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 BALANCED FUND Semiannual Report February 28, 2005 Long-term capital growth opportunities and current income through a carefully constructed mix of equity and fixed income securities. |
Goldman Sachs Balanced Fund NOT FDIC-INSURED May Lose Value No Bank Guarantee |
GOLDMAN SACHS BALANCED FUND What Differentiates Goldman Sachs’ Balanced Fund Investment Process? The Balanced Fund is a diversified investment portfolio that utilizes an asset allocation process of strategically selecting different asset classes — such as stocks and bonds. The Fund then adjusts its holdings over time. Goldman Sachs’ approach to asset allocation combines our global presence, extensive market knowledge and risk management expertise. 1 DIVERSIFIED ASSET ALLOCATIONIN ONE FUND GOLDMAN SACHS The Goldman Sachs Balanced Fund provides exposure to the wealth-building opportunities of BALANCED FUND stocks and the regular income potential of bonds. INVESTMENT PROCESS 2 THE ADVANTAGE OF GROWTH AND VALUE INVESTING Growth Value Fixed Equity Equity Income When selecting stocks for the Fund’s equity portion, we employ two distinct, complementary 3 3 strategies — value and growth. This approach provides diversified equity participation — and limits potential performance Equity Fixed swings that can result from styles moving in and out of favor in different market environments. Income 3 RESEARCH — INTENSIVE APPROACH Quarterly Re-balancing In equity investing, we take an intensive, hands-on approach to research, including meeting 3 with company management to gain an in-depth understanding of a company’s long-term business objectives.We also meet with a company’s customers, competitors and suppliers so Goldman Sachs that we have insight into industry-wide trends. Balanced Fund In fixed income investing, we believe that a total return investment philosophy provides the most complete picture of performance.We emphasize fundamental credit expertise. Our team scrutinizes factors that could impact a bond’s performance over time — similar to the evaluation of company stocks. Additionally, we identify, monitor and measure a fund’s risk profile. 4 BENEFIT FROM A COMPREHENSIVE, MULTI-TEAM APPROACH The Fund’s portfolio comprises the ideas of four experienced Goldman Sachs investment teams: Goldman Sachs Value Team: A group of investment professionals with over 185 years combined investment experience, focused on quality equity investments selling at compelling valuations Goldman Sachs Growth Team: A group of investment professionals with over 250 years combined investment experience, focused on the long-term ownership of growing equity investments Goldman Sachs Global Fixed Income Team: Broad, deep capabilities across global fixed income markets, with a total return investment philosophy Quantitative Research Team: Actively manages the stock vs. bond allocation, reallocating on a quarterly basis to provide an additional level of active management. 1 |
GOLDMAN SACHS BALANCED FUND Portfolio Results Dear Shareholder, This report provides an overview on the performance of the Goldman Sachs Balanced Fund during the six-month reporting period that ended February 28, 2005. Performance Review For the six-month period that ended February 28, 2005, the Fund’s Class A, B, C, Institutional, and Service Shares generated cumulative total returns of 5.83%, 5.43%, 5.43%, 6.09%, and 5.96%, respectively. These returns compare to the 9.99% and 1.26% cumulative total returns of the Fund’s benchmarks, the S&P 500 Index (with dividends reinvested) and the Lehman Brothers Aggregate Bond Index, respectively, over the same time period. The Fund generally allocates a portion of its assets in both equity and fixed income securities. As the benchmark returns indicate, the equity market, as measured by the S&P 500 Index, significantly outperformed the fixed income market, as measured by the Lehman Brothers Aggregate Bond Index, over the reporting period. Therefore, the Fund’s allocation to fixed income securities caused it to lag the equity benchmark. Conversely, its allocation to equities helped it to outperform the fixed income benchmark. Asset Allocation Equities — As of February 28, 2005, the Fund was 53.9% invested in growth and value equities. As bottom-up stock pickers, both the Growth and Value Equity teams focus on the real worth of the business and, to the extent that they find several businesses in related industries that have long-term appreciation potential, they may develop an overweight in a particular sector. With this in mind, at the end of the reporting period the Fund’s largest sector weightings were in Financial, Services and Technology. Conversely, the smallest sectors weightings were in Transportation, REITs and Basic Materials. 2 |
GOLDMAN SACHS BALANCED FUND Equity Sector Allocation (Percentage of Equity Portfolio Holdings) as of 2/28/05 20% 18.7% 15.3% 15% 12.3% 9.5% 9.4% 10% 8.0% 7.4% 5.6% 4.7% 5% 3.3% 2.8% 2.8% 0.2% 0% Financial Industrials Insurance Services Technology Transportation Utilities Basic Materials Consumer Cyclicals Consumer Staples Energy Health Care REITs The percentage shown for each investment category reflects the value of investments in that category as a percentage of total equity market value (excludes long term fixed income investments and 9.1% of portfolio holdings in repurchase agreements). Fixed Income — As of February 28, 2005, the Fund was 35.9% invested in fixed income securities. We held a short duration bias for much of the period, on our belief that interest rates would head higher. We pared down the portfolio’s allocation to mortgage-backed security pass-throughs over the period, due to low spreads and low implied volatility. As a substitute for pass-throughs, we held short duration collateralized mortgage obligations (CMOs), hybrid adjustable-rate mortgages (ARMs), and floating rate home equity asset-backed securities. In addition, we maintained an overweight allocation to Treasuries and emerging market debt. Within the emerging market debt sector, the portfolio held securities in countries such as Mexico, South Africa, Qatar, and Russia. 3 |
GOLDMAN SACHS BALANCED FUND Fixed Income Sector Allocation (Percentage of Long Term Fixed Income Portfolio Holdings) as of 2/28/05 50% 43.8% 40% 30% 20.8% 21.6% 20% 10.0% 10% 3.8% 0% Agency Corporate Bonds Emerging Debt Treasury Markets Backed Debentures Mortgage Obligations U.S. Obligations The percentage shown for each investment category reflects the value of investments in that category as a percentage of total fixed income market value (excludes equity investments and 9.1% of portfolio holdings in repurchase agreements). Portfolio Highlights Top sectors in the value portion of the Fund included Health Care, Consumer Cyclicals and Energy, while Technology and Financials lagged the market. In the growth portion of the portfolio, stocks in the Consumer Discretionary sector enhanced results, while holdings in the Media and Finance sectors were a drag on performance. Over the six-month period, there were a number of holdings that generated strong results for the Fund. VALUE EQUITY Altria Group, Inc. — Altria was the value portion of the Fund’s strongest holding in the Consumer Staples sector as it discussed a plan to divide the company into Philip Morris USA, Philip Morris International and Kraft as soon as practical given the legal environment. Altria also maintained a positive view for the current litigation environment and continues to generate favorable free cash flow and earnings results. 4 |
GOLDMAN SACHS BALANCED FUND Exxon Mobil Corp. and Burlington Resources, Inc. — We have had a positive view toward Energy stocks in the past six months, particularly those with strong reserve positions, low exploration and production cost structures and good capital allocation disciplines. Exxon Mobil and Burlington Resources are examples of companies that we feel have these traits and contributed positively to results over the period. Activision, Inc. — Activision was another top contributor to performance. The stock benefited from a combination of strong trends in its holiday sales and positive Wall Street coverage. The company continues to be our favorite investment in the personal computer game industry and has been a long-term top performer. GROWTH EQUITY Dell, Inc. — Dell posted record third quarter 2004 sales during the period and saw profits surge 25%, fueled by the double-digit growth in the corporate and government sectors, both domestically and abroad. Dell also reported that the company spent $1.3 billion to buy back 38 million shares of its own stock during the third quarter, bringing the total amount of repurchased stock to $3.3 billion for 2004. This is the latest example of a company in the portfolio using the free cash flow generated by the business to benefit shareholders. PepsiCo, Inc. — Pepsi’s strength has been driven by its dominance in the fast-growing global snack food and non-carbonated beverage categories. Its Frito-Lay unit boasts nine of the top ten selling snack food brands in the U.S. Pepsi also benefits from owning the top sports drink (Gatorade), bottled water (Aquafina), and juice businesses (Tropicana). Pepsi’s recent success is due to a strategy that focuses on enhancing its core Frito-Lay business, focusing its soft drink efforts on markets where it has some advantages of scale, and making strategic acquisitions that leverage its distribution system. CheckFree Corp. — CheckFree continued to rise throughout the reporting period. As a leader in electronic bill pay services, CheckFree has benefited from the trend for banks to offer free bill payment services to its customers in order to lower account attrition and increase revenue per customer. Wachovia-First Union, the third largest bank in the U.S., was the most recent to announce that it will use CheckFree to offer free bill payment to its customers. Given the stock’s strong appreciation, we subsequently sold it to capture profits. 5 |
