4,366 | Entergy Corp. | 298,110 | ||||||
35,903 | Exelon Corp. | 1,538,085 | ||||||
41,280 | Integrys Energy Group, Inc. | 2,139,955 | ||||||
18,810 | NiSource, Inc. | 380,903 | ||||||
46,793 | Sempra Energy | 2,474,414 | ||||||
12,241,997 | ||||||||
TOTAL COMMON STOCKS | ||||||||
(Cost $330,744,974) | $ | 416,983,503 | ||||||
Shares | Rate | Value | ||||||||
Short-term Investment(c) – 2.1% | ||||||||||
JPMorgan U.S. Government Money Market Fund — Capital Shares | ||||||||||
8,860,962 | 0.010 | % | $ | 8,860,962 | ||||||
(Cost $8,860,962) | ||||||||||
TOTAL INVESTMENTS BEFORE SECURITIES LENDING REINVESTMENT VEHICLE | ||||||||||
(Cost $339,605,936) | $ | 425,844,465 | ||||||||
Securities Lending Reinvestment Vehicle(c)(d) – 0.2% | ||||||||||
Goldman Sachs Financial Square Money Market Fund — FST Shares | ||||||||||
819,500 | 0.099 | % | $ | 819,500 | ||||||
(Cost $819,500) | ||||||||||
TOTAL INVESTMENTS – 100.4% | ||||||||||
(Cost $340,425,436) | $ | 426,663,965 | ||||||||
LIABILITIES IN EXCESS OF OTHER ASSETS – (0.4)% | (1,891,449 | ) | ||||||||
NET ASSETS – 100.0% | $ | 424,772,516 | ||||||||
* | Non-income producing security. | |
(a) | All or a portion of security is on loan. | |
(b) | All or a portion of security is segregated as collateral for initial margin requirements on futures transactions. | |
(c) | Variable rate security. Interest rate disclosed is that which is in effect at June 30, 2011. | |
(d) | Represents an affiliated issuer. |
ADDITIONAL INVESTMENT INFORMATION |
Number of | ||||||||||||||
Contracts | Expiration | Current | Unrealized | |||||||||||
Type | Long (Short) | Date | Value | Gain (Loss) | ||||||||||
S&P 500 E-mini Index | 99 | September 2011 | $ | 6,511,725 | $ | 243,862 | ||||||||
Assets: | ||||
Investments in securities of unaffiliated issuers, at value (identified cost $339,605,936)(a) | $ | 425,844,465 | ||
Investments in affiliated securities lending reinvestment vehicle, at value (identified cost $819,500) | 819,500 | |||
Receivables: | ||||
Dividends | 332,327 | |||
Fund shares sold | 70,230 | |||
Due from broker — variation margin | 67,571 | |||
Reimbursement from investment adviser | 22,637 | |||
Securities lending income | 1,161 | |||
Other assets | 2,514 | |||
Total assets | 427,160,405 | |||
Liabilities: | ||||
Payables: | ||||
Payable upon return of securities loaned | 819,500 | |||
Fund shares redeemed | 654,595 | |||
Amounts owed to affiliates | 237,538 | |||
Accrued expenses and other liabilities | 676,256 | |||
Total liabilities | 2,387,889 | |||
Net Assets: | ||||
Paid-in capital | 561,959,352 | |||
Accumulated undistributed net investment income | 3,592,573 | |||
Accumulated net realized loss from investment and futures transactions | (227,261,800 | ) | ||
Net unrealized gain on investments and futures | 86,482,391 | |||
NET ASSETS | $ | 424,772,516 | ||
Net Assets: | ||||
Institutional | $ | 313,074,677 | ||
Service | 111,697,839 | |||
Total Net Assets | $ | 424,772,516 | ||
Shares of beneficial interest outstanding $0.001 par value (unlimited shares authorized): | ||||
Institutional | 27,378,913 | |||
Service | 9,766,512 | |||
Net asset value, offering and redemption price per share: | ||||
Institutional | $11.43 | |||
Service | 11.44 | |||
(a) | Includes loaned securities having a market value of $805,420. |
Investment income: | ||||
Dividends (net of foreign taxes withheld of $173) | $ | 4,683,453 | ||
Securities lending income — affiliated issuer | 5,946 | |||
Total investment income | 4,689,399 | |||
Expenses: | ||||
Management fees | 1,336,788 | |||
Distribution and Service fees — Service Class | 140,220 | |||
Printing and mailing costs | 51,801 | |||
Transfer Agent fees(a) | 43,119 | |||
Professional fees | 38,592 | |||
Custody and accounting fees | 30,305 | |||
Trustee fees | 8,644 | |||
Other | 10,051 | |||
Total expenses | 1,659,520 | |||
Less — expense reductions | (153,206 | ) | ||
Net expenses | 1,506,314 | |||
NET INVESTMENT INCOME | 3,183,085 | |||
Realized and unrealized gain from investment and futures transactions: | ||||
Net realized gain from: | ||||
Investment transactions | 16,065,978 | |||
Futures transactions | 315,993 | |||
Net change in unrealized gain on: | ||||
Investments | 14,558,130 | |||
Futures | 141,532 | |||
Net realized and unrealized gain from investment and futures transactions | 31,081,633 | |||
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS | $ | 34,264,718 | ||
(a) | Institutional and Service Shares had Transfer Agent fees of $31,902 and $11,217, respectively. |
For the | ||||||||
Six Months Ended | For the | |||||||
June 30, 2011 | Fiscal Year Ended | |||||||
(Unaudited) | December 31, 2010 | |||||||
From operations: | ||||||||
Net investment income | $ | 3,183,085 | $ | 5,975,139 | ||||
Net realized gain from investment and futures transactions | 16,381,971 | 21,165,168 | ||||||
Net change in unrealized gain on investments and futures | 14,699,662 | 23,637,904 | ||||||
Net increase in net assets resulting from operations | 34,264,718 | 50,778,211 | ||||||
Distributions to shareholders: | ||||||||
From net investment income | ||||||||
Institutional Shares | — | (4,505,171 | ) | |||||
Service Shares | — | (1,334,105 | ) | |||||
Total distributions to shareholders | — | (5,839,276 | ) | |||||
From share transactions: | ||||||||
Proceeds from sales of shares | 13,098,305 | 8,446,580 | ||||||
Reinvestment of distributions | — | 5,839,276 | ||||||
Cost of shares redeemed | (53,710,147 | ) | (81,171,074 | ) | ||||
Net decrease in net assets resulting from share transactions | (40,611,842 | ) | (66,885,218 | ) | ||||
TOTAL DECREASE | (6,347,124 | ) | (21,946,283 | ) | ||||
Net assets: | ||||||||
Beginning of period | 431,119,640 | 453,065,923 | ||||||
End of period | $ | 424,772,516 | $ | 431,119,640 | ||||
Accumulated undistributed net investment income | $ | 3,592,573 | $ | 409,488 | ||||
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 | period | to average | to average | to average | turnover | |||||||||||||||||||||||||||||||||||||||||||||
