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)
71 South Wacker, Suite 500, Chicago, Illinois 60606
(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: December 31
Date of reporting period: June 30, 2005
ITEM 1. | REPORTS TO STOCKHOLDERS. | |
The Semi-Annual Report to Stockholders is filed herewith. |
A S S E T A L LO C AT I O N P O R T F O L I O S Semiannual Report June 30, 2005 Strategies designed to provide a complete investment program in a single investment and capitalize on the benefits of asset allocation. |
Goldman Sachs Funds Goldman Sachs Asset Allocation Portfolios NOT FDIC-INSURED May Lose Value No Bank Guarantee GOLDMAN SACHS BALANCED STRATEGY PORTFOLIO GOLDMAN SACHS GROWTH AND INCOME STRATEGY PORTFOLIO GOLDMAN SACHS GROWTH STRATEGY PORTFOLIO GOLDMAN SACHS AGGRESSIVE GROWTH STRATEGY PORTFOLIO The Balanced Strategy Portfolio is expected to invest a relatively significant percentage of its equity allocation in the Goldman Sachs CORE SM Large Cap Growth, CORE SM Large Cap Value, CORE SM Small Cap Equity and CORE SM International Equity Funds and may invest a relatively significant percentage of its assets in the Global Income and High Yield Funds. It is expected that the Portfolio will invest more than 25% of its assets in the Short Duration Government Fund.The Portfolio is subject to the risk factors of those funds. Some of those risk factors include credit and interest rate risk, the price fluctuations of U.S. government securities in response to changes in interest rates; the volatility of investments in the stock market; and currency, economic and political risks of non-US investments. The Growth and Income Strategy Portfolio is expected to invest a relatively significant percentage of its equity allocation in the Goldman Sachs CORE SM Large Cap Growth, CORE SM Large Cap Value, CORE SM Small Cap Equity and CORE SM International Equity Funds and will invest a relatively significant percentage of its assets in the Core Fixed Income and Global Income Funds.The Portfolio is subject to the risk factors of those funds. Some of those risk factors include credit and interest rate risk, the price fluctuations of U.S. government securities in response to changes in interest rates; the credit risk and volatility of high-yield bonds; and the volatility of non-US stocks and bonds and US stocks. The Growth Strategy Portfolio is expected to invest a relatively significant percentage of its equity allocation in the Goldman Sachs CORE SM Large Cap Growth, CORE SM Large Cap Value, CORE SM Small Cap Equity and CORE SM International Equity Funds, and is subject to the risk factors of those funds. Some of those risk factors include the volatility of US and non-US equity investments; the credit risk and volatility of high yield bonds; and the political, economic and currency risks of non-US securities. The Aggressive Growth Strategy Portfolio is expected to invest a relatively significant percentage of its assets in the Goldman Sachs CORE SM Large Cap Growth, CORE SM Large Cap Value, CORE SM Small Cap Equity and CORE SM International Equity Funds, and is subject to the risk factors of those funds. Some of those risk factors include the volatility of US and non-US equity investments; and the political, economic and currency risks of non-US securities,which are particularly significant regarding equities of issuers located in emerging markets. |
MAKE SECURITY SELECTION DECISIONS MAKE QUARTERLY GLOBAL TACTICAL ASSET ALLOCATION DECISIONS DETERMINE LONG-TERM STRATEGIC BENCHMARK ASSET ALLOCATIONS G O L D M A N S AC H S A S S E T A L LOC AT I O N P O R T F O L I O S 1 Goldman Sachs’ Quantitative Strategies Team determines the strategic and quarterly tactical asset allocations. The team is comprised of over 50 professionals with significant academic and practitioner experience and currently manages more than $72.0 billion in assets as of June 30, 2005 for institutional, high net worth and individual investors. Goldman Sachs’Portfolio Management Teams offer expert management of the mutual funds that are contained within each Asset Allocation Strategy. These same teams manage portfolios for institutional and high net worth investors. Goldman Sachs Asset Allocation Investment Process What Differentiates Goldman Sachs’ Approach to Asset Allocation? EACH GOLDMAN SACHS ASSET ALLOCATION STRATEGY DELIVERS: Comprehensive investment strategies for any life stage Automatic diversification and risk management benefits Forward-looking, quarterly tactical reallocation Simplicity and efficiency 1 Quantitative Strategies Team Each asset allocation portfolio represents a diversified global portfolio on the efficient frontier. The portfolios differ in their long-term objective, and therefore, their asset allocation mix.The long-term strategic asset allocation is the primary source of risk and the corresponding primary determinant of total return. It therefore represents an anchor, or neutral starting point, from which tactical asset allocation decisions are made. 2 Quantitative Strategies Team For each portfolio, the strategic asset allocation is combined with a measured amount of tactical risk.Changing market conditions create opportunities to capitalize on investing in different countries and asset classes relative to others over time.Within each strategy,we shift assets away from the strategic allocation (over and underweighting certain asset classes and countries) to seek to benefit from changing conditions in global capital markets on a quarterly basis. Using proprietary portfolio construction models to maintain each Portfolio’s original risk/return profile over time, the team makes eight active decisions based on its current outlook on global equity, fixed income and currency markets. Asset class selection Are U.S. stocks,U.S.bonds or cash more attractive? Regional equity selection Are U.S. or non-U.S. equities more attractive? Regional bond selection Are U.S. or non-U.S. bonds more attractive? U.S. equity style selection Are U.S. value or U.S. growth equities more attractive? U.S. equity size selection Are U.S. large-cap or U.S. small-cap equities more attractive? |
Equity country selection Which international countries are most attractive? High yield selection Are high yield or core fixed income securities more attractive? Emerging/developed equity selection Are emerging or developed equities more attractive? 3 Mutual Fund Portfolio Management Teams Each portfolio is comprised of 6-11 underlying Goldman Sachs Mutual Funds (“Underlying Funds”) managed by broad, deep portfolio management teams. In addition to global tactical asset allocation,we seek to generate excess returns through security selection within each underlying mutual fund.Whether in the equity or fixed income arenas, these portfolio management teams share a commitment to firsthand fundamental research and seek performance driven by successful security selection. We believe that strong, consistent investment results through asset allocation are best achieved through teams of experts working together on a global scale: |
2 Asset Allocation Overall, the various Portfolios invest their assets in a strategic mix of underlying equity and fixed income funds. Every June, we reset our strategic benchmarks to reflect current market expectations and to bring the total equity portion of the various Portfolios in line with our long-term target weights. During the rest of the year, we allow these strategic targets to shift with their respective market returns, but we continue to adjust our tactical allocations to reflect our views. Each quarter, the overall asset allocation is adjusted based on current market conditions and our economic and market forecasts. By reallocating the Portfolios on a quarterly basis, we seek to enhance performance over the long term. Regional and Sector Preferences Asset Class Selection — During the reporting period, our quantitative models favored domestic stocks over domestic bonds, and stocks and bonds over cash. We were positive on stocks as a result of strong growth prospects and a favorable inflation environment. At the same time, we were positive on bonds versus cash primarily as a result of moderate short-term momentum. However, we began to find domestic bonds less attractive as momentum deteriorated and yields remained at historically low levels. In our equity style and size allocation models, we were overweight value stocks relative to their growth counterparts and we were