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 811-5349
Goldman Sachs Trust
(Exact name of registrant as specified in charter)
4900 Sears Tower, Chicago, Illinois 60606-6303
(Address of principal executive offices) (Zip code)
Howard B. Surloff, Esq. | Copies to: | |
Goldman, Sachs & Co. | Jeffrey A. Dalke, Esq. | |
One New York Plaza | Drinker Biddle & Reath LLP | |
New York, New York 10004 | One Logan Square | |
18th and Cherry Streets | ||
Philadelphia, PA 19103 | ||
(Name and address of agents for service) |
Registrant’s telephone number, including area code: (312) 655-4400
Date of fiscal year end: August 31
Date of reporting period: February 28, 2005
ITEM 1. | REPORTS TO STOCKHOLDERS. | |
The Semi-Annual Report to Stockholders is filed herewith. |
Goldman Sachs Funds VALUE EQUITY FUNDS Semiannual Report February 28, 2005 Long-term capital appreciation potential through portfolios of quality businesses that are believed to be undervalued. |
Goldman Sachs Value Equity Funds GOLDMAN SACHS LARGE CAP VALUE FUND GOLDMAN SACHS GROWTH AND INCOME FUND GOLDMAN SACHS MID CAP VALUE FUND GOLDMAN SACHS SMALL CAP VALUE FUND NOT FDIC-INSURED May Lose Value No Bank Guarantee |
GOLDMAN SACHS VALUE EQUITY FUNDS What Differentiates Goldman Sachs’ Value Equity Investment Process? Goldman Sachs’ Value Equity Team believes that all successful investing should thoughtfully weigh two important attributes of a stock: price and prospects. Through independent fundamental research, the Team seeks to identify and invest in quality businesses that are selling at compelling valuations. GOLDMAN SACHS’ VALUE EQUITY INVESTMENT PROCESS 1 EMPHASIZE FIRSTHAND FUNDAMENTAL RESEARCH 2 BUY BUSINESSES THAT REPRESENT COMPELLING VALUE 3 BUY COMPANIES WITH QUALITY CHARACTERISTICS 1 EMPHASIZE FIRST HAND FUNDAMENTAL RESEARCH At the heart of our value investment philosophy is a belief in the rigorous analysis of business fundamentals. Our approach includes: Meetings with management teams and on-site company visits Industry-specific, proprietary financial and valuation models Assessment of management quality Analysis of each company’s competitive position and industry dynamics Interviews with competitors, suppliers and customers 2 PRICE: BUY BUSINESSES THAT REPRESENT COMPELLING VALUE We seek to invest in companies: When market uncertainty exists When their economic value is not recognized by the market 3 PROSPECTS: BUY COMPANIES WITH QUALITY CHARACTERISTICS We buy companies with quality characteristics. For us, this means companies that have: Sustainable operating earnings or cashflow, or competitive advantage Excellent stewardship of capital Capability to earn above their cost of capital Strong or improving balance sheets and cash flow RESULT Value portfolios that offer: Capital appreciation potential as each company’s true value is recognized in the marketplace Investment style consistency 1 |
PORTFOLIO RESULTS Large Cap Value Fund Dear Shareholder: This report provides an overview on the performance of the Goldman Sachs Large Cap Value Fund during the six-month reporting period that ended February 28, 2005. Performance Review Over the six-month period that ended February 28, 2005, the Fund’s Class A, B, C, Institutional, and Service Shares generated cumulative total returns, without sales charges, of 11.64%, 11.29%, 11.22%, 11.93%, and 11.64%, respectively. These returns compare to the 13.75% cumulative total return of the Fund’s benchmark, the Russell 1000 Value Index (with dividends reinvested), over the same time period. While the Fund generated positive results during the period, it underperformed its benchmark. This was due in large part to the poor performance of several stocks, including Nortel Networks Corp. and Pfizer, Inc. Nortel has been slow to deliver timely updates on its financial situation, even as it continues to restate the previous year’s financial records. Consolidation of telecom carriers and aggressive pricing from foreign competitors also presented challenges to the company. Pfizer’s stock has come under pressure from product liability and patent risks. We have reduced the Fund’s position and continue to evaluate the company’s prospects. Conversely, Fund performance was aided by its avoidance of some of the Technology stocks that had sharp declines, including those in the semi-conductor industry. The portfolio also benefited from the strong performance of Activision, Inc., our favorite software holding. This personal computer game company generated strong results due to an improved competitive positioning, better execution, and some recovery from depressed valuation levels. Elsewhere, in the Services sector, shares of Sprint Corp. advanced after it announced the acquisition of wireless carrier Nextel Communications, Inc. The portfolio’s exposure to Monsanto also enhanced results. Its shares rose due to the company’s cost savings and growth in its seeds and traits business, the latter of which includes brand names like Roundup Ready, Bollgard and YieldGard. We eliminated the position in Monsanto during the period as it reached our valuation targets. Portfolio Composition We have constructed a portfolio that we believe is fully diversified across different industries, with stocks we think should outperform their peers over a full market cycle. Throughout the reporting period, we continued to focus on quality value stocks that we believe are attractively valued and that have the potential to perform well in a variety of market environments. Specifically, we seek companies led by good management teams that generate strong free cash flows and return on invested capital. 2 |
PORTFOLIO RESULTS Sector Allocation (Percentage of Portfolio) as of 2/28/05 25% 21.4% 20% 14.4% 15% 9.7% 10% 7.6% 6.8% 6.5% 6.1% 6.3% 6.1% 5.5% 5% 3.9% 2.6% 2.5% 0.6% 0% Materials Cyclicals Staples Energy Financial Industrials Insurance REITs Services Technology Transportation Utilities Consumer Consumer Health Care Short Term Investments Basic The percentage shown for each investment category reflects the value of investments in that category as a percentage of market value. Short term investments include repurchase agreements and securities lending collateral. Portfolio Highlights While the Fund underperformed its benchmark during the reporting period, there were a number of holdings that contributed positively to absolute returns. Burlington Resources, Inc. and The Williams Companies, Inc. — Burlington and Williams Cos. were Energy holdings that contributed positively to results. We have had a positive view toward Energy stocks in the past six months, particularly those with strong reserve positions, low finding and development cost structures and good capital allocation disciplines. Aetna — Within the Health Care sector, Aetna contributed to performance as the company reported better-than-expected earnings in the third quarter 2004. The managed care provider also raised profit guidance as it cited strength in health care premiums as the reason for its improved outlook. As the stock appreciated and the valuation levels met our targets, we sold the position at the end of November. 3 |
PORTFOLIO RESULTS Altria Group, Inc. — Altria was the Fund’s strongest holding in the Consumer Staples sector as it discussed a plan to divide the company into Philip Morris USA, Philip Morris International and Kraft as soon as practical given the legal environment. The company also maintained a positive view for the current litigation environment and continues to generate favorable free cash flow and earnings results. We thank you for your investment and look forward to your continued confidence. Goldman Sachs Large Cap Value Investment Team New York, March 18, 2005 4 |
FUND BASICS Large Cap Value Fund as of February 28, 2005 Assets Under Management $703.0 Million Number of Holdings 65 NASDAQ SYMBOLS Class A Shares GSLAX Class B Shares GSVBX Class C Shares GSVCX Institutional Shares GSLIX Service Shares GSVSX PERFORMANCE REVIEW Fund Total Return Russell 1000 September 1, 2004–February 28, 2005 (based on NAV)1 Value Index2 Class A 11.64% 13.75% Class B 11.29 13.75 Class C 11.22 13.75 Institutional 11.93 13.75 Service 11.64 13.75 1The net asset value (NAV) represents the net assets of the class of the Fund (ex-dividend) divided by the total number of shares of the class outstanding. The Fund’s performance reflects the reinvestment of dividends and other distributions. The Fund’s performance does not reflect the deduction of any applicable sales charges. 2The unmanaged Russell 1000 Value Index (with dividends reinvested) is a market capitalization weighted index of the 1,000 largest U.S. companies with lower price-to-book ratios and lower forecasted growth values. The Index figures do not reflect any deduction of fees, expenses or taxes. STANDARDIZED TOTAL RETURNS3 For the period ended 12/31/04 Class A Class B Class C Institutional Service One Year 12.37% 12.94% 16.90% 19.33% 18.74% Five Years 5.11 5.16 5.48 6.68 6.27 Since Inception 5.06 5.26 5.41 6.62 6.21 (12/15/99) 3The Standardized Total Returns are average annual or cumulative total returns (only if the performance period is one year or less) as of the most recent calendar quarter-end. They assume reinvestment of all distributions at NAV. These returns reflect a maximum initial sales charge of 5.5% for Class A Shares, the assumed contingent deferred sales charge for Class B Shares (5% maximum declining to 0% after six years) and the assumed contingent deferred sales charge for Class C Shares (1% if redeemed within 12 months of purchase). Because Institutional and Service Shares do not involve a sales charge, such a charge is not applied to their Standardized Total Returns. Total return figures in the above charts represent past performance and do not guarantee 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 charts. Please visit www.gs.com/funds to obtain the most recent month-end returns. Performance reflects expense limitations in effect. In their absence, performance would be reduced. Returns do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares. TOP 10 HOLDINGS AS OF 2/28/054 Holding % of Net Assets Line of Business ChevronTexaco Corp. 4.8% Energy Resources Citigroup, Inc. 4.6 Large Banks Bank of America Corp. 3.8 Large Banks Tyco International Ltd. 3.3 Industrial Components Burlington Resources, Inc. 3.3 Energy Resources J.P. Morgan Chase & Co. 3.1 Large Banks EOG Resources, Inc. 2.9 Energy Resources Altria Group, Inc. 2.7 Tobacco Time Warner, Inc. 2.6 Media Sprint Corp. 2.3 Telephone 4The top 10 holdings may not be representative of the Fund’s future investments. 5 |
PORTFOLIO RESULTS Growth and Income Fund Dear Shareholder, This report provides an overview on the performance of the Goldman Sachs Growth and Income Fund during the six-month reporting period that ended February 28, 2005. Performance Review Over the six-month period that ended February 28, 2005, the Fund’s Class A, B, C, Institutional, and Service Shares generated cumulative total returns, without sales charges, of 11.97%, 11.52%, 11.51%, 12.18%, and 11.91%, respectively. These returns compare to the 9.99% cumulative total return of the Fund’s benchmark, the S&P 500 Index (with dividends reinvested), over the same time period. The Fund outperformed its benchmark over the reporting period. Top sectors in the Fund included Health Care, Consumer Cyclicals and Energy, while Technology and Financials lagged the market. Top holdings in the Fund included Altria Group, Inc., Exxon Mobil Corp., Burlington Resources, Inc. and Activision, Inc. In the Financials sector, J.P. Morgan Chase & Co. and Countrywide Financial Corp. experienced weakness during the period. Shares of J.P. Morgan declined after the company lowered earnings expectations to more realistic levels. We believe the near-term weakness is temporary and the company remains well positioned in a host of attractive businesses. Countrywide also concerned investors with short-term pressures after it reported weaker-than-expected third quarter 2004 earnings. The company is coming off a record year in 2003 for home refinancing and loan demand, which made earnings comparisons in 2004 difficult. However, we believe that the company is well managed and well positioned given its low loan origination costs and strong mortgage-servicing business. Portfolio Composition We have constructed a portfolio that we believe is fully diversified across different industries, with stocks we think should outperform their peers over a full market cycle. Throughout the reporting period, we continued to focus on quality value stocks that we believe are attractively valued and that have the potential to perform well in a variety of market environments. Specifically, we seek companies led by good management teams that generate strong free cash flows and return on invested capital. We also favor companies that are financially strong enough to support a dividend policy. 6 |
PORTFOLIO RESULTS Sector Allocation (Percentage of Portfolio) as of 2/28/05 25% 21.3% 20% 15% 13.5% 10% 8.2% 8.3% 8.2% 7.7% 5.9% 5.6% 5.2% 5.1% 5% 4.3% 4.1% 2.2% 0.4% 0% Materials Cyclicals Staples Energy Financial Industrials Insurance REITs Services Technology Transportation Utilities Consumer Consumer Health Care Short Term Investments Basic The percentage shown for each investment category reflects the value of investments in that category as a percentage of market value. Short term investments include repurchase agreements and securities lending collateral. Portfolio Highlights The following selection of stocks represents a sample of positive contributors to performance over the last six months. Altria Group, Inc. — Altria was the Fund’s strongest holding in the Consumer Staples sector as it discussed a plan to divide the company into Philip Morris USA, Philip Morris International and Kraft as soon as practical given the legal environment. The company also maintained a positive view for the current litigation environment and continues to generate favorable free cash flow and earnings results. Exxon Mobil Corp. and Burlington Resources, Inc. — We have had a positive view toward Energy stocks in the past six months, particularly those with strong reserve positions, low finding and development cost structures and good capital allocation disciplines. Exxon Mobil and Burlington Resources were Energy holdings that contributed positively to results over the period. 7 |
PORTFOLIO RESULTS Activision, Inc. — Activision was another top contributor to performance. The stock benefited from a combination of strong trends in its holiday sales and positive Wall Street coverage prompting investors to realize the company’s value. The company continues to be our favorite investment in the personal computer game industry and has been a long-term top performer. We thank you for your investment and look forward to your continued confidence. Goldman Sachs Value Investment Team New York, March 18, 2005 8 |
FUND BASICS Growth and Income Fund as of February 28, 2005 Assets Under Management $949.8 Million Number of Holdings 72 NASDAQ SYMBOLS Class A Shares GSGRX Class B Shares GSGBX Class C Shares GSGCX Institutional Shares GSIIX Service Shares GSGSX PERFORMANCE REVIEW Fund Total Return September 1, 2004–February 28, 2005 (based on NAV)1 S&P 500 Index2 Class A 11.97% 9.99% Class B 11.52 9.99 Class C 11.51 9.99 Institutional 12.18 9.99 Service 11.91 9.99 1The net asset value (NAV) represents the net assets of the class of the Fund (ex-dividend) divided by the total number of shares of the class outstanding. The Fund’s performance reflects the reinvestment of dividends and other distributions. The Fund’s performance does not reflect the deduction of any applicable sales charges. 2The S&P 500 Index (with dividends reinvested) is the Standard & Poor’s 500 Composite Stock Price Index of 500 stocks, an unmanaged index of common stock prices. The Index figures do not reflect any deduction for fees, expenses or taxes. STANDARDIZED TOTAL RETURNS3 For the period ended 12/31/04 Class A Class B Class C Institutional Service One Year 11.89% 12.48% 16.47% 18.81% 18.26% Five Years 0.68 0.67 1.05 2.25 1.73 Ten Years 8.33 N/A N/A N/A 8.864 Since Inception 8.15 5.18 0.48 6.22 8.594 (2/5/93) (5/1/96) (8/15/97) (6/3/96) (2/5/93) 3The Standardized Total Returns are average annual or cumulative total returns (only if the performance period is one year or less) as of the most recent calendar quarter-end. They assume reinvestment of all distributions at NAV. These returns reflect a maximum initial sales charge of 5.5% for Class A Shares, the assumed contingent deferred sales charge for Class B Shares (5% maximum declining to 0% after six years) and the assumed contingent deferred sales charge for Class C Shares (1% if redeemed within 12 months of purchase). Because Institutional and Service Shares do not involve a sales charge, such a charge is not applied to their Standardized Total Returns. 4Performance data for Service Shares prior to March 6, 1996 (commencement of operations) is that of Class A Shares (excluding the impact of front-end sales charges applicable to Class A Shares since Service Shares are not subject to any sales charges). Performance of Class A Shares of the Growth and Income Fund reflects the expenses applicable to the Fund’s Class A Shares. The fees applicable to Services Shares are different from those applicable to Class A Shares which impact performance ratings and rankings for a class of shares. Total return figures in the above charts represent past performance and do not guarantee 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 charts. Please visit www.gs.com/funds to obtain the most recent month-end returns. Performance reflects expense limitations in effect. In their absence, performance would be reduced. Returns do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares. TOP 10 HOLDINGS AS OF 2/28/055 Holding % of Net Assets Line of Business Exxon Mobil Corp. 5.2% Energy Resources ChevronTexaco Corp. 5.0 Energy Resources Citigroup, Inc. 4.4 Large Banks Bank of America Corp. 3.8 Large Banks Altria Group, Inc. 3.1 Tobacco J.P. Morgan Chase & Co. 2.7 Large Banks iStar Financial, Inc. 2.4 REITs Burlington Resources, Inc. 2.3 Energy Resources General Electric Co. 2.3 Industrial Components Sprint Corp. 2.0 Telephone 5The top 10 holdings may not be representative of the Fund’s future investments. 9 |
PORTFOLIO RESULTS Mid Cap Value Fund Dear Shareholder, This report provides an overview on the performance of the Goldman Sachs Mid Cap Value Fund during the six-month reporting period that ended February 28, 2005. Performance Review Over the six-month period that ended February 28, 2005, the Fund’s Class A, B, C, Institutional and Service Shares generated cumulative total returns, without sales charges, of 18.49%, 18.10%, 18.05%, 18.74%, and 18.45%, respectively. These returns compare to the 18.03% cumulative total return of the Fund’s benchmark, the Russell MidCap Value Index (with dividends reinvested), over the same time period. The Fund generated strong absolute and relative returns over the reporting period. Our bottom-up approach to stock selection was successful as demonstrated by our excess returns against the Russell Midcap Value Index. We continue to look for attractively valued, quality companies that are guided by strong management teams focused on generating free cash flow. During the period, effective stock selection was the driver of results. During the second half of 2004 and first two months of 2005, we saw a “show-me” period, as investors more critically assessed the abilities of companies to turn opportunity into profit. In this environment, performance was most successful in Energy, Consumer Cyclicals, and Financials. Several individual stocks were also standouts, including Abercrombie and Fitch, Activision, Inc. and Monsanto. The most challenging parts of the mid-cap value universe in 2004 included some areas that experienced historic, exuberant gains, such as Utilities. Our positioning in this industry was relatively conservative, which resulted in more muted gains. In other sectors, several individual holdings had negative performances, such as Emmis Communications Corp., American Axle & Manufacturing, and Ditech Communications Corp. In the case of American Axle, we determined that our investment thesis was invalidated and we eliminated the position. We continue to have confidence in Emmis, an operator of radio and television stations in mid-size markets, and Ditech, a supplier of components to wireless telecom companies. Portfolio Composition We have constructed a portfolio that we believe is fully diversified across different industries, with stocks we think should outperform their peers over a full market cycle. Throughout the reporting period, we continued to focus on quality value stocks that we believe are attractively valued and that have the potential to perform well in a variety of market environments. Specifically, we seek companies led by good management teams that generate strong free cash flows and return on invested capital. 10 |
PORTFOLIO RESULTS Sector Allocation (Percentage of Portfolio) as of 2/28/05 15% 11.8% 11.9% 12% 10.9% 10.0% 9.4% 9% 8.4% 7.4% 6.4% 6% 5.5% 5.1% 3.9% 3.8% 4.0% 3% 1.5% 0% Materials Cyclicals Staples Energy Financial Industrials Insurance REITs Services Technology Transportation Utilities Consumer Short Term Basic Consumer Health Care Investments The percentage shown for each investment category reflects the value of investments in that category as a percentage of market value. Short term investments include repurchase agreements and securities lending collateral. Portfolio Highlights The following selection of stocks represents a sample of positive contributors to performance over the last six months. EOG Resources, Inc., Patina Oil & Gas Corp. and The Williams Companies, Inc. — EOG, Patina and Williams Cos. were Energy holdings that contributed positively to results. We have had a positive view toward Energy stocks in the past six months, particularly those with strong reserve positions, low finding and development cost structures and good capital allocation disciplines, characteristics demonstrated by each of these companies. Abercrombie and Fitch — Abercrombie and Fitch ranked as the top contributor to performance. The specialty retailer reported 2004 holiday sales that exceeded market expectations, prompting the company to forecast year-over-year growth in net income. We eliminated the stock from the portfolio later in the period as it reached our valuation targets. 11 |
PORTFOLIO RESULTS Activision, Inc. — Activision continues to drive the Fund’s performance in the Technology sector. The stock benefited from a combination of strong trends in its holiday sales and positive Wall Street coverage prompting investors to realize the company’s value. The company continues to be our favorite investment in the sector and has been a long-term top performer. We thank you for your investment and look forward to your continued confidence. Goldman Sachs Mid Cap Value Investment Team New York, March 18, 2005 12 |
