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 CORE SM EQUITY FUNDS Semiannual Report February 28, 2005 Long-term capital growth potential through diversified portfolios of equity investments using CORE, a proprietary quantitative approach to stock selection and portfolio construction. |
Goldman Sachs CORESM Equity Funds GOLDMAN SACHS CORE U.S. EQUITY FUND GOLDMAN SACHS CORE LARGE CAP GROWTH FUND GOLDMAN SACHS CORE SMALL CAP EQUITY FUND GOLDMAN SACHS CORE LARGE CAP VALUE FUND GOLDMAN SACHS CORE INTERNATIONAL EQUITY FUND NOT FDIC-INSURED May Lose Value No Bank Guarantee |
GOLDMAN SACHS CORE EQUITY FUNDS Domestic CORESM Investment Process GOLDMAN SACHS’ CORE DOMESTIC INVESTMENT PROCESS 1 DISCIPLINED STOCK SELECTION 3 2 CAREFUL PORTFOLIO CONSTRUCTION 3 3 RESULTS 1 DISCIPLINED STOCK SELECTION Comprehensive – We calculate expected excess returns for more than 3,000 stocks on a daily basis. Objective – Our stock selection process is free from the emotion that can lead to biased investment decisions. Rigorous – We evaluate stocks based on fundamental investment criteria that have outperformed historically. 2 CAREFUL PORTFOLIO CONSTRUCTION Our computer optimization process allocates We use a unique, proprietary risk model that risk to our best investment ideas and is more precise, more focused and faster to constructs funds that neutralize systematic respond because it identifies , tracks and risks and deliver better returns. manages risk specific to our process, using daily data. 3 RESULTS Fully invested, well-diversified portfolio Aims to generate excess returns that are that: positive, consistent and repeatable. Maintains style, sector, risk and capitalization characteristics similar to the benchmark. Offers broad access to a clearly defined equity universe. |
PORTFOLIO RESULTS CORESM U.S. Equity Fund Dear Shareholder, This report provides an overview on the performance of the Goldman Sachs CORE U.S. Equity 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 8.71%, 8.28%, 8.28%, 8.90%, and 8.65%, 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. Although the Fund performed well on an absolute basis, it underperformed its benchmark over the six-month reporting period. During this time, returns to the CORE themes were generally positive. Momentum was the biggest positive contributor to relative returns as companies with strong momentum characteristics outperformed their industry counterparts, followed by Valuation, Analyst Sentiment and Earnings Quality. Profitability and Management Impact were relatively flat. Despite good results for the themes, small unsuccessful exposures to the Industrials sector, along with stock-specific events, hurt relative performance in January and February 2005. In particular, an overweight in eBay, Inc. hurt performance when eBay announced disappointing earnings in mid-January 2005. We have since eliminated eBay from the portfolio. An overweight in Biogen Idec, Inc. hurt performance when, on the last day of the reporting period, Biogen suspended sales of a new drug due to two reports of serious side effects in patients, causing its stock price to fall 44%. Over longer-term periods, we expect to see very little return coming from these exposures, although over a shorter time frame they may contribute more significantly, either positively or negatively, to results. Portfolio Positioning In managing the CORE products, we take minimal size and sector bets. We strive to add value versus each Fund’s respective index through individual stock selection. Our quantitative process seeks out stocks with good momentum that also appear to be good values. We prefer stocks about which fundamental research analysts are becoming more positive, and companies with strong profit margins and sustainable earnings that use their capital to enhance shareholder value. Over the long term, these factors have contributed positively to the Fund’s returns, and they typically work well at various times and under different market environments. 2 |
PORTFOLIO RESULTS Portfolio Highlights Stock selection versus the benchmark was negative overall among sectors, most notably in Information Technology. Specifically, overweights in Pfizer, Inc. and Verizon Communications, Inc. hurt performance the most. On a positive note, the Fund’s holdings in the Financial and Energy sectors outperformed relative to their peers. Sector Allocation (Percentage of Portfolio) as of 2/28/05 20% 19.8% 15.3% 15% 12.0% 12.2% 11.1% 10% 8.8% 7.4% 5% 4.5% 3.9% 3.0% 2.0% 0% Staples Energy Financials Industrials Materials Services Utilities Consumer Discretionary Consumer Health Care Information Technology Short Term Investments Telecommunication 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. We thank you for your investment and look forward to your continued confidence. Goldman Sachs Quantitative Equity Investment Team New York, March 18, 2005 3 |
FUND BASICS CORESM U.S. Equity Fund as of February 28, 2005 Assets Under Management $901.8 Million Number of Holdings 151 NASDAQ SYMBOLS Class A Shares GSSQX Class B Shares GSSBX Class C Shares GSUSX Institutional Shares GSELX Service Shares GSESX 4 PERFORMANCE REVIEW September 1, 2004–February 28, 2005 Fund Total Return (based on NAV)1 S&P 500 Index2 Class A 8.71% 9.99% Class B 8.28 9.99 Class C 8.28 9.99 Institutional 8.90 9.99 Service 8.65 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 RETURNS 3 For the period ended 12/31/04 Class A Class B Class C Institutional Service One Year 8.06% 8.51% 12.49% 14.80% 14.25% Five Years -2.50 -2.52 -2.12 -0.99 -1.48 Ten Years 10.99 N/A N/A N/A 11.594 Since Inception 9.78 7.93 4.45 10.88 10.214 (5/24/91) (5/1/96) (8/15/97) (6/15/95) (5/24/91) 3 The Standardized Total Returns are average annual total returns 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. 4 Performance data for Service Shares prior to June 7, 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 CORE U.S. Equity 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 2/28/05 5 Holding % of Net Assets Line of Business Microsoft Corp. 3.7% Software Bank of America Corp. 3.2 Banks Johnson & Johnson 3.2 Pharmaceuticals Pfizer, Inc. 3.1 Pharmaceuticals International Business Machines Corp. 2.7 Computers & Peripherals The Procter & Gamble Co. 2.7 Household Products J.P .. Morgan Chase & Co. 2.4 Diversified Financials General Electric Co. 2.4 Industrial Conglomerates Verizon Communications, Inc. 2.1 Diversified Telecommunication Services Time Warner, Inc. 1.9 Media 5 The top 10 holdings may not be representative of the Fund’s future investments. |
PORTFOLIO RESULTS CORESM Large Cap Growth Fund Dear Shareholder, This report provides an overview on the performance of the Goldman Sachs CORE Large Cap Growth 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 8.00%, 7.58%, 7.58%, 8.17%, and 7.88%, respectively. These returns compare to the 7.67% cumulative total return of the Fund’s benchmark, the Russell 1000 Growth Index (with dividends reinvested), over the same time period. As these returns indicate, the Fund performed well over the six-month reporting period, although its Class B and C Shares slightly lagged the benchmark due to their higher expenses. During this time, returns to the CORE themes were positive overall. Valuation was the largest positive contributor to relative returns as inexpensive companies outperformed their more richly valued industry counterparts. Momentum, Analyst Sentiment, Earnings Quality and Profitability also added value, albeit less significantly, while Management Impact remained relatively flat for the period. Portfolio Positioning In managing the CORE products, we take minimal size and sector bets. We strive to add value versus each Fund’s respective index through individual stock selection. Our quantitative process seeks out stocks with good momentum that also appear to be good values. We prefer stocks about which fundamental research analysts are becoming more positive, and companies with strong profit margins and sustainable earnings that use their capital to enhance shareholder value. Over the long term, these factors have contributed positively to the Fund’s returns, and they typically work well at various times and under different market environments. 5 |
PORTFOLIOR ESULTS Portfolio Highlights During the period, the Fund’s stock selection was positive overall among sectors. The Fund’s Financial and Consumer Staples holdings outperformed their peers in the benchmark the most. On the downside, the Fund’s holdings in the Health Care sector underperformed relative to their peers in the benchmark the most. Specific examples of stocks that detracted from relative results were overweights in Biogen Idec, Inc. and Pfizer, Inc. Sector Allocation (Percentage of Portfolio) as of 2/28/05 30% 24.1% 24.9% 25% 20% 16.5% 15% 10% 9.0% 9.5% 7.9% 5% 2.2% 2.5% 2.0% 1.1% 0.3% 0% Staples Energy Financials Industrials Materials Services Utilities Consumer Discretionary Consumer Health Care Information Technology Short Term Investments Telecommunication 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. We thank you for your investment and look forward to your continued confidence. Goldman Sachs Quantitative Equity Investment Team New York, March 18, 2005 6 |
FUND BASICS CORESM Large Cap Growth Fund as of February 28, 2005 Assets Under Management $351.1 Million Number of Holdings 126 NASDAQ SYMBOLS Class A Shares GLCGX Class B Shares GCLCX Class C Shares GLCCX Institutional Shares GCGIX Service Shares GSCLX PERFORMANCE REVIEW September 1, 2004–February 28, 2005 Fund Total Return (based on NAV)1 Russell 1000 Growth Index2 Class A 8.00% 7.67% Class B 7.58 7.67 Class C 7.58 7.67 Institutional 8.17 7.67 Service 7.88 7.67 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 1000 Growth Index (with dividends reinvested) is an unmanaged market capitalization weighted index of the 1000 largest U.S. companies with higher price-to-book ratios and higher forecasted growth values. The Index figures do not reflect any deduction for fees, expenses or taxes. STANDARDIZED TOTAL RETURNS 3 For the period ended 12/31/04 Class A Class B Class C Institutional Service One Year 4.01% 4.18% 8.28% 10.49% 9.88% Five Years -9.59 -9.61 -9.23 -8.18 -8.66 Ten Years 9.794 N/A N/A 10.764 10.334 Since Inception 9.854 3.53 1.39 10.574 10.254 (11/11/91) (5/1/97) (8/15/97) (11/11/91) (11/11/91) 3 The Standardized Total Returns are average annual total returns 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. 4 Performance data for Institutional and Service Shares prior to May 1, 1997 (commencement of operations) is that of Class A Shares. Class A Share performance for such period is that of a predecessor separate account (which converted into Class A Shares) adjusted to reflect the higher fees and expenses applicable to the Fund’s Class A Shares. Although the predecessor separate account was managed by Goldman Sachs Asset Management in a manner and pursuant to investment objectives in all material respects equivalent to management and investment objectives of the CORE Large Cap Growth Fund, the separate account was not registered under the Investment Company Act of 1940 (the “Act”) and was not subject to certain investment restrictions imposed by the Act. If it had registered under the Act, performance might have been adversely affected. The fees applicable to Institutional and Service Shares are different from those applicable to Class A Shares, which impacts 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 2/28/05 5 Holding % of Net Assets Line of Business Pfizer, Inc. 5.1% Pharmaceuticals Johnson & Johnson 5.0 Pharmaceuticals Microsoft Corp. 3.5 Software International Business Machines Corp. 3.1 Computers & Peripherals The Procter & Gamble Co. 2.8 Household Products Intel Corp. 2.5 Semiconductor Equip. & Products QUALCOMM, Inc. 2.1 Communications Equipment Motorola, Inc. 1.9 Communications Equipment Apple Computer, Inc. 1.9 Computers & Peripherals Amgen, Inc. 1.9 Biotechnology 7 5 The top 10 holdings may not be representative of the Fund’s future investments. |
PORTFOLIO RESULTS CORESM Small Cap Equity Fund Dear Shareholder, This report provides an overview on the performance of the Goldman Sachs CORE Small Cap Equity 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 15.52%, 15.03%, 15.08%, 15.74%, and 15.40%, respectively. These returns compare to the 16.40% cumulative total return of the Fund’s benchmark, the Russell 2000 Index (with dividends reinvested), over the same time period. Although the Fund performed well on an absolute basis, it underperformed its benchmark over the six-month reporting period. During this time, returns to the CORE themes were generally positive. Momentum was by far the biggest positive contributor to relative returns, as companies with strong momentum characteristics outperformed their industry counterparts, followed by Profitability and Valuation. Analyst Sentiment, Management Impact, and Earnings Quality also added value, albeit to a lesser extent. Unfortunately, small unsuccessful exposures to the Industrials sector, as well as stock-specific factors, contributed to underperformance of the Fund, especially in January and February 2005. Over longer-term periods, we expect to see very little return coming from these exposures, although over a shorter time frame they may contribute more significantly, either positively or negatively, to results. Portfolio Positioning In managing the CORE products, we take minimal size and sector bets. We strive to add value versus each Fund’s respective index through individual stock selection. Our quantitative process seeks out stocks with good momentum that also appear to be good values. We prefer stocks about which fundamental research analysts are becoming more positive, and companies with strong profit margins and sustainable earnings that use their capital to enhance shareholder value. Over the long term, these factors have contributed positively to the Fund’s returns, and they typically work well at various times and under different market environments. 8 |
PORTFOLIO RESULTS Portfolio Highlights Stock selection was negative overall among sectors. The Fund’s holdings in the Information Technology and Energy sectors underperformed the most relative to their peers in the benchmark. Examples of stocks that detracted from relative performance were overweights in CommScope, Inc. and Bank of Hawaii Corp. On the upside, the Fund’s holdings in the Materials and Industrials sectors outperformed the most relative to their peers in the benchmark. Sector Allocation (Percentage of Portfolio) as of 2/28/05 20% 19.1% 14.8% 15% 13.1% 12.2% 12.3% 9.7% 10% 6.6% 5.1% 5% 4.3% 2.1% 0.7% 0% 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. We thank you for your investment and look forward to your continued confidence. Goldman Sachs Quantitative Equity Investment Team New York, March 18, 2005 9 |
FUND BASICS CORESM Small Cap Equity Fund as of February 28, 2005 Assets Under Management $465.8 Million Number of Holdings 291 NASDAQ SYMBOLS Class A Shares GCSAX Class B Shares GCSBX Class C Shares GCSCX Institutional Shares GCSIX Service Shares GCSSX PERFORMANCE REVIEW Fund Total Return September 1, 2004–February 28, 2005 (based on NAV)1 Russell 2000 Index2 Class A 15.52% 16.40% Class B 15.03 16.40 Class C 15.08 16.40 Institutional 15.74 16.40 Service 15.40 16.40 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 Index (with dividends reinvested) is an unmanaged index of common stock prices that measures the performance of the 2000 smallest companies in the Russell 3000 Index. The Index figures do not reflect any deduction for fees, expenses or taxes. STANDARDIZED TOTAL RETURNS 3 For the period ended 12/31/04 Class A Class B Class C Institutional Service One Year 9.14% 9.22% 13.50% 15.88% 15.36% Five Years 7.06 7.08 7.47 8.71 8.17 Since Inception 7.17 7.19 7.22 8.41 7.89 (8/15/97) 3 The Standardized Total Returns are average annual total returns 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 2/28/05 4 Holding % of Net Assets Line of Business Websense, Inc. 1.6% Internet Software & Services Silicon Valley Bancshares 1.5 Banks Veritas DGC, Inc. 1.5 Energy Equipment & Services Anixter International, Inc. 1.5 Electronic Equipment & Instruments LandAmerica Financial Group, Inc. 1.5 Insurance The Houston Exploration Co. 1.4 Oil & Gas USG Corp. 1.4 Building Products Commercial Metals Co. 1.4 Metals & Mining InfoSpace, Inc. 1.3 Internet Software & Services Bank of Hawaii Corp. 1.2 Banks 4 The top 10 holdings may not be representative of the Fund’s future investments. 10 |
PORTFOLIO RESULTS CORESM Large Cap Value Fund Dear Shareholder, This report provides an overview on the performance of the Goldman Sachs CORE 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 12.69%, 12.21%, 12.30%, 12.92%, and 12.61%, 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. Although the Fund performed well on an absolute basis, it underperformed its benchmark over the six-month reporting period. During this time, returns to the CORE themes were generally positive. Momentum was the biggest positive contributor to relative returns as companies with strong momentum characteristics outperformed their industry counterparts. Analyst Sentiment and Valuation also added value over this period. Earnings Quality, Management Impact and Profitability were positive, although less significantly. Despite good results for the themes, small unsuccessful exposures to the Industrials sector, along with stock-specific events, hurt relative performance in January and February 2005. In particular, an overweight in eBay, Inc. hurt performance when eBay announced disappointing earnings in mid-January 2005. We have since eliminated eBay from the portfolio. An overweight in Biogen Idec, Inc. hurt performance when, on the last day of the reporting period, Biogen suspended sales of a new drug due to two reports of serious side effects in patients, causing its stock price to fall 44%. Over longer-term periods, we expect to see very little return coming from these exposures, although over a shorter time frame they may contribute more significantly, either positively or negatively, to results. Portfolio Positioning In managing the CORE products, we take minimal size and sector bets. We strive to add value versus each Fund’s respective index through individual stock selection. Our quantitative process seeks out stocks with good momentum that also appear to be good values. We prefer stocks about which fundamental research analysts are becoming more positive, and companies with strong profit margins and sustainable earnings that use their capital to enhance shareholder value. Over the long term, these factors have contributed positively to the Fund’s returns, and they typically work well at various times and under different market environments. 11 |
PORTFOLIO RESULTS Portfolio Highlights Stock selection was negative in six of the ten sectors in the Index, most notably in Health Care. Examples of stocks in other sectors that detracted from relative results were an underweight in Exxon Mobil Corp. and an overweight in Ford Motor Co. On a positive note, the Fund’s holdings in the Financial sector outperformed relative to their peers in the benchmark the most. Sector Allocation (Percentage of Portfolio) as of 2/28/05 35% 30.6% 30% 25% 20% 14.4% 15% 12.0% 9.5% 10% 4.7% 5.1% 5.4% 5.6% 4.8% 5% 4.0% 3.9% 0% Staples Energy Financials Industrials Materials Services Utilities Consumer Discretionary Consumer Health Care Information Technology Short Term Investments Telecommunication 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. We thank you for your investment and look forward to your continued confidence. Goldman Sachs Quantitative Equity Investment Team New York, March 18, 2005 12 |
FUND BASICS CORESM Large Cap Value Fund as of February 28, 2005 Assets Under Management $412.3 Million Number of Holdings 119 NASDAQ SYMBOLS Class A Shares GCVAX Class B Shares GCVBX Class C Shares GCVCX Institutional Shares GCVIX Service Shares GCLSX PERFORMANCE REVIEW Fund Total Return Russell 1000 September 1, 2004–February 28, 2005 (based on NAV)1 Value Index2 Class A 12.69% 13.75% Class B 12.21 13.75 Class C 12.30 13.75 Institutional 12.92 13.75 Service 12.61 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 Russell 1000 Value Index (inception date 1/1/99) is an unmanaged 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 for fees, expenses or taxes. STANDARDIZED TOTAL RETURNS 3 For the period ended 12/31/04 Class A Class B Class C Institutional Service One Year 13.20% 13.77% 17.86% 20.20% 19.64% Five Years 3.27 3.27 3.65 4.83 4.34 Since Inception 4.18 4.35 4.37 5.54 5.05 (12/31/98) 3The Standardized Total Returns are average annual total returns 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 2/28/05 4 Holding % of Net Assets Line of Business Exxon Mobil Corp. 4.6% Oil & Gas Bank of America Corp. 4.4 Banks General Electric Co. 3.8 Industrial Conglomerates J.P. Morgan Chase & Co. 3.3 Diversified Financials Verizon Communications, Inc. 2.6 Diversified Telecommunication Services Citigroup, Inc. 2.3 Diversified Financials Viacom, Inc. Class B 2.0 Media Prudential Financial, Inc. 2.0 Insurance Burlington Resources, Inc. 1.9 Oil & Gas Devon Energy Corp. 1.8 Oil & Gas 4The top 10 holdings may not be representative of the Fund’s future investments. 13 |
GOLDMAN SACHS CORE EQUITY FUNDS International CORESM Investment Process 1 DISCIPLINED COUNTRY AND STOCK SELECTION GOLDMAN SACHS’ Comprehensive – We forecast returns on over CORE INTERNATIONAL 3,500 stocks, 21 countries and 9 currencies INVESTMENT PROCESS on a daily basis. Rigorous – We evaluate stocks, countries, and currencies based on fundamental investment 1 criteria that have outperformed historically. Objective – Our stock and equity market selection process is free from emotion that can lead to biased investment decisions. DISCIPLINED COUNTRY AND STOCK SELECTION 2 C AREFUL PORTFOLIO CONSTRUCTION 3 We use unique, proprietary risk models that are more precise, more focused and faster to respond because they identify, track and 2 manage risk specific to our process, using daily data. CAREFUL PORTFOLIO CONSTRUCTION 3 RESULTS 3 Fully invested, well-diversified International Aims to achieve excess returns by taking portfolio that: intentional country bets and many small diversified stock positions. 3 Blends top-down market views with bottom-up stock selection. Maintains style, sector, risk and capitalization RESULTS characteristics similar to the benchmark. 14 |
PORTFOLIO RESULTS CORESM International Equity Fund Dear Shareholder, This report provides an overview on the performance of the Goldman Sachs CORE International Equity 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 20.73%, 20.17%, 20.28%, 20.96%, and 20.66%, respectively. These returns compare to the 21.28% cumulative total return of the Fund’s benchmark, the Morgan Stanley Capital International (MSCI) Europe, Australasia, Far East (EAFE) Index (unhedged, with dividends reinvested), over the same time period. Although the Fund performed well on an absolute basis, it underperformed its benchmark over the six-month reporting period. This was primarily due to the portfolio’s country allocations. Country Allocations In general, the Fund’s country weightings detracted from relative performance, with an overweight position in Japan and an underweight in Australia the least successful for the period. On the upside, an overweight in Norway and Austria were the largest positive contributors to relative performance. Sector Allocations Our strategy is sector-neutral within countries. Any deviations in sector weights at the Fund level were the result of our country allocation decisions. During the period, the Fund’s holdings in the Health Care and Consumer Staples sectors experienced positive results relative to the benchmark. Conversely, stock selection in the Information Technology and Industrials sectors were the weakest compared to the benchmark. 15 |