overweight small-cap stocks relative to large-cap stocks. Our bullish position in value stocks versus growth stocks was the result of investor optimism shored up by strong corporate balance sheets. We continued to overweight small-cap stocks during the first half of 2005 due to strong market momentum. However, recent strong performance in small-cap equity has made small-cap stocks look increasingly expensive, which caused us to moderate our position as the six-month period progressed. In our high yield model, we started off 2005 holding an overweight position in the asset class versus core fixed income, primarily due to low perceived levels of market risk. However, at the end of the first quarter of 2005 we saw signals that market risk was on the rise. As a result, we traded out of our high yield position, just before the General Motors debt downgrade roiled the high yield market. In our emerging equity versus developed equity decision, we held a slight preference for developed equity during the first half of 2005 due to poor credit conditions in emerging markets. Equities — Entering 2005, we held an overweight position in international relative to domestic equity as we found attractive long-term value in international markets. Our bullish view on international equity was tempered by our view that the U.S. economy was providing relatively favorable conditions for growth. Furthermore, we became more optimistic about the strength of the U.S. dollar toward the end of the first quarter of 2005. We subsequently reduced our overweight position in international equity relative to domestic equity. Asset Allocation Portfolios Dear Shareholder, This report provides an overview on the performance of the Goldman Sachs Asset Allocation Portfolios (individually, the “Portfolio,” and collectively, the “Portfolios”) during the six-month reporting period that ended June 30, 2005. |
P E R F O R M A N C E O V E R V I EW P E R F O R M A N C E O V E R V I EW 3 While the views presented above reflect how we positioned U.S. equities relative to international equities when evaluated in the aggregate, we were also able to implement our country level views within the Goldman Sachs CORE SM International Equity Fund. Among the international equity markets, Europe replaced Asia as our favorite region globally. Within Europe, we found the markets of many of the smaller European countries, such as Austria, Norway and Belgium, to show strong macroeconomic fundamentals and to be particularly attractive sources of value. In Asia, we found Hong Kong and Singapore offered the most attractive equity markets. We remained bearish on the UK given unattractive long-term value, low risk premiums, less supportive macroeconomic conditions and weak market momentum. Fixed Income — As the first quarter of 2005 began, we changed our long-held preference for domestic bonds relative to international bonds. This was due to signals that momentum in the U.S. had slowed and foreign macroeconomic indicators appeared to offer relatively more support for international bond markets. As the second quarter of the year began, however, our U.S. macroeconomic outlook improved and we moved back toward preferring domestic bonds. Performance The performance of the Portfolios is driven primarily by three factors: 1) strategic asset allocation policy, 2) underlying fund performance and 3) asset allocation decisions. STRATEGIC ALLOCATIONS RETURN On an absolute basis, the Asset Allocation Portfolios showed moderately positive performance for the first half of year. In general, the Portfolios’ returns were driven by the positive performance of the fixed income markets, tempered slightly by the moderately negative performance of the equity markets. While the equity markets generally underperformed during the six-month period, the Asset Allocation Portfolios benefited significantly from diversification, as the strategic asset allocations to emerging equity and real estate securities showed very strong performance during the first half of 2005. UNDERLYING FUND EXCESS RETURN The second component of Portfolio performance is the contribution from our underlying fund managers. Overall, underlying fund security selection was slightly negative for the first half of 2005, with two of the funds with the largest allocations, the CORE SM Large Cap Value Fund and the CORE SM Large Cap Growth Fund, underperforming their respective benchmarks. The CORE SM Small Cap Equity Fund and the Emerging Markets Equity Fund, two of the underlying funds that underperformed during 2004, significantly outperformed their benchmarks during the first half of 2005, and the Emerging Markets Debt Fund continued to have strong performance relative to its benchmark. |
P E R F O R M A N C E O V E R V I EW 4 ASSET ALLOCATION DECISIONS RETURN The final component of Portfolio performance is derived from the Global Tactical Asset Allocation (GTAA) strategy. Our tactical asset allocation decisions generated positive returns across all Portfolios during the six-month period ended June 30, 2005, adding approximately 70 basis points of excess return in the Aggressive Growth Strategy Portfolio, 40 basis points in the Growth Strategy Portfolio, and approximately 20 basis points in the Growth and Income Strategy and the Balanced Strategy Portfolios. Our equity country selection model, as implemented in the CORE SM International Equity Fund, had a particularly strong contribution to the performance of the GTAA strategy during the reporting period. In addition, the Portfolios benefited from our overweight in U.S. value equity relative to U.S. growth equity during the first quarter. Elsewhere, our overweight in U.S small-cap stocks relative to U.S. large-cap stocks performed well throughout the period. Our overweight in U.S. stocks relative to U.S. bonds was the largest detractor from the performance of the GTAA strategy. Goldman Sachs Balanced Strategy Portfolio — During the six-month period ended June 30, 2005, the Portfolio’s Class A, B, C, Institutional and Service Shares generated cumulative total returns of 0.64%, 0.26%, 0.28%, 0.92%, and 0.58%, respectively. Fund Weightings (Percentage of Portfolio) † as of 6/30/05 † The percentage shown for each underlying fund reflects the value of that fund as a percentage of market value. Short-term investments include repurchase agreements. 43.2% 5.5% 16.7% 7.0% 8.9% 2.0% 14.1% |
2.5% 0.1% 0% 10% 20% 30% 40% 50% Real Estate Securities Fund Short-term Investments CORE SM Internat’l Equity Fund CORE SM Small Cap Equity Fund CORE SM Large Cap Growth Fund CORE SM Large Cap Value Fund Global Income Fund High Yield Fund Short-Duration Gov’t. Fund |
P E R F O R M A N C E O V E R V I EW 5 Goldman Sachs Growth and Income Strategy Portfolio — During the six-month period ended June 30, 2005, the Portfolio’s Class A, B, C, Institutional and Service Shares generated cumulative total returns of 1.14%, 0.67%, 0.70%, 1.24%, and 0.99%, respectively. Fund Weightings (Percentage of Portfolio) † as of 6/30/05 † The percentage shown for each underlying fund reflects the value of that fund as a percentage of the market value of the Growth and Income Strategy Portfolio’s investment holdings. Short-term investments include repurchase agreements. 2.5% 12.5% 5.5% 2.5% 2.9% 19.9% 3.5% 0% 5% 10% 15% 20% 25% 21.5% 13.8% 2.5% 0.1% 12.8% Real Estate Securities Fund Short-term Investments Emerging Mkts. Equity Fund CORE SM Internat’l Equity Fund CORE SM Small Cap Equity Fund CORE SM Large Cap Growth Fund CORE SM Large Cap Value Fund Emerging Mkts. Debt Fund Global Income Fund High Yield Fund Core Fixed Income Fund Short-Duration Gov’t. Fund |
P E R F O R M A N C E O V E R V I EW 6 Goldman Sachs Growth Strategy Portfolio — During the six-month period ended June 30, 2005, the Portfolio’s Class A, B, C, Institutional and Service Shares generated cumulative total returns of 0.76%, 0.34%, 0.34%, 0.93%, and 0.68%, respectively. Fund Weightings (Percentage of Portfolio) † as of 6/30/05 † The percentage shown for each underlying fund reflects the value of that fund as a percentage of the market value of the Growth Strategy Portfolio’s investment holdings. Short-term investments include repurchase agreements. 0% 5% 10% 15% 20% 25% 30% 5.5% 3.5% 27.3% 2.6% 19.7% 27.9% 3.5% 2.9% 0.1% 2.5% 4.5% Real Estate Securities Fund Short-term Investments Emerging Mkts. Equity Fund CORE SM Internat’l Equity Fund CORE SM Small Cap Equity Fund CORE SM Large Cap Growth Fund CORE SM Large Cap Value Fund Emerging Mkts. Debt Fund Global Income Fund High Yield Fund Core Fixed Income Fund |