FUND BASICS Mid Cap Value Fund as of February 28, 2005 Assets Under Management $2.9 Billion Number of Holdings 87 NASDAQ SYMBOLS Class A Shares GCMAX Class B Shares GCMBX Class C Shares GCMCX Institutional Shares GSMCX Service Shares GSMSX PERFORMANCE REVIEW Fund Total Return Russell Midcap September 1, 2004–February 28, 2005 (based on NAV)1 Value Index2 Class A 18.49% 18.03% Class B 18.10 18.03 Class C 18.05 18.03 Institutional 18.74 18.03 Service 18.45 18.03 1The net asset value (NAV) represents the net assets of the class of the Fund (ex-dividend) divided by the total number of shares of the class outstanding. The Fund’s performance reflects the reinvestment of dividends and other distributions. The Fund’s performance does not reflect the deduction of any applicable sales charges. 2The Russell Midcap Value Index (with dividends reinvested) 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 reflect any deduction for fees, expenses or taxes. STANDARDIZED TOTAL RETURNS3 For the period ended 12/31/04 Class A Class B Class C Institutional Service One Year 18.46% 19.03% 23.31% 25.86% 25.40% Five Years 16.13 16.35 16.56 17.89 17.35 Since Inception 9.96 10.02 10.01 14.98 11.02 (8/15/97) (8/15/97) (8/15/97) (8/1/95) (7/18/97) 3The Standardized Total Returns are average annual or cumulative total returns (only if the performance period is one year or less) as of the most recent calendar quarter-end. They assume reinvestment of all distributions at NAV. These returns reflect a maximum initial sales charge of 5.5% for Class A Shares, the assumed contingent deferred sales charge for Class B Shares (5% maximum declining to 0% after six years) and the assumed contingent deferred sales charge for Class C Shares (1% if redeemed within 12 months of purchase). Because Institutional and Service Shares do not involve a sales charge, such a charge is not applied to their Standardized Total Returns. Total return figures in the above charts represent past performance and do not guarantee 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 charts. Please visit www.gs.com/funds to obtain the most recent month-end returns. Performance reflects expense limitations in effect. In their absence, performance would be reduced. Returns do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares. TOP 10 HOLDINGS AS OF 2/28/055 Holding % of Net Assets Line of Business EOG Resources, Inc. 3.0% Energy Resources PPL Corp. 2.9 Electrical Utilities iStar Financial, Inc. 2.7 REITs Lennar Corp. 2.3 Construction The Williams Companies, Inc. 2.3 Diversified Energy Patterson-UTI Energy, Inc. 2.2 Oil Services AGL Resources, Inc. 2.1 Gas Utilities Activision, Inc. 1.8 Computer Software Agrium, Inc. 1.8 Chemical PG&E Corp. 1.8 Electrical Utilities 4The top 10 holdings may not be representative of the Fund’s future investments. 13 |
PORTFOLIO RESULTS Small Cap Value Fund Dear Shareholder, This report provides an overview on the performance of the Goldman Sachs Small Cap Value Fund during the six-month reporting period that ended February 28, 2005. Performance Review Over the six-month period that ended February 28, 2005, the Fund’s Class A, B, C, Institutional, and Service Shares generated cumulative total returns, without sales charges, of 13.59%, 13.18%, 13.16%, 13.83%, and 13.54%, respectively. These returns compare to the 15.38% cumulative total return of the Fund’s benchmark, the Russell 2000 Value Index (with dividends reinvested), over the same time period. While the Fund generated positive results over the period, it underperformed its benchmark. In particular, the Fund experienced weakness in several stocks, including Ditech Communications Corp., Lionbridge Technologies, Inc. and GrafTech International Ltd. Ditech, a telecom equipment supplier, reported earnings that fell short of high revenue expectations due to an order disruption in Asia and soft demand in North America. Lionbridge, which provides multilingual services to technology companies, pushed back product releases. We believe the company is well positioned in an industry with few competitors. GrafTech, a manufacturer and provider of synthetic and natural graphite and carbon products, remains a turnaround story and operates as the low cost producer in its industry. During the period, performance was aided by successful positioning in Energy, as well as individual holdings Commercial Metals Company, OMI Corp. (see commentary below), and Beazer Homes USA, Inc. Commercial Metals, a company that manufactures, markets and distributes recycled products, continues to generate strong results with increased revenue as demand is increasing. Beazer Homes, a home builder, rose as demand for new housing did not slow during the period. Portfolio Composition We have constructed a portfolio that we believe is fully diversified across different industries, with stocks we think should outperform their peers over a full market cycle. Throughout the reporting period, we continued to focus on quality value stocks that we believe are attractively valued and that have the potential to perform well in a variety of market environments. Specifically, we seek companies led by good management teams that generate strong free cash flows and return on invested capital. 14 |
PORTFOLIO RESULTS Sector Allocation (Percentage of Portfolio) as of 2/28/05 20% 15% 14.1% 12.7% 10.2% 10% 9.0% 7.9% 7.2% 6.9% 6.0% 5.2% 5.4% 5% 4.2% 3.8% 3.5% 2.5% 1.4% 0% Materials Cyclicals Staples Energy Financial Industrials Insurance REITs Services Technology Transportation Utilities Exchange Consumer Short Term Basic Consumer Health Care Traded Fund Investments The percentage shown for each investment category reflects the value of investments in that category as a percentage of market value. Short term investments include repurchase agreements and securities lending collateral. Portfolio Highlights While the Fund underperformed its benchmark during the reporting period, there were a number of holdings that contributed positively to absolute returns: Tessera Technologies, Inc. — Shares of Tessera, a developer of semiconductor packaging technology, rose on an improved market outlook and a positive legal settlement in a patent infringement case. Range Resources Corp. and Whiting Petroleum Corp. — In the Energy sector, we favor companies with low finding and development costs as well as long reserve lives. Over the period, Range Resources and Whiting Petroleum emerged as the top performers. Range Resources announced a substantial increase in its reserves while operating at competitively low costs. Whiting Petroleum reported progress on generating additional reserves as well. 15 |
PORTFOLIO RESULTS OMI Corp. — OMI Corp., an oil tanker company, was another top contributor to performance over the period. At the end of 2004, it announced record revenues, benefiting from increased world oil demand that has created continued strong freight rates. We thank you for your investment and look forward to your continued confidence. Goldman Sachs Small Cap Value Investment Team New York, March 18, 2005 16 |
FUND BASICS Small Cap Value Fund as of February 28, 2005 Assets Under Management $1.9 Billion Number of Holdings 215 NASDAQ SYMBOLS Class A Shares GSSMX Class B Shares GSQBX Class C Shares GSSCX Institutional Shares GSSIX Service Shares GSSSX PERFORMANCE REVIEW September 1, 2004–February 28, 2005 Fund Total Return (based on NAV)1 Russell 2000 Value Index2 Class A 13.59% 15.38% Class B 13.18 15.38 Class C 13.16 15.38 Institutional 13.83 15.38 Service 13.54 15.38 1The net asset value (NAV) represents the net assets of the class of the Fund (ex-dividend) divided by the total number of shares of the class outstanding. The Fund’s performance reflects the reinvestment of dividends and other distributions. The Fund’s performance does not reflect the deduction of any applicable sales charges. 2The Russell 2000 Value Index (with dividends reinvested) is an unmanaged index of common stock prices that measures the performance of those Russell 2000 companies with lower price-to-book ratios and lower forecasted growth values. The Index figures do not reflect any deduction for fees, expenses or taxes. STANDARDIZED TOTAL RETURNS3 For the period ended 12/31/04 Class A Class B Class C Institutional Service One Year 12.41% 12.71% 16.99% 19.43% 18.81% Five Years 18.85 19.04 19.22 20.66 20.05 Ten Years 12.76 N/A N/A N/A 13.314 Since Inception 12.63 11.61 10.37 11.66 13.084 (10/22/92) (5/1/96) (8/15/97) (8/15/97) (10/22/92) 3The Standardized Total Returns are average annual or cumulative total returns (only if the performance period is one year or less) as of the most recent calendar quarter-end. They assume reinvestment of all distributions at NAV. These returns reflect a maximum initial sales charge of 5.5% for Class A Shares, the assumed contingent deferred sales charge for Class B Shares (5% maximum declining to 0% after six years) and the assumed contingent deferred sales charge for Class C Shares (1% if redeemed within 12 months of purchase). Because Institutional and Service Shares do not involve a sales charge, such a charge is not applied to their Standardized Total Returns. 4Performance data for Service Shares prior to August 15, 1997 (commencement of operations) is that of the Class A Shares (excluding the impact of the front-end sales charge applicable to Class A Shares since Service Shares are not subject to any sales charges). Performance of Class A Shares of the Small Cap Value Fund reflects the expenses applicable to the Fund’s Class A Shares. The fees applicable to Service Shares are different from those applicable to Class A Shares which impact performance ratings and rankings for a class of shares. Total return figures in the above charts represent past performance and do not guarantee 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 charts. Please visit www.gs.com/funds to obtain the most recent month-end returns. Performance reflects expense limitations in effect. In their absence, performance would be reduced. Returns do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares. TOP 10 HOLDINGS AS OF 2/28/055 Holding % of Net Assets Line of Business Range Resources Corp. 2.1% Energy Resources Wabash National Corp. 2.1 Industrial Components Whiting Petroleum Corp. 1.8 Energy Resources Caraustar Industries, Inc. 1.5 Forest iShares Russell 2000 Value Index Fund 1.5 Exchange Traded Fund Accredited Home Lenders Holding Co. 1.5 Financial Services West Corp. 1.3 Industrial Services PFF Bancorp, Inc. 1.1 Banks Sensient Technologies Corp. 1.1 Food & Beverage Summit Propert ies, Inc. 1.1 Apartment 5The top 10 holdings may not be representative of the Fund’s future investments. 17 |
Statement of Investments
Shares | Description | Value | ||||||||
Common Stocks – 94.5% | ||||||||||
Airlines – 0.6% | ||||||||||
297,600 | Southwest Airlines Co. | $ | 4,121,760 | |||||||
Banks – 4.0% | ||||||||||
315,369 | KeyCorp | 10,407,177 | ||||||||
132,273 | PNC Financial Services Group | 6,962,851 | ||||||||
360,714 | The Bank of New York Co., Inc. | 10,911,598 | ||||||||
28,281,626 | ||||||||||
Biotechnology – 1.2% | ||||||||||
340,230 | MedImmune, Inc.* | 8,192,738 | ||||||||
Brokers – 2.1% | ||||||||||
164,006 | Merrill Lynch & Co., Inc. | 9,607,471 | ||||||||
52,790 | The Bear Stearns Companies, Inc. | 5,252,605 | ||||||||
14,860,076 | ||||||||||
Chemical – 1.3% | ||||||||||
191,422 | Rohm & Haas Co. | 9,220,798 | ||||||||
Computer Hardware – 2.2% | ||||||||||
142,076 | CDW Corp. | 8,165,108 | ||||||||
333,573 | Hewlett-Packard Co. | 6,938,318 | ||||||||
15,103,426 | ||||||||||
Computer Software – 4.2% | ||||||||||
566,982 | Activision, Inc.* | 12,394,227 | ||||||||
542,369 | Microsoft Corp. | 13,656,851 | ||||||||
246,181 | Oracle Corp.* | 3,178,197 | ||||||||
29,229,275 | ||||||||||
Consumer Durables – 1.9% | ||||||||||
402,410 | Masco Corp. | 13,569,265 | ||||||||
Defense/ Aerospace – 1.7% | ||||||||||
114,384 | General Dynamics Corp. | 12,050,354 | ||||||||
Diversified Energy – 1.8% | ||||||||||
661,529 | The Williams Companies, Inc. | 12,456,591 | ||||||||
Drugs – 1.7% | ||||||||||
331,425 | IVAX Corp.* | 5,299,486 | ||||||||
259,796 | Pfizer, Inc. | 6,830,037 | ||||||||
12,129,523 | ||||||||||
Electrical Equipment – 0.7% | ||||||||||
1,703,946 | Nortel Networks Corp.* | 4,566,575 | ||||||||
Electrical Utilities – 5.6% | ||||||||||
206,347 | Entergy Corp. | 14,262,705 | ||||||||
208,488 | FirstEnergy Corp. | 8,598,045 | ||||||||
299,374 | PPL Corp. | 16,327,858 | ||||||||
39,188,608 | ||||||||||
Energy Resources – 11.6% | ||||||||||
460,739 | Burlington Resources, Inc. | 22,866,476 | ||||||||
544,946 | ChevronTexaco Corp. | 33,830,248 | ||||||||
224,720 | EOG Resources, Inc. | 20,476,486 | ||||||||
65,506 | Exxon Mobil Corp. | 4,147,185 | ||||||||
81,320,395 | ||||||||||
Financial Services – 1.7% | ||||||||||
208,162 | Countrywide Financial Corp. | 7,233,629 | ||||||||
77,348 | Freddie Mac | 4,795,576 | ||||||||
12,029,205 | ||||||||||
Food & Beverage – 1.5% | ||||||||||
106,066 | General Mills, Inc. | 5,554,676 | ||||||||
152,398 | Kraft Foods, Inc. | 5,097,713 | ||||||||
10,652,389 | ||||||||||
Forest – 1.3% | ||||||||||
363,293 | Packaging Corp. of America | 8,907,944 | ||||||||
Home Products – 2.6% | ||||||||||
187,631 | Avon Products, Inc. | 8,024,978 | ||||||||
198,830 | The Procter & Gamble Co. | 10,555,885 | ||||||||
18,580,863 | ||||||||||
Hotel & Leisure – 1.1% | ||||||||||
113,315 | Harrah’s Entertainment, Inc. | 7,432,331 | ||||||||
Industrial Components – 6.0% | ||||||||||
100,239 | Eaton Corp. | 6,991,670 | ||||||||
686,589 | Tyco International Ltd. | 22,987,000 | ||||||||
120,182 | United Technologies Corp. | 12,003,778 | ||||||||
41,982,448 | ||||||||||
Information Services – 1.2% | ||||||||||
202,842 | First Data Corp. | 8,320,579 | ||||||||
Large Banks – 11.4% | ||||||||||
573,876 | Bank of America Corp. | 26,771,315 | ||||||||
671,665 | Citigroup, Inc. | 32,051,854 | ||||||||
590,472 | J.P. Morgan Chase & Co.(a) | 21,581,752 | ||||||||
80,404,921 | ||||||||||
Life Insurance – 0.7% | ||||||||||
125,287 | MetLife, Inc. | 5,141,778 | ||||||||
Media – 6.2% | ||||||||||
161,986 | Fox Entertainment Group, Inc.* | 5,394,134 | ||||||||
156,120 | Lamar Advertising Co.* | 6,133,955 | ||||||||
431,269 | The Walt Disney Co. | 12,049,656 | ||||||||
1,069,082 | Time Warner, Inc.* | 18,420,283 | ||||||||
38,266 | Viacom, Inc. Class B | 1,335,483 | ||||||||
43,333,511 | ||||||||||
Medical Products – 1.0% | ||||||||||
200,603 | Baxter International, Inc. | 7,153,503 | ||||||||
Motor Vehicle – 1.5% | ||||||||||
216,939 | Autoliv, Inc. | 10,833,934 | ||||||||
Oil Services – 1.1% | ||||||||||
155,737 | BJ Services Co. | 7,780,621 | ||||||||
Property Insurance – 5.8% | ||||||||||
103,106 | American International Group, Inc. | 6,887,481 | ||||||||
57,377 | Everest Re Group Ltd. | 4,984,340 | ||||||||
106,317 | PartnerRe Ltd. | 6,660,760 |
Shares | Description | Value | ||||||||
Common Stocks – (continued) | ||||||||||
Property Insurance – (continued) | ||||||||||
172,102 | RenaissanceRe Holdings Ltd. Series B | $ | 8,195,497 | |||||||
151,082 | Willis Group Holdings Ltd. | 5,975,293 | ||||||||
110,955 | XL Capital Ltd. | 8,321,625 | ||||||||
41,024,996 | ||||||||||
REITs – 2.5% | ||||||||||
184,163 | Apartment Investment & Management Co. | 7,046,076 | ||||||||
149,791 | iStar Financial, Inc. | 6,364,620 | ||||||||
104,890 | Liberty Property Trust | 4,348,739 | ||||||||
17,759,435 | ||||||||||
Retail – 1.6% | ||||||||||
278,034 | The Home Depot, Inc. | 11,126,921 | ||||||||
Telephone – 2.9% | ||||||||||
171,910 | MCI, Inc.(a) | 3,910,953 | ||||||||
696,921 | Sprint Corp. | 16,503,089 | ||||||||
20,414,042 | ||||||||||
Thrifts – 1.1% | ||||||||||
126,158 | Golden West Financial Corp. | 7,807,919 | ||||||||
Tobacco – 2.7% | ||||||||||
286,207 | Altria Group, Inc. | 18,789,490 | ||||||||
TOTAL COMMON STOCKS | ||||||||||
(Cost $570,656,696) | $ | 663,767,840 | ||||||||
Principal | Interest | Maturity | ||||||||||||||
Amount | Rate | Date | Value | |||||||||||||
Repurchase Agreement – 4.0% | ||||||||||||||||
Joint Repurchase Agreement Account II(b) | ||||||||||||||||
$ | 28,400,000 | 2.64 | % | 03/01/2005 | $ | 28,400,000 | ||||||||||
Maturity Value: $28,402,086 | ||||||||||||||||
(Cost $28,400,000) | ||||||||||||||||
TOTAL INVESTMENTS BEFORE SECURITIES LENDING COLLATERAL | ||||||||||||||||
(Cost $599,056,696) | $ | 692,167,840 | ||||||||||||||
Description | Value | |||||||||
Shares | ||||||||||
Securities Lending Collateral – 2.1% | ||||||||||
14,740,425 | Boston Global Investment Trust—Enhanced Portfolio | $ | 14,740,425 | |||||||
(Cost $14,740,425) | ||||||||||
TOTAL INVESTMENTS – 100.6% | ||||||||||
(Cost $613,797,121) | $ | 706,908,265 | ||||||||
The percentage shown for each investment category reflects the value of investments in that category as a percentage of net assets. |
* | Non-income producing security. | |
(a) | All or a portion of security is on loan. | |
(b) | Joint repurchase agreement was entered into on February 28, 2005. |
Investment Abbreviation: | ||||||
REIT—Real Estate Investment Trust | ||||||
ADDITIONAL INVESTMENT INFORMATION |
JOINT REPURCHASE AGREEMENT ACCOUNT II — At February 28, 2005, the Fund had an undivided interest in the following Joint Repurchase Agreement Account II which equaled $28,400,000 in principal amount.
Principal | Interest | Maturity | Maturity | |||||||||||||
Repurchase Agreements | Amount | Rate | Date | Value | ||||||||||||
Banc of America Securities LLC | $ | 1,900,000,000 | 2.64 | % | 03/01/2005 | $ | 1,900,139,333 | |||||||||
Barclays Capital PLC | 2,500,000,000 | 2.65 | 03/01/2005 | 2,500,184,028 | ||||||||||||
Greenwich Capital Markets | 400,000,000 | 2.65 | 03/01/2005 | 400,029,444 | ||||||||||||
J.P. Morgan Securities, Inc. | 697,000,000 | 2.65 | 03/01/2005 | 697,051,307 | ||||||||||||
Morgan Stanley & Co. | 1,500,000,000 | 2.64 | 03/01/2005 | 1,500,110,000 | ||||||||||||
UBS Securities LLC | 800,000,000 | 2.64 | 03/01/2005 | 800,058,667 | ||||||||||||
Westdeutsche Landesbank AG | 500,000,000 | 2.64 | 03/01/2005 | 500,036,667 | ||||||||||||
TOTAL | $ | 8,297,000,000 | $ | 8,297,609,446 | ||||||||||||
At February 28, 2005, the Joint Repurchase Agreement Account II was fully collateralized by Federal Farm Credit Bank, 0.00% to 2.38%, due 03/01/2005 to 10/02/2006; Federal Home Loan Bank, 0.00% to 7.63%, due 02/15/2006 to 11/14/2014; Federal Home Loan Mortgage Association, 0.00% to 12.00%, due 04/04/2005 to 03/01/2035; Federal National Mortgage Association, 0.00% to 9.50%, due 03/22/2005 to 03/01/2035; and Government National Mortgage Association, 4.50% to 5.50%, due 09/15/2019 to 11/15/2033. |
Statement of Investments
Shares | Description | Value | ||||||||
Common Stocks – 95.9% | ||||||||||
Airlines – 0.4% | ||||||||||
256,734 | Southwest Airlines Co. | $ | 3,555,766 | |||||||
Banks – 3.7% | ||||||||||
473,996 | KeyCorp | 15,641,868 | ||||||||
213,263 | PNC Financial Services Group | 11,226,164 | ||||||||
285,924 | The Bank of New York Co., Inc. | 8,649,201 | ||||||||
35,517,233 | ||||||||||
Brokers – 1.7% | ||||||||||
173,358 | Merrill Lynch & Co., Inc. | 10,155,312 | ||||||||
56,604 | The Bear Stearns Companies, Inc. | 5,632,098 | ||||||||
15,787,410 | ||||||||||
Chemical – 3.0% | ||||||||||
247,670 | Rohm & Haas Co. | 11,930,264 | ||||||||
300,380 | The Dow Chemical Co. | 16,565,957 | ||||||||
28,496,221 | ||||||||||
Computer Hardware – 2.0% | ||||||||||
192,177 | CDW Corp. | 11,044,412 | ||||||||
392,361 | Hewlett-Packard Co. | 8,161,109 | ||||||||
19,205,521 | ||||||||||
Computer Software – 4.0% | ||||||||||
791,329 | Activision, Inc.* | 17,298,452 | ||||||||
650,174 | Microsoft Corp. | 16,371,381 | ||||||||
330,774 | Oracle Corp.* | 4,270,293 | ||||||||
37,940,126 | ||||||||||
Consumer Durables – 1.1% | ||||||||||
319,999 | Masco Corp.(a) | 10,790,366 | ||||||||
Defense/ Aerospace – 1.7% | ||||||||||
155,231 | General Dynamics Corp. | 16,353,586 | ||||||||
Drugs – 1.0% | ||||||||||
353,293 | Pfizer, Inc. | 9,288,073 | ||||||||
Electrical Equipment – 0.4% | ||||||||||
1,483,067 | Nortel Networks Corp.* | 3,974,619 | ||||||||
Electrical Utilities – 8.4% | ||||||||||
185,000 | Ameren Corp. | 9,521,950 | ||||||||
188,665 | Dominion Resources, Inc. | 13,589,540 | ||||||||
229,660 | Entergy Corp. | 15,874,099 | ||||||||
292,765 | Exelon Corp. | 13,279,820 | ||||||||
229,632 | FirstEnergy Corp. | 9,470,024 | ||||||||
325,214 | PPL Corp. | 17,737,172 | ||||||||
79,472,605 | ||||||||||
Energy Resources – 13.7% | ||||||||||
441,936 | Burlington Resources, Inc. | 21,933,283 | ||||||||
766,810 | ChevronTexaco Corp. | 47,603,565 | ||||||||
98,173 | ConocoPhillips | 10,886,404 | ||||||||
782,916 | Exxon Mobil Corp. | 49,566,412 | ||||||||
129,989,664 | ||||||||||
Environmental & Other Services – 1.0% | ||||||||||
313,605 | Waste Management, Inc. | 9,169,810 | ||||||||
Financial Services – 3.3% | ||||||||||
266,022 | American Capital Strategies Ltd.(a) | 9,230,963 | ||||||||
221,802 | Countrywide Financial Corp. | 7,707,619 | ||||||||
141,989 | Fannie Mae | 8,300,677 | ||||||||
130,097 | SLM Corp. | 6,348,734 | ||||||||
31,587,993 | ||||||||||
Food & Beverage – 2.4% | ||||||||||
139,221 | General Mills, Inc. | 7,291,004 | ||||||||
179,353 | H.J. Heinz Co. | 6,750,847 | ||||||||
264,294 | Kraft Foods, Inc.(a) | 8,840,634 | ||||||||
22,882,485 | ||||||||||
Forest – 1.3% | ||||||||||
520,022 | Packaging Corp. of America | 12,750,939 | ||||||||
Home Products – 2.3% | ||||||||||
139,354 | Avon Products, Inc. | 5,960,170 | ||||||||
152,477 | The Clorox Co. | 9,154,719 | ||||||||
121,063 | The Procter & Gamble Co. | 6,427,235 | ||||||||
21,542,124 | ||||||||||
Industrial Components – 6.6% | ||||||||||
134,776 | Eaton Corp. | 9,400,626 | ||||||||
615,698 | General Electric Co. | 21,672,570 | ||||||||
495,115 | Tyco International Ltd. | 16,576,450 | ||||||||
147,167 | United Technologies Corp. | 14,699,040 | ||||||||
62,348,686 | ||||||||||
Information Services – 0.9% | ||||||||||
214,740 | First Data Corp. | 8,808,635 | ||||||||
Large Banks – 10.9% | ||||||||||
767,842 | Bank of America Corp. | 35,819,829 | ||||||||
875,397 | Citigroup, Inc. | 41,773,945 | ||||||||
700,561 | J.P. Morgan Chase & Co. | 25,605,505 | ||||||||
103,199,279 | ||||||||||
Media – 3.5% | ||||||||||
155,338 | Fox Entertainment Group, Inc.* | 5,172,755 | ||||||||
516,248 | The Walt Disney Co. | 14,423,969 | ||||||||
696,663 | Time Warner, Inc.* | 12,003,504 | ||||||||
52,184 | Viacom, Inc. Class B | 1,821,222 | ||||||||
33,421,450 | ||||||||||
Medical Products – 1.2% | ||||||||||
330,556 | Baxter International, Inc. | 11,787,627 | ||||||||
Motor Vehicle – 0.9% | ||||||||||
172,300 | Autoliv, Inc. | 8,604,662 | ||||||||
21
Shares | Description | Value | ||||||||
Common Stocks – (continued) | ||||||||||
Property Insurance – 5.3% | ||||||||||
3,250 | ACE Ltd. | $ | 144,495 | |||||||
210,571 | PartnerRe Ltd. | 13,192,273 | ||||||||
190,432 | RenaissanceRe Holdings Ltd. Series B | 9,068,372 | ||||||||
218,246 | The Allstate Corp. | 11,715,445 | ||||||||
218,688 | Willis Group Holdings Ltd. | 8,649,111 | ||||||||
103,930 | XL Capital Ltd. | 7,794,750 | ||||||||
50,564,446 | ||||||||||
REITs – 5.2% | ||||||||||
234,087 | Apartment Investment & Management Co. | 8,956,169 | ||||||||
210,325 | Developers Diversified Realty Corp. | 8,797,895 | ||||||||
536,830 | iStar Financial, Inc. | 22,809,907 | ||||||||
233,290 | Plum Creek Timber Co., Inc. | 8,760,039 | ||||||||
49,324,010 | ||||||||||
Retail Apparel – 2.2% | ||||||||||
211,537 | J. C. Penney Co., Inc. | 9,411,281 | ||||||||
319,884 | The May Department Stores Co. | 11,039,197 | ||||||||
20,450,478 | ||||||||||
Telephone – 3.5% | ||||||||||
803,491 | Sprint Corp.(a) | 19,026,667 | ||||||||
404,617 | Verizon Communications, Inc. | 14,554,073 | ||||||||
33,580,740 | ||||||||||
Thrifts – 1.2% | ||||||||||
115,142 | Golden West Financial Corp. | 7,126,139 | ||||||||
99,517 | Washington Mutual, Inc. | 4,175,733 | ||||||||
11,301,872 | ||||||||||
Tobacco – 3.1% | ||||||||||
451,800 | Altria Group, Inc. | 29,660,670 | ||||||||
TOTAL COMMON STOCKS | ||||||||||
(Cost $759,674,738) | $ | 911,357,096 | ||||||||
Principal | Interest | Maturity | ||||||||||||||
Amount | Rate | Date | Value | |||||||||||||
Repurchase Agreement – 2.8% | ||||||||||||||||
Joint Repurchase Agreement Account II(b) | ||||||||||||||||
$ | 26,300,000 | 2.64 | % | 03/01/2005 | $ | 26,300,000 | ||||||||||
Maturity Value: $26,301,932 (Cost $26,300,000) | ||||||||||||||||
TOTAL INVESTMENTS BEFORE SECURITIES LENDING COLLATERAL | ||||||||||||||||
(Cost $785,974,738) | $ | 937,657,096 | ||||||||||||||
Shares | Description | Value | ||||||||
Securities Lending Collateral – 2.9% | ||||||||||
27,645,800 | Boston Global Investment Trust – Enhanced Portfolio | $ | 27,645,800 | |||||||
(Cost $27,645,800) | ||||||||||
TOTAL INVESTMENTS – 101.6% | ||||||||||
(Cost $813,620,538) | $ | 965,302,896 | ||||||||
The percentage shown for each investment category reflects the value of investments in that category as a percentage of net assets. |
* | Non-income producing security. | |
(a) | All or a portion of security is on loan. | |
(b) | Joint repurchase agreement was entered into on February 28, 2005. |
Investment Abbreviations: | ||||||
REIT—Real Estate Investment Trust | ||||||
22
ADDITIONAL INVESTMENT INFORMATION |
JOINT REPURCHASE AGREEMENT ACCOUNT II — At February 28, 2005, the Fund had an undivided interest in the following Joint Repurchase Agreement Account II which equaled $26,300,000 in principal amount.