PORTFOLIO RESULTS Stock Selection Overall, stock selection within countries contributed positively to performance relative to the benchmark, particularly in the UK. Profitability and Analyst Sentiment were the biggest positive contributors to returns in this region. On the other hand, stock selection versus the benchmark was the least successful in Japan. The Momentum theme struggled the most in this region over the period. As always, we thank you for your investment and look forward to your continued confidence. Goldman Sachs Quantitative Equity Investment Team New York, March 18, 2005 16 |
FUND BASICS CORESM International Equity Fund as of February 28, 2005 Assets Under Management $790.2 Million Number of Holdings 228 NASDAQ SYMBOLS Class A Shares GCIAX Class B Shares GCIBX Class C Shares GCICX Institutional Shares GCIIX Service Shares GCISX PERFORMANCE REVIEW Fund Total Return September 1, 2004–February 28, 2005 (based on NAV)1 MSCI EAFE Index2 Class A 20.73% 21.28% Class B 20.17 21.28 Class C 20.28 21.28 Institutional 20.96 21.28 Service 20.66 21.28 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 Morgan Stanley Capital International (MSCI) Europe, Australasia, Far East (EAFE) Index (unhedged, with dividends reinvested) is a market capitalization weighted composite of securities in 21 developed markets. The Index figures do not reflect any deduction for fees, expenses or taxes. STANDARDIZED TOTAL RETURNS 3 For the period ended 12/31/04 Class A Class B Class C Institutional Service One Year 13.74% 14.58% 18.56% 20.95% 20.36% Five Years -1.99 -1.79 -1.38 -0.25 -0.74 Since Inception 2.00 2.28 2.29 3.44 2.94 (8/15/97) 3The Standardized Total Returns are average annual total returns or cumulative total returns (only if the performance period is one year or less) 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. The fund will charge a 2% redemption fee on the redemption of shares (including by exchange) held for 30 calendar days or less. Performance figures do not reflect the deduction of the redemption fee. If reflected, the redemption fee would reduce the performance quoted. 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 2/28/05 4 Holding % of Net Assets Line of Business Fortis 3.3% Financial Services Aegon NV 3.0 Insurance E.On AG 2.9 Utilities–Electrical & Gas Hitachi Ltd. 2.5 Electronic Components & Instruments Royal Dutch Petroleum Co. 2.2 Energy Sources Barclays PLC 2.2 Banking Sompo Japan Insurance, Inc. 2.1 Insurance Matsushita Electric Industrial Co., Ltd. 2.0 Appliances and Household Durables Delhaize Group 1.9 Merchandising Repsol SA 1.7 Energy Sources 4The top 10 holdings may not be representative of the Fund’s future investments. 17 |
Statement of Investments
Shares | Description | Value | ||||||||
Common Stocks – 99.1% | ||||||||||
Aerospace & Defense – 3.6% | ||||||||||
33,030 | L-3 Communications Holdings, Inc. | $ | 2,381,463 | |||||||
159,200 | Northrop Grumman Corp. | 8,421,680 | ||||||||
259,700 | Raytheon Co. | 9,930,928 | ||||||||
169,500 | The Boeing Co. | 9,317,415 | ||||||||
25,000 | United Technologies Corp. | 2,497,000 | ||||||||
32,548,486 | ||||||||||
Air Freight & Couriers – 1.4% | ||||||||||
127,400 | FedEx Corp. | 12,457,172 | ||||||||
Auto Components – 0.3% | ||||||||||
16,300 | Autoliv, Inc. | 814,022 | ||||||||
28,000 | Johnson Controls, Inc. | 1,654,800 | ||||||||
2,468,822 | ||||||||||
Automobiles – 1.3% | ||||||||||
959,600 | Ford Motor Co.(a) | 12,138,940 | ||||||||
Banks – 5.8% | ||||||||||
614,684 | Bank of America Corp. | 28,675,009 | ||||||||
38,000 | Bank of Hawaii Corp. | 1,729,760 | ||||||||
21,300 | Golden West Financial Corp. | 1,318,257 | ||||||||
51,800 | Regions Financial Corp. | 1,671,068 | ||||||||
186,700 | U.S. Bancorp. | 5,554,325 | ||||||||
162,440 | Wachovia Corp. | 8,610,944 | ||||||||
33,100 | Washington Mutual, Inc. | 1,388,876 | ||||||||
51,500 | Wells Fargo & Co. | 3,058,070 | ||||||||
52,006,309 | ||||||||||
Beverages – 0.9% | ||||||||||
55,000 | Constellation Brands, Inc.* | 2,944,150 | ||||||||
40,100 | Molson Coors Brewing Co. Class B | 2,788,153 | ||||||||
43,000 | PepsiCo, Inc. | 2,315,980 | ||||||||
8,048,283 | ||||||||||
Biotechnology – 2.2% | ||||||||||
140,600 | Amgen, Inc.* | 8,662,366 | ||||||||
211,700 | Biogen Idec, Inc.* | 8,182,205 | ||||||||
58,400 | ImClone Systems, Inc.* | 2,584,784 | ||||||||
19,429,355 | ||||||||||
Chemicals – 1.6% | ||||||||||
217,500 | Monsanto Co. | 12,784,650 | ||||||||
34,800 | The Lubrizol Corp. | 1,483,524 | ||||||||
14,268,174 | ||||||||||
Commercial Services & Supplies – 1.8% | ||||||||||
612,010 | Cendant Corp. | 13,537,661 | ||||||||
53,000 | First Data Corp. | 2,174,060 | ||||||||
30,600 | PHH Corp.* | 642,600 | ||||||||
16,354,321 | ||||||||||
Communications Equipment – 3.3% | ||||||||||
80,000 | Cisco Systems, Inc.* | 1,393,600 | ||||||||
881,050 | Motorola, Inc. | 13,797,243 | ||||||||
383,900 | QUALCOMM, Inc. | 13,862,629 | ||||||||
55,000 | UTStarcom, Inc.* | 706,750 | ||||||||
29,760,222 | ||||||||||
Computers & Peripherals – 3.2% | ||||||||||
95,400 | Dell, Inc.* | 3,824,586 | ||||||||
88,000 | EMC Corp.* | 1,114,080 | ||||||||
259,500 | International Business Machines Corp. | 24,024,510 | ||||||||
28,963,176 | ||||||||||
Containers & Packaging – 0.2% | ||||||||||
37,000 | Ball Corp. | 1,642,800 | ||||||||
Diversified Financials – 7.8% | ||||||||||
45,000 | American Express Co. | 2,436,750 | ||||||||
176,670 | Citigroup, Inc. | 8,430,692 | ||||||||
198,600 | Freddie Mac | 12,313,200 | ||||||||
604,400 | J.P. Morgan Chase & Co. | 22,090,820 | ||||||||
91,200 | Merrill Lynch & Co., Inc. | 5,342,496 | ||||||||
154,800 | Moody’s Corp. | 12,989,268 | ||||||||
65,100 | Principal Financial, Inc. | 2,540,202 | ||||||||
43,100 | The Bear Stearns Companies, Inc. | 4,288,450 | ||||||||
70,431,878 | ||||||||||
Diversified Telecommunication Services – 3.8% | ||||||||||
115,300 | ALLTEL Corp. | 6,595,160 | ||||||||
22,700 | CenturyTel, Inc. | 763,628 | ||||||||
41,900 | MCI, Inc. | 953,225 | ||||||||
106,400 | SBC Communications, Inc. | 2,558,920 | ||||||||
206,130 | Sprint Corp. | 4,881,158 | ||||||||
525,900 | Verizon Communications, Inc. | 18,916,623 | ||||||||
34,668,714 | ||||||||||
Electric Utilities – 2.0% | ||||||||||
337,610 | Edison International | 10,965,573 | ||||||||
85,000 | Exelon Corp. | 3,855,600 | ||||||||
100,300 | PG&E Corp. | 3,528,554 | ||||||||
18,349,727 | ||||||||||
Electrical Equipment – 0.6% | ||||||||||
46,200 | Emerson Electric Co. | 3,063,984 | ||||||||
33,600 | Energizer Holdings, Inc.* | 1,990,128 | ||||||||
5,054,112 | ||||||||||
Electronic Equipment & Instruments – 0.2% | ||||||||||
100,000 | Flextronics International Ltd.* | 1,335,000 | ||||||||
25,700 | Thermo Electron Corp.* | 705,722 | ||||||||
2,040,722 | ||||||||||
Energy Equipment & Services – 0.2% | ||||||||||
30,000 | Schlumberger Ltd. | 2,263,500 | ||||||||
Food & Drug Retailing – 0.7% | ||||||||||
54,000 | CVS Corp. | 2,690,820 | ||||||||
99,430 | SUPERVALU, Inc. | 3,158,891 |
18
Shares | Description | Value | ||||||||
Common Stocks – (continued) | ||||||||||
Food & Drug Retailing – (continued) | ||||||||||
25,000 | SYSCO Corp. | $ | 860,500 | |||||||
6,710,211 | ||||||||||
Food Products – 2.5% | ||||||||||
430,751 | Archer-Daniels-Midland Co. | 10,381,099 | ||||||||
92,210 | Kraft Foods, Inc. | 3,084,425 | ||||||||
538,000 | Tyson Foods, Inc. | 9,156,760 | ||||||||
22,622,284 | ||||||||||
Healthcare Equipment & Supplies – 0.9% | ||||||||||
38,400 | Becton, Dickinson and Co. | 2,299,008 | ||||||||
28,000 | C.R. Bard, Inc. | 1,862,000 | ||||||||
21,100 | Guidant Corp. | 1,548,529 | ||||||||
61,300 | St. Jude Medical, Inc.* | 2,396,830 | ||||||||
8,106,367 | ||||||||||
Healthcare Providers & Services – 1.4% | ||||||||||
56,300 | Aetna, Inc. | 8,220,926 | ||||||||
20,800 | Quest Diagnostics, Inc. | 2,067,520 | ||||||||
26,000 | UnitedHealth Group, Inc. | 2,370,160 | ||||||||
12,658,606 | ||||||||||
Hotels, Restaurants & Leisure – 0.2% | ||||||||||
32,000 | GTECH Holdings Corp. | 747,200 | ||||||||
20,000 | Harrah’s Entertainment, Inc. | 1,311,800 | ||||||||
2,059,000 | ||||||||||
Household Durables – 1.5% | ||||||||||
30,000 | Fortune Brands, Inc. | 2,430,000 | ||||||||
102,300 | Harman International Industries, Inc. | 11,474,991 | ||||||||
13,904,991 | ||||||||||
Household Products – 2.7% | ||||||||||
452,360 | The Procter & Gamble Co.(a) | 24,015,792 | ||||||||
Industrial Conglomerates – 4.3% | ||||||||||
46,600 | 3M Co. | 3,911,604 | ||||||||
617,020 | General Electric Co. | 21,719,104 | ||||||||
135,110 | Reynolds American, Inc.(a) | 11,072,264 | ||||||||
60,800 | Tyco International Ltd. | 2,035,584 | ||||||||
38,738,556 | ||||||||||
Insurance – 6.5% | ||||||||||
3,100 | Alleghany Corp.* | 849,400 | ||||||||
46,000 | American International Group, Inc. | 3,072,800 | ||||||||
63,000 | Lincoln National Corp. | 2,951,550 | ||||||||
189,810 | Loews Corp. | 13,529,657 | ||||||||
187,300 | MBIA, Inc. | 10,975,780 | ||||||||
139,700 | MetLife, Inc. | 5,733,288 | ||||||||
19,610 | Nationwide Financial Services, Inc. | 721,648 | ||||||||
261,210 | Prudential Financial, Inc. | 14,888,970 | ||||||||
14,400 | Radian Group, Inc. | 695,952 | ||||||||
57,000 | The Allstate Corp. | 3,059,760 | ||||||||
26,000 | The Chubb Corp. | 2,056,860 | ||||||||
58,535,665 | ||||||||||
Internet Software & Services – 0.9% | ||||||||||
238,800 | Yahoo!, Inc.* | $ | 7,706,076 | |||||||
IT Consulting & Services – 1.0% | ||||||||||
37,000 | Affiliated Computer Services, Inc.* | 1,912,900 | ||||||||
154,700 | Computer Sciences Corp.* | 7,151,781 | ||||||||
9,064,681 | ||||||||||
Machinery – 0.3% | ||||||||||
24,000 | Caterpillar, Inc. | 2,281,200 | ||||||||
Media – 5.0% | ||||||||||
84,337 | Comcast Corp.* | 2,745,169 | ||||||||
74,700 | Comcast Corp. Special Class A* | 2,379,942 | ||||||||
293,900 | Liberty Media Corp. * | 2,980,146 | ||||||||
23,200 | Liberty Media International, Inc.* | 1,002,936 | ||||||||
58,900 | News Corp. | 980,096 | ||||||||
20,000 | Omnicom Group, Inc. | 1,821,400 | ||||||||
997,390 | Time Warner, Inc.* | 17,185,030 | ||||||||
448,962 | Viacom, Inc. Class B | 15,668,774 | ||||||||
44,763,493 | ||||||||||
Metals & Mining – 1.3% | ||||||||||
44,000 | Alcoa, Inc. | 1,413,280 | ||||||||
15,100 | Newmont Mining Corp. | 679,802 | ||||||||
137,800 | Nucor Corp. | 8,590,452 | ||||||||
16,800 | United States Steel Corp. | 1,047,648 | ||||||||
11,731,182 | ||||||||||
Multiline Retail – 1.7% | ||||||||||
81,500 | Costco Wholesale Corp. | 3,797,085 | ||||||||
14,400 | Kmart Holding Corp.*(a) | 1,403,568 | ||||||||
54,000 | Target Corp. | 2,744,280 | ||||||||
149,960 | Wal-Mart Stores, Inc. | 7,739,436 | ||||||||
15,684,369 | ||||||||||
Oil & Gas – 8.9% | ||||||||||
51,900 | Anadarko Petroleum Corp. | 3,989,034 | ||||||||
36,000 | Apache Corp. | 2,263,680 | ||||||||
299,500 | Burlington Resources, Inc. | 14,864,185 | ||||||||
53,500 | ChevronTexaco Corp. | 3,321,280 | ||||||||
88,721 | ConocoPhillips | 9,838,272 | ||||||||
121,200 | Devon Energy Corp. | 5,670,948 | ||||||||
235,416 | Exxon Mobil Corp. | 14,904,187 | ||||||||
185,600 | Occidental Petroleum Corp. | 13,042,112 | ||||||||
75,600 | Sunoco, Inc. | 7,491,960 | ||||||||
27,600 | Valero Energy Corp. | 1,966,224 | ||||||||
57,900 | XTO Energy, Inc. | 2,635,608 | ||||||||
79,987,490 | ||||||||||
Personal Products – 0.6% | ||||||||||
107,440 | The Gillette Co. | 5,398,860 | ||||||||
Pharmaceuticals – 8.0% | ||||||||||
91,400 | Allergan, Inc. | 6,871,452 | ||||||||
28,000 | Barr Pharmaceuticals, Inc.* | 1,336,720 | ||||||||
434,150 | Johnson & Johnson | 28,480,240 | ||||||||
243,000 | Merck & Co., Inc. | 7,703,100 |
19
Shares | Description | Value | ||||||||
Common Stocks – (continued) | ||||||||||
Pharmaceuticals – (continued) | ||||||||||
1,066,400 | Pfizer, Inc. | $ | 28,035,656 | |||||||
72,427,168 | ||||||||||
Real Estate – 0.5% | ||||||||||
145,010 | Equity Office Properties Trust | 4,374,952 | ||||||||
Road & Rail – 0.7% | ||||||||||
82,800 | Burlington Northern Santa Fe Corp. | 4,162,356 | ||||||||
52,800 | Norfolk Southern Corp. | 1,894,992 | ||||||||
6,057,348 | ||||||||||
Semiconductor Equipment & Products – 2.4% | ||||||||||
438,000 | Advanced Micro Devices, Inc.*(a) | 7,643,100 | ||||||||
139,400 | Cree, Inc.*(a) | 3,278,688 | ||||||||
162,090 | Freescale Semiconductor, Inc. Class B* | 3,108,886 | ||||||||
92,500 | Intel Corp. | 2,218,150 | ||||||||
300,400 | Micron Technology, Inc.*(a) | 3,454,600 | ||||||||
61,000 | Texas Instruments, Inc. | 1,614,670 | ||||||||
21,318,094 | ||||||||||
Software – 4.9% | ||||||||||
306,500 | Autodesk, Inc. | 9,109,180 | ||||||||
727 | Computer Associates International, Inc. | 19,695 | ||||||||
1,316,440 | Microsoft Corp. | 33,147,959 | ||||||||
78,600 | Symantec Corp.* | 1,729,986 | ||||||||
44,006,820 | ||||||||||
Specialty Retail – 1.4% | ||||||||||
218,330 | AutoNation, Inc.* | 4,263,985 | ||||||||
25,000 | Best Buy Co., Inc. | 1,350,500 | ||||||||
192,031 | Circuit City Stores, Inc. | 3,001,444 | ||||||||
70,000 | Staples, Inc. | 2,206,400 | ||||||||
50,000 | The Home Depot, Inc. | 2,001,000 | ||||||||
12,823,329 | ||||||||||
Tobacco – 0.3% | ||||||||||
43,600 | UST, Inc. | 2,382,740 | ||||||||
Trading Companies & Distributors – 0.1% | ||||||||||
18,200 | W.W. Grainger, Inc. | 1,142,596 | ||||||||
Wireless Telecommunication Services – 0.2% | ||||||||||
42,110 | United States Cellular Corp.* | 2,105,500 | ||||||||
TOTAL COMMON STOCKS | ||||||||||
(Cost $794,555,734) | $ | 893,502,083 | ||||||||
Principal | Interest | Maturity | ||||||||||||||
Amount | Rate | Date | Value | |||||||||||||
U.S. Treasury Obligation – 0.2% | ||||||||||||||||
United States Treasury Bill | ||||||||||||||||
$ | 1,258,000 | 2.25 | % | 03/03/2005 | $ | 1,257,843 | ||||||||||
(Cost $1,257,843) | ||||||||||||||||
Repurchase Agreement(b) – 0.6% | ||||||||||||||||
Joint Repurchase Agreement Account II | ||||||||||||||||
$ | 5,800,000 | 2.64 | % | 03/01/2005 | $ | 5,800,000 | ||||||||||
Maturity Value: $5,800,426 | ||||||||||||||||
(Cost $5,800,000) | ||||||||||||||||
TOTAL INVESTMENTS BEFORE SECURITIES | ||||||||||||||||
LENDING COLLATERAL (Cost $801,613,577) | $ | 900,559,926 | ||||||||||||||
Shares | Description | Value | ||||||||
Securities Lending Collateral – 3.9% | ||||||||||
35,326,800 | Boston Global Investment Trust – Enhanced Portfolio | $ | 35,326,800 | |||||||
(Cost $35,326,800) | ||||||||||
TOTAL INVESTMENTS – 103.8% | ||||||||||
(Cost $836,940,377) | $ | 935,886,726 | ||||||||
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. |
20
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 $5,800,000 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. |
Futures Contracts — At February 28, 2005, the following futures contracts were open:
Number of | ||||||||||||||
Contracts | Settlement | Market | Unrealized | |||||||||||
Type | Long | Month | Value | Gain | ||||||||||
S&P Mini 500 Index | 127 | March 2005 | $ | 7,646,035 | $ | 83,250 | ||||||||
21
Statement of Investments
Shares | Description | Value | ||||||||
Common Stocks – 98.2% | ||||||||||
Aerospace & Defense – 2.9% | ||||||||||
44,700 | Northrop Grumman Corp. | $ | 2,364,630 | |||||||
41,100 | Raytheon Co. | 1,571,664 | ||||||||
114,800 | The Boeing Co. | 6,310,556 | ||||||||
10,246,850 | ||||||||||
Air Freight & Couriers – 1.8% | ||||||||||
33,100 | FedEx Corp. | 3,236,518 | ||||||||
71,500 | Ryder System, Inc. | 3,035,890 | ||||||||
6,272,408 | ||||||||||
Auto Components – 0.1% | ||||||||||
10,000 | Autoliv, Inc. | 499,400 | ||||||||
Banks – 1.7% | ||||||||||
118,900 | Bank of America Corp. | 5,546,685 | ||||||||
9,000 | Wachovia Corp. | 477,090 | ||||||||
6,023,775 | ||||||||||
Beverages – 0.7% | ||||||||||
37,800 | Molson Coors Brewing Co. Class B(a) | 2,628,234 | ||||||||
Biotechnology – 4.1% | ||||||||||
106,200 | Amgen, Inc.* | 6,542,982 | ||||||||
104,200 | Biogen Idec, Inc.* | 4,027,330 | ||||||||
6,600 | Cephalon, Inc.* | 323,862 | ||||||||
7,400 | Genzyme Corp.* | 415,066 | ||||||||
73,100 | ImClone Systems, Inc.* | 3,235,406 | ||||||||
14,544,646 | ||||||||||
Chemicals – 0.3% | ||||||||||
15,500 | Monsanto Co. | 911,090 | ||||||||
Commercial Services & Supplies – 1.4% | ||||||||||
230,500 | Cendant Corp. | 5,098,660 | ||||||||
Communications Equipment – 4.8% | ||||||||||
122,000 | Cisco Systems, Inc.* | 2,125,240 | ||||||||
6,100 | Harris Corp. | 406,870 | ||||||||
427,800 | Motorola, Inc. | 6,699,348 | ||||||||
207,700 | QUALCOMM, Inc. | 7,500,047 | ||||||||
34,200 | Tellabs, Inc.* | 242,478 | ||||||||
16,973,983 | ||||||||||
Computers & Peripherals – 6.4% | ||||||||||
146,800 | Apple Computer, Inc.* | 6,585,448 | ||||||||
21,800 | Dell, Inc.* | 873,962 | ||||||||
115,600 | International Business Machines Corp. | 10,702,248 | ||||||||
52,300 | NCR Corp.* | 2,039,177 | ||||||||
71,300 | Storage Technology Corp.* | 2,267,340 | ||||||||
22,468,175 | ||||||||||
Diversified Financials – 3.2% | ||||||||||
122,100 | AmeriCredit Corp.* | 2,876,676 | ||||||||
22,800 | Freddie Mac | 1,413,600 | ||||||||
12,700 | J.P. Morgan Chase & Co. | 464,185 | ||||||||
70,901 | Moody’s Corp. | 5,949,303 | ||||||||
10,400 | Nuveen Investments | 424,320 | ||||||||
11,128,084 | ||||||||||
Diversified Telecommunication Services – 1.7% | ||||||||||
6,300 | ALLTEL Corp. | 360,360 | ||||||||
27,600 | CenturyTel, Inc. | 928,464 | ||||||||
103,547 | Sprint Corp. | 2,451,993 | ||||||||
67,000 | Verizon Communications, Inc. | 2,409,990 | ||||||||
6,150,807 | ||||||||||
Electric Utilities – 0.3% | ||||||||||
30,400 | NRG Energy, Inc.* | 1,170,704 | ||||||||
Electrical Equipment – 0.5% | ||||||||||
17,900 | Energizer Holdings, Inc.* | 1,060,217 | ||||||||
9,900 | Rockwell Automation, Inc. | 615,285 | ||||||||
1,675,502 | ||||||||||
Electronic Equipment & Instruments – 0.3% | ||||||||||
18,000 | Ingram Micro, Inc.* | 322,560 | ||||||||
15,800 | PerkinElmer, Inc. | 350,444 | ||||||||
10,400 | Thermo Electron Corp.* | 285,584 | ||||||||
958,588 | ||||||||||
Food & Drug Retailing – 0.4% | ||||||||||
19,800 | Albertson’s, Inc. | 443,322 | ||||||||
29,700 | SUPERVALU, Inc. | 943,569 | ||||||||
1,386,891 | ||||||||||
Food Products – 2.5% | ||||||||||
39,900 | Hershey Foods Corp. | 2,513,700 | ||||||||
33,400 | Pilgrim’s Pride Corp. | 1,268,532 | ||||||||
293,200 | Tyson Foods, Inc. | 4,990,264 | ||||||||
8,772,496 | ||||||||||
Healthcare Equipment & Supplies – 3.4% | ||||||||||
91,600 | Becton, Dickinson and Co. | 5,484,092 | ||||||||
5,000 | C.R. Bard, Inc. | 332,500 | ||||||||
10,300 | Dade Behring Holdings, Inc.* | 645,913 | ||||||||
31,700 | Edwards Lifesciences Corp.* | 1,363,417 | ||||||||
19,000 | Guidant Corp. | 1,394,410 | ||||||||
47,400 | IMS Health, Inc. | 1,154,190 | ||||||||
5,300 | Kinetic Concepts, Inc.* | 345,719 | ||||||||
5,800 | Respironics, Inc.* | 334,950 | ||||||||
9,000 | Zimmer Holdings, Inc.* | 773,100 | ||||||||
11,828,291 | ||||||||||
Healthcare Providers & Services – 3.2% | ||||||||||
22,900 | Aetna, Inc. | 3,343,858 | ||||||||
62,400 | AmerisourceBergen Corp. | 3,737,760 | ||||||||
84,300 | Caremark Rx, Inc.* | 3,227,004 | ||||||||
16,300 | PacifiCare Health Systems, Inc.* | 1,034,724 | ||||||||
11,343,346 | ||||||||||
22
Shares | Description | Value | ||||||||
Common Stocks – (continued) | ||||||||||
Hotels, Restaurants & Leisure – 1.4% | ||||||||||
94,600 | GTECH Holdings Corp. | $ | 2,208,910 | |||||||
51,400 | Starbucks Corp.* | 2,663,034 | ||||||||
4,871,944 | ||||||||||
Household Durables – 2.0% | ||||||||||
52,600 | Harman International Industries, Inc. | 5,900,142 | ||||||||
430 | NVR, Inc.* | 340,667 | ||||||||
9,600 | The Black & Decker Corp. | 796,032 | ||||||||
7,036,841 | ||||||||||
Household Products – 3.0% | ||||||||||
7,300 | The Clorox Co. | 438,292 | ||||||||
187,600 | The Procter & Gamble Co. | 9,959,684 | ||||||||
10,397,976 | ||||||||||
Industrial Conglomerates – 2.3% | ||||||||||
48,900 | 3M Co. | 4,104,666 | ||||||||
50,200 | Reynolds American, Inc. | 4,113,890 | ||||||||
8,218,556 | ||||||||||
Insurance – 3.9% | ||||||||||
6,600 | Ambac Financial Group, Inc. | 513,348 | ||||||||
12,900 | American International Group, Inc. | 861,720 | ||||||||
64,900 | Loews Corp. | 4,626,072 | ||||||||
41,200 | MBIA, Inc. | 2,414,320 | ||||||||
84,200 | Prudential Financial, Inc. | 4,799,400 | ||||||||
7,400 | W.R. Berkley Corp. | 380,064 | ||||||||
13,594,924 | ||||||||||
Internet & Catalog Retail – 1.7% | ||||||||||
138,800 | eBay, Inc.* | 5,946,192 | ||||||||
Internet Software & Services – 1.8% | ||||||||||
8,000 | Google, Inc.* | 1,503,920 | ||||||||
89,400 | McAfee, Inc.* | 2,067,822 | ||||||||
83,000 | Yahoo!, Inc.* | 2,678,410 | ||||||||
6,250,152 | ||||||||||
IT Consulting & Services – 0.4% | ||||||||||
29,100 | Computer Sciences Corp.* | 1,345,293 | ||||||||
Leisure Equipment & Products – 0.5% | ||||||||||
24,500 | Polaris Industries, Inc. | 1,709,855 | ||||||||
Machinery – 0.1% | ||||||||||
8,600 | Graco, Inc. | 332,476 | ||||||||
Media – 4.8% | ||||||||||
4,900 | Getty Images, Inc.* | 349,566 | ||||||||
424,300 | Liberty Media Corp. * | 4,302,402 | ||||||||
94,600 | News Corp. | 1,574,144 | ||||||||
240,400 | Time Warner, Inc.* | 4,142,092 | ||||||||
16,900 | Univision Communications, Inc.* | 445,991 | ||||||||
172,619 | Viacom, Inc. Class B | 6,024,403 | ||||||||
16,838,598 | ||||||||||
Metals & Mining – 0.7% | ||||||||||
7,900 | Newmont Mining Corp. | 355,658 | ||||||||
34,600 | Nucor Corp. | 2,156,964 | ||||||||
2,512,622 | ||||||||||
Multiline Retail – 1.8% | ||||||||||
72,000 | Costco Wholesale Corp. | 3,354,480 | ||||||||
56,800 | Wal-Mart Stores, Inc. | 2,931,448 | ||||||||
6,285,928 | ||||||||||
Oil & Gas – 2.3% | ||||||||||
74,100 | Burlington Resources, Inc. | 3,677,583 | ||||||||
20,100 | Devon Energy Corp. | 940,479 | ||||||||
72,600 | XTO Energy, Inc. | 3,304,752 | ||||||||
7,922,814 | ||||||||||
Paper & Forest Products – 0.1% | ||||||||||
10,900 | Louisiana-Pacific Corp. | 286,343 | ||||||||
Personal Products – 0.8% | ||||||||||
58,299 | The Gillette Co. | 2,929,525 | ||||||||
Pharmaceuticals – 13.6% | ||||||||||
93,700 | Abbott Laboratories | 4,309,263 | ||||||||
52,800 | Allergan, Inc. | 3,969,504 | ||||||||
268,200 | Johnson & Johnson | 17,593,920 | ||||||||
121,100 | Merck & Co., Inc. | 3,838,870 | ||||||||
683,995 | Pfizer, Inc. | 17,982,229 | ||||||||
47,693,786 | ||||||||||
Real Estate – 0.3% | ||||||||||
14,700 | Equity Office Properties Trust | 443,499 | ||||||||
8,200 | Plum Creek Timber Co., Inc. | 307,910 | ||||||||
7,800 | Regency Centers Corp. | 397,800 | ||||||||
1,149,209 | ||||||||||
Road & Rail – 0.5% | ||||||||||
35,800 | J.B. Hunt Transporta Services, Inc. | 1,689,402 | ||||||||
Semiconductor Equipment & Products – 4.9% | ||||||||||
91,700 | Advanced Micro Devices, Inc.* | 1,600,165 | ||||||||
44,300 | Cree, Inc.*(a) | 1,041,936 | ||||||||
28,000 | Freescale Semiconductor, Inc. Class B* | 537,040 | ||||||||