Year - Share Class | of period | income(a) | gain (loss) | operations | income | gains | distributions | period | return(b) | (in 000s) | net assets | net assets | net assets | rate | ||||||||||||||||||||||||||||||||||||||||||||
FOR THE SIX MONTHS ENDED JUNE 30, (UNAUDITED) | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
2011 - Institutional | $ | 10.57 | $ | 0.08 | $ | 0.78 | $ | 0.86 | $ | — | $ | — | $ | — | $ | 11.43 | 8.23 | % | $ | 313,075 | 0.64 | %(c) | 0.70 | %(c) | 1.53 | %(c) | 16 | % | ||||||||||||||||||||||||||||||
2011 - Service | 10.58 | 0.07 | 0.79 | 0.86 | — | — | — | 11.44 | 8.13 | 111,698 | 0.85 | (c) | 0.95 | (c) | 1.32 | (c) | 16 | |||||||||||||||||||||||||||||||||||||||||
FOR THE FISCAL YEAR 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 | (d) | 0.72 | (d) | 1.02 | (d) | 125 | |||||||||||||||||||||||||||||||||||
2007 - Service | 14.67 | 0.14 | (0.37 | ) | (0.23 | ) | (0.15 | ) | (1.13 | ) | (1.28 | ) | 13.16 | (1.72 | ) | 205,997 | 0.79 | (d) | 0.97 | (d) | 0.94 | (d) | 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 | (c) | 0.97 | (c) | 0.92 | (c) | 99 | |||||||||||||||||||||||||||||||||||||||
(a) | Calculated based on the average shares outstanding methodology. | |
(b) | Assumes investment at the net asset value at the beginning of the period, reinvestment of all distributions and a complete redemption of the investment at the net asset value at the end of the period. Total returns for periods less than one full year are not annualized. | |
(c) | Annualized. | |
(d) | Includes non-recurring expense for a special shareholder meeting which amounted to approximately 0.02% of average net assets. |
1. ORGANIZATION |
2. SIGNIFICANT ACCOUNTING POLICIES |
2. SIGNIFICANT ACCOUNTING POLICIES (continued) |
3. FAIR VALUE OF INVESTMENTS |
Investment Type | Level 1 | Level 2 | Level 3 | |||||||||
Assets | ||||||||||||
Common Stock and/or Other Equity Investments | $ | 416,983,503 | $ | — | $ | — | ||||||
Short-term Investment | 8,860,962 | — | — | |||||||||
Securities Lending Reinvestment Vehicle | 819,500 | — | — | |||||||||
Total | $ | 426,663,965 | $ | — | $ | — | ||||||
Derivatives Type | ||||||||||||
Assets | ||||||||||||
Futures Contracts(a) | $ | 243,862 | $ | — | $ | — | ||||||
(a) | Amount shown represents unrealized gain (loss) at period end. |
4. INVESTMENTS IN DERIVATIVES |
4. INVESTMENTS IN DERIVATIVES (continued) |
Statement of | ||||||||||
Assets and Liabilities | ||||||||||
Risk | Location | Assets | ||||||||
Equity | Due from broker — variation margin | $ | 243,862(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. |
Net | Net Change in | Average | |||||||||||||
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 | $ | 315,993 | $ | 141,532 | 122 | |||||||||
(a) | Average number of contracts is based on the average of month end balances for the six months ended June 30, 2011. |
5. AGREEMENTS AND AFFILIATED TRANSACTIONS |
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 | % | ||||||||||
5. AGREEMENTS AND AFFILIATED TRANSACTIONS (continued) |
6. PORTFOLIO SECURITIES TRANSACTIONS |
7. SECURITIES LENDING |
7. SECURITIES LENDING (continued) |
Number of | Number of | |||||||||||||||
Shares Held | Shares Held | Value at End | ||||||||||||||
Beginning of Period | Shares Bought | Shares Sold | End of Period | of Period | ||||||||||||
644 | 1,286 | (1,110 | ) | 820 | $ | 820 | ||||||||||
8. TAX INFORMATION |
Capital loss carryforward:(1) | ||||
Expiring 2016 | $ | (100,034,314 | ) | |
Expiring 2017 | (139,998,215 | ) | ||
Total capital loss carryforward | $ | (240,032,529 | ) | |
(1) | Expiration occurs on December 31 of the year indicated. |
Tax cost | $ | 343,934,348 | ||
Gross unrealized gain | 90,471,127 | |||
Gross unrealized loss | (7,741,510 | ) | ||
Net unrealized security gain | $ | 82,729,617 | ||
9. OTHER RISKS |
9. OTHER RISKS (continued) |
10. INDEMNIFICATIONS |
11. SUBSEQUENT EVENTS |
12. SUMMARY OF SHARE TRANSACTIONS |
For the Six Months Ended | ||||||||||||||||
June 30, 2011 | For the Fiscal Year Ended | |||||||||||||||
(Unaudited) | December 31, 2010 | |||||||||||||||
Shares | Dollars | Shares | Dollars | |||||||||||||
Institutional Shares | ||||||||||||||||
Shares sold | 131,265 | $ | 9,586,250 | 635,836 | $ | 5,898,249 | ||||||||||
Reinvestment of distributions | — | — | 426,626 | 4,505,171 | ||||||||||||
Shares redeemed | (3,027,868 | ) | (41,931,501 | ) | (6,622,266 | ) | (64,503,333 | ) | ||||||||
(2,896,603 | ) | (32,345,251 | ) | (5,559,804 | ) | (54,099,913 | ) | |||||||||
Service Shares | ||||||||||||||||
Shares sold | 55,463 | 3,512,055 | 264,407 | 2,548,331 | ||||||||||||
Reinvestment of distributions | — | — | 126,097 | 1,334,105 | ||||||||||||
Shares redeemed | (796,054 | ) | (11,778,646 | ) | (1,710,786 | ) | (16,667,741 | ) | ||||||||
(740,591 | ) | (8,266,591 | ) | (1,320,282 | ) | (12,785,305 | ) | |||||||||
NET DECREASE | (3,637,194 | ) | $ | (40,611,842 | ) | (6,880,086 | ) | $ | (66,885,218 | ) | ||||||
(a) | the nature and quality of the advisory, administrative and other services provided to the Fund by the Investment Adviser and its affiliates, including information about: |
(i) | the structure, staff and capabilities of the Investment Adviser and its portfolio management teams; | |
(ii) | the groups within the Investment Adviser and its affiliates that support the portfolio management teams or provide other types of necessary services, including fund services groups (e.g., accounting and financial reporting, tax, shareholder services and operations), controls and risk management groups (e.g., legal, compliance, valuation oversight, credit risk management, internal audit, market risk analysis, finance and strategy and central funding), sales and distribution support groups and others (e.g., information technology and training); | |
(iii) | trends in headcount; | |
(iv) | the Investment Adviser’s financial resources and ability to hire and retain talented personnel and strengthen its operations; and | |