Principal | Interest | Maturity | Maturity | |||||||||||||
Repurchase Agreements | Amount | Rate | Date | Value | ||||||||||||
Banc of America Securities LLC | $ | 1,900,000,000 | 2.64 | % | 03/01/2005 | $ | 1,900,139,333 | |||||||||
Barclays Capital PLC | 2,500,000,000 | 2.65 | 03/01/2005 | 2,500,184,028 | ||||||||||||
Greenwich Capital Markets | 400,000,000 | 2.65 | 03/01/2005 | 400,029,444 | ||||||||||||
J.P. Morgan Securities, Inc. | 697,000,000 | 2.65 | 03/01/2005 | 697,051,307 | ||||||||||||
Morgan Stanley & Co. | 1,500,000,000 | 2.64 | 03/01/2005 | 1,500,110,000 | ||||||||||||
UBS Securities LLC | 800,000,000 | 2.64 | 03/01/2005 | 800,058,667 | ||||||||||||
Westdeutsche Landesbank AG | 500,000,000 | 2.64 | 03/01/2005 | 500,036,667 | ||||||||||||
TOTAL | $ | 8,297,000,000 | $ | 8,297,609,446 | ||||||||||||
At February 28, 2005, the Joint Repurchase Agreement Account II was fully collateralized by Federal Farm Credit Bank, 0.00% to 2.38%, due 03/01/2005 to 10/02/2006; Federal Home Loan Bank, 0.00% to 7.63%, due 02/15/2006 to 11/14/2014; Federal Home Loan Mortgage Association, 0.00% to 12.00%, due 04/04/2005 to 03/01/2035; Federal National Mortgage Association, 0.00% to 9.50%, due 03/22/2005 to 03/01/2035; and Government National Mortgage Association, 4.50% to 5.50%, due 09/15/2019 to 11/15/2033. |
23
Statement of Investments
Shares | Description | Value | ||||||||
Common Stocks – 94.7% | ||||||||||
Banks – 7.0% | ||||||||||
426,137 | Commerce Bancshares, Inc. | $ | 20,117,928 | |||||||
1,724,886 | FirstMerit Corp.(a) | 44,898,783 | ||||||||
798,058 | KeyCorp | 26,335,914 | ||||||||
498,825 | M&T Bank Corp. | 49,388,663 | ||||||||
488,671 | Northern Trust Corp. | 20,646,350 | ||||||||
654,619 | Regions Financial Corp. | 21,118,009 | ||||||||
301,965 | Zions Bancorp. | 19,959,886 | ||||||||
202,465,533 | ||||||||||
Biotechnology – 1.2% | ||||||||||
1,416,843 | MedImmune, Inc.* | 34,117,580 | ||||||||
Brokers – 1.0% | ||||||||||
294,175 | The Bear Stearns Companies, Inc. | 29,270,413 | ||||||||
Chemical – 3.6% | ||||||||||
2,865,526 | Agrium, Inc. | 51,866,021 | ||||||||
93,510 | Carlisle Cos., Inc. | 6,502,685 | ||||||||
980,479 | Rohm & Haas Co. | 47,229,673 | ||||||||
105,598,379 | ||||||||||
Computer Hardware – 2.9% | ||||||||||
568,132 | CDW Corp. | 32,650,546 | ||||||||
1,172,546 | Ditech Communications Corp.* | 14,727,178 | ||||||||
264,228 | Hutchinson Technology, Inc.* | 8,629,686 | ||||||||
665,302 | Tech Data Corp.* | 27,270,729 | ||||||||
83,278,139 | ||||||||||
Computer Software – 1.8% | ||||||||||
2,378,157 | Activision, Inc.* | 51,986,512 | ||||||||
Construction – 2.3% | ||||||||||
1,100,811 | Lennar Corp.(a) | 66,951,325 | ||||||||
Consumer Durables – 1.5% | ||||||||||
259,839 | Mohawk Industries, Inc.* | 23,317,952 | ||||||||
454,029 | The Stanley Works | 20,998,841 | ||||||||
44,316,793 | ||||||||||
Defense/ Aerospace – 1.6% | ||||||||||
1,004,952 | Rockwell Collins, Inc. | 46,278,040 | ||||||||
Diversified Energy – 3.7% | ||||||||||
3,534,882 | The Williams Companies, Inc. | 66,561,828 | ||||||||
1,128,667 | Western Gas Resources, Inc. | 41,760,679 | ||||||||
108,322,507 | ||||||||||
Drugs – 2.2% | ||||||||||
427,071 | Charles River Laboratories International, Inc.*(a) | 19,687,973 | ||||||||
1,351,121 | IVAX Corp.* | 21,604,425 | ||||||||
685,327 | Watson Pharmaceuticals, Inc.* | 21,752,279 | ||||||||
63,044,677 | ||||||||||
Electrical Utilities – 9.1% | ||||||||||
349,269 | Cinergy Corp. | 14,127,931 | ||||||||
465,297 | Edison International | 15,112,847 | ||||||||
476,750 | Entergy Corp. | 32,952,960 | ||||||||
953,573 | FirstEnergy Corp. | 39,325,351 | ||||||||
1,458,683 | PG&E Corp. | 51,316,468 | ||||||||
226,215 | Pinnacle West Capital Corp. | 9,444,476 | ||||||||
1,541,567 | PPL Corp. | 84,077,064 | ||||||||
541,757 | Wisconsin Energy Corp. | 18,809,803 | ||||||||
265,166,900 | ||||||||||
Energy Resources – 6.3% | ||||||||||
971,798 | EOG Resources, Inc. | 88,550,234 | ||||||||
852,424 | Patina Oil & Gas Corp. | 34,318,590 | ||||||||
211,683 | Peabody Energy Corp. | 20,554,419 | ||||||||
745,346 | Unocal Corp. | 40,323,219 | ||||||||
183,746,462 | ||||||||||
Environmental & Other Services – 0.9% | ||||||||||
869,900 | Republic Services, Inc. | 27,584,529 | ||||||||
Financial Services – 2.4% | ||||||||||
932,109 | American Capital Strategies Ltd.(a) | 32,344,182 | ||||||||
938,088 | CIT Group, Inc. | 37,851,851 | ||||||||
70,196,033 | ||||||||||
Food & Beverage – 1.8% | ||||||||||
1,146,575 | Archer-Daniels-Midland Co. | 27,632,458 | ||||||||
403,049 | Smithfield Foods, Inc.* | 13,723,818 | ||||||||
447,940 | The Pepsi Bottling Group, Inc. | 12,192,927 | ||||||||
53,549,203 | ||||||||||
Forest – 1.3% | ||||||||||
1,520,000 | Packaging Corp. of America | 37,270,400 | ||||||||
Gas Utilities – 2.1% | ||||||||||
1,782,165 | AGL Resources, Inc. | 61,698,552 | ||||||||
Health Insurance – 1.6% | ||||||||||
1,588,958 | Health Net, Inc.* | 47,509,844 | ||||||||
Home Products – 1.9% | ||||||||||
786,082 | The Clorox Co.(a) | 47,196,363 | ||||||||
182,365 | The Estee Lauder Cos., Inc. | 8,020,413 | ||||||||
55,216,776 | ||||||||||
Hotel & Leisure – 2.3% | ||||||||||
1,471,448 | Callaway Golf Co. | 19,746,832 | ||||||||
383,980 | Harrah’s Entertainment, Inc. | 25,185,249 | ||||||||
1,105,818 | Hilton Hotels Corp. | 23,288,527 | ||||||||
68,220,608 | ||||||||||
Industrial Components – 2.4% | ||||||||||
529,192 | American Standard Companies, Inc. | 24,236,993 | ||||||||
636,761 | Eaton Corp. | 44,414,080 | ||||||||
68,651,073 | ||||||||||
24
Shares | Description | Value | ||||||||
Common Stocks – (continued) | ||||||||||
Information Services – 0.7% | ||||||||||
2,598,731 | BearingPoint, Inc.*(a) | $ | 20,426,026 | |||||||
Life Insurance – 1.2% | ||||||||||
647,416 | Torchmark Corp. | 33,736,848 | ||||||||
Media – 1.6% | ||||||||||
921,216 | Emmis Communications Corp.*(a) | 17,226,739 | ||||||||
771,477 | Lamar Advertising Co.* | 30,311,332 | ||||||||
47,538,071 | ||||||||||
Medical Providers – 0.7% | ||||||||||
2,613,826 | WebMd Corp.* | 19,708,248 | ||||||||
Mining – 0.8% | ||||||||||
384,413 | Nucor Corp. | 23,964,306 | ||||||||
Motor Vehicle – 1.8% | ||||||||||
558,805 | Autoliv, Inc. | 27,906,722 | ||||||||
455,397 | Lear Corp. | 23,748,953 | ||||||||
51,655,675 | ||||||||||
Oil Services – 2.2% | ||||||||||
2,594,626 | Patterson-UTI Energy, Inc. | 64,865,650 | ||||||||
Property Insurance – 7.0% | ||||||||||
338,612 | Ambac Financial Group, Inc. | 26,337,241 | ||||||||
480,331 | Everest Re Group Ltd. | 41,726,354 | ||||||||
675,480 | PartnerRe Ltd. | 42,318,822 | ||||||||
814,828 | RenaissanceRe Holdings Ltd. Series B | 38,802,109 | ||||||||
507,590 | The PMI Group, Inc. | 20,430,498 | ||||||||
843,673 | Willis Group Holdings Ltd.(a) | 33,367,267 | ||||||||
202,982,291 | ||||||||||
Publishing – 1.5% | ||||||||||
818,268 | A.H. Belo Corp. Series A | 19,311,125 | ||||||||
693,094 | Dow Jones & Co., Inc. | 25,713,787 | ||||||||
45,024,912 | ||||||||||
REITs – 7.6% | ||||||||||
1,160,459 | Apartment Investment & Management Co. | 44,399,161 | ||||||||
895,103 | Developers Diversified Realty Corp. | 37,442,159 | ||||||||
1,871,935 | iStar Financial, Inc. | 79,538,518 | ||||||||
924,478 | Plum Creek Timber Co., Inc. | 34,714,149 | ||||||||
753,656 | Prentiss Properties Trust | 26,445,789 | ||||||||
222,539,776 | ||||||||||
Restaurants – 0.8% | ||||||||||
452,367 | Yum! Brands, Inc. | 22,066,462 | ||||||||
Retail Apparel – 4.2% | ||||||||||
825,991 | Federated Department Stores, Inc. | 46,627,192 | ||||||||
888,183 | J. C. Penney Co., Inc. | 39,515,261 | ||||||||
709,942 | Ross Stores, Inc. | 19,878,376 | ||||||||
625,917 | The Talbots, Inc. | 17,444,307 | ||||||||
123,465,136 | ||||||||||
Semiconductors – 1.3% | ||||||||||
578,887 | Amphenol Corp. | 23,097,591 | ||||||||
368,912 | Tessera Technologies, Inc.* | 15,029,475 | ||||||||
38,127,066 | ||||||||||
Tobacco – 0.8% | ||||||||||
280,793 | Reynolds American, Inc. | 23,010,986 | ||||||||
Transports – 1.6% | ||||||||||
521,979 | Teekay Shipping Corp. | 25,874,499 | ||||||||
352,181 | Yellow Roadway Corp.*(a) | 20,338,453 | ||||||||
46,212,952 | ||||||||||
TOTAL COMMON STOCKS | ||||||||||
(Cost $2,350,440,980) | $ | 2,759,764,683 | ||||||||
Principal | Interest | Maturity | ||||||||||||||
Amount | Rate | Date | Value | |||||||||||||
Repurchase Agreement – 3.7% | ||||||||||||||||
Joint Repurchase Agreement Account II (b) | ||||||||||||||||
$ | 107,000,000 | 2.64 | % | 03/01/2005 | $ | 107,000,000 | ||||||||||
Maturity Value: $107,007,859 (Cost $107,000,000) | ||||||||||||||||
TOTAL INVESTMENTS BEFORE SECURITIES | ||||||||||||||||
LENDING COLLATERAL (Cost $2,457,440,980) | $ | 2,866,764,683 | ||||||||||||||
Shares | Description | Value | ||||||||
Securities Lending Collateral – 5.0% | ||||||||||
145,542,921 | Boston Global Investment Trust – Enhanced Portfolio | $ | 145,542,921 | |||||||
(Cost $145,542,921) | ||||||||||
TOTAL INVESTMENTS – 103.4% | ||||||||||
(Cost $2,602,983,901) | $ | 3,012,307,604 | ||||||||
The percentage shown for each investment category reflects the value of investments in that category as a percentage of net assets. |
* | Non-income producing security. | |
(a) | All or a portion of security is on loan. | |
(b) | Joint repurchase agreement was entered into on February 28, 2005. |
Investment Abbreviations: | ||||||
REIT—Real Estate Investment Trust | ||||||
25
ADDITIONAL INVESTMENT INFORMATION |
JOINT REPURCHASE AGREEMENT ACCOUNT II — At February 28, 2005, the Fund had an undivided interest in the following Joint Repurchase Agreement Account II which equaled $107,000,000 in principal amount.
Principal | Interest | Maturity | Maturity | |||||||||||||
Repurchase Agreements | Amount | Rate | Date | Value | ||||||||||||
Banc of America Securities LLC | $ | 1,900,000,000 | 2.64 | % | 03/01/2005 | $ | 1,900,139,333 | |||||||||
Barclays Capital PLC | 2,500,000,000 | 2.65 | 03/01/2005 | 2,500,184,028 | ||||||||||||
Greenwich Capital Markets | 400,000,000 | 2.65 | 03/01/2005 | 400,029,444 | ||||||||||||
J.P. Morgan Securities, Inc. | 697,000,000 | 2.65 | 03/01/2005 | 697,051,307 | ||||||||||||
Morgan Stanley & Co. | 1,500,000,000 | 2.64 | 03/01/2005 | 1,500,110,000 | ||||||||||||
UBS Securities LLC | 800,000,000 | 2.64 | 03/01/2005 | 800,058,667 | ||||||||||||
Westdeutsche Landesbank AG | 500,000,000 | 2.64 | 03/01/2005 | 500,036,667 | ||||||||||||
TOTAL | $ | 8,297,000,000 | $ | 8,297,609,446 | ||||||||||||
At February 28, 2005, the Joint Repurchase Agreement Account II was fully collateralized by Federal Farm Credit Bank, 0.00% to 2.38%, due 03/01/2005 to 10/02/2006; Federal Home Loan Bank, 0.00% to 7.63%, due 02/15/2006 to 11/14/2014; Federal Home Loan Mortgage Association, 0.00% to 12.00%, due 04/04/2005 to 03/01/2035; Federal National Mortgage Association, 0.00% to 9.50%, due 03/22/2005 to 03/01/2035; and Government National Mortgage Association, 4.50% to 5.50%, due 09/15/2019 to 11/15/2033. |
26
Statement of Investments
Shares | Description | Value | ||||||||
Common Stocks – 94.0% | ||||||||||
Airlines – 0.6% | ||||||||||
1,145,837 | AirTran Holdings, Inc.* | $ | 9,143,779 | |||||||
222,509 | Frontier Airlines, Inc.* | 1,880,201 | ||||||||
11,023,980 | ||||||||||
Apartment – 1.6% | ||||||||||
131,916 | Gables Residential Trust | 4,640,805 | ||||||||
144,665 | Post Properties, Inc. | 4,665,446 | ||||||||
662,241 | Summit Properties, Inc.(a) | 20,794,368 | ||||||||
31,518 | Town & Country Trust | 839,009 | ||||||||
30,939,628 | ||||||||||
Banks – 8.8% | ||||||||||
218,522 | Alabama National BanCorporation | 13,624,847 | ||||||||
156,584 | Alliance Bankshares Corp.* | 2,716,732 | ||||||||
170,255 | Berkshire Hills Bancorp, Inc. | 5,929,982 | ||||||||
622,358 | Brookline Bancorp, Inc. | 9,447,394 | ||||||||
393,615 | Cardinal Financial Corp.* | 4,030,618 | ||||||||
587,385 | Citizens Banking Corp. | 18,109,080 | ||||||||
259,515 | First Community Bancorp | 11,208,453 | ||||||||
1,217,280 | First Niagara Financial Group, Inc.(a) | 16,664,563 | ||||||||
123,432 | First Oak Brook Bancshares, Inc. | 3,698,023 | ||||||||
181,945 | IBERIABANK Corp. | 10,705,644 | ||||||||
87,005 | Interchange Financial Services Corp. | 1,519,099 | ||||||||
274,765 | Main Street Banks, Inc.(a) | 8,792,480 | ||||||||
412,281 | Millennium Bankshares Corp.* | 3,590,967 | ||||||||
5,100 | Pacific Continental Corp. | 80,172 | ||||||||
530,510 | PFF Bancorp, Inc. | 22,334,471 | ||||||||
247,132 | Placer Sierra Bancshares | 5,933,639 | ||||||||
140,887 | Prosperity Bancshares, Inc. | 3,889,890 | ||||||||
1 | Republic Capital Trust | 15 | ||||||||
154,611 | Southcoast Financial Corp.* | 3,710,664 | ||||||||
167,487 | Sterling Bancorp. | 4,146,978 | ||||||||
76,685 | Sun Bancorp, Inc.* | 1,878,782 | ||||||||
166,868 | Texas United Bancshares, Inc. | 3,170,492 | ||||||||
608,608 | The Bancorp, Inc.* | 8,471,823 | ||||||||
272,929 | United Community Banks, Inc. | 6,795,932 | ||||||||
37,233 | West Coast Bancorp | 915,932 | ||||||||
171,366,672 | ||||||||||
Biotechnology – 1.1% | ||||||||||
948,767 | Cell Therapeutics, Inc.*(a) | 9,373,818 | ||||||||
484,066 | Renovis, Inc.*(a) | 4,642,677 | ||||||||
149,535 | United Therapeutics Corp.*(a) | 6,793,375 | ||||||||
20,809,870 | ||||||||||
Brokers – 0.7% | ||||||||||
1,028,776 | Knight Trading Group, Inc.* | 10,760,997 | ||||||||
161,859 | optionsXpress Holdings, Inc.*(a) | 2,792,068 | ||||||||
13,553,065 | ||||||||||
Chemical – 3.0% | ||||||||||
1,097,318 | Agrium, Inc. | $ | 19,861,456 | |||||||
443,666 | Albemarle Corp. | 16,859,308 | ||||||||
229,863 | Minerals Technologies, Inc. | 14,400,917 | ||||||||
176,839 | NuCo2, Inc.*(a) | 4,268,893 | ||||||||
254,886 | Penford Corp. | 3,680,554 | ||||||||
59,071,128 | ||||||||||
Computer Hardware – 2.2% | ||||||||||
1,219,507 | Ditech Communications Corp.* | 15,317,008 | ||||||||
277,725 | Hutchinson Technology, Inc.* | 9,070,498 | ||||||||
147,466 | Imation Corp. | 5,071,356 | ||||||||
567,903 | Insight Enterprises, Inc.* | 10,108,673 | ||||||||
450,249 | Mobility Electronics, Inc.* | 3,286,818 | ||||||||
42,854,353 | ||||||||||
Computer Software – 2.5% | ||||||||||
3,911,990 | Atari, Inc.* | 10,445,013 | ||||||||
1,209,726 | Citadel Security Software, Inc.*(a) | 2,165,410 | ||||||||
497,785 | OPNET Technologies, Inc.* | 3,738,365 | ||||||||
487,267 | Take-Two Interactive Software, Inc.*(a) | 17,868,081 | ||||||||
581,656 | The Ultimate Software Group, Inc.* | 7,829,090 | ||||||||
1,065,640 | Viisage Technology, Inc.*(a) | 6,180,712 | ||||||||
48,226,671 | ||||||||||
Construction – 3.5% | ||||||||||
84,328 | Beazer Homes USA, Inc.(a) | 14,497,670 | ||||||||
228,698 | ElkCorp | 8,777,429 | ||||||||
1,086,227 | Jacuzzi Brands, Inc.* | 11,188,138 | ||||||||
359,501 | Lennox International, Inc. | 7,772,412 | ||||||||
171,252 | Standard Pacific Corp. | 13,700,160 | ||||||||
98,548 | Texas Industries, Inc. | 6,573,152 | ||||||||
137,959 | WCI Communities, Inc.* | 4,787,177 | ||||||||
67,296,138 | ||||||||||
Consumer Durables – 0.4% | ||||||||||
364,554 | Select Comfort Corp.*(a) | 7,509,812 | ||||||||
Defense/ Aerospace – 0.8% | ||||||||||
358,975 | Ducommun, Inc.* | 7,323,090 | ||||||||
285,355 | EDO Corp. | 9,074,289 | ||||||||
16,397,379 | ||||||||||
Diversified – 1.5% | ||||||||||
1,930,703 | GrafTech International Ltd.* | 17,839,696 | ||||||||
831,778 | Lydall, Inc.* | 9,440,680 | ||||||||
195,430 | Modtech Holdings, Inc.*(a) | 1,661,155 | ||||||||
28,941,531 | ||||||||||
Drugs – 0.2% | ||||||||||
214,754 | PAREXEL International Corp.* | 4,814,785 | ||||||||
27
Shares | Description | Value | ||||||||
Common Stocks – (continued) | ||||||||||
Electrical Equipment – 0.8% | ||||||||||
182,626 | Baldor Electric Co. | $ | 4,748,276 | |||||||
206,559 | CyberOptics Corp.* | 2,819,530 | ||||||||
194,154 | Franklin Electric Co., Inc. | 7,614,720 | ||||||||
15,182,526 | ||||||||||
Electrical Utilities – 2.8% | ||||||||||
195,249 | Avista Corp. | 3,561,342 | ||||||||
79,417 | Central Vermont Public Service Corp. | 1,786,088 | ||||||||
95,035 | Cleco Corp. | 1,928,260 | ||||||||
978,995 | El Paso Electric Co.* | 19,550,530 | ||||||||
44,973 | MGE Energy, Inc. | 1,610,483 | ||||||||
500,242 | PNM Resources, Inc. | 13,126,350 | ||||||||
274,481 | Southern Union Co.* | 6,960,838 | ||||||||
284,922 | Westar Energy, Inc. | 6,547,508 | ||||||||
55,071,399 | ||||||||||
Energy Resources – 4.1% | ||||||||||
481,737 | Parallel Petroleum Corp.* | 3,473,324 | ||||||||
1,619,202 | Range Resources Corp. | 40,868,658 | ||||||||
827,257 | Whiting Petroleum Corp.* | 34,992,971 | ||||||||
79,334,953 | ||||||||||
Environmental & Other Services – 0.5% | ||||||||||
149,438 | TRC Companies, Inc.* | 2,426,873 | ||||||||
193,263 | Waste Connections, Inc.* | 6,586,403 | ||||||||
9,013,276 | ||||||||||
Financial Services – 2.5% | ||||||||||
707,197 | Accredited Home Lenders Holding Co.* | 28,302,024 | ||||||||
481,572 | Apollo Investment Corp.* | 7,921,859 | ||||||||
362,059 | Financial Federal Corp. | 12,338,971 | ||||||||
48,562,854 | ||||||||||
Food & Beverage – 1.8% | ||||||||||
266,935 | American Italian Pasta Co.(a) | 7,207,245 | ||||||||
340,964 | Hain Celestial Group, Inc.* | 6,365,798 | ||||||||
955,472 | Sensient Technologies Corp.(a) | 20,867,508 | ||||||||
34,440,551 | ||||||||||
Forest – 2.1% | ||||||||||
2,040,092 | Caraustar Industries, Inc.* | 29,152,914 | ||||||||
276,438 | Universal Forest Products, Inc. | 10,822,548 | ||||||||
119,861 | Wausau-Mosinee Paper Corp. | 1,807,504 | ||||||||
41,782,966 | ||||||||||
Gas Utilities – 3.1% | ||||||||||
417,763 | AGL Resources, Inc. | 14,462,955 | ||||||||
276,617 | Atmos Energy Corp. | 7,626,331 | ||||||||
117,029 | Energen Corp. | 7,548,370 | ||||||||
436,468 | Northwest Natural Gas Co. | 15,900,529 | ||||||||
154,310 | Piedmont Natural Gas Co., Inc.(a) | 3,604,682 | ||||||||
101,302 | South Jersey Industries, Inc. | 5,659,743 | ||||||||
160,035 | WGL Holdings, Inc. | 4,913,074 | ||||||||
59,715,684 | ||||||||||
Healthcare REIT – 0.1% | ||||||||||
220,421 | Omega Healthcare Investors, Inc. | 2,534,842 | ||||||||
Home Products – 1.9% | ||||||||||
756,733 | Elizabeth Arden, Inc.* | 19,410,202 | ||||||||
376,510 | Helen of Troy Ltd.* | 10,666,528 | ||||||||
99,830 | Jarden Corp.* | 4,343,603 | ||||||||
802,995 | Oneida Ltd.*(a) | 2,087,787 | ||||||||
36,508,120 | ||||||||||
Hotel – 0.5% | ||||||||||
308,261 | LaSalle Hotel Properties | 9,290,987 | ||||||||
Industrial Components – 4.1% | ||||||||||
337,939 | Actuant Corp.* | 18,265,603 | ||||||||
137,776 | Applied Industrial Technologies, Inc. | 3,901,817 | ||||||||
267,799 | Comfort Systems USA, Inc.* | 2,067,408 | ||||||||
363,394 | Hughes Supply, Inc. | 11,138,026 | ||||||||
167,408 | Lindsay Manufacturing Co. | 3,890,562 | ||||||||
1,486,400 | Wabash National Corp.* | 40,088,208 | ||||||||
79,351,624 | ||||||||||
Industrial Services – 3.6% | ||||||||||
70,269 | Harsco Corp. | 4,104,412 | ||||||||
375,792 | Infrasource Services, Inc.* | 4,618,484 | ||||||||
280,100 | ITT Educational Services, Inc.* | 13,638,069 | ||||||||
215,775 | LECG Corp.* | 3,894,739 | ||||||||
891,325 | Medical Staffing Network Holdings, Inc.*(a) | 5,811,439 | ||||||||
1,552,875 | PRG-Shultz International, Inc.*(a) | 7,189,811 | ||||||||