365,900 | Intel Corp. | 8,774,282 | ||||||||
442,600 | Micron Technology, Inc.* | 5,089,900 | ||||||||
17,043,323 | ||||||||||
Software – 6.6% | ||||||||||
23,000 | Adobe Systems, Inc. | 1,420,250 | ||||||||
164,100 | Autodesk, Inc. | 4,877,052 | ||||||||
192,600 | BMC Software, Inc.* | 2,879,370 | ||||||||
490,700 | Microsoft Corp. | 12,355,826 | ||||||||
68,600 | Symantec Corp.* | 1,509,886 | ||||||||
23,042,384 | ||||||||||
23
Shares | Description | Value | ||||||||
Common Stocks – (continued) | ||||||||||
Specialty Retail – 3.2% | ||||||||||
27,900 | Abercrombie & Fitch Co. | $ | 1,498,230 | |||||||
159,700 | AutoNation, Inc.* | 3,118,941 | ||||||||
50,900 | Barnes & Noble, Inc.* | 1,738,744 | ||||||||
131,923 | Circuit City Stores, Inc. | 2,061,956 | ||||||||
45,800 | Limited Brands, Inc. | 1,089,124 | ||||||||
14,200 | The Home Depot, Inc. | 568,284 | ||||||||
51,000 | Toys “R” Us, Inc.* | 1,166,370 | ||||||||
11,241,649 | ||||||||||
Textiles & Apparel – 1.1% | ||||||||||
69,800 | Coach, Inc.* | 3,875,994 | ||||||||
Tobacco – 0.5% | ||||||||||
31,700 | UST, Inc. | 1,732,405 | ||||||||
Wireless Telecommunication Services – 0.2% | ||||||||||
9,400 | Telephone & Data Systems, Inc. | 822,500 | ||||||||
TOTAL COMMON STOCKS | ||||||||||
(Cost $317,679,050) | $ | 344,852,621 | ||||||||
Principal | Interest | Maturity | ||||||||||||||
Amount | Rate | Date | Value | |||||||||||||
Repurchase Agreement(b) – 1.6% | ||||||||||||||||
Joint Repurchase Agreement Account II | ||||||||||||||||
$ | 5,500,000 | 2.64 | % | 03/01/2005 | $ | 5,500,000 | ||||||||||
Maturity Value: $5,500,404 (Cost $5,500,000) | ||||||||||||||||
TOTAL INVESTMENTS BEFORE SECURITIES LENDING COLLATERAL | ||||||||||||||||
(Cost $323,179,050) | $ | 350,352,621 | ||||||||||||||
Shares | Description | Value | ||||||||
Securities Lending Collateral – 1.0% | ||||||||||
3,339,025 | Boston Global Investment Trust – Enhanced Portfolio | $ | 3,339,025 | |||||||
(Cost $3,339,025) | ||||||||||
TOTAL INVESTMENTS — 100.8% | ||||||||||
(Cost $326,518,075) | $ | 353,691,646 | ||||||||
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. |
24
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 $5,500,000 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. |
Futures Contracts — At February 28, 2005, the following futures contracts were open:
Number of | Settlement | Market | Unrealized | |||||||||||
Type | Contracts Long | Month | Value | Gain | ||||||||||
S&P Mini 500 Index | 97 | March 2005 | $ | 5,839,885 | $ | 14,150 | ||||||||
25
Statement of Investments
Shares | Description | Value | ||||||||
Common Stocks – 98.4% | ||||||||||
Aerospace & Defense – 1.1% | ||||||||||
85,700 | AAR Corp.* | $ | 955,555 | |||||||
11,300 | Curtiss-Wright Corp. | 627,715 | ||||||||
32,900 | Innovative Solutions & Support, Inc.* | 983,052 | ||||||||
35,300 | Kaman Corp. | 421,129 | ||||||||
9,200 | Moog, Inc.* | 410,320 | ||||||||
24,300 | Triumph Group, Inc.* | 903,231 | ||||||||
28,500 | United Industrial Corp. | 940,500 | ||||||||
5,241,502 | ||||||||||
Air Freight & Couriers – 0.2% | ||||||||||
13,000 | Hub Group, Inc.* | 755,950 | ||||||||
Airlines – 0.7% | ||||||||||
121,300 | Alaska Air Group, Inc.* | 3,440,068 | ||||||||
Auto Components – 0.4% | ||||||||||
29,100 | ArvinMeritor, Inc. | 490,626 | ||||||||
21,800 | Midas, Inc.* | 466,302 | ||||||||
36,800 | Tenneco Automotive, Inc.* | 558,992 | ||||||||
55,400 | Visteon Corp.* | 371,734 | ||||||||
1,887,654 | ||||||||||
Banks – 7.4% | ||||||||||
124,400 | Bank of Hawaii Corp. | 5,662,688 | ||||||||
12,000 | Citizens First Bancorp, Inc. | 291,600 | ||||||||
13,100 | City National Corp. | 896,695 | ||||||||
23,400 | Commercial Federal Corp. | 639,522 | ||||||||
37,800 | Corus Bankshares, Inc. | 1,869,210 | ||||||||
47,900 | East West Bancorp, Inc. | 1,722,484 | ||||||||
22,700 | First Charter Corp. | 535,720 | ||||||||
8,700 | First Citizens BancShares, Inc. | 1,285,773 | ||||||||
19,350 | Flushing Financial Corp. | 348,300 | ||||||||
49,500 | Greater Bay Bancorp | 1,253,835 | ||||||||
21,400 | Hibernia Corp. | 549,338 | ||||||||
9,100 | IBERIABANK Corp. | 535,444 | ||||||||
24,800 | Irwin Financial Corp. | 563,456 | ||||||||
17,845 | MB Financial, Inc. | 724,685 | ||||||||
21,100 | Nara Bancorp, Inc. | 411,872 | ||||||||
60,963 | Oriental Financial Group, Inc. | 1,629,541 | ||||||||
82,140 | PFF Bancorp, Inc. | 3,458,094 | ||||||||
49,850 | R&G Financial Corp. Class B | 1,810,552 | ||||||||
157,000 | Silicon Valley Bancshares* | 6,879,740 | ||||||||
43,800 | Southwest Bancorporation of Texas, Inc. | 834,390 | ||||||||
72,800 | The Colonial BancGroup, Inc. | 1,482,936 | ||||||||
46,300 | United Community Financial Corp. | 518,560 | ||||||||
44,100 | Wilshire Bancorp, Inc.* | 604,126 | ||||||||
34,508,561 | ||||||||||
Biotechnology – 5.1% | ||||||||||
89,900 | Applera Corp. – Celera Genomics Group* | 998,789 | ||||||||
8,700 | Cephalon, Inc.* | 426,909 | ||||||||
78,100 | Charles River Laboratories International, Inc.* | 3,600,410 | ||||||||
58,400 | Connetics Corp.* | 1,445,400 | ||||||||
49,600 | deCODE genetics, Inc.* | 320,416 | ||||||||
179,800 | Enzon Pharmaceuticals, Inc.* | 1,932,850 | ||||||||
100,100 | Gen-Probe, Inc.* | 5,096,091 | ||||||||
102,400 | Kos Pharmaceuticals, Inc.*(a) | 3,403,776 | ||||||||
20,100 | Myriad Genetics, Inc.* | 435,567 | ||||||||
76,500 | Nabi Biopharmaceuticals* | 971,550 | ||||||||
12,400 | Techne Corp.* | 422,716 | ||||||||
106,300 | United Therapeutics Corp.* | 4,829,209 | ||||||||
23,883,683 | ||||||||||
Building Products – 2.8% | ||||||||||
110,300 | Griffon Corp.* | 2,536,900 | ||||||||
12,000 | NCI Building Systems, Inc.* | 448,560 | ||||||||
208,700 | USG Corp.*(a) | 6,592,833 | ||||||||
92,500 | Watsco, Inc. | 3,529,800 | ||||||||
13,108,093 | ||||||||||
Chemicals – 0.9% | ||||||||||
24,500 | A. Schulman, Inc. | 442,470 | ||||||||
47,700 | Arch Chemicals, Inc. | 1,363,266 | ||||||||
41,300 | Georgia Gulf Corp. | 2,181,053 | ||||||||
3,986,789 | ||||||||||
Commercial Services & Supplies – 4.2% | ||||||||||
53,400 | Administaff, Inc. | 715,560 | ||||||||
27,200 | Aleris International, Inc.* | 545,904 | ||||||||
131,600 | Arbitron, Inc. | 5,336,380 | ||||||||
28,752 | Casella Waste Systems, Inc.* | 429,842 | ||||||||
18,800 | CheckFree Corp.* | 724,552 | ||||||||
46,500 | Coinstar, Inc.* | 1,088,565 | ||||||||
42,700 | CSG Systems International, Inc.* | 730,170 | ||||||||
66,300 | eFunds Corp.* | 1,474,512 | ||||||||
47,400 | Imagistics International, Inc.* | 1,604,490 | ||||||||
9,000 | ITT Educational Services, Inc.* | 438,210 | ||||||||
36,855 | John H. Harland Co. | 1,352,579 | ||||||||
41,600 | Korn/Ferry International* | 797,888 | ||||||||
23,327 | NCO Group, Inc.* | 469,106 | ||||||||
61,700 | Pre-Paid Legal Services, Inc.(a) | 2,159,500 | ||||||||
146,100 | Spherion Corp.* | 1,139,580 | ||||||||
33,300 | The Standard Register Co. | 452,547 | ||||||||
19,459,385 | ||||||||||
Communications Equipment – 1.6% | ||||||||||
40,100 | Aspect Communications Corp.* | 437,090 | ||||||||
83,400 | Audiovox Corp.* | 1,243,494 | ||||||||
59,100 | C-COR.net Corp.* | 447,978 | ||||||||
306,900 | CommScope, Inc.*(a) | 4,646,466 | ||||||||
7,400 | Harris Corp. | 493,580 | ||||||||
7,268,608 | ||||||||||
Computers & Peripherals – 1.9% | ||||||||||
204,300 | InFocus Corp.* | 1,307,520 | ||||||||
65,300 | Intergraph Corp.* | 1,943,981 | ||||||||
104,800 | Komag, Inc.* | 2,111,720 | ||||||||
44,800 | SBS Technologies, Inc.* | 542,976 | ||||||||
118,200 | Synaptics, Inc.* | 2,823,798 | ||||||||
8,729,995 | ||||||||||
26
Shares | Description | Value | ||||||||
Common Stocks – (continued) | ||||||||||
Constructions & Engineering – 0.4% | ||||||||||
42,700 | Washington Group International, Inc.* | $ | 1,868,125 | |||||||
Construction Materials – 0.4% | ||||||||||
24,200 | Texas Industries, Inc. | 1,614,140 | ||||||||
Distributors – 1.5% | ||||||||||
145,000 | Handleman Co. | 2,988,450 | ||||||||
109,600 | WESCO International, Inc.* | 3,937,928 | ||||||||
6,926,378 | ||||||||||
Diversified Financials – 2.0% | ||||||||||
121,900 | AmeriCredit Corp.* | 2,871,964 | ||||||||
26,100 | Cash America International, Inc. | 757,161 | ||||||||
75,000 | CompuCredit Corp.* | 2,244,000 | ||||||||
31,700 | Credit Acceptance Corp.* | 724,345 | ||||||||
19,200 | Jackson Hewitt Tax Services, Inc. | 398,784 | ||||||||
33,100 | Nuveen Investments | 1,350,480 | ||||||||
21,000 | Portfolio Recovery Associates, Inc.* | 792,540 | ||||||||
9,139,274 | ||||||||||
Diversified Telecommunication Services – 0.4% | ||||||||||
29,800 | Commonwealth Telephone Enterprises, Inc.* | 1,418,480 | ||||||||
82,600 | Time Warner Telecom, Inc.* | 332,878 | ||||||||
1,751,358 | ||||||||||
Electric Utilities – 1.7% | ||||||||||
44,900 | NRG Energy, Inc.* | 1,729,099 | ||||||||
46,750 | PNM Resources, Inc. | 1,226,720 | ||||||||
512,400 | Sierra Pacific Resources*(a) | 5,113,752 | ||||||||
8,069,571 | ||||||||||
Electrical Equipment – 1.6% | ||||||||||
21,600 | Acuity Brands, Inc. | 597,240 | ||||||||
29,100 | Brady Corp. | 1,007,442 | ||||||||
10,300 | Energizer Holdings, Inc.* | 610,069 | ||||||||
16,100 | II-VI, Inc.* | 628,061 | ||||||||
71,400 | Paxar Corp.* | 1,672,902 | ||||||||
22,200 | Regal Beloit Corp. | 684,648 | ||||||||
13,500 | The Genlyte Group, Inc.* | 1,212,570 | ||||||||
11,000 | Woodward Governor Co. | 805,090 | ||||||||
7,218,022 | ||||||||||
Electronic Equipment & Instruments – 4.4% | ||||||||||
182,700 | Anixter International, Inc.* | 6,858,558 | ||||||||
29,700 | BEI Technologies, Inc. | 814,671 | ||||||||
50,300 | Coherent, Inc.* | 1,526,605 | ||||||||
59,300 | Exar Corp.* | 837,909 | ||||||||
99,200 | Ingram Micro, Inc.* | 1,777,664 | ||||||||
34,900 | Littelfuse, Inc.* | 1,134,948 | ||||||||
49,700 | Methode Electronics, Inc. | 556,143 | ||||||||
37,700 | Plexus Corp.* | 399,620 | ||||||||
14,900 | Rofin-Sinar Technologies, Inc.* | 546,085 | ||||||||
227,400 | Taser International, Inc.*(a) | 2,958,474 | ||||||||
88,500 | Teledyne Technologies, Inc.* | 2,706,330 | ||||||||
38,400 | TTM Technologies, Inc.* | 413,568 | ||||||||
20,530,575 | ||||||||||
Energy Equipment & Services – 3.5% | ||||||||||
26,800 | Cal Dive International, Inc.* | 1,360,904 | ||||||||
38,000 | Dril-Quip, Inc.* | 1,178,000 | ||||||||
19,400 | Hornbeck Offshore Services, Inc.* | 449,498 | ||||||||
25,600 | RPC, Inc. | 668,160 | ||||||||
13,700 | SEACOR Holdings, Inc.* | 862,415 | ||||||||
42,400 | Superior Energy Services, Inc.* | 813,232 | ||||||||
12,800 | Unit Corp.* | 585,984 | ||||||||
94,900 | Universal Compression Holdings, Inc.* | 3,606,200 | ||||||||
253,500 | Veritas DGC, Inc.* | 6,874,920 | ||||||||
16,399,313 | ||||||||||
Food & Drug Retailing – 2.2% | ||||||||||
59,850 | Flowers Foods, Inc. | 1,795,500 | ||||||||
140,700 | Longs Drug Stores Corp. | 3,831,261 | ||||||||
77,100 | Pathmark Stores, Inc.* | 383,187 | ||||||||
375,600 | Terra Industries, Inc.*(a) | 3,072,408 | ||||||||
90,700 | The Great Atlantic & Pacific Tea Co., Inc.*(a) | 1,008,584 | ||||||||
10,090,940 | ||||||||||
Food Products – 2.2% | ||||||||||
52,000 | Corn Products International, Inc. | 1,454,440 | ||||||||
116,100 | Pilgrim’s Pride Corp.(a) | 4,409,478 | ||||||||
102,600 | USANA Health Sciences, Inc.*(a) | 4,567,752 | ||||||||
10,431,670 | ||||||||||
Gas Utilities – 0.2% | ||||||||||
7,900 | Energen Corp. | 509,550 | ||||||||
18,600 | WGL Holdings, Inc. | 571,020 | ||||||||
1,080,570 | ||||||||||
Healthcare Equipment & Supplies – 3.9% | ||||||||||
11,100 | Advanced Medical Optics, Inc.* | 421,245 | ||||||||
33,400 | American Medical Systems Holdings, Inc.* | 1,322,640 | ||||||||
38,400 | Applera Corp. – Applied Biosystems Group | 788,736 | ||||||||
10,300 | Bio-Rad Laboratories, Inc.* | 503,773 | ||||||||
23,100 | Biosite, Inc.*(a) | 1,338,414 | ||||||||
19,100 | Cytyc Corp.* | 435,480 | ||||||||
36,400 | Dade Behring Holdings, Inc.* | 2,282,644 | ||||||||
10,500 | Edwards Lifesciences Corp.* | 451,605 | ||||||||
70,800 | Haemonetics Corp.* | 2,936,784 | ||||||||
108,500 | Immucor, Inc.* | 3,222,993 | ||||||||
14,300 | Kensey Nash Corp.*(a) | 463,177 | ||||||||
61,800 | Molecular Devices Corp.* | 1,283,586 | ||||||||
28,600 | Noven Pharmaceuticals, Inc.* | 472,472 | ||||||||
28,345 | Nutraceutical International Corp.* | 456,921 | ||||||||
19,100 | Ventana Medical Systems, Inc.* | 1,284,093 | ||||||||
26,100 | Viasys Healthcare, Inc.* | 540,009 | ||||||||
18,204,572 | ||||||||||
Healthcare Providers & Services – 3.8% | ||||||||||
43,000 | Apria Healthcare Group, Inc.* | 1,395,780 | ||||||||
44,800 | Centene Corp.* | 1,494,528 | ||||||||
116,300 | First Horizon Pharmaceutical Corp.* | 1,911,972 |
27
Shares | Description | Value | ||||||||
Common Stocks – (continued) | ||||||||||
Healthcare Providers & Services – (continued) | ||||||||||
12,900 | Genesis HealthCare Corp.* | $ | 531,222 | |||||||
139,300 | Kindred Healthcare, Inc.* | 4,555,110 | ||||||||
58,800 | PacifiCare Health Systems, Inc.* | 3,732,624 | ||||||||
57,930 | PSS World Medical, Inc.* | 704,429 | ||||||||
37,800 | Sierra Health Services, Inc.* | 2,326,968 | ||||||||
166,200 | Stewart Enterprises, Inc.* | 1,053,708 | ||||||||
17,706,341 | ||||||||||
Hotels, Restaurants & Leisure – 3.4% | ||||||||||
32,600 | Aztar Corp.* | 968,546 | ||||||||
81,400 | CEC Entertainment, Inc.* | 3,150,180 | ||||||||
65,900 | Choice Hotels International, Inc. | 3,896,667 | ||||||||
160,400 | CKE Restaurants, Inc.* | 2,476,576 | ||||||||
18,500 | GTECH Holdings Corp. | 431,975 | ||||||||
17,100 | Jack in the Box, Inc.* | 613,890 | ||||||||
70,100 | Landry’s Restaurants, Inc. | 2,029,395 | ||||||||
28,888 | Lone Star Steakhouse & Saloon, Inc. | 768,421 | ||||||||
48,700 | Papa John’s International, Inc.*(a) | 1,674,793 | ||||||||
16,010,443 | ||||||||||
Household Durables – 2.5% | ||||||||||
217,200 | American Greetings Corp. | 5,349,636 | ||||||||
101,400 | Applica, Inc.* | 524,238 | ||||||||
60,500 | Kimball International, Inc. Class B | 864,545 | ||||||||
46,400 | The Toro Co. | 4,023,344 | ||||||||
20,500 | The Yankee Candle Co., Inc. | 634,680 | ||||||||
16,300 | Universal Electronics, Inc.* | 277,426 | ||||||||
11,673,869 | ||||||||||
Insurance – 3.5% | ||||||||||
23,300 | AmerUs Group Co. | 1,121,429 | ||||||||
21,900 | Argonaut Group, Inc.* | 514,431 | ||||||||
13,681 | FBL Financial Group, Inc. | 374,175 | ||||||||
124,400 | LandAmerica Financial Group, Inc. | 6,809,656 | ||||||||
21,400 | Reinsurance Group of America, Inc. | 976,910 | ||||||||
120,900 | Stewart Information Services Corp. | 4,834,791 | ||||||||
33,200 | Zenith National Insurance Corp. | 1,680,916 | ||||||||
16,312,308 | ||||||||||
Internet & Catalog Retail – 0.6% | ||||||||||
87,050 | Coldwater Creek, Inc.*(a) | 2,412,155 | ||||||||
30,400 | J. Jill Group, Inc.* | 439,280 | ||||||||
2,851,435 | ||||||||||
Internet Software & Services – 3.7% | ||||||||||
34,700 | Digital River, Inc.* | 1,045,511 | ||||||||
60,700 | DoubleClick, Inc.* | 472,853 | ||||||||
52,700 | FileNET Corp.* | 1,234,234 | ||||||||
141,200 | InfoSpace, Inc.* | 5,854,152 | ||||||||
42,000 | McAfee, Inc.* | 971,460 | ||||||||
50,100 | S1 Corp.* | 384,768 | ||||||||
122,600 | Websense, Inc.* | 7,337,610 | ||||||||
17,300,588 | ||||||||||
IT Consulting & Services – 0.7% | ||||||||||
54,000 | Agilysys, Inc. | 1,018,440 | ||||||||
106,300 | BearingPoint, Inc.* | 835,518 | ||||||||
81,300 | Keane, Inc.* | 1,076,412 | ||||||||
20,500 | TNS, Inc.* | 403,850 | ||||||||
3,334,220 | ||||||||||
Leisure Equipment & Products – 0.8% | ||||||||||
49,800 | Polaris Industries, Inc. | 3,475,542 | ||||||||
Machinery – 1.6% | ||||||||||
41,500 | Blount International, Inc.* | 710,895 | ||||||||
14,800 | Ceradyne, Inc.* | 445,480 | ||||||||
35,600 | NACCO Industries, Inc. | 3,958,720 | ||||||||
11,300 | Reliance Steel & Aluminum Corp. | 516,410 | ||||||||
56,900 | Stewart & Stevenson Services, Inc. | 1,218,798 | ||||||||
8,300 | The Middleby Corp.* | 447,370 | ||||||||
7,297,673 | ||||||||||
Marine – 0.2% | ||||||||||
12,600 | Overseas Shipholding Group, Inc. | 820,512 | ||||||||
Media – 0.8% | ||||||||||
42,000 | Cumulus Media, Inc.* | 594,300 | ||||||||
47,822 | Hearst-Argyle Television, Inc. | 1,175,943 | ||||||||
57,600 | Insight Communications Co., Inc.* | 547,200 | ||||||||
23,000 | Journal Communications, Inc. | 379,040 | ||||||||
86 | Pulitzer, Inc. | 5,476 | ||||||||
15,500 | The Liberty Corp. | 678,125 | ||||||||
34,400 | World Wrestling Entertainment, Inc. | 435,504 | ||||||||
3,815,588 | ||||||||||
Metals & Mining – 4.3% | ||||||||||
47,200 | Carpenter Technology Corp. | 3,191,664 | ||||||||
188,000 | Commercial Metals Co. | 6,542,400 | ||||||||
56,820 | Metals USA, Inc.* | 1,384,703 | ||||||||
69,150 | Quanex Corp. | 4,069,478 | ||||||||
31,800 | RTI International Metals, Inc.* | 861,780 | ||||||||
101,800 | Ryerson Tull, Inc.(a) | 1,460,830 | ||||||||
9,400 | Southern Peru Copper Corp.(a) | 591,354 | ||||||||
119,500 | USEC, Inc. | 1,768,600 | ||||||||
19,870,809 | ||||||||||
Multi-Utilities – 0.4% | ||||||||||
92,400 | Avista Corp. | 1,685,376 | ||||||||
Multiline Retail – 1.3% | ||||||||||
49,500 | Dillard’s, Inc. | 1,153,350 | ||||||||
199,700 | ShopKo Stores, Inc.* | 3,496,747 | ||||||||
71,500 | Stein Mart, Inc.* | 1,487,915 | ||||||||
6,138,012 | ||||||||||
Oil & Gas – 3.6% | ||||||||||
88,400 | Cimarex Energy Co.*(a) | 3,595,228 | ||||||||
33,600 | Giant Industries, Inc.* | 1,063,776 | ||||||||
34,100 | Petroleum Development Corp.* | 1,494,944 | ||||||||
49,500 | Stone Energy Corp.* | 2,486,385 | ||||||||
38,900 | Swift Energy Co.* | 1,057,691 |
28
Shares | Description | Value | ||||||||
Common Stocks – (continued) | ||||||||||
Oil & Gas – (continued) | ||||||||||
13,700 | Tesoro Petroleum Corp.* | $ | 505,941 | |||||||
114,700 | The Houston Exploration Co.* | 6,641,130 | ||||||||
16,845,095 | ||||||||||
Paper & Forest Products – 0.1% | ||||||||||
28,200 | Chesapeake Corp. | 604,890 | ||||||||
Personal Products – 0.2% | ||||||||||
50,000 | Nu Skin Enterprises, Inc. | 1,116,500 | ||||||||
Pharmaceuticals – 0.4% | ||||||||||
79,600 | Alpharma,Inc. | 1,044,352 | ||||||||
42,868 | Perrigo Co. | 753,191 | ||||||||
1,797,543 | ||||||||||
Real Estate – 7.9% | ||||||||||
80,600 | American Home Mortgage Investment Corp. | 2,510,690 | ||||||||
44,400 | Annaly Mortgage Management, Inc.(a) | 850,260 | ||||||||
65,700 | Bedford Property Investors, Inc. | 1,531,467 | ||||||||
24,200 | Brookfield Homes Corp. | 1,011,802 | ||||||||
114,200 | Commercial Net Lease Realty, Inc. | 2,154,954 | ||||||||
11,700 | Corrections Corp. of America* | 440,388 | ||||||||
86,600 | Cousins Properties, Inc. | 2,349,458 | ||||||||
41,700 | FelCor Lodging Trust, Inc.* | 522,918 | ||||||||
70,700 | Glenborough Realty Trust, Inc. | 1,394,911 | ||||||||
22,200 | Heritage Property Investment Trust | 680,430 | ||||||||
17,300 | Highwoods Properties, Inc. | 446,167 | ||||||||
247,000 | HRPT Properties Trust | 3,131,960 | ||||||||
27,500 | Jones Lang Lasalle, Inc.* | 1,181,675 | ||||||||
312,700 | La Quinta Corp.* | 2,892,475 | ||||||||
224,600 | MFA Mortgage Investments, Inc. | 1,897,870 | ||||||||
76,800 | National Health Investors, Inc. | 1,995,264 | ||||||||
65,132 | New Century Financial Corp. | 3,303,495 | ||||||||
29,500 | Newcastle Investment Corp. | 909,780 | ||||||||
29,000 | PS Business Parks, Inc. | 1,203,500 | ||||||||
40,100 | Realty Income Corp. | 943,152 | ||||||||
46,900 | Saxon Capital, Inc. | 842,324 | ||||||||
193,300 | Senior Housing Properties Trust | 3,463,936 | ||||||||
23,700 | SL Green Realty Corp. | 1,336,206 | ||||||||
36,995,082 | ||||||||||
Road & Rail – 0.7% | ||||||||||
70,900 | Dollar Thrifty Automotive Group, Inc.* | 2,185,847 | ||||||||
19,000 | GATX Corp. | 569,620 | ||||||||
21,000 | Laidlaw International, Inc.* | 483,000 | ||||||||
3,238,467 | ||||||||||
Semiconductor Equipment & Products – 1.8% | ||||||||||
161,200 | Adaptec, Inc.* | 876,928 | ||||||||
170,800 | Cirrus Logic, Inc.* | 799,344 | ||||||||
24,100 | Cohu, Inc. | 439,343 | ||||||||
103,800 | Cree, Inc.* | 2,441,376 | ||||||||
16,900 | Diodes, Inc.* | 434,499 | ||||||||
82,100 | MEMC Electronic Materials, Inc.* | 1,065,658 | ||||||||
25,800 | Photronics, Inc.* | 479,364 | ||||||||
169,500 | Silicon Image, Inc.* | 1,952,640 | ||||||||
8,489,152 | ||||||||||
Software – 2.1% | ||||||||||
49,400 | ANSYS, Inc.* | 1,776,424 | ||||||||
69,100 | Aspen Technology, Inc.*(a) | 366,230 | ||||||||
115,400 | Entrust, Inc.* | 466,216 | ||||||||
8,800 | Kronos, Inc.* | 491,392 | ||||||||
29,800 | Quest Software, Inc.* | 404,386 | ||||||||
226,400 | SeaChange International, Inc.*(a) | 3,135,640 | ||||||||
55,300 | SS&C Technologies, Inc. | 1,333,836 | ||||||||
39,800 | TIBCO Software, Inc.* | 388,448 | ||||||||
62,889 | Tradestation Group, Inc.*(a) | 422,614 | ||||||||
40,500 | Witness Systems, Inc.* | 757,755 | ||||||||
9,542,941 | ||||||||||
Specialty Retail – 2.4% | ||||||||||
16,800 | Building Materials Holding Corp. | 775,152 | ||||||||
71,400 | Charming Shoppes, Inc.* | 550,494 | ||||||||
44,057 | Circuit City Stores, Inc. | 688,611 | ||||||||
92,500 | Movie Gallery, Inc. | 2,112,700 | ||||||||
99,100 | Payless ShoeSource, Inc.* | 1,161,452 | ||||||||
118,800 | Stage Stores, Inc.* | 4,580,928 | ||||||||
19,400 | The Men’s Wearhouse, Inc.* | 682,298 | ||||||||
41,300 | United Rentals, Inc.* | 781,396 | ||||||||
11,333,031 | ||||||||||
Textiles & Apparel – 0.5% | ||||||||||
31,000 | Guess?, Inc.* | 456,940 | ||||||||
93,200 | Skechers U.S.A., Inc.* | 1,424,096 | ||||||||
25,950 | Wolverine World Wide, Inc. | 577,388 | ||||||||
2,458,424 | ||||||||||
Wireless Telecommunication Services – 0.4% | ||||||||||
35,900 | United States Cellular Corp.* | 1,795,000 | ||||||||
TOTAL COMMON STOCKS | ||||||||||
(Cost $401,849,885) | $ | 458,103,637 | ||||||||
Principal | Interest | Maturity | ||||||||||||||
Amount | Rate | Date | Value | |||||||||||||
Repurchase Agreement(b) – 0.6% | ||||||||||||||||
Joint Repurchase Agreement Account II | ||||||||||||||||
$ | 2,800,000 | 2.64 | % | 03/01/2005 | $ | 2,800,000 | ||||||||||
Maturity Value: $2,800,206 (Cost $2,800,000) | ||||||||||||||||
TOTAL INVESTMENTS BEFORE SECURITIES LENDING COLLATERAL | ||||||||||||||||
(Cost $404,649,885) | $ | 460,903,637 | ||||||||||||||
29
Shares | Description | Value | ||||||||
Securities Lending Collateral – 9.9% | ||||||||||
46,208,725 | Boston Global Investment Trust – Enhanced Portfolio | $ | 46,208,725 | |||||||
(Cost $46,208,725) | ||||||||||
TOTAL INVESTMENTS – 108.9% | ||||||||||
(Cost $450,858,610) | $ | 507,112,362 | ||||||||
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. |
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 $2,800,000 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. |
Futures Contracts — At February 28, 2005, the following futures contracts were open:
Number of | Settlement | Market | Unrealized | |||||||||||
Type | Contracts Long | Month | Value | Gain | ||||||||||
Russell 2000 Index | 97 | March 2005 | $ | 6,156,105 | $ | 5,869 | ||||||||
30
Statement of Investments
Shares | Description | Value | ||||||||
Common Stocks – 95.8% | ||||||||||
Aerospace & Defense – 3.3% | ||||||||||
136,800 | Northrop Grumman Corp. | $ | 7,236,720 | |||||||
58,000 | Raytheon Co. | 2,217,920 | ||||||||
74,700 | The Boeing Co. | 4,106,259 | ||||||||
13,560,899 | ||||||||||
Air Freight & Couriers – 0.5% | ||||||||||
21,700 | FedEx Corp. | 2,121,826 | ||||||||
Airlines – 0.1% | ||||||||||