(v) | the parent company’s support of the Investment Adviser and its mutual fund business, as expressed by the firm’s senior management; |
(b) | information on the investment performance of the Fund, including comparisons to the performance of similar mutual funds, as provided by a third party mutual fund data provider engaged as part of the contract review process (the “Outside Data Provider”), and its benchmark performance index, and general investment outlooks in the markets in which the Fund invests; | |
(c) | the terms of the Management Agreement and agreements with affiliated service providers entered into by the Trust on behalf of the Fund; | |
(d) | expense information for the Fund, including: |
(i) | the relative management fee and expense level of the Fund as compared to those of comparable funds managed by other advisers, as provided by the Outside Data Provider; | |
(ii) | the Fund’s expense trends over time; and | |
(iii) | to the extent the Investment Adviser manages institutional accounts or collective investment vehicles having investment objectives and policies similar to those of the Fund, comparative information on the advisory fees charged and services provided to those accounts by the Investment Adviser; |
(e) | with respect to the extensive investment performance and expense comparison data provided by the Outside Data Provider, its processes in producing that data for the Fund; | |
(f) | the undertakings of the Investment Adviser and Goldman, Sachs & Co. (“Goldman Sachs”), the Fund’s affiliated distributor, to reimburse certain expenses of the Fund and waive certain distribution and service fees that exceed specified levels, and a summary of contractual fee reductions made by the Investment Adviser and its affiliates over the past several years with respect to the Fund; | |
(g) | information relating to the profitability of the Management Agreement and the transfer agency and distribution and service arrangements of the Fund and the Trust as a whole to the Investment Adviser and its affiliates; | |
(h) | whether the Fund’s existing management fee schedule adequately addressed any economies of scale; | |
(i) | a summary of the “fall-out” benefits derived by the Investment Adviser and its affiliates from their relationships with the Fund, including the fees received by the Investment Adviser’s affiliates from the Fund for transfer agency, securities lending, portfolio brokerage, distribution and other services; | |
(j) | a summary of potential benefits derived by the Fund as a result of its relationship with the Investment Adviser; | |
(k) | information regarding commissions paid by the Fund, portfolio trading and how the Investment Adviser carries out its duty to seek best execution; | |
(l) | the manner in which portfolio manager compensation is determined, and the number and types of accounts managed by the portfolio managers; | |
(m) | the nature and quality of the services provided to the Fund by its unaffiliated service providers, and the Investment Adviser’s general oversight and evaluation (including reports on due diligence) of those service providers as part of the administration services provided under the Management Agreement; and | |
(n) | the Investment Adviser’s processes and policies addressing various types of potential conflicts of interest; its approach to risk management; the annual review of the effectiveness of the Fund’s compliance program; and compliance reports. |
First $1 billion | 0.62 | % | ||
Next $1 billion | 0.59 | |||
Next $3 billion | 0.56 | |||
Next $3 billion | 0.55 | |||
Over $8 billion | 0.54 |
Expenses Paid | |||||||||||||||
for the | |||||||||||||||
Beginning | Ending | 6 Months | |||||||||||||
Account Value | Account Value | Ended | |||||||||||||
Share Class | 1/01/11 | 6/30/11 | 6/30/11* | ||||||||||||
Institutional | |||||||||||||||
Actual | $ | 1,000 | $ | 1,082.30 | $ | 3.30 | |||||||||
Hypothetical 5% return | 1,000 | 1,021.62 | + | 3.21 | |||||||||||
Service | |||||||||||||||
Actual | 1,000 | 1,081.30 | 4.39 | ||||||||||||
Hypothetical 5% return | 1,000 | 1,020.58 | + | 4.26 | |||||||||||
* | Expenses for each share class are calculated using the Fund’s annualized net expense ratio for each class, which represents the ongoing expenses as a percentage of net assets for the six months ended June 30, 2011. 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. |
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 | 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. | ||
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. | ||
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. | ||
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. | ||
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. | ||
The portfolio risk management process includes an effort to monitor and manage risk, but does not imply low risk. | ||
Shares of the Goldman Sachs VIT 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 Fund are not offered directly to the general public. The variable annuity contracts and variable life insurance policies are described in the separate prospectuses issued by participating insurance companies. You should refer to those prospectuses for information about surrender charges, mortality and expense risk fees and other charges that may be assessed by participating insurance companies under the variable annuity contracts or variable life insurance policies. Such fees or charges, if any, may affect the return you may realize with respect to your investments. Ask your representative for more complete information. Please consider a fund’s objectives, risks and charges and expenses, and read the prospectus carefully before investing. The prospectus contains this and other information about the Fund. | ||
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. | ||
VITUSSAR11/57661.MF.MED.TMPL/8/2011 |
MONEY MARKET FUND† |
(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. |
Principal | Interest | Maturity | Amortized | |||||||||||
Amount | Rate | Date | Cost | |||||||||||