P E R F O R M A N C E O V E R V I EW 7 Goldman Sachs Aggressive Growth Strategy Portfolio — During the six-month period ended June 30, 2005, the Portfolio’s Class A, B, C, Institutional and Service Shares generated cumulative total returns of 0.41%, 0.00%, 0.08%, 0.56%, and 0.33%, respectively. Fund Weightings (Percentage of Portfolio) † as of 6/30/05 † The percentage shown for each underlying fund reflects the value of that fund as a percentage of the market value of the Aggressive Growth Strategy Portfolio’s investment holdings. We hope this summary has been helpful to you in your understanding of how we manage your Portfolio. We thank you for the confidence you have placed in us and we look forward to your continued support. Goldman Sachs Quantitative Strategies Group July 18, 2005 0% 5% 10% 15% 20% 25% 30% 35% 40% Real Estate Securities Fund Emerging Mkts. Equity Fund CORE SM Internat’l Equity Fund CORE SM Small Cap Equity Fund CORE SM Large Cap Growth Fund CORE SM Large Cap Value Fund 28.3% 20.8% 38.0% 3.9% 6.5% 2.5% |
F U N D B A S I C S For the investor seeking current income and longterm capital appreciation. Approximately half of the Portfolio is invested in domestic fixed income funds which seek to provide income, with the remaining balance in domestic and international stock funds and an allocation to a global bond fund. The balance in equities is intended to add diversification and may enhance returns, but will also add some volatility to the Portfolio. Balanced Strategy as of June 30, 2005 $211.1 Million Assets Under Management GIPAX Class A Shares N A S D AQ S Y M B O L S GIPBX Class B Shares GIPCX Class C Shares GIPIX Institutional Shares GIPSX Service Shares 3 As of 4/1/05. Actual Fund weighting in the Asset Allocation Portfolios may differ from the figures shown above due to rounding, differences in returns of the Underlying Funds, or both. The above figures are not indicative of future allocations. 8 40.9% Short Duration Gov’t Fund 2.5% High Yield Fund 11.4% Global Income Fund 15.1% CORE SM Large Cap Value Fund 7.0% CORE SM Large Cap Growth Fund 4.4% CORE SM Small Cap Equity Fund 16.1% CORE SM Internat’l Equity Fund 2.6% Real Estate Securities Fund 45.4% Short Duration Gov’t Fund 3.0% High Yield Fund 12.4% Global Income Fund 9.9% CORE SM Large Cap Value Fund 9.7% CORE SM Large Cap Growth Fund 2.4% CORE SM Small Cap Equity Fund 14.6% CORE SM Internat’l Equity Fund 2.6% Real Estate Securities Fund P E R F O R M A N C E R E V I EW January 1, 2005–June 30, 2005 Portfolio Total Return (based on NAV) 1 Class A 0.64% Class B 0.26 Class C 0.28 Institutional 0.92 Service 0.58 1 The net asset value (NAV) represents the net assets of the class of the Portfolio (ex-dividend) divided by the total number of shares of the class outstanding. The Portfolio’s performance assumes the reinvestment of dividends and other distributions. The Portfolio’s performance does not reflect the deduction of any applicable sales charges. S TANDARDIZED TOTAL RETURNS 2 For the period ended June 30, 2005 One Year Five Years Since Inception (1/2/98) Class A 1.67% 2.51% 3.92% Class B 1.57 2.48 3.93 Class C 5.74 2.94 3.95 Institutional 8.05 4.11 5.13 Service 7.41 3.58 4.61 2 The Standardized Total Returns are average annual total returns 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 and the assumed contingent deferred sales charge for Class B Shares (5% maximum declining to 0% after six years) and the assumed contingent deferred sales charge for Class C Shares (1% if redeemed within 12 months of purchase). Because Institutional and Service Shares do not involve a sales charge, such a charge is not applied to their Standardized Total Returns. Total return figures in the above tables represent past performance and do not indicate future results, which will vary. The investment return and principal value of an investment will fluctuate and, therefore, an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance may be lower or higher than the total return figures in the above tables. Please visit www.gs.c om/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 Portfolio distributions or the redemption of Portfolio shares. The Goldman Sachs Balanced Strategy Portfolio invests primarily in other Goldman Sachs Funds and is subject to the risk factors of those Funds. Some of the risks include the price fluctuations of government securities in response to interest rates, the volatility of investments in the stock market, and the currency and political risks of non-U.S. securities. COMPOSITION 3 P E R F O R M A N C E R E V I EW January 1, 2005–June 30, 2005 Portfolio Total Return (based on NAV) 1 Class A 1.14% Class B 0.67 Class C 0.70 Institutional 1.24 Service 0.99 1 The net asset value (NAV) represents the net assets of the class of the Portfolio (ex-dividend) divided by the total number of shares of the class outstanding. The Portfolio’s performance assumes the reinvestment of dividends and other distributions. The Portfolio’s performance does not reflect the deduction of any applicable sales charges. S TANDARDIZED TOTAL RETURNS 2 For the period ended June 30, 2005 One Year Five Years Since Inception (1/2/98) Class A 5.34% 2.15% 4.26% Class B 5.46 2.11 4.27 Class C 9.58 2.51 4.25 Institutional 11.85 3.71 5.47 Service 11.26 3.20 4.93 2 The Standardized Total Returns are average annual total returns 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 and the assumed contingent deferred sales charge for Class B Shares (5% maximum declining to 0% after six years) and the assumed contingent deferred sales charge for Class C Shares (1% if redeemed within 12 months of purchase). Because Institutional and Service Shares do not involve a sales charge, such a charge is not applied to their Standardized Total Returns. Total return figures in the above tables represent past performance and do not indicate future results, which will vary. The investment return and principal value of an investment will fluctuate and, therefore, an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance may be lower or higher than the total return figures in the above tables. 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 Portfolio distributions or the redemption of Portfolio shares. The Goldman Sachs Growth and Income Strategy Portfolio invests primarily in other Goldman Sachs Funds and is subject to the risk factors of those Funds. Some of the risks include the price fluctuations of fixed income securities in response to interest rates, the credit risk and volatility of high yield bonds, and the volatility of non-U.S. stocks and bonds and U.S. stocks. COMPOSITION 3 |
F U N D B A S I C S 9 Growth and Income Strategy as of June 30, 2005 $542.4 Million Assets Under Management GOIAX Class A Shares N A S D AQ S Y M B O L S GOIBX Class B Shares GOICX Class C Shares GOIIX Institutional Shares GOISX Service Shares 3 As of 4/1/05. Actual Fund weighting in the Asset Allocation Portfolios may differ from the figures shown above due to rounding, differences in returns of the Underlying Funds, or both. The above figures are not indicative of future allocations. 2.5% Short Duration Gov’t Fund 16.9% Core Fixed Income Fund 3.0% High Yield Fund 15.9% Global Income Fund 2.6% Emerging Markets Debt Fund 14.3% CORE SM Large Cap Value Fund 14.0% CORE SM Large Cap Growth Fund 3.4% CORE SM Small Cap Equity Fund 21.0% CORE SM Internat’l Equity Fund 3.8% Emerging Markets Equity Fund 2.6% Real Estate Securities Fund 2.5% Short Duration Gov’t Fund 12.4% Core Fixed Income Fund 2.5% High Yield Fund 14.9% Global Income Fund 2.6% Emerging Markets Debt Fund 20.2% CORE SM Large Cap Value Fund 10.9% CORE SM Large Cap Growth Fund 5.4% CORE SM Small Cap Equity Fund 22.7% CORE SM Internat’l Equity Fund 3.3% Emerging Markets Equity Fund 2.6% Real Estate Securities Fund For the investor who seeks long-term capital appreciation and current income. Under normal circumstances, assets are allocated approximately 40% among fixed income funds, which are intended to provide the income component, and approximately 60% among equity funds, which are intended to provide the capital appreciation component. |