GOLDMAN SACHS BALANCED FUND FIXED INCOME During the six-month reporting period, the yield curve flattened, with shorter-term interest rates rising while longer-term rates declined. In response to strengthening economic data, the U.S. Federal Reserve Board (the “Fed”) raised the overnight lending rate in five more 25 basis point-moves over the reporting period, bringing the federal funds rate to 2.50%. The Fed continues to suggest they are on schedule to continue raising rates throughout 2005. Over the period, non-Treasury sectors experienced spread tightening. The primary contributors to the Fund’s fixed income performance were security selection of emerging market debt, corporate industrials (primarily higher risk and high yield securities), mortgage pass-throughs, and ARMs. The Fund’s short duration and term structure strategies also enhanced returns, as rates sold off over the short to intermediate regions of the curve over the reporting period. Conversely, an overall underweight to the mortgage sector detracted from returns, as mortgages outperformed over the period. The mortgage sector’s strong performance was partly due to strong demand from banks and overseas investors. We thank you for your investment and look forward to your continued confidence. Goldman Sachs Value Investment Team, Goldman Sachs Growth Equity Investment Team, Goldman Sachs Fixed Income Investment Team New York, March 18, 2005 6 |
Fund Basics as of February 28, 2005 Assets Under Management $229.2 Million Number of Holdings 329 NASDAQ SYMBOLS Class A Shares GSBFX Class B Shares GSBBX Class C Shares GSBCX Institutional Shares GSBIX Service Shares GSBSX GOLDMAN SACHS BALANCED FUND PERFORMANCE REVIEW Fund Total Return S&P 500 Lehman Brothers September 1, 2004–February 28, 2005 (based on NAV)1 Index2 Aggregate Bond Index2 Class A 5.83% 9.99% 1.26% Class B 5.43 9.99 1.26 Class C 5.43 9.99 1.26 Institutional 6.09 9.99 1.26 Service 5.96 9.99 1.26 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 Lehman Brothers Aggregate Bond Index is an unmanaged index of bond prices. The Indexes 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 3.72% 3.91% 7.92% 10.25% 9.85% Five Years 0.83 0.81 1.23 2.42 1.92 Ten Years 7.80 N/A N/A N/A 8.324 Since Inception 7.52 5.47 2.49 3.67 8.024 (10/12/94) (5/1/96) (8/15/97) (8/15/97) (10/12/94) 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. 4Performance data for Service Shares prior to 8/15/97 (commencement of operations) is that of the 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 Balanced 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 EQUITY HOLDINGS AS OF 2/28/05 5 Holding % of Net Assets Line of Business Exxon Mobil Corp. 1.8% Oil & Gas Microsoft Corp. 1.6 Computer Software ChevronTexaco Corp. 1.5 Oil & Gas Citigroup, Inc. 1.4 Large Banks Bank of America Corp. 1.1 Large Banks J.P. Morgan Chase & Co. 1.1 Large Banks Fannie Mae 1.0 Financial Services Tyco International Ltd. 1.0 Industrial Components Time Warner, Inc. 1.0 Diversified Media Pfizer, Inc. 1.0 Drugs & Medicine 7 5The top 10 equity holdings may not be representative of the Fund’s future investments. |
Statement of Investments
Shares | Description | Value | ||||||||
Common Stocks – 53.9% | ||||||||||
Airlines – 0.1% | ||||||||||
18,588 | Southwest Airlines Co. | $ | 257,444 | |||||||
Banks – 1.1% | ||||||||||
34,061 | KeyCorp | 1,124,013 | ||||||||
15,106 | PNC Financial Services Group | 795,180 | ||||||||
19,658 | The Bank of New York Co., Inc. | 594,654 | ||||||||
2,513,847 | ||||||||||
Biotechnology – 0.6% | ||||||||||
23,940 | Amgen, Inc.* | 1,474,943 | ||||||||
Broadcasting & Cable – 0.6% | ||||||||||
11,296 | Clear Channel Communications, Inc. | 375,931 | ||||||||
23,200 | Univision Communications, Inc.* | 612,248 | ||||||||
12,810 | Westwood One, Inc. | 279,770 | ||||||||
1,267,949 | ||||||||||
Brokers – 0.7% | ||||||||||
19,749 | Merrill Lynch & Co., Inc. | 1,156,896 | ||||||||
4,067 | The Bear Stearns Companies, Inc. | 404,667 | ||||||||
1,561,563 | ||||||||||
Chemical – 0.9% | ||||||||||
18,393 | Rohm & Haas Co. | 885,991 | ||||||||
21,605 | The Dow Chemical Co. | 1,191,515 | ||||||||
2,077,506 | ||||||||||
Commercial Services – 1.2% | ||||||||||
9,690 | Moody’s Corp. | 813,088 | ||||||||
22,050 | The McGraw-Hill Cos., Inc. | 2,025,292 | ||||||||
2,838,380 | ||||||||||
Computer Hardware – 1.5% | ||||||||||
13,575 | CDW Corp. | 780,155 | ||||||||
50,580 | Dell, Inc.* | 2,027,752 | ||||||||
28,028 | Hewlett-Packard Co. | 582,983 | ||||||||
3,390,890 | ||||||||||
Computer Services – 0.8% | ||||||||||
44,134 | First Data Corp. | 1,810,377 | ||||||||
Computer Software – 2.5% | ||||||||||
56,007 | Activision, Inc.* | 1,224,313 | ||||||||
9,650 | Electronic Arts, Inc.* | 622,329 | ||||||||
146,073 | Microsoft Corp. | 3,678,118 | ||||||||
23,355 | Oracle Corp.* | 301,513 | ||||||||
5,826,273 | ||||||||||
Consumer Durables – 0.3% | ||||||||||
23,357 | Masco Corp. | 787,598 | ||||||||
Defense/ Aerospace – 0.5% | ||||||||||
10,867 | General Dynamics Corp. | 1,144,838 | ||||||||
Diversified Media – 2.8% | ||||||||||
11,065 | Fox Entertainment Group, Inc.* | $ | 368,464 | |||||||
31,460 | Liberty Media Corp. Class A* | 319,004 | ||||||||
12,880 | The E.W. Scripps Co. | 594,541 | ||||||||
36,700 | The Walt Disney Co. | 1,025,398 | ||||||||
129,591 | Time Warner, Inc.* | 2,232,853 | ||||||||
51,292 | Viacom, Inc. Class B | 1,790,091 | ||||||||
6,330,351 | ||||||||||
Drugs & Medicine – 1.7% | ||||||||||
8,650 | Eli Lilly & Co. | 484,400 | ||||||||
83,022 | Pfizer, Inc. | 2,182,648 | ||||||||
16,000 | Schering-Plough Corp. | 303,200 | ||||||||
25,130 | Wyeth | 1,025,807 | ||||||||
3,996,055 | ||||||||||
Electrical Equipment – 0.1% | ||||||||||
106,010 | Nortel Networks Corp.* | 284,107 | ||||||||
Electrical Utilities – 2.5% | ||||||||||
13,235 | Ameren Corp. | 681,205 | ||||||||
13,916 | Dominion Resources, Inc. | 1,002,370 | ||||||||
16,753 | Entergy Corp. | 1,157,967 | ||||||||
21,048 | Exelon Corp. | 954,737 | ||||||||
16,573 | FirstEnergy Corp. | 683,471 | ||||||||
23,721 | PPL Corp. | 1,293,743 | ||||||||
5,773,493 | ||||||||||
Environmental & Other Services – 0.3% | ||||||||||
22,214 | Waste Management, Inc. | 649,537 | ||||||||
Financial Services – 3.5% | ||||||||||
18,782 | American Capital Strategies Ltd. | 651,735 | ||||||||
16,145 | Countrywide Financial Corp. | 561,039 | ||||||||
39,902 | Fannie Mae | 2,332,671 | ||||||||
23,790 | Freddie Mac | 1,474,980 | ||||||||
56,230 | MBNA Corp. | 1,426,555 | ||||||||
8,230 | Morgan Stanley | 464,748 | ||||||||
9,654 | SLM Corp. | 471,115 | ||||||||
50,470 | The Charles Schwab Corp. | 529,935 | ||||||||
7,912,778 | ||||||||||
Food & Beverage – 2.2% | ||||||||||
9,829 | General Mills, Inc. | 514,745 | ||||||||
13,057 | H.J. Heinz Co. | 491,466 | ||||||||
18,977 | Kraft Foods, Inc. | 634,781 | ||||||||
38,540 | PepsiCo, Inc. | 2,075,764 | ||||||||
9,600 | The Coca-Cola Co. | 410,880 | ||||||||
13,240 | Wm. Wrigley Jr. Co. | 881,254 | ||||||||
5,008,890 | ||||||||||
Forest – 0.4% | ||||||||||
37,166 | Packaging Corp. of America | 911,310 | ||||||||
8
Shares | Description | Value | ||||||||
Common Stocks – (continued) | ||||||||||
Gaming/ Lodging – 1.4% | ||||||||||
5,260 | Carnival Corp. | $ | 286,039 | |||||||
20,700 | GTECH Holdings Corp. | 483,345 | ||||||||
14,110 | Harrah’s Entertainment, Inc. | 925,475 | ||||||||
2,350 | Las Vegas Sands Corp.* | 112,565 | ||||||||
11,970 | Marriott International, Inc. | 767,277 | ||||||||
10,530 | Starwood Hotels & Resorts Worldwide, Inc. Class B | 602,737 | ||||||||
3,177,438 | ||||||||||
Household/ Personal Care – 2.0% | ||||||||||
45,666 | Avon Products, Inc. | 1,953,135 | ||||||||
5,000 | Colgate-Palmolive Co. | 264,600 | ||||||||
11,094 | The Clorox Co. | 666,084 | ||||||||
30,712 | The Procter & Gamble Co. | 1,630,500 | ||||||||
4,514,319 | ||||||||||
Industrial Components – 2.5% | ||||||||||
9,564 | Eaton Corp. | 667,089 | ||||||||
50,987 | General Electric Co. | 1,794,742 | ||||||||
69,043 | Tyco International Ltd. | 2,311,560 | ||||||||
10,370 | United Technologies Corp. | 1,035,756 | ||||||||
5,809,147 | ||||||||||
Internet & Online – 0.8% | ||||||||||
14,760 | eBay, Inc.* | 632,318 | ||||||||
4,640 | Google, Inc.* | 872,274 | ||||||||
11,280 | Yahoo!, Inc.* | 364,006 | ||||||||
1,868,598 | ||||||||||
Large Banks – 3.6% | ||||||||||
54,498 | Bank of America Corp. | 2,542,332 | ||||||||
66,987 | Citigroup, Inc. | 3,196,619 | ||||||||
66,329 | JPMorgan Chase & Co. | 2,424,325 | ||||||||
8,163,276 | ||||||||||
Manufacturing – 0.2% | ||||||||||
4,850 | 3M Co. | 407,109 | ||||||||
Medical Products – 0.9% | ||||||||||
24,038 | Baxter International, Inc. | 857,195 | ||||||||
17,970 | Medtronic, Inc. | 936,596 | ||||||||
5,950 | St. Jude Medical, Inc. | 232,645 | ||||||||
2,026,436 | ||||||||||
Motor Vehicle – 0.3% | ||||||||||
12,554 | Autoliv, Inc. | 626,947 | ||||||||
Networking – 0.6% | ||||||||||
85,690 | Cisco Systems, Inc.* | 1,492,720 | ||||||||
Oil & Gas – 4.3% | ||||||||||
31,920 | Burlington Resources, Inc. | 1,584,190 | ||||||||
54,633 | ChevronTexaco Corp. | 3,391,617 | ||||||||
7,105 | ConocoPhillips | 787,873 | ||||||||
63,687 | Exxon Mobil Corp. | 4,032,024 | ||||||||
9,795,704 | ||||||||||
Other Consumer Discretionary – 0.5% | ||||||||||
49,930 | Cendant Corp. | 1,104,452 | ||||||||
Other Health Care – 0.7% | ||||||||||
25,970 | Caremark Rx, Inc.* | 994,132 | ||||||||
13,420 | Medco Health Solutions, Inc.* | 596,116 | ||||||||
1,590,248 | ||||||||||
Property Insurance – 1.8% | ||||||||||
15,279 | PartnerRe Ltd. | 957,230 | ||||||||
13,992 | RenaissanceRe Holdings Ltd. Series B | 666,299 | ||||||||
15,862 | The Allstate Corp. | 851,472 | ||||||||
26,966 | Willis Group Holdings Ltd. | 1,066,505 | ||||||||
7,573 | XL Capital Ltd. | 567,975 | ||||||||
4,109,481 | ||||||||||
Publishing – 0.8% | ||||||||||
7,560 | Gannett Co., Inc. | 595,350 | ||||||||
22,880 | Lamar Advertising Co.* | 898,955 | ||||||||