13,200 | Alaska Air Group, Inc.* | 374,352 | ||||||||
Automobiles – 1.7% | ||||||||||
558,600 | Ford Motor Co.(a) | 7,066,290 | ||||||||
Banks – 9.6% | ||||||||||
392,998 | Bank of America Corp. | 18,333,357 | ||||||||
106,800 | Bank of Hawaii Corp. | 4,861,536 | ||||||||
5,800 | Golden West Financial Corp. | 358,962 | ||||||||
53,200 | KeyCorp | 1,755,600 | ||||||||
62,500 | Regions Financial Corp. | 2,016,250 | ||||||||
12,300 | U.S. Bancorp. | 365,925 | ||||||||
78,700 | UnionBanCal Corp. | 4,871,530 | ||||||||
88,100 | Wachovia Corp. | 4,670,181 | ||||||||
39,600 | Washington Mutual, Inc. | 1,661,616 | ||||||||
12,500 | Wells Fargo & Co. | 742,250 | ||||||||
39,637,207 | ||||||||||
Beverages – 0.2% | ||||||||||
11,900 | Molson Coors Brewing Co. Class B(a) | 827,407 | ||||||||
Biotechnology – 1.0% | ||||||||||
92,400 | Biogen Idec, Inc.* | 3,571,260 | ||||||||
11,500 | ImClone Systems, Inc.* | 508,990 | ||||||||
4,080,250 | ||||||||||
Chemicals – 2.5% | ||||||||||
125,800 | Monsanto Co. | 7,394,524 | ||||||||
63,800 | The Lubrizol Corp. | 2,719,794 | ||||||||
10,114,318 | ||||||||||
Commercial Services & Supplies – 1.6% | ||||||||||
248,600 | Cendant Corp. | 5,499,032 | ||||||||
24,300 | Republic Services, Inc. | 770,553 | ||||||||
9,200 | The Brink’s Co. | 318,872 | ||||||||
6,588,457 | ||||||||||
Communications Equipment – 0.7% | ||||||||||
186,900 | Motorola, Inc. | 2,926,854 | ||||||||
Computers & Peripherals – 2.1% | ||||||||||
147,800 | Dell, Inc.* | 5,925,302 | ||||||||
29,400 | International Business Machines Corp. | 2,721,852 | ||||||||
8,647,154 | ||||||||||
Construction Materials – 0.1% | ||||||||||
6,400 | Lafarge North America, Inc. | 393,216 | ||||||||
Diversified Financials – 11.9% | ||||||||||
53,900 | AmeriCredit Corp.* | $ | 1,269,884 | |||||||
198,000 | Citigroup, Inc. | 9,448,560 | ||||||||
44,100 | E-Trade Financial Corp.* | 585,207 | ||||||||
110,200 | Freddie Mac | 6,832,400 | ||||||||
377,500 | J.P. Morgan Chase & Co. | 13,797,625 | ||||||||
123,300 | Merrill Lynch & Co., Inc. | 7,222,914 | ||||||||
69,900 | Moody’s Corp. | 5,865,309 | ||||||||
12,900 | Principal Financial, Inc. | 503,358 | ||||||||
37,000 | The Bear Stearns Companies, Inc. | 3,681,500 | ||||||||
49,206,757 | ||||||||||
Diversified Telecommunication Services – 5.3% | ||||||||||
27,400 | ALLTEL Corp. | 1,567,280 | ||||||||
48,200 | AT&T Corp. | 936,526 | ||||||||
172,700 | CenturyTel, Inc. | 5,809,628 | ||||||||
47,800 | MCI, Inc.(a) | 1,087,450 | ||||||||
71,800 | Sprint Corp. | 1,700,224 | ||||||||
295,278 | Verizon Communications, Inc. | 10,621,150 | ||||||||
21,722,258 | ||||||||||
Electric Utilities – 4.9% | ||||||||||
18,200 | Constellation Energy Group, Inc. | 936,754 | ||||||||
207,100 | Edison International | 6,726,608 | ||||||||
17,500 | Energy East Corp. | 450,100 | ||||||||
154,500 | Northeast Utilities | 2,884,515 | ||||||||
58,900 | NRG Energy, Inc.* | 2,268,239 | ||||||||
171,900 | PG&E Corp. | 6,047,442 | ||||||||
10,200 | TXU Corp. | 777,750 | ||||||||
20,091,408 | ||||||||||
Electrical Equipment – 0.5% | ||||||||||
12,400 | Energizer Holdings, Inc.* | 734,452 | ||||||||
23,900 | Rockwell Automation, Inc. | 1,485,385 | ||||||||
2,219,837 | ||||||||||
Electronic Equipment & Instruments – 0.1% | ||||||||||
28,500 | Ingram Micro, Inc.* | 510,720 | ||||||||
Food & Drug Retailing – 0.1% | ||||||||||
11,500 | SUPERVALU, Inc. | 365,355 | ||||||||
Food Products – 3.2% | ||||||||||
195,300 | Archer-Daniels-Midland Co. | 4,706,730 | ||||||||
62,700 | Pilgrim’s Pride Corp. | 2,381,346 | ||||||||
350,192 | Tyson Foods, Inc. | 5,960,268 | ||||||||
13,048,344 | ||||||||||
Healthcare Providers & Services – 0.1% | ||||||||||
12,500 | Accredo Health, Inc.* | 532,750 | ||||||||
Hotels, Restaurants & Leisure – 0.2% | ||||||||||
27,800 | GTECH Holdings Corp. | 649,130 | ||||||||
Household Durables – 1.5% | ||||||||||
55,800 | Harman International Industries, Inc. | 6,259,086 | ||||||||
31
Shares | Description | Value | ||||||||
Common Stocks – (continued) | ||||||||||
Industrial Conglomerates – 4.0% | ||||||||||
448,700 | General Electric Co. | $ | 15,794,240 | |||||||
9,100 | Reynolds American, Inc. | 745,745 | ||||||||
16,539,985 | ||||||||||
Insurance – 6.7% | ||||||||||
23,500 | Ambac Financial Group, Inc. | 1,827,830 | ||||||||
9,700 | AmerUs Group Co. | 466,861 | ||||||||
9,400 | Cincinnati Financial Corp. | 420,462 | ||||||||
12,900 | CNA Financial Corp.* | 371,133 | ||||||||
97,600 | Loews Corp. | 6,956,928 | ||||||||
106,200 | MBIA, Inc. | 6,223,320 | ||||||||
8,500 | MetLife, Inc. | 348,840 | ||||||||
8,800 | Nationwide Financial Services, Inc. | 323,840 | ||||||||
23,000 | Old Republic International Corp. | 551,770 | ||||||||
8,900 | Protective Life Corp. | 355,644 | ||||||||
141,800 | Prudential Financial, Inc. | 8,082,600 | ||||||||
30,700 | The Allstate Corp. | 1,647,976 | ||||||||
27,577,204 | ||||||||||
IT Consulting & Services – 0.2% | ||||||||||
15,600 | Computer Sciences Corp.* | 721,188 | ||||||||
Media – 5.1% | ||||||||||
16,600 | Catalina Marketing Corp. | 447,370 | ||||||||
62,000 | Hearst-Argyle Television, Inc. | 1,524,580 | ||||||||
409,000 | Liberty Media Corp.* | 4,147,260 | ||||||||
60,000 | Liberty Media International, Inc.* | 2,593,800 | ||||||||
185,900 | News Corp. | 3,093,376 | ||||||||
13,300 | The Walt Disney Co. | 371,602 | ||||||||
28,900 | Time Warner, Inc.* | 497,947 | ||||||||
240,200 | Viacom, Inc. Class B | 8,382,980 | ||||||||
21,058,915 | ||||||||||
Metals & Mining – 1.3% | ||||||||||
78,700 | Nucor Corp. | 4,906,158 | ||||||||
8,400 | Southern Peru Copper Corp.(a) | 528,444 | ||||||||
5,434,602 | ||||||||||
Multiline Retail – 0.5% | ||||||||||
41,400 | Dillard’s, Inc. | 964,620 | ||||||||
10,000 | Kmart Holding Corp.*(a) | 974,700 | ||||||||
1,939,320 | ||||||||||
Oil & Gas – 14.6% | ||||||||||
84,900 | Anadarko Petroleum Corp. | 6,525,414 | ||||||||
158,100 | Burlington Resources, Inc. | 7,846,503 | ||||||||
22,734 | ChevronTexaco Corp. | 1,411,327 | ||||||||
52,000 | ConocoPhillips | 5,766,280 | ||||||||
161,900 | Devon Energy Corp. | 7,575,301 | ||||||||
9,100 | Equitable Resources, Inc. | 540,085 | ||||||||
298,860 | Exxon Mobil Corp. | 18,920,826 | ||||||||
60,200 | Occidental Petroleum Corp. | 4,230,254 | ||||||||
30,500 | Premcor, Inc. | 1,673,840 | ||||||||
24,700 | Sunoco, Inc. | 2,447,770 | ||||||||
74,700 | XTO Energy, Inc. | 3,400,344 | ||||||||
60,337,944 | ||||||||||
Paper & Forest Products – 0.1% | ||||||||||
15,300 | Louisiana-Pacific Corp. | 401,931 | ||||||||
Pharmaceuticals – 2.9% | ||||||||||
8,000 | Abbott Laboratories | 367,920 | ||||||||
95,900 | Johnson & Johnson | 6,291,040 | ||||||||
204,400 | Pfizer, Inc. | 5,373,676 | ||||||||
12,032,636 | ||||||||||
Real Estate – 2.8% | ||||||||||
219,200 | Equity Office Properties Trust | 6,613,264 | ||||||||
32,000 | HRPT Properties Trust | 405,760 | ||||||||
39,100 | Plum Creek Timber Co., Inc. | 1,468,205 | ||||||||
59,500 | ProLogis | 2,365,720 | ||||||||
11,100 | SL Green Realty Corp. | 625,818 | ||||||||
11,478,767 | ||||||||||
Road & Rail – 2.1% | ||||||||||
95,900 | Burlington Northern Santa Fe Corp. | 4,820,893 | ||||||||
15,600 | J.B. Hunt Transportation Services, Inc. | 736,164 | ||||||||
88,600 | Norfolk Southern Corp. | 3,179,854 | ||||||||
8,736,911 | ||||||||||
Semiconductor Equipment & Products – 0.9% | ||||||||||
157,900 | Intel Corp. | 3,786,442 | ||||||||
Software – 1.1% | ||||||||||
152,000 | Autodesk, Inc. | 4,517,440 | ||||||||
Specialty Retail – 0.6% | ||||||||||
86,200 | AutoNation, Inc.* | 1,683,486 | ||||||||
19,208 | Circuit City Stores, Inc. | 300,221 | ||||||||
29,200 | Toys “R” Us, Inc.* | 667,804 | ||||||||
2,651,511 | ||||||||||
Tobacco – 1.3% | ||||||||||
33,700 | Altria Group, Inc. | 2,212,405 | ||||||||
54,400 | UST, Inc. | 2,972,960 | ||||||||
5,185,365 | ||||||||||
Wireless Telecommunication Services – 0.4% | ||||||||||
32,600 | United States Cellular Corp.* | 1,630,000 | ||||||||
TOTAL COMMON STOCKS | ||||||||||
(Cost $353,925,624) | $ | 394,974,036 | ||||||||
32
Principal | Interest | Maturity | ||||||||||||||
Amount | Rate | Date | Value | |||||||||||||
Repurchase Agreement(b) – 3.7% | ||||||||||||||||
Joint Repurchase Agreement Account II | ||||||||||||||||
$ | 15,300,000 | 2.64 | % | 03/01/2005 | $ | 15,300,000 | ||||||||||
Maturity Value: $15,301,124 | ||||||||||||||||
(Cost $15,300,000) | ||||||||||||||||
TOTAL INVESTMENTS BEFORE SECURITIES | ||||||||||||||||
LENDING COLLATERAL | ||||||||||||||||
(Cost $369,225,624) | $ | 410,274,036 | ||||||||||||||
Shares | Description | Value | ||||||||
Securities Lending Collateral – 1.8% | ||||||||||
7,245,675 | Boston Global Investment Trust – Enhanced Portfolio | $ | 7,245,675 | |||||||
(Cost $7,245,675) | ||||||||||
�� | ||||||||||
TOTAL INVESTMENTS – 101.3% | ||||||||||
(Cost $376,471,299) | $ | 417,519,711 | ||||||||
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. |
33
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 $15,300,000 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. |
Futures Contracts — At February 28, 2005, the following futures contracts were open:
Number of | Settlement | Unrealized | ||||||||||||
Type | Contracts Long | Month | Market Value | Gain | ||||||||||
S&P Mini 500 Index | 285 | March 2005 | $ | 17,158,425 | $ | 63,718 | ||||||||
34
Statement of Investments
Shares | Description | Value | ||||||||
Common Stocks – 96.6% | ||||||||||
Australia – 2.3% | ||||||||||
37,723 | Aristocrat Leisure Ltd.(a) (Leisure & Tourism) | $ | 321,126 | |||||||
5,600 | Australia & New Zealand Banking Group Ltd. (Banking) | 94,561 | ||||||||
543,559 | Axa Asia Pacific Holdings Ltd. (Insurance) | 1,838,992 | ||||||||
205,810 | BHP Billiton Ltd. (Energy Sources) | 3,152,403 | ||||||||
143,743 | BlueScope Steel Ltd. (Metals-Steel) | 1,100,982 | ||||||||
122,828 | Brambles Industries Ltd.(a) (Business & Public Services) | 771,814 | ||||||||
218,686 | Coles Myer Ltd. (Merchandising) | 1,655,257 | ||||||||
14,496 | Commonwealth Bank of Australia (Banking) | 415,231 | ||||||||
34,432 | CSR Ltd. (Building Materials & Components) | 65,715 | ||||||||
1,204,591 | Db RREEF Trust (Real Estate) | 1,213,844 | ||||||||
163,362 | General Property Trust (Real Estate) | 474,587 | ||||||||
288,776 | Insurance Australia Group Ltd. (Insurance) | 1,462,066 | ||||||||
78,255 | Lend Lease Corp., Ltd. (Real Estate) | 767,898 | ||||||||
21,566 | Qantas Airways Ltd. (Transportation – Airlines) | 61,930 | ||||||||
51,673 | Rinker Group Ltd. (Building Materials & Components) | 465,458 | ||||||||
152,536 | Santos Ltd. (Energy Sources) | 1,086,776 | ||||||||
53,823 | Suncorp-Metway Ltd. (Financial Services) | 804,326 | ||||||||
193,580 | Telstra Corp. Ltd. (Telecommunications) | 807,736 | ||||||||
134 | Westfield Group (Real Estate) | 1,787 | ||||||||
87,477 | Westpac Banking Corp. (Banking) | 1,321,277 | ||||||||
17,384 | Woolworths Ltd. (Merchandising) | 214,424 | ||||||||
18,098,190 | ||||||||||
Austria – 3.6% | ||||||||||
83,800 | Bank Austria Creditanstalt (Banking) | 8,168,955 | ||||||||
10,927 | Boehler-Uddeholm AG(a) (Metals-Steel) | 1,649,036 | ||||||||
17,787 | Erste Bank der oesterreichischen Sparkassen AG (Banking) | 971,325 | ||||||||
1,664 | Flughafen Wien AG (Business & Public Services) | 129,518 | ||||||||
417 | Mayr-Melnhof Karton AG (Forestry & Paper Products) | 74,233 | ||||||||
6,031 | Oesterreichische Elektrizitaetswirtschafts AG (Verbund) (Utilities – Electrical & Gas) | 1,435,410 | ||||||||
16,112 | OMV AG (Energy Sources) | 5,590,297 | ||||||||
221,782 | Telekom Austria AG (Telecommunications) | 4,411,685 | ||||||||
5,212 | VA Technologie AG* (Machinery & Engineering) | 435,217 | ||||||||
65,506 | voestalpine AG (Metals-Steel) | 5,464,591 | ||||||||
28,330,267 | ||||||||||
Belgium – 5.4% | ||||||||||
2,769 | Bekaert NV (Industrial Components) | 235,181 | ||||||||
6,102 | Compagnie Maritime Belge SA (Transportation – Shipping) | 236,219 | ||||||||
193,817 | Delhaize Group(a) (Merchandising) | 15,289,009 | ||||||||
47,106 | Dexia(a) (Banking) | 1,119,156 | ||||||||
916,907 | Fortis(a) (Financial Services) | 25,824,390 | ||||||||
458 | S.A. D’ Ieteren NV (Wholesale and International Trade) | 104,209 | ||||||||
42,808,164 | ||||||||||
France – 7.5% | ||||||||||
93,180 | BNP Paribas SA (Banking) | 6,766,267 | ||||||||
57,714 | Bouygues SA (Telecommunications) | 2,502,715 | ||||||||
134,298 | Compagnie de Saint-Gobain (Building Materials & Components) | 8,309,880 | ||||||||
306,494 | European Aeronautic Defense & Space Co. (Aerospace & Military Technology) | 9,636,241 | ||||||||
10,360 | Lafarge SA (Building Materials & Components) | 1,079,849 | ||||||||
154,967 | PSA Peugeot Citroen (Automobiles) | 10,152,246 | ||||||||
1,339 | Societe BIC SA (Business & Public Services) | 74,992 | ||||||||
63,486 | Sodexho Alliance SA(a) (Leisure & Tourism) | 2,032,508 | ||||||||
151,028 | Suez SA(a) (Business & Public Services) | 4,089,515 | ||||||||
151,901 | Thomson (Appliances & Household Durables) | 4,118,870 | ||||||||
33,766 | Total SA(a) (Energy Sources) | 8,040,211 | ||||||||
68,362 | Vivendi Universal SA* (Broadcasting & Publishing) | 2,159,749 | ||||||||
58,963,043 | ||||||||||
Germany – 11.3% | ||||||||||
97,753 | BASF AG(a) (Chemicals) | 7,345,101 | ||||||||
10,655 | Continental AG (Industrial Components) | 792,221 | ||||||||
251,291 | Deutsche Telekom AG* (Telecommunications) | 5,278,371 | ||||||||
255,101 | E.On AG (Utilities – Electrical & Gas) | 23,041,147 | ||||||||
84,724 | Fresenius Medical Care AG(a) (Health & Personal Care) | 7,616,500 | ||||||||
147,343 | Merck KGaA (Health & Personal Care) | 11,384,341 |
35
Shares | Description | Value | ||||||||
Common Stocks – (continued) | ||||||||||
Germany – (continued) | ||||||||||
157,896 | Schering AG (Health & Personal Care) | $ | 11,584,808 | |||||||
528,210 | ThyssenKrupp AG(a) (Metals-Steel) | 12,197,193 | ||||||||
371,035 | TUI AG*(a) (Leisure & Tourism) | 9,714,270 | ||||||||
88,953,952 | ||||||||||
Greece – 0.2% | ||||||||||
18,383 | EFG Eurobank Ergasias (Banking) | 652,343 | ||||||||
39,055 | Hellenic Telecommunications Organization SA (OTE) (Telecommunications) | 754,655 | ||||||||
25,430 | Intracom SA (Telecommunications) | 159,569 | ||||||||
1,566,567 | ||||||||||
Hong Kong – 2.2% | ||||||||||
940,500 | Boc Hong Kong Holdings Ltd. (Banking) | 1,787,549 | ||||||||
115,000 | Cathay Pacific Airways Ltd. (Transportation – Airlines) | 211,831 | ||||||||
325,000 | CLP Holdings Ltd. (Utilities – Electrical & Gas) | 1,855,760 | ||||||||
15,500 | Esprit Holdings Ltd. (Merchandising) | 110,593 | ||||||||
1,554,000 | Giordano International Ltd. (Merchandising) | 1,025,044 | ||||||||
343,500 | Hong Kong Electric Holdings Ltd. (Utilities – Electrical & Gas) | 1,566,670 | ||||||||
241,000 | Hutchison Whampoa Ltd. (Multi-Industry) | 2,170,088 | ||||||||
302,000 | Orient Overseas International Ltd. (Transportation – Shipping) | 1,296,285 | ||||||||
296,000 | Shangri-La Asia Ltd. (Leisure & Tourism) | 447,779 | ||||||||
212,500 | SmarTone Telecommunications Holdings Ltd. (Telecommunications) | 245,016 | ||||||||
28,000 | Sun Hung Kai Properties Ltd. (Real Estate) | 260,078 | ||||||||
339,500 | Swire Pacific Ltd. Series A (Real Estate) | 2,773,568 | ||||||||
990,000 | The Wharf (Holdings) Ltd. (Real Estate) | 3,357,721 | ||||||||
17,107,982 | ||||||||||
Italy – 0.8% | ||||||||||
102,648 | Banca Intesa S.p.A. (Banking) | 502,612 | ||||||||
98,888 | Benetton Group S.p.A.(a) (Textiles & Apparel) | 1,218,343 | ||||||||
41,363 | Eni S.p.A. (Energy Sources) | 1,082,255 | ||||||||
547,294 | Finmeccanica S.p.A. (Aerospace & Military Technology) | 561,803 | ||||||||
19,259 | Intesa Banca S.p.A.(a) (Banking) | 85,446 | ||||||||
69,180 | Italcementi S.p.A. (Building Materials & Components) | 1,224,981 | ||||||||
507,500 | Telecom Italia S.p.A. (Telecommunications) | 1,603,359 | ||||||||
6,278,799 | ||||||||||
Japan – 26.8% | ||||||||||
42,800 | Aderans Co., Ltd. (Health & Personal Care) | 1,013,936 | ||||||||
62,600 | Aisin Seiki Co., Ltd. (Industrial Components) | 1,413,163 | ||||||||
202,000 | Alps Electric Co., Ltd. (Electronic Components & Instruments) | 3,093,182 | ||||||||
28,000 | Amano Corp. (Machinery & Engineering) | 308,430 | ||||||||
124,300 | Aoyama Trading Co., Ltd. (Merchandising) | 3,283,911 | ||||||||
223,000 | Asahi Kasei Corp. (Chemicals) | 1,183,953 | ||||||||
29,600 | Autobacs Seven Co., Ltd.(a) (Merchandising) | 952,692 | ||||||||
10,600 | Capcom Co., Ltd.(a) (Business & Public Services) | 106,533 | ||||||||
142,300 | Citizen Watch Co., Ltd. (Electronic Components & Instruments) | 1,313,953 | ||||||||
11,300 | Coca-Cola West Japan Co., Ltd. (Beverages & Tobacco) | 263,742 | ||||||||
37,000 | Comsys Holdings Corp. (Construction & Housing) | 351,255 | ||||||||
311,000 | Dai Nippon Printing Co., Ltd. (Business & Public Services) | 5,251,289 | ||||||||
387,400 | Daiichi Pharmaceutical Co., Ltd. (Health & Personal Care) | 10,012,944 | ||||||||
461 | East Japan Railway Co. (Transportation – Road & Rail) | 2,460,427 | ||||||||
170,000 | Fuji Electric Holdings Co., Ltd. (Machinery & Engineering) | 525,962 | ||||||||
309,300 | Fuji Photo Film Co., Ltd. (Recreation and Other Consumer Goods) | 11,711,615 | ||||||||
5,300 | Fuji Soft ABC, Inc. (Business & Public Services) | 164,609 | ||||||||
1,505,000 | Fujitsu Ltd. (Data Processing & Reproduction) | 9,895,080 | ||||||||
431,000 | Hankyu Department Stores, Inc.(a) (Merchandising) | 3,159,257 | ||||||||
30,100 | Hitachi Chemical Co., Ltd. (Chemicals) | 522,170 | ||||||||
3,108,000 | Hitachi Ltd. (Electronic Components & Instruments) | 19,713,431 | ||||||||
73,500 | Hokkaido Electric Power Co., Inc. (Utilities – Electrical & Gas) | 1,488,736 | ||||||||
149,600 | Honda Motor Co., Ltd. (Automobiles) | 8,045,924 | ||||||||
20,600 | Ito-Yokado Co., Ltd. (Merchandising) | 850,940 |
36
Shares | Description | Value | ||||||||
Common Stocks – (continued) | ||||||||||
Japan – (continued) | ||||||||||
41 | Japan Retail Fund Investment Corp. (Real Estate) | $ | 320,542 | |||||||
23 | Japan Tobacco, Inc. (Beverages & Tobacco) | 250,716 | ||||||||
6,000 | Kao Corp. (Food & Household Products) | 142,635 | ||||||||
54,000 | Kinden Corp. (Construction & Housing) | 414,617 | ||||||||
211,000 | Kirin Brewery Co., Ltd. (Beverages & Tobacco) | 2,150,616 | ||||||||
173,000 | Kuraray Co., Ltd. (Chemicals) | 1,579,384 | ||||||||
86,000 | Kyowa Hakko Kogyo Co. Ltd. (Health & Personal Care) | 658,003 | ||||||||
135,500 | Kyushu Electric Power Co., Inc. (Utilities – Electrical & Gas) | 2,942,950 | ||||||||
193,000 | Makita Corp.(a) (Appliances & Household Durables) | 3,694,031 | ||||||||
36,000 | Marubeni Corp. (Wholesale and International Trade) | 115,502 | ||||||||
1,072,000 | Matsushita Electric Industrial Co., Ltd. (Appliances & Household Durables) | 16,066,679 | ||||||||
224,000 | Mitsubishi Chemical Corp. (Chemicals) | 759,994 | ||||||||
20,500 | Mitsubishi Corp. (Wholesale and International Trade) | 278,983 | ||||||||
1,328,000 | Mitsubishi Electric Corp. (Electrical & Electronics) | 6,971,889 | ||||||||
356 | Mitsubishi Tokyo Financial Group, Inc. (Banking) | 3,268,653 | ||||||||
144,000 | Mitsui O.S.K. Lines Ltd. (Transportation – Shipping) | 988,679 | ||||||||
7,000 | Mitsui Sumitomo Insurance Co. Ltd. (Insurance) | 62,533 | ||||||||
163,000 | Mitsui Trust Holdings, Inc. (Banking) | 1,728,918 | ||||||||
444 | Mizuho Financial Group, Inc. (Banking) | 2,162,953 | ||||||||
318,200 | Namco Ltd. (Business & Public Services) | 4,377,259 | ||||||||
8 | Nippon Building Fund, Inc. (Real Estate) | 67,413 | ||||||||
108,000 | Nippon Oil Corp. (Energy Sources) | 805,460 | ||||||||
128,000 | Nippon Shokubai Co., Ltd. (Chemicals) | 1,191,228 | ||||||||
2,818 | Nippon Telephone & Telegraph Corp. (Telecommunications) | 12,266,434 | ||||||||
89,000 | Nisshin Seifun Group, Inc. (Food & Household Products) | 975,603 | ||||||||
664,000 | Nisshin Steel Co., Ltd. (Metals-Steel) | 1,840,651 | ||||||||
139,000 | NSK Ltd. (Machinery & Engineering) | 735,912 | ||||||||
16,100 | Orix Corp. (Financial Services) | 2,091,644 | ||||||||
198,500 | Sankyo Co., Ltd. (Health & Personal Care) | 4,502,226 | ||||||||
472,000 | Seino Transportation Co., Ltd. (Transportation – Road & Rail) | 4,554,333 | ||||||||
1,571,000 | Sompo Japan Insurance, Inc. (Insurance) | 16,730,078 | ||||||||
21,800 | Sony Corp. (Appliances & Household Durables) | 828,206 | ||||||||
356,000 | Sumitomo Electric Industries Ltd. (Metals-Non Ferrous) | 3,933,474 | ||||||||
51,000 | Sumitomo Heavy Industries Ltd.* (Machinery & Engineering) | 224,539 | ||||||||
47 | Sumitomo Mitsui Financial Group, Inc. (Banking) | 326,621 | ||||||||
286,000 | Teijin Ltd. (Chemicals) | 1,189,284 | ||||||||
214,000 | The Bank of Fukuoka Ltd.(a) (Banking) | 1,298,474 | ||||||||
419,000 | The Bank of Yokohama Ltd.* (Banking) | 2,593,762 | ||||||||
59,000 | Tokyu Land Corp. (Real Estate) | 250,437 | ||||||||
478,000 | Toppan Printing Co., Ltd. (Business & Public Services) | 5,081,875 | ||||||||
505,500 | Toyo Seikan Kaisha Ltd. (Misc. Materials & Commodities) | 8,872,149 | ||||||||
89,900 | Toyota Motor Corp. (Automobiles) | 3,497,234 | ||||||||
323 | UFJ Holdings, Inc.* (Banking) | 1,787,378 | ||||||||
37,000 | UNY Co., Ltd. (Merchandising) | 438,399 | ||||||||
212,105,484 | ||||||||||
Netherlands – 7.4% | ||||||||||
1,620,397 | Aegon NV (Insurance) | 23,368,009 | ||||||||
14,918 | Akzo Nobel NV (Chemicals) | 673,239 | ||||||||
9,464 | Corio NV (Real Estate) | 526,865 | ||||||||
386,543 | ING Groep NV (Financial Services) | 11,889,859 | ||||||||
102,385 | Koninklijke (Royal) KPN NV (Telecommunications) | 989,754 | ||||||||
107,508 | Oce NV (Electronic Components & Instruments) | 1,780,024 | ||||||||
14,337 | Rodamco Europe NV (Real Estate) | 1,155,225 | ||||||||
281,525 | Royal Dutch Petroleum Co. (Energy Sources) | 17,775,827 | ||||||||
58,158,802 | ||||||||||
Norway – 3.6% | ||||||||||
112,660 | Norsk Hydro ASA(a) (Energy Sources) | 9,740,777 | ||||||||
318,850 | Orkla ASA (Food & Household Products) | 11,613,092 | ||||||||
11,200 | Storebrand ASA (Insurance) | 110,298 | ||||||||
777,600 | Telenor ASA (Telecommunications) | 7,168,092 | ||||||||
28,632,259 | ||||||||||
37
Shares | Description | Value | ||||||||
Common Stocks – (continued) | ||||||||||
Singapore – 2.5% | ||||||||||
24,000 | Allgreen Properties Ltd. (Real Estate) | $ | 16,409 | |||||||
317,500 | Ascendas Real Estate Investment Trust (Real Estate) | 387,283 | ||||||||
1,583,000 | Capitaland Ltd. (Real Estate) | 2,419,985 | ||||||||
52,000 | CapitaMall Trust (Real Estate) | 64,705 | ||||||||
71,000 | Chartered Semiconductor Manufacturing Ltd.* (Electronic Components & Instruments) | 47,803 | ||||||||
213,000 | ComfortDelGro Corp., Ltd. (Transportation – Road & Rail) | 218,601 | ||||||||
45,250 | Creative Technology Ltd. (Electronic Components & Instruments) | 527,598 | ||||||||
88,000 | Cycle & Carriage Ltd. (Wholesale and International Trade) | 631,478 | ||||||||
568,000 | Datacraft Asia Ltd.* (Telecommunications) | 591,293 | ||||||||
502,000 | DBS Group Holdings Ltd. (Banking) | 4,592,256 | ||||||||
122,500 | Fraser & Neave Ltd. (Beverages & Tobacco) | 1,188,428 | ||||||||
261,800 | Keppel Corp., Ltd. (Multi-Industry) | 1,519,405 | ||||||||
186,000 | Oversea-Chinese Banking Corp., Ltd. (Banking) | 1,556,087 | ||||||||
47,000 | Overseas Union Enterprise Ltd. (Leisure & Tourism) | 218,356 | ||||||||
94,000 | SembCorp Industries Ltd. (Multi-Industry) | 109,659 | ||||||||