F U N D B A S I C S 10 Growth Strategy as of June 30, 2005 $438.3 Million Assets Under Management GGSAX Class A Shares N A S D AQ S Y M B O L S GGSBX Class B Shares GGSCX Class C Shares GGSIX Institutional Shares GGSSX Service Shares P E R F O R M A N C E R E V I EW January 1, 2005–June 30, 2005 Portfolio Total Return (based on NAV) 1 Class A 0.76% Class B 0.34 Class C 0.34 Institutional 0.93 Service 0.68 1 The net asset value (NAV) represents the net assets of the class of the Portfolio (ex-dividend) divided by the total number of shares of the class outstanding. The Portfolio’s performance assumes the reinvestment of dividends and other distributions. The Portfolio’s performance does not reflect the deduction of any applicable sales charges. S TANDARDIZED TOTAL RETURNS 2 For the period ended June 30, 2005 One Year Five Years Since Inception (1/2/98) Class A 6.45% 0.84% 3.57% Class B 6.74 0.82 3.58 Class C 10.79 1.24 3.58 Institutional 13.05 2.41 4.75 Service 12.54 1.89 4.23 2 The Standardized Total Returns are average annual total returns 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 and the assumed contingent deferred sales charge for Class B Shares (5% maximum declining to 0% after six years) and the assumed contingent deferred sales charge for Class C Shares (1% if redeemed within 12 months of purchase). Because Institutional and Service Shares do not involve a sales charge, such a charge is not applied to their Standardized Total Returns. Total return figures in the above tables represent past performance and do not indicate future results, which will vary. The investment return and principal value of an investment will fluctuate and, therefore, an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance may be lower or higher than the total return figures in the above tables. 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 Portfolio distributions or the redemption of Portfolio shares. The Goldman Sachs Growth Strategy Portfolio invests primarily in other Goldman Sachs Funds and is subject to the risk factors of those Funds. Some of the risks include the volatility of U.S. and non-U.S. equity investments, the political and currency risks of non-U.S. securities, and the credit risks and volatility of high yield bonds. COMPOSITION 3 3 As of 4/1/05. Actual Fund weighting in the Asset Allocation Portfolios may differ from the figures shown above due to rounding, differences in returns of the Underlying Funds, or both. The above figures are not indicative of future allocations. 8.3% Core Fixed Income Fund 3.5% High Yield Fund 6.2% Global Income Fund 2.7% Emerging Markets Debt Fund 19.9% CORE SM Large Cap Value Fund 19.5% CORE SM Large Cap Growth Fund 4.4% CORE SM Small Cap Equity Fund 28.0% CORE SM Internat’l Equity Fund 4.9% Emerging Markets Equity Fund 2.6% Real Estate Securities Fund 5.8% Core Fixed Income Fund 2.5% High Yield Fund 5.2% Global Income Fund 2.7% Emerging Markets Debt Fund 25.0% CORE SM Large Cap Value Fund 15.7% CORE SM Large Cap Growth Fund 6.4% CORE SM Small Cap Equity Fund 29.7% CORE SM Internat’l Equity Fund 4.4% Emerging Markets Equity Fund 2.6% Real Estate Securities Fund For the investor seeking long-term capital appreciation and, secondarily, current income. Approximately 80% of the assets are allocated among equity funds, with a blend of domestic largecap, small-cap and international exposure to seek capital appreciation. The bond fund allocation is intended to provide diversification. |
F U N D B A S I C S 11 Aggressive Growth Strategy as of June 30, 2005 $161.4 Million Assets Under Management GAPAX Class A Shares N A S D AQ S Y M B O L S GAPBX Class B Shares GAXCX Class C Shares GAPIX Institutional Shares GAPSX Service Shares P E R F O R M A N C E R E V I EW January 1, 2005–June 30, 2005 Portfolio Total Return (based on NAV) 1 Class A 0.41% Class B 0.00 Class C 0.08 Institutional 0.56 Service 0.33 1 The net asset value (NAV) represents the net assets of the class of the Portfolio (ex-dividend) divided by the total number of shares of the class outstanding. The Portfolio’s performance assumes the reinvestment of dividends and other distributions. The Portfolio’s performance does not reflect the deduction of any applicable sales charges. S TANDARDIZED TOTAL RETURNS 2 For the period ended June 30, 2005 One Year Five Years Since Inception (1/2/98) Class A 6.82% -0.12% 3.03% Class B 7.14 -0.15 3.04 Class C 11.25 0.26 3.06 Institutional 13.50 1.41 4.18 Service 12.88 0.90 3.69 2 The Standardized Total Returns are average annual total returns 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 and the assumed deferred sales charge for Class B Shares (5% maximum declining to 0% after six years) and the assumed deferred sales charge for Class C Shares (1% if redeemed within 12 months of purchase). Because Institutional and Service Shares do not involve a sales charge, such a charge is not applied to their Standardized Total Returns. Total return figures in the above tables represent past performance and do not indicate future results, which will vary. The investment return and principal value of an investment will fluctuate and, therefore, an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance may be lower or higher than the total return figures in the above tables. 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 Portfolio distributions or the redemption of Portfolio shares. The Goldman Sachs Aggressive Growth Strategy Portfolio invests primarily in other Goldman Sachs Funds and is subject to the risk factors of those Funds. Some of the risks include the volatility of U.S. and non-U.S. equity investments and the political and currency risks of non-U.S. securities, which are particularly significant regarding equities of issuers located in emerging countries. COMPOSITION 3 3 As of 4/1/05. Actual Fund weighting in the Asset Allocation Portfolios may differ from the figures shown above due to rounding, differences in returns of the Underlying Funds, or both. The above figures are not indicative of future allocations. 24.0% CORE SM Large Cap Value Fund 23.6% CORE SM Large Cap Growth Fund 6.4% CORE SM Small Cap Equity Fund 36.2% CORE SM Internat’l Equity Fund 7.2% Emerging Markets Equity Fund 2.6% Real Estate Securities Fund 26.9% CORE SM Large Cap Value Fund 17.5% CORE SM Large Cap Growth Fund 8.4% CORE SM Small Cap Equity Fund 37.9% CORE SM Internat’l Equity Fund 6.7% Emerging Markets Equity Fund 2.6% Real Estate Securities Fund For the investor seeking long-term capital appreciation. Under normal circumstances, all assets are allocated among equity funds with a greater focus on smallcap and international investments relative to the other portfolios. |
Statement of Investments
Shares | Description | Value | ||||||||
Mutual Funds (Institutional Shares) – 99.6% | ||||||||||
Equity – 44.1% | ||||||||||
2,880,949 | Goldman Sachs CORE Large Cap Value Fund – 16.7% | $ | 35,147,582 | |||||||
2,656,535 | Goldman Sachs CORE International Equity Fund – 14.1% | 29,700,067 | ||||||||
1,510,747 | Goldman Sachs CORE Large Cap Growth Fund – 8.9% | 18,778,582 | ||||||||
292,492 | Goldman Sachs Real Estate Securities Fund – 2.5% | 5,294,109 | ||||||||
288,743 | Goldman Sachs CORE Small Cap Equity Fund – 1.9% | 4,105,931 | ||||||||
93,026,271 | ||||||||||
Fixed Income – 55.5% | ||||||||||
9,348,271 | Goldman Sachs Short Duration Government Fund – 43.0% | 90,865,199 | ||||||||
1,097,832 | Goldman Sachs Global Income Fund – 7.0% | 14,798,779 | ||||||||
1,449,780 | Goldman Sachs High Yield Fund – 5.5% | 11,569,241 | ||||||||
117,233,219 | ||||||||||
TOTAL MUTUAL FUNDS (INSTITUTIONAL SHARES) | ||||||||||
(Cost $202,666,885) | $ | 210,259,490 | ||||||||
Principal | Interest | Maturity | ||||||||||||||
Amount | Rate | Date | Value | |||||||||||||
Repurchase Agreement(a) – 0.1% | ||||||||||||||||
Joint Repurchase Agreement Account II | ||||||||||||||||
$ | 200,000 | 3.41 | % | 07/01/2005 | $ | 200,000 | ||||||||||
Maturity Value: $200,019 (Cost $200,000) | ||||||||||||||||
TOTAL INVESTMENTS – 99.7% | ||||||||||||||||
(Cost $202,866,885) | $ | 210,459,490 | ||||||||||||||
The percentage shown for each investment category reflects the value of investments in that category as a percentage of net assets. |
(a) | Joint repurchase agreement was entered into on June 30, 2005. |
For information on the underlying mutual funds, please call our toll free Shareholder Services Line at 1-800-526-7384 or visit us on the web at www.gs.com/funds. |
ADDITIONAL INVESTMENT INFORMATION |
JOINT REPURCHASE AGREEMENT ACCOUNT II — At June 30, 2005, the Portfolio had an undivided interest in the following Joint Repurchase Agreement Account II which equaled $200,000 in principal amount.