6,750 | Valassis Communications, Inc.* | 252,518 | ||||||||
1,746,823 | ||||||||||
REITs – 1.5% | ||||||||||
16,544 | Apartment Investment & Management Co. | 632,973 | ||||||||
14,890 | Developers Diversified Realty Corp. | 622,849 | ||||||||
37,954 | iStar Financial, Inc. | 1,612,666 | ||||||||
16,544 | Plum Creek Timber Co., Inc. | 621,227 | ||||||||
3,489,715 | ||||||||||
Retail Apparel – 0.6% | ||||||||||
15,181 | J. C. Penney Co., Inc. | 675,403 | ||||||||
22,689 | The May Department Stores Co. | 782,997 | ||||||||
1,458,400 | ||||||||||
Retailing – 2.5% | ||||||||||
11,980 | Dollar Tree Stores, Inc.* | 322,861 | ||||||||
26,600 | Family Dollar Stores, Inc. | 875,672 | ||||||||
29,820 | Lowe’s Companies, Inc. | 1,752,820 | ||||||||
15,980 | PETCO Animal Supplies, Inc.* | 566,331 | ||||||||
4,810 | Target Corp. | 244,444 | ||||||||
37,090 | Wal-Mart Stores, Inc. | 1,914,215 | ||||||||
5,676,343 | ||||||||||
Semiconductors – 1.6% | ||||||||||
17,110 | Intel Corp. | 410,298 | ||||||||
36,420 | Linear Technology Corp. | 1,422,565 | ||||||||
50,590 | QUALCOMM, Inc. | 1,826,805 | ||||||||
3,659,668 | ||||||||||
9
Shares | Description | Value | ||||||||
Common Stocks – (continued) | ||||||||||
Telecommunications – 1.1% | ||||||||||
26,100 | American Tower Corp.* | $ | 478,413 | |||||||
24,300 | Crown Castle International Corp.* | 397,062 | ||||||||
7,000 | Nextel Communications, Inc.* | 206,010 | ||||||||
65,301 | Sprint Corp. | 1,546,328 | ||||||||
2,627,813 | ||||||||||
Telephone – 0.5% | ||||||||||
29,001 | Verizon Communications, Inc. | 1,043,166 | ||||||||
Thrifts – 0.5% | ||||||||||
13,960 | Golden West Financial Corp. | 863,984 | ||||||||
7,202 | Washington Mutual, Inc. | 302,196 | ||||||||
1,166,180 | ||||||||||
Tobacco – 0.9% | ||||||||||
32,018 | Altria Group, Inc. | 2,101,982 | ||||||||
TOTAL COMMON STOCKS | ||||||||||
(Cost $99,665,634) | $ | 123,474,094 | ||||||||
Principal | Interest | Maturity | ||||||||||||||
Amount• | Rate | Date | Value | |||||||||||||
Corporate Bonds – 7.5% | ||||||||||||||||
Aerospace/ Defense – 0.1% | ||||||||||||||||
Alliant Techsystems, Inc. | ||||||||||||||||
USD 125,000 | 8.50 | % | 05/15/2011 | $ | 135,000 | |||||||||||
Bombardier Capital, Inc.(a) | ||||||||||||||||
75,000 | 6.13 | 06/29/2006 | 75,375 | |||||||||||||
Bombardier, Inc.(a) | ||||||||||||||||
50,000 | 6.30 | 05/01/2014 | 44,125 | |||||||||||||
254,500 | ||||||||||||||||
Airlines – 0.0% | ||||||||||||||||
Northwest Airlines, Inc.-Trust Series A | ||||||||||||||||
17,775 | 8.26 | 03/10/2006 | 16,709 | |||||||||||||
Automotive – 1.0% | ||||||||||||||||
DaimlerChrysler NA Holding Corp. Series D(b) | ||||||||||||||||
450,000 | 2.94 | 09/10/2007 | 452,476 | |||||||||||||
Dana Corp.(a) | ||||||||||||||||
475,000 | 5.85 | 01/15/2015 | 456,898 | |||||||||||||
Ford Motor Co. | ||||||||||||||||
325,000 | 6.63 | 10/01/2028 | 293,546 | |||||||||||||
25,000 | 6.38 | 02/01/2029 | 21,878 | |||||||||||||
25,000 | 7.45 | 07/16/2031 | 24,063 | |||||||||||||
Ford Motor Credit Co. | ||||||||||||||||
150,000 | 6.88 | 02/01/2006 | 153,540 | |||||||||||||
275,000 | 5.70 | 01/15/2010 | 269,873 | |||||||||||||
General Motors Acceptance Corp. | ||||||||||||||||
600,000 | 6.75 | 01/15/2006 | 612,291 | |||||||||||||
2,284,565 | ||||||||||||||||
Banks – 1.5% | ||||||||||||||||
ANZ Capital Trust I(a)(c) | ||||||||||||||||
USD 125,000 | 4.48 | 01/15/2010 | 123,699 | |||||||||||||
300,000 | 5.36 | 12/15/2013 | 306,529 | |||||||||||||
Astoria Financial Corp. | ||||||||||||||||
150,000 | 5.75 | 10/15/2012 | 156,020 | |||||||||||||
Bank United Corp. | ||||||||||||||||
50,000 | 8.88 | 05/01/2007 | 54,522 | |||||||||||||
Chuo Mitsui Trust & Banking(a)(b)(c) | ||||||||||||||||
100,000 | 5.51 | 04/15/2015 | 98,077 | |||||||||||||
Development Bank of Singapore Ltd.(a)(b) | ||||||||||||||||
325,000 | 5.00 | 11/15/2019 | 320,583 | |||||||||||||
Greenpoint Bank | ||||||||||||||||
125,000 | 9.25 | 10/01/2010 | 151,350 | |||||||||||||
GreenPoint Financial Corp. | ||||||||||||||||
125,000 | 3.20 | 06/06/2008 | 120,839 | |||||||||||||
HBOS Capital Funding LP(a)(b)(c) | ||||||||||||||||
425,000 | 6.07 | 06/30/2014 | 455,972 | |||||||||||||
HSBC Capital Funding LP(a)(b)(c) | ||||||||||||||||
525,000 | 4.61 | 06/27/2013 | 506,773 | |||||||||||||
MIZUHO Financial Group (Cayman)(a) | ||||||||||||||||
175,000 | 5.79 | 04/15/2014 | 182,668 | |||||||||||||
Popular N.A. Capital Trust I | ||||||||||||||||
125,000 | 6.56 | 09/15/2034 | 132,080 | |||||||||||||
Popular North America, Inc. | ||||||||||||||||
150,000 | 3.88 | 10/01/2008 | 147,442 | |||||||||||||
Popular North America, Inc. Series E | ||||||||||||||||
100,000 | 6.13 | 10/15/2006 | 103,512 | |||||||||||||
Sovereign Bancorp, Inc.(b) | ||||||||||||||||
125,000 | 3.20 | 08/25/2006 | 125,034 | |||||||||||||
Sovereign Bank(a) | ||||||||||||||||
222,931 | 10.20 | 06/30/2005 | 225,508 | |||||||||||||
Washington Mutual, Inc. | ||||||||||||||||
100,000 | 8.25 | 04/01/2010 | 115,858 | |||||||||||||
3,326,466 | ||||||||||||||||
Chemicals – 0.2% | ||||||||||||||||
Lyondell Chemical Co. Series B | ||||||||||||||||
62,000 | 9.88 | 05/01/2007 | 64,170 | |||||||||||||
The Lubrizol Corp. | ||||||||||||||||
200,000 | 4.63 | 10/01/2009 | 199,381 | |||||||||||||
75,000 | 5.50 | 10/01/2014 | 76,564 | |||||||||||||
340,115 | ||||||||||||||||
Diversified Manufacturing – 0.2% | ||||||||||||||||
Tyco International Group SA | ||||||||||||||||
150,000 | 6.38 | 06/15/2005 | 151,191 | |||||||||||||
400,000 | 6.38 | 02/15/2006 | 408,920 | |||||||||||||
560,111 | ||||||||||||||||
10
Principal | Interest | Maturity | ||||||||||||||
Amount• | Rate | Date | Value | |||||||||||||
Corporate Bonds – (continued) | ||||||||||||||||
Electric – 0.3% | ||||||||||||||||
CenterPoint Energy, Inc. Series B | ||||||||||||||||
USD 25,000 | 7.25 | % | 09/01/2010 | $ | 27,664 | |||||||||||
FirstEnergy Corp. Series C | ||||||||||||||||
260,000 | 7.38 | 11/15/2031 | 305,428 | |||||||||||||
TXU Corp.(a) | ||||||||||||||||
350,000 | 4.80 | 11/15/2009 | 348,015 | |||||||||||||
50,000 | 6.50 | 11/15/2024 | 51,131 | |||||||||||||
732,238 | ||||||||||||||||
Energy – Integrated – 0.1% | ||||||||||||||||
Amerada Hess Corp. | ||||||||||||||||
150,000 | 7.13 | 03/15/2033 | 172,532 | |||||||||||||
Entertainment – 0.0% | ||||||||||||||||
Time Warner Entertainment Co. LP | ||||||||||||||||
25,000 | 8.38 | 03/15/2023 | 31,374 | |||||||||||||
Environmental – 0.1% | ||||||||||||||||
Allied Waste North America, Inc. Series B | ||||||||||||||||
250,000 | 7.63 | 01/01/2006 | 257,972 | |||||||||||||
Food & Beverage – 0.1% | ||||||||||||||||
Tyson Foods, Inc. | ||||||||||||||||
50,000 | 7.25 | 10/01/2006 | 52,448 | |||||||||||||
100,000 | 8.25 | 10/01/2011 | 117,442 | |||||||||||||
169,890 | ||||||||||||||||
Gaming – 0.2% | ||||||||||||||||
Caesars Entertainment, Inc. | ||||||||||||||||
125,000 | 8.88 | 09/15/2008 | 141,562 | |||||||||||||
50,000 | 7.50 | 09/01/2009 | 55,563 | |||||||||||||
Harrahs Operating Co., Inc. | ||||||||||||||||
250,000 | 5.50 | 07/01/2010 | 254,908 | |||||||||||||
MGM Mirage, Inc. | ||||||||||||||||
50,000 | 8.50 | 09/15/2010 | 57,125 | |||||||||||||
509,158 | ||||||||||||||||
Health Care – 0.1% | ||||||||||||||||
HCA, Inc. | ||||||||||||||||
125,000 | 6.95 | 05/01/2012 | 132,122 | |||||||||||||
25,000 | 6.30 | 10/01/2012 | 25,436 | |||||||||||||
157,558 | ||||||||||||||||
Life Insurance(a) – 0.1% | ||||||||||||||||
Prudential Funding LLC | ||||||||||||||||
200,000 | 6.60 | 05/15/2008 | 213,619 | |||||||||||||
Media — Cable – 0.6% | ||||||||||||||||
Comcast Cable Communications Holdings, Inc. | ||||||||||||||||
40,000 | 8.38 | 03/15/2013 | 48,673 | |||||||||||||
325,000 | 9.46 | 11/15/2022 | 454,167 | |||||||||||||
Comcast Cable Communications, Inc. | ||||||||||||||||
100,000 | 6.38 | 01/30/2006 | 102,302 | |||||||||||||
Cox Communications, Inc.(a) | ||||||||||||||||
325,000 | 4.63 | 01/15/2010 | 321,355 | |||||||||||||
Cox Enterprises, Inc.(a) | ||||||||||||||||
USD 75,000 | 4.38 | 05/01/2008 | 74,604 | |||||||||||||
Lenfest Communications, Inc. | ||||||||||||||||
200,000 | 8.38 | 11/01/2005 | 205,904 | |||||||||||||
Rogers Cable, Inc. | ||||||||||||||||
100,000 | 5.50 | 03/15/2014 | 95,750 | |||||||||||||
1,302,755 | ||||||||||||||||
Media-Non Cable – 0.2% | ||||||||||||||||
AMFM, Inc. | ||||||||||||||||
375,000 | 8.00 | 11/01/2008 | 415,451 | |||||||||||||
Noncaptive — Financial – 0.4% | ||||||||||||||||
Citigroup, Inc. | ||||||||||||||||
450,000 | 5.00 | 09/15/2014 | 451,459 | |||||||||||||
PHH Corp. | ||||||||||||||||
200,000 | 6.00 | 03/01/2008 | 208,340 | |||||||||||||
150,000 | 7.13 | 03/01/2013 | 167,800 | |||||||||||||
827,599 | ||||||||||||||||
Paper – 0.0% | ||||||||||||||||
Weyerhaeuser Co. | ||||||||||||||||
75,000 | 6.00 | 08/01/2006 | 77,255 | |||||||||||||
Pipelines – 0.2% | ||||||||||||||||
CenterPoint Energy Resources Corp. Series B | ||||||||||||||||
75,000 | 7.88 | 04/01/2013 | 88,531 | |||||||||||||
400,000 | 5.95 | 01/15/2014 | 419,357 | |||||||||||||
507,888 | ||||||||||||||||
Property/ Casualty Insurance – 0.6% | ||||||||||||||||
ACE INA Holdings, Inc. | ||||||||||||||||
150,000 | 8.30 | 08/15/2006 | 158,880 | |||||||||||||
75,000 | 5.88 | 06/15/2014 | 77,809 | |||||||||||||
ACE Ltd. | ||||||||||||||||
200,000 | 6.00 | 04/01/2007 | 206,628 | |||||||||||||
Arch Capital Group Ltd. | ||||||||||||||||
250,000 | 7.35 | 05/01/2034 | 277,398 | |||||||||||||
CNA Financial Corp. | ||||||||||||||||
25,000 | 6.50 | 04/15/2005 | 25,095 | |||||||||||||
65,000 | 6.75 | 11/15/2006 | 67,690 | |||||||||||||
25,000 | 5.85 | 12/15/2014 | 25,357 | |||||||||||||
30,000 | 6.95 | 01/15/2018 | 32,632 | |||||||||||||
50,000 | 7.25 | 11/15/2023 | 55,397 | |||||||||||||
Liberty Mutual Group(a) | ||||||||||||||||
100,000 | 5.75 | 03/15/2014 | 100,067 | |||||||||||||
50,000 | 7.00 | 03/15/2034 | 52,972 | |||||||||||||
QBE Insurance Group Ltd.(a)(b) | ||||||||||||||||
225,000 | 5.65 | 07/01/2023 | 224,803 | |||||||||||||
SAFECO Corp. | ||||||||||||||||