Commercial Paper and Corporate Obligations – 16.8% | ||||||||||||||
Amsterdam Funding Corp. | ||||||||||||||
$ | 2,000,000 | 0.320 | % | 07/18/11 | $ | 1,999,698 | ||||||||
Argento Variable Funding Co. LLC | ||||||||||||||
2,000,000 | 0.300 | 07/06/11 | 1,999,917 | |||||||||||
Aspen Funding Corp. | ||||||||||||||
3,051,000 | 0.230 | 08/30/11 | 3,049,830 | |||||||||||
BPCE SA | ||||||||||||||
3,000,000 | 0.310 | 09/01/11 | 2,998,398 | |||||||||||
Charta LLC | ||||||||||||||
1,000,000 | 0.230 | 09/06/11 | 999,572 | |||||||||||
Ciesco LLC | ||||||||||||||
1,000,000 | 0.230 | 09/06/11 | 999,572 | |||||||||||
Grampian Funding LLC | ||||||||||||||
4,000,000 | 0.260 | 08/01/11 | 3,999,104 | |||||||||||
Hannover Funding Co. LLC | ||||||||||||||
1,000,000 | 0.471 | 09/20/11 | 998,943 | |||||||||||
Nationwide Building Society | ||||||||||||||
2,000,000 | 0.240 | 09/06/11 | 1,999,107 | |||||||||||
Newport Funding Corp. | ||||||||||||||
2,000,000 | 0.270 | 07/06/11 | 1,999,925 | |||||||||||
Northern Pines Funding LLC | ||||||||||||||
2,000,000 | 0.360 | 07/21/11 | 1,999,600 | |||||||||||
Standard Chartered Bank | ||||||||||||||
1,500,000 | 0.290 | 07/11/11 | 1,499,879 | |||||||||||
Tasman Funding, Inc. | ||||||||||||||
1,000,000 | 0.270 | 07/14/11 | 999,902 | |||||||||||
TOTAL COMMERCIAL PAPER AND CORPORATE OBLIGATIONS | $ | 25,543,447 | ||||||||||||
Eurodollar Certificates of Deposit – 2.6% | ||||||||||||||
Credit Agricole SA | ||||||||||||||
$ | 2,000,000 | 0.330 | % | 08/05/11 | $ | 2,000,019 | ||||||||
2,000,000 | 0.300 | 09/06/11 | 2,000,000 | |||||||||||
TOTAL EURODOLLAR CERTIFICATES OF DEPOSIT | $ | 4,000,019 | ||||||||||||
Municipal Debt Obligations – 1.2% | ||||||||||||||
Georgia Municipal Electric Authority | ||||||||||||||
$ | 1,150,000 | 0.500 | % | 08/03/11 | $ | 1,150,000 | ||||||||
State of Texas TRANS Series 2010 | ||||||||||||||
650,000 | 2.000 | 08/31/11 | 651,763 | |||||||||||
TOTAL MUNICIPAL DEBT OBLIGATIONS | $ | 1,801,763 | ||||||||||||
U.S. Government Agency Obligations – 11.3% | ||||||||||||||
Federal Farm Credit Bank | ||||||||||||||
$ | 1,000,000 | 0.148 | %(a) | 01/27/12 | $ | 999,781 | ||||||||
200,000 | 0.311 | (a) | 11/01/12 | 200,000 | ||||||||||
Federal Home Loan Bank | ||||||||||||||
500,000 | 0.090 | (a) | 07/11/11 | 499,992 | ||||||||||
1,000,000 | 0.310 | 10/05/11 | 999,989 | |||||||||||
700,000 | 0.300 | 10/21/11 | 700,000 | |||||||||||
1,000,000 | 0.151 | (a) | 01/26/12 | 999,826 | ||||||||||
1,000,000 | 0.143 | (a) | 01/30/12 | 999,789 | ||||||||||
1,000,000 | 0.143 | (a) | 02/03/12 | 999,814 | ||||||||||
Federal Home Loan Mortgage Corp. | ||||||||||||||
300,000 | 0.202 | (a) | 08/05/11 | 299,994 | ||||||||||
4,000,000 | 0.291 | 09/13/11 | 3,997,616 | |||||||||||
1,400,000 | 0.110 | (a) | 01/11/12 | 1,399,629 | ||||||||||
1,000,000 | 0.140 | (a) | 05/03/13 | 999,255 | ||||||||||
Federal National Mortgage Association | ||||||||||||||
3,000,000 | 0.432 | 07/07/11 | 2,999,785 | |||||||||||
1,000,000 | 0.216 | (a) | 12/28/12 | 999,703 | ||||||||||
TOTAL U.S. GOVERNMENT AGENCY OBLIGATIONS | $ | 17,095,173 | ||||||||||||
U.S. Treasury Obligation – 0.1% | ||||||||||||||
United States Treasury Note | ||||||||||||||
$ | 100,000 | 0.750 | % | 11/30/11 | $ | 100,185 | ||||||||
Variable Rate Municipal Debt Obligations(a) – 16.4% | ||||||||||||||
Bay Area Toll Authority California Toll Bridge VRDN RB Series 2006 C2 RMKT (Morgan Stanley Bank LOC) | ||||||||||||||
$ | 1,000,000 | 0.040 | % | 04/01/45 | $ | 1,000,000 | ||||||||
BlackRock MuniEnhanced Fund, Inc. VRDN Tax-Exempt Preferreds Series 2011 (Citibank N.A.)(b) | ||||||||||||||
300,000 | 0.290 | 06/01/41 | 300,000 | |||||||||||
BlackRock MuniHoldings Investment Quality Fund VRDN Tax-Exempt Preferreds Series 2011 W-7-2746 (Bank of America N.A.)(b) | ||||||||||||||
300,000 | 0.300 | 07/01/41 | 300,000 | |||||||||||
BlackRock MuniYield Fund, Inc. VRDN Tax-Exempt Preferreds Series 2011 W-7-2514 (Bank of America N.A.)(b) | ||||||||||||||
300,000 | 0.300 | 07/01/41 | 300,000 | |||||||||||
BlackRock MuniYield Investment Fund VRDN Tax-Exempt Preferreds Series 2011 (Citibank N.A.)(b) | ||||||||||||||
300,000 | 0.290 | 06/01/41 | 300,000 | |||||||||||
BlackRock Muniyield Quality Fund III, Inc. VRDN Tax-Exempt Preferreds Series 2011 (Citibank N.A.)(b) | ||||||||||||||
300,000 | 0.290 | 06/01/41 | 300,000 | |||||||||||
California Health Facilities Financing Authority VRDN RB for Catholic Healthcare West Series 2005 H (Bank of America N.A. LOC) | ||||||||||||||
1,000,000 | 0.060 | 07/01/35 | 1,000,000 | |||||||||||
California State Department of Water Resources Power Supply VRDN RB Series 2002 B6 (California State Teachers Retirement System and JPMorgan Bank N.A.) | ||||||||||||||
1,450,000 | 0.070 | 05/01/22 | 1,450,000 | |||||||||||
California Statewide Communities Development Authority MF Hsg. VRDN RB for Hermosa Vista Apartments Series 2003 XX (FNMA) | ||||||||||||||
700,000 | 0.090 | 05/15/36 | 700,000 |
Principal | Interest | Maturity | Amortized | |||||||||||
Amount | Rate | Date | Cost | |||||||||||
Variable Rate Municipal Debt Obligations(a) – (continued) | ||||||||||||||
Chicago, Illinois Board of Education GO VRDN Refunding Series 2009 B (U.S. Bank N.A. LOC) | ||||||||||||||
$ | 600,000 | 0.050 | % | 03/01/31 | $ | 600,000 | ||||||||
Colorado Educational & Cultural Facilities Authority VRDN RB Taxable for Nature Conservancy Series 2008 A (Bank of America N.A. SPA) | ||||||||||||||
1,000,000 | 0.150 | 07/01/33 | 1,000,000 | |||||||||||
Connecticut State Health & Educational Facilities Authority VRDN RB for Yale University Series 1997 T2 (Credit Local de France, Toronto Dominion Bank, and Landesbank Hessen-Thueringen Girozentrale) | ||||||||||||||
1,500,000 | 0.030 | 07/01/29 | 1,500,000 | |||||||||||
County of Mecklenburg, North Carolina GO VRDN Series 2006 A (Wells Fargo Bank N.A. SPA) | ||||||||||||||
500,000 | 0.080 | 02/01/26 | 500,000 | |||||||||||
Indiana Finance Authority Hospital VRDN RB for Indiana University Health Series 2011 K (JPMorgan Chase Bank N.A. LOC) | ||||||||||||||