167,972 | School Specialty, Inc.*(a) | 6,332,544 | ||||||||
725,332 | West Corp.* | 24,450,942 | ||||||||
70,040,440 | ||||||||||
Information Services – 1.7% | ||||||||||
2,914,294 | Lionbridge Technologies, Inc.* | 17,456,621 | ||||||||
491,491 | MTC Technologies, Inc.* | 15,722,797 | ||||||||
33,179,418 | ||||||||||
Internet – 0.5% | ||||||||||
1,637,701 | Autobytel, Inc.* | 9,040,110 | ||||||||
Leisure & Entertainment – 1.3% | ||||||||||
125,673 | Argosy Gaming Co.* | 5,802,322 | ||||||||
130,791 | Aztar Corp.* | 3,885,801 | ||||||||
210,439 | Fossil, Inc.* | 5,429,326 | ||||||||
659,300 | K2, Inc.* | 9,447,769 | ||||||||
24,565,218 | ||||||||||
Life Insurance – 0.8% | ||||||||||
171,060 | StanCorp Financial Group, Inc. | 14,897,615 | ||||||||
Machinery – 0.6% | ||||||||||
23,034 | MTS Systems Corp. | 695,627 | ||||||||
49,631 | Tennant Co. | 1,950,498 | ||||||||
223,059 | Terex Corp.* | 10,082,267 | ||||||||
12,728,392 | ||||||||||
28
Shares | Description | Value | ||||||||
Common Stocks – (continued) | ||||||||||
Media – 1.0% | ||||||||||
366,508 | Advo, Inc. | $ | 13,439,849 | |||||||
1,121,329 | Regent Communications, Inc.* | 5,651,498 | ||||||||
19,091,347 | ||||||||||
Medical Products – 1.8% | ||||||||||
338,384 | Abaxis, Inc.* | 3,735,759 | ||||||||
1,075,401 | Conceptus, Inc.*(a) | 8,452,652 | ||||||||
560,762 | NDCHealth Corp. | 8,697,419 | ||||||||
681,427 | PSS World Medical, Inc.* | 8,286,152 | ||||||||
1,256,729 | ThermoGenesis Corp.*(a) | 6,861,740 | ||||||||
36,033,722 | ||||||||||
Medical Providers – 1.0% | ||||||||||
93,238 | Psychiatric Solutions, Inc.* | 3,712,737 | ||||||||
1,660,039 | Radiologix, Inc.* | 7,785,583 | ||||||||
206,817 | United Surgical Partners International, Inc.* | 8,491,906 | ||||||||
19,990,226 | ||||||||||
Mining – 3.3% | ||||||||||
561,067 | Commercial Metals Co. | 19,525,132 | ||||||||
274,785 | Maverick Tube Corp.*(a) | 9,771,355 | ||||||||
590,073 | Mueller Industries, Inc. | 18,575,498 | ||||||||
367,169 | Oregon Steel Mills, Inc.* | 10,688,289 | ||||||||
148,426 | Schnitzer Steel Industries, Inc. | 6,029,064 | ||||||||
64,589,338 | ||||||||||
Mortgage – 0.4% | ||||||||||
1,026,627 | MFA Mortgage Investments, Inc. | 8,674,998 | ||||||||
Motor Vehicle – 1.8% | ||||||||||
414,099 | American Axle & Manufacturing Holdings, Inc. | 10,940,496 | ||||||||
375,686 | ArvinMeritor, Inc.(a) | 6,334,066 | ||||||||
417,816 | LoJack Corp.* | 5,398,183 | ||||||||
278,870 | Methode Electronics, Inc. | 3,120,555 | ||||||||
671,124 | Tenneco Automotive, Inc.* | 10,194,373 | ||||||||
35,987,673 | ||||||||||
Office Industrials – 2.5% | ||||||||||
284,001 | AmeriVest Properties, Inc. | 1,789,206 | ||||||||
200,210 | Brandywine Realty Trust | 5,924,214 | ||||||||
67,592 | Corporate Office Properties Trust | 1,787,808 | ||||||||
512,957 | Lexington Corporate Properties Trust | 11,295,313 | ||||||||
332,418 | Parkway Properties, Inc. | 15,633,619 | ||||||||
364,241 | Prentiss Properties Trust | 12,781,217 | ||||||||
49,211,377 | ||||||||||
Oil Refining – 0.7% | ||||||||||
453,762 | Frontier Oil Corp. | 14,547,610 | ||||||||
Oil Services – 0.9% | ||||||||||
101,281 | Hydril Co.* | 6,083,949 | ||||||||
78,882 | Petroleum Development Corp.* | 3,458,187 | ||||||||
90,887 | W-H Energy Services, Inc.* | 2,399,417 | ||||||||
220,052 | Willbros Group, Inc.*(a) | 4,731,118 | ||||||||
16,672,671 | ||||||||||
Other REIT – 4.0% | ||||||||||
279,914 | Affordable Residential Communities | 3,386,959 | ||||||||
295,698 | BioMed Reality Trust, Inc. | 6,493,528 | ||||||||
418,529 | Capital Automotive REIT(a) | 13,937,016 | ||||||||
598,174 | Commercial Net Lease Realty, Inc. | 11,287,543 | ||||||||
444,601 | Correctional Properties Trust | 11,684,114 | ||||||||
215,583 | Entertainment Properties Trust | 8,838,903 | ||||||||
14,602 | Hersha Hospitality Trust | 171,574 | ||||||||
584,809 | RAIT Investment Trust | 15,702,122 | ||||||||
200,854 | Spirit Finance Corp.* | 2,225,462 | ||||||||
226,065 | U-Store-It Trust | 3,714,248 | ||||||||
77,441,469 | ||||||||||
Property Insurance – 3.1% | ||||||||||
144,896 | Donegal Group, Inc. | 3,458,668 | ||||||||
157,702 | Hub International Ltd. | 3,113,037 | ||||||||
147,071 | NYMAGIC, Inc. | 3,367,926 | ||||||||
323,325 | ProAssurance Corp.* | 13,094,663 | ||||||||
623,960 | ProCentury Corp. | 6,919,716 | ||||||||
376,991 | PXRE Group Ltd. | 9,801,766 | ||||||||
342,855 | RLI Corp. | 14,845,621 | ||||||||
182,024 | The Navigators Group, Inc.* | 5,460,720 | ||||||||
60,062,117 | ||||||||||
Publishing – 0.4% | ||||||||||
487,419 | Journal Register Co.* | 8,505,462 | ||||||||
Restaurants – 1.0% | ||||||||||
927,247 | Buca, Inc.*(a) | 6,407,277 | ||||||||
297,123 | California Pizza Kitchen, Inc.* | 7,107,182 | ||||||||
507,045 | Total Entertainment Restaurant Corp.* | 5,496,368 | ||||||||
19,010,827 | ||||||||||
Retail – 0.7% | ||||||||||
351,665 | Acadia Realty Trust | 5,591,473 | ||||||||
268,304 | Agree Realty Corp. | 7,364,945 | ||||||||
12,956,418 | ||||||||||
29
Shares | Description | Value | ||||||||
Common Stocks – (continued) | ||||||||||
Retail – (continued) | ||||||||||
Retail Apparel – 4.2% | ||||||||||
842,688 | Aaron Rents, Inc. | $ | 17,241,396 | |||||||
322,863 | Big Lots, Inc.* | 3,767,811 | ||||||||
613,705 | Brookstone, Inc.* | 8,972,367 | ||||||||
252,653 | K-Swiss, Inc. | 7,832,243 | ||||||||
306,256 | Kellwood Co. | 8,780,360 | ||||||||
389,505 | Sharper Image Corp.*(a) | 6,052,908 | ||||||||
205,757 | The Dress Barn, Inc.* | 3,882,635 | ||||||||
1,227,663 | The Gymboree Corp.* | 14,719,679 | ||||||||
323,428 | Zale Corp.* | 9,621,983 | ||||||||
80,871,382 | ||||||||||
Security/ Asset Management – 0.7% | ||||||||||
217,313 | Affiliated Managers Group, Inc.*(a) | 14,073,190 | ||||||||
Semiconductors – 0.7% | ||||||||||
19,016 | Power Integrations, Inc.* | 403,900 | ||||||||
328,603 | Tessera Technologies, Inc.* | 13,387,286 | ||||||||
13,791,186 | ||||||||||
Supply Chain – 0.0% | ||||||||||
6,191 | ScanSource, Inc.* | 388,485 | ||||||||
Telephone – 1.1% | ||||||||||
479,878 | Alaska Communications Systems Group, Inc. | 4,122,152 | ||||||||
1,585,660 | Cincinnati Bell, Inc.* | 6,976,904 | ||||||||
214,530 | Iowa Telecommunications Services, Inc. | 4,260,566 | ||||||||
335,075 | Valor Communications Group, Inc.*(a) | 5,230,521 | ||||||||
20,590,143 | ||||||||||
Thrifts – 2.8% | ||||||||||
503,885 | BankUnited Financial Corp.* | 14,259,946 | ||||||||
478,653 | Fidelity Bankshares, Inc. | 12,320,528 | ||||||||
412,086 | IndyMac Bancorp, Inc. | 14,830,975 | ||||||||
297,553 | Irwin Financial Corp. | 6,760,404 | ||||||||
736,922 | NetBank, Inc. | 6,602,821 | ||||||||
54,774,674 | ||||||||||
Truck Freight – 2.2% | ||||||||||
84,095 | Dryships, Inc.* | 1,879,523 | ||||||||
44,152 | Forward Air Corp. | 1,955,051 | ||||||||
364,830 | Heartland Express, Inc. | 7,519,146 | ||||||||
865,136 | OMI Corp. | 18,107,297 | ||||||||
566,773 | SCS Transportation, Inc.* | 12,554,022 | ||||||||
42,015,039 | ||||||||||
TOTAL COMMON STOCKS | ||||||||||
(Cost $1,490,735,610) | $ | 1,827,325,341 | ||||||||
Exchange Traded Fund – 1.5% | ||||||||||
153,179 | iShares Russell 2000 Value Index Fund(a) | $ | 28,996,785 | |||||||
(Cost $26,556,217) | ||||||||||
Principal | Interest | Maturity | ||||||||||||||
Amount | Rate | Date | Value | |||||||||||||
Corporate Bond – 0.1% | ||||||||||||||||
Mining – 0.1% | ||||||||||||||||
Mueller Industries, Inc | ||||||||||||||||
$ | 2,730,000 | 6.00 | % | 11/01/2014 | $ | 2,723,175 | ||||||||||
(Cost $2,729,842) | ||||||||||||||||
Repurchase Agreement – 4.4% | ||||||||||||||||
Joint Repurchase Agreement Account II(b) | ||||||||||||||||
$ | 85,200,000 | 2.64 | % | 03/01/2005 | $ | 85,200,000 | ||||||||||
Maturity Value: $85,206,258 | ||||||||||||||||
(Cost $85,200,000) | ||||||||||||||||
TOTAL INVESTMENTS BEFORE SECURITIES | ||||||||||||||||
LENDING COLLATERAL | ||||||||||||||||
(Cost $1,605,221,669) | $ | 1,944,245,301 | ||||||||||||||
Shares | Description | Value | ||||||||
Securities Lending Collateral – 9.5% | ||||||||||
184,625,500 | Boston Global Investment Trust – Enhanced Portfolio | $ | 184,625,500 | |||||||
(Cost $184,625,500) | ||||||||||
TOTAL INVESTMENTS – 109.5% | ||||||||||
(Cost $1,789,847,169) | $ | 2,128,870,801 | ||||||||
The percentage shown for each investment category reflects the value of investments in that category as a percentage of net assets. |
* | Non-income producing security. | |
(a) | All or a portion of security is on loan. | |
(b) | Joint repurchase agreement was entered into on February 28, 2005. |
Investment Abbreviations: | ||||||
REIT | — | Real Estate Investment Trust | ||||
30
ADDITIONAL INVESTMENT INFORMATION |
JOINT REPURCHASE AGREEMENT ACCOUNT II — At February 28, 2005, the Fund had an undivided interest in the following Joint Repurchase Agreement Account II which equaled $85,200,000 in principal amount.
Principal | Interest | Maturity | Maturity | |||||||||||||
Repurchase Agreements | Amount | Rate | Date | Value | ||||||||||||
Banc of America Securities LLC | $ | 1,900,000,000 | 2.64 | % | 03/01/2005 | $ | 1,900,139,333 | |||||||||
Barclays Capital PLC | 2,500,000,000 | 2.65 | 03/01/2005 | 2,500,184,028 | ||||||||||||
Greenwich Capital Markets | 400,000,000 | 2.65 | 03/01/2005 | 400,029,444 | ||||||||||||
J.P. Morgan Securities, Inc. | 697,000,000 | 2.65 | 03/01/2005 | 697,051,307 | ||||||||||||
Morgan Stanley & Co. | 1,500,000,000 | 2.64 | 03/01/2005 | 1,500,110,000 | ||||||||||||
UBS Securities LLC | 800,000,000 | 2.64 | 03/01/2005 | 800,058,667 | ||||||||||||
Westdeutsche Landesbank AG | 500,000,000 | 2.64 | 03/01/2005 | 500,036,667 | ||||||||||||
TOTAL | $ | 8,297,000,000 | $ | 8,297,609,446 | ||||||||||||
At February 28, 2005, the Joint Repurchase Agreement Account II was fully collateralized by Federal Farm Credit Bank, 0.00% to 2.38%, due 03/01/2005 to 10/02/2006; Federal Home Loan Bank, 0.00% to 7.63%, due 02/15/2006 to 11/14/2014; Federal Home Loan Mortgage Association, 0.00% to 12.00%, due 04/04/2005 to 03/01/2035; Federal National Mortgage Association, 0.00% to 9.50%, due 03/22/2005 to 03/01/2035; and Government National Mortgage Association, 4.50% to 5.50%, due 09/15/2019 to 11/15/2033. |
31
Statements of Assets and Liabilities
Large Cap | Growth and | Mid Cap | Small Cap | ||||||||||||||||
Value Fund | Income Fund | Value Fund | Value Fund | ||||||||||||||||
Assets: | |||||||||||||||||||
Investment in securities, at value (identified cost $599,056,696, $785,974,738, $2,457,440,980 and $1,605,221,669 respectively) | $ | 692,167,840 | $ | 937,657,096 | $ | 2,866,764,683 | $ | 1,944,245,301 | |||||||||||
Securities lending collateral, at value | 14,740,425 | 27,645,800 | 145,542,921 | 184,625,500 | |||||||||||||||
Cash | 77,184 | — | 80,415 | 81,498 | |||||||||||||||
Receivables: | |||||||||||||||||||
Investment securities sold | 8,689,816 | 11,534,887 | 18,226,862 | 10,429,456 | |||||||||||||||
Fund shares sold | 8,172,596 | 4,278,509 | 33,271,837 | 6,105,786 | |||||||||||||||
Dividends and interest | 899,848 | 2,176,519 | 4,619,670 | 872,505 | |||||||||||||||
Security claims | — | 428,719 | — | — | |||||||||||||||
Securities lending income | 1,491 | 2,416 | 11,283 | 68,729 | |||||||||||||||
Reimbursement from investment adviser | — | 8,984 | — | — | |||||||||||||||
Other assets | 30,461 | 44,291 | 64,084 | 29,286 | |||||||||||||||
Total assets | 724,779,661 | 983,777,221 | $ | 3,068,581,755 | 2,146,458,061 | ||||||||||||||
Liabilities: | |||||||||||||||||||
Due to custodian | — | 496,115 | — | — | |||||||||||||||
Payables: | |||||||||||||||||||
Payable upon return of securities loaned | 14,740,425 | 27,645,800 | 145,542,921 | 184,625,500 | |||||||||||||||
Investment securities purchased | 4,569,338 | 3,969,525 | 2,411,648 | 10,743,628 | |||||||||||||||
Fund shares repurchased | 1,803,279 | 832,799 | 5,659,430 | 4,525,105 | |||||||||||||||
Amounts owed to affiliates | 594,349 | 871,458 | 2,466,995 | 2,091,558 | |||||||||||||||
Accrued expenses | 96,849 | 137,996 | 165,869 | 172,606 | |||||||||||||||
Total liabilities | 21,804,240 | 33,953,693 | 156,246,863 | 202,158,397 | |||||||||||||||
Net Assets: | |||||||||||||||||||
Paid-in capital | 591,683,110 | 865,404,465 | 2,390,794,138 | 1,542,728,353 | |||||||||||||||
Accumulated undistributed net investment income | 687,589 | 1,555,683 | 3,019,836 | 4,318,600 | |||||||||||||||
Accumulated net realized gain (loss) on investment transactions | 17,493,578 | (68,818,978 | ) | 109,197,215 | 58,229,079 | ||||||||||||||
Net unrealized gain on investments | 93,111,144 | 151,682,358 | 409,323,703 | 339,023,632 | |||||||||||||||
NET ASSETS | $ | 702,975,421 | $ | 949,823,528 | $ | 2,912,334,892 | $ | 1,944,299,664 | |||||||||||
Net Assets: | |||||||||||||||||||
Class A | $391,715,160 | $814,731,589 | $1,669,269,245 | $1,087,625,762 | |||||||||||||||
Class B | 22,319,982 | 102,993,268 | 198,565,829 | 119,963,755 | |||||||||||||||
Class C | 24,854,004 | 15,508,721 | 190,323,067 | 139,251,114 | |||||||||||||||
Institutional | 263,135,651 | 15,350,090 | 822,246,539 | 571,031,217 | |||||||||||||||
Service | 950,624 | 1,239,860 | 31,930,212 | 26,427,816 | |||||||||||||||
Shares Outstanding: | |||||||||||||||||||
Class A | 30,150,194 | 32,064,364 | 49,172,777 | 25,950,837 | |||||||||||||||
Class B | 1,751,957 | 4,164,403 | 5,975,632 | 3,071,937 | |||||||||||||||
Class C | 1,954,760 | 628,851 | 5,759,114 | 3,568,639 | |||||||||||||||
Institutional | 20,106,745 | 596,961 | 24,082,313 | 13,291,897 | |||||||||||||||
Service | 73,273 | 48,813 | 945,541 | 637,534 | |||||||||||||||
Total shares outstanding, $0.001 par value (unlimited number of shares authorized) | 54,036,929 | 37,503,392 | 85,935,377 | 46,520,844 | |||||||||||||||
Net asset value, offering and redemption price per share: (a) | |||||||||||||||||||
Class A | $12.99 | $25.41 | $33.95 | $41.91 | |||||||||||||||
Class B | 12.74 | 24.73 | 33.23 | 39.05 | |||||||||||||||
Class C | 12.71 | 24.66 | 33.05 | 39.02 | |||||||||||||||
Institutional | 13.09 | 25.71 | 34.14 | 42.96 | |||||||||||||||
Service | 12.97 | 25.40 | 33.77 | 41.45 | |||||||||||||||
(a) | Maximum public offering price per share (NAV per share multiplied by 1.0582) for Class A Shares of the Large Cap Value, Growth and Income, Mid Cap Value and Small Cap Value Funds is $13.75, $26.89, $35.93 and $44.35, respectively. At redemption, Class B and Class C Shares may be subject to a contingent deferred sales charge assessed on the amount equal to the lesser of the current NAV or the original purchase price of the shares. |
32
Statements of Operations
Large Cap | Growth and | Mid Cap | Small Cap | |||||||||||||||
Value Fund | Income Fund | Value Fund | Value Fund | |||||||||||||||
Investment income: | ||||||||||||||||||
Dividends(a) | $ | 7,373,048 | $ | 12,466,705 | $ | 17,471,126 | $ | 15,544,632 | ||||||||||
Interest (including securities lending income of $3,427, $9,271, $56,107 and $365,902, respectively) | 182,316 | 320,841 | 1,063,630 | 1,079,627 | ||||||||||||||
Total income | 7,555,364 | 12,787,546 | 18,534,756 | 16,624,259 | ||||||||||||||
Expenses: | ||||||||||||||||||
Management fees | 2,254,025 | 2,918,606 | 8,240,719 | 8,787,336 | ||||||||||||||
Distribution and Service fees(b) | 608,434 | 1,448,446 | 3,038,320 | 2,553,347 | ||||||||||||||
Transfer Agent fees(b) | 400,156 | 786,871 | 1,582,232 | 1,310,571 | ||||||||||||||
Custody and accounting fees | 70,219 | 77,364 | 144,906 | 142,954 | ||||||||||||||
Registration fees | 34,938 | 55,300 | 74,270 | 68,528 | ||||||||||||||
Printing fees | 44,838 | 44,838 | 44,838 | 47,811 | ||||||||||||||
Professional fees | 23,331 | 23,331 | 25,099 | 25,586 | ||||||||||||||
Trustee fees | 7,674 | 7,674 | 7,674 | 7,674 | ||||||||||||||
Service Share fees | 1,078 | 3,109 | 51,148 | 56,309 | ||||||||||||||
Other | 271 | 51,382 | 87,786 | 74,159 | ||||||||||||||
Total expenses | 3,444,964 | 5,416,921 | 13,296,992 | 13,074,275 | ||||||||||||||
Less — expense reductions | (5,913 | ) | (99,643 | ) | (7,677 | ) | (17,837 | ) | ||||||||||
Net expenses | 3,439,051 | 5,317,278 | 13,289,315 | 13,056,438 | ||||||||||||||
NET INVESTMENT INCOME | 4,116,313 | 7,470,268 | 5,245,441 | 3,567,821 | ||||||||||||||
Realized and unrealized gain on investment transactions: | ||||||||||||||||||
Net realized gain from investment transactions | 27,227,097 | 23,369,273 | 122,778,967 | 84,641,251 | ||||||||||||||
Net increase from security claims receivable | — | 323,293 | — | — | ||||||||||||||
Net change in unrealized gain on investments | 34,622,143 | 62,238,083 | 236,604,061 | 130,160,476 | ||||||||||||||
Net realized and unrealized gain on investment transactions | 61,849,240 | 85,930,649 | 359,383,028 | 214,801,727 | ||||||||||||||
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS | $ | 65,965,553 | $ | 93,400,917 | $ | 364,628,469 | $ | 218,369,548 | ||||||||||
(a) | Foreign taxes withheld on dividends were $20,161 and $12,905 for Mid Cap Value and Small Cap Value Funds, respectively. |
(b) | Class specific Distribution and Service, and Transfer Agent fees were as follows: |
Distribution and Service Fees | Transfer Agent Fees | |||||||||||||||||||||||||||||||
Fund | Class A | Class B | Class C | Class A | Class B | Class C | Institutional | Service | ||||||||||||||||||||||||
Large Cap Value | $ | 419,280 | $ | 97,679 | $ | 91,475 | $ | 318,653 | $ | 18,559 | $ | 17,380 | $ | 45,478 | $ | 86 | ||||||||||||||||
Growth and Income | 895,171 | 486,310 | 66,965 | 680,330 | 92,399 | 12,723 | 1,170 | 249 | ||||||||||||||||||||||||
Mid Cap Value | 1,526,619 | 855,549 | 656,152 | 1,160,231 | 162,554 | 124,669 | 130,686 | 4,092 | ||||||||||||||||||||||||
Small Cap Value | 1,280,168 | 593,980 | 679,199 | 972,927 | 112,856 | 129,048 | 91,235 | 4,505 |
33
Statements of Changes in Net Assets
Large Cap Value Fund | |||||||||||
For the | |||||||||||
Six Months Ended | For the | ||||||||||
February 28, 2005 | Year Ended | ||||||||||
(Unaudited) | August 31, 2004 | ||||||||||
From operations: | |||||||||||
Net investment income (loss) | $ | 4,116,313 | $ | 3,027,189 | |||||||
Net realized gain from investment transactions | 27,227,097 | 45,421,141 | |||||||||
Net increase from security claims receivable | — | — | |||||||||
Net increase from payments by affiliates for voluntary reimbursements | — | 13,020 | |||||||||
Net change in unrealized gain on investments | 34,622,143 | 23,422,115 | |||||||||
Net increase in net assets resulting from operations | 65,965,553 | 71,883,465 | |||||||||
Distributions to shareholders: | |||||||||||
From net investment income | |||||||||||
Class A Shares | (2,432,121 | ) | (2,016,292 | ) | |||||||
Class B Shares | (22,762 | ) | (37,231 | ) | |||||||
Class C Shares | (36,990 | ) | (48,796 | ) | |||||||
Institutional Shares | (2,582,487 | ) | (1,252,950 | ) | |||||||
Service Shares | (3,541 | ) | (1,033 | ) | |||||||
From net realized gain | |||||||||||
Class A Shares | (2,271,732 | ) | — | ||||||||
Class B Shares | (139,478 | ) | — | ||||||||
Class C Shares | (128,351 | ) | — | ||||||||
Institutional Shares | (1,622,741 | ) | — | ||||||||
Service Shares | (2,720 | ) | — | ||||||||
Total distributions to shareholders | (9,242,923 | ) | (3,356,302 | ) | |||||||
From share transactions: | |||||||||||