276,000 | Singapore Airlines Ltd. (Transportation – Airlines) | 2,031,918 | ||||||||
17,000 | Singapore Press Holdings Ltd. (Broadcasting & Publishing) | 47,571 | ||||||||
1,380,290 | Singapore Telecommunications Ltd. (Telecommunications) | 2,226,639 | ||||||||
1,239,000 | SMRT Corp., Ltd. (Transportation – Road & Rail) | 691,691 | ||||||||
47,000 | ST Assembly Test Services Ltd.* (Electronic Components & Instruments) | 28,858 | ||||||||
88,000 | United Overseas Bank Ltd. (Banking) | 735,342 | ||||||||
19,851,365 | ||||||||||
Spain – 3.1% | ||||||||||
237,386 | Amadeus Global Travel Distribution SA* (Business & Public Services) | 2,273,554 | ||||||||
196,691 | Banco Bilbao Vizcaya Argentaria SA (Banking) | 3,406,051 | ||||||||
229,261 | Endesa SA (Utilities – Electrical & Gas) | 5,189,760 | ||||||||
488,904 | Repsol SA (Energy Sources) | 13,339,771 | ||||||||
24,209,136 | ||||||||||
Sweden – 2.5% | ||||||||||
5,000 | Gambro AB Series A (Health & Personal Care) | 70,931 | ||||||||
74,900 | Gambro AB Series B (Health & Personal Care) | 1,062,721 | ||||||||
970,000 | Nordea Bank AB (Banking) | 10,216,507 | ||||||||
140,900 | Skandinaviska Enskilda Banken AB* (Banking) | 2,730,554 | ||||||||
230,000 | Skanska AB Series B (Construction & Housing) | 2,740,091 | ||||||||
131,060 | Wihlborgs Fastigheter AB(a) (Real Estate) | 2,980,352 | ||||||||
19,801,156 | ||||||||||
Switzerland – 2.8% | ||||||||||
104,153 | Syngenta AG* (Chemicals) | 11,714,034 | ||||||||
58,586 | Zurich Financial Services AG (Insurance) | 10,803,055 | ||||||||
22,517,089 | ||||||||||
United Kingdom – 14.6% | ||||||||||
21,968 | 3i Group PLC (Financial Services) | 293,279 | ||||||||
12,442 | Aggreko PLC (Business & Public Services) | 39,062 | ||||||||
305,636 | Alliance Unichem PLC (Health & Personal Care) | 4,273,052 | ||||||||
134,878 | Arriva PLC (Transportation – Road & Rail) | 1,415,469 | ||||||||
504,256 | Aviva PLC (Insurance) | 6,276,047 | ||||||||
5,694 | BAA PLC (Business & Public Services) | 66,567 | ||||||||
1,293,089 | BAE Systems PLC (Aerospace & Military Technology) | 6,361,876 | ||||||||
1,585,833 | Barclays PLC (Banking) | 17,281,185 | ||||||||
201,389 | BHP Billiton PLC (Metals-Non Ferrous) | 3,009,763 | ||||||||
4,930 | BOC Group PLC (Chemicals) | 93,920 | ||||||||
819,950 | BP PLC (Energy Sources) | 8,868,758 | ||||||||
46,307 | BP PLC ADR (Energy Sources) | 3,006,250 | ||||||||
326,444 | Brambles Industries PLC (Business & Public Services) | 1,916,144 | ||||||||
896,135 | BT Group PLC (Telecommunications) | 3,591,953 | ||||||||
1,509,023 | Centrica PLC (Utilities – Electrical & Gas) | 6,866,794 | ||||||||
759,525 | Corus Group PLC* (Metals-Steel) | 866,745 | ||||||||
58,700 | De La Rue PLC (Business & Public Services) | 430,147 | ||||||||
1,039,264 | Dixons Group PLC (Merchandising) | 3,207,986 | ||||||||
31,677 | GlaxoSmithKline PLC (Health & Personal Care) | 757,821 | ||||||||
101,069 | GlaxoSmithKline PLC ADR (Health & Personal Care) | 4,873,547 | ||||||||
5,908 | HBOS PLC (Banking) | 94,054 | ||||||||
102,241 | IMI PLC (Machinery & Engineering) | 803,679 |
38
Shares | Description | Value | ||||||||
Common Stocks – (continued) | ||||||||||
United Kingdom – (continued) | ||||||||||
123,269 | Kelda Group PLC (Utilities – Electrical & Gas) | $ | 1,428,693 | |||||||
951,801 | Lloyds TSB Group PLC (Banking) | 8,980,451 | ||||||||
586,562 | Reuters Group PLC (Broadcasting & Publishing) | 4,643,130 | ||||||||
119,422 | Shell Transport & Trading Co. PLC (Energy Sources) | 1,123,587 | ||||||||
136,883 | Shell Transport & Trading Co. PLC ADR (Energy Sources) | 7,762,635 | ||||||||
801,402 | Tate & Lyle PLC (Food & Household Products) | 8,030,592 | ||||||||
516,042 | Tesco PLC (Merchandising) | 3,030,070 | ||||||||
549,723 | Vodafone Group PLC (Telecommunications) | 1,438,914 | ||||||||
108,268 | Vodafone Group PLC ADR (Telecommunications) | 2,846,366 | ||||||||
147,824 | William Hill PLC (Leisure & Tourism) | 1,715,846 | ||||||||
115,394,382 | ||||||||||
TOTAL COMMON STOCKS | ||||||||||
(Cost $632,898,287) | $ | 762,776,637 | ||||||||
Preferred Stock – 0.1% | ||||||||||
Germany – 0.1% | ||||||||||
11,745 | Fresenius Medical Care AG (Health & Personal Care) | $ | 746,849 | |||||||
(Cost $606,098) | ||||||||||
Principal | Interest | Maturity | ||||||||||||||
Amount | Rate | Date | Value | |||||||||||||
Short-Term Obligation – 2.5% | ||||||||||||||||
State Street Bank & Trust Euro – Time Deposit | ||||||||||||||||
$ | 19,917,000 | 2.50 | % | 03/01/2005 | $ | 19,917,000 | ||||||||||
(Cost $19,917,000) | ||||||||||||||||
TOTAL INVESTMENTS BEFORE SECURITIES LENDING COLLATERAL | ||||||||||||||||
(Cost $653,421,385) | $ | 783,440,486 | ||||||||||||||
Shares | Description | Value | ||||||||
Securities Lending Collateral – 9.6% | ||||||||||
76,211,048 | Boston Global Investment Trust – Enhanced Portfolio | $ | 76,211,048 | |||||||
(Cost $76,211,048) | ||||||||||
TOTAL INVESTMENTS – 108.8% | ||||||||||
(Cost $729,632,433) | $ | 859,651,534 | ||||||||
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. |
Investment Abbreviations: | ||||||
ADR | — | American Depositary Receipt | ||||
39
As a % | ||||||
of | ||||||
Net Assets | ||||||
Industry Classifications† | ||||||
Aerospace & Military Technology | 2.1 | % | ||||
Appliances & Household Durables | 3.1 | |||||
Automobiles | 2.7 | |||||
Banking | 10.7 | |||||
Beverages & Tobacco | 0.5 | |||||
Broadcasting & Publishing | 0.9 | |||||
Building Materials & Components | 1.4 | |||||
Business & Public Services | 3.1 | |||||
Chemicals | 3.3 | |||||
Construction & Housing | 0.4 | |||||
Data Processing & Reproduction | 1.3 | |||||
Electrical & Electronics | 0.9 | |||||
Electronic Components & Instruments | 3.4 | |||||
Energy Sources | 10.3 | |||||
Financial Services | 5.2 | |||||
Food & Household Products | 2.6 | |||||
Health & Personal Care | 7.4 | |||||
Industrial Components | 0.3 | |||||
Insurance | 7.7 | |||||
Leisure & Tourism | 1.8 | |||||
Machinery & Engineering | 0.4 | |||||
Merchandising | 4.2 | |||||
Metals-Non Ferrous | 0.9 | |||||
Metals-Steel | 2.9 | |||||
Misc. Materials & Commodities | 1.1 | |||||
Multi-Industry | 0.5 | |||||
Real Estate | 2.2 | |||||
Recreation and Other Consumer Goods | 1.5 | |||||
Short Term Investments* | 12.2 | |||||
Telecommunications | 5.9 | |||||
Textiles & Apparel | 0.2 | |||||
Transportation – Airlines | 0.3 | |||||
Transportation – Road & Rail | 1.2 | |||||
Transportation – Shipping | 0.3 | |||||
Utilities – Electrical & Gas | 5.8 | |||||
Wholesale and International Trade | 0.1 | |||||
TOTAL | 108.8 | % | ||||
† | Industry concentrations greater than one-tenth of one percent are disclosed. | |
* | Short term investments include short term obligations and securities lending collateral. |
40
ADDITIONAL INVESTMENT INFORMATION |
Futures Contracts — At February 28, 2005, the following futures contracts were open as follows:
Number of | ||||||||||||||
Contracts | Settlement | Market | Unrealized | |||||||||||
Type | Long | Month | Value | Gain (Loss) | ||||||||||
FTSE 100 Index | 86 | March 2005 | $ | 8,188,490 | $ | (69,520 | ) | |||||||
SPI 200 Index | 25 | March 2005 | 2,061,482 | 4,681 | ||||||||||
MIB 30 Index | 4 | March 2005 | 844,896 | (5,696 | ) | |||||||||
TOPIX Index | 50 | March 2005 | 5,646,360 | 75,317 | ||||||||||
EURX DAX Index | 8 | March 2005 | 1,148,489 | (8,455 | ) | |||||||||
EURX ER STX 50 Index | 139 | March 2005 | 5,616,895 | (24,681 | ) | |||||||||
CAC 40 – 10 EV | 28 | March 2005 | 1,496,670 | 6,764 | ||||||||||
IBEX 35 Plus | 4 | March 2005 | 498,333 | (7,546 | ) | |||||||||
HFKE | 6 | March 2005 | 542,346 | 10,302 | ||||||||||
$ | 26,043,961 | $ | (18,834 | ) | ||||||||||
41
Statements of Assets and Liabilities
CORE U.S. | |||||||||
Equity Fund | |||||||||
Assets: | |||||||||
Investment in securities, at value (identified cost $801,613,577, $323,179,050, $404,649,885, $369,225,624 and $653,421,385, respectively) | $ | 900,559,926 | |||||||
Securities lending collateral, at value | 35,326,800 | ||||||||
Cash(a) | 1,323,359 | ||||||||
Foreign currencies, at value (identified cost $106,084, CORE International only) | — | ||||||||
Receivables: | |||||||||
Fund shares sold | 1,832,436 | ||||||||
Variation margin(b) | 280,133 | ||||||||
Dividends and interest, at value | 1,558,469 | ||||||||
Investment securities sold, at value | 179,996 | ||||||||
Reimbursement from investment adviser | 90,872 | ||||||||
Security Claims | — | ||||||||
Securities lending income | 4,444 | ||||||||
Foreign tax reclaims, at value | — | ||||||||
Other assets | 7,852 | ||||||||
Total assets | 941,164,287 | ||||||||
Liabilities: | |||||||||
Payables: | |||||||||
Payable upon return of securities loaned | 35,326,800 | ||||||||
Fund shares repurchased | 3,146,801 | ||||||||
Amounts owed to affiliates | 688,441 | ||||||||
Accrued expenses | 174,451 | ||||||||
Total liabilities | 39,336,493 | ||||||||
Net Assets: | |||||||||
Paid-in capital | 850,291,691 | ||||||||
Accumulated undistributed net investment income (loss) | 1,739,451 | ||||||||
Accumulated net realized gain (loss) on investment, futures and foreign currency related transactions | (49,238,145 | ) | |||||||
Net unrealized gain on investments, futures and translation of assets and liabilities denominated in foreign currencies | 99,034,797 | ||||||||
NET ASSETS | $ | 901,827,794 | |||||||
Net assets: | |||||||||
Class A | $ | 459,273,762 | |||||||
Class B | 124,228,869 | ||||||||
Class C | 40,419,502 | ||||||||
Institutional | 268,049,623 | ||||||||
Service | 9,856,038 | ||||||||
Shares Outstanding: | |||||||||
Class A | 16,495,923 | ||||||||
Class B | 4,705,455 | ||||||||
Class C | 1,538,003 | ||||||||
Institutional | 9,457,302 | ||||||||
Service | 356,903 | ||||||||
Total shares of beneficial interest outstanding, $0.001 par value (unlimited shares authorized) | 32,553,586 | ||||||||
Net asset value, offering and redemption price per share:(c) | |||||||||
Class A | $ | 27.84 | |||||||
Class B | 26.40 | ||||||||
Class C | 26.28 | ||||||||
Institutional | 28.34 | ||||||||
Service | 27.62 | ||||||||
(a) | Includes restricted cash of $1,225,000, $850,000 and $890,000 respectively for the CORE U.S. Equity, CORE Small Cap Equity and CORE Large Cap Value Funds relating to initial margin requirements on futures transactions. |
(b) | Includes restricted cash of $305,550 and $1,082,478 respectively for the CORE Large Cap Growth and CORE International Equity Funds relating to initial margin requirements on futures transactions. |
(c) | Maximum public offering price per share (NAV per share multiplied by 1.0582) for Class A Shares of the CORE U.S. Equity, CORE Large Cap Growth, CORE Small Cap Equity, CORE Large Cap Value and CORE International Equity Funds is $29.46, $12.72, $14.22, $12.97 and $12.04, 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. |
CORE Large Cap | CORE Small Cap | CORE Large Cap | CORE International | |||||||||||||||
Growth Fund | Equity Fund | Value Fund | Equity Fund | |||||||||||||||
$ | 350,352,621 | $ | 460,903,637 | $ | 410,274,036 | $ | 783,440,486 | |||||||||||
3,339,025 | 46,208,725 | 7,245,675 | 76,211,048 | |||||||||||||||
95,050 | 1,622,417 | 950,634 | 173 | |||||||||||||||
— | — | — | 107,160 | |||||||||||||||
403,097 | 3,562,839 | 1,054,631 | 3,234,926 | |||||||||||||||
450,774 | 847,403 | 299,136 | 3,553,511 | |||||||||||||||
529,603 | 226,024 | 712,400 | 1,359,267 | |||||||||||||||
112,139 | 589,950 | 33,496 | 928 | |||||||||||||||
64,306 | 48,885 | 18,136 | — | |||||||||||||||
370,633 | — | — | — | |||||||||||||||
594 | 53,657 | 1,720 | 43,588 | |||||||||||||||
— | — | — | 65,327 | |||||||||||||||
2,632 | 6,560 | 17,022 | 8,384 | |||||||||||||||
355,720,474 | 514,070,097 | 420,606,886 | 868,024,798 | |||||||||||||||
3,339,025 | 46,208,725 | 7,245,675 | 76,211,048 | |||||||||||||||
831,968 | 1,548,618 | 743,670 | 841,887 | |||||||||||||||
317,625 | 394,564 | 274,051 | 645,303 | |||||||||||||||
94,713 | 123,960 | 85,560 | 120,646 | |||||||||||||||
4,583,331 | 48,275,867 | 8,348,956 | 77,818,884 | |||||||||||||||
609,769,976 | 381,265,502 | 359,728,879 | 701,826,183 | |||||||||||||||
962,431 | (188,866 | ) | 558,565 | 816,600 | ||||||||||||||
(286,783,393 | ) | 28,155,371 | 10,816,641 | (42,456,998 | ) | |||||||||||||
27,188,129 | 56,562,223 | 41,153,845 | 130,020,129 | |||||||||||||||
$ | 351,137,143 | $ | 465,794,230 | $ | 412,257,930 | $ | 790,205,914 | |||||||||||
$ | 122,248,762 | $ | 146,383,778 | $ | 133,063,360 | $ | 220,797,999 | |||||||||||
74,544,209 | 20,251,053 | 21,504,820 | 7,686,441 | |||||||||||||||
31,546,447 | 22,846,200 | 20,580,201 | 4,573,934 | |||||||||||||||
122,532,249 | 235,061,370 | 236,343,173 | 549,284,508 | |||||||||||||||
265,476 | 41,251,829 | 766,376 | 7,863,032 | |||||||||||||||
10,163,420 | 10,894,638 | 10,857,712 | 19,403,410 | |||||||||||||||
6,563,253 | 1,606,865 | 1,769,482 | 682,641 | |||||||||||||||
2,776,397 | 1,806,722 | 1,691,686 | 405,963 | |||||||||||||||
9,942,594 | 17,053,834 | 19,295,815 | 47,403,765 | |||||||||||||||
22,269 | 3,100,478 | 62,368 | 688,677 | |||||||||||||||
29,467,933 | 34,462,537 | 33,677,063 | 68,584,456 | |||||||||||||||
$ | 12.03 | $ | 13.44 | $ | 12.26 | $ | 11.38 | |||||||||||
11.36 | 12.60 | 12.15 | 11.26 | |||||||||||||||
11.36 | 12.65 | 12.17 | 11.27 | |||||||||||||||
12.32 | 13.78 | 12.25 | 11.59 | |||||||||||||||
11.92 | 13.30 | 12.29 | 11.42 | |||||||||||||||
Statements of Operations
CORE U.S. | |||||||
Equity Fund | |||||||
Investment income: | |||||||
Dividends(a) | $ | 8,884,498 | |||||
Interest (including securities lending income of $44,947, $22,652, $200,027, $28,012 and $198,785, respectively) | 92,800 | ||||||
Total income | 8,977,298 | ||||||
Expenses: | |||||||
Management fees | 2,651,210 | ||||||
Distribution and Service fees(b) | 1,303,817 | ||||||
Transfer Agent fees(b) | 583,784 | ||||||
Custody and accounting fees | 79,810 | ||||||
Printing fees | 26,855 | ||||||
Registration fees | 24,957 | ||||||
Professional fees | 22,457 | ||||||
Service share fees | 24,178 | ||||||
Trustee fees | 7,943 | ||||||
Other | 45,873 | ||||||
Total expenses | 4,770,884 | ||||||
Less — expense reductions | (490,886 | ) | |||||
Net expenses | 4,279,998 | ||||||
NET INVESTMENT INCOME (LOSS) | 4,697,300 | ||||||
Realized and unrealized gain (loss) on investment, futures and foreign currency transactions: | |||||||
Net realized gain (loss) from: | |||||||
Investment transactions | 60,615,368 | ||||||
Futures transactions | 123,371 | ||||||
Foreign currency related transactions | — | ||||||
Net increase from security claims receivable | — | ||||||
Net change in unrealized gain (loss) on: | |||||||
Investments | (7,390,438 | ) | |||||
Futures | 75,974 | ||||||
Translation of assets and liabilities denominated in foreign currencies | — | ||||||
Net realized and unrealized gain on investment, futures and foreign currency transactions | 53,424,275 | ||||||
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS | $ | 58,121,575 | |||||
(a) | For the CORE U.S. Equity, CORE Large Cap Growth, CORE Small Cap Equity, CORE Large Cap Value and CORE International Equity Funds, foreign taxes withheld on dividends were $1,925, $1,814, $2,990, $571 and $432,771, 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 | ||||||||||
CORE U.S. Equity | $533,113 | $570,223 | $200,481 | $405,167 | $108,342 | $38,091 | $30,250 | $ | 1,934 | |||||||||
CORE Large Cap Growth | 146,974 | 389,196 | 165,152 | 111,700 | 73,947 | 31,379 | 19,419 | 63 | ||||||||||
CORE Small Cap Equity | 162,201 | 101,118 | 109,049 | 123,274 | 19,212 | 20,719 | 36,668 | 8,590 | ||||||||||
CORE Large Cap Value | 140,041 | 104,530 | 93,627 | 106,431 | 19,861 | 17,789 | 39,046 | 118 | ||||||||||
CORE International Equity | 212,809 | 34,357 | 20,501 | 161,735 | 6,528 | 3,895 | 86,154 | 185 |
44
CORE Large Cap | CORE Small Cap | CORE Large Cap | CORE International | |||||||||||||
Growth Fund | Equity Fund | Value Fund | Equity Fund | |||||||||||||
$ | 2,874,087 | $ | 1,851,662 | $ | 3,544,711 | $ | 4,321,827 | |||||||||
64,692 | 249,458 | 92,847 | 401,861 | |||||||||||||
2,938,779 | 2,101,120 | 3,637,558 | 4,723,688 | |||||||||||||
1,164,489 | 1,691,854 | 1,042,456 | 2,604,888 | |||||||||||||
701,322 | 372,368 | 338,198 | 267,667 | |||||||||||||
236,508 | 208,463 | 183,245 | 258,497 | |||||||||||||
63,204 | 106,241 | 65,573 | 258,477 | |||||||||||||
26,359 | 26,855 | 26,855 | 24,252 | |||||||||||||
17,937 | 15,645 | 29,664 | 19,403 | |||||||||||||
8,990 | 19,251 | 21,626 | 22,184 | |||||||||||||
786 | 107,376 | 1,476 | 2,311 | |||||||||||||
7,943 | 7,943 | 7,943 | 7,943 | |||||||||||||
41,123 | 24,515 | 22,755 | 16,799 | |||||||||||||
2,268,661 | 2,580,511 | 1,739,791 | 3,482,421 | |||||||||||||
(252,107 | ) | (116,235 | ) | (68,357 | ) | (1,815 | ) | |||||||||
2,016,554 | 2,464,276 | 1,671,434 | 3,480,606 | |||||||||||||
922,225 | (363,156 | ) | 1,966,124 | 1,243,082 | ||||||||||||
18,939,626 | 28,532,820 | 25,329,708 | 34,454,752 | |||||||||||||
72,982 | 1,213,383 | 209,495 | 1,964,186 | |||||||||||||
— | — | — | (305,599 | ) | ||||||||||||
349,685 | — | — | — | |||||||||||||
3,195,997 | 26,086,017 | 12,767,844 | 85,681,715 | |||||||||||||
(14,658 | ) | (3,971 | ) | 26,773 | (121,086 | ) | ||||||||||
— | — | — | 26,534 | |||||||||||||
22,543,632 | 55,828,249 | 38,333,820 | 121,700,502 | |||||||||||||
$ | 23,465,857 | $ | 55,465,093 | $ | 40,299,944 | $ | 122,943,584 | |||||||||
45
Statements of Changes in Net Assets
CORE U.S. Equity Fund | CORE Large Cap Growth Fund | ||||||||||||||||||
For the | For the | ||||||||||||||||||
Six Months | Six Months | ||||||||||||||||||
Ended | For the | Ended | For the | ||||||||||||||||
February 28, 2005 | Year Ended | February 28, 2005 | Year Ended | ||||||||||||||||
(Unaudited) | August 31, 2004 | (Unaudited) | August 31, 2004 | ||||||||||||||||
From operations: | |||||||||||||||||||
Net investment income (loss) | $ | 4,697,300 | $ | 2,268,795 | $ | 922,225 | $ | (820,107 | ) | ||||||||||
Net realized gain on investment, futures and foreign currency related transactions | 60,738,739 | 89,413,610 | 19,012,608 | 50,634,942 | |||||||||||||||
Net increase from security claims receivable | — | — | 349,685 | — | |||||||||||||||
Net change in unrealized gain (loss) on investments, futures and translation of assets and liabilities denominated in foreign currencies | (7,314,464 | ) | 1,551,785 | 3,181,339 | (19,682,842 | ) | |||||||||||||
Net increase in net assets resulting from operations | 58,121,575 | 93,234,190 | 23,465,857 | 30,131,993 | |||||||||||||||
Distributions to shareholders: | |||||||||||||||||||
From net investment income | |||||||||||||||||||
Class A Shares | (3,420,408 | ) | (1,131,846 | ) | — | — | |||||||||||||
Class B Shares | (41,912 | ) | — | — | — | ||||||||||||||
Class C Shares | (52,660 | ) | — | — | — | ||||||||||||||
Institutional Shares | (1,704,060 | ) | (922,054 | ) | — | — | |||||||||||||
Service Shares | (71,315 | ) | (22,834 | ) | — | — | |||||||||||||
From net realized gain on investment transactions | |||||||||||||||||||
Class A Shares | — | — | — | — | |||||||||||||||
Class B Shares | — | — | — | — | |||||||||||||||
Class C Shares | — | — | — | — | |||||||||||||||
Institutional Shares | — | — | — | — | |||||||||||||||
Service Shares | — | — | — | — | |||||||||||||||
Total distributions to shareholders | (5,290,355 | ) | (2,076,734 | ) | — | — | |||||||||||||
From share transactions: | |||||||||||||||||||
Proceeds from sales of shares | 88,073,401 | 107,847,120 | 69,523,177 | 89,651,639 | |||||||||||||||
Proceeds received in connection with merger | 125,038,947 | — | — | — | |||||||||||||||
Reinvestment of dividends and distributions | 5,032,930 | 1,984,359 | — | — | |||||||||||||||
Cost of shares repurchased | (71,444,331 | ) | (145,079,339 | ) | (84,149,076 | ) | (147,374,210 | ) | |||||||||||
Net increase (decrease) in net assets resulting from share transactions | 146,700,947 | (35,247,860 | ) | (14,625,899 | ) | (57,722,571 | ) | ||||||||||||
TOTAL INCREASE (DECREASE) | 199,532,167 | 55,909,596 | 8,839,958 | (27,590,578 | ) | ||||||||||||||
Net assets: | |||||||||||||||||||
Beginning of period | 702,295,627 | 646,386,031 | 342,297,185 | 369,887,763 | |||||||||||||||
End of period | $ | 901,827,794 | $ | 702,295,627 | $ | 351,137,143 | $ | 342,297,185 | |||||||||||
Accumulated undistributed net investment income (loss) | $ | 1,739,451 | $ | 2,332,506 | $ | 962,431 | $ | 40,206 | |||||||||||
46
CORE Small Cap Equity Fund | CORE Large Cap Value Fund | CORE International Equity Fund | ||||||||||||||||||||||||
For the | For the | For the | ||||||||||||||||||||||||
Six Months | Six Months | Six Months | ||||||||||||||||||||||||
Ended | For the | Ended | For the | 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 | |||||||||||||||||||||
$ | (363,156 | ) | $ | (821,958 | ) | $ | 1,966,124 | $ | 3,546,341 | $ | 1,243,082 | $ | 4,990,356 | |||||||||||||
29,746,203 | 35,208,205 | 25,539,203 | 35,827,193 | 36,113,339 | 42,372,484 | |||||||||||||||||||||
— | — | — | — | — | — | |||||||||||||||||||||
26,082,046 | (7,290,157 | ) | 12,794,617 | 12,235,852 | 85,587,163 | 21,034,577 | ||||||||||||||||||||
55,465,093 | 27,096,090 | 40,299,944 | 51,609,386 | 122,943,584 | 68,397,417 | |||||||||||||||||||||
— | (129,918 | ) | (401,947 | ) | (1,037,607 | ) | (1,196,017 | ) | (724,569 | ) | ||||||||||||||||
— | — | (3,924 | ) | (71,048 | ) | — | (18,524 | ) | ||||||||||||||||||
— | — | (4,074 | ) | (60,630 | ) | — | (10,825 | ) | ||||||||||||||||||
— | (393,859 | ) | (1,096,448 | ) | (2,749,147 | ) | (4,841,952 | ) | (2,501,245 | ) | ||||||||||||||||
— | (73,705 | ) | (1,778 | ) | (4,074 | ) | (1,256 | ) | (332 | ) | ||||||||||||||||
(6,678,687 | ) | (5,267,801 | ) | (2,342,830 | ) | — | — | — | ||||||||||||||||||
(1,107,652 | ) | (1,224,986 | ) | (451,577 | ) | — | — | — | ||||||||||||||||||
(1,181,208 | ) | (1,065,928 | ) | (405,671 | ) | — | — | — | ||||||||||||||||||
(8,958,753 | ) | (5,036,867 | ) | (3,867,997 | ) | — | — | — | ||||||||||||||||||
(2,176,185 | ) | (2,716,821 | ) | (12,197 | ) | — | — | — | ||||||||||||||||||
(20,102,485 | ) | (15,909,885 | ) | (8,588,443 | ) | (3,922,506 | ) | (6,039,225 | ) | (3,255,495 | ) | |||||||||||||||
132,215,386 | 179,260,317 | 105,762,245 | 118,179,954 | 308,190,613 | 170,845,138 | |||||||||||||||||||||
— | — | — | — | 45,116,496 | — | |||||||||||||||||||||
18,095,444 | 13,377,492 | 8,446,598 | 3,887,683 | 5,426,787 | 3,188,482 | |||||||||||||||||||||
(62,741,004 | ) | (138,905,543 | ) | (65,910,725 | ) | (94,632,718 | ) | (87,140,536 | ) | (99,754,250 | ) | |||||||||||||||
87,569,826 | 53,732,266 | 48,298,118 | 27,434,919 | 271,593,360 | 74,279,370 | |||||||||||||||||||||
122,932,434 | 64,918,471 | 80,009,619 | 75,121,799 | 388,497,719 | 139,421,292 | |||||||||||||||||||||
342,861,796 | 277,943,325 | 332,248,311 | 257,126,512 | 401,708,195 | 262,286,903 | |||||||||||||||||||||
$ | 465,794,230 | $ | 342,861,796 | $ | 412,257,930 | $ | 332,248,311 | $ | 790,205,914 | $ | 401,708,195 | |||||||||||||||
$ | (188,866 | ) | $ | 174,290 | $ | 558,565 | $ | 100,612 | $ | 816,600 | $ | 5,612,743 | ||||||||||||||
47
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 or for investments in securities traded on a foreign securities exchange for which an independent service is not available 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. Investments in investment companies are valued at the net asset value per share on the valuation date.