150,000 | 4.20 | 02/01/2008 | 149,462 | |||||||||||||
1,454,190 | ||||||||||||||||
11
Principal | Interest | Maturity | ||||||||||||||
Amount• | Rate | Date | Value | |||||||||||||
Corporate Bonds – (continued) | ||||||||||||||||
REITs – 0.4% | ||||||||||||||||
iStar Financial, Inc. | ||||||||||||||||
USD 50,000 | 6.50 | % | 12/15/2013 | $ | 52,507 | |||||||||||
iStar Financial, Inc. Series B | ||||||||||||||||
200,000 | 5.70 | 03/01/2014 | 203,231 | |||||||||||||
Simon Property Group LP | ||||||||||||||||
200,000 | 6.88 | 10/27/2005 | 204,236 | |||||||||||||
100,000 | 6.38 | 11/15/2007 | 105,635 | |||||||||||||
100,000 | 7.00 | 06/15/2008 | 106,809 | |||||||||||||
Summit Properties Partnership | ||||||||||||||||
250,000 | 7.20 | 08/15/2007 | 260,711 | |||||||||||||
933,129 | ||||||||||||||||
Tobacco – 0.1% | ||||||||||||||||
Altria Group, Inc. | ||||||||||||||||
100,000 | 6.38 | 02/01/2006 | 101,916 | |||||||||||||
50,000 | 7.20 | 02/01/2007 | 52,451 | |||||||||||||
100,000 | 5.63 | 11/04/2008 | 103,457 | |||||||||||||
50,000 | 7.00 | 11/04/2013 | 54,954 | |||||||||||||
312,778 | ||||||||||||||||
Wireless Telecommunications – 0.2% | ||||||||||||||||
America Movil SA de CV | ||||||||||||||||
425,000 | 4.13 | % | 03/01/2009 | 415,977 | ||||||||||||
50,000 | 5.50 | 03/01/2014 | 49,837 | |||||||||||||
100,000 | 6.38 | 03/01/2035 | 97,458 | |||||||||||||
563,272 | ||||||||||||||||
Wirelines Telecommunications – 0.8% | ||||||||||||||||
Ameritech Capital Funding | ||||||||||||||||
50,000 | 6.25 | 05/18/2009 | 52,821 | |||||||||||||
Deutsche Telekom International Finance BV | ||||||||||||||||
175,000 | 8.25 | 06/15/2005 | 177,441 | |||||||||||||
125,000 | 8.75 | 06/15/2030 | 168,495 | |||||||||||||
Qwest Corp.(a) | ||||||||||||||||
50,000 | 9.13 | 03/15/2012 | 57,750 | |||||||||||||
SBC Communications, Inc. | ||||||||||||||||
200,000 | 4.13 | 09/15/2009 | 196,519 | |||||||||||||
Sprint Capital Corp. | ||||||||||||||||
275,000 | 6.13 | 11/15/2008 | 290,039 | |||||||||||||
200,000 | 6.88 | 11/15/2028 | 220,313 | |||||||||||||
Telecom Italia Capital(a) | ||||||||||||||||
400,000 | 4.95 | 09/30/2014 | 391,727 | |||||||||||||
TPSA Finance BV(a) | ||||||||||||||||
175,000 | 7.75 | 12/10/2008 | 190,256 | |||||||||||||
1,745,361 | ||||||||||||||||
TOTAL CORPORATE BONDS | ||||||||||||||||
(Cost $16,808,783) | $ | 17,166,485 | ||||||||||||||
Emerging Market Debt – 1.4% | ||||||||||||||||
Republic of El Salvador | ||||||||||||||||
USD 40,000 | 8.25 | % | 04/10/2032 | $ | 41,800 | |||||||||||
Republic of Guatemala(a) | ||||||||||||||||
80,000 | 8.13 | 10/06/2034 | 85,600 | |||||||||||||
Republic of South Africa | ||||||||||||||||
ZAR3,970,000 | 13.00 | 08/31/2010 | 855,679 | |||||||||||||
Russian Federation | ||||||||||||||||
USD 470,000 | 5.00 | 03/31/2030 | 493,206 | |||||||||||||
State of Qatar | ||||||||||||||||
210,000 | 9.75 | 06/15/2030 | 312,375 | |||||||||||||
United Mexican States | ||||||||||||||||
MXN13,900,000 | 8.00 | 12/19/2013 | 1,134,737 | |||||||||||||
USD 116,000 | 8.30 | 08/15/2031 | 139,838 | |||||||||||||
27,000 | 7.50 | 04/08/2033 | 30,011 | |||||||||||||
TOTAL EMERGING MARKET DEBT | ||||||||||||||||
(Cost $2,915,751) | $ | 3,093,246 | ||||||||||||||
Mortgage-Backed Obligations – 15.7% | ||||||||||||||||
Adjustable Rate Federal National Mortgage Association (FNMA)(b) – 0.7% | ||||||||||||||||
USD 514,261 | 4.10 | % | 09/01/2032 | $ | 528,149 | |||||||||||
783,457 | 4.38 | 12/01/2033 | 782,301 | |||||||||||||
355,023 | 4.04 | 04/01/2034 | 362,872 | |||||||||||||
1,673,322 | ||||||||||||||||
Federal Home Loan Mortgage Corp. (FHLMC) – 3.2% | ||||||||||||||||
204,575 | 8.00 | 07/01/2015 | 216,323 | |||||||||||||
51,481 | 7.00 | 12/01/2015 | 54,428 | |||||||||||||
190,337 | 6.50 | 07/01/2016 | 200,074 | |||||||||||||
119,463 | 7.50 | 03/01/2027 | 127,834 | |||||||||||||
263,634 | 6.50 | 12/01/2029 | 275,035 | |||||||||||||
464,315 | 7.00 | 04/01/2031 | 489,433 | |||||||||||||
679,796 | 6.50 | 12/01/2031 | 709,166 | |||||||||||||
329,214 | 7.00 | 07/01/2032 | 346,766 | |||||||||||||
2,561,573 | 6.50 | 01/01/2033 | 2,667,592 | |||||||||||||
795,075 | 6.50 | 04/01/2033 | 827,983 | |||||||||||||
1,325,404 | 6.50 | 04/01/2034 | 1,379,612 | |||||||||||||
7,294,246 | ||||||||||||||||
Federal National Mortgage Association (FNMA) – 0.4% | ||||||||||||||||
139,089 | 7.00 | 01/01/2016 | 146,823 | |||||||||||||
20,237 | 7.00 | 02/01/2016 | 21,363 | |||||||||||||
88,097 | 6.50 | 12/01/2029 | 91,899 | |||||||||||||
134,698 | 7.00 | 11/01/2030 | 141,872 | |||||||||||||
423,102 | 7.50 | 03/01/2031 | 451,373 | |||||||||||||
853,330 | ||||||||||||||||
Collateralized Mortgage Obligations (CMOs) – 11.4% | ||||||||||||||||
Floater(b) – 0.7% | ||||||||||||||||
IMPAC CMB Trust Series 2004-1, Class A1 | ||||||||||||||||
796,695 | 2.98 | 03/25/2034 | 799,197 | |||||||||||||
IMPAC Secured Assets Corp. Series 2004-3, Class 1A4 | ||||||||||||||||
897,595 | 3.05 | 11/25/2034 | 897,901 | |||||||||||||
1,697,098 | ||||||||||||||||
12
Principal | Interest | Maturity | ||||||||||||||
Amount• | Rate | Date | Value | |||||||||||||
Mortgage-Backed Obligations – (continued) | ||||||||||||||||
Home Equity – 3.8% | ||||||||||||||||
Chase Funding Net Interest Margin Note Series 2003-4A(a) | ||||||||||||||||
USD 693 | 6.75 | % | 09/27/2036 | $ | 693 | |||||||||||
Chase Funding Net Interest Margin Note Series 2003-6A(a) | ||||||||||||||||
9,189 | 5.00 | 01/27/2035 | 9,177 | |||||||||||||
Countrywide Home Equity Loan Trust Series 2002-E, Class A(b) | ||||||||||||||||
590,998 | 2.85 | 10/15/2028 | 592,199 | |||||||||||||
Countrywide Home Equity Loan Trust Series 2003-A, Class A(b) | ||||||||||||||||
1,464,408 | 2.94 | 03/15/2029 | 1,468,445 | |||||||||||||
Countrywide Home Equity Loan Trust Series 2003-D, Class A(b) | ||||||||||||||||
875,867 | 2.85 | 06/15/2029 | 876,391 | |||||||||||||
Countrywide Home Equity Loan Trust Series 2003-E, Class A(b) | ||||||||||||||||
824,008 | 2.85 | 07/15/2029 | 825,682 | |||||||||||||
Countrywide Home Equity Loan Trust Series 2004-N, Class 2A(b) | ||||||||||||||||
1,678,436 | 2.87 | 02/15/2034 | 1,682,894 | |||||||||||||
Countrywide Home Equity Loan Trust Series 2004-R, Class 2A(b) | ||||||||||||||||
946,341 | 2.84 | 03/15/2030 | 948,115 | |||||||||||||
Countrywide Home Equity Loan Trust Series 2004-S, Class 1A(b) | ||||||||||||||||
1,436,332 | 2.83 | 02/15/2030 | 1,437,904 | |||||||||||||
IMPAC CMB Trust Series 2004-10, Class 2A(b) | ||||||||||||||||
977,365 | 2.97 | 03/25/2035 | 978,264 | |||||||||||||
8,819,764 | ||||||||||||||||
Interest Only(d) – 0.1% | ||||||||||||||||
ABN AMRO Mortgage Corp. Series 2003-8, Class A2 | ||||||||||||||||
418,850 | 5.50 | 06/25/2033 | 41,906 | |||||||||||||
Countrywide Home Loan Series 2003-42, Class 2X1(b) | ||||||||||||||||
2,357,567 | 0.39 | 10/25/2033 | 15,929 | |||||||||||||
CS First Boston Mortgage Securities Corp. Series 2003-AR18, Class 2X(b) | ||||||||||||||||
355,238 | 0.78 | 07/25/2033 | 4,465 | |||||||||||||
CS First Boston Mortgage Securities Corp. Series 2003-AR20, Class 2X(b) | ||||||||||||||||
367,044 | 0.60 | 08/25/2033 | 3,287 | |||||||||||||
FHLMC Series 2575 Class IB | ||||||||||||||||
385,202 | 5.50 | 08/15/2030 | 51,884 | |||||||||||||
FNMA Series 2003-46, Class PI | ||||||||||||||||
442,955 | 5.50 | 11/25/2027 | 49,340 | |||||||||||||
GNMA Series 2002-79, Class IP | ||||||||||||||||
19,823 | 6.00 | 06/20/2028 | 588 | |||||||||||||
Master Adjustable Rate Mortgage Trust Series 2003-2, Class 3AX(b) | ||||||||||||||||
346,072 | 0.68 | 08/25/2033 | 4,705 | |||||||||||||
Master Adjustable Rate Mortgage Trust Series 2003-2, Class 4AX(b) | ||||||||||||||||
121,705 | 1.16 | 07/25/2033 | 2,356 | |||||||||||||
Washington Mutual Series 2003-AR04, Class X1(b) | ||||||||||||||||
USD 630,021 | 1.18 | 01/25/2008 | 12,171 | |||||||||||||
Washington Mutual Series 2003-AR07, Class X(b) | ||||||||||||||||
1,186,296 | 0.95 | 06/25/2008 | 11,792 | |||||||||||||
Washington Mutual Series 2003-AR12, Class X(b) | ||||||||||||||||
1,235,201 | 0.51 | 02/25/2034 | 7,840 | |||||||||||||
206,263 | ||||||||||||||||
Inverse Floaters(b) – 0.3% | ||||||||||||||||
FNMA Series 1993-248, Class SA | ||||||||||||||||
334,758 | 5.39 | 08/25/2023 | 321,612 | |||||||||||||
GNMA Series 2001-48, Class SA | ||||||||||||||||
50,581 | 18.07 | 10/16/2031 | 59,920 | |||||||||||||
GNMA Series 2001-51, Class SA | ||||||||||||||||
80,307 | 21.28 | 10/16/2031 | 98,637 | |||||||||||||
GNMA Series 2001-51, Class SB | ||||||||||||||||
100,777 | 18.07 | 10/16/2031 | 115,396 | |||||||||||||
GNMA Series 2001-59, Class SA | ||||||||||||||||
73,648 | 17.91 | 11/16/2024 | 86,802 | |||||||||||||
GNMA Series 2002-13, Class SB | ||||||||||||||||
34,014 | 25.48 | 02/16/2032 | 46,037 | |||||||||||||
728,404 | ||||||||||||||||
Manufactured Housing – 0.2% | ||||||||||||||||
Mid-State Trust Series 4, Class A | ||||||||||||||||
332,987 | 8.33 | 04/01/2030 | 359,839 | |||||||||||||
Non-Agency CMOs – 4.9% | ||||||||||||||||
Asset Securitization Corp. Series 1997-D4, Class A1D | ||||||||||||||||
424,871 | 7.49 | 04/14/2029 | 449,376 | |||||||||||||
Bear Stearns Alt-A Trust Series 2004-3, Class A1(b) | ||||||||||||||||
658,492 | 2.97 | 02/25/2034 | 660,692 | |||||||||||||
Bear Stearns Commercial Mortgage Securities, Inc. Series 2003-T10, Class X2(a)(b) | ||||||||||||||||
3,100,000 | 1.27 | 03/13/2040 | 160,354 | |||||||||||||
CS First Boston Mortgage Securities Corp. Series 1997-C2, Class A3 | ||||||||||||||||
1,000,000 | 6.55 | 01/17/2035 | 1,056,742 | |||||||||||||
CS First Boston Mortgage Securities Corp. Series 2003-C3, Class ASP(a)(b) | ||||||||||||||||
1,900,974 | 1.88 | 05/15/2038 | 126,034 | |||||||||||||
CS First Boston Mortgage Securities Corp. Series 2004-AR2, Class 6A4(b) | ||||||||||||||||
539,866 | 2.98 | 03/25/2034 | 540,120 | |||||||||||||
First Union National Bank Commercial Mortgage Trust Series 2000-C2, Class A2 | ||||||||||||||||
600,000 | 7.20 | 10/15/2032 | 673,960 | |||||||||||||
Master Adjustable Rate Mortgages Trust Series 2004-9, Class 2A1(b) | ||||||||||||||||