Proceeds from sales of shares | 166,380,423 | 191,594,437 | |||||||||
Proceeds received in connection with merger | 61,425,577 | — | |||||||||
Reinvestment of dividends and distributions | 7,008,787 | 2,577,221 | |||||||||
Cost of shares repurchased | (70,477,203 | ) | (126,442,231 | ) | |||||||
Net increase in net assets resulting from share transactions | 164,337,584 | 67,729,427 | |||||||||
TOTAL INCREASE | 221,060,214 | 136,256,590 | |||||||||
Net assets: | |||||||||||
Beginning of period | 481,915,207 | 345,658,617 | |||||||||
End of period | $ | 702,975,421 | $ | 481,915,207 | |||||||
Accumulated undistributed net investment income | $ | 687,589 | $ | 1,649,177 | |||||||
34
Growth and Income Fund | Mid Cap Value Fund | Small Cap Value Fund | ||||||||||||||||||||||
For the | For the | For the | ||||||||||||||||||||||
Six Months Ended | For the | Six Months Ended | For the | Six Months Ended | For the | |||||||||||||||||||
February 28, 2005 | Year Ended | February 28, 2005 | Year Ended | February 28, 2005 | Year Ended | |||||||||||||||||||
(Unaudited) | August 31, 2004 | (Unaudited) | August 31, 2004 | (Unaudited) | August 31, 2004 | |||||||||||||||||||
$ | 7,470,268 | $ | 5,879,474 | $ | 5,245,441 | $ | 5,156,409 | $ | 3,567,821 | $ | (6,190,942 | ) | ||||||||||||
23,369,273 | 63,595,460 | 122,778,967 | 177,948,544 | 84,641,251 | 112,889,863 | |||||||||||||||||||
323,293 | — | — | — | — | — | |||||||||||||||||||
— | 474,128 | — | 165,987 | — | 83,352 | |||||||||||||||||||
62,238,083 | 42,333,649 | 236,604,061 | 57,878,342 | 130,160,476 | 73,514,258 | |||||||||||||||||||
93,400,917 | 112,282,711 | 364,628,469 | 241,149,282 | 218,369,548 | 180,296,531 | |||||||||||||||||||
(5,400,003 | ) | (5,726,857 | ) | (3,705,583 | ) | (3,742,658 | ) | — | — | |||||||||||||||
(411,184 | ) | (350,666 | ) | — | — | — | — | |||||||||||||||||
(55,523 | ) | (45,415 | ) | — | (55,373 | ) | — | — | ||||||||||||||||
(53,566 | ) | (58,565 | ) | (3,753,499 | ) | (3,194,090 | ) | — | — | |||||||||||||||
(8,801 | ) | (13,286 | ) | (54,438 | ) | (29,424 | ) | — | — | |||||||||||||||
— | — | (86,849,969 | ) | — | (63,697,587 | ) | (12,926,805 | ) | ||||||||||||||||
— | — | (12,288,164 | ) | — | (7,907,489 | ) | (1,995,155 | ) | ||||||||||||||||
— | — | (9,399,556 | ) | — | (9,053,264 | ) | (1,803,535 | ) | ||||||||||||||||
— | — | (45,371,052 | ) | — | (28,746,568 | ) | (3,145,918 | ) | ||||||||||||||||
— | — | (1,393,641 | ) | — | (1,417,611 | ) | (77,865 | ) | ||||||||||||||||
(5,929,077 | ) | (6,194,789 | ) | (162,815,902 | ) | (7,021,545 | ) | (110,822,519 | ) | (19,949,278 | ) | |||||||||||||
152,093,570 | 223,929,833 | 1,052,886,053 | 787,139,098 | 426,024,796 | 864,679,578 | |||||||||||||||||||
8,340,631 | — | — | — | 32,729,837 | — | |||||||||||||||||||
5,819,562 | 6,056,646 | 145,414,008 | 5,938,865 | 97,777,609 | 17,178,881 | |||||||||||||||||||
(52,420,845 | ) | (86,227,106 | ) | (198,960,767 | ) | (318,955,110 | ) | (233,895,318 | ) | (412,660,880 | ) | |||||||||||||
113,832,918 | 143,759,373 | 999,339,294 | 474,122,853 | 322,636,924 | 469,197,579 | |||||||||||||||||||
201,304,758 | 249,847,295 | 1,201,151,861 | 708,250,590 | 430,183,953 | 629,544,832 | |||||||||||||||||||
748,518,770 | 498,671,475 | 1,711,183,031 | 1,002,932,441 | 1,514,115,711 | 884,570,879 | |||||||||||||||||||
$ | 949,823,528 | $ | 748,518,770 | $ | 2,912,334,892 | $ | 1,711,183,031 | $ | 1,944,299,664 | $ | 1,514,115,711 | |||||||||||||
$ | 1,555,683 | $ | 14,492 | $ | 3,019,836 | $ | 5,287,915 | $ | 4,318,600 | $ | 750,779 | |||||||||||||
35
Notes to Financial Statements
1. ORGANIZATION |
2. SIGNIFICANT ACCOUNTING POLICIES |
A. Investment Valuation — Investments in securities and investment companies traded on a U.S. securities exchange or the NASDAQ system are valued daily at their last sale price or official closing price on the principal exchange or system on which they are traded. If no sale occurs, securities are valued at the last bid price. Debt securities are valued at prices supplied by independent pricing services, broker/dealer-supplied valuations or matrix pricing systems. Unlisted equity and debt securities for which market quotations are available are valued at the last sale price on valuation date, or if no sale occurs, at the last bid price. Investments in investment companies (other than those that are exchange traded) are valued at the net asset value per share on the valuation date. Short-term debt obligations maturing in sixty days or less are valued at amortized cost, which approximates market value. Securities for which quotations are not readily available or are deemed to be inaccurate by the investment adviser are valued at fair value using methods approved by the Trust’s Board of Trustees.
B. Security Transactions and Investment Income — Security transactions are recorded as of the trade date. Realized gains and losses on sales of portfolio securities are calculated using the identified cost basis. Dividend income is recorded on the ex-dividend date, net of foreign withholding taxes, if any, which are reduced by any amounts reclaimable by the Funds, where applicable. Interest income is recorded on the basis of interest accrued, premium amortized and discount accreted.
C. Federal Taxes — It is the Funds’ policy to comply with the requirements of the Internal Revenue Code (the “Code”) applicable to regulated investment companies and to distribute each year substantially all of its investment company taxable income and capital gains to its shareholders. Accordingly, no federal tax provisions are required. Dividends and distributions to shareholders are recorded on ex-dividend date. Income distributions, if any, are declared and paid quarterly for the Growth and Income Fund and annually for the Large Cap Value, Mid Cap Value and Small Cap Value Funds. Capital gains distributions, if any, are declared and paid annually, for all Funds.
2. SIGNIFICANT ACCOUNTING POLICIES (continued) |
D. Expenses — Expenses incurred by the Trust that do not specifically relate to an individual Fund of the Trust are allocated to the Funds on a straight-line or pro rata basis depending upon the nature of the expense.
E. Foreign Currency Translations — The books and records of each Fund are maintained in U.S. dollars. Amounts denominated in foreign currencies are translated into U.S. dollars on the following basis: (i) investment valuations, foreign currency and other assets and liabilities initially expressed in foreign currencies are converted each business day into U.S. dollars based upon current exchange rates; and (ii) purchases and sales of foreign investments, income and expenses are converted into U.S. dollars based upon currency exchange rates prevailing on the respective dates of such transactions.
F. Repurchase Agreements — Repurchase agreements involve the purchase of securities subject to the seller’s agreement to repurchase them at a mutually agreed upon date and price. During the term of a repurchase agreement, the value of the underlying securities held as collateral on behalf of the Funds, including accrued interest, is required to equal or exceed the value of the repurchase agreement, including accrued interest. If the seller defaults or becomes insolvent, realization of the collateral by the Funds may be delayed or limited and there may be a decline in the value of the collateral during the period while the Funds seek to assert their rights. The underlying securities for all repurchase agreements are held in safekeeping at the Funds’ custodian or designated subcustodians under triparty repurchase agreements.
G. Segregation Transactions — As set forth in the prospectus, the Funds may enter into certain derivative transactions to seek to increase total return. Forward foreign currency exchange contracts, futures contracts, written options, when-issued securities and forward commitments represent examples of such transactions. As a result of entering into these transactions, the Funds are required to segregate liquid assets on the accounting records equal to or greater than the market value of the corresponding transactions.
3. AGREEMENTS |
Other | ||||||||
Management | Expense | |||||||
Fund | Fee | Limit | ||||||
Large Cap Value | 0.75 | % | 0.064 | % | ||||
Growth and Income | 0.70 | 0.054 | ||||||
Mid Cap Value | 0.75 | 0.104 | ||||||
Small Cap Value | 1.00 | 0.064 | ||||||
3. AGREEMENTS (continued) |
Sales Load | Contingent Deferred Sales Charge | |||||||||||
Fund | Class A | Class B | Class C | |||||||||
Large Cap Value | $ | 87,100 | $ | 200 | $ | — | ||||||
Growth and Income | 667,500 | 200 | — | |||||||||
Mid Cap Value | 791,500 | 1,300 | 400 | |||||||||
Small Cap Value | 26,800 | 100 | — | |||||||||
Other Expense | Transfer Agent | Custody | Total Expense | |||||||||||||
Fund | Reimbursement | Credit | Fee Reduction | Reduction | ||||||||||||
Large Cap Value | $ | — | $ | 3 | $ | 3 | $ | 6 | ||||||||
Growth and Income | 35 | 64 | 1 | 100 | ||||||||||||
Mid Cap Value | — | 6 | 2 | 8 | ||||||||||||
Small Cap Value | — | 13 | 5 | 18 | ||||||||||||
Notes to Financial Statements (continued)
3. AGREEMENTS (continued) |
At February 28, 2005, the amounts owed to affiliates were as follows (in thousands):
Management | Distribution and | Transfer | Over Reimbursement Of | |||||||||||||||||
Fund | Fees | Service Fees | Agent Fees | “Other Expenses” | Total | |||||||||||||||
Large Cap Value | $ | 396 | $ | 108 | $ | 70 | $ | 20 | $ | 594 | ||||||||||
Growth and Income | 496 | 242 | 133 | — | 871 | |||||||||||||||
Mid Cap Value | 1,578 | 582 | 307 | — | 2,467 | |||||||||||||||
Small Cap Value | 1,472 | 407 | 213 | — | 2,092 | |||||||||||||||
4. PORTFOLIO SECURITIES TRANSACTIONS |
Fund | Purchases | Sales and Maturities | ||||||
Large Cap Value | $ | 333,470,459 | $ | 194,375,229 | ||||
Growth and Income | 249,509,124 | 152,178,736 | ||||||
Mid Cap Value | 1,417,950,939 | 640,068,078 | ||||||
Small Cap Value | 534,021,854 | 369,679,540 | ||||||
For the six months ended February 28, 2005, Goldman Sachs earned approximately $8,800, $20,900, $194,200 and $5,900 in brokerage commissions from portfolio transactions executed on behalf of the Large Cap Value, Growth and Income, Mid Cap Value and Small Cap Value Funds, respectively.
The Goldman Sachs Growth and Income Fund has recorded a receivable of approximately $323,000 that it anticipates collecting in connection with certain class action settlements in which the Fund was eligible to participate.
5. SECURITIES LENDING |
5. SECURITIES LENDING (continued) |
Earnings of BGA | Earnings Received | Amount Payable to | ||||||||||||||||||
Cash Collateral | Relating to Securities | From Lending to | Goldman Sachs | |||||||||||||||||
Market Value of | Received for Loans | Loaned for the | Goldman Sachs for | Upon Return of | ||||||||||||||||
Securities on loan as of | Outstanding as of | Six Months Ended | the Six Months Ended | Securities Loaned as of | ||||||||||||||||
Fund | February 28, 2005 | February 28, 2005 | February 28, 2005 | February 28, 2005 | February 28, 2005 | |||||||||||||||
Large Cap Value | $ | 14,306,975 | $ | 14,740,425 | $ | 605 | $ | — | $ | — | ||||||||||
Growth and Income | 26,727,642 | 27,645,800 | 1,636 | — | — | |||||||||||||||
Mid Cap Value | 139,214,079 | 145,542,921 | 9,899 | 860 | — | |||||||||||||||
Small Cap Value | 178,601,771 | 184,625,500 | 64,566 | 60,617 | 6,968,800 | |||||||||||||||
6. LINE OF CREDIT FACILITY |
Notes to Financial Statements (continued)
7. ADDITIONAL TAX INFORMATION |
As of the Funds’ most recent fiscal year end, August 31, 2004, the Funds’ capital loss carryforwards were as follows. Expiration occurs on August 31 of the year indicated.
Large Cap | Growth and | Mid Cap | Small Cap | |||||||||||||||
Value Fund | Income Fund | Value Fund | Value Fund | |||||||||||||||
Capital loss carryforward: | ||||||||||||||||||
Expiring 2010 | $ | — | $ | (27,470,202 | ) | $ | — | $ | — | |||||||||
Expiring 2011 | (4,121,212 | ) | (64,769,215 | ) | — | — | ||||||||||||
Total capital loss carryforward | $ | (4,121,212 | ) | $ | (92,239,417 | ) | $ | — | $ | — | ||||||||
Large Cap | Growth and | Mid Cap | Small Cap | ||||||||||||||
Value Fund | Income Fund | Value Fund | Value Fund | ||||||||||||||
Tax Cost | $ | 615,244,404 | $ | 813,892,665 | $ | 2,607,677,470 | $ | 1,793,787,675 | |||||||||
Gross unrealized gain | 96,552,962 | 159,139,760 | 421,009,455 | 390,331,261 | |||||||||||||
Gross unrealized loss | (4,889,101 | ) | (7,729,529 | ) | (16,379,321 | ) | (55,248,135 | ) | |||||||||
Net unrealized security gain | $ | 91,663,861 | $ | 151,410,231 | $ | 404,630,134 | $ | 335,083,126 | |||||||||
8. OTHER MATTERS |
Mergers and Reorganizations — At a meeting held on August 5, 2004, the Board of Trustees of the Trust approved an Agreement and Plan of Reorganization (“the Agreement”) providing for the tax-free acquisition of the Golden Oak Value and the Golden Oak Small Cap Value Funds into the Goldman Sachs Large Cap Value and Goldman Sachs Small Cap Value Funds, respectively. The acquisition was completed on September 28, 2004.
Exchanged Shares | Value of | Acquired Fund’s | ||||||||||
of Survivor | Exchanged | Shares Outstanding | ||||||||||
Survivor/Acquired Fund | Issued | Shares | on September 28, 2004 | |||||||||
Goldman Sachs Large Cap Value Class A / Golden Oak Value Class A | 504,066 | $ | 6,003,614 | 705,289 | ||||||||
Goldman Sachs Large Cap Value Institutional Class / Golden Oak Value Institutional Class | 4,610,585 | 55,421,963 | 6,479,508 | |||||||||
Goldman Sachs Small Cap Value Class A / Golden Oak Small Cap Value Class A | 168,713 | 6,856,556 | 715,037 | |||||||||
Goldman Sachs Small Cap Value Institutional Class / Golden Oak Small Cap Value Institutional Class | 623,019 | 25,873,281 | 2,675,696 | |||||||||
Survivor Fund’s | Acquired Fund’s | Survivor Fund’s | ||||||||||||||
Aggregate | Aggregate | Acquired | Aggregate | |||||||||||||
Net Assets | Net Assets | Fund’s | Net Assets | |||||||||||||
before | before | Unrealized | immediately | |||||||||||||
Survivor/Acquired Fund | acquisition | acquisition | Appreciation | after acquisition | ||||||||||||
Goldman Sachs Large Cap Value / Golden Oak Value | $ | 496,303,016 | $ | 61,425,577 | $ | 4,222,034 | $ | 557,728,593 | ||||||||
Goldman Sachs Small Cap Value / Golden Oak Small Cap Value | 1,588,484,785 | 32,729,837 | 7,232,645 | 1,621,214,622 | ||||||||||||
Notes to Financial Statements (continued)
8. OTHER MATTERS (continued) |
At a meeting held on November 4, 2004, the Board of Trustees of the Trust approved an Agreement and Plan of Reorganization (“the Agreement”) providing for the tax-free acquisition of the Expedition Equity Income Fund into the Goldman Sachs Growth and Income Fund. The acquisition was completed on February 28, 2005.
Exchanged Shares | Value of | Acquired Fund’s | ||||||||||
of Survivor | Exchanged | Shares Outstanding | ||||||||||
Survivor/Acquired Fund | Issued | Shares | on February 25, 2005 | |||||||||
Goldman Sachs Growth and Income Class A / Expedition Equity Income Class A | 11,042 | $ | 282,016 | 36,029 | ||||||||
Goldman Sachs Growth and Income Class B / Expedition Equity Income Class B | 26,027 | 647,035 | 83,634 | |||||||||
Goldman Sachs Growth and Income Institutional Class / Expedition Equity Income Institutional Class | 286,716 | 7,411,580 | 945,467 | |||||||||
The following chart shows the Survivor Fund’s and Acquired Fund’s aggregate net assets (immediately before and after the completion of the acquisition) and the Acquired Fund’s unrealized appreciation.
Survivor Fund’s | Acquired Fund’s | Survivor Fund’s | ||||||||||||||
Aggregate | Aggregate | Acquired | Aggregate | |||||||||||||
Net Assets | Net Assets | Fund’s | Net Assets | |||||||||||||
before | before | Unrealized | immediately | |||||||||||||
Survivor/Acquired Fund | acquisition | acquisition | Appreciation | after acquisition | ||||||||||||
Goldman Sachs Growth and Income / Expedition Equity Income | $ | 945,115,028 | $ | 8,340,631 | $ | 1,424,882 | $ | 953,455,659 | ||||||||
8. OTHER MATTERS (continued) |
Legal Proceedings — Purported class and derivative action lawsuits were filed in April and May 2004 in the United States District Court for the Southern District of New York against GSAM and certain related parties, including certain Goldman Sachs Funds and the Trustees and Officers of the Trust. In June 2004, these lawsuits were consolidated into one action and in November 2004 a consolidated and amended complaint was filed against GSAM, Goldman Sachs and certain related parties including certain Goldman Sachs Funds and the Trustees and Officers of the Trust. The amended complaint alleges violations of the Act, the Investment Advisers Act of 1940 and New York General Business Law. The consolidated and amended complaint also asserts claims involving common law breach of fiduciary duty, aiding and abetting breach of fiduciary duty and unjust enrichment. The consolidated and amended complaint alleges, among other things, that between April 2, 1999 and January 9, 2004 (the “Class Period”), GSAM and other defendants made improper and excessive brokerage commission and other payments to brokers that sold shares of the Goldman Sachs Funds; and omitted statements of fact in registration statements and reports filed pursuant to the Act which were necessary to prevent such registration statements and reports from being materially false and misleading. The consolidated and amended complaint further alleges that the Trust’s Officers and Trustees breached their fiduciary duties by, among other things, permitting the payments to occur. The consolidated and amended complaint also alleges GSAM used 12b-1 fees for improper purposes and made improper use of soft dollars. Based on currently available information, GSAM believes that the likelihood that the purported class action lawsuits will have a material adverse financial impact on the Funds is remote, and the pending actions are not likely to materially affect its ability to provide investment management services to its clients, including the Goldman Sachs Funds.
In addition, on March 10, 2005 Jeanne and Don Masden filed a purported class action lawsuit in the United States District Court for the Southern District of New York against Goldman Sachs Group, Inc., GSAM, Goldman, Sachs & Co., the Trustees of the Trust and John Doe Defendants (collectively the “Defendants”). The lawsuit amends a previously-filed complaint, and alleges that the Defendants breached their fiduciary duties and duties of care owed under federal and state law by failing to ensure that equity securities held by the Goldman Sachs Funds participated in class action settlements for which they were eligible. Plaintiffs seek compensatory damages, disgorgement of the fees paid to the investment advisers and punitive damages. Based on currently available information, GSAM believes that the likelihood that the pending purported class action lawsuit will have a material adverse financial impact on the Goldman Sachs Funds is remote, and the pending action is not likely to materially affect its ability to provide investment management services to its clients, including the Goldman Sachs Funds.