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. In addition, it is the Funds’ policy to accrue for estimated capital gains taxes on foreign securities held by the Funds, which are subject to taxes. Net investment income (other than class-specific expenses) and unrealized and realized gains or losses are allocated daily to each class of shares of the Funds based upon the relative proportion of net assets of each class.
C. Federal Taxes — It is each Fund’s 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 CORE Large Cap Value Fund and annually for all other funds. Capital gains distributions, if any, are declared and paid annually.
2. SIGNIFICANT ACCOUNTING POLICIES (continued) |
E. Foreign Currency Translations — The books and records of the Funds 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. Futures Contracts — The Funds may enter into futures transactions to hedge against changes in interest rates, securities prices, and/or currency exchange rates (for CORE International Equity Fund only) or to seek to increase total return. Futures contracts are valued at the last settlement price at the end of each day on the board of trade or exchange upon which they are traded. Upon entering into a futures contract, the Funds are required to deposit with a broker or the Funds’ custodian bank on behalf of the broker an amount of cash or securities equal to the minimum “initial margin” requirement of the associated futures exchange. Subsequent payments for futures contracts (“variation margin”) are paid or received by the Funds, dependent on the fluctuations in the value of the contracts, and are recorded for financial reporting purposes as unrealized gains or losses. When contracts are closed, the Funds realize a gain or loss which is reported in the Statement of Operations.
G. Segregation Transactions — As set forth in the prospectus, certain 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.
H. 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
Notes to Financial Statements (continued)
2. SIGNIFICANT ACCOUNTING POLICIES (continued) |
3. AGREEMENTS |
Management Fee | Other | |||||||
Contractual | Expense | |||||||
Fund | Annual Rate | Limit | ||||||
CORE U.S. Equity | 0.65% | 0.004% | ||||||
CORE Large Cap Growth | 0.65 | 0.024 | ||||||
CORE Small Cap Equity | 0.85 | 0.044 | ||||||
CORE Large Cap Value | 0.60 | 0.064 | ||||||
CORE International Equity | 0.85 | 0.124 | ||||||
3. AGREEMENTS (continued) |
Sales Load | Contingent Deferred Sales Charge | |||||||||||
Fund | Class A | Class B | Class C | |||||||||
CORE U.S. Equity | $ | 70,800 | $ | 100 | $ | 100 | ||||||
CORE Large Cap Growth | 9,200 | 100 | — | |||||||||
CORE Small Cap Equity | 24,500 | 100 | — | |||||||||
CORE Large Cap Value | 21,600 | — | — | |||||||||
CORE International Equity | 43,800 | 100 | — | |||||||||
Total | ||||||||||||||||||||
Management | Other Expense | Custody Fee | Transfer Agent | Expense | ||||||||||||||||
Fund | Fee Waiver | Reimbursement | Reduction | Fee Reduction | Reductions | |||||||||||||||
CORE U.S. Equity | $ | 241 | $ | 193 | $ | 1 | $ | 56 | $ | 491 | ||||||||||
CORE Large Cap Growth | 105 | 126 | 1 | 20 | 252 | |||||||||||||||
CORE Small Cap Equity | — | 112 | 1 | 3 | 116 | |||||||||||||||
CORE Large Cap Value | — | 63 | 1 | 4 | 68 | |||||||||||||||
CORE International Equity | — | — | 1 | 1 | 2 | |||||||||||||||
Notes to Financial Statements (continued)
3. AGREEMENTS (continued) |
Over | ||||||||||||||||||||
Management | Distribution and | Transfer | Reimbursement of | |||||||||||||||||
Fund | Fees | Service Fees | Agent Fees | “Other Expenses” | Total | |||||||||||||||
CORE U.S. Equity | $ | 391 | $ | 204 | $ | 93 | $ | — | $ | 688 | ||||||||||
CORE Large Cap Growth | 175 | 106 | 37 | — | 318 | |||||||||||||||
CORE Small Cap Equity | 298 | 61 | 36 | — | 395 | |||||||||||||||
CORE Large Cap Value | 185 | 57 | 32 | — | 274 | |||||||||||||||
CORE International Equity | 487 | 48 | 48 | 62 | 645 | |||||||||||||||
4. PORTFOLIO SECURITIES TRANSACTIONS |
Fund | Purchases | Sales and Maturities | ||||||
CORE U.S. Equity | $ | 595,338,803 | $ | 474,578,016 | ||||
CORE Large Cap Growth | 251,217,181 | 268,560,206 | ||||||
CORE Small Cap Equity | 318,538,311 | 255,956,952 | ||||||
CORE Large Cap Value | 299,419,935 | 271,049,771 | ||||||
CORE International Equity | 443,172,660 | 196,305,405 | ||||||
5. SECURITIES LENDING |
The table below details the following items as of or for the six months ended February 28, 2005:
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 | Goldman Sachs for | Upon Return of | ||||||||||||||||
Securities on Loan as | Outstanding as of | Six Months Ended | Six Months Ended | Securities Loaned as | ||||||||||||||||
Fund | of February 28, 2005 | February 28, 2005 | February 28, 2005 | February 28, 2005 | of February 28, 2005 | |||||||||||||||
CORE U.S. Equity | $ | 33,854,964 | $ | 35,326,800 | $ | 7,940 | $ | 100 | $ | 897,250 | ||||||||||
CORE Large Cap Growth | 3,287,326 | 3,339,025 | 3,997 | 457 | — | |||||||||||||||
CORE Small Cap Equity | 44,416,075 | 46,208,725 | 35,298 | 39,141 | 5,274,025 | |||||||||||||||
CORE Large Cap Value | 6,957,889 | 7,245,675 | 4,943 | — | — | |||||||||||||||
CORE International Equity | 73,267,794 | 76,211,048 | 35,078 | 43,278 | 5,736,000 | |||||||||||||||
Notes to Financial Statements (continued)
6. LINE OF CREDIT FACILITY |
The Funds participate in a $350,000,000 committed, unsecured revolving line of credit facility. Under the most restrictive arrangement, the Funds must own securities having a market value in excess of 300% of the total bank borrowings. This facility is to be used solely for temporary or emergency purposes. The interest rate on borrowings is based on the federal funds rate. The committed facility also requires a fee to be paid by the Funds based on the amount of the commitment that has not been utilized. During the six months ended February 28, 2005, the Funds did not have any borrowings under this facility.
7. OTHER MATTERS |
As of February 28, 2005, Goldman, Sachs & Co. Profit Sharing Master Trust was the beneficial owner of approximately 12% and 6% of the outstanding shares of the CORE U.S. Equity Fund and CORE Small Cap Equity Fund, respectively. In addition, the following Goldman Sachs Asset Allocation Portfolios were beneficial owners of the Funds with amounts greater than 5% (as of February 28, 2005 as a percentage of outstanding shares):
Goldman Sachs | Goldman Sachs | Goldman Sachs | Goldman Sachs | |||||||||||||
Balanced | Growth and Income | Growth | Aggressive Growth | |||||||||||||
Fund | Strategy Portfolio | Strategy Portfolio | Strategy Portfolio | Strategy Portfolio | ||||||||||||
CORE Large Cap Growth | — | % | 11 | % | 12 | % | 6 | % | ||||||||
CORE Small Cap Equity | — | 7 | 7 | — | ||||||||||||
CORE Large Cap Value | 5 | 20 | 20 | 9 | ||||||||||||
CORE International Equity | — | 15 | 15 | 8 | ||||||||||||
7. 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, 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 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.
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 International Equity into the Goldman Sachs CORE International Equity Fund. The acquisition was completed on September 28, 2004.
Pursuant to the Agreement, the assets and liabilities of the Golden Oak International Equity (“Acquired Fund”) Institutional Class and Class A were transferred into the Goldman Sachs CORE International Equity (“Survivor Fund”) Institutional Class and Class A, respectively, in a tax-free exchange as follows:
Exchanged | ||||||||||||
Shares | Acquired Fund’s | |||||||||||
of Survivor | Value of | Shares Outstanding | ||||||||||
Survivor/Acquired Fund | Issued | Exchanged Shares | as of September 28, 2004 | |||||||||
Goldman Sachs CORE International Equity Class A/ Golden Oak International Equity Class A | 143,778 | $ | 1,370,167 | 174,727 | ||||||||
Goldman Sachs CORE International Equity Institutional Class/ Golden Oak International Equity Institutional Class | 4,500,559 | 43,746,329 | 5,554,976 | |||||||||
Notes to Financial Statements (continued)
7. OTHER MATTERS (continued) |
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 Funds’ unrealized appreciation and capital loss carryforwards. Utilization of the Acquired Fund’s capital loss carryforward may be limited under the Internal Revenue Code.
Survivor Fund’s | ||||||||||||||||||||
Survivor Fund’s | Acquired Fund’s | Aggregate | ||||||||||||||||||
Aggregate | Aggregate | Acquired | Acquired | Net Assets | ||||||||||||||||
Net Assets | Net Assets | Fund’s | Fund’s | Immediately | ||||||||||||||||
Before | Before | Unrealized | Capital Loss | After | ||||||||||||||||
Survivor/Acquired Fund | Acquisition | Acquisition | Appreciation | Carryforward | Acquisition | |||||||||||||||
Goldman Sachs CORE International Equity/ Golden Oak International Equity | $ | 414,212,685 | $ | 45,116,496 | $ | 3,622,910 | $ | (4,695,681 | ) | $ | 459,329,181 | |||||||||
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 into the Goldman Sachs CORE U.S. Equity Fund. The acquisition was completed on February 28, 2005.
Pursuant to the Agreement, the assets and liabilities of the Expedition Equity (“Acquired Fund”) Institutional Class, Class A and Class B were transferred into the Goldman Sachs CORE U.S. Equity (“Survivor”) Institutional Class, Class A and Class B, respectively, in a tax-free exchange as follows:
Exchanged Shares | Acquired Fund’s | |||||||||||
of Survivor | Value of | Shares Outstanding | ||||||||||
Survivor/Acquired Fund | Issued | Exchanged Shares | as of February 25, 2005 | |||||||||
Goldman Sachs CORE U.S. Equity Class A/ Expedition Equity Class A | 234,940 | $ | 6,634,688 | 799,756 | ||||||||
Goldman Sachs CORE U.S. Equity Class B/ Expedition Equity Class B | 522,540 | 13,993,554 | 1,770,335 | |||||||||
Goldman Sachs CORE U.S. Equity Institutional Class/ Expedition Equity Institutional Class | 3,631,659 | 104,410,705 | 12,455,438 | |||||||||
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 | ||||||||||||||||
Survivor Fund’s | Acquired Fund’s | Aggregate | ||||||||||||||
Aggregate | Aggregate | Acquired | Net Assets | |||||||||||||
Net Assets | Net Assets | Fund’s | Immediately | |||||||||||||
Before | Before | Unrealized | After | |||||||||||||
Survivor/Acquired Fund | Acquisition | Acquisition | Appreciation | Acquisition | ||||||||||||
Goldman Sachs CORE U.S. Equity/ Expedition Equity | $ | 791,212,862 | $ | 125,038,947 | $ | 18,353,229 | $ | 916,251,809 | ||||||||
8. ADDITIONAL TAX INFORMATION |
CORE U.S. | CORE Large Cap | CORE Small Cap | CORE Large Cap | CORE International | |||||||||||||||||
Equity Fund | Growth Fund | Equity Fund | Value Fund | Equity Fund | |||||||||||||||||
Capital loss carryforward: | |||||||||||||||||||||
Expiring 2010 | $ | (28,576,761 | ) | $ | (156,789,602 | ) | $ | — | $ | — | $ | (26,184,711 | ) | ||||||||
Expiring 2011 | (78,171,486 | ) | (145,633,770 | ) | — | (5,811,638 | ) | (51,926,044 | ) | ||||||||||||
Total capital loss carryforward | $ | (106,748,247 | ) | $ | (302,423,372 | ) | $ | — | $ | (5,811,638 | ) | $ | (78,110,755 | ) | |||||||
At February 28, 2005, the Funds’ aggregate security unrealized gains and losses based on cost for U.S. federal income tax purposes was as follows:
CORE U.S. | CORE Large Cap | CORE Small Cap | CORE Large Cap | CORE International | |||||||||||||||||
Equity Fund | Growth Fund | Equity Fund | Value Fund | Equity Fund | |||||||||||||||||
Tax Cost | $ | 840,105,128 | $ | 330,178,308 | $ | 452,553,539 | $ | 378,251,273 | $ | 730,782,277 | |||||||||||
Gross Unrealized Gain | 118,657,896 | 33,990,558 | 67,336,592 | 45,831,815 | 129,213,288 | ||||||||||||||||
Gross Unrealized Loss | (22,876,298 | ) | (10,477,220 | ) | (12,777,769 | ) | (6,563,377 | ) | (344,031 | ) | |||||||||||
Net Unrealized Security Gain | $ | 95,781,598 | $ | 23,513,338 | $ | 54,558,823 | $ | 39,268,438 | $ | 128,869,257 | |||||||||||
The difference between book-basis and tax-basis unrealized gains (losses) is attributable primarily to wash sales, passive foreign investment company investments and return of capital distributions from underlying investments.
Notes to Financial Statements (continued)
9. SUMMARY OF SHARE TRANSACTIONS |
CORE U.S. Equity Fund | ||||||||
Shares | Dollars | |||||||
Class A Shares | ||||||||
Shares sold | 2,058,755 | $ | 56,903,377 | |||||
Shares issued in connection with merger | 234,940 | 6,634,688 | ||||||
Shares converted from Class B (a) | 77,061 | 2,110,764 | ||||||
Reinvestment of dividends and distributions | 116,506 | 3,286,641 | ||||||
Shares repurchased | (1,422,170 | ) | (39,119,645 | ) | ||||
1,065,092 | 29,815,825 | |||||||
Class B Shares | ||||||||
Shares sold | 121,377 | 3,151,525 | ||||||
Shares issued in connection with merger | 522,540 | 13,993,554 | ||||||
Shares converted to Class A (a) | (81,376 | ) | (2,110,764 | ) | ||||
Reinvestment of dividends and distributions | 1,418 | 38,000 | ||||||
Shares repurchased | (594,305 | ) | (15,343,211 | ) | ||||
(30,346 | ) | (270,896 | ) | |||||
Class C Shares | ||||||||
Shares sold | 166,097 | 4,306,866 | ||||||
Reinvestment of dividends and distributions | 1,789 | 47,718 | ||||||
Shares repurchased | (220,863 | ) | (5,721,073 | ) | ||||
(52,977 | ) | (1,366,489 | ) | |||||
Institutional Shares | ||||||||
Shares sold | 776,753 | 22,267,267 | ||||||
Shares issued in connection with merger | 3,631,659 | 104,410,705 | ||||||
Reinvestment of dividends and distributions | 55,474 | 1,591,529 | ||||||
Shares repurchased | (348,429 | ) | (9,672,309 | ) | ||||
4,115,457 | 118,597,192 | |||||||
Service Shares | ||||||||
Shares sold | 52,734 | 1,444,366 | ||||||
Reinvestment of dividends and distributions | 2,468 | 69,042 | ||||||
Shares repurchased | (58,301 | ) | (1,588,093 | ) | ||||
(3,099 | ) | (74,685 | ) | |||||
NET INCREASE (DECREASE) | 5,094,127 | $ | 146,700,947 | |||||
(a) | Class B Shares will automatically convert to 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. |
CORE Large Cap | CORE Small Cap | CORE Large Cap | CORE International | |||||||||||||||||||||||||||||
Growth Fund | Equity Fund | Value Fund | Equity Fund | |||||||||||||||||||||||||||||
Shares | Dollars | Shares | Dollars | Shares | Dollars | Shares | Dollars | |||||||||||||||||||||||||
1,643,847 | $ | 19,581,305 | 3,094,091 | $ | 40,732,740 | 3,300,879 | $ | 39,399,752 | 7,835,833 | $ | 81,683,336 | |||||||||||||||||||||
— | — | — | — | — | — | 143,778 | 1,370,167 | |||||||||||||||||||||||||
22,662 | 263,700 | 12,634 | 160,601 | 2,996 | 35,320 | 6,441 | 65,228 | �� | ||||||||||||||||||||||||
— | — | 477,054 | 6,249,416 | 224,840 | 2,693,114 | 107,079 | 1,120,042 | |||||||||||||||||||||||||
(2,363,725 | ) | (27,434,636 | ) | (2,057,692 | ) | (26,794,124 | ) | (1,675,268 | ) | (19,789,180 | ) | (2,413,306 | ) | (25,615,691 | ) | |||||||||||||||||
(697,216 | ) | (7,589,631 | ) | 1,526,087 | 20,348,633 | 1,853,447 | 22,339,006 | 5,679,825 | 58,623,082 | |||||||||||||||||||||||
87,252 | 977,497 | 97,631 | 1,209,780 | 116,702 | 1,376,928 | 86,774 | 894,223 | |||||||||||||||||||||||||
— | — | — | — | — | — | — | — | |||||||||||||||||||||||||
(23,941 | ) | (263,700 | ) | (13,392 | ) | (160,601 | ) | (3,021 | ) | (35,320 | ) | (6,517 | ) | (65,228 | ) | |||||||||||||||||
— | — | 81,648 | 1,005,077 | 32,894 | 392,896 | — | — | |||||||||||||||||||||||||
(971,097 | ) | (10,866,940 | ) | (257,901 | ) | (3,189,754 | ) | (169,313 | ) | (2,012,211 | ) | (81,844 | ) | (836,369 | ) | |||||||||||||||||
(907,786 | ) | (10,153,143 | ) | (92,014 | ) | (1,135,498 | ) | (22,738 | ) | (277,707 | ) | (1,587 | ) | (7,374 | ) | |||||||||||||||||
78,248 | 14,988 | 299,573 | 3,723,663 | 315,686 | 3,737,824 | 48,483 | 493,854 | |||||||||||||||||||||||||
— | — | 85,890 | 1,060,746 | 32,141 | 384,187 | — | — | |||||||||||||||||||||||||
(419,707 | ) | (139,221 | ) | (381,967 | ) | (4,702,346 | ) | (194,106 | ) | (2,311,763 | ) | (42,303 | ) | (431,890 | ) | |||||||||||||||||
(341,459 | ) | (124,233 | ) | 3,496 | 82,063 | 153,721 | 1,810,248 | 6,180 | 61,964 | |||||||||||||||||||||||
3,835,132 | 864,865 | 5,973,931 | 80,831,242 | 5,040,834 | 60,965,390 | 20,969,434 | 217,459,532 | |||||||||||||||||||||||||
— | — | — | — | — | — | 4,500,559 | 43,746,329 | |||||||||||||||||||||||||
— | — | 646,629 | 8,684,223 | 416,076 | 4,963,145 | 404,691 | 4,305,919 | |||||||||||||||||||||||||
(3,501,616 | ) | (4,730,100 | ) | (1,150,387 | ) | (15,658,440 | ) | (3,622,185 | ) | (41,725,853 | ) | (5,438,615 | ) | (59,958,889 | ) | |||||||||||||||||
333,516 | (3,865,235 | ) | 5,470,173 | 73,857,025 | 1,834,725 | 24,202,682 | 20,436,069 | 205,552,891 | ||||||||||||||||||||||||
1,280 | 48,084,522 | 442,193 | 5,717,961 | 23,691 | 282,351 | 700,222 | 7,659,668 | |||||||||||||||||||||||||
— | — | 84,437 | 1,095,982 | 1,103 | 13,256 | 79 | 826 | |||||||||||||||||||||||||
(11,692 | ) | (40,978,179 | ) | (938,275 | ) | (12,396,340 | ) | (6,042 | ) | (71,718 | ) | (26,684 | ) | (297,697 | ) | |||||||||||||||||
(10,412 | ) | 7,106,343 | (411,645 | ) | (5,582,397 | ) | 18,752 | 223,889 | 673,617 | 7,362,797 | ||||||||||||||||||||||
(1,623,357 | ) | $ | (14,625,899 | ) | 6,496,097 | $ | 87,569,826 | 3,837,907 | $ | 48,298,118 | 26,794,104 | $ | 271,593,360 | |||||||||||||||||||
9. SUMMARY OF SHARE TRANSACTIONS (continued) |
CORE U.S. Equity Fund | ||||||||
Shares | Dollars | |||||||
Class A Shares | ||||||||
Shares sold | 2,755,445 | $ | 69,635,249 | |||||
Shares converted from Class B(a) | 10,043 | 266,647 | ||||||
Reinvestment of dividends and distributions | 45,379 | 1,084,576 | ||||||
Shares repurchased | (2,959,020 | ) | (74,338,189 | ) | ||||
(148,153 | ) | (3,351,717 | ) | |||||
Class B Shares | ||||||||
Shares sold | 341,843 | 8,132,481 | ||||||
Reinvestment of dividends and distributions | — | — | ||||||
Shares converted to Class A(a) | (10,619 | ) | (266,647 | ) | ||||
Shares repurchased | (1,150,729 | ) | (27,556,977 | ) | ||||
(819,505 | ) | (19,691,143 | ) | |||||
Class C Shares | ||||||||
Shares sold | 367,691 | 8,759,704 | ||||||
Reinvestment of dividends and distributions | — | — | ||||||
Shares repurchased | (489,204 | ) | (11,707,029 | ) | ||||
(121,513 | ) | (2,947,325 | ) | |||||
Institutional Shares | ||||||||
Shares sold | 778,406 | 19,625,783 | ||||||
Reinvestment of dividends and distributions | 36,112 | 877,515 | ||||||
Shares repurchased | (1,188,004 | ) | (30,150,911 | ) | ||||
(373,486 | ) | (9,647,613 | ) | |||||
Service Shares | ||||||||
Shares sold | 68,064 | 1,693,903 | ||||||
Reinvestment of dividends and distributions | 939 | 22,268 | ||||||
Shares repurchased | (53,507 | ) | (1,326,233 | ) | ||||
15,496 | 389,938 | |||||||
NET INCREASE (DECREASE) | (1,447,161 | ) | $ | (35,247,860 | ) | |||
(a) | Class B Shares will automatically convert to 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. |
CORE Large Cap | CORE Small Cap | CORE Large Cap | CORE International | |||||||||||||||||||||||||||||
Growth Fund | Equity Fund | Value Fund | Equity Fund | |||||||||||||||||||||||||||||
Shares | Dollars | Shares | Dollars | Shares | Dollars | Shares | Dollars | |||||||||||||||||||||||||
2,693,131 | $ | 30,268,953 | 5,498,013 | $ | 68,780,320 | 3,816,713 | $ | 41,244,797 | 7,338,656 | $ | 67,949,593 | |||||||||||||||||||||
2,315 | 27,086 | 321 | 4,146 | — | — | 3,380 | 32,620 | |||||||||||||||||||||||||
— | — | 396,206 | 4,647,507 | 97,001 | 1,020,334 | 77,596 | 670,434 | |||||||||||||||||||||||||
(4,157,853 | ) | (46,858,544 | ) | (4,222,485 | ) | (53,500,876 | ) | (3,336,746 | ) | (35,925,329 | ) | (6,105,987 | ) | (54,085,786 | ) | |||||||||||||||||
(1,462,407 | ) | (16,562,505 | ) | 1,672,055 | 19,931,097 | 576,968 | 6,339,802 | 1,313,645 | 14,566,861 | |||||||||||||||||||||||
382,745 | 4,056,462 | 272,585 | 3,198,061 | 212,737 | 2,251,937 | 134,918 | 1,217,034 | |||||||||||||||||||||||||