823,139 | 3.03 | 11/25/2034 | 823,988 | |||||||||||||
MLCC Mortgage Investors, Inc. Series 2004-E, Class A2B(b) | ||||||||||||||||
1,413,436 | 2.45 | 11/25/2029 | 1,412,590 | |||||||||||||
Prudential Commercial Mortgage Trust Series 2003-PWR1, Class X2(a)(b) | ||||||||||||||||
3,800,000 | 1.55 | 02/11/2036 | 232,014 |
13
Principal | Interest | Maturity | ||||||||||||||
Amount• | Rate | Date | Value | |||||||||||||
Mortgage-Backed Obligations – (continued) | ||||||||||||||||
Non-Agency CMOs – (continued) | ||||||||||||||||
Sequoia Mortgage Trust Series 2004-09, Class A2(b) | ||||||||||||||||
USD 946,243 | 2.53 | % | 10/20/2034 | $ | 947,112 | |||||||||||
Sequoia Mortgage Trust Series 2004-11, Class A2(b) | ||||||||||||||||
959,912 | 2.87 | 12/20/2034 | 962,105 | |||||||||||||
Sequoia Mortgage Trust Series 2004-12, Class A3(b) | ||||||||||||||||
949,025 | 3.07 | 09/20/2034 | 948,037 | |||||||||||||
Structured Adjustable Rate Mortgage Loan Series 2004-6, Class 3A2(b) | ||||||||||||||||
862,453 | 4.79 | 06/25/2034 | 857,347 | |||||||||||||
Structured Asset Securities Corp. Series 2003-34A, Class 3A3(b) | ||||||||||||||||
421,968 | 4.70 | 11/25/2033 | 423,977 | |||||||||||||
Washington Mutual Series 2005-AR1, Class A2A1(b) | ||||||||||||||||
995,745 | 2.99 | 01/25/2045 | 995,368 | |||||||||||||
11,269,816 | ||||||||||||||||
Planned Amortization (PAC) – Interest Only(d) – 0.0% | ||||||||||||||||
CS First Boston Mortgage Securities Corp. Series 2003-11, Class 1A2 | ||||||||||||||||
54,853 | 5.50 | 06/25/2033 | 3,385 | |||||||||||||
CS First Boston Mortgage Securities Corp. Series 2003-19, Class 1A2 | ||||||||||||||||
438,416 | 5.25 | 07/25/2033 | 53,319 | |||||||||||||
FHLMC Series 2541, Class QI | ||||||||||||||||
97,697 | 6.00 | 01/15/2029 | 2,108 | |||||||||||||
58,812 | ||||||||||||||||
Planned Amortization Class (PAC) CMOs – 0.7% | ||||||||||||||||
FHLMC Series 2298, Class PD | ||||||||||||||||
164,488 | 6.50 | 03/15/2030 | 165,450 | |||||||||||||
FNMA Series 1993-76, Class PJ | ||||||||||||||||
524,817 | 6.00 | 06/25/2008 | 538,151 | |||||||||||||
FNMA Series 1994-75, Class J | ||||||||||||||||
822,996 | 7.00 | 10/25/2023 | 835,062 | |||||||||||||
GNMA Series 2002-1, Class PB | ||||||||||||||||
7,994 | 6.00 | 02/20/2029 | 7,984 | |||||||||||||
1,546,647 | ||||||||||||||||
Sequential Fixed Rate CMOs – 0.7% | ||||||||||||||||
CS First Boston Mortgage Securities Corp. Series 2002-5, Class PPA1 | ||||||||||||||||
650,865 | 6.50 | 03/25/2032 | 673,385 | |||||||||||||
Federal Home Loan Mortgage Corp. Series 2763, Class ZB | ||||||||||||||||
90,508 | 4.50 | 03/15/2019 | 83,749 | |||||||||||||
FNMA REMIC Trust Series 2002-24, Class AE | ||||||||||||||||
772,984 | 6.00 | 04/25/2016 | 779,556 | |||||||||||||
1,536,690 | ||||||||||||||||
TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS (CMOS) | ||||||||||||||||
(Cost $26,206,425) | $ | 26,223,333 | ||||||||||||||
TOTAL MORTGAGE-BACKED OBLIGATIONS | ||||||||||||||||
(Cost $36,099,434) | $ | 36,044,231 | ||||||||||||||
Agency Debentures – 3.6% | ||||||||||||||||
Federal Home Loan Bank | ||||||||||||||||
USD1,000,000 | 2.88 | % | 05/23/2006 | $ | 991,673 | |||||||||||
500,000 | 2.88 | 02/15/2007 | 491,587 | |||||||||||||
1,000,000 | 5.38 | 02/15/2007 | 1,029,870 | |||||||||||||
700,000 | 3.38 | 02/15/2008 | 687,840 | |||||||||||||
1,000,000 | 4.08 | 04/26/2010 | 988,720 | |||||||||||||
FHLMC | ||||||||||||||||
1,000,000 | 3.00 | 06/30/2009 | 953,150 | |||||||||||||
800,000 | 7.00 | 03/15/2010 | 897,342 | |||||||||||||
97,360 | 6.50 | 12/01/2032 | 101,536 | |||||||||||||
FNMA | ||||||||||||||||
1,000,000 | 3.25 | 07/12/2006 | 995,689 | |||||||||||||
1,000,000 | 7.13 | 06/15/2010 | 1,131,344 | |||||||||||||
TOTAL AGENCY DEBENTURES | ||||||||||||||||
(Cost $8,383,826) | $ | 8,268,751 | ||||||||||||||
U.S. Treasury Obligations – 7.7% | ||||||||||||||||
U.S. Treasury Interest-Only Stripped Securities(d) | ||||||||||||||||
USD 400,000 | 0.00 | % | 05/15/2013 | $ | 279,608 | |||||||||||
900,000 | 0.00 | (e) | 08/15/2014 | 589,230 | ||||||||||||
U.S. Treasury Notes | ||||||||||||||||
2,300,000 | 3.38 | 02/28/2007 | 2,290,658 | |||||||||||||
4,000,000 | 2.75 | 08/15/2007 | 3,914,320 | |||||||||||||
1,000,000 | 3.38 | 02/15/2008 | 991,172 | |||||||||||||
U.S. Treasury Principal-Only Stripped Securities(f) | ||||||||||||||||
10,300,000 | 0.00 | 05/15/2017 | 5,840,409 | |||||||||||||
4,100,000 | 0.00 | 08/15/2021 | 1,843,319 | |||||||||||||
1,300,000 | 0.00 | 11/15/2021 | 576,849 | |||||||||||||
2,300,000 | 0.00 | 11/15/2026 | 798,146 | |||||||||||||
1,900,000 | 0.00 | (e) | 08/15/2027 | 636,880 | ||||||||||||
TOTAL U.S. TREASURY OBLIGATIONS | ||||||||||||||||
(Cost $17,399,684) | $ | 17,760,591 | ||||||||||||||
Expiration | ||||||||||||||
Units | Description | Date | Value | |||||||||||
Warrant* – 0.0% | ||||||||||||||
280 | Hayes Lemmerz International, Inc. | 06/03/2006 | $ | 106 | ||||||||||
(Cost $625) | ||||||||||||||
14
Principal | Interest | Maturity | ||||||||||||||
Amount• | Rate | Date | Value | |||||||||||||
Repurchase Agreement – 9.0% | ||||||||||||||||
Joint Repurchase Agreement Account II(g) | ||||||||||||||||
USD20,700,000 | 2.64 | % | 03/01/2005 | $ | 20,700,000 | |||||||||||
Maturity Value: $20,701,520 | ||||||||||||||||
(Cost $20,700,000) | ||||||||||||||||
TOTAL INVESTMENTS – 98.8% | ||||||||||||||||
(Cost $201,973,737) | $ | 226,507,504 | ||||||||||||||
The percentage shown for each investment category reflects the value of investments in that category as a percentage of net assets. |
* | Non-income producing security. | |
• | The principal amount of each security is stated in the currency in which the bond is denominated. See below: |
Currency Description | |
MXN | = Mexican Peso | |
USD | = U.S. Dollar | |
ZAR | = South African Rand |
(a) | Securities are exempt from registration under Rule 144A of the Securities Act of 1933. Under procedures approved by the Board of Trustees, such securities have been determined to be liquid by the Investment Adviser and may be resold, normally to qualified institutional buyers in transactions exempt from registration. Total market value of Rule 144A securities amounts to $ 5,436,378, which represents approximately 2.4% of net assets as of February 28, 2005. | |
(b) | Variable rate security. Interest rate disclosed is that which is in effect at February 28, 2005. | |
(c) | Perpetual Maturity. Maturity date presented represents the next call date. | |
(d) | Represents security with notional or nominal principal amount. The actual effective yield of this security is different than the stated interest rate due to the amortization of related premiums or accretion of discounts. | |
(e) | A portion of these securities is segregated as collateral for futures contracts. | |
(f) | Security issued with a zero coupon. Income is recognized through the accretion of discount. | |
(g) | Joint repurchase agreement was entered into on February 28, 2005. |
Investment Abbreviations: | ||||||
GNMA | — | Government National Mortgage Association | ||||
REIT | — | Real Estate Investment Trust | ||||
REMIC | — | Real Estate Mortgage Investment Conduit | ||||
15
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 $20,700,000 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. |
FORWARD FOREIGN CURRENCY CONTRACTS — At February 28, 2005, the Fund had outstanding forward foreign currency exchange contracts, both to purchase and sell foreign currencies as follows:
Expiration | Value on | Unrealized | ||||||||||||||
Open Forward Foreign Currency Purchase Contracts | Date | Settlement Date | Current Value | Gain | ||||||||||||
Polish Zloty | 03/14/2005 | $ | 460,794 | $ | 488,034 | $ | 27,240 | |||||||||
Expiration | Value on | Unrealized | ||||||||||||||
Open Forward Foreign Currency Sale Contracts | Date | Settlement Date | Current Value | Loss | ||||||||||||
Polish Zloty | 03/14/2005 | $ | 436,658 | $ | 460,793 | $ | (24,135 | ) | ||||||||
Mexican Peso | 04/19/2005 | 1,117,192 | 1,127,429 | (10,237 | ) | |||||||||||
South African Rand | 04/21/2005 | 782,008 | 816,307 | (34,299 | ) | |||||||||||
TOTAL OPEN FORWARD FOREIGN CURRENCY SALE CONTRACTS | $ | 2,335,858 | $ | 2,404,529 | $ | (68,671 | ) | |||||||||
16
ADDITIONAL INVESTMENT INFORMATION (continued) |
FUTURES CONTRACTS — At February 28, 2005, futures contracts were open as follows:
Number of | ||||||||||||||||
Contracts | Settlement | Unrealized | ||||||||||||||
Type | Long (Short) | Month | Value | Gain (Loss) | ||||||||||||
Euro Dollar | 51 | March 2005 | $ | 12,366,225 | $ | (11,972 | ) | |||||||||
Euro Dollar | 14 | June 2005 | 3,379,075 | (27,385 | ) | |||||||||||
Euro Dollar | 12 | September 2005 | 2,885,700 | (10,430 | ) | |||||||||||
Euro Dollar | 35 | December 2005 | 8,397,813 | (24,796 | ) | |||||||||||
Euro Dollar | (18 | ) | March 2006 | (4,313,475 | ) | 15,375 | ||||||||||
Euro Dollar | 3 | June 2006 | 718,162 | (3,985 | ) | |||||||||||
Euro Dollar | 2 | September 2006 | 478,400 | (2,202 | ) | |||||||||||
Euro Dollar | (32 | ) | December 2006 | (7,648,400 | ) | 24,722 | ||||||||||
Euro Dollar | 3 | March 2007 | 716,737 | (1,855 | ) | |||||||||||
Euro Dollar | 3 | June 2007 | 716,400 | (1,143 | ) | |||||||||||
S&P 500 Index | 307 | March 2005 | 18,482,935 | 187,854 | ||||||||||||
2 Year U.S. Treasury Notes | 42 | June 2005 | 8,710,406 | (34,686 | ) | |||||||||||
5 Year U.S. Treasury Notes | 45 | June 2005 | 4,841,016 | (48,891 | ) | |||||||||||
10 Year U.S. Treasury Notes | 61 | June 2005 | 6,702,375 | (67,590 | ) | |||||||||||
10 Year U.S. Treasury Notes | (82 | ) | June 2005 | (9,009,750 | ) | 44,772 | ||||||||||
U.S. Treasury Bond | 29 | March 2005 | 3,279,719 | 47,788 | ||||||||||||
U.S. Treasury Bond | 39 | June 2005 | 4,381,406 | (84,121 | ) | |||||||||||
$ | 55,084,744 | $ | 1,455 | |||||||||||||
SWAP CONTRACTS — At February 28, 2005, the following swap contracts were open as follows:
Rate Type | |||||||||||||||||||||
Notional | Payments | Payments | |||||||||||||||||||