9. SUMMARY OF SHARE TRANSACTIONS |
Share activity for the six months ended February 28, 2005 is as follows:
Large Cap | Growth and | Mid Cap | Small Cap | |||||||||||||||||||||||||||||
Value Fund | Income Fund | Value Fund | Value Fund | |||||||||||||||||||||||||||||
Shares | Dollars | Shares | Dollars | Shares | Dollars | Shares | Dollars | |||||||||||||||||||||||||
Class A Shares | ||||||||||||||||||||||||||||||||
Shares sold | 7,766,578 | $ | 98,250,021 | 5,630,538 | $ | 136,710,412 | 21,022,913 | $ | 694,972,437 | 4,674,809 | $ | 193,956,352 | ||||||||||||||||||||
Shares issued in connection with merger | 504,066 | 6,003,614 | 11,042 | 282,016 | — | — | 168,713 | 6,856,556 | ||||||||||||||||||||||||
Shares converted from Class B(a) | 2,593 | 33,458 | 44,379 | 1,064,016 | 27,180 | 888,566 | 13,175 | 541,875 | ||||||||||||||||||||||||
Reinvestments of dividends and distributions | 323,627 | 4,106,831 | 223,315 | 5,330,242 | 2,624,058 | 84,783,329 | 1,425,983 | 58,836,088 | ||||||||||||||||||||||||
Shares repurchased | (3,180,064 | ) | (40,073,689 | ) | (1,696,255 | ) | (40,922,658 | ) | (4,191,660 | ) | (137,250,095 | ) | (3,779,859 | ) | (157,731,187 | ) | ||||||||||||||||
5,416,800 | 68,320,235 | 4,213,019 | 102,464,028 | 19,482,491 | 643,394,237 | 2,502,821 | 102,459,684 | |||||||||||||||||||||||||
Class B Shares | ||||||||||||||||||||||||||||||||
Shares sold | 362,145 | 4,421,543 | 378,806 | 8,952,013 | 1,062,388 | 34,339,234 | 54,943 | 2,139,992 | ||||||||||||||||||||||||
Shares issued in connection with merger | — | — | 26,027 | 647,035 | — | — | — | — | ||||||||||||||||||||||||
Reinvestments of dividends and distributions | 10,871 | 135,563 | 16,254 | 378,784 | 344,968 | 10,928,595 | 185,044 | 7,126,040 | ||||||||||||||||||||||||
Shares converted to Class A(a) | (2,642 | ) | (33,458 | ) | (45,569 | ) | (1,064,016 | ) | (27,722 | ) | (888,566 | ) | (14,077 | ) | (541,875 | ) | ||||||||||||||||
Shares repurchased | (97,359 | ) | (1,160,160 | ) | (403,473 | ) | (9,518,035 | ) | (317,430 | ) | (10,227,605 | ) | (251,037 | ) | (9,720,270 | ) | ||||||||||||||||
273,015 | 3,363,488 | (27,955 | ) | (604,219 | ) | 1,062,204 | 34,151,658 | (25,127 | ) | (996,113 | ) | |||||||||||||||||||||
Class C Shares | ||||||||||||||||||||||||||||||||
Shares sold | 745,510 | 9,260,293 | 132,044 | 3,138,507 | 2,573,315 | 82,849,941 | 182,680 | 7,091,236 | ||||||||||||||||||||||||
Reinvestments of dividends and distributions | 11,252 | 139,970 | 2,208 | 51,375 | 254,402 | 8,016,204 | 200,068 | 7,698,671 | ||||||||||||||||||||||||
Shares repurchased | (68,467 | ) | (842,525 | ) | (52,878 | ) | (1,242,090 | ) | (260,257 | ) | (8,330,810 | ) | (276,907 | ) | (10,719,314 | ) | ||||||||||||||||
688,295 | 8,557,738 | 81,374 | 1,947,792 | 2,567,460 | 82,535,335 | 105,841 | 4,070,593 | |||||||||||||||||||||||||
Institutional Shares | ||||||||||||||||||||||||||||||||
Shares sold | 4,219,349 | 53,596,182 | 131,087 | 3,231,851 | 6,731,440 | 223,405,600 | 5,069,694 | 215,712,982 | ||||||||||||||||||||||||
Shares issued in connection with merger | 4,610,585 | 55,421,963 | 286,716 | 7,411,580 | — | — | 623,019 | 25,873,281 | ||||||||||||||||||||||||
Reinvestments of dividends and distributions | 205,577 | 2,625,219 | 2,139 | 51,830 | 1,246,311 | 40,467,725 | 539,413 | 22,795,588 | ||||||||||||||||||||||||
Shares repurchased | (2,233,389 | ) | (28,323,887 | ) | (24,239 | ) | (572,953 | ) | (1,229,607 | ) | (40,658,666 | ) | (1,244,229 | ) | (53,232,382 | ) | ||||||||||||||||
6,802,122 | 83,319,477 | 395,703 | 10,122,308 | 6,748,144 | 223,214,659 | 4,987,897 | 211,149,469 | |||||||||||||||||||||||||
Service Shares | ||||||||||||||||||||||||||||||||
Shares sold | 67,824 | 852,384 | 2,554 | 60,787 | 527,264 | 17,318,841 | 172,425 | 7,124,234 | ||||||||||||||||||||||||
Reinvestments of dividends and distributions | 95 | 1,204 | 307 | 7,331 | 37,890 | 1,218,155 | 32,367 | 1,321,222 | ||||||||||||||||||||||||
Shares repurchased | (5,988 | ) | (76,942 | ) | (6,700 | ) | (165,109 | ) | (75,848 | ) | (2,493,591 | ) | (59,503 | ) | (2,492,165 | ) | ||||||||||||||||
61,931 | 776,646 | (3,839 | ) | (96,991 | ) | 489,306 | 16,043,405 | 145,289 | 5,953,291 | |||||||||||||||||||||||
NET INCREASE | 13,242,163 | $ | 164,337,584 | 4,658,302 | $ | 113,832,918 | 30,349,605 | $ | 999,339,294 | 7,716,721 | $ | 322,636,924 | ||||||||||||||||||||
(a) | Class B Shares will automatically convert into Class A Shares at the end of the calendar quarter that is eight years after the initial purchase date of either the Fund or another Goldman Sachs Fund. |
9. SUMMARY OF SHARE TRANSACTIONS (continued) |
Share activity for the year ended August 31, 2004 is as follows:
Large Cap | Growth and | Mid Cap | Small Cap | |||||||||||||||||||||||||||||
Value Fund | Income Fund | Value Fund | Value Fund | |||||||||||||||||||||||||||||
Shares | Dollars | Shares | Dollars | Shares | Dollars | Shares | Dollars | |||||||||||||||||||||||||
Class A Shares | ||||||||||||||||||||||||||||||||
Shares sold | 10,146,239 | $ | 113,881,281 | 9,654,335 | $ | 206,049,816 | 16,993,838 | $ | 498,048,993 | 13,558,759 | $ | 514,567,379 | ||||||||||||||||||||
Shares converted from Class B(a) | 1,216 | 14,354 | 19,197 | 436,167 | 4,372 | 136,800 | 3,099 | 122,869 | ||||||||||||||||||||||||
Reinvestments of dividends and distributions | 169,785 | 1,791,232 | 265,335 | 5,630,972 | 128,325 | 3,538,016 | 324,253 | 11,822,409 | ||||||||||||||||||||||||
Shares repurchased | (8,352,241 | ) | (92,516,551 | ) | (2,975,464 | ) | (64,191,272 | ) | (7,328,014 | ) | (211,616,054 | ) | (7,994,512 | ) | (304,095,524 | ) | ||||||||||||||||
1,964,999 | 23,170,316 | 6,963,403 | 147,925,683 | 9,798,521 | 290,107,755 | 5,891,599 | 222,417,133 | |||||||||||||||||||||||||
Class B Shares | ||||||||||||||||||||||||||||||||
Shares sold | 360,951 | 3,949,254 | 648,116 | 13,537,871 | 1,140,836 | 32,736,850 | 684,755 | 24,249,757 | ||||||||||||||||||||||||
Reinvestments of dividends and distributions | 2,865 | 29,712 | 15,518 | 316,043 | — | — | 51,935 | 1,788,126 | ||||||||||||||||||||||||
Shares converted to Class A (a) | (1,243 | ) | (14,354 | ) | (19,727 | ) | (436,167 | ) | (4,452 | ) | (136,800 | ) | (3,295 | ) | (122,869 | ) | ||||||||||||||||
Shares repurchased | (305,361 | ) | (3,330,121 | ) | (820,253 | ) | (17,319,601 | ) | (659,914 | ) | (18,796,100 | ) | (560,153 | ) | (19,955,591 | ) | ||||||||||||||||
57,212 | 634,491 | (176,346 | ) | (3,901,854 | ) | 476,470 | 13,803,950 | 173,242 | 5,959,423 | |||||||||||||||||||||||
Class C Shares | ||||||||||||||||||||||||||||||||
Shares sold | 404,931 | 4,451,573 | 158,382 | 3,318,002 | 1,504,928 | 43,324,476 | 1,572,631 | 56,170,817 | ||||||||||||||||||||||||
Reinvestments of dividends and distributions | 3,817 | 39,540 | 2,033 | 41,453 | 1,697 | 45,935 | 43,793 | 1,506,471 | ||||||||||||||||||||||||
Shares repurchased | (219,474 | ) | (2,400,432 | ) | (130,389 | ) | (2,727,881 | ) | (484,477 | ) | (13,728,903 | ) | (534,836 | ) | (19,170,635 | ) | ||||||||||||||||
189,274 | 2,090,681 | 30,026 | 631,574 | 1,022,148 | 29,641,508 | 1,081,588 | 38,506,653 | |||||||||||||||||||||||||
Institutional Shares | ||||||||||||||||||||||||||||||||
Shares sold | 6,022,356 | 69,122,695 | 36,911 | 828,661 | 6,717,663 | 200,181,301 | 6,489,222 | 251,113,432 | ||||||||||||||||||||||||
Reinvestments of dividends and distributions | 67,473 | 715,892 | 2,654 | 56,695 | 84,146 | 2,327,483 | 53,550 | 1,988,840 | ||||||||||||||||||||||||
Shares repurchased | (2,525,982 | ) | (28,127,449 | ) | (24,269 | ) | (537,095 | ) | (2,447,385 | ) | (71,934,853 | ) | (1,673,238 | ) | (65,093,380 | ) | ||||||||||||||||
3,563,847 | 41,711,138 | 15,296 | 348,261 | 4,354,424 | 130,573,931 | 4,869,534 | 188,008,892 | |||||||||||||||||||||||||
Service Shares | ||||||||||||||||||||||||||||||||
Shares sold | 17,086 | 189,634 | 9,112 | 195,483 | 433,072 | 12,847,478 | 483,169 | 18,578,193 | ||||||||||||||||||||||||
Reinvestments of dividends and distributions | 80 | 845 | 558 | 11,483 | 1,000 | 27,431 | 2,021 | 73,035 | ||||||||||||||||||||||||
Shares repurchased | (5,976 | ) | (67,678 | ) | (71,212 | ) | (1,451,257 | ) | (96,952 | ) | (2,879,200 | ) | (115,380 | ) | (4,345,750 | ) | ||||||||||||||||
11,190 | 122,801 | (61,542 | ) | (1,244,291 | ) | 337,120 | 9,995,709 | 369,810 | 14,305,478 | |||||||||||||||||||||||
NET INCREASE | 5,786,522 | $ | 67,729,427 | 6,770,837 | $ | 143,759,373 | 15,988,683 | $ | 474,122,853 | 12,385,773 | $ | 469,197,579 | ||||||||||||||||||||
(a) | Class B Shares will automatically convert into Class A Shares at the end of the calendar quarter that is eight years after the initial purchase date of either the Fund or another Goldman Sachs Fund. |
Financial Highlights
Income (loss) from | Distributions | |||||||||||||||||||||||||||||||
investment operations | to shareholders | |||||||||||||||||||||||||||||||
Net asset | Net | |||||||||||||||||||||||||||||||
value, | investment | Net realized | Total from | From net | From net | |||||||||||||||||||||||||||
beginning | income | and unrealized | investment | investment | realized | Total | ||||||||||||||||||||||||||
Year-Share Class | of period | (loss)(c) | gain (loss) | operations | income | gains | distributions | |||||||||||||||||||||||||
FOR THE SIX MONTHS ENDED FEBRUARY 28, (Unaudited) | ||||||||||||||||||||||||||||||||
2005 - A | $ | 11.80 | $ | 0.08 | $ | 1.29 | $ | 1.37 | $ | (0.09 | ) | $ | (0.09 | ) | $ | (0.18 | ) | |||||||||||||||
2005 - B | 11.54 | 0.03 | 1.27 | 1.30 | (0.01 | ) | (0.09 | ) | (0.10 | ) | ||||||||||||||||||||||
2005 - C | 11.53 | 0.03 | 1.26 | 1.29 | (0.02 | ) | (0.09 | ) | (0.11 | ) | ||||||||||||||||||||||
2005 - Institutional | 11.90 | 0.10 | 1.32 | 1.42 | (0.14 | ) | (0.09 | ) | (0.23 | ) | ||||||||||||||||||||||
2005 - Service | 11.80 | 0.06 | 1.31 | 1.37 | (0.11 | ) | (0.09 | ) | (0.20 | ) | ||||||||||||||||||||||
FOR THE YEARS ENDED AUGUST 31, | ||||||||||||||||||||||||||||||||
2004 - A | 9.86 | 0.08 | 1.95 | 2.03 | (0.09 | ) | — | (0.09 | ) | |||||||||||||||||||||||
2004 - B | 9.66 | — (d | ) | 1.91 | 1.91 | (0.03 | ) | — | (0.03 | ) | ||||||||||||||||||||||
2004 - C | 9.67 | — (d | ) | 1.90 | 1.90 | (0.04 | ) | — | (0.04 | ) | ||||||||||||||||||||||
2004 - Institutional | 9.95 | 0.12 | 1.96 | 2.08 | (0.13 | ) | — | (0.13 | ) | |||||||||||||||||||||||
2004 - Service | 9.91 | 0.06 | 1.96 | 2.02 | (0.13 | ) | — | (0.13 | ) | |||||||||||||||||||||||
2003 - A | 9.24 | 0.08 | 0.63 | 0.71 | (0.09 | ) | — | (0.09 | ) | |||||||||||||||||||||||
2003 - B | 9.11 | 0.01 | 0.61 | 0.62 | (0.07 | ) | — | (0.07 | ) | |||||||||||||||||||||||
2003 - C | 9.11 | 0.01 | 0.62 | 0.63 | (0.07 | ) | — | (0.07 | ) | |||||||||||||||||||||||
2003 - Institutional | 9.29 | 0.12 | 0.64 | 0.76 | (0.10 | ) | — | (0.10 | ) | |||||||||||||||||||||||
2003 - Service | 9.29 | 0.08 | 0.63 | 0.71 | (0.09 | ) | — | (0.09 | ) | |||||||||||||||||||||||
2002 - A | 10.21 | 0.08 | (1.01 | ) | (0.93 | ) | (0.04 | ) | — | (0.04 | ) | |||||||||||||||||||||
2002 - B | 10.10 | —(d | ) | (0.99 | ) | (0.99 | ) | — | — | — | ||||||||||||||||||||||
2002 - C | 10.10 | —(d | ) | (0.99 | ) | (0.99 | ) | — | — | — | ||||||||||||||||||||||
2002 - Institutional | 10.24 | 0.12 | (1.01 | ) | (0.89 | ) | (0.06 | ) | — | (0.06 | ) | |||||||||||||||||||||
2002 - Service | 10.23 | 0.08 | (1.00 | ) | (0.92 | ) | (0.02 | ) | — | (0.02 | ) | |||||||||||||||||||||
2001 - A | 10.39 | 0.08 | (0.20 | ) | (0.12 | ) | (0.06 | ) | — | (0.06 | ) | |||||||||||||||||||||
2001 - B | 10.33 | (0.01 | ) | (0.19 | ) | (0.20 | ) | (0.03 | ) | — | (0.03 | ) | ||||||||||||||||||||
2001 - C | 10.32 | (0.01 | ) | (0.19 | ) | (0.20 | ) | (0.02 | ) | — | (0.02 | ) | ||||||||||||||||||||
2001 - Institutional | 10.40 | 0.12 | (0.20 | ) | (0.08 | ) | (0.08 | ) | — | (0.08 | ) | |||||||||||||||||||||
2001 - Service | 10.38 | 0.08 | (0.20 | ) | (0.12 | ) | (0.03 | ) | — | (0.03 | ) | |||||||||||||||||||||
FOR THE PERIOD ENDED AUGUST 31, | ||||||||||||||||||||||||||||||||
2000 - A (commenced Dec. 15, 1999) | 10.00 | 0.06 | 0.33 | 0.39 | — | — | — | |||||||||||||||||||||||||
2000 - B (commenced Dec. 15, 1999) | 10.00 | —(d | ) | 0.33 | 0.33 | — | — | — | ||||||||||||||||||||||||
2000 - C (commenced Dec. 15, 1999) | 10.00 | 0.01 | 0.31 | 0.32 | — | — | — | |||||||||||||||||||||||||
2000 - Institutional (commenced Dec. 15, 1999) | 10.00 | 0.09 | 0.31 | 0.40 | — | — | — | |||||||||||||||||||||||||
2000 - Service (commenced Dec. 15, 1999) | 10.00 | 0.07 | 0.31 | 0.38 | — | — | — | |||||||||||||||||||||||||
(a) | Assumes investment at the net asset value at the beginning of the period, reinvestment of all dividends and distributions, a complete redemption of the investment at the net asset value at the end of the period and no sales or redemption charges. Total return would be reduced if a sales or redemption charge were taken into account. Total returns for periods less than one full year are not annualized. Returns do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares. |
(b) | Annualized. |
(c) | Calculated based on the average shares outstanding methodology. |
(d) | Less than $0.005 per share. |
48
Ratios assuming no | ||||||||||||||||||||||||||||||||||
expense reductions | ||||||||||||||||||||||||||||||||||
Ratio of | Ratio of | Ratio of | ||||||||||||||||||||||||||||||||
Net assets, | Ratio of | net investment | total | net investment | ||||||||||||||||||||||||||||||
Net asset | end of | net expenses | income (loss) | expenses | income (loss) | Portfolio | ||||||||||||||||||||||||||||
value, end | Total | period | to average | to average | to average | to average | turnover | |||||||||||||||||||||||||||
of period | return(a) | (in 000s) | net assets | net assets | net assets | net assets | rate | |||||||||||||||||||||||||||
$ | 12.99 | 11.64 | % | $ | 391,715 | 1.25 | %(b) | 1.26 | %(b) | 1.25 | %(b) | 1.26 | %(b) | 33 | % | |||||||||||||||||||
12.74 | 11.29 | 22,320 | 2.00 | (b) | 0.51 | (b) | 2.00 | (b) | 0.51 | (b) | 33 | |||||||||||||||||||||||
12.71 | 11.22 | 24,854 | 2.00 | (b) | 0.47 | (b) | 2.00 | (b) | 0.47 | (b) | 33 | |||||||||||||||||||||||
13.09 | 11.93 | 263,135 | 0.85 | (b) | 1.68 | (b) | 0.85 | (b) | 1.68 | (b) | 33 | |||||||||||||||||||||||
12.97 | 11.64 | 951 | 1.35 | (b) | 1.09 | (b) | 1.35 | (b) | 1.09 | (b) | 33 | |||||||||||||||||||||||
11.80 | 20.71 | 291,795 | 1.25 | 0.68 | 1.28 | 0.65 | 72 | |||||||||||||||||||||||||||
11.54 | 19.76 | 17,069 | 2.00 | (0.07 | ) | 2.03 | (0.10 | ) | 72 | |||||||||||||||||||||||||
11.53 | 19.74 | 14,601 | 2.00 | (0.07 | ) | 2.03 | (0.10 | ) | 72 | |||||||||||||||||||||||||
11.90 | 21.07 | 158,316 | 0.85 | 1.07 | 0.88 | 1.04 | 72 | |||||||||||||||||||||||||||
11.80 | 20.51 | 134 | 1.35 | 0.48 | 1.38 | 0.45 | 72 | |||||||||||||||||||||||||||
9.86 | 7.77 | 224,605 | 1.26 | 0.91 | 1.30 | 0.87 | 78 | |||||||||||||||||||||||||||
9.66 | 6.92 | 13,740 | 2.01 | 0.16 | 2.05 | 0.12 | 78 | |||||||||||||||||||||||||||
9.67 | 7.03 | 10,417 | 2.01 | 0.15 | 2.05 | 0.11 | 78 | |||||||||||||||||||||||||||
9.95 | 8.27 | 96,895 | 0.86 | 1.31 | 0.90 | 1.27 | 78 | |||||||||||||||||||||||||||
9.91 | 7.74 | 2 | 1.36 | 0.82 | 1.40 | 0.78 | 78 | |||||||||||||||||||||||||||
9.24 | (9.12 | ) | 232,501 | 1.26 | 0.80 | 1.32 | 0.74 | 91 | ||||||||||||||||||||||||||
9.11 | (9.80 | ) | 11,772 | 2.01 | 0.04 | 2.07 | (0.02 | ) | 91 | |||||||||||||||||||||||||
9.11 | (9.80 | ) | 4,420 | 2.01 | 0.05 | 2.07 | (0.01 | ) | 91 | |||||||||||||||||||||||||
9.29 | (8.73 | ) | 78,146 | 0.86 | 1.19 | 0.92 | 1.13 | 91 | ||||||||||||||||||||||||||
9.29 | (9.03 | ) | 1 | 1.36 | 0.84 | 1.42 | 0.78 | 91 | ||||||||||||||||||||||||||
10.21 | (1.21 | ) | 123,013 | 1.25 | 0.73 | 1.83 | 0.15 | 69 | ||||||||||||||||||||||||||
10.10 | (1.98 | ) | 8,830 | 2.00 | (0.06 | ) | 2.58 | (0.64 | ) | 69 | ||||||||||||||||||||||||
10.10 | (1.96 | ) | 3,636 | 2.00 | (0.05 | ) | 2.58 | (0.63 | ) | 69 | ||||||||||||||||||||||||
10.24 | (0.81 | ) | 50,740 | 0.85 | 1.09 | 1.43 | 0.51 | 69 | ||||||||||||||||||||||||||
10.23 | (1.17 | ) | 2 | 1.35 | 0.80 | 1.93 | 0.22 | 69 | ||||||||||||||||||||||||||
10.39 | 3.90 | 7,181 | 1.25 | (b) | 0.84 | (b) | 3.30 | (b) | (1.21 | )(b) | 67 | |||||||||||||||||||||||
10.33 | 3.30 | 1,582 | 2.00 | (b) | 0.06 | (b) | 4.05 | (b) | (1.99 | )(b) | 67 | |||||||||||||||||||||||
10.32 | 3.20 | 850 | 2.00 | (b) | 0.15 | (b) | 4.05 | (b) | (1.90 | )(b) | 67 | |||||||||||||||||||||||
10.40 | 4.00 | 16,155 | 0.85 | (b) | 1.31 | (b) | 2.90 | (b) | (0.74 | )(b) | 67 | |||||||||||||||||||||||
10.38 | 3.80 | 2 | 1.35 | (b) | 0.95 | (b) | 3.40 | (b) | (1.10 | )(b) | 67 | |||||||||||||||||||||||
Financial Highlights
Income (loss) from | Distributions | |||||||||||||||||||||||||||||||
investment operations | to shareholders | |||||||||||||||||||||||||||||||
Net asset | Net | |||||||||||||||||||||||||||||||
value, | investment | Net realized | Total from | From net | From net | |||||||||||||||||||||||||||
beginning | income | and unrealized | investment | investment | realized | Total | ||||||||||||||||||||||||||
Year-Share Class | of period | (loss)(c) | gain (loss) | operations | income | gains | distributions | |||||||||||||||||||||||||
FOR THE SIX MONTHS ENDED FEBRUARY 28, (Unaudited) | ||||||||||||||||||||||||||||||||
2005 - A | $ | 22.88 | $ | 0.23 | $ | 2.40 | $ | 2.63 | $ | (0.10 | ) | $ | — | $ | (0.10 | ) | ||||||||||||||||
2005 - B | 22.27 | 0.14 | 2.38 | 2.52 | (0.06 | ) | — | (0.06 | ) | |||||||||||||||||||||||
2005 - C | 22.21 | 0.13 | 2.38 | 2.51 | (0.06 | ) | — | (0.06 | ) | |||||||||||||||||||||||
2005 - Institutional | 23.15 | 0.24 | 2.45 | 2.69 | (0.13 | ) | — | (0.13 | ) | |||||||||||||||||||||||
2005 - Service | 22.87 | 0.22 | 2.41 | 2.63 | (0.10 | ) | — | (0.10 | ) | |||||||||||||||||||||||
FOR THE YEARS ENDED AUGUST 31, | ||||||||||||||||||||||||||||||||
2004 - A | 19.22 | 0.22 | 3.67 | 3.89 | (0.23 | ) | — | (0.23 | ) | |||||||||||||||||||||||
2004 - B | 18.72 | 0.05 | 3.58 | 3.63 | (0.08 | ) | — | (0.08 | ) | |||||||||||||||||||||||
2004 - C | 18.67 | 0.05 | 3.57 | 3.62 | (0.08 | ) | — | (0.08 | ) | |||||||||||||||||||||||
2004 - Institutional | 19.44 | 0.31 | 3.72 | 4.03 | (0.32 | ) | — | (0.32 | ) | |||||||||||||||||||||||
2004 - Service | 19.19 | 0.19 | 3.68 | 3.87 | (0.19 | ) | — | (0.19 | ) | |||||||||||||||||||||||
2003 - A | 18.01 | 0.25 | 1.21 | 1.46 | (0.25 | ) | — | (0.25 | ) | |||||||||||||||||||||||
2003 - B | 17.55 | 0.12 | 1.17 | 1.29 | (0.12 | ) | — | (0.12 | ) | |||||||||||||||||||||||
2003 - C | 17.51 | 0.12 | 1.16 | 1.28 | (0.12 | ) | — | (0.12 | ) | |||||||||||||||||||||||
2003 - Institutional | 18.22 | 0.33 | 1.21 | 1.54 | (0.32 | ) | — | (0.32 | ) | |||||||||||||||||||||||