960,000 | 0.100 | 03/01/33 | 960,000 | |||||||||||
Loudoun County, Virginia Industrial Development Authority VRDN RB for Howard Hughes Medical Institute Series 2003 C | ||||||||||||||
805,000 | 0.040 | 02/15/38 | 805,000 | |||||||||||
Massachusetts State Development Finance Agency VRDN RB for Partners HealthCare Systems Series 2011 K2 (Barclays Bank SPA) | ||||||||||||||
1,000,000 | 0.030 | 07/01/46 | 1,000,000 | |||||||||||
Massachusetts State Water Resources Authority VRDN RB Refunding Series 2008 A3 RMKT (GO of Authority) (Wells Fargo Bank N.A. SPA) | ||||||||||||||
1,300,000 | 0.060 | 08/01/37 | 1,300,000 | |||||||||||
Missouri State Health & Educational Facilities Authority VRDN RB for Saint Luke’s Health System Series 2008 A (Bank of America N.A. LOC) | ||||||||||||||
1,100,000 | 0.100 | 11/15/40 | 1,100,000 | |||||||||||
Nebraska Investment Finance Authority SF Hsg VRDN RB Series 2010 C (FHLMC) (FNMA) (GNMA) (FHLB SPA) | ||||||||||||||
1,000,000 | 0.070 | 09/01/32 | 1,000,000 | |||||||||||
New York City, New York Transitional Finance Authority VRDN RB for Future Tax Secured Series 1998 A1 (Westdeutsche Landesbank AG SPA) | ||||||||||||||
1,000,000 | 0.070 | 11/15/28 | 1,000,000 | |||||||||||
New York City, New York Transitional Finance Authority VRDN RB for Future Tax Secured Series 2001 B (Westdeutsche Landesbank AG) | ||||||||||||||
1,000,000 | 0.210 | 05/01/30 | 1,000,000 | |||||||||||
New York City, New York Transitional Finance Authority VRDN RB Series 2002 Subseries 2F (Bayerische Landesbank) | ||||||||||||||
1,085,000 | 0.060 | 11/01/22 | 1,085,000 | |||||||||||
New York State Local Government Assistance Corp. VRDN RB Refunding Series 2008 B-7V (GO of Corp.) (JPMorgan Chase Bank SPA) | ||||||||||||||
600,000 | 0.050 | 04/01/20 | 600,000 | |||||||||||
North Carolina Medical Care Commission Hospital GO VRDN for Duke University Hospital Project Series 1993 A (Wells Fargo Bank N.A. SPA) | ||||||||||||||
650,000 | 0.060 | 06/01/23 | 650,000 | |||||||||||
Private Colleges & Universities Authority VRDN RB for Emory University Series 2005 B1 | ||||||||||||||
1,350,000 | 0.050 | 09/01/35 | 1,350,000 | |||||||||||
Tarrant County, Texas Cultural Education Facilities Finance Corp. VRDN RB for Texas Health Resources Series 2008 B | ||||||||||||||
1,000,000 | 0.050 | 11/15/33 | 1,000,000 | |||||||||||
University of Alabama VRDN RB Series 1993 B | ||||||||||||||
900,000 | 0.260 | 10/01/13 | 900,000 | |||||||||||
Washington State Housing Finance Commission MF Hsg. VRDN RB for Queen Anne Project Series 2004 A (FNMA) | ||||||||||||||
1,180,000 | 0.090 | % | 09/01/38 | 1,180,000 | ||||||||||
Washington State Housing Finance Commission MF Hsg. VRDN RB for Vintage at Spokane Senior Living Project Series 2006 A (FNMA) | ||||||||||||||
795,000 | 0.100 | 08/15/40 | 795,000 | |||||||||||
TOTAL VARIABLE RATE MUNICIPAL DEBT OBLIGATIONS | $ | 24,975,000 | ||||||||||||
Variable Rate Obligations(a) – 12.5% | ||||||||||||||
Bank of Nova Scotia | ||||||||||||||
$ | 1,000,000 | 0.300 | % | 07/10/12 | $ | 1,000,000 | ||||||||
BNP Paribas Securities Corp. | ||||||||||||||
1,000,000 | 0.440 | 09/09/11 | 1,000,000 | |||||||||||
Commonwealth Bank of Australia | ||||||||||||||
2,000,000 | 0.273 | (b) | 05/25/12 | 1,999,813 | ||||||||||
Cooperative Centrale Raiffeisen – Boerenleenbank BA | ||||||||||||||
1,000,000 | 0.400 | 10/18/11 | 1,000,000 | |||||||||||
JPMorgan Chase Bank, N.A. | ||||||||||||||
1,000,000 | 0.304 | 07/17/12 | 1,000,000 | |||||||||||
3,000,000 | 0.226 | 07/20/12 | 3,000,000 | |||||||||||
Lloyds TSB Bank PLC | ||||||||||||||
2,000,000 | 0.372 | 11/07/11 | 2,000,000 | |||||||||||
Rabobank Nederland NV | ||||||||||||||
1,000,000 | 0.331 | (b) | 06/15/12 | 1,000,000 | ||||||||||
Societe Generale | ||||||||||||||
2,000,000 | 0.470 | 09/09/11 | 2,000,000 | |||||||||||
UBS AG | ||||||||||||||
2,000,000 | 0.354 | 10/07/11 | 2,000,000 | |||||||||||
Westpac Banking Corp. | ||||||||||||||
1,000,000 | 0.333 | (b) | 07/06/12 | 1,000,000 | ||||||||||
Westpac Securities New Zealand Ltd. | ||||||||||||||
1,000,000 | 0.296 | (b) | 10/18/11 | 1,000,000 | ||||||||||
1,000,000 | 0.353 | (b) | 11/04/11 | 1,000,000 | ||||||||||
TOTAL VARIABLE RATE OBLIGATIONS | $ | 18,999,813 | ||||||||||||
Yankee Certificates of Deposit – 9.2% | ||||||||||||||
Credit Industriel et Commercial SA | ||||||||||||||
$ | 4,000,000 | 0.290 | % | 09/02/11 | $ | 4,000,000 | ||||||||
Lloyds TSB Bank PLC | ||||||||||||||
1,000,000 | 0.445 | 07/05/11 | 1,000,000 | |||||||||||
Mitsubishi UFJ Trust and Banking Corp. | ||||||||||||||
2,000,000 | 0.250 | 07/15/11 | 2,000,000 |
Principal | Interest | Maturity | Amortized | |||||||||||
Amount | Rate | Date | Cost | |||||||||||
Yankee Certificates of Deposit – (continued) | ||||||||||||||
Mizuho Corporate Bank | ||||||||||||||
$ | 4,000,000 | 0.260 | % | 07/05/11 | $ | 4,000,000 | ||||||||
Norinchukin Bank | ||||||||||||||
2,000,000 | 0.310 | 08/11/11 | 2,000,000 | |||||||||||
Sumitomo Mitsui Banking Corp. | ||||||||||||||
1,000,000 | 0.300 | 07/05/11 | 1,000,000 | |||||||||||
TOTAL YANKEE CERTIFICATES OF DEPOSIT | $ | 14,000,000 | ||||||||||||
TOTAL INVESTMENTS BEFORE REPURCHASE AGREEMENTS | $ | 106,515,400 | ||||||||||||
Repurchase Agreements(c) – 29.9% | ||||||||||||||
Barclays Capital, Inc. | ||||||||||||||
$ | 1,000,000 | 0.900 | %(d) | 04/24/12 | $ | 1,000,000 | ||||||||
Maturity Value: $1,009,075 | ||||||||||||||
Settlement Date: 04/27/11 | ||||||||||||||
Collateralized by various corporate securities, 1.000% to 7.000%, due 05/01/14 to 12/15/37. The aggregate market value of the collateral, including accrued interest, was $1,100,302. | ||||||||||||||
BNP Paribas Securities Corp. | ||||||||||||||
2,000,000 | 0.140 | 07/01/11 | 2,000,000 | |||||||||||
Maturity Value: $2,000,008 | ||||||||||||||
Collateralized by a corporate issuer, 5.750%, due 09/28/11. The market value of the collateral, including accrued interest, was $2,100,000. | ||||||||||||||
2,000,000 | 0.130 | 09/01/11 | 2,000,000 | |||||||||||
Maturity Value: $2,000,874 | ||||||||||||||