Swap | Amount | Termination | made by | received by | Unrealized | ||||||||||||||||
Swap Type | Counterparty | (000s) | Date | the Fund | the Fund | Loss | |||||||||||||||
Interest Rate | Banc of America Securities LLC | $ | 4,000 | 10/14/2008 | 3 month LIBOR floating | 3.51% | $ | (76,422 | ) | ||||||||||||
Interest Rate | Banc of America Securities LLC | 10,000 | 11/12/2019 | 5.07% | 3 month LIBOR floating | (244,740 | ) | ||||||||||||||
Total | $ | (321,162 | ) | ||||||||||||||||||
LIBOR—London Inter-bank Offered Rate |
17
Statement of Assets and Liabilities
Assets: | |||||||
Investment in securities, at value (identified cost $201,973,737) | $ | 226,507,504 | |||||
Cash(a)(b) | 1,943,930 | ||||||
Foreign currencies, at value (identified cost $5,590) | 6,766 | ||||||
Receivables: | |||||||
Variation margin | 1,453,708 | ||||||
Dividends and interest, at value | 804,772 | ||||||
Investment securities sold | 699,834 | ||||||
Fund shares sold | 470,105 | ||||||
Reimbursement from investment adviser | 42,768 | ||||||
Forward foreign currency exchange contracts, at value | 27,240 | ||||||
Other assets | 3,144 | ||||||
Total assets | 231,959,771 | ||||||
Liabilities: | |||||||
Payables: | |||||||
Investment securities purchased | 1,866,819 | ||||||
Swap contracts, at value | 321,162 | ||||||
Amounts owed to affiliates | 212,918 | ||||||
Fund shares repurchased | 159,307 | ||||||
Accrued expenses | 97,409 | ||||||
Forward foreign currency exchange contracts, at value | 68,671 | ||||||
Total liabilities | 2,726,286 | ||||||
Net Assets: | |||||||
Paid-in capital | 212,866,369 | ||||||
Accumulated undistributed net investment income | 556,618 | ||||||
Accumulated net realized loss on investment, futures, swaps and foreign currency related transactions | (8,365,982 | ) | |||||
Net unrealized gain on investments, futures, swaps and translation of assets and liabilities denominated in foreign currencies | 24,176,480 | ||||||
NET ASSETS | $ | 229,233,485 | |||||
Net Assets: | |||||||
Class A | $ | 189,292,070 | |||||
Class B | 31,719,323 | ||||||
Class C | 6,265,556 | ||||||
Institutional | 1,949,018 | ||||||
Service | 7,518 | ||||||
Shares outstanding: | |||||||
Class A | 9,688,737 | ||||||
Class B | 1,635,938 | ||||||
Class C | 323,474 | ||||||
Institutional | 99,556 | ||||||
Service | 384 | ||||||
Total shares outstanding, $0.001 par value (unlimited number of shares authorized) | 11,748,089 | ||||||
Net asset value, offering and redemption price per share:(c) | |||||||
Class A | $19.54 | ||||||
Class B | 19.39 | ||||||
Class C | 19.37 | ||||||
Institutional | 19.58 | ||||||
Service | 19.60 | ||||||
(a) | Includes restricted cash of $1,270,000 relating to initial margin requirements and collateral on futures transactions. |
(b) | Includes restricted cash of $605,731 on deposit with the swap counterparty as collateral. |
(c) | Maximum public offering price per share (NAV per share multiplied by 1.0582) for Class A Shares is $20.68. 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. |
18
Statement of Operations
Investment income: | |||||||
Interest (including securities lending income of $912) | $ | 1,852,070 | |||||
Dividends | 1,553,341 | ||||||
Total income | 3,405,411 | ||||||
Expenses: | |||||||
Management fees | 711,035 | ||||||
Distribution and Service fees(a) | 411,354 | ||||||
Transfer Agent fees(b) | 206,411 | ||||||
Custody and accounting fees | 83,674 | ||||||
Printing fees | 37,359 | ||||||
Registration fees | 36,184 | ||||||
Professional fees | 19,391 | ||||||
Trustee fees | 7,674 | ||||||
Service share fees | 4 | ||||||
Other | 23,815 | ||||||
Total expenses | 1,536,901 | ||||||
Less — expense reductions | (162,424 | ) | |||||
Net expenses | 1,374,477 | ||||||
NET INVESTMENT INCOME | 2,030,934 | ||||||
Realized and unrealized gain (loss) on investment, futures, swaps and foreign currency transactions: | |||||||
Net realized gain (loss) from: | |||||||
Investment transactions | 3,421,935 | ||||||
Futures transactions | 1,011,090 | ||||||
Swap contracts | 76,084 | ||||||
Foreign currency related transactions | (106,675 | ) | |||||
Net change in unrealized gain (loss) on: | |||||||
Investments | 5,862,319 | ||||||
Futures | 270,309 | ||||||
Swap contracts | (325,616 | ) | |||||
Translation of assets and liabilities denominated in foreign currencies | (28,081 | ) | |||||
Net realized and unrealized gain on investment, futures, swaps and foreign currency transactions | 10,181,365 | ||||||
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS | $ | 12,212,299 | |||||
(a) | Class A, Class B and Class C Shares had Distribution and Service fees of $224,338, $156,984 and $30,032, respectively. |
(b) | Class A, Class B, Class C, Institutional Class and Service Class Shares had Transfer Agent fees of $170,496, $29,827, $5,706, $381 and $1, respectively. |
19
Statements of Changes in Net Assets
For the | For the | ||||||||||
Six Months Ended | Year Ended | ||||||||||
February 28, 2005 | August 31, | ||||||||||
(Unaudited) | 2004 | ||||||||||
From operations: | |||||||||||
Net investment income | $ | 2,030,934 | $ | 3,009,484 | |||||||
Net realized gain from investment, futures, swaps and foreign currency related transactions | 4,402,434 | 10,736,870 | |||||||||
Net increase from payments by affiliates for voluntary reimbursement | — | 37,088 | |||||||||
Net change in unrealized gain on investments, futures, swaps and translation of assets and liabilities denominated in foreign currencies | 5,778,931 | 4,620,540 | |||||||||
Net increase in net assets resulting from operations | 12,212,299 | 18,403,982 | |||||||||
Distributions to shareholders: | |||||||||||
From net investment income | |||||||||||
Class A Shares | (1,596,961 | ) | (3,147,466 | ) | |||||||
Class B Shares | (168,756 | ) | (397,901 | ) | |||||||
Class C Shares | (31,634 | ) | (78,651 | ) | |||||||
Institutional Shares | (20,338 | ) | (52,780 | ) | |||||||
Service Shares | (10 | ) | (168 | ) | |||||||
Total distributions to shareholders | (1,817,699 | ) | (3,676,966 | ) | |||||||
From share transactions: | |||||||||||
Proceeds from sales of shares | 26,369,389 | 57,208,289 | |||||||||
Reinvestment of dividends and distributions | 1,758,250 | 3,540,780 | |||||||||
Cost of shares repurchased | (17,722,156 | ) | (33,265,626 | ) | |||||||
Net increase in net assets resulting from share transactions | 10,405,483 | 27,483,443 | |||||||||
TOTAL INCREASE | 20,800,083 | 42,210,459 | |||||||||
Net assets: | |||||||||||
Beginning of period | 208,433,402 | 166,222,943 | |||||||||
End of period | $ | 229,233,485 | $ | 208,433,402 | |||||||
Accumulated undistributed net investment income | $ | 556,618 | $ | 343,383 | |||||||
20
Notes to Financial Statements
1. ORGANIZATION |
2. SIGNIFICANT ACCOUNTING POLICIES |
A. Investment Valuation — Investments in securities and investment companies traded on a U.S. securities exchange or the NASDAQ system are valued daily at their last sale or official closing price on the principal exchange or system on which they are traded. If no sale occurs, securities are valued at the last bid price. Debt securities are valued at prices supplied by independent pricing services, broker/dealer-supplied valuations or matrix pricing systems. Unlisted equity and debt securities for which market quotations are available are valued at the last sale price on valuation date, or if no sale occurs, at the last bid price. Investments in investment companies (other than those that are exchange traded) are valued at the net asset value per share on the valuation date. Short-term debt obligations maturing in sixty days or less are valued at amortized cost, which approximates market value. Securities for which quotations are not readily available or are deemed to be inaccurate by the Investment Adviser are valued at fair value using methods approved by the Trust’s Board of Trustees.
B. Security Transactions and Investment Income — Security transactions are recorded as of the trade date. Realized gains and losses on sales of portfolio securities are calculated using the identified-cost basis. Dividend income is recorded on the ex-dividend date, net of foreign withholding taxes, if any, which are reduced by any amounts reclaimable by the Fund, where applicable. Interest income is recorded on the basis of interest accrued, premium amortized and discount accreted.
C. Federal Taxes — It is the 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 the ex-dividend date. Income distributions, if any, are declared and paid quarterly. Capital gains distributions, if any, are declared and paid annually.
2. SIGNIFICANT ACCOUNTING POLICIES (continued) |
D. Expenses — Expenses incurred by the Trust that do not specifically relate to an individual Fund of the Trust are allocated to the Fund on a straight-line or pro rata basis depending upon the nature of the expense.
E. Foreign Currency Translations — The books and records of the Fund are maintained in U.S. dollars. Amounts denominated in foreign currencies are translated into U.S. dollars on the following basis: (i) investment valuations, foreign currency and other assets and liabilities initially expressed in foreign currencies are converted each business day into U.S. dollars based upon current exchange rates; and (ii) purchases and sales of foreign investments, income and expenses are converted into U.S. dollars based upon currency exchange rates prevailing on the respective dates of such transactions.
F. Segregation Transactions — As set forth in the prospectus, the Fund may enter into derivative transactions to seek to increase total return. Forward foreign currency exchange contracts, futures contracts, written options, mortgage dollar rolls, when-issued securities and forward commitments represent examples of such transactions. As a result of entering into these transactions, the Fund is required to segregate liquid assets on the accounting records equal to or greater than the market value of the corresponding transactions.