Principal | Interest | Maturity | Maturity | |||||||||||
Repurchase Agreements | Amount | Rate | Date | Value | ||||||||||
Banc of America Securities LLC | $ | 1,500,000,000 | 3.40 | % | 07/01/2005 | $ | 1,500,141,667 | |||||||
Barclays Capital PLC | 700,000,000 | 3.40 | 07/01/2005 | 700,066,111 | ||||||||||
Deutsche Bank Securities, Inc. | 1,000,000,000 | 3.40 | 07/01/2005 | 1,000,094,444 | ||||||||||
Deutsche Bank Securities, Inc. | 300,000,000 | 3.45 | 07/01/2005 | 300,028,750 | ||||||||||
Greenwich Capital Markets | 400,000,000 | 3.43 | 07/01/2005 | 400,038,111 | ||||||||||
J.P. Morgan Securities, Inc. | 400,000,000 | 3.41 | 07/01/2005 | 400,037,889 | ||||||||||
Morgan Stanley & Co. | 1,000,500,000 | 3.40 | 07/01/2005 | 1,000,594,492 | ||||||||||
UBS Securities LLC | 250,000,000 | 3.40 | 07/01/2005 | 250,023,611 | ||||||||||
Wachovia Capital Markets | 250,000,000 | 3.40 | 07/01/2005 | 250,023,611 | ||||||||||
Westdeutsche Landesbank AG | 500,000,000 | 3.43 | 07/01/2005 | 500,047,639 | ||||||||||
TOTAL | $ | 6,300,500,000 | $ | 6,301,096,325 | ||||||||||
At June 30, 2005, the Joint Repurchase Agreement Account II was fully collateralized by Federal Farm Credit Bank, 2.50% to 6.70%, due 09/13/2005 to 06/15/2007; Federal Home Loan Bank, 4.37% to 5.49%, due 12/22/2008 to 08/15/2011; Federal Home Loan Mortgage Association, 0.00% to 8.00%, due 07/06/2005 to 07/01/2035; Federal National Mortgage Association, 0.00% to 9.50%, due 08/24/2005 to 07/01/2035 and Government National Mortgage Association, 5.50% to 6.50%, due 04/15/2032 to 06/15/2035. |
12
Statement of Investments
Shares | Description | Value | ||||||||
Mutual Funds (Institutional Shares) – 99.4% | ||||||||||
Equity – 63.8% | ||||||||||
9,507,696 | Goldman Sachs CORE Large Cap Value Fund – 21.4% | $ | 115,993,896 | |||||||
9,600,370 | Goldman Sachs CORE International Equity Fund – 19.8% | 107,332,131 | ||||||||
5,991,910 | Goldman Sachs CORE Large Cap Growth Fund – 13.7% | 74,479,439 | ||||||||
1,271,624 | Goldman Sachs Emerging Markets Equity Fund – 3.5% | 18,870,896 | ||||||||
1,113,212 | Goldman Sachs CORE Small Cap Equity Fund – 2.9% | 15,829,878 | ||||||||
748,621 | Goldman Sachs Real Estate Securities Fund – 2.5% | 13,550,044 | ||||||||
346,056,284 | ||||||||||
Fixed Income – 35.6% | ||||||||||
6,776,889 | Goldman Sachs Core Fixed Income Fund – 12.7% | 68,988,725 | ||||||||
5,006,798 | Goldman Sachs Global Income Fund – 12.4% | 67,491,635 | ||||||||
3,712,232 | Goldman Sachs High Yield Fund – 5.5% | 29,623,613 | ||||||||
1,181,598 | Goldman Sachs Emerging Markets Debt Fund – 2.5% | 13,730,165 | ||||||||
1,384,663 | Goldman Sachs Short Duration Government Fund – 2.5% | 13,458,920 | ||||||||
193,293,058 | ||||||||||
TOTAL MUTUAL FUNDS (INSTITUTIONAL SHARES) | ||||||||||
(Cost $497,025,126) | $ | 539,349,342 | ||||||||
Principal | Interest | Maturity | ||||||||||||||
Amount | Rate | Date | Value | |||||||||||||
Repurchase Agreement(a) – 0.1% | ||||||||||||||||
Joint Repurchase Agreement Account II | ||||||||||||||||
$ | 400,000 | 3.41 | % | 07/01/2005 | $ | 400,000 | ||||||||||
Maturity Value: $400,038 (Cost $400,000) | ||||||||||||||||
TOTAL INVESTMENTS – 99.5% | ||||||||||||||||
(Cost $497,425,126) | $ | 539,749,342 | ||||||||||||||
The percentage shown for each investment category reflects the value of investments in that category as a percentage of net assets. |
(a) | Joint repurchase agreement was entered into on June 30, 2005. |
For information on the underlying mutual funds, please call our toll free Shareholder Services Line at 1-800-526-7384 or visit us on the web at www.gs.com/funds. |
13
ADDITIONAL INVESTMENT INFORMATION |
JOINT REPURCHASE AGREEMENT ACCOUNT II — At June 30, 2005, the Portfolio had an undivided interest in the following Joint Repurchase Agreement Account II which equaled $400,000 in principal amount.
Principal | Interest | Maturity | Maturity | |||||||||||
Repurchase Agreements | Amount | Rate | Date | Value | ||||||||||
Banc of America Securities LLC | $ | 1,500,000,000 | 3.40 | % | 07/01/2005 | $ | 1,500,141,667 | |||||||
Barclays Capital PLC | 700,000,000 | 3.40 | 07/01/2005 | 700,066,111 | ||||||||||
Deutsche Bank Securities, Inc. | 1,000,000,000 | 3.40 | 07/01/2005 | 1,000,094,444 | ||||||||||
Deutsche Bank Securities, Inc. | 300,000,000 | 3.45 | 07/01/2005 | 300,028,750 | ||||||||||
Greenwich Capital Markets | 400,000,000 | 3.43 | 07/01/2005 | 400,038,111 | ||||||||||
J.P. Morgan Securities, Inc. | 400,000,000 | 3.41 | 07/01/2005 | 400,037,889 | ||||||||||
Morgan Stanley & Co. | 1,000,500,000 | 3.40 | 07/01/2005 | 1,000,594,492 | ||||||||||
UBS Securities LLC | 250,000,000 | 3.40 | 07/01/2005 | 250,023,611 | ||||||||||
Wachovia Capital Markets | 250,000,000 | 3.40 | 07/01/2005 | 250,023,611 | ||||||||||
Westdeutsche Landesbank AG | 500,000,000 | 3.43 | 07/01/2005 | 500,047,639 | ||||||||||
TOTAL | $ | 6,300,500,000 | $ | 6,301,096,325 | ||||||||||
At June 30, 2005, the Joint Repurchase Agreement Account II was fully collateralized by Federal Farm Credit Bank, 2.50% to 6.70%, due 09/13/2005 to 06/15/2007; Federal Home Loan Bank, 4.37% to 5.49%, due 12/22/2008 to 08/15/2011; Federal Home Loan Mortgage Association, 0.00% to 8.00%, due 07/06/2005 to 07/01/2035; Federal National Mortgage Association, 0.00% to 9.50%, due 08/24/2005 to 07/01/2035 and Government National Mortgage Association, 5.50% to 6.50%, due 04/15/2032 to 06/15/2035. |
14
Statement of Investments
Shares | Description | Value | ||||||||
Mutual Funds (Institutional Shares) – 99.5% | ||||||||||
Equity – 83.5% | ||||||||||
10,904,271 | Goldman Sachs CORE International Equity Fund – 27.8% | $ | 121,909,749 | |||||||
9,767,817 | Goldman Sachs CORE Large Cap Value Fund – 27.2% | 119,167,368 | ||||||||
6,922,098 | Goldman Sachs CORE Large Cap Growth Fund – 19.6% | 86,041,680 | ||||||||
1,032,231 | Goldman Sachs Emerging Markets Equity Fund – 3.5% | 15,318,303 | ||||||||
898,443 | Goldman Sachs CORE Small Cap Equity Fund – 2.9% | 12,775,866 | ||||||||
605,902 | Goldman Sachs Real Estate Securities Fund – 2.5% | 10,966,827 | ||||||||
366,179,793 | ||||||||||
Fixed Income – 16.0% | ||||||||||
3,001,081 | Goldman Sachs High Yield Fund – 5.5% | 23,948,624 | ||||||||
1,942,736 | Goldman Sachs Core Fixed Income Fund – 4.5% | 19,777,053 | ||||||||
1,137,197 | Goldman Sachs Global Income Fund – 3.5% | 15,329,416 | ||||||||
956,740 | Goldman Sachs Emerging Markets Debt Fund – 2.5% | 11,117,315 | ||||||||
70,172,408 | ||||||||||
TOTAL MUTUAL FUNDS (INSTITUTIONAL SHARES) | ||||||||||
(Cost $390,948,922) | $ | 436,352,201 | ||||||||
Principal | Interest | Maturity | ||||||||||||||
Amount | Rate | Date | Value | |||||||||||||
Repurchase Agreement(a) – 0.1% | ||||||||||||||||
Joint Repurchase Agreement Account II | ||||||||||||||||
$ | 300,000 | 3.41 | % | 07/01/2005 | $ | 300,000 | ||||||||||
Maturity Value: $300,028 | ||||||||||||||||
(Cost $300,000) | ||||||||||||||||
TOTAL INVESTMENTS – 99.6% | ||||||||||||||||
(Cost $391,248,922) | $ | 436,652,201 | ||||||||||||||
The percentage shown for each investment category reflects the value of investments in that category as a percentage of net assets. |
(a) | Joint repurchase agreement was entered into on June 30, 2005. |
For information on the underlying mutual funds, please call our toll free Shareholder Services Line at 1-800-526-7384 or visit us on the web at www.gs.com/funds. |
15
ADDITIONAL INVESTMENT INFORMATION |
JOINT REPURCHASE AGREEMENT ACCOUNT II — At June 30, 2005, the Portfolio had an undivided interest in the following Joint Repurchase Agreement Account II which equaled $300,000 in principal amount.