2003 - Service | 17.98 | 0.23 | 1.21 | 1.44 | (0.23 | ) | — | (0.23 | ) | |||||||||||||||||||||||
2002 - A | 19.66 | 0.18 | (1.69 | ) | (1.51 | ) | (0.14 | ) | — | (0.14 | ) | |||||||||||||||||||||
2002 - B | 19.23 | 0.04 | (1.65 | ) | (1.61 | ) | (0.07 | ) | — | (0.07 | ) | |||||||||||||||||||||
2002 - C | 19.19 | 0.04 | (1.65 | ) | (1.61 | ) | (0.07 | ) | — | (0.07 | ) | |||||||||||||||||||||
2002 - Institutional | 19.84 | 0.22 | (1.66 | ) | (1.44 | ) | (0.18 | ) | — | (0.18 | ) | |||||||||||||||||||||
2002 - Service | 19.63 | 0.16 | (1.68 | ) | (1.52 | ) | (0.13 | ) | — | (0.13 | ) | |||||||||||||||||||||
2001 - A | 24.78 | 0.01 | (5.13 | ) | (5.12 | ) | — | — | — | |||||||||||||||||||||||
2001 - B | 24.42 | (0.15 | ) | (5.04 | ) | (5.19 | ) | — | — | — | ||||||||||||||||||||||
2001 - C | 24.37 | (0.15 | ) | (5.03 | ) | (5.18 | ) | — | — | — | ||||||||||||||||||||||
2001 - Institutional | 24.91 | 0.11 | (5.18 | ) | (5.07 | ) | — | — | — | |||||||||||||||||||||||
2001 - Service | 24.77 | (0.01 | ) | (5.13 | ) | (5.14 | ) | — | — | — | ||||||||||||||||||||||
2000 - A | 24.68 | 0.07 | 1.44 | 1.51 | (0.08 | ) | (1.33 | ) | (1.41 | ) | ||||||||||||||||||||||
2000 - B | 24.46 | (0.10 | ) | 1.42 | 1.32 | (0.03 | ) | (1.33 | ) | (1.36 | ) | |||||||||||||||||||||
2000 - C | 24.41 | (0.09 | ) | 1.40 | 1.31 | (0.02 | ) | (1.33 | ) | (1.35 | ) | |||||||||||||||||||||
2000 - Institutional | 24.72 | 0.16 | 1.49 | 1.65 | (0.13 | ) | (1.33 | ) | (1.46 | ) | ||||||||||||||||||||||
2000 - Service | 24.68 | 0.05 | 1.44 | 1.49 | (0.07 | ) | (1.33 | ) | (1.40 | ) | ||||||||||||||||||||||
(a) | Assumes investment at the net asset value at the beginning of the period, reinvestment of all dividends and distributions, a complete redemption of the investment at the net asset value at the end of the period and no sales or redemption charges. Total return would be reduced if a sales or redemption charge were taken into account. Total returns for periods less than one full year are not annualized. Returns do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares. |
(b) | Annualized. |
(c) | Calculated based on the average shares outstanding methodology. |
(d) | Performance has not been restated to reflect the impact of security claims receivable recorded during the period. If restated, the performance would have been 12.02%, 11.57%, 11.56%, 12.22% and 11.96% for Class A, Class B, Class C, Institutional and Service Shares, respectively. |
50
Ratios assuming no | ||||||||||||||||||||||||||||||||||
expense reductions | ||||||||||||||||||||||||||||||||||
Ratio of | Ratio of | Ratio of | ||||||||||||||||||||||||||||||||
Net assets, | Ratio of | net investment | total | net investment | ||||||||||||||||||||||||||||||
Net asset | end of | net expenses | income (loss) | expenses | income (loss) | Portfolio | ||||||||||||||||||||||||||||
value, end | Total | period | to average | to average | to average | to average | turnover | |||||||||||||||||||||||||||
of period | return(a) | (in 000s) | net assets | net assets | net assets | net assets | rate | |||||||||||||||||||||||||||
$ | 25.41 | 11.97 | % (d) | $ | 814,732 | 1.18 | %(b) | 1.89 | %(b) | 1.20 | %(b) | 1.87 | %(b) | 19 | % | |||||||||||||||||||
24.73 | 11.52 | (d) | 102,993 | 1.93 | (b) | 1.16 | (b) | 1.95 | (b) | 1.14 | (b) | 19 | ||||||||||||||||||||||
24.66 | 11.51 | (d) | 15,509 | 1.93 | (b) | 1.14 | (b) | 1.95 | (b) | 1.12 | (b) | 19 | ||||||||||||||||||||||
25.71 | 12.18 | (d) | 15,350 | 0.78 | (b) | 1.99 | (b) | 0.80 | (b) | 1.97 | (b) | 19 | ||||||||||||||||||||||
25.40 | 11.91 | (d) | 1,240 | 1.28 | (b) | 1.83 | (b) | 1.30 | (b) | 1.81 | (b) | 19 | ||||||||||||||||||||||
22.88 | 20.27 | 637,130 | 1.19 | 1.02 | 1.21 | 1.00 | 54 | |||||||||||||||||||||||||||
22.27 | 19.38 | 93,367 | 1.94 | 0.27 | 1.96 | 0.25 | 54 | |||||||||||||||||||||||||||
22.21 | 19.40 | 12,159 | 1.94 | 0.27 | 1.96 | 0.25 | 54 | |||||||||||||||||||||||||||
23.15 | 20.75 | 4,659 | 0.79 | 1.43 | 0.81 | 1.41 | 54 | |||||||||||||||||||||||||||
22.87 | 20.14 | 1,204 | 1.29 | 0.94 | 1.31 | 0.92 | 54 | |||||||||||||||||||||||||||
19.22 | 8.25 | 401,439 | 1.20 | 1.42 | 1.24 | 1.38 | 55 | |||||||||||||||||||||||||||
18.72 | 7.43 | 81,765 | 1.95 | 0.68 | 1.99 | 0.64 | 55 | |||||||||||||||||||||||||||
18.67 | 7.39 | 9,661 | 1.95 | 0.68 | 1.99 | 0.64 | 55 | |||||||||||||||||||||||||||
19.44 | 8.63 | 3,615 | 0.80 | 1.83 | 0.84 | 1.79 | 55 | |||||||||||||||||||||||||||
19.19 | 8.14 | 2,191 | 1.30 | 1.33 | 1.34 | 1.29 | 55 | |||||||||||||||||||||||||||
18.01 | (7.74 | ) | 291,151 | 1.20 | 0.95 | 1.22 | 0.93 | 89 | ||||||||||||||||||||||||||
17.55 | (8.42 | ) | 76,772 | 1.95 | 0.19 | 1.97 | 0.17 | 89 | ||||||||||||||||||||||||||
17.51 | (8.42 | ) | 9,336 | 1.95 | 0.21 | 1.97 | 0.19 | 89 | ||||||||||||||||||||||||||
18.22 | (7.36 | ) | 4,539 | 0.80 | 1.12 | 0.82 | 1.10 | 89 | ||||||||||||||||||||||||||
17.98 | (7.80 | ) | 3,819 | 1.30 | 0.83 | 1.32 | 0.81 | 89 | ||||||||||||||||||||||||||
19.66 | (20.66 | ) | 355,205 | 1.19 | 0.07 | 1.21 | 0.05 | 40 | ||||||||||||||||||||||||||
19.23 | (21.25 | ) | 98,747 | 1.94 | (0.68 | ) | 1.96 | (0.70 | ) | 40 | ||||||||||||||||||||||||
19.19 | (21.22 | ) | 10,360 | 1.94 | (0.68 | ) | 1.96 | (0.70 | ) | 40 | ||||||||||||||||||||||||
19.84 | (20.32 | ) | 28,201 | 0.79 | 0.49 | 0.81 | 0.47 | 40 | ||||||||||||||||||||||||||
19.63 | (20.75 | ) | 5,581 | 1.29 | (0.03 | ) | 1.31 | (0.05 | ) | 40 | ||||||||||||||||||||||||
24.78 | 6.48 | 576,354 | 1.18 | 0.31 | 1.18 | 0.31 | 87 | |||||||||||||||||||||||||||
24.42 | 5.70 | 155,527 | 1.93 | (0.41 | ) | 1.93 | (0.41 | ) | 87 | |||||||||||||||||||||||||
24.37 | 5.67 | 15,746 | 1.93 | (0.40 | ) | 1.93 | (0.40 | ) | 87 | |||||||||||||||||||||||||
24.91 | 7.05 | 28,543 | 0.78 | 0.69 | 0.78 | 0.69 | 87 | |||||||||||||||||||||||||||
24.77 | 6.40 | 7,926 | 1.28 | 0.20 | 1.28 | 0.20 | 87 | |||||||||||||||||||||||||||
Financial Highlights
Income (loss) from | Distributions | |||||||||||||||||||||||||||||||
investment operations | to shareholders | |||||||||||||||||||||||||||||||
Net asset | Net | |||||||||||||||||||||||||||||||
value, | investment | Net realized | Total from | From net | From net | |||||||||||||||||||||||||||
beginning | income | and unrealized | investment | investment | realized | Total | ||||||||||||||||||||||||||
Year - Share Class | of period | (loss)(c) | gain | operations | income | gains | distributions | |||||||||||||||||||||||||
FOR THE SIX MONTHS ENDED FEBRUARY 28, (Unaudited) | ||||||||||||||||||||||||||||||||
2005 - A | $ | 30.82 | $ | 0.07 | $ | 5.51 | $ | 5.58 | $ | (0.10 | ) | $ | (2.35 | ) | $ | (2.45 | ) | |||||||||||||||
2005 - B | 30.23 | (0.04 | ) | 5.39 | 5.35 | — | (2.35 | ) | (2.35 | ) | ||||||||||||||||||||||
2005 - C | 30.08 | (0.05 | ) | 5.37 | 5.32 | — | (2.35 | ) | (2.35 | ) | ||||||||||||||||||||||
2005 - Institutional | 31.01 | 0.14 | 5.53 | 5.67 | (0.19 | ) | (2.35 | ) | (2.54 | ) | ||||||||||||||||||||||
2005 - Service | 30.68 | 0.05 | 5.48 | 5.53 | (0.09 | ) | (2.35 | ) | (2.44 | ) | ||||||||||||||||||||||
FOR THE YEARS ENDED AUGUST 31, | ||||||||||||||||||||||||||||||||
2004 - A | 25.37 | 0.11 | 5.51 | 5.62 | (0.17 | ) | — | (0.17 | ) | |||||||||||||||||||||||
2004 - B | 24.92 | (0.11 | ) | 5.42 | 5.31 | — | — | — | ||||||||||||||||||||||||
2004 - C | 24.81 | (0.11 | ) | 5.40 | 5.29 | (0.02 | ) | — | (0.02 | ) | ||||||||||||||||||||||
2004 - Institutional | 25.49 | 0.23 | 5.53 | 5.76 | (0.24 | ) | — | (0.24 | ) | |||||||||||||||||||||||
2004 - Service | 25.26 | 0.09 | 5.51 | 5.60 | (0.18 | ) | — | (0.18 | ) | |||||||||||||||||||||||
2003 - A | 24.17 | 0.19 | 1.65 | 1.84 | (0.14 | ) | (0.50 | ) | (0.64 | ) | ||||||||||||||||||||||
2003 - B | 23.80 | 0.02 | 1.62 | 1.64 | (0.02 | ) | (0.50 | ) | (0.52 | ) | ||||||||||||||||||||||
2003 - C | 23.73 | 0.02 | 1.60 | 1.62 | (0.04 | ) | (0.50 | ) | (0.54 | ) | ||||||||||||||||||||||
2003 - Institutional | 24.24 | 0.29 | 1.66 | 1.95 | (0.20 | ) | (0.50 | ) | (0.70 | ) | ||||||||||||||||||||||
2003 - Service | 24.12 | 0.17 | 1.65 | 1.82 | (0.18 | ) | (0.50 | ) | (0.68 | ) | ||||||||||||||||||||||
2002 - A | 24.34 | 0.18 | 0.45 | 0.63 | (0.18 | ) | (0.62 | ) | (0.80 | ) | ||||||||||||||||||||||
2002 - B | 24.01 | (0.01 | ) | 0.45 | 0.44 | (0.03 | ) | (0.62 | ) | (0.65 | ) | |||||||||||||||||||||
2002 - C | 23.98 | (0.01 | ) | 0.45 | 0.44 | (0.07 | ) | (0.62 | ) | (0.69 | ) | |||||||||||||||||||||
2002 - Institutional | 24.35 | 0.27 | 0.45 | 0.72 | (0.21 | ) | (0.62 | ) | (0.83 | ) | ||||||||||||||||||||||
2002 - Service | 24.14 | 0.16 | 0.44 | 0.60 | — | (0.62 | ) | (0.62 | ) | |||||||||||||||||||||||
2001 - A | 19.88 | 0.24 | 4.37 | 4.61 | (0.15 | ) | — | (0.15 | ) | |||||||||||||||||||||||
2001 - B | 19.69 | 0.06 | 4.33 | 4.39 | (0.07 | ) | — | (0.07 | ) | |||||||||||||||||||||||
2001 - C | 19.67 | 0.06 | 4.33 | 4.39 | (0.08 | ) | — | (0.08 | ) | |||||||||||||||||||||||
2001 - Institutional | 19.86 | 0.33 | 4.36 | 4.69 | (0.20 | ) | — | (0.20 | ) | |||||||||||||||||||||||
2001 - Service | 19.73 | 0.21 | 4.34 | 4.55 | (0.14 | ) | — | (0.14 | ) | |||||||||||||||||||||||
2000 - A | 18.42 | 0.20 | 1.38 | 1.58 | (0.12 | ) | — | (0.12 | ) | |||||||||||||||||||||||
2000 - B | 18.23 | 0.06 | 1.40 | 1.46 | — | — | — | |||||||||||||||||||||||||
2000 - C | 18.24 | 0.06 | 1.37 | 1.43 | — | — | — | |||||||||||||||||||||||||
2000 - Institutional | 18.45 | 0.27 | 1.36 | 1.63 | (0.22 | ) | — | (0.22 | ) | |||||||||||||||||||||||
2000 - Service | 18.31 | 0.18 | 1.35 | 1.53 | (0.11 | ) | — | (0.11 | ) | |||||||||||||||||||||||
(a) | Assumes investment at the net asset value at the beginning of the period, reinvestment of all dividends and distributions, a complete redemption of the investment at the net asset value at the end of the period and no sales or redemption charges. Total return would be reduced if a sales or redemption charge were taken into account. Total returns for periods less than one full year are not annualized. Returns do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares. |
(b) | Annualized. |
(c) | Calculated based on the average shares outstanding methodology. |
52
Ratios assuming no | ||||||||||||||||||||||||||||||||||
expense reductions | ||||||||||||||||||||||||||||||||||
Ratio of | Ratio of | Ratio of | ||||||||||||||||||||||||||||||||
Net assets, | Ratio of | net investment | total | net investment | ||||||||||||||||||||||||||||||
Net asset | end of | net expenses | income (loss) | expenses | income (loss) | Portfolio | ||||||||||||||||||||||||||||
value, end | Total | period | to average | to average | to average | to average | turnover | |||||||||||||||||||||||||||
of period | return(a) | (in 000s) | net assets | net assets | net assets | net assets | rate | |||||||||||||||||||||||||||
$ | 33.95 | 18.49 | % | $ | 1,669,269 | 1.22 | %(b) | 0.46 | %(b) | 1.22 | %(b) | 0.46 | %(b) | 30 | % | |||||||||||||||||||
33.23 | 18.10 | 198,566 | 1.97 | (b) | (0.26 | )(b) | 1.97 | (b) | (0.26 | )(b) | 30 | |||||||||||||||||||||||
33.05 | 18.05 | 190,323 | 1.97 | (b) | (0.31 | )(b) | 1.97 | (b) | (0.31 | )(b) | 30 | |||||||||||||||||||||||
34.14 | 18.74 | 822,247 | 0.82 | (b) | 0.86 | (b) | 0.82 | (b) | 0.86 | (b) | 30 | |||||||||||||||||||||||
33.77 | 18.45 | 31,930 | 1.32 | (b) | 0.33 | (b) | 1.32 | (b) | 0.33 | (b) | 30 | |||||||||||||||||||||||
30.82 | 22.24 | 915,091 | 1.24 | 0.37 | 1.24 | 0.37 | 71 | |||||||||||||||||||||||||||
30.23 | 21.31 | 148,555 | 1.99 | (0.38 | ) | 1.99 | (0.38 | ) | 71 | |||||||||||||||||||||||||
30.08 | 21.35 | 96,007 | 1.99 | (0.37 | ) | 1.99 | (0.37 | ) | 71 | |||||||||||||||||||||||||
31.01 | 22.71 | 537,533 | 0.84 | 0.78 | 0.84 | 0.78 | 71 | |||||||||||||||||||||||||||
30.68 | 22.27 | 13,997 | 1.34 | 0.30 | 1.34 | 0.30 | 71 | |||||||||||||||||||||||||||
25.37 | 7.88 | 504,693 | 1.25 | 0.83 | 1.25 | 0.83 | 80 | |||||||||||||||||||||||||||
24.92 | 7.09 | 110,569 | 2.00 | 0.09 | 2.00 | 0.09 | 80 | |||||||||||||||||||||||||||
24.81 | 7.07 | 53,835 | 2.00 | 0.09 | 2.00 | 0.09 | 80 | |||||||||||||||||||||||||||
25.49 | 8.34 | 330,827 | 0.85 | 1.24 | 0.85 | 1.24 | 80 | |||||||||||||||||||||||||||
25.26 | 7.83 | 3,008 | 1.35 | 0.72 | 1.35 | 0.72 | 80 | |||||||||||||||||||||||||||
24.17 | 2.67 | 342,976 | 1.27 | 0.72 | 1.27 | 0.72 | 92 | |||||||||||||||||||||||||||
23.80 | 1.90 | 89,434 | 2.02 | (0.04 | ) | 2.02 | (0.04 | ) | 92 | |||||||||||||||||||||||||
23.73 | 1.87 | 39,498 | 2.02 | (0.03 | ) | 2.02 | (0.03 | ) | 92 | |||||||||||||||||||||||||
24.24 | 3.05 | 318,916 | 0.87 | 1.11 | 0.87 | 1.11 | 92 | |||||||||||||||||||||||||||
24.12 | 2.55 | 921 | 1.37 | 0.63 | 1.37 | 0.63 | 92 | |||||||||||||||||||||||||||
24.34 | 23.29 | 96,568 | 1.29 | 1.05 | 1.32 | 1.02 | 101 | |||||||||||||||||||||||||||
24.01 | 22.33 | 42,813 | 2.04 | 0.28 | 2.07 | 0.25 | 101 | |||||||||||||||||||||||||||
23.98 | 22.37 | 16,094 | 2.04 | 0.28 | 2.07 | 0.25 | 101 | |||||||||||||||||||||||||||
24.35 | 23.75 | 247,212 | 0.89 | 1.43 | 0.92 | 1.40 | 101 | |||||||||||||||||||||||||||
24.14 | 23.17 | 256 | 1.39 | 0.94 | 1.42 | 0.91 | 101 | |||||||||||||||||||||||||||
19.88 | 8.70 | 39,142 | 1.29 | 1.11 | 1.34 | 1.06 | 83 | |||||||||||||||||||||||||||
19.69 | 8.01 | 22,284 | 2.04 | 0.35 | 2.09 | 0.30 | 83 | |||||||||||||||||||||||||||
19.67 | 7.84 | 5,720 | 2.04 | 0.32 | 2.09 | 0.27 | 83 | |||||||||||||||||||||||||||
19.86 | 9.08 | 158,188 | 0.89 | 1.51 | 0.94 | 1.46 | 83 | |||||||||||||||||||||||||||
19.73 | 8.48 | 206 | 1.39 | 1.03 | 1.44 | 0.98 | 83 | |||||||||||||||||||||||||||
Financial Highlights
Income (loss) from | Distributions | |||||||||||||||||||||||||||||||
investment operations | to shareholders | |||||||||||||||||||||||||||||||
Net asset | Net | |||||||||||||||||||||||||||||||
value, | investment | Net realized | Total from | From net | From net | |||||||||||||||||||||||||||
beginning | income | and unrealized | investment | investment | realized | Total | ||||||||||||||||||||||||||
Year-Share Class | of period | (loss)(c) | gain (loss) | operations | income | gains | distributions | |||||||||||||||||||||||||
FOR THE SIX MONTHS ENDED FEBRUARY 28, (Unaudited) | ||||||||||||||||||||||||||||||||
2005 - A | $ | 39.25 | $ | 0.09 | $ | 5.20 | $ | 5.29 | $ | — | $ | (2.63 | ) | $ | (2.63 | ) | �� | |||||||||||||||
2005 - B | 36.86 | (0.06 | ) | 4.88 | 4.82 | — | (2.63 | ) | (2.63 | ) | ||||||||||||||||||||||
2005 - C | 36.84 | (0.06 | ) | 4.87 | 4.81 | — | (2.63 | ) | (2.63 | ) | ||||||||||||||||||||||
2005 - Institutional | 40.09 | 0.16 | 5.34 | 5.50 | — | (2.63 | ) | (2.63 | ) | |||||||||||||||||||||||
2005 - Service | 38.86 | 0.06 | 5.16 | 5.22 | — | (2.63 | ) | (2.63 | ) | |||||||||||||||||||||||
FOR THE YEARS ENDED AUGUST 31, | ||||||||||||||||||||||||||||||||
2004 - A | 33.77 | (0.16 | ) | 6.29 | 6.13 | — | (0.65 | ) | (0.65 | ) | ||||||||||||||||||||||
2004 - B | 31.99 | (0.43 | ) | 5.95 | 5.52 | — | (0.65 | ) | (0.65 | ) | ||||||||||||||||||||||
2004 - C | 31.96 | (0.43 | ) | 5.96 | 5.53 | — | (0.65 | ) | (0.65 | ) | ||||||||||||||||||||||
2004 - Institutional | 34.35 | (0.01 | ) | 6.40 | 6.39 | — | (0.65 | ) | (0.65 | ) | ||||||||||||||||||||||
2004 - Service | 33.48 | (0.21 | ) | 6.24 | 6.03 | — | (0.65 | ) | (0.65 | ) | ||||||||||||||||||||||
2003 - A | 27.79 | — | (d) | 6.03 | 6.03 | (0.02 | ) | (0.03 | ) | (0.05 | ) | |||||||||||||||||||||
2003 - B | 26.50 | (0.19 | ) | 5.71 | 5.52 | — | (0.03 | ) | (0.03 | ) | ||||||||||||||||||||||
2003 - C | 26.48 | (0.20 | ) | 5.71 | 5.51 | — | (0.03 | ) | (0.03 | ) | ||||||||||||||||||||||
2003 - Institutional | 28.25 | 0.12 | 6.13 | 6.25 | (0.12 | ) | (0.03 | ) | (0.15 | ) | ||||||||||||||||||||||
2003 - Service | 27.56 | (0.02 | ) | 5.97 | 5.95 | — | (0.03 | ) | (0.03 | ) | ||||||||||||||||||||||
2002 - A | 28.55 | 0.09 | (0.76 | ) | (0.67 | ) | (0.09 | ) | — | (0.09 | ) | |||||||||||||||||||||
2002 - B | 27.35 | (0.12 | ) | (0.73 | ) | (0.85 | ) | — | — | — | ||||||||||||||||||||||
2002 - C | 27.38 | (0.13 | ) | (0.77 | ) | (0.90 | ) | — | — | — | ||||||||||||||||||||||
2002 - Institutional | 28.98 | 0.21 | (0.76 | ) | (0.55 | ) | (0.18 | ) | — | (0.18 | ) | |||||||||||||||||||||
2002 - Service | 28.43 | 0.05 | (0.74 | ) | (0.69 | ) | (0.18 | ) | — | (0.18 | ) | |||||||||||||||||||||
2001 - A | 23.21 | 0.15 | 5.19 | 5.34 | — | — | — | |||||||||||||||||||||||||
2001 - B | 22.40 | (0.04 | ) | 4.99 | 4.95 | — | — | — | ||||||||||||||||||||||||
2001 - C | 22.42 | (0.04 | ) | 5.00 | 4.96 | — | — | — | ||||||||||||||||||||||||
2001 - Institutional | 23.47 | 0.25 | 5.26 | 5.51 | — | — | — | |||||||||||||||||||||||||
2001 - Service | 23.13 | 0.13 | 5.17 | 5.30 | — | — | — | |||||||||||||||||||||||||
2000 - A | 19.80 | 0.01 | 3.40 | 3.41 | — | — | — | |||||||||||||||||||||||||
2000 - B | 19.27 | (0.13 | ) | 3.26 | 3.13 | — | — | — | ||||||||||||||||||||||||
2000 - C | 19.28 | (0.12 | ) | 3.26 | 3.14 | — | — | — | ||||||||||||||||||||||||
2000 - Institutional | 19.95 | 0.10 | 3.42 | 3.52 | — | — | — | |||||||||||||||||||||||||
2000 - Service | 19.76 | 0.01 | 3.36 | 3.37 | — | — | — | |||||||||||||||||||||||||
(a) | Assumes investment at the net asset value at the beginning of the period, reinvestment of all dividends and distributions, a complete redemption of the investment at the net asset value at the end of the period and no sales or redemption charges. Total return would be reduced if a sales or redemption charge were taken into account. Total returns for periods less than one full year are not annualized. Returns do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares. |
(b) | Annualized. |
(c) | Calculated based on the average shares outstanding methodology. |
(d) | Amount is less than $0.005 per share. |
54
Ratios assuming no | ||||||||||||||||||||||||||||||||||
expense reductions | ||||||||||||||||||||||||||||||||||
Ratio of | Ratio of | Ratio of | ||||||||||||||||||||||||||||||||
Net assets, | Ratio of | net investment | total | net investment | ||||||||||||||||||||||||||||||
Net asset | end of | net expenses | income (loss) | expenses | income (loss) | Portfolio | ||||||||||||||||||||||||||||
value, end | Total | period | to average | to average | to average | to average | turnover | |||||||||||||||||||||||||||
of period | return(a) | (in 000s) | net assets | net assets | net assets | net assets | rate | |||||||||||||||||||||||||||
$ | 41.91 | 13.59 | % | $ | 1,087,626 | 1.48 | %(b) | 0.43 | %(b) | 1.48 | %(b) | 0.43 | % (b) | 21 | % | |||||||||||||||||||
39.05 | 13.18 | 119,964 | 2.23 | (b) | (0.30 | )(b) | 2.23 | (b) | (0.30 | )(b) | 21 | |||||||||||||||||||||||
39.02 | 13.16 | 139,251 | 2.23 | (b) | (0.31 | )(b) | 2.23 | (b) | (0.31 | )(b) | 21 | |||||||||||||||||||||||