2. SIGNIFICANT ACCOUNTING POLICIES (continued) |
G. Forward Sales Contracts — The Fund may enter into forward security sales of mortgage-backed securities in which the Fund sells securities in the current month for delivery of securities defined by pool stipulated characteristics on a specified future date. The value of the contract is recorded as an asset and a liability on the Fund’s records with the difference between its market value and expected cash proceeds recorded as an unrealized gain or loss. Gains or losses are realized upon delivery of the security sold.
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 Fund, including accrued interest, is required to equal or exceed the value of the repurchase agreement, including accrued interest. If the seller defaults or becomes insolvent, realization of the collateral by the Fund may be delayed or limited and there may be a decline in the value of the collateral during the period while the Fund seeks to assert its rights. The underlying securities for all repurchase agreements are held in safekeeping at the Fund’s custodian or designated subcustodians under triparty repurchase agreements.
I. Forward Foreign Currency Exchange Contracts — The Fund may enter into forward foreign currency exchange contracts for the purchase or sale of a specific foreign currency at a fixed price on a future date as a hedge or cross-hedge against either specific transactions or portfolio positions. The Fund may also purchase and sell forward contracts to seek to increase total return. All commitments are “marked-to-market” daily at the applicable translation rates and any resulting unrealized gains or losses are recorded in the Fund’s financial statements. The Fund records realized gains or losses at the time a forward contract is offset by entry into a closing transaction or extinguished by delivery of the currency. Risks may arise upon entering into these contracts from the potential inability of counterparties to meet the terms of their contracts and from unanticipated movements in the value of a foreign currency relative to the U.S. dollar.
2. SIGNIFICANT ACCOUNTING POLICIES (continued) |
J. Futures Contracts — The Fund may enter into futures transactions to hedge against changes in interest rates, securities currency exchange rates 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 Fund is required to deposit with a broker, or the Fund’s custodian bank 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 Fund daily, dependent on the daily fluctuations in the value of the contracts, and are recorded for financial reporting purposes as unrealized gains or losses. When contracts are closed, the Fund realizes a gain or loss which is reported in the Statement of Operations.
K. Swap Contracts — The Fund may enter into swap transactions for hedging purposes or to seek to increase total return. A swap is an agreement that obligates two parties to exchange a series of cash flows at specified intervals based upon or calculated by reference to changes in specified prices or rates for a specified amount of an underlying asset or notional principal amount. The payment flows are usually netted against each other, with the difference being paid by one party to the other.
L. Mortgage Dollar Rolls — The Fund may enter into mortgage “dollar rolls” in which the Fund sells securities in the current month for delivery and simultaneously contract with the same counterparty to repurchase similar (same type, coupon and maturity) but not identical securities on a specified future date. For financial reporting and tax reporting purposes, the Fund treats mortgage dollar rolls as two separate transactions; one involving the purchase of a security and a separate transaction involving a sale.
3. AGREEMENTS |
3. AGREEMENTS (continued) |
4. PORTFOLIO SECURITIES TRANSACTIONS |
5. SECURITIES LENDING |
6. LINE OF CREDIT FACILITY |
7. ADDITIONAL TAX INFORMATION |
Capital loss carryforward – Expiring 2011 | $ | (11,247,535 | ) | |
Timing differences (deferred straddle losses) | (165,464 | ) | ||
Tax Cost | $ | 203,587,687 | |||
Gross unrealized gain | 24,844,262 | ||||
Gross unrealized loss | (1,924,445 | ) | |||
Net unrealized security gain | $ | 22,919,817 | |||
8. OTHER MATTERS |
In addition, on March 10, 2005 Jeanne and Don Masden filed a purported class action lawsuit in the United States District Court for the Southern District of New York against Goldman Sachs Group, Inc., GSAM, Goldman, Sachs & Co., the Trustees of the Trust and John Doe Defendants (collectively the “Defendants”). The lawsuit amends a previously-filed complaint, and alleges that the Defendants breached their fiduciary duties and duties of care owed under federal and state law by failing to ensure that equity securities held by the Goldman Sachs Funds participated in class action settlements for which they were eligible. Plaintiffs seek compensatory damages, disgorgement of the fees paid to the investment advisers and punitive damages. Based on currently available information, GSAM believes that the likelihood that the pending purported class action lawsuit will have a material adverse financial impact on the Goldman Sachs Funds is remote, and the pending action is not likely to materially affect its ability to provide investment management services to its clients, including the Goldman Sachs Funds.
9. SUMMARY OF SHARE TRANSACTIONS |
For the Six Months Ended | For the Year Ended | |||||||||||||||
February 28, 2005 | August 31, 2004 | |||||||||||||||
Shares | Dollars | Shares | Dollars | |||||||||||||
Class A Shares | ||||||||||||||||
Shares sold | 1,206,428 | $ | 23,139,150 | 2,705,371 | $ | 49,023,901 | ||||||||||
Reinvestments of dividends and distributions | 82,284 | 1,561,672 | 169,748 | 3,074,730 | ||||||||||||
Shares converted from Class B(a) | 13,055 | 255,869 | 568 | 10,554 | ||||||||||||
Shares repurchased | (708,243 | ) | (13,611,679 | ) | (1,341,102 | ) | (24,499,970 | ) | ||||||||
593,524 | 11,345,012 | 1,534,585 | 27,609,215 | |||||||||||||
Class B Shares | ||||||||||||||||
Shares sold | 123,794 | 2,355,984 | 337,992 | 6,076,433 | ||||||||||||
Reinvestments of dividends and distributions | 8,120 | 152,906 | 19,764 | 355,560 | ||||||||||||
Shares converted to Class A(a) | (13,135 | ) | (255,869 | ) | (572 | ) | (10,554 | ) | ||||||||
Shares repurchased | (163,160 | ) | (3,107,553 | ) | (327,967 | ) | (5,941,731 | ) | ||||||||
(44,381 | ) | (854,532 | ) | 29,217 | 479,708 | |||||||||||
Class C Shares | ||||||||||||||||
Shares sold | 41,848 | 800,793 | 111,692 | 2,019,828 | ||||||||||||
Reinvestments of dividends and distributions | 1,422 | 26,756 | 3,699 | 66,467 | ||||||||||||
Shares repurchased | (34,016 | ) | (649,072 | ) | (137,822 | ) | (2,481,345 | ) | ||||||||
9,254 | 178,477 | (22,431 | ) | (395,050 | ) | |||||||||||
Institutional Shares | ||||||||||||||||
Shares sold | 3,468 | 67,000 | 4,652 | 85,782 | ||||||||||||
Reinvestments of dividends and distributions | 890 | 16,906 | 2,424 | 43,855 | ||||||||||||
Shares repurchased | (18,749 | ) | (353,852 | ) | (17,856 | ) | (328,688 | ) | ||||||||
(14,391 | ) | (269,946 | ) | (10,780 | ) | (199,051 | ) | |||||||||
Service Shares | ||||||||||||||||
Shares sold | 328 | 6,462 | 128 | 2,345 | ||||||||||||
Reinvestments of dividends and distributions | 1 | 10 | 10 | 168 | ||||||||||||
Shares repurchased | — | — | (756 | ) | (13,892 | ) | ||||||||||
329 | 6,472 | (618 | ) | (11,379 | ) | |||||||||||
NET INCREASE | 544,335 | $ | 10,405,483 | 1,529,973 | $ | 27,483,443 | ||||||||||
(a) | Class B Shares will automatically convert into Class A Shares at the end of the calendar quarter that is eight years after the initial purchase date of either the Fund or another Goldman Sachs Fund. |
Financial Highlights
Income (loss) from | ||||||||||||||||||||||||||||||||
investment operations | Distributions to shareholders | |||||||||||||||||||||||||||||||
Net asset | ||||||||||||||||||||||||||||||||
value, | Net | Net realized | Total from | From net | From net | |||||||||||||||||||||||||||
beginning | investment | and unrealized | investment | investment | realized | Total | ||||||||||||||||||||||||||
Year - Share Class | of period | income(b) | gain (loss) | operations | income | gains | distributions | |||||||||||||||||||||||||
FOR THE PERIOD ENDED FEBRUARY 28, (Unaudited) | ||||||||||||||||||||||||||||||||
2005 - A | $ | 18.63 | $ | 0.19 | $ | 0.89 | $ | 1.08 | $ | (0.17 | ) | $ | — | $ | (0.17 | ) | ||||||||||||||||
2005 - B | 18.49 | 0.12 | 0.88 | 1.00 | (0.10 | ) | — | (0.10 | ) | |||||||||||||||||||||||
2005 - C | 18.47 | 0.12 | 0.88 | 1.00 | (0.10 | ) | — | (0.10 | ) | |||||||||||||||||||||||
2005 - Institutional | 18.66 | 0.23 | 0.90 | 1.13 | (0.21 | ) | — | (0.21 | ) | |||||||||||||||||||||||
2005 - Service | 18.67 | 0.18 | 0.93 | 1.11 | (0.18 | ) | — | (0.18 | ) | |||||||||||||||||||||||
FOR THE YEARS ENDED AUGUST 31, | ||||||||||||||||||||||||||||||||
2004 - A | 17.21 | 0.31 | 1.48 | 1.79 | (0.37 | ) | — | (0.37 | ) | |||||||||||||||||||||||
2004 - B | 17.08 | 0.17 | 1.47 | 1.64 | (0.23 | ) | — | (0.23 | ) | |||||||||||||||||||||||
2004 - C | 17.07 | 0.17 | 1.47 | 1.64 | (0.24 | ) | — | (0.24 | ) | |||||||||||||||||||||||
2004 - Institutional | 17.24 | 0.38 | 1.48 | 1.86 | (0.44 | ) | — | (0.44 | ) | |||||||||||||||||||||||
2004 - Service | 17.25 | 0.28 | 1.49 | 1.77 | (0.35 | ) | — | (0.35 | ) | |||||||||||||||||||||||
2003 - A | 16.28 | 0.40 | 0.96 | 1.36 | (0.43 | ) | — | (0.43 | ) | |||||||||||||||||||||||
2003 - B | 16.16 | 0.28 | 0.95 | 1.23 | (0.31 | ) | — | (0.31 | ) | |||||||||||||||||||||||
2003 - C | 16.15 | 0.28 | 0.94 | 1.22 | (0.30 | ) | — | (0.30 | ) | |||||||||||||||||||||||
2003 - Institutional | 16.31 | 0.47 | 0.95 | 1.42 | (0.49 | ) | — | (0.49 | ) | |||||||||||||||||||||||
2003 - Service | 16.30 | 0.39 | 0.97 | 1.36 | (0.41 | ) | — | (0.41 | ) | |||||||||||||||||||||||
2002 - A | 18.34 | 0.47 | (e) | (2.03 | )(e) | (1.56 | ) | (0.50 | ) | — | (0.50 | ) | ||||||||||||||||||||
2002 - B | 18.21 | 0.33 | (e) | (2.01 | )(e) | (1.68 | ) | (0.37 | ) | — | (0.37 | ) | ||||||||||||||||||||
2002 - C | 18.19 | 0.33 | (e) | (2.00 | )(e) | (1.67 | ) | (0.37 | ) | — | (0.37 | ) | ||||||||||||||||||||
2002 - Institutional | 18.38 | 0.54 | (e) | (2.04 | )(e) | (1.50 | ) | (0.57 | ) | — | (0.57 | ) | ||||||||||||||||||||
2002 - Service | 18.35 | 0.44 | (e) | (2.02 | )(e) | (1.58 | ) | (0.47 | ) | — | (0.47 | ) | ||||||||||||||||||||
2001 - A | 21.42 | 0.54 | (2.62 | ) | (2.08 | ) | (0.74 | ) | (0.26 | ) | (1.00 | ) | ||||||||||||||||||||
2001 - B | 21.27 | 0.39 | (2.60 | ) | (2.21 | ) | (0.59 | ) | (0.26 | ) | (0.85 | ) | ||||||||||||||||||||
2001 - C | 21.25 | 0.39 | (2.60 | ) | (2.21 | ) | (0.59 | ) | (0.26 | ) | (0.85 | ) | ||||||||||||||||||||
2001 - Institutional | 21.46 | 0.62 | (2.62 | ) | (2.00 | ) | (0.82 | ) | (0.26 | ) | (1.08 | ) | ||||||||||||||||||||
2001 - Service | 21.41 | 0.55 | (2.65 | ) | (2.10 | ) | (0.70 | ) | (0.26 | ) | (0.96 | ) | ||||||||||||||||||||
2000 - A | 20.38 | 0.60 | 1.75 | 2.35 | (0.50 | ) | (0.81 | ) | (1.31 | ) | ||||||||||||||||||||||
2000 - B | 20.26 | 0.45 | 1.73 | 2.18 | (0.36 | ) | (0.81 | ) | (1.17 | ) | ||||||||||||||||||||||
2000 - C | 20.23 | 0.45 | 1.74 | 2.19 | (0.36 | ) | (0.81 | ) | (1.17 | ) | ||||||||||||||||||||||
2000 - Institutional | 20.39 | 0.71 | 1.75 | 2.46 | (0.58 | ) | (0.81 | ) | (1.39 | ) | ||||||||||||||||||||||
2000 - Service | 20.37 | 0.59 | 1.74 | 2.33 | (0.48 | ) | (0.81 | ) | (1.29 | ) | ||||||||||||||||||||||
(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) | Calculated based on average shares outstanding methodology. |
(c) | Includes the effect of mortgage dollar roll transactions. |
(d) | Annualized. |
(e) | As required, effective September 1, 2001, the Portfolio has adopted the provisions of the AICPA Audit and Accounting Guide for Investment Companies and began amortizing premium and discount on all debt securities and reclassifying all paydown losses to income. The effect of this change for the year ended August 31, 2002 was to decrease net investment income per share by $0.02, increase net realized gains and losses per share by $ 0.02, and decrease the ratio of net investment income to average net assets by 0.14%. Per share ratios and supplemental data for periods prior to September 1, 2001 have not been restated to reflect this change in presentation. |
30
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 | expenses | income | 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(c) | |||||||||||||||||||||||||||
$ | 19.54 | 5.83 | % | $ | 189,292 | 1.13 | %(d) | 1.98 | %(d) | 1.28 | %(d) | 1.83 | %(d) | 51 | % | |||||||||||||||||||
19.39 | 5.43 | 31,719 | 1.88 | (d) | 1.24 | (d) | 2.03 | (d) | 1.09 | (d) | 51 | |||||||||||||||||||||||
19.37 | 5.43 | 6,266 | 1.88 | (d) | 1.24 | (d) | 2.03 | (d) | 1.09 | (d) | 51 | |||||||||||||||||||||||
19.58 | 6.09 | 1,949 | 0.73 | (d) | 2.39 | (d) | 0.88 | (d) | 2.24 | (d) | 51 | |||||||||||||||||||||||
19.60 | 5.96 | 7 | 1.23 | (d) | 1.95 | (d) | 1.38 | (d) | 1.80 | (d) | 51 | |||||||||||||||||||||||
18.63 | 10.47 | 169,436 | 1.15 | 1.68 | 1.30 | 1.53 | 208 | |||||||||||||||||||||||||||
18.49 | 9.67 | 31,067 | 1.90 | 0.93 | 2.05 | 0.78 | 208 | |||||||||||||||||||||||||||
18.47 | 9.63 | 5,803 | 1.90 | 0.93 | 2.05 | 0.78 | 208 | |||||||||||||||||||||||||||
18.66 | 10.88 | 2,127 | 0.75 | 2.08 | 0.90 | 1.93 | 208 | |||||||||||||||||||||||||||
18.67 | 10.34 | 1 | 1.25 | 1.63 | 1.40 | 1.48 | 208 | |||||||||||||||||||||||||||
17.21 | 8.54 | 130,111 | 1.16 | 2.43 | 1.38 | 2.21 | 192 | |||||||||||||||||||||||||||
17.08 | 7.73 | 28,204 | 1.91 | 1.69 | 2.13 | 1.47 | 192 | |||||||||||||||||||||||||||
17.07 | 7.72 | 5,746 | 1.91 | 1.69 | 2.13 | 1.47 | 192 | |||||||||||||||||||||||||||
17.24 | 8.95 | 2,150 | 0.76 | 2.85 | 0.98 | 2.63 | 192 | |||||||||||||||||||||||||||
17.25 | 8.53 | 12 | 1.26 | 2.36 | 1.48 | 2.14 | 192 | |||||||||||||||||||||||||||
16.28 | (8.67 | ) | 100,541 | 1.16 | 2.61 | (e) | 1.38 | 2.39 | (e) | 169 | ||||||||||||||||||||||||
16.16 | (9.38 | ) | 23,871 | 1.91 | 1.86 | (e) | 2.13 | 1.64 | (e) | 169 | ||||||||||||||||||||||||
16.15 | (9.34 | ) | 5,377 | 1.91 | 1.86 | (e) | 2.13 | 1.64 | (e) | 169 | ||||||||||||||||||||||||
16.31 | (8.33 | ) | 2,157 | 0.76 | 3.01 | (e) | 0.98 | 2.79 | (e) | 169 | ||||||||||||||||||||||||
16.30 | (8.79 | ) | 10 | 1.26 | 2.49 | (e) | 1.48 | 2.27 | (e) | 169 | ||||||||||||||||||||||||
18.34 | (9.95 | ) | 109,350 | 1.15 | 2.78 | 1.34 | 2.59 | 187 | ||||||||||||||||||||||||||
18.21 | (10.62 | ) | 28,316 | 1.90 | 2.03 | 2.09 | 1.84 | 187 | ||||||||||||||||||||||||||
18.19 | (10.63 | ) | 7,113 | 1.90 | 2.03 | 2.09 | 1.84 | 187 | ||||||||||||||||||||||||||
18.38 | (9.56 | ) | 2,379 | 0.75 | 3.18 | 0.94 | 2.99 | 187 | ||||||||||||||||||||||||||
18.35 | (10.06 | ) | 16 | 1.25 | 2.84 | 1.44 | 2.65 | 187 | ||||||||||||||||||||||||||
21.42 | 12.00 | 135,632 | 1.12 | 2.94 | 1.29 | 2.77 | 154 | |||||||||||||||||||||||||||
21.27 | 11.17 | 33,759 | 1.87 | 2.19 | 2.04 | 2.02 | 154 | |||||||||||||||||||||||||||
21.25 | 11.23 | 8,658 | 1.87 | 2.19 | 2.04 | 2.02 | 154 | |||||||||||||||||||||||||||
21.46 | 12.59 | 2,509 | 0.72 | 3.46 | 0.89 | 3.29 | 154 | |||||||||||||||||||||||||||
21.41 | 11.89 | 17 | 1.22 | 2.86 | 1.39 | 2.69 | 154 | |||||||||||||||||||||||||||
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 Fund you incur two types of costs: (1) transaction costs, including sales charges (loads) on purchase payments (with respect to Class A Shares) or contingent deferred sales charges (loads) on redemptions (with respect to Class B and Class C Shares); and (2) ongoing costs, including management fees; distribution and service (12b-1) fees (with respect to Class A, Class B and Class C Shares); and other Fund expenses. This Example is intended to help you understand your ongoing costs (in dollars) of investing in Class A, Class B, Class C, Institutional and Service Shares of the 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 Fund’s actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Fund’s actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Fund and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds.
Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transactional costs, such as sales charges (loads). Therefore, the second line of the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transactional costs were included, your costs would have been higher.
Expenses Paid for the | ||||||||||||||
Beginning Account Value | Ending Account Value | 6 months ended | ||||||||||||
Share Class | 9/1/04 | 2/28/05 | 2/28/05* | |||||||||||
Class A | ||||||||||||||
Actual | $ | 1,000 | $ | 1,058.30 | $ | 5.78 | ||||||||
Hypothetical 5% return | 1,000 | 1,019.18 | + | 5.67 | ||||||||||
Class B | ||||||||||||||
Actual | 1,000 | 1,054.30 | 9.58 | |||||||||||
Hypothetical 5% return | 1,000 | 1,015.47 | + | 9.40 | ||||||||||
Class C | ||||||||||||||
Actual | 1,000 | 1,054.30 | 9.59 | |||||||||||
Hypothetical 5% return | 1,000 | 1,015.46 | + | 9.40 | ||||||||||
Institutional | ||||||||||||||
Actual | 1,000 | 1,060.90 | 3.74 | |||||||||||
Hypothetical 5% return | 1,000 | 1,021.17 | + | 3.67 | ||||||||||
Service | ||||||||||||||
Actual | 1,000 | 1,059.60 | 6.30 | |||||||||||
Hypothetical 5% return | 1,000 | 1,018.68 | + | 6.17 | ||||||||||
* Expenses for each share class are calculated using the fund’s annualized expense ratio for each class, which represents the ongoing expenses as a percentage of net assets for the six months ended 2/28/05. Expenses are calculated by multiplying the expense ratio by the average account value for the period; then multiplying the result by the number of days in the most recent fiscal half year; and then dividing that result by the number of days in the fiscal year. The expense ratios for the period were 1.13%, 1.88%, 1.88%, 0.73% and 1.23% for Class A, Class B, Class C, Institutional Class and Service Class, respectively.
+ Hypothetical expenses are based on the Fund’s actual annualized 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 FUND S In building a globally diversified portfolio, you can select from more than 50 Goldman Sachs Funds and gain access to investment opportunities across borders, investment styles, asset classes and security capitalizations. FIXED INCOME MONEY Risk/Return MARKET Lower International Equity Funds Asia Growth Fund Emerging Markets Equity Fund International Growth Opportunities Fund Japanese Equity Fund European Equity Fund International Equity Fund CORESM International Equity Fund INTERNATIONAL EQUITY Risk/Return Higher DOMESTIC EQUITY PORTFOLIOS ALLOCATION SPECIALTY ASSET Asset Allocation Funds Balanced Fund Domestic Equity Funds Asset Allocation Portfolios Small Cap Value Fund CORESM Small Cap Equity Fund Fixed Income Funds Mid Cap Value Fund Emerging Markets Debt Fund Concentrated Growth Fund High Yield Fund Growth Opportunities Fund High Yield Municipal Fund Research Select FundSM Global Income Fund Strategic Growth Fund Investment Grade Credit Fund Capital Growth Fund Core Fixed Income Fund Large Cap Value Fund U.S. Mortgages Fund Growth and Income Fund Municipal Income Fund CORESM Large Cap Growth Fund Government Income Fund CORESM Large Cap Value Fund Short Duration Tax-Free Fund CORESM U.S. Equity Fund Short Duration Government Fund Ultra-Short Duration Government Specialty Funds Fund Tollkeeper FundSM Enhanced Income Fund CORESM Tax-Managed Equity Fund Real Estate Securities Fund Money Market Funds1 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 Fund included in this shareholder report may contain certain forward-looking statements about the factors that may affect the performance of the Fund in the future. These statements are based on Fund management’s predictions and expectations concerning certain future events and their expected impact on the Fund, such as performance of the economy as a whole and of specific industry sectors, changes in the levels of interest rates, the impact of developing world events, and other factors that may influence the future performance of the Fund. Management believes these forward-looking statements to be reasonable, although they are inherently uncertain and difficult to predict. Actual events may cause adjustments in portfolio management strategies from those currently expected to be employed. A description of the policies and procedures that the Fund uses to determine how to vote proxies relating to portfolio securities and information regarding how 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 Fund files its 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 Fund’s 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 Fund is subject to the risk of rising and falling stock prices. In recent years, the U.S. stock market has experienced substantial price volatility. Holdings and allocations shown are unaudited, and may not be representative of current or future investments. Holdings and allocations may not include the Fund’s entire investment portfolio, which may change at any time. Fund holdings should not be relied on in making investment decisions and should not be construed as research or investment advice regarding particular securities. This material is not authorized for distribution to prospective investors unless preceded or accompanied by a current Prospectus. Please consider a Fund’s objectives, risks, and charges and expenses, and read the Prospectus carefully before investing. The Prospectus contains this and other information about the Funds. Copyright 2005 Goldman, Sachs & Co. All rights reserved. Date of first use: April 29, 2005 / 05-607 BALSAR /13.5K / 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 |