Principal | Interest | Maturity | Maturity | |||||||||||
Repurchase Agreements | Amount | Rate | Date | Value | ||||||||||
Banc of America Securities LLC | $ | 1,500,000,000 | 3.40 | % | 07/01/2005 | $ | 1,500,141,667 | |||||||
Barclays Capital PLC | 700,000,000 | 3.40 | 07/01/2005 | 700,066,111 | ||||||||||
Deutsche Bank Securities, Inc. | 1,000,000,000 | 3.40 | 07/01/2005 | 1,000,094,444 | ||||||||||
Deutsche Bank Securities, Inc. | 300,000,000 | 3.45 | 07/01/2005 | 300,028,750 | ||||||||||
Greenwich Capital Markets | 400,000,000 | 3.43 | 07/01/2005 | 400,038,111 | ||||||||||
J.P. Morgan Securities, Inc. | 400,000,000 | 3.41 | 07/01/2005 | 400,037,889 | ||||||||||
Morgan Stanley & Co. | 1,000,500,000 | 3.40 | 07/01/2005 | 1,000,594,492 | ||||||||||
UBS Securities LLC | 250,000,000 | 3.40 | 07/01/2005 | 250,023,611 | ||||||||||
Wachovia Capital Markets | 250,000,000 | 3.40 | 07/01/2005 | 250,023,611 | ||||||||||
Westdeutsche Landesbank AG | 500,000,000 | 3.43 | 07/01/2005 | 500,047,639 | ||||||||||
TOTAL | $ | 6,300,500,000 | $ | 6,301,096,325 | ||||||||||
At June 30, 2005, the Joint Repurchase Agreement Account II was fully collateralized by Federal Farm Credit Bank, 2.50% to 6.70%, due 09/13/2005 to 06/15/2007; Federal Home Loan Bank, 4.37% to 5.49%, due 12/22/2008 to 08/15/2011; Federal Home Loan Mortgage Association, 0.00% to 8.00%, due 07/06/2005 to 07/01/2035; Federal National Mortgage Association, 0.00% to 9.50%, due 08/24/2005 to 07/01/2035 and Government National Mortgage Association, 5.50% to 6.50%, due 04/15/2032 to 06/15/2035. |
16
Statement of Investments
Shares | Description | Value | ||||||||
Mutual Funds (Institutional Shares) – 100.2% | ||||||||||
Equity – 100.2% | ||||||||||
5,494,173 | Goldman Sachs CORE International Equity Fund – 38.1% | $ | 61,424,851 | |||||||
3,753,563 | Goldman Sachs CORE Large Cap Value Fund – 28.4% | 45,793,469 | ||||||||
2,701,147 | Goldman Sachs CORE Large Cap Growth Fund – 20.8% | 33,575,252 | ||||||||
709,139 | Goldman Sachs Emerging Markets Equity Fund – 6.5% | 10,523,619 | ||||||||
443,297 | Goldman Sachs CORE Small Cap Equity Fund – 3.9% | 6,303,678 | ||||||||
224,734 | Goldman Sachs Real Estate Securities Fund – 2.5% | 4,067,680 | ||||||||
161,688,549 | ||||||||||
TOTAL INVESTMENTS – 100.2% | ||||||||||
(Cost $133,936,170) | $ | 161,688,549 | ||||||||
The percentage shown for each investment category reflects the value of investments in that category as a percentage of net assets. | |
For information on the underlying mutual funds, please call our toll free Shareholder Services Line at 1-800-526-7384 or visit us on the web at www.gs.com/funds. |
17
Statements of Assets and Liabilities
Growth and | Aggressive | ||||||||||||||||||
Balanced | Income | Growth | Growth | ||||||||||||||||
Strategy | Strategy | Strategy | Strategy | ||||||||||||||||
Portfolio | Portfolio | Portfolio | Portfolio | ||||||||||||||||
Assets: | |||||||||||||||||||
Investment in securities, at value (identified cost $202,866,885, $497,425,126, $391,248,922 and $133,936,170, respectively) | $ | 210,459,490 | $ | 539,749,342 | $ | 436,652,201 | $ | 161,688,549 | |||||||||||
Cash | 50,336 | 63,652 | 40,280 | 51,041 | |||||||||||||||
Receivables: | |||||||||||||||||||
Investment securities sold | 18,150,000 | 39,189,000 | 39,522,999 | 8,832,000 | |||||||||||||||
Fund shares sold | 1,282,997 | 4,460,483 | 4,382,701 | 496,711 | |||||||||||||||
Dividends and interest | 506,280 | 1,236,824 | 741,079 | 163,743 | |||||||||||||||
Reimbursement from adviser | 20,707 | 21,753 | 21,450 | 21,069 | |||||||||||||||
Other assets | 1,454 | 3,603 | 2,971 | 1,436 | |||||||||||||||
Total assets | 230,471,264 | 584,724,657 | 481,363,681 | 171,254,549 | |||||||||||||||
Liabilities: | |||||||||||||||||||
Payables: | |||||||||||||||||||
Investment securities purchased | 18,906,567 | 40,889,493 | 40,604,363 | 9,046,784 | |||||||||||||||
Fund shares repurchased | 335,809 | 1,046,757 | 2,068,213 | 641,083 | |||||||||||||||
Amounts owed to affiliates | 114,283 | 342,239 | 303,260 | 124,348 | |||||||||||||||
Accrued expenses | 50,425 | 48,823 | 53,404 | 50,002 | |||||||||||||||
Total liabilities | 19,407,084 | 42,327,312 | 43,029,240 | 9,862,217 | |||||||||||||||
Net Assets: | |||||||||||||||||||
Paid-in capital | 201,510,880 | 513,071,781 | 410,249,335 | 146,620,077 | |||||||||||||||
Accumulated undistributed (distributions in excess of) net investment income (loss) | (24,077 | ) | (36,558 | ) | 1,022,766 | (399,558 | ) | ||||||||||||
Accumulated net realized gain (loss) on investment transactions | 1,984,772 | (12,962,094 | ) | (18,340,939 | ) | (12,580,566 | ) | ||||||||||||
Net unrealized gain on investments | 7,592,605 | 42,324,216 | 45,403,279 | 27,752,379 | |||||||||||||||
NET ASSETS | $ | 211,064,180 | $ | 542,397,345 | $ | 438,334,441 | $ | 161,392,332 | |||||||||||
Net assets: | |||||||||||||||||||
Class A | $ | 76,955,010 | $ | 273,125,744 | $ | 174,368,836 | $ | 78,687,748 | |||||||||||
Class B | 29,467,368 | 81,280,232 | 74,910,287 | 26,387,380 | |||||||||||||||
Class C | 33,100,104 | 107,838,871 | 115,691,981 | 51,545,752 | |||||||||||||||
Institutional | 69,093,014 | 77,352,483 | 71,208,879 | 4,483,183 | |||||||||||||||
Service | 2,448,684 | 2,800,015 | 2,154,458 | 288,269 | |||||||||||||||
Net asset value, offering and redemption price per share: (a) | |||||||||||||||||||
Class A | $10.75 | $11.48 | $11.97 | $12.35 | |||||||||||||||
Class B | $10.74 | $11.46 | $11.94 | $12.01 | |||||||||||||||
Class C | $10.76 | $11.44 | $11.90 | $12.00 | |||||||||||||||
Institutional | $10.75 | $11.50 | $11.99 | $12.47 | |||||||||||||||
Service | $10.76 | $11.45 | $11.91 | $12.28 | |||||||||||||||
Shares outstanding: | |||||||||||||||||||
Class A | 7,160,153 | 23,794,568 | 14,570,801 | 6,371,760 | |||||||||||||||
Class B | 2,742,565 | 7,093,142 | 6,274,740 | 2,196,308 | |||||||||||||||
Class C | 3,077,312 | 9,423,811 | 9,725,238 | 4,296,509 | |||||||||||||||
Institutional | 6,429,747 | 6,726,359 | 5,938,287 | 359,576 | |||||||||||||||
Service | 227,538 | 244,454 | 180,855 | 23,467 | |||||||||||||||
Total shares outstanding, $0.001 par value (unlimited number of shares authorized) | 19,637,315 | 47,282,334 | 36,689,921 | 13,247,620 | |||||||||||||||