42.96 | 13.83 | 571,031 | 1.08 | (b) | 0.75 | (b) | 1.08 | (b) | 0.75 | (b) | 21 | |||||||||||||||||||||||
41.45 | 13.54 | 26,428 | 1.58 | (b) | 0.30 | (b) | 1.58 | (b) | 0.30 | (b) | 21 | |||||||||||||||||||||||
39.25 | 18.30 | 920,309 | 1.49 | (0.43 | ) | 1.49 | (0.43 | ) | 57 | |||||||||||||||||||||||||
36.86 | 17.40 | 114,169 | 2.24 | (1.17 | ) | 2.24 | (1.17 | ) | 57 | |||||||||||||||||||||||||
36.84 | 17.45 | 127,560 | 2.24 | (1.18 | ) | 2.24 | (1.18 | ) | 57 | |||||||||||||||||||||||||
40.09 | 18.76 | 332,947 | 1.09 | (0.04 | ) | 1.09 | (0.04 | ) | 57 | |||||||||||||||||||||||||
38.86 | 18.16 | 19,131 | 1.59 | (0.55 | ) | 1.59 | (0.55 | ) | 57 | |||||||||||||||||||||||||
33.77 | 21.75 | 592,863 | 1.51 | 0.01 | 1.52 | 0.00 | 58 | |||||||||||||||||||||||||||
31.99 | 20.84 | 93,528 | 2.26 | (0.71 | ) | 2.27 | (0.72 | ) | 58 | |||||||||||||||||||||||||
31.96 | 20.82 | 76,112 | 2.26 | (0.74 | ) | 2.27 | (0.75 | ) | 58 | |||||||||||||||||||||||||
34.35 | 22.22 | 117,968 | 1.11 | 0.43 | 1.12 | 0.42 | 58 | |||||||||||||||||||||||||||
33.48 | 21.60 | 4,100 | 1.61 | (0.09 | ) | 1.62 | (0.10 | ) | 58 | |||||||||||||||||||||||||
27.79 | (2.34 | ) | 372,900 | 1.51 | 0.32 | 1.53 | 0.30 | 75 | ||||||||||||||||||||||||||
26.50 | (3.11 | ) | 76,494 | 2.26 | (0.43 | ) | 2.28 | (0.45 | ) | 75 | ||||||||||||||||||||||||
26.48 | (3.29 | ) | 46,416 | 2.26 | (0.46 | ) | 2.28 | (0.48 | ) | 75 | ||||||||||||||||||||||||
28.25 | (1.91 | ) | 90,177 | 1.11 | 0.71 | 1.13 | 0.69 | 75 | ||||||||||||||||||||||||||
27.56 | (2.43 | ) | 3,326 | 1.61 | 0.17 | 1.63 | 0.15 | 75 | ||||||||||||||||||||||||||
28.55 | 23.01 | 244,860 | 1.50 | 0.59 | 1.60 | 0.49 | 93 | |||||||||||||||||||||||||||
27.35 | 22.10 | 48,939 | 2.25 | (0.16 | ) | 2.35 | (0.26 | ) | 93 | |||||||||||||||||||||||||
27.38 | 22.07 | 18,140 | 2.25 | (0.16 | ) | 2.35 | (0.26 | ) | 93 | |||||||||||||||||||||||||
28.98 | 23.48 | 46,211 | 1.10 | 0.97 | 1.20 | 0.87 | 93 | |||||||||||||||||||||||||||
28.43 | 22.91 | 1,006 | 1.60 | 0.47 | 1.70 | 0.37 | 93 | |||||||||||||||||||||||||||
23.21 | 17.22 | 157,791 | 1.50 | 0.07 | 1.57 | — | 75 | |||||||||||||||||||||||||||
22.40 | 16.24 | 29,199 | 2.25 | (0.68 | ) | 2.32 | (0.75 | ) | 75 | |||||||||||||||||||||||||
22.42 | 16.34 | 8,428 | 2.25 | (0.65 | ) | 2.32 | (0.72 | ) | 75 | |||||||||||||||||||||||||
23.47 | 17.64 | 26,445 | 1.10 | 0.49 | 1.17 | 0.42 | 75 | |||||||||||||||||||||||||||
23.13 | 17.05 | 83 | 1.60 | 0.03 | 1.67 | (0.04 | ) | 75 | ||||||||||||||||||||||||||
Fund Expenses (Unaudited) — Six Month Period Ended February 28, 2005 | ||
As a shareholder of Class A, Class B, Class C, Institutional or Service Shares of the Funds you incur two types of costs: (1) transaction costs, including sales charges (loads) on purchase payments (with respect to Class A Shares) or contingent deferred sales charges (loads) on redemptions (with respect to Class B and Class C Shares); and (2) ongoing costs, including management fees; distribution and service (12b-1) fees (with respect to Class A, Class B and Class C Shares); and other Fund expenses. This Example is intended to help you understand your ongoing costs (in dollars) of investing in Class A, Class B, Class C, Institutional and Service Shares of the Funds and to compare these costs with the ongoing costs of investing in other mutual funds.
The Example is based on an investment of $1,000 invested at the beginning of the period and held for the entire period from September 1, 2004 through February 28, 2005.
Actual Expenses — The first line under each share class in the table below provides information about actual account values and actual expenses. You may use the information in this line, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000=8.6), then multiply the result by the number in the first line under the heading entitled “Expenses Paid” to estimate the expenses you paid on your account during this period.
Hypothetical Example for Comparison Purposes — The second line under each share class in the table below provides information about hypothetical account values and hypothetical expenses based on the Funds’ actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Funds’ actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Funds and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds.
Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transactional costs, such as sales charges (loads). Therefore, the second line of the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transactional costs were included, your costs would have been higher.
Large Cap Value Fund | Growth and Income Fund | |||||||||||||||||||||||
Expenses | Expenses | |||||||||||||||||||||||
Beginning | Ending | Paid for the | Beginning | Ending | Paid for the | |||||||||||||||||||
Account Value | Account Value | 6 months ended | Account Value | Account Value | 6 months ended | |||||||||||||||||||
Share Class | 9/1/04 | 2/28/05 | 2/28/05* | 9/1/04 | 2/28/05 | 2/28/05* | ||||||||||||||||||
Class A | ||||||||||||||||||||||||
Actual | $ | 1,000 | $ | 1,116.40 | $ | 6.55 | $ | 1,000 | $ | 1,119.70 | $ | 6.20 | ||||||||||||
Hypothetical 5% return | 1,000 | 1,018.60 | + | 6.25 | 1,000 | 1,018.94 | + | 5.91 | ||||||||||||||||
Class B | ||||||||||||||||||||||||
Actual | 1,000 | 1,112.90 | 10.47 | 1,000 | 1,115.20 | 10.11 | ||||||||||||||||||
Hypothetical 5% return | 1,000 | 1,014.88 | + | 9.98 | 1,000 | 1,015.24 | + | 9.63 | ||||||||||||||||
Class C | ||||||||||||||||||||||||
Actual | 1,000 | 1,112.20 | 10.47 | 1,000 | 1,115.10 | 10.11 | ||||||||||||||||||
Hypothetical 5% return | 1,000 | 1,014.88 | + | 9.99 | 1,000 | 1,015.23 | + | 9.64 | ||||||||||||||||
Institutional | ||||||||||||||||||||||||
Actual | 1,000 | 1,119.30 | 4.46 | 1,000 | 1,121.80 | 4.11 | ||||||||||||||||||
Hypothetical 5% return | 1,000 | 1,020.58 | + | 4.25 | 1,000 | 1,020.92 | + | 3.92 | ||||||||||||||||
Service | ||||||||||||||||||||||||
Actual | 1,000 | 1,116.40 | 7.11 | 1,000 | 1,119.10 | 6.71 | ||||||||||||||||||
Hypothetical 5% return | 1,000 | 1,018.08 | + | 6.78 | 1,000 | 1,018.46 | + | 6.39 | ||||||||||||||||
[Additional columns below]
[Continued from above table, first column(s) repeated]
Mid Cap Value Fund | Small Cap Value Fund | |||||||||||||||||||||||
Expenses | Expenses | |||||||||||||||||||||||
Beginning | Ending | Paid for the | Beginning | Ending | Paid for the | |||||||||||||||||||
Account Value | Account Value | 6 months ended | Account Value | Account Value | 6 months ended | |||||||||||||||||||
Share Class | 9/1/04 | 2/28/05 | 2/28/05* | 9/1/04 | 2/28/05 | 2/28/05* | ||||||||||||||||||
Class A | ||||||||||||||||||||||||
Actual | $ | 1,000 | $ | 1,184.90 | $ | 6.63 | $ | 1,000 | $ | 1,135.90 | $ | 7.83 | ||||||||||||
Hypothetical 5% return | 1,000 | 1,018.72 | + | 6.13 | 1,000 | 1,017.46 | + | 7.40 | ||||||||||||||||
Class B | ||||||||||||||||||||||||
Actual | 1,000 | 1,181.00 | 10.67 | 1,000 | 1,131.80 | 11.78 | ||||||||||||||||||
Hypothetical 5% return | 1,000 | 1,015.01 | + | 9.86 | 1,000 | 1,013.74 | + | 11.13 | ||||||||||||||||
Class C | ||||||||||||||||||||||||
Actual | 1,000 | 1,180.50 | 10.63 | 1,000 | 1,131.60 | 11.78 | ||||||||||||||||||
Hypothetical 5% return | 1,000 | 1,015.05 | + | 9.82 | 1,000 | 1,013.74 | + | 11.13 | ||||||||||||||||
Institutional | ||||||||||||||||||||||||
Actual | 1,000 | 1,187.40 | 4.47 | 1,000 | 1,138.30 | 5.74 | ||||||||||||||||||
Hypothetical 5% return | 1,000 | 1,020.71 | + | 4.13 | 1,000 | 1,019.43 | + | 5.42 | ||||||||||||||||
Service | ||||||||||||||||||||||||
Actual | 1,000 | 1,184.50 | 7.13 | 1,000 | 1,135.40 | 8.37 | ||||||||||||||||||
Hypothetical 5% return | 1,000 | 1,018.27 | + | 6.59 | 1,000 | 1,016.96 | + | 7.90 | ||||||||||||||||
* Expenses for each share class are calculated using the fund’s expense ratio for each class, which represents the ongoing expenses as a percentage of net assets for the six months ended 2/28/05. Expenses are calculated by multiplying the 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 expense ratios for the period were as follows:
Fund | Class A | Class B | Class C | Institutional | Service | |||||||||||||||
Large Cap Value Fund | 1.25 | % | 2.00 | % | 2.00 | % | 0.85 | % | 1.35 | % | ||||||||||
Growth and Income Fund | 1.18 | 1.93 | 1.93 | 0.78 | 1.28 | |||||||||||||||
Mid Cap Value Fund | 1.22 | 1.97 | 1.97 | 0.82 | 1.32 | |||||||||||||||
Small Cap Value Fund | 1.48 | 2.23 | 2.23 | 1.08 | 1.58 | |||||||||||||||
+ Hypothetical expenses are based on each Fund’s actual annualized expense ratios and an assumed rate of return of 5% per year before expenses.
56
FUNDS PROFILE Goldman Sachs Funds THE GOLDMAN SACHS ADVANTAGE Our goal is to deliver: Strong, Consistent Investment Results Global Resources and Global Research Team Approach Disciplined Processes Innovative, Value-Added Investment Products Thoughtful Solutions Risk Management Outstanding Client Service Dedicated Service Teams Excellence and Integrity Goldman Sachs is a premier financial services firm, known since 1869 for creating thoughtful and customized investment solutions in complex global markets. Today, Goldman Sachs Asset Management, L.P. and other units of the Investment Management Division of Goldman Sachs serve a diverse set of clients worldwide, including private institutions, public entities and individuals. With portfolio management teams located around the world — and $451.3 billion in assets under management as of December 31, 2004 — our investment professionals bring firsthand knowledge of local markets to every investment decision, making us one of the few truly global asset managers. GOLDMAN SACHS FUNDS In building a globally diversified portfolio, you can select from more than 50 Goldman Sachs Funds and gain access to investment opportunities across borders, investment styles, asset classes and security capitalizations. FIXED INCOME MONEY Risk/Return MARKET Lower International Equity Funds Asia Growth Fund Emerging Markets Equity Fund International Growth Opportunities Fund Japanese Equity Fund European Equity Fund International Equity Fund CORESM International Equity Fund INTERNATIONAL EQUITY Risk/Return Higher DOMESTIC EQUITY PORTFOLIOS ALLOCATION SPECIALTY ASSET Asset Allocation Funds Balanced Fund Domestic Equity Funds Asset Allocation Portfolios Small Cap Value Fund CORESM Small Cap Equity Fund Fixed Income Funds Mid Cap Value Fund Emerging Markets Debt Fund Concentrated Growth Fund High Yield Fund Growth Opportunities Fund High Yield Municipal Fund Research Select FundSM Global Income Fund Strategic Growth Fund Investment Grade Credit Fund Capital Growth Fund Core Fixed Income Fund Large Cap Value Fund U.S. Mortgages Fund Growth and Income Fund Municipal Income Fund CORESM Large Cap Growth Fund Government Income Fund CORESM Large Cap Value Fund Short Duration Tax-Free Fund CORESM U.S. Equity Fund Short Duration Government Fund Ultra-Short Duration Government Specialty Funds Fund Tollkeeper FundSM Enhanced Income Fund CORESM Tax-Managed Equity Fund Real Estate Securities Fund Money Market Funds1 1An investment in a money market fund is neither insured nor guaranteed by the Federal Deposit Insurance Corporation or any other government agency. Although the Funds seek to preserve the value of your investment at $1.00 per share, it is possible to lose money by investing in the Funds. The Goldman Sachs Research Select FundSM, Tollkeeper FundSM and CORESM are registered service marks of Goldman, Sachs & Co. |
GOLDMAN SACHS ASSET MANAGEMENT, L.P. 32 OLD SLIP, 32ND FLOOR, NEW YORK, NEW YORK 10005 TRUSTEES OFFICERS Ashok N. Bakhru, Chairman Kaysie P. Uniacke, President John P. Coblentz, Jr. James A. Fitzpatrick, Vice President Patrick T. Harker James A. McNamara, Vice President Mary Patterson McPherson John M. Perlowski, Treasurer Alan A. Shuch Howard B. Surloff, Secretary Wilma J. Smelcer Richard P. Strubel Kaysie P. Uniacke GOLDMAN, SACHS & CO. GOLDMAN SACHS ASSET MANAGEMENT, L.P. Distributor and Transfer Agent Investment Adviser Visit our Web site at www.gs.com/funds to obtain the most recent month-end returns The reports concerning the Funds included in this shareholder report may contain certain forward-looking statements about the factors that may affect the performance of the Funds in the future. These statements are based on Fund management’s predictions and expectations concerning certain future events and their expected impact on the Funds, such as performance of the economy as a whole and of specific industry sectors, changes in the levels of interest rates, the impact of developing world events, and other factors that may influence the future performance of the Funds. Management believes these forward-looking statements to be reasonable, although they are inherently uncertain and difficult to predict. Actual events may cause adjustments in portfolio management strategies from those currently expected to be employed. A description of the policies and procedures that the Funds use to determine how to vote proxies relating to portfolio securities and information regarding how a Fund voted proxies relating to portfolio securities during the most recent 12-month period ended June 30 is available (I) without charge, upon request by calling 1-800-526-7384 (for Retail Shareholders) or 1-800-621-2550 (for Institutional Shareholders); and (II) on the Securities and Exchange Commission Web site at http://www.sec.gov. The Funds file their complete schedule of portfolio holdings with the Securities and Exchange Commission (the “Commission”) for the first and third quarters of each fiscal year on Form N-Q. The Fund’s Form N-Q is available on the Commission’s website at http://www.sec.gov. The Funds’ Form N-Q may be reviewed and copied at the Commission’s Public Reference Room in Washington, D.C. and information on the operation of the Public Reference Room may be obtained by calling 1-800-SEC-0330. Form N-Q may be obtained upon request and without charge by calling 1-800-526-7384 (for Retail Shareholders) or 1-800-621-2550 (for Institutional Shareholders). The Funds are subject to the risk of rising and falling stock prices. In recent years, the U.S. stock market has experienced substantial price volatility. Stocks of smaller and mid-capitalization companies are often more volatile and present greater risks than stocks of larger companies. At times, the Goldman Sachs Small Cap Value and Mid Cap Value Funds may be unable to sell certain of their portfolio securities without a substantial drop in price, if at all. Holdings and allocations shown are unaudited, and may not be representative of current or future investments. Holdings and allocations may not include the Fund’s entire investment portfolio, which may change at any time. Fund holdings should not be relied on in making investment decisions and should not be construed as research or investment advice regarding particular securities. This material is not authorized for distribution to prospective investors unless preceded or accompanied by a current Prospectus. Please consider a Fund’s objectives, risks, and charges and expenses, and read the Prospectus carefully before investing. The Prospectus contains this and other information about the Funds. Copyright 2005 Goldman, Sachs & Co. All rights reserved. Date of first use: April 29, 2 005 / 05-605 VALUESAR / 234.8K / 4-05 |
ITEM 2. | CODE OF ETHICS. — Not applicable to the Semi-Annual Report for the period ended February 28, 2005 |
ITEM 3. | AUDIT COMMITTEE FINANCIAL EXPERT. — Not applicable to the Semi-Annual Report for the period ended February 28, 2005 |
ITEM 4. | PRINCIPAL ACCOUNTANT FEES AND SERVICES. — Not applicable to the Semi-Annual Report for the period ended February 28, 2005 |
ITEM 5. | AUDIT COMMITTEE OF LISTED REGISTRANTS. | |
Not applicable. |
ITEM 6. | SCHEDULE OF INVESTMENTS. | |
Schedule of Investments is included as part of the Report to Shareholders filed under Item 1. |
ITEM 7. | DISCLOSURE OF PROXY VOTING POLICIES AND PROCEDURES FOR CLOSED-END MANAGEMENT INVESTMENT COMPANIES. | |
Not applicable. |
ITEM 8. | PORTFOLIO MANAGERS OF CLOSED END MANAGEMENT INVESTMENT COMPANIES. | |
Not applicable. |
ITEM 9. | PURCHASES OF EQUITY SECURITIES BY CLOSED-END MANAGEMENT INVESTMENT COMPANY AND AFFILIATED PURCHASERS. | |
Not applicable. |
ITEM 10. | SUBMISSION OF MATTERS TO A VOTE OF SECURITY HOLDERS. There have been no material changes to the procedures by which shareholders may recommend nominees to the registrant’s board of trustees. | |
ITEM 11. | CONTROLS AND PROCEDURES. | |
(a) | The Registrant’s Principal Executive Officer and Principal Financial Officer concluded that the Registrant’s disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940), as enhanced as described below, were effective as of a date within 90 days prior to the filing date of this report (the “Evaluation Date”), based on their evaluation of the effectiveness of the Registrant's disclosure controls and procedures as of the Evaluation Date. | ||
(b) | During the filing period of this report, the Registrant enhanced its control environment to ensure the increased tracking and filing of class action claims with respect to securities owned by the Funds and the recognition of gain contingencies on the financial statements. See the footnotes to the financial statements of the CORE Large Cap Growth Fund and Growth and Income Fund regarding related receivables for these Funds. Fund management has discussed these matters with the Registrant’s Audit Committee and auditors. | ||
ITEM 12. | EXHIBITS. |
(a)(1) | Goldman Sachs Trust’s Code of Ethics for Principal Executive and Senior Financial Officers is incorporated by reference to Exhibit 11(a)(1) of the registrant’s Form N-CSR filed on March 8, 2004 for its Real Estate Securities Fund (Accession Number 0000950123-04-0002984). | ||
(a)(2) | Exhibit 99.CERT | Certifications pursuant to Section 302 of the Sarbanes-Oxley Act of 2002 filed herewith. | ||
(b) | Exhibit 99.906CERT | Certifications pursuant to Section 906 of the Sarbanes-Oxley Act of 2002 filed herewith. |
SIGNATURES
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized. |
Goldman Sachs Trust | ||||||
By: | /s/ Kaysie P. Uniacke | |||||
Kaysie P. Uniacke | ||||||
President/Principal Executive Officer | ||||||
Goldman Sachs Trust | ||||||
Date: | May 9, 2005 |
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. |
By: | /s/ Kaysie P. Uniacke | |||||
Kaysie P. Uniacke | ||||||
President/Principal Executive Officer | ||||||
Goldman Sachs Trust | ||||||
Date: | May 9, 2005 | |||||
By: | /s/ John M. Perlowski | |||||
John M. Perlowski | ||||||
Treasurer/Principal Financial Officer | ||||||
Goldman Sachs Trust | ||||||
Date: | May 9, 2005 |