Settlement Date: 05/03/11 | ||||||||||||||
Collateralized by Federal Home Loan Mortgage Corp., 3.500% to 1055.563%, due 03/15/17 to 01/15/40, Federal National Mortgage Association, 0.000% to 6.500%, due 06/25/21 to 11/25/36, and Government National Mortgage Association, 5.500%, due 01/20/32. The aggregate market value of the collateral, including accrued interest, was $2,083,823. | ||||||||||||||
1,000,000 | 0.745 | (d) | 03/16/12 | 1,000,000 | ||||||||||
Maturity Value: $1,005,672 | ||||||||||||||
Settlement Date: 06/13/11 | ||||||||||||||
Collateralized by various corporate securities, 5.875% to 10.500%, due 07/15/12 to 05/15/15. The aggregate market value of the collateral, including accrued interest, was $1,115,387. | ||||||||||||||
Deutsche Bank Securities, Inc. | ||||||||||||||
2,000,000 | 0.370 | 07/01/11 | 2,000,000 | |||||||||||
Maturity Value: $2,000,021 | ||||||||||||||
Collateralized by various corporate securities, 1.500% to 8.500%, due 10/15/11 to 12/31/49. The aggregate market value of the collateral, including accrued interest, was $2,200,074. | ||||||||||||||
Joint Repurchase Agreement Account III | ||||||||||||||
32,400,000 | 0.064 | 07/01/11 | 32,400,000 | |||||||||||
Morgan Stanley | ||||||||||||||
2,000,000 | 1.272 | (d) | 05/03/12 | 2,000,000 | ||||||||||
Settlement Date: 05/05/11 | ||||||||||||||
Collateralized by various asset-backed obligations, 0.000% to 5.890%, due 10/20/14 to 12/20/49, and mortgage-backed obligations, 0.000% to 6.786%, due 08/25/22 to 02/12/51. The aggregate market value of the collateral, including accrued interest, was $2,499,999. | ||||||||||||||
RBS Securities, Inc. | ||||||||||||||
3,000,000 | 0.420 | 07/01/11 | 3,000,000 | |||||||||||
Maturity Value: $3,000,035 | ||||||||||||||
Collateralized by various mortgage-backed obligations, 0.466% to 1.055%, due 02/20/34 to 11/25/45. The aggregate market value of the collateral, including accrued interest, was $3,450,002. | ||||||||||||||
TOTAL REPURCHASE AGREEMENTS | $ | 45,400,000 | ||||||||||||
TOTAL INVESTMENTS – 100.0% | $ | 151,915,400 | ||||||||||||
OTHER ASSETS IN EXCESS OF LIABILITIES – 0.0% | 73,824 | |||||||||||||
NET ASSETS – 100.0% | $ | 151,989,224 | ||||||||||||
(a) | Variable or floating rate security. Interest rate disclosed is that which is in effect at June 30, 2011. | |
(b) | Security not registered under the Securities Act of 1933, as amended. Such securities have been determined to be liquid by the Investment Adviser. At June 30, 2011, these securities amounted to $7,499,813 or approximately 4.9% of net assets. | |
(c) | Unless noted, all repurchase agreements were entered into on June 30, 2011. Additional information on Joint Repurchase Agreement Account III appears on page 10. | |
(d) | Security not registered under the Securities Act of 1933, as amended. Such securities have been determined to be illiquid by the Investment Adviser. At June 30, 2011, these securities amounted to $4,000,000 or approximately 2.6% of net assets. |
Investment Abbreviations: | ||||
FHLB | — | Insured by Federal Home Loan Bank | ||
FHLMC | — | Insured by Federal Home Loan Mortgage Corp. | ||
FNMA | — | Insured by Federal National Mortgage Association | ||
GNMA | — | Insured by Government National Mortgage Association | ||
GO | — | General Obligation | ||
LOC | — | Letter of Credit | ||
MF Hsg. | — | Multi-Family Housing | ||
RB | — | Revenue Bond | ||
RMKT | — | Remarketed | ||
SF Hsg | — | Single-Family Housing | ||
SPA | — | Stand-by Purchase Agreement | ||
TRANS | — | Tax Revenue Anticipation Notes | ||
VRDN | — | Variable Rate Demand Notes | ||
ADDITIONAL INVESTMENT INFORMATION |
Interest | Principal | |||||||
Counterparty | Rate | Amount | ||||||
Barclays Capital, Inc. | 0.010 | % | $ | 1,768,881 | ||||
BNP Paribas Securities Corp. | 0.080 | 3,832,575 | ||||||
Citibank, N.A. | 0.080 | 1,474,067 | ||||||
Citigroup Global Markets, Inc. | 0.080 | 2,004,732 | ||||||
Deutsche Bank Securities, Inc. | 0.060 | 1,356,142 | ||||||
UBS Securities LLC | 0.060 | 17,806,733 | ||||||
Wells Fargo Securities LLC | 0.080 | 4,156,870 | ||||||
TOTAL | $ | 32,400,000 | ||||||
Interest | Maturity | |||||||
Issuer | Rates | Dates | ||||||
Federal Farm Credit Bank | 0.115% | 01/28/13 | ||||||
Federal Home Loan Mortgage Corp. | 0.070 to 6.50% | 01/25/12 to 06/01/41 | ||||||
Federal National Mortgage Association | 0.270 to 7.00% | 11/23/12 to 02/01/48 | ||||||
Government National Mortgage Association | 3.500 to 5.500% | 05/15/25 to 05/20/41 | ||||||
Assets: | ||||
Investments in securities, at value based on amortized cost | $ | 106,515,400 | ||
Repurchase agreements, at value based on amortized cost | 45,400,000 | |||
Cash | 96,468 | |||
Receivables: | ||||
Reimbursement from investment adviser | 52,338 | |||
Interest | 42,522 | |||
Other assets | 900 | |||
Total assets | 152,107,628 | |||
Liabilities: | ||||
Payables: | ||||
Amounts owed to affiliates | 29,245 | |||
Accrued expenses | 88,453 | |||
Total liabilities | 117,698 | |||
Net Assets: | ||||
Paid-in capital | 151,989,930 | |||
NET ASSETS | $ | 151,989,930 | ||
Total Service Shares of beneficial interest outstanding, $0.001 par value (unlimited shares authorized) | 151,989,507 | |||
Net asset value, offering and redemption price per share | $1.00 | |||
Investment Income: | ||||
Interest | $ | 187,324 | ||
Expenses: | ||||
Distribution and Service fees | 157,006 | |||
Management fees | 128,745 | |||
Professional fees | 68,118 | |||
Custody and accounting fees | 39,866 | |||
Printing and mailing costs | 21,822 | |||
Transfer Agent fees | 12,560 | |||
Trustee fees | 8,265 | |||
Other | 4,158 | |||
Total expenses | 440,540 | |||
Less — expense reductions | (256,921 | ) | ||
Net expenses | 183,619 | |||
NET INVESTMENT INCOME | 3,705 | |||
NET REALIZED GAIN FROM INVESTMENT TRANSACTIONS | 948 | |||
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS | $ | 4,653 | ||
For the Six | For the Fiscal | |||||||
Months Ended | Year Ended | |||||||
June 30, 2011 (Unaudited) | December 31, 2010 | |||||||
From operations: | ||||||||