(a) | Maximum public offering price per share (NAV per share multiplied by 1.0582) for Class A Shares of the Balanced Strategy, Growth and Income Strategy, Growth Strategy and Aggressive Growth Strategy Portfolios is $11.38, $12.15, $12.67 and $13.07, respectively. At redemption, Class B and Class C Shares may be subject to a contingent deferred sales charge, assessed on the amount equal to the lesser of the current net asset value or the original purchase price of the shares. |
18
Statements of Operations
Growth and | Aggressive | |||||||||||||||||
Balanced | Income | Growth | Growth | |||||||||||||||
Strategy | Strategy | Strategy | Strategy | |||||||||||||||
Portfolio | Portfolio | Portfolio | Portfolio | |||||||||||||||
Investment income: | ||||||||||||||||||
Income distributions from Underlying Funds | $ | 2,199,833 | $ | 5,145,030 | $ | 2,578,831 | $ | 302,523 | ||||||||||
Interest Income | 6,320 | 13,267 | 12,577 | 1,479 | ||||||||||||||
Total income | 2,206,153 | 5,158,297 | 2,591,408 | 304,002 | ||||||||||||||
Expenses: | ||||||||||||||||||
Distribution and Service fees(a) | 362,689 | 1,152,193 | 1,038,540 | 459,211 | ||||||||||||||
Management fees | 234,813 | 625,226 | 514,496 | 210,948 | ||||||||||||||
Transfer Agent fees(a) | 124,193 | 392,420 | 315,813 | 139,744 | ||||||||||||||
Registration fees | 32,165 | 40,426 | 36,774 | 34,578 | ||||||||||||||
Custodian and Accounting fees | 25,599 | 26,576 | 26,822 | 25,009 | ||||||||||||||
Printing fees | 22,750 | 22,750 | 22,750 | 22,750 | ||||||||||||||
Professional fees | 17,015 | 17,015 | 17,015 | 17,015 | ||||||||||||||
Trustee fees | 7,541 | 7,541 | 7,541 | 7,541 | ||||||||||||||
Service Share fees | 5,864 | 7,061 | 5,072 | 494 | ||||||||||||||
Other | 22,895 | 26,082 | 25,973 | 23,865 | ||||||||||||||
Total expenses | 855,524 | 2,317,290 | 2,010,796 | 941,155 | ||||||||||||||
Less — expense reductions | (230,871 | ) | (416,038 | ) | (363,242 | ) | (225,734 | ) | ||||||||||
Net expenses | 624,653 | 1,901,252 | 1,647,554 | 715,421 | ||||||||||||||
NET INVESTMENT INCOME (LOSS) | 1,581,500 | 3,257,045 | 943,854 | (411,419 | ) | |||||||||||||
Realized and unrealized gain (loss): | ||||||||||||||||||
Net realized gain from investment transactions | 3,768,247 | 8,441,519 | 10,606,270 | 4,409,420 | ||||||||||||||
Net change in unrealized loss on investments | (4,094,321 | ) | (5,060,055 | ) | (7,408,054 | ) | (3,473,448 | ) | ||||||||||
Net realized and unrealized gain (loss) | (326,074 | ) | 3,381,464 | 3,198,216 | 935,972 | |||||||||||||
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS | $ | 1,255,426 | $ | 6,638,509 | $ | 4,142,070 | $ | 524,553 | ||||||||||
(a) | Class specific Distribution and Service and Transfer Agent fees were as follows: |
Distribution and Service Fees | Transfer Agent Fees | |||||||||||||||||||||||||||||||
Fund | Class A | Class B | Class C | Class A | Class B | Class C | Institutional | Service | ||||||||||||||||||||||||
Balanced Strategy | $ | 78,952 | $ | 139,719 | $ | 144,018 | $ | 60,003 | $ | 26,547 | $ | 27,363 | $ | 9,810 | $ | 469 | ||||||||||||||||
Growth and Income Strategy | 286,202 | 393,805 | 472,186 | 217,514 | 74,823 | 89,715 | 9,803 | 565 | ||||||||||||||||||||||||
Growth Strategy | 189,319 | 356,259 | 492,963 | 143,882 | 67,689 | 93,663 | 10,173 | 406 | ||||||||||||||||||||||||
Aggressive Growth Strategy | 90,532 | 132,752 | 235,927 | 68,805 | 25,223 | 44,826 | 851 | 40 |
19
Statements of Changes in Net Assets
Balanced Strategy Portfolio | |||||||||||
For the | |||||||||||
Six Months | |||||||||||
Ended | For the | ||||||||||
June 30, 2005 | Year Ended | ||||||||||
(Unaudited) | December 31, 2004 | ||||||||||
From operations: | |||||||||||
Net investment income (loss) | $ | 1,581,500 | $ | 2,751,626 | |||||||
Net realized gain from investment transactions, including capital gain distributions from Underlying Funds | 3,768,247 | 7,850,103 | |||||||||
Net change in unrealized gain (loss) on investments | (4,094,321 | ) | 2,051,714 | ||||||||
Net increase in net assets resulting from operations | 1,255,426 | 12,653,443 | |||||||||
Distributions to shareholders: | |||||||||||
From net investment income | |||||||||||
Class A Shares | (687,785 | ) | (977,473 | ) | |||||||
Class B Shares | (179,942 | ) | (376,335 | ) | |||||||
Class C Shares | (197,418 | ) | (320,212 | ) | |||||||
Institutional Shares | (717,289 | ) | (887,344 | ) | |||||||
Service Shares | (23,225 | ) | (38,638 | ) | |||||||
Total distributions to shareholders | (1,805,659 | ) | (2,600,002 | ) | |||||||
From share transactions: | |||||||||||
Net proceeds from sales of shares | 79,803,741 | 60,016,372 | |||||||||
Reinvestment of dividends and distributions | 1,677,120 | 2,395,297 | |||||||||
Cost of shares repurchased | (27,046,272 | ) | (22,223,826 | ) | |||||||
Net increase in net assets resulting from share transactions | 54,434,589 | 40,187,843 | |||||||||
TOTAL INCREASE | 53,884,356 | 50,241,284 | |||||||||
Net assets: | |||||||||||
Beginning of period | 157,179,824 | 106,938,540 | |||||||||
End of period | $ | 211,064,180 | $ | 157,179,824 | |||||||
Accumulated undistributed (distributions in excess of) net investment income (loss) | $ | (24,077 | ) | $ | 200,082 | ||||||
20
Growth and Income Strategy Portfolio | Growth Strategy Portfolio | Aggressive Growth Strategy Portfolio | ||||||||||||||||||||||
For the | For the | For the | ||||||||||||||||||||||
Six Months | Six Months | Six Months | ||||||||||||||||||||||
Ended | For the | Ended | For the | Ended | For the | |||||||||||||||||||
June 30, 2005 | Year Ended | June 30, 2005 | Year Ended | June 30, 2005 | Year Ended | |||||||||||||||||||
(Unaudited) | December 31, 2004 | (Unaudited) | December 31, 2004 | (Unaudited) | December 31, 2004 | |||||||||||||||||||
$ | 3,257,045 | $ | 5,400,651 | $ | 943,854 | $ | 2,011,619 | $ | (411,419 | ) | $ | 70,804 | ||||||||||||
8,441,519 | 22,843,146 | 10,606,270 | 14,073,415 | 4,409,420 | 6,720,793 | |||||||||||||||||||
(5,060,055 | ) | 17,915,471 | (7,408,054 | ) | 27,334,093 | (3,473,448 | ) | 15,386,916 | ||||||||||||||||
6,638,509 | 46,159,268 | 4,142,070 | 43,419,127 | 524,553 | 22,178,513 | |||||||||||||||||||
(2,345,388 | ) | (3,345,570 | ) | — | (1,354,356 | ) | — | (109,667 | ) | |||||||||||||||
(463,617 | ) | (874,144 | ) | — | (239,859 | ) | — | — | ||||||||||||||||