— | — | 98,716 | 1,099,739 | 5,629 | 59,129 | 1,926 | 16,485 | |||||||||||||||||||||||||
(2,440 | ) | (27,086 | ) | (340 | ) | (4,146 | ) | — | — | (3,423 | ) | (32,620 | ) | |||||||||||||||||||
(2,140,534 | ) | (22,879,593 | ) | (426,305 | ) | (5,070,503 | ) | (348,939 | ) | (3,668,785 | ) | (186,537 | ) | (1,684,090 | ) | |||||||||||||||||
(1,760,229 | ) | (18,850,217 | ) | (55,344 | ) | (776,849 | ) | (130,573 | ) | (1,357,719 | ) | (53,116 | ) | (483,191 | ) | |||||||||||||||||
352,855 | 3,807,501 | 799,207 | 9,650,161 | 546,267 | 5,798,181 | 53,648 | 483,762 | |||||||||||||||||||||||||
— | — | 86,552 | 967,716 | 5,301 | 56,044 | 1,009 | 8,649 | |||||||||||||||||||||||||
(938,206 | ) | (9,991,739 | ) | (566,310 | ) | (6,707,271 | ) | (479,117 | ) | (5,051,547 | ) | (137,025 | ) | (1,237,970 | ) | |||||||||||||||||
(585,351 | ) | (6,184,238 | ) | 319,449 | 3,910,606 | 72,451 | 802,678 | (82,368 | ) | (745,559 | ) | |||||||||||||||||||||
4,499,571 | 51,440,998 | 5,879,222 | 76,859,085 | 6,434,376 | 68,739,152 | 10,904,633 | 101,085,936 | |||||||||||||||||||||||||
— | — | 427,596 | 5,114,048 | 261,420 | 2,748,752 | 283,907 | 2,492,705 | |||||||||||||||||||||||||
(5,773,567 | ) | (67,482,859 | ) | (4,175,923 | ) | (50,820,384 | ) | (4,550,134 | ) | (49,934,183 | ) | (4,471,943 | ) | (42,746,078 | ) | |||||||||||||||||
(1,273,996 | ) | (16,041,861 | ) | 2,130,895 | 31,152,749 | 2,145,662 | 21,553,721 | 6,716,597 | 60,832,563 | |||||||||||||||||||||||
�� | 7,043 | 77,725 | 1,698,364 | 20,772,690 | 13,746 | 145,887 | 11,079 | 108,813 | ||||||||||||||||||||||||
— | — | 133,031 | 1,548,482 | 325 | 3,424 | 25 | 209 | |||||||||||||||||||||||||
(14,311 | ) | (161,475 | ) | (1,857,187 | ) | (22,806,509 | ) | (4,890 | ) | (52,874 | ) | (37 | ) | (326 | ) | |||||||||||||||||
(7,268 | ) | (83,750 | ) | (25,792 | ) | (485,337 | ) | 9,181 | 96,437 | 11,067 | 108,696 | |||||||||||||||||||||
(5,089,251 | ) | $ | (57,722,571 | ) | 4,041,263 | $ | 53,732,266 | 2,673,689 | $ | 27,434,919 | 7,905,825 | $ | 74,279,370 | |||||||||||||||||||
Financial Highlights
Income (loss) from | ||||||||||||||||||||||||||||||||
investment operations | Distributions 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 | $ | 25.81 | $ | 0.18 | $ | 2.07 | $ | 2.25 | $ | (0.22 | ) | $ | — | $ | (0.22 | ) | ||||||||||||||||
2005 - B | 24.39 | 0.08 | 1.94 | 2.02 | (0.01 | ) | — | (0.01 | ) | |||||||||||||||||||||||
2005 - C | 24.30 | 0.08 | 1.93 | 2.01 | (0.03 | ) | — | (0.03 | ) | |||||||||||||||||||||||
2005 - Institutional | 26.32 | 0.24 | 2.11 | 2.35 | (0.33 | ) | — | (0.33 | ) | |||||||||||||||||||||||
2005 - Service | 25.60 | 0.17 | 2.05 | 2.22 | (0.20 | ) | — | (0.20 | ) | |||||||||||||||||||||||
FOR THE YEARS ENDED AUGUST 31, | ||||||||||||||||||||||||||||||||
2004 - A | 22.57 | 0.11 | 3.20 | 3.31 | (0.07 | ) | — | (0.07 | ) | |||||||||||||||||||||||
2004 - B | 21.42 | (0.08 | ) | 3.05 | 2.97 | — | — | — | ||||||||||||||||||||||||
2004 - C | 21.34 | (0.08 | ) | 3.04 | 2.96 | — | — | — | ||||||||||||||||||||||||
2004 - Institutional | 23.00 | 0.21 | 3.27 | 3.48 | (0.16 | ) | — | (0.16 | ) | |||||||||||||||||||||||
2004 - Service | 22.40 | 0.08 | 3.19 | 3.27 | (0.07 | ) | — | (0.07 | ) | |||||||||||||||||||||||
2003 - A | 20.18 | 0.09 | 2.31 | 2.40 | (0.01 | ) | — | (0.01 | ) | |||||||||||||||||||||||
2003 - B | 19.28 | (0.06 | ) | 2.20 | 2.14 | — | — | — | ||||||||||||||||||||||||
2003 - C | 19.20 | (0.06 | ) | 2.20 | 2.14 | — | — | — | ||||||||||||||||||||||||
2003 - Institutional | 20.57 | 0.17 | 2.37 | 2.54 | (0.11 | ) | — | (0.11 | ) | |||||||||||||||||||||||
2003 - Service | 20.03 | 0.07 | 2.30 | 2.37 | — | — | — | |||||||||||||||||||||||||
2002 - A | 24.30 | 0.04 | (4.16 | ) | (4.12 | ) | — | — | — | |||||||||||||||||||||||
2002 - B | 23.39 | (0.13 | ) | (3.98 | ) | (4.11 | ) | — | — | — | ||||||||||||||||||||||
2002 - C | 23.29 | (0.12 | ) | (3.97 | ) | (4.09 | ) | — | — | — | ||||||||||||||||||||||
2002 - Institutional | 24.68 | 0.14 | (4.25 | ) | (4.11 | ) | — | — | — | |||||||||||||||||||||||
2002 - Service | 24.15 | 0.02 | (4.14 | ) | (4.12 | ) | — | — | — | |||||||||||||||||||||||
2001 - A | 36.77 | 0.01 | (8.96 | ) | (8.95 | ) | (0.06 | ) | (3.46 | ) | (3.52 | ) | ||||||||||||||||||||
2001 - B | 35.71 | (0.19 | ) | (8.67 | ) | (8.86 | ) | — | (3.46 | ) | (3.46 | ) | ||||||||||||||||||||
2001 - C | 35.59 | (0.19 | ) | (8.65 | ) | (8.84 | ) | — | (3.46 | ) | (3.46 | ) | ||||||||||||||||||||
2001 - Institutional | 37.30 | 0.13 | (9.09 | ) | (8.96 | ) | (0.20 | ) | (3.46 | ) | (3.66 | ) | ||||||||||||||||||||
2001 - Service | 36.54 | (0.01 | ) | (8.91 | ) | (8.92 | ) | (0.01 | ) | (3.46 | ) | (3.47 | ) | |||||||||||||||||||
2000 - A | 34.21 | 0.10 | 6.00 | 6.10 | — | (3.54 | ) | (3.54 | ) | |||||||||||||||||||||||
2000 - B | 33.56 | (0.14 | ) | 5.83 | 5.69 | — | (3.54 | ) | (3.54 | ) | ||||||||||||||||||||||
2000 - C | 33.46 | (0.13 | ) | 5.80 | 5.67 | — | (3.54 | ) | (3.54 | ) | ||||||||||||||||||||||
2000 - Institutional | 34.61 | 0.24 | 6.07 | 6.31 | (0.08 | ) | (3.54 | ) | (3.62 | ) | ||||||||||||||||||||||
2000 - Service | 34.05 | 0.07 | 5.96 | 6.03 | — | (3.54 | ) | (3.54 | ) | |||||||||||||||||||||||
(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. |
62
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 | |||||||||||||||||||||||||||
$ | 27.84 | 8.71 | % | $ | 459,274 | 1.08 | %(b) | 1.35 | %(b) | 1.21 | %(b) | 1.22 | %(b) | 63 | % | |||||||||||||||||||
26.40 | 8.28 | 124,229 | 1.83 | (b) | 0.61 | (b) | 1.96 | (b) | 0.48 | (b) | 63 | |||||||||||||||||||||||
26.28 | 8.28 | 40,419 | 1.83 | (b) | 0.60 | (b) | 1.96 | (b) | 0.47 | (b) | 63 | |||||||||||||||||||||||
28.34 | 8.90 | 268,050 | 0.68 | (b) | 1.72 | (b) | 0.81 | (b) | 1.59 | (b) | 63 | |||||||||||||||||||||||
27.62 | 8.65 | 9,856 | 1.18 | (b) | 1.25 | (b) | 1.31 | (b) | 1.12 | (b) | 63 | |||||||||||||||||||||||
25.81 | 14.71 | 398,346 | 1.13 | 0.43 | 1.25 | 0.31 | 112 | |||||||||||||||||||||||||||
24.39 | 13.87 | 115,492 | 1.88 | (0.32 | ) | 2.00 | (0.44 | ) | 112 | |||||||||||||||||||||||||
24.30 | 13.87 | 38,656 | 1.88 | (0.32 | ) | 2.00 | (0.44 | ) | 112 | |||||||||||||||||||||||||
26.32 | 15.18 | 140,587 | 0.73 | 0.83 | 0.85 | 0.71 | 112 | |||||||||||||||||||||||||||
25.60 | 14.60 | 9,215 | 1.23 | 0.33 | 1.35 | 0.21 | 112 | |||||||||||||||||||||||||||
22.57 | 11.90 | 351,673 | 1.15 | 0.44 | 1.26 | 0.33 | 74 | |||||||||||||||||||||||||||
21.42 | 11.10 | 118,993 | 1.90 | (0.31 | ) | 2.01 | (0.42 | ) | 74 | |||||||||||||||||||||||||
21.34 | 11.15 | 36,546 | 1.90 | (0.31 | ) | 2.01 | (0.42 | ) | 74 | |||||||||||||||||||||||||
23.00 | 12.40 | 131,457 | 0.75 | 0.84 | 0.86 | 0.73 | 74 | |||||||||||||||||||||||||||
22.40 | 11.83 | 7,717 | 1.25 | 0.34 | 1.36 | 0.23 | 74 | |||||||||||||||||||||||||||
20.18 | (16.95 | ) | 340,934 | 1.14 | 0.19 | 1.24 | 0.09 | 74 | ||||||||||||||||||||||||||
19.28 | (17.57 | ) | 125,243 | 1.89 | (0.57 | ) | 1.99 | (0.67 | ) | 74 | ||||||||||||||||||||||||
19.20 | (17.56 | ) | 36,223 | 1.89 | (0.56 | ) | 1.99 | (0.66 | ) | 74 | ||||||||||||||||||||||||
20.57 | (16.65 | ) | 163,439 | 0.74 | 0.59 | 0.84 | 0.49 | 74 | ||||||||||||||||||||||||||
20.03 | (17.06 | ) | 6,484 | 1.24 | 0.09 | 1.34 | (0.01 | ) | 74 | |||||||||||||||||||||||||
24.30 | (25.96 | ) | 471,445 | 1.14 | 0.04 | 1.23 | (0.05 | ) | 54 | |||||||||||||||||||||||||
23.39 | (26.49 | ) | 184,332 | 1.89 | (0.70 | ) | 1.98 | (0.79 | ) | 54 | ||||||||||||||||||||||||
23.29 | (26.53 | ) | 45,841 | 1.89 | (0.70 | ) | 1.98 | (0.79 | ) | 54 | ||||||||||||||||||||||||
24.68 | (25.66 | ) | 255,400 | 0.74 | 0.45 | 0.83 | 0.36 | 54 | ||||||||||||||||||||||||||
24.15 | (26.02 | ) | 8,319 | 1.24 | (0.05 | ) | 1.33 | (0.14 | ) | 54 | ||||||||||||||||||||||||
36.77 | 18.96 | 715,775 | 1.14 | 0.31 | 1.23 | 0.22 | 59 | |||||||||||||||||||||||||||
35.71 | 18.03 | 275,673 | 1.89 | (0.44 | ) | 1.98 | (0.53 | ) | 59 | |||||||||||||||||||||||||
35.59 | 18.03 | 62,820 | 1.89 | (0.43 | ) | 1.98 | (0.52 | ) | 59 | |||||||||||||||||||||||||
37.30 | 19.41 | 379,172 | 0.74 | 0.71 | 0.83 | 0.62 | 59 | |||||||||||||||||||||||||||
36.54 | 18.83 | 11,879 | 1.24 | 0.19 | 1.33 | 0.10 | 59 | |||||||||||||||||||||||||||
Financial Highlights
Income (loss) from | ||||||||||||||||||||||||||||||||
investment operations | Distributions 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 | $ | 11.13 | $ | 0.04 | $ | 0.86 | $ | 0.90 | $ | — | $ | — | $ | — | ||||||||||||||||||
2005 - B | 10.55 | — | (e) | 0.81 | 0.81 | — | — | — | ||||||||||||||||||||||||
2005 - C | 10.55 | — | (e) | 0.81 | 0.81 | — | — | — | ||||||||||||||||||||||||
2005 - Institutional | 11.38 | 0.06 | 0.88 | 0.94 | — | — | — | |||||||||||||||||||||||||
2005 - Service | 11.04 | 0.04 | 0.84 | 0.88 | — | — | — | |||||||||||||||||||||||||
FOR THE YEARS ENDED AUGUST 31, | ||||||||||||||||||||||||||||||||
2004 - A | 10.33 | (0.01 | ) | 0.81 | 0.80 | — | — | — | ||||||||||||||||||||||||
2004 - B | 9.87 | (0.09 | ) | 0.77 | 0.68 | — | — | — | ||||||||||||||||||||||||
2004 - C | 9.87 | (0.09 | ) | 0.77 | 0.68 | — | — | — | ||||||||||||||||||||||||
2004 - Institutional | 10.52 | 0.03 | 0.83 | 0.86 | — | — | — | |||||||||||||||||||||||||
2004 - Service | 10.26 | (0.02 | ) | 0.80 | 0.78 | — | — | — | ||||||||||||||||||||||||
2003 - A | 9.06 | (0.01 | ) | 1.28 | 1.27 | — | — | — | ||||||||||||||||||||||||
2003 - B | 8.72 | (0.07 | ) | 1.22 | 1.15 | — | — | — | ||||||||||||||||||||||||
2003 - C | 8.72 | (0.07 | ) | 1.22 | 1.15 | — | — | — | ||||||||||||||||||||||||
2003 - Institutional | 9.19 | 0.03 | 1.30 | 1.33 | — | — | — | |||||||||||||||||||||||||
2003 - Service | 9.01 | (0.02 | ) | 1.27 | 1.25 | — | — | — | ||||||||||||||||||||||||
2002 - A | 11.51 | (0.03 | ) | (2.38 | ) | (2.41 | ) | — | (0.04 | ) | (0.04 | ) | ||||||||||||||||||||
2002 - B | 11.16 | (0.11 | ) | (2.29 | ) | (2.40 | ) | — | (0.04 | ) | (0.04 | ) | ||||||||||||||||||||
2002 - C | 11.17 | (0.11 | ) | (2.30 | ) | (2.41 | ) | — | (0.04 | ) | (0.04 | ) | ||||||||||||||||||||
2002 - Institutional | 11.63 | 0.01 | (2.41 | ) | (2.40 | ) | — | (0.04 | ) | (0.04 | ) | |||||||||||||||||||||
2002 - Service | 11.45 | (0.04 | ) | (2.36 | ) | (2.40 | ) | — | (0.04 | ) | (0.04 | ) | ||||||||||||||||||||
2001 - A | 22.66 | (0.09 | ) | (9.97 | ) | (10.06 | ) | (0.02 | ) | (1.07 | ) | (1.09 | ) | |||||||||||||||||||
2001 - B | 22.14 | (0.20 | ) | (9.71 | ) | (9.91 | ) | — | (1.07 | ) | (1.07 | ) | ||||||||||||||||||||
2001 - C | 22.15 | (0.20 | ) | (9.71 | ) | (9.91 | ) | — | (1.07 | ) | (1.07 | ) | ||||||||||||||||||||
2001 - Institutional | 22.87 | (0.02 | ) | (10.06 | ) | (10.08 | ) | (0.09 | ) | (1.07 | ) | (1.16 | ) | |||||||||||||||||||
2001 - Service | 22.55 | (0.10 | ) | (9.93 | ) | (10.03 | ) | — | (1.07 | ) | (1.07 | ) | ||||||||||||||||||||
2000 - A | 17.02 | 0.06 | 5.67 | 5.73 | — | (0.09 | ) | (0.09 | ) | |||||||||||||||||||||||
2000 - B | 16.75 | (0.09 | ) | 5.57 | 5.48 | — | (0.09 | ) | (0.09 | ) | ||||||||||||||||||||||
2000 - C | 16.75 | (0.08 | ) | 5.57 | 5.49 | — | (0.09 | ) | (0.09 | ) | ||||||||||||||||||||||
2000 - Institutional | 17.10 | 0.13 | 5.73 | 5.86 | — | (0.09 | ) | (0.09 | ) | |||||||||||||||||||||||
2000 - Service | 16.95 | 0.03 | 5.66 | 5.69 | — | (0.09 | ) | (0.09 | ) | |||||||||||||||||||||||
(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 claims receivable recorded during the period. If restated, the performance would have been 8.09%, 7.68%, 7.68%, 8.26% and 7.97% for Class A, Class B, Class C, Institutional and Service Shares, respectively. |
(e) | Amount is less than $0.005 per share. |
64
Ratios assuming no | ||||||||||||||||||||||||||||||||||
expense reductions | ||||||||||||||||||||||||||||||||||
Ratio of | Ratio of | Ratio of | ||||||||||||||||||||||||||||||||
Net assets | Ratio of | net investment | total | net investment | ||||||||||||||||||||||||||||||
Net asset | at 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 | |||||||||||||||||||||||||||
$ | 12.03 | 8.00 | %(d) | $ | 122,249 | 1.10 | %(b) | 0.73 | %(b) | 1.25 | % (b) | 0.58 | %(b) | 76 | % | |||||||||||||||||||
11.36 | 7.58 | (d) | 74,544 | 1.85 | (b) | 0.01 | (b) | 2.00 | (b) | 0.14 | (b) | 76 | ||||||||||||||||||||||
11.36 | 7.58 | (d) | 31,546 | 1.85 | (b) | 0.01 | (b) | 2.00 | (b) | 0.14 | (b) | 76 | ||||||||||||||||||||||
12.32 | 8.17 | (d) | 122,533 | 0.70 | (b) | 1.01 | (b) | 0.85 | (b) | 0.86 | (b) | 76 | ||||||||||||||||||||||
11.92 | 7.88 | (d) | 265 | 1.20 | (b) | 0.69 | (b) | 1.35 | (b) | 0.54 | (b) | 76 | ||||||||||||||||||||||
11.13 | 7.74 | 120,872 | 1.15 | (0.10 | ) | 1.29 | (0.24 | ) | 149 | |||||||||||||||||||||||||
10.55 | 6.89 | 78,810 | 1.90 | (0.85 | ) | 2.04 | (0.99 | ) | 149 | |||||||||||||||||||||||||
10.55 | 6.89 | 32,901 | 1.90 | (0.85 | ) | 2.04 | (0.99 | ) | 149 | |||||||||||||||||||||||||
11.38 | 8.17 | 109,353 | 0.75 | 0.31 | 0.89 | 0.17 | 149 | |||||||||||||||||||||||||||
11.04 | 7.60 | 361 | 1.25 | (0.20 | ) | 1.39 | (0.34 | ) | 149 | |||||||||||||||||||||||||
10.33 | 14.02 | 127,317 | 1.18 | (0.07 | ) | 1.31 | (0.20 | ) | 119 | |||||||||||||||||||||||||
9.87 | 13.19 | 91,084 | 1.93 | (0.82 | ) | 2.06 | (0.95 | ) | 119 | |||||||||||||||||||||||||
9.87 | 13.19 | 36,553 | 1.93 | (0.82 | ) | 2.06 | (0.95 | ) | 119 | |||||||||||||||||||||||||
10.52 | 14.47 | 114,524 | 0.78 | 0.33 | 0.91 | 0.20 | 119 | |||||||||||||||||||||||||||
10.26 | 13.87 | 410 | 1.28 | (0.17 | ) | 1.41 | (0.30 | ) | 119 | |||||||||||||||||||||||||
9.06 | (21.04 | ) | 139,593 | 1.17 | (0.32 | ) | 1.27 | (0.42 | ) | 113 | ||||||||||||||||||||||||
8.72 | (21.61 | ) | 99,959 | 1.92 | (1.06 | ) | 2.02 | (1.16 | ) | 113 | ||||||||||||||||||||||||
8.72 | (21.68 | ) | 41,627 | 1.92 | (1.07 | ) | 2.02 | (1.17 | ) | 113 | ||||||||||||||||||||||||
9.19 | (20.74 | ) | 131,590 | 0.77 | 0.08 | 0.87 | (0.02 | ) | 113 | |||||||||||||||||||||||||
9.01 | (21.06 | ) | 409 | 1.27 | (0.41 | ) | 1.37 | (0.51 | ) | 113 | ||||||||||||||||||||||||
11.51 | (45.97 | ) | 246,785 | 1.16 | (0.57 | ) | 1.24 | (0.65 | ) | 68 | ||||||||||||||||||||||||
11.16 | (46.37 | ) | 167,469 | 1.91 | (1.32 | ) | 1.99 | (1.40 | ) | 68 | ||||||||||||||||||||||||
11.17 | (46.35 | ) | 77,398 | 1.91 | (1.32 | ) | 1.99 | (1.40 | ) | 68 | ||||||||||||||||||||||||
11.63 | (45.73 | ) | 201,935 | 0.76 | (0.15 | ) | 0.84 | (0.23 | ) | 68 | ||||||||||||||||||||||||
11.45 | (46.05 | ) | 1,316 | 1.26 | (0.68 | ) | 1.34 | (0.76 | ) | 68 | ||||||||||||||||||||||||
22.66 | 33.73 | 545,763 | 1.09 | 0.31 | 1.24 | 0.16 | 73 | |||||||||||||||||||||||||||
22.14 | 32.78 | 338,128 | 1.84 | (0.44 | ) | 1.99 | (0.59 | ) | 73 | |||||||||||||||||||||||||
22.15 | 32.84 | 154,966 | 1.84 | (0.43 | ) | 1.99 | (0.58 | ) | 73 | |||||||||||||||||||||||||
22.87 | 34.34 | 322,900 | 0.69 | 0.65 | 0.84 | 0.50 | 73 | |||||||||||||||||||||||||||
22.55 | 33.64 | 3,879 | 1.19 | 0.15 | 1.34 | — | 73 | |||||||||||||||||||||||||||
Financial Highlights
Income (loss) from | ||||||||||||||||||||||||||||||||
investment operations | Distributions 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 | $ | 12.24 | $ | (0.02 | ) | $ | 1.91 | $ | 1.89 | $ | — | $ | (0.69 | ) | $ | (0.69 | ) | |||||||||||||||
2005 - B | 11.56 | (0.06 | ) | 1.79 | 1.73 | — | (0.69 | ) | (0.69 | ) | ||||||||||||||||||||||
2005 - C | 11.60 | (0.06 | ) | 1.80 | 1.74 | — | (0.69 | ) | (0.69 | ) | ||||||||||||||||||||||
2005 - Institutional | 12.52 | — | (d) | 1.95 | 1.95 | — | (0.69 | ) | (0.69 | ) | ||||||||||||||||||||||
2005 - Service | 12.13 | (0.02 | ) | 1.88 | 1.86 | — | (0.69 | ) | (0.69 | ) | ||||||||||||||||||||||
FOR THE YEARS ENDED AUGUST 31, | ||||||||||||||||||||||||||||||||
2004 - A | 11.61 | (0.04 | ) | 1.38 | 1.34 | (0.02 | ) | (0.69 | ) | (0.71 | ) | |||||||||||||||||||||
2004 - B | 11.06 | (0.13 | ) | 1.32 | 1.19 | — | (0.69 | ) | (0.69 | ) | ||||||||||||||||||||||
2004 - C | 11.10 | (0.13 | ) | 1.32 | 1.19 | — | (0.69 | ) | (0.69 | ) | ||||||||||||||||||||||
2004 - Institutional | 11.84 | 0.01 | 1.41 | 1.42 | (0.05 | ) | (0.69 | ) | (0.74 | ) | ||||||||||||||||||||||
2004 - Service | 11.53 | (0.05 | ) | 1.36 | 1.31 | (0.02 | ) | (0.69 | ) | (0.71 | ) | |||||||||||||||||||||
2003 - A | 9.36 | 0.02 | 2.23 | 2.25 | — | — | — | |||||||||||||||||||||||||
2003 - B | 8.99 | (0.05 | ) | 2.12 | 2.07 | — | — | — | ||||||||||||||||||||||||
2003 - C | 9.01 | (0.05 | ) | 2.14 | 2.09 | — | — | — | ||||||||||||||||||||||||
2003 - Institutional | 9.51 | 0.06 | 2.27 | 2.33 | — | — | — | |||||||||||||||||||||||||
2003 - Service | 9.30 | 0.01 | 2.22 | 2.23 | — | — | — | |||||||||||||||||||||||||
2002 - A | 10.59 | — | (d) | (0.83 | ) | (0.83 | ) | — | (0.40 | ) | (0.40 | ) | ||||||||||||||||||||
2002 - B | 10.26 | (0.08 | ) | (0.79 | ) | (0.87 | ) | — | (0.40 | ) | (0.40 | ) | ||||||||||||||||||||
2002 - C | 10.29 | (0.07 | ) | (0.81 | ) | (0.88 | ) | — | (0.40 | ) | (0.40 | ) | ||||||||||||||||||||
2002 - Institutional | 10.76 | 0.04 | (0.85 | ) | (0.81 | ) | (0.04 | ) | (0.40 | ) | (0.44 | ) | ||||||||||||||||||||
2002 - Service | 10.55 | 0.01 | (0.84 | ) | (0.83 | ) | (0.02 | ) | (0.40 | ) | (0.42 | ) | ||||||||||||||||||||
2001 - A | 12.90 | 0.01 | (1.12 | ) | (1.11 | ) | — | (1.20 | ) | (1.20 | ) | |||||||||||||||||||||
2001 - B | 12.63 | (0.07 | ) | (1.10 | ) | (1.17 | ) | — | (1.20 | ) | (1.20 | ) | ||||||||||||||||||||
2001 - C | 12.66 | (0.07 | ) | (1.10 | ) | (1.17 | ) | — | (1.20 | ) | (1.20 | ) | ||||||||||||||||||||
2001 - Institutional | 13.03 | 0.05 | (1.12 | ) | (1.07 | ) | — | (1.20 | ) | (1.20 | ) | |||||||||||||||||||||
2001 - Service | 12.87 | — | (d) | (1.12 | ) | (1.12 | ) | — | (1.20 | ) | (1.20 | ) | ||||||||||||||||||||
2000 - A | 10.23 | (0.03 | ) | 2.70 | 2.67 | — | — | — | ||||||||||||||||||||||||
2000 - B | 10.09 | (0.11 | ) | 2.65 | 2.54 | — | — | — | ||||||||||||||||||||||||
2000 - C | 10.10 | (0.10 | ) | 2.66 | 2.56 | — | — | — | ||||||||||||||||||||||||
2000 - Institutional | 10.30 | 0.02 | 2.71 | 2.73 | — | — | — | |||||||||||||||||||||||||
2000 - Service | 10.22 | (0.04 | ) | 2.69 | 2.65 | — | — | — | ||||||||||||||||||||||||
(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. |
66
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 | |||||||||||||||||||||||||||
$ | 13.44 | 15.52 | % | $ | 146,384 | 1.33 | %(b) | (0.25 | )% (b) | 1.39 | %(b) | (0.31 | )% (b) | 65 | % | |||||||||||||||||||
12.60 | 15.03 | 20,251 | 2.08 | (b) | (0.94 | )(b) | 2.14 | (b) | (1.00 | )(b) | 65 | |||||||||||||||||||||||
12.65 | 15.08 | 22,846 | 2.08 | (b) | (0.98 | )(b) | 2.14 | (b) | (1.04 | )(b) | 65 | |||||||||||||||||||||||
13.78 | 15.74 | 235,061 | 0.93 | (b) | 0.08 | (b) | 0.99 | (b) | 0.02 | (b) | 65 | |||||||||||||||||||||||
13.30 | 15.40 | 41,252 | 1.43 | (b) | (0.31 | )(b) | 1.49 | (b) | (0.37 | )(b) | 65 | |||||||||||||||||||||||
12.24 | 11.87 | 114,684 | 1.33 | (0.30 | ) | 1.43 | (0.40 | ) | 153 | |||||||||||||||||||||||||
11.56 | 11.08 | 19,642 | 2.08 | (1.04 | ) | 2.18 | (1.14 | ) | 153 | |||||||||||||||||||||||||
11.60 | 11.05 | 20,915 | 2.08 | (1.05 | ) | 2.18 | (1.15 | ) | 153 | |||||||||||||||||||||||||
12.52 | 12.31 | 145,003 | 0.93 | 0.10 | 1.03 | — | 153 | |||||||||||||||||||||||||||
12.13 | 11.79 | 42,618 | 1.43 | (0.40 | ) | 1.53 | (0.50 | ) | 153 | |||||||||||||||||||||||||
11.61 | 24.04 | 89,340 | 1.34 | 0.25 | 1.52 | 0.07 | 149 | |||||||||||||||||||||||||||
11.06 | 23.03 | 19,408 | 2.09 | (0.51 | ) | 2.27 | (0.69 | ) | 149 | |||||||||||||||||||||||||
11.10 | 23.09 | 16,463 | 2.09 | (0.51 | ) | 2.27 | (0.69 | ) | 149 | |||||||||||||||||||||||||
11.84 | 24.50 | 111,957 | 0.94 | 0.65 | 1.12 | 0.47 | 149 | |||||||||||||||||||||||||||
11.53 | 23.87 | 40,775 | 1.44 | 0.15 | 1.62 | (0.03 | ) | 149 | ||||||||||||||||||||||||||
9.36 | (8.20 | ) | 57,014 | 1.34 | 0.01 | 1.58 | (0.23 | ) | 136 | |||||||||||||||||||||||||
8.99 | (8.88 | ) | 16,854 | 2.09 | (0.74 | ) | 2.33 | (0.98 | ) | 136 | ||||||||||||||||||||||||
9.01 | (8.95 | ) | 11,504 | 2.09 | (0.74 | ) | 2.33 | (0.98 | ) | 136 | ||||||||||||||||||||||||
9.51 | (7.93 | ) | 57,683 | 0.94 | 0.39 | 1.18 | 0.15 | 136 | ||||||||||||||||||||||||||
9.30 | (8.27 | ) | 28,999 | 1.44 | 0.15 | 1.68 | (0.09 | ) | 136 | |||||||||||||||||||||||||
10.59 | (8.64 | ) | 50,093 | 1.33 | 0.09 | 1.59 | (0.17 | ) | 85 | |||||||||||||||||||||||||
10.26 | (9.35 | ) | 16,125 | 2.08 | (0.66 | ) | 2.34 | (0.92 | ) | 85 | ||||||||||||||||||||||||
10.29 | (9.32 | ) | 8,885 | 2.08 | (0.66 | ) | 2.34 | (0.92 | ) | 85 | ||||||||||||||||||||||||
10.76 | (8.28 | ) | 62,794 | 0.93 | 0.48 | 1.19 | 0.22 | 85 | ||||||||||||||||||||||||||
10.55 | (8.75 | ) | 201 | 1.43 | 0.03 | 1.69 | (0.23 | ) | 85 | |||||||||||||||||||||||||
12.90 | 26.10 | 54,954 | 1.33 | (0.21 | ) | 1.55 | (0.43 | ) | 135 | |||||||||||||||||||||||||
12.63 | 25.17 | 17,923 | 2.08 | (0.96 | ) | 2.30 | (1.18 | ) | 135 | |||||||||||||||||||||||||
12.66 | 25.35 | 8,289 | 2.08 | (0.96 | ) | 2.30 | (1.18 | ) | 135 | |||||||||||||||||||||||||
13.03 | 26.60 | 86,196 | 0.93 | 0.19 | 1.15 | (0.03 | ) | 135 | ||||||||||||||||||||||||||
12.87 | 25.93 | 63 | 1.43 | (0.30 | ) | 1.65 | (0.52 | ) | 135 | |||||||||||||||||||||||||
Financial Highlights
Income (loss) from | ||||||||||||||||||||||||||||||||
investment operations | Distributions 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 | $ | 11.15 | $ | 0.06 | $ | 1.32 | $ | 1.38 | $ | (0.02 | ) | $ | (0.25 | ) | (0.27 | ) | ||||||||||||||||
2005 - B | 11.06 | 0.01 | 1.33 | 1.34 | — | (0.25 | ) | (0.25 | ) | |||||||||||||||||||||||
2005 - C | 11.07 | 0.01 | 1.34 | 1.35 | — | (0.25 | ) | (0.25 | ) | |||||||||||||||||||||||
2005 - Institutional | 11.14 | 0.08 | 1.31 | 1.39 | (0.03 | ) | (0.25 | ) | (0.28 | ) | ||||||||||||||||||||||
2005 - Service | 11.18 | 0.05 | 1.33 | 1.38 | (0.02 | ) | (0.25 | ) | (0.27 | ) | ||||||||||||||||||||||
FOR THE YEARS ENDED AUGUST 31, | ||||||||||||||||||||||||||||||||
2004 - A | 9.48 | 0.04 | 1.75 | 1.79 | (0.12 | ) | — | (0.12 | ) | |||||||||||||||||||||||
2004 - B | 9.40 | (0.04 | ) | 1.74 | 1.70 | (0.04 | ) | — | (0.04 | ) | ||||||||||||||||||||||
2004 - C | 9.42 | (0.04 | ) | 1.73 | 1.69 | (0.04 | ) | — | (0.04 | ) | ||||||||||||||||||||||
2004 - Institutional | 9.47 | 0.09 | 1.74 | 1.83 | (0.16 | ) | — | (0.16 | ) | |||||||||||||||||||||||
2004 - Service | 9.50 | 0.03 | 1.76 | 1.79 | (0.11 | ) | — | (0.11 | ) | |||||||||||||||||||||||
2003 - A | 8.74 | 0.10 | 0.74 | 0.84 | (0.10 | ) | — | (0.10 | ) | |||||||||||||||||||||||
2003 - B | 8.67 | 0.03 | 0.73 | 0.76 | (0.03 | ) | — | (0.03 | ) | |||||||||||||||||||||||
2003 - C | 8.68 | 0.03 | 0.74 | 0.77 | (0.03 | ) | — | (0.03 | ) | |||||||||||||||||||||||
2003 - Institutional | 8.74 | 0.13 | 0.73 | 0.86 | (0.13 | ) | — | (0.13 | ) | |||||||||||||||||||||||
2003 - Service | 8.74 | 0.09 | 0.74 | 0.83 | (0.07 | ) | — | (0.07 | ) | |||||||||||||||||||||||
2002 - A | 10.31 | 0.07 | (1.57 | ) | (1.50 | ) | (0.07 | ) | — | (0.07 | ) | |||||||||||||||||||||
2002 - B | 10.24 | — | (d) | (1.56 | ) | (1.56 | ) | (0.01 | ) | — | (0.01 | ) | ||||||||||||||||||||
2002 - C | 10.25 | — | (d) | (1.56 | ) | (1.56 | ) | (0.01 | ) | — | (0.01 | ) | ||||||||||||||||||||
2002 - Institutional | 10.31 | 0.11 | (1.57 | ) | (1.46 | ) | (0.11 | ) | — | (0.11 | ) | |||||||||||||||||||||
2002 - Service | 10.31 | 0.07 | (1.58 | ) | (1.51 | ) | (0.06 | ) | — | (0.06 | ) | |||||||||||||||||||||
2001 - A | 10.81 | 0.07 | (0.42 | ) | (0.35 | ) | (0.09 | ) | (0.06 | ) | (0.15 | ) | ||||||||||||||||||||
2001 - B | 10.75 | (0.01 | ) | (0.42 | ) | (0.43 | ) | (0.02 | ) | (0.06 | ) | (0.08 | ) | |||||||||||||||||||
2001 - C | 10.76 | (0.01 | ) | (0.42 | ) | (0.43 | ) | (0.02 | ) | (0.06 | ) | (0.08 | ) | |||||||||||||||||||
2001 - Institutional | 10.82 | 0.11 | (0.43 | ) | (0.32 | ) | (0.13 | ) | (0.06 | ) | (0.19 | ) | ||||||||||||||||||||
2001 - Service | 10.81 | 0.06 | (0.42 | ) | (0.36 | ) | (0.08 | ) | (0.06 | ) | (0.14 | ) | ||||||||||||||||||||
2000 - A | 10.55 | 0.12 | 0.36 | 0.48 | (0.10 | ) | (0.12 | ) | (0.22 | ) | ||||||||||||||||||||||
2000 - B | 10.50 | 0.05 | 0.36 | 0.41 | (0.04 | ) | (0.12 | ) | (0.16 | ) | ||||||||||||||||||||||
2000 - C | 10.51 | 0.04 | 0.37 | 0.41 | (0.04 | ) | (0.12 | ) | (0.16 | ) | ||||||||||||||||||||||
2000 - Institutional | 10.55 | 0.16 | 0.37 | 0.53 | (0.14 | ) | (0.12 | ) | (0.26 | ) | ||||||||||||||||||||||
2000 - Service | 10.55 | 0.11 | 0.36 | 0.47 | (0.09 | ) | (0.12 | ) | (0.21 | ) | ||||||||||||||||||||||
(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. |
68
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 | |||||||||||||||||||||||||||
$ | 12.26 | 12.69 | % | $ | 133,063 | 1.10 | %(b) | 0.99 | %(b) | 1.14 | %(b) | 0.95 | %(b) | 77 | % | |||||||||||||||||||
12.15 | 12.21 | 21,505 | 1.85 | (b) | 0.24 | (b) | 1.89 | (b) | 0.20 | (b) | 77 | |||||||||||||||||||||||
12.17 | 12.30 | 20,580 | 1.85 | (b) | 0.24 | (b) | 1.89 | (b) | 0.20 | (b) | 77 | |||||||||||||||||||||||
12.25 | 12.92 | 236,343 | 0.70 | (b) | 1.39 | (b) | 0.74 | (b) | 1.35 | (b) | 77 | |||||||||||||||||||||||
12.29 | 12.61 | 767 | 1.20 | (b) | 0.89 | (b) | 1.24 | (b) | 0.85 | (b) | 77 | |||||||||||||||||||||||
11.15 | 18.93 | 100,374 | 1.10 | 0.95 | 1.15 | 0.90 | 154 | |||||||||||||||||||||||||||
11.06 | 18.09 | 19,819 | 1.85 | 0.19 | 1.90 | 0.14 | 154 | |||||||||||||||||||||||||||
11.07 | 17.97 | 17,027 | 1.85 | 0.19 | 1.90 | 0.14 | 154 | |||||||||||||||||||||||||||
11.14 | 19.41 | 194,541 | 0.70 | 1.36 | 0.75 | 1.31 | 154 | |||||||||||||||||||||||||||
11.18 | 18.89 | 487 | 1.20 | 0.84 | 1.25 | 0.79 | 154 | |||||||||||||||||||||||||||
9.48 | 9.70 | 79,866 | 1.11 | 1.13 | 1.22 | 1.02 | 102 | |||||||||||||||||||||||||||
9.40 | 8.83 | 18,077 | 1.86 | 0.38 | 1.97 | 0.27 | 102 | |||||||||||||||||||||||||||
9.42 | 8.95 | 13,798 | 1.86 | 0.37 | 1.97 | 0.26 | 102 | |||||||||||||||||||||||||||
9.47 | 10.03 | 145,059 | 0.71 | 1.52 | 0.82 | 1.41 | 102 | |||||||||||||||||||||||||||
9.50 | 9.58 | 327 | 1.21 | 1.02 | 1.32 | 0.91 | 102 | |||||||||||||||||||||||||||
8.74 | (14.61 | ) | 76,472 | 1.11 | 0.76 | 1.20 | 0.67 | 112 | ||||||||||||||||||||||||||
8.67 | (15.28 | ) | 18,828 | 1.86 | 0.00 | 1.95 | (0.09 | ) | 112 | |||||||||||||||||||||||||
8.68 | (15.26 | ) | 12,533 | 1.86 | 0.01 | 1.95 | (0.08 | ) | 112 | |||||||||||||||||||||||||
8.74 | (14.25 | ) | 108,613 | 0.71 | 1.15 | 0.80 | 1.06 | 112 | ||||||||||||||||||||||||||
8.74 | (14.70 | ) | 281 | 1.21 | 0.72 | 1.30 | 0.63 | 112 | ||||||||||||||||||||||||||
10.31 | (3.32 | ) | 89,861 | 1.10 | 0.64 | 1.17 | 0.57 | 70 | ||||||||||||||||||||||||||
10.24 | (4.08 | ) | 22,089 | 1.85 | (0.11 | ) | 1.92 | (0.18 | ) | 70 | ||||||||||||||||||||||||
10.25 | (4.07 | ) | 15,222 | 1.85 | (0.11 | ) | 1.92 | (0.18 | ) | 70 | ||||||||||||||||||||||||
10.31 | (3.03 | ) | 132,684 | 0.70 | 1.04 | 0.77 | 0.97 | 70 | ||||||||||||||||||||||||||
10.31 | (3.43 | ) | 56 | 1.20 | 0.52 | 1.27 | 0.45 | 70 | ||||||||||||||||||||||||||
10.81 | 4.68 | 100,972 | 1.06 | 1.14 | 1.17 | 1.03 | 83 | |||||||||||||||||||||||||||
10.75 | 3.96 | 19,069 | 1.81 | 0.44 | 1.92 | 0.33 | 83 | |||||||||||||||||||||||||||
10.76 | 3.97 | 11,178 | 1.81 | 0.45 | 1.92 | 0.34 | 83 | |||||||||||||||||||||||||||
10.82 | 5.20 | 175,493 | 0.66 | 1.54 | 0.77 | 1.43 | 83 | |||||||||||||||||||||||||||
10.81 | 4.60 | 12 | 1.16 | 1.07 | 1.27 | 0.96 | 83 | |||||||||||||||||||||||||||
Financial Highlights
Income (loss) from | ||||||||||||||||||||||||||||||||
investment operations | Distributions 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 | $ | 9.49 | $ | 0.01 | $ | 1.95 | $ | 1.96 | $ | (0.07 | ) | $ | — | $ | (0.07 | ) | ||||||||||||||||
2005 - B | 9.37 | (0.03 | ) | 1.92 | 1.89 | — | — | — | ||||||||||||||||||||||||
2005 - C | 9.37 | (0.03 | ) | 1.93 | 1.90 | — | — | — | ||||||||||||||||||||||||
2005 - Institutional | 9.68 | 0.03 | 1.99 | 2.02 | (0.11 | ) | — | (0.11 | ) | |||||||||||||||||||||||
2005 - Service | 9.54 | 0.04 | 1.92 | 1.96 | (0.08 | ) | — | (0.08 | ) | |||||||||||||||||||||||
FOR THE YEARS ENDED AUGUST 31, | ||||||||||||||||||||||||||||||||
2004 - A | 7.66 | 0.10 | 1.80 | 1.90 | (0.07 | ) | — | (0.07 | ) | |||||||||||||||||||||||
2004 - B | 7.56 | 0.04 | 1.80 | 1.84 | (0.03 | ) | — | (0.03 | ) | |||||||||||||||||||||||
2004 - C | 7.56 | 0.04 | 1.79 | 1.83 | (0.02 | ) | — | (0.02 | ) | |||||||||||||||||||||||
2004 - Institutional | 7.80 | 0.15 | 1.84 | 1.99 | (0.11 | ) | — | (0.11 | ) | |||||||||||||||||||||||
2004 - Service | 7.70 | 0.15 | 1.77 | 1.92 | (0.08 | ) | — | (0.08 | ) | |||||||||||||||||||||||
2003 - A | 7.35 | 0.08 | 0.28 | 0.36 | (0.05 | ) | — | (0.05 | ) | |||||||||||||||||||||||
2003 - B | 7.24 | 0.04 | 0.28 | 0.32 | — | (d) | — | — | (d) | |||||||||||||||||||||||
2003 - C | 7.25 | 0.04 | 0.28 | 0.32 | (0.01 | ) | — | (0.01 | ) | |||||||||||||||||||||||
2003 - Institutional | 7.49 | 0.12 | 0.29 | 0.41 | (0.10 | ) | — | (0.10 | ) | |||||||||||||||||||||||
2003 - Service | 7.39 | 0.10 | 0.27 | 0.37 | (0.06 | ) | — | (0.06 | ) | |||||||||||||||||||||||
2002 - A | 8.38 | 0.03 | (1.06 | ) | (1.03 | ) | — | — | — | |||||||||||||||||||||||
2002 - B | 8.29 | (0.01 | ) | (1.04 | ) | (1.05 | ) | — | — | — | ||||||||||||||||||||||
2002 - C | 8.30 | (0.01 | ) | (1.04 | ) | (1.05 | ) | — | — | — | ||||||||||||||||||||||
2002 - Institutional | 8.50 | 0.08 | (1.07 | ) | (0.99 | ) | (0.02 | ) | — | (0.02 | ) | |||||||||||||||||||||
2002 - Service | 8.41 | 0.05 | (1.07 | ) | (1.02 | ) | — | — | — | |||||||||||||||||||||||
2001 - A | 11.32 | — | (d) | (2.35 | ) | (2.35 | ) | (0.04 | ) | (0.55 | ) | (0.59 | ) | |||||||||||||||||||
2001 - B | 11.22 | (0.04 | ) | (2.34 | ) | (2.38 | ) | — | (0.55 | ) | (0.55 | ) | ||||||||||||||||||||
2001 - C | 11.23 | (0.04 | ) | (2.34 | ) | (2.38 | ) | — | (0.55 | ) | (0.55 | ) | ||||||||||||||||||||
2001 - Institutional | 11.48 | 0.07 | (2.39 | ) | (2.32 | ) | (0.11 | ) | (0.55 | ) | (0.66 | ) | ||||||||||||||||||||
2001 - Service | 11.36 | 0.02 | (2.36 | ) | (2.34 | ) | (0.06 | ) | (0.55 | ) | (0.61 | ) | ||||||||||||||||||||
2000 - A | 10.87 | 0.02 | 0.74 | 0.76 | (0.05 | ) | (0.26 | ) | (0.31 | ) | ||||||||||||||||||||||
2000 - B | 10.81 | (0.04 | ) | 0.73 | 0.69 | (0.02 | ) | (0.26 | ) | (0.28 | ) | |||||||||||||||||||||
2000 - C | 10.82 | (0.03 | ) | 0.72 | 0.69 | (0.02 | ) | (0.26 | ) | (0.28 | ) | |||||||||||||||||||||
2000 - Institutional | 11.00 | 0.09 | 0.75 | 0.84 | (0.10 | ) | (0.26 | ) | (0.36 | ) | ||||||||||||||||||||||
2000 - Service | 10.93 | 0.05 | 0.73 | 0.78 | (0.09 | ) | (0.26 | ) | (0.35 | ) | ||||||||||||||||||||||
(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. |
70
Ratios assuming no | ||||||||||||||||||||||||||||||||||
expense reductions | ||||||||||||||||||||||||||||||||||
Ratio of | Ratio of | |||||||||||||||||||||||||||||||||
Net assets, | Ratio of | net investment | Ratio of | net investment | ||||||||||||||||||||||||||||||
Net asset | end of | net expenses | income (loss) | total 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 | |||||||||||||||||||||||||||
$ | 11.38 | 20.73 | % | $ | 220,798 | 1.40 | %(b) | 0.15 | %(b) | 1.40 | %(b) | 0.15 | %(b) | 33 | % | |||||||||||||||||||
11.26 | 20.17 | 7,686 | 2.15 | (b) | (0.61 | )(b) | 2.15 | (b) | (0.61 | )(b) | 33 | |||||||||||||||||||||||
11.27 | 20.28 | 4,574 | 2.15 | (b) | (0.61 | )(b) | 2.15 | (b) | (0.61 | )(b) | 33 | |||||||||||||||||||||||
11.59 | 20.96 | 549,285 | 1.00 | (b) | 0.53 | (b) | 1.00 | (b) | 0.53 | (b) | 33 | |||||||||||||||||||||||
11.42 | 20.66 | 7,863 | 1.50 | (b) | 0.74 | (b) | 1.50 | (b) | 0.74 | (b) | 33 | |||||||||||||||||||||||
9.49 | 24.85 | 130,291 | 1.59 | 1.08 | 1.68 | 0.99 | 99 | |||||||||||||||||||||||||||
9.37 | 24.31 | 6,408 | 2.16 | 0.45 | 2.25 | 0.36 | 99 | |||||||||||||||||||||||||||
9.37 | 24.28 | 3,747 | 2.16 | 0.43 | 2.25 | 0.34 | 99 | |||||||||||||||||||||||||||
9.68 | 25.71 | 261,118 | 1.01 | 1.65 | 1.10 | 1.56 | 99 | |||||||||||||||||||||||||||
9.54 | 25.08 | 144 | 1.51 | 1.55 | 1.60 | 1.46 | 99 | |||||||||||||||||||||||||||
7.66 | 5.00 | 95,015 | 1.67 | 1.12 | 1.84 | 0.95 | 122 | |||||||||||||||||||||||||||
7.56 | 4.45 | 5,574 | 2.17 | 0.56 | 2.34 | 0.39 | 122 | |||||||||||||||||||||||||||
7.56 | 4.38 | 3,646 | 2.17 | 0.64 | 2.34 | 0.47 | 122 | |||||||||||||||||||||||||||
7.80 | 5.64 | 158,021 | 1.02 | 1.73 | 1.19 | 1.56 | 122 | |||||||||||||||||||||||||||
7.70 | 5.14 | 31 | 1.52 | 1.45 | 1.69 | 1.28 | 122 | |||||||||||||||||||||||||||
7.35 | (12.29 | ) | 72,405 | 1.67 | 0.38 | 1.82 | 0.23 | 115 | ||||||||||||||||||||||||||
7.24 | (12.67 | ) | 6,434 | 2.17 | (0.07 | ) | 2.32 | (0.22 | ) | 115 | ||||||||||||||||||||||||
7.25 | (12.65 | ) | 3,963 | 2.17 | (0.07 | ) | 2.32 | (0.22 | ) | 115 | ||||||||||||||||||||||||
7.49 | (11.68 | ) | 188,858 | 1.02 | 1.02 | 1.17 | 0.87 | 115 | ||||||||||||||||||||||||||
7.39 | (12.13 | ) | 18 | 1.52 | 0.60 | 1.67 | 0.45 | 115 | ||||||||||||||||||||||||||
8.38 | (21.50 | ) | 108,955 | 1.66 | 0.00 | 1.77 | (0.11 | ) | 93 | |||||||||||||||||||||||||
8.29 | (21.93 | ) | 8,575 | 2.16 | (0.47 | ) | 2.27 | (0.58 | ) | 93 | ||||||||||||||||||||||||
8.30 | (21.91 | ) | 5,114 | 2.16 | (0.44 | ) | 2.27 | (0.55 | ) | 93 | ||||||||||||||||||||||||
8.50 | (21.02 | ) | 291,596 | 1.01 | 0.70 | 1.12 | 0.59 | 93 | ||||||||||||||||||||||||||
8.41 | (21.37 | ) | 21 | 1.51 | 0.21 | 1.62 | 0.10 | 93 | ||||||||||||||||||||||||||
11.32 | 6.92 | 147,409 | 1.66 | 0.14 | 1.75 | 0.05 | 92 | |||||||||||||||||||||||||||
11.22 | 6.36 | 12,032 | 2.16 | (0.36 | ) | 2.25 | (0.45 | ) | 92 | |||||||||||||||||||||||||
11.23 | 6.34 | 6,887 | 2.16 | (0.34 | ) | 2.25 | (0.43 | ) | 92 | |||||||||||||||||||||||||
11.48 | 7.62 | 308,074 | 1.01 | 0.78 | 1.10 | 0.69 | 92 | |||||||||||||||||||||||||||
11.36 | 7.05 | 27 | 1.51 | 0.33 | 1.60 | 0.24 | 92 | |||||||||||||||||||||||||||
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), contingent deferred sales charges (loads) on redemptions (with respect to Class B and Class C Shares), and redemption fees (with respect to Class A, Institutional and Service Shares, if any); 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 Fund and to compare these costs with the ongoing costs of investing in other mutual funds.
The Example is based on an investment of $1,000 invested at the beginning of the period and held for the entire period from 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 returns. 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), redemption fees, or exchange fees. Therefore, the second line of the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transactional costs were included, your costs would have been higher.
CORE U.S. Equity Fund | CORE Large Cap Growth Fund | CORE Small Cap Equity Fund | ||||||||||||||||||||||||||||||||||
Expenses | Expenses | Expenses | ||||||||||||||||||||||||||||||||||
Paid for | Paid for | Paid for | ||||||||||||||||||||||||||||||||||
Beginning | Ending | the | Beginning | Ending | the | Beginning | Ending | the | ||||||||||||||||||||||||||||
Account | Account | 6 months | Account | Account | 6 months | Account | Account | 6 months | ||||||||||||||||||||||||||||
Value | Value | ended | Value | Value | ended | Value | Value | ended | ||||||||||||||||||||||||||||
Share Class | 9/1/04 | 2/28/05 | 2/28/05* | 9/1/04 | 2/28/05 | 2/28/05* | 9/1/04 | 2/28/05 | 2/28/05* | |||||||||||||||||||||||||||
Class A | ||||||||||||||||||||||||||||||||||||
Actual | $ | 1,000 | $ | 1,087.10 | $ | 5.58 | $ | 1,000 | $ | 1,080.00 | $ | 5.68 | $ | 1,000 | $ | 1,155.20 | $ | 7.12 | ||||||||||||||||||
Hypothetical 5% return | 1,000 | 1,019.44 | † | 5.40 | 1,000 | 1,019.33 | † | 5.52 | 1,000 | 1,018.19 | † | 6.67 | ||||||||||||||||||||||||
Class B | ||||||||||||||||||||||||||||||||||||
Actual | 1,000 | 1,082.80 | 9.44 | 1,000 | 1,075.80 | 9.53 | 1,000 | 1,150.30 | 11.09 | |||||||||||||||||||||||||||
Hypothetical 5% return | 1,000 | 1,015.73 | † | 9.13 | 1,000 | 1,015.62 | † | 9.25 | 1,000 | 1,014.48 | † | 10.39 | ||||||||||||||||||||||||
Class C | ||||||||||||||||||||||||||||||||||||
Actual | 1,000 | 1,082.80 | 9.44 | 1,000 | 1,075.80 | 9.53 | 1,000 | 1,150.80 | 11.10 | |||||||||||||||||||||||||||
Hypothetical 5% return | 1,000 | 1,015.73 | † | 9.14 | 1,000 | 1,015.62 | † | 9.25 | 1,000 | 1,014.48 | † | 10.39 | ||||||||||||||||||||||||
Institutional | ||||||||||||||||||||||||||||||||||||
Actual | 1,000 | 1,089.00 | 3.52 | 1,000 | 1,081.70 | 3.62 | 1,000 | 1,157.40 | 4.99 | |||||||||||||||||||||||||||
Hypothetical 5% return | 1,000 | 1,021.43 | † | 3.41 | 1,000 | 1,021.31 | † | 3.52 | 1,000 | 1,020.17 | † | 4.68 | ||||||||||||||||||||||||
Service | ||||||||||||||||||||||||||||||||||||
Actual | 1,000 | 1,086.50 | 6.10 | 1,000 | 1,078.80 | 6.18 | 1,000 | 1,154.00 | 7.64 | |||||||||||||||||||||||||||
Hypothetical 5% return | 1,000 | 1,018.95 | † | 5.90 | 1,000 | 1,018.85 | † | 6.00 | 1,000 | 1,017.70 | † | 7.15 | ||||||||||||||||||||||||
[Additional columns below]
[Continued from above table, first column(s) repeated]
CORE Large Cap Value Fund | CORE International Equity Fund | |||||||||||||||||||||||
Expenses | Expenses | |||||||||||||||||||||||
Paid for | Paid for | |||||||||||||||||||||||
Beginning | Ending | the | Beginning | Ending | the | |||||||||||||||||||
Account | Account | 6 months | Account | Account | 6 months | |||||||||||||||||||
Value | Value | ended | Value | Value | 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 | $ | 1,126.90 | $ | 5.81 | $ | 1,000 | $ | 1,207.30 | $ | 7.68 | ||||||||||||
Hypothetical 5% return | 1,000 | 1,019.33 | † | 5.52 | 1,000 | 1,017.84 | † | 7.02 | ||||||||||||||||
Class B | ||||||||||||||||||||||||
Actual | 1,000 | 1,122.10 | 9.74 | 1,000 | 1,201.70 | 11.75 | ||||||||||||||||||
Hypothetical 5% return | 1,000 | 1,015.62 | † | 9.25 | 1,000 | 1,014.13 | † | 10.74 | ||||||||||||||||
Class C | ||||||||||||||||||||||||
Actual | 1,000 | 1,123.00 | 9.74 | 1,000 | 1,202.80 | 11.75 | ||||||||||||||||||
Hypothetical 5% return | 1,000 | 1,015.61 | † | 9.25 | 1,000 | 1,014.12 | † | 10.75 | ||||||||||||||||
Institutional | ||||||||||||||||||||||||
Actual | 1,000 | 1,129.20 | 3.70 | 1,000 | 1,209.60 | 5.50 | ||||||||||||||||||
Hypothetical 5% return | 1,000 | 1,021.32 | † | 3.51 | 1,000 | 1,019.82 | † | 5.03 | ||||||||||||||||
Service | ||||||||||||||||||||||||
Actual | 1,000 | 1,126.10 | 6.34 | 1,000 | 1,206.60 | 8.18 | ||||||||||||||||||
Hypothetical 5% return | 1,000 | 1,018.83 | † | 6.02 | 1,000 | 1,017.38 | † | 7.48 | ||||||||||||||||
* | 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 year. The annualized expense ratios for the period were as follows: |
Fund | Class A | Class B | Class C | Institutional | Service | |||||||||||||||
CORE U.S. Equity | 1.08 | % | 1.83 | % | 1.83 | % | 0.68 | % | 1.18 | % | ||||||||||
CORE Large Cap Growth | 1.10 | 1.85 | 1.85 | 0.70 | 1.20 | |||||||||||||||
CORE Small Cap Equity | 1.33 | 2.08 | 2.08 | 0.93 | 1.43 | |||||||||||||||
CORE Large Cap Value | 1.10 | 1.85 | 1.85 | 0.70 | 1.20 | |||||||||||||||
CORE International Equity | 1.40 | 2.15 | 2.15 | 1.00 | 1.50 | |||||||||||||||
† Hypothetical expenses are based on each Fund’s actual expense ratios and an assumed rate of return of 5% per year before expenses.
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 LTY SPECIA 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 1 An 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 CORE Small Cap Equity Fund may be unable to sell certain of its portfolio securities without a substantial drop in price, if at all. Emerging markets securities are volatile. They are subject to substantial currency fluctuations and sudden economic and political developments. At times, a Fund may be unable to sell certain of its 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. CORESM is a registered service mark of Goldman, Sachs & Co. 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, 2005 / 05-611 CORESAR / 76.6K / 04-05 |
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 |