Net investment income | $ | 3,705 | $ | 1,313 | ||||
Net realized gain from investment transactions | 948 | 2,913 | ||||||
Net increase in net assets resulting from operations | 4,653 | 4,226 | ||||||
Distributions to shareholders: | ||||||||
From net investment income | (3,705 | ) | (1,313 | ) | ||||
From net realized gains | (948 | ) | (8,391 | ) | ||||
From capital | — | (1,451 | ) | |||||
Total distributions to shareholders | (4,653 | ) | (11,155 | ) | ||||
From share transactions (at net asset value of $1.00 per share): | ||||||||
Proceeds from sales of shares | 55,157,082 | 49,250,147 | ||||||
Reinvestment of distributions | 4,653 | 11,155 | ||||||
Cost of shares redeemed | (26,537,219 | ) | (69,236,185 | ) | ||||
Net increase (decrease) in net assets resulting from share transactions | 28,624,516 | (19,974,883 | ) | |||||
TOTAL INCREASE (DECREASE) | 28,624,516 | (19,981,812 | ) | |||||
Net assets: | ||||||||
Beginning of period | 123,365,414 | 143,347,226 | ||||||
End of period | $ | 151,989,930 | $ | 123,365,414 | ||||
Ratio of | Ratio of | |||||||||||||||||||||||||||||||||||||
Net asset | Distributions | Net asset | Net assets | Ratio of | total | net investment | ||||||||||||||||||||||||||||||||
value, | Net | from net | value, | end of | net expenses | expenses | income | |||||||||||||||||||||||||||||||
beginning | investment | investment | end | Total | period | to average | to average | to average | ||||||||||||||||||||||||||||||
of period | income(a) | income(b) | of period | return(c) | (in 000’s) | net assets | net assets | net assets | ||||||||||||||||||||||||||||||
FOR THE SIX MONTHS ENDED JUNE 30, (UNAUDITED) | ||||||||||||||||||||||||||||||||||||||
2011 | $ | 1.00 | $ | — | (d) | $ | — | (d) | $ | 1.00 | 0.01 | % | $ | 151,990 | 0.29 | %(e) | 0.70 | %(e) | 0.01 | %(e) | ||||||||||||||||||
FOR THE FISCAL YEARS ENDED DECEMBER 31, | ||||||||||||||||||||||||||||||||||||||
2010 | 1.00 | — | (d) | — | (d) | $ | 1.00 | 0.01 | % | $ | 123,365 | 0.33 | % | 0.68 | % | — | %(f) | |||||||||||||||||||||
2009 | 1.00 | 0.002 | (g) | (0.002 | )(g) | $ | 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(h) | 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 for 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) | Annualized. | |
(f) | Amount is less than 0.001% of average net assets. | |
(g) | Net investment income and distributions from net investment income contain $0.0002 of net realized capital gains and distributions from net realized gains. | |
(h) | 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 Money Market Fund issued Service Shares to the former shareholders of the Predecessor AIT Fund. |
1. ORGANIZATION |
2. SIGNIFICANT ACCOUNTING POLICIES |
2. SIGNIFICANT ACCOUNTING POLICIES (continued) |
3. FAIR VALUE OF INVESTMENTS |
Level 1 | Level 2 | Level 3 | ||||||||||
Assets | ||||||||||||
Corporate Obligations (including repurchase agreements) | $ | — | $ | 107,943,279 | $ | — | ||||||
Municipal Debt Obligations | — | 26,776,763 | — | |||||||||
U.S. Treasuries and/or Other U.S. Government Obligations and Agencies | 100,185 | 17,095,173 | — | |||||||||
Total | $ | 100,185 | $ | 151,815,215 | $ | — | ||||||
4. AGREEMENTS AND AFFILIATED TRANSACTIONS |
4. AGREEMENTS AND AFFILIATED TRANSACTIONS (continued) |
Ratio of net expenses to | ||||
average net assets | ||||
Fee/Expense Type | for the six months ended | |||
(contractual rate, if any) | June 30, 2011* | |||
Management Fee (0.205%) | 0.21 | % | ||
Distribution and Service Plan Fees (0.25%) | 0.06 | |||
Transfer Agency Fee (0.02%) | 0.02 | |||
Other Expenses | — | (a) | ||
Net Expenses | 0.29 | % | ||
* | Annualized | |
(a) | Amount is less than 0.005% of average net assets. |
5. OTHER RISKS |
6. INDEMNIFICATIONS |
7. SUBSEQUENT EVENTS |
(a) | the nature and quality of the advisory, administrative and other services provided to the Fund by the Investment Adviser and its affiliates, including information about: |
(i) | the structure, staff and capabilities of the Investment Adviser and its portfolio management teams; | |
(ii) | the groups within the Investment Adviser and its affiliates that support the portfolio management teams or provide other types of necessary services, including fund services groups (e.g., accounting and financial reporting, tax, shareholder services and operations), controls and risk management groups (e.g., legal, compliance, valuation oversight, credit risk management, internal audit, market risk analysis, finance and strategy and central funding), sales and distribution support groups and others (e.g., information technology and training); | |
(iii) | trends in headcount; | |
(iv) | the Investment Adviser’s financial resources and ability to hire and retain talented personnel and strengthen its operations; and | |
(v) | the parent company’s support of the Investment Adviser and its mutual fund business, as expressed by the firm’s senior management; |
(b) | information on the investment performance of the Fund, including comparisons to the performance of similar mutual funds, as provided by a third party mutual fund data provider engaged as part of the contract review process (the “Outside Data Provider”), and general investment outlooks in the markets in which the Fund invests; | |
(c) | the terms of the Management Agreement and agreements with affiliated service providers entered into by the Trust on behalf of the Fund; | |
(d) | expense information for the Fund, including: |
(i) | the relative management fee and expense level of the Fund as compared to those of comparable funds managed by other advisers, as provided by the Outside Data Provider; | |
(ii) | the Fund’s expense trends over time; and | |
(iii) | to the extent the Investment Adviser manages institutional accounts or collective investment vehicles having investment objectives and policies similar to those of the Fund, comparative information on the advisory fees charged and services provided to those accounts by the Investment Adviser; |
(e) | with respect to the extensive investment performance and expense comparison data provided by the Outside Data Provider, its processes in producing that data for the Fund; | |
(f) | the undertakings of the Investment Adviser and Goldman, Sachs & Co. (“Goldman Sachs”), the Fund’s affiliated distributor and transfer agent, to waive certain fees in order to maintain positive yields for the Fund and reimburse certain expenses of the Fund that exceed a specified level, and a summary of contractual fee reductions made by the Investment Adviser and its affiliates over the past several years with respect to the Fund; | |
(g) | information relating to the profitability of the Management Agreement and the transfer agency and distribution and service arrangements of the Fund and the Trust as a whole to the Investment Adviser and its affiliates; | |
(h) | whether the Fund’s existing management fee schedule adequately addressed any economies of scale; | |
(i) | a summary of the “fall-out” benefits derived by the Investment Adviser and its affiliates from their relationships with the Fund, including the fees received by the Investment Adviser’s affiliates from the Fund for transfer agency, distribution and other services; | |
(j) | a summary of potential benefits derived by the Fund as a result of its relationship with the Investment Adviser; | |
(k) | the nature and quality of the services provided to the Fund by its unaffiliated service providers, and the Investment Adviser’s general oversight and evaluation (including reports on due diligence) of those service providers as part of the administration services provided under the Management Agreement; and | |
(l) | the Investment Adviser’s processes and policies addressing various types of potential conflicts of interest; its approach to risk management; the annual review of the effectiveness of the Fund’s compliance program; and compliance reports. |
Expense Paid | |||||||||||||||
for the | |||||||||||||||
Beginning | Ending | 6 Months | |||||||||||||
Account Value | Account Value | Ended | |||||||||||||
01/01/11 | 06/30/11 | 06/30/11* | |||||||||||||
Actual | $ | 1,000.00 | $ | 1,000.10 | $ | 1.44 | |||||||||
Hypothetical 5% return | 1,000.00 | 1,023.36 | + | 1.45 | |||||||||||
* | Expenses are calculated using the Fund’s annualized net expense ratio, which represents the ongoing expenses as a percentage of net assets for the six months ended June 30, 2011. 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 0.29%. | |
+ | Hypothetical expenses are based on the Fund’s actual annualized net expense ratio and an assumed rate of return of 5% per year before expenses. |
TRUSTEES 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 | 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 Web site 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. | ||
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. | ||
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. | ||
The portfolio risk management process includes an effort to monitor and manage risk, but does not imply low risk. | ||
Shares of the Goldman Sachs VIT 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 Fund are not offered directly to the general public. The variable annuity contracts and variable life insurance policies are described in the separate prospectuses issued by participating insurance companies. You should refer to those prospectuses for information about surrender charges, mortality and expense risk fees and other charges that may be assessed by participating insurance companies under the variable annuity contracts or variable life insurance policies. Such fees or charges, if any, may affect the return you may realize with respect to your investments. Ask your representative for more complete information. Please consider a fund’s objectives, risks and charges and expenses, and read the prospectus carefully before investing. The prospectus contains this and other information about the Fund. | ||
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. | ||
© 2011 Goldman Sachs. All rights reserved. | ||
VITMMSAR11/57685.MF.MED.TMPL/8/2011 |
ITEM 2. | CODE OF ETHICS. |
The information required by this Item is only required in an annual report on this Form N-CSR. |
ITEM 3. | AUDIT COMMITTEE FINANCIAL EXPERT. | |
The information required by this Item is only required in an annual report on this Form N-CSR. |
ITEM 4. | PRINCIPAL ACCOUNTANT FEES AND SERVICES. | |
The information required by this Item is only required in an annual report on this Form N-CSR. |
ITEM 5. | AUDIT COMMITTEE OF LISTED REGISTRANTS. |
Not applicable. |
ITEM 6. | INVESTMENTS. |
(a) | Schedules of Investments are included as part of the Semi-Annual Reports to Shareholders filed under Item 1 of this Form N-CSR. |
(b) | Not applicable. |
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 have materially affected, or are reasonably likely to materially affect, the registrant’s internal control over financial reporting. |
ITEM 12. | EXHIBITS. |
(a)(1) | The information required by this Item is only required in an annual report on this Form N-CSR. | |||
(a)(2) | Exhibit 99.906CERT | Certifications pursuant to Section 302 of the Sarbanes-Oxley Act of 2002 are filed herewith. | ||
(a)(3) | Not applicable. | |||
(b) | Exhibit 99.906CERT | Certifications pursuant to Section 906 of the Sarbanes-Oxley Act of 2002 are filed herewith. |
SIGNATURES
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.
Goldman Sachs Variable Insurance Trust | ||
/s/ James A. McNamara | ||
By: James A. McNamara | ||
Principal Executive Officer of | ||
Goldman Sachs Variable Insurance Trust | ||
Date: August 24, 2011 | ||
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated. | ||
/s/ James A. McNamara | ||
By: James A. McNamara | ||
Principal Executive Officer of | ||
Goldman Sachs Variable Insurance Trust | ||
Date: August 24, 2011 | ||
/s/ George F. Travers | ||
By: George F. Travers | ||
Principal Financial Officer of | ||
Goldman Sachs Variable Insurance Trust | ||
Date: August 24, 2011 |