(610,193 | ) | (891,543 | ) | — | (435,310 | ) | — | — | ||||||||||||||||
(645,242 | ) | (274,351 | ) | — | (416,395 | ) | — | (20,285 | ) | |||||||||||||||
(25,572 | ) | (41,901 | ) | — | (17,038 | ) | — | (169 | ) | |||||||||||||||
(4,090,012 | ) | (5,427,509 | ) | — | (2,462,958 | ) | — | (130,121 | ) | |||||||||||||||
219,517,806 | 130,185,965 | 159,665,050 | 105,477,698 | 33,112,565 | 43,783,874 | |||||||||||||||||||
3,731,677 | 4,985,395 | — | 2,223,889 | — | 127,187 | |||||||||||||||||||
(73,685,366 | ) | (72,443,697 | ) | (42,624,195 | ) | (53,129,450 | ) | (19,782,038 | ) | (31,106,192 | ) | |||||||||||||
149,564,117 | 62,727,663 | 117,040,855 | 54,572,137 | 13,330,527 | 12,804,869 | |||||||||||||||||||
152,112,614 | 103,459,422 | 121,182,925 | 95,528,306 | 13,855,080 | 34,853,261 | |||||||||||||||||||
390,284,731 | 286,825,309 | 317,151,516 | 221,623,210 | 147,537,252 | 112,683,991 | |||||||||||||||||||
$ | 542,397,345 | $ | 390,284,731 | $ | 438,334,441 | $ | 317,151,516 | $ | 161,392,332 | $ | 147,537,252 | |||||||||||||
$ | (36,558 | ) | $ | 796,409 | $ | 1,022,766 | $ | 78,912 | $ | (399,558 | ) | $ | 11,861 | |||||||||||
21
Notes to Financial Statements
1. ORGANIZATION |
2. SIGNIFICANT ACCOUNTING POLICIES |
A. Investment Valuation — Each Portfolio invests in a combination of underlying mutual funds (the “Underlying Funds”) for which Goldman Sachs Asset Management, L.P. (“GSAM”), a subsidiary of The Goldman Sachs Group, Inc., and Goldman Sachs Asset Management International (“GSAMI”), an affiliate of Goldman, Sachs & Co., (“Goldman Sachs”), act as investment advisers. Investments in the Underlying Funds are valued at the closing net asset value per share of each Underlying Fund on the day of valuation. Because each Portfolio invests primarily in other mutual funds, which fluctuate in value, the Portfolios’ shares will correspondingly fluctuate in value. Short-term debt obligations maturing in sixty days or less are valued at amortized cost, which approximates market value. The Underlying Funds may invest in foreign securities that are valued daily at fair value determined by an independent service (if available) under valuation procedures approved by the Trustees consistent with applicable regulatory guidance.
B. Securities Transactions and Investment Income — Purchases and sales of the Underlying Funds are recorded as of the trade date. Realized gains and losses on sales of the Underlying Funds are calculated on the identified cost basis. Dividend income and capital gains distributions from the Underlying Funds are recorded on the ex-dividend date. Interest income is recorded on the basis of interest accrued, premium amortized and discount accreted. Net investment income (other than class-specific expenses) and unrealized and realized gains or losses are allocated daily to each class of shares of the Portfolios based upon the relative proportion of net assets of each class.
C. Dividend Distributions to Shareholders — Distributions to shareholders are recorded on the ex-dividend date. Income and capital gains distributions, if any, are declared and paid according to the following schedule:
Income | Capital Gains | |||||||
Distribution | Distribution | |||||||
Portfolio | Declared & Paid | Declared & Paid | ||||||
Balanced Strategy and Growth and Income Strategy | Quarterly | Annually | ||||||
Growth Strategy and Aggressive Growth Strategy | Annually | Annually | ||||||
D. Federal Taxes — It is each Portfolio’s policy to comply with the requirements of the Internal Revenue 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.
The characterization of distributions to shareholders for financial reporting purposes is determined in accordance with Federal income tax rules. Therefore, the source of a Portfolio’s distributions may be shown in the accompanying financial statements as either from net investment income or net realized gain on investment transactions, or from paid-in-capital.
E. Expenses — Expenses incurred by the Trust that do not specifically relate to an individual Portfolio of the Trust are allocated to the Portfolios based on a straight-line or pro rata basis depending upon the nature of the expense. Expenses
2. SIGNIFICANT ACCOUNTING POLICIES (continued) |
F. Repurchase Agreements — Repurchase agreements involve the purchase of securities subject to the seller’s agreement to repurchase them at a mutually agreed upon date and price. During the term of a repurchase agreement, the value of the underlying securities held as collateral on behalf of the Portfolios, 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 Portfolios’ may be delayed or limited and there may be a decline in the value of the collateral during the period while the Portfolios seek to assert their rights. The underlying securities for all repurchase agreements are held in safekeeping at each Portfolio’s custodian or designated sub-custodian under triparty repurchase agreements.
3. AGREEMENTS |
GSAM serves as investment advisor pursuant to an Investment Management Agreement (the “Agreement”) with the Trust on behalf of the Portfolios. Under the Agreement, GSAM manages the Portfolios, subject to the general supervision of the Trust’s Board of Trustees.
Management | Other Expense | |||||||||||
Portfolio | Fee Waivers | Reimbursement | Total | |||||||||
Balanced Strategy | $ | 106 | $ | 125 | $ | 231 | ||||||
Growth and Income Strategy | 285 | 131 | 416 | |||||||||
Growth Strategy | 234 | 129 | 363 | |||||||||
Aggressive Growth Strategy | 98 | 128 | 226 | |||||||||
3. AGREEMENTS (continued) |
Goldman Sachs serves as Distributor of the shares of the Portfolios pursuant to a Distribution Agreement. Goldman Sachs may receive a portion of the Class A sales load and Class B and Class C contingent deferred sales charges. During the six months ended June 30, 2005, Goldman Sachs advised the Portfolios that it retained approximately the following amounts:
Contingent Deferred Sales Charge | ||||||||||||
Sales Load | ||||||||||||
Portfolio | Class A | Class B | Class C | |||||||||
Balanced Strategy | $ | 93,800 | $ | 300 | $ | — | ||||||
Growth and Income Strategy | 321,500 | 400 | 100 | |||||||||
Growth Strategy | 144,400 | 400 | — | |||||||||
Aggressive Growth Strategy | 42,600 | 1,100 | 100 | |||||||||
At June 30, 2005, the amounts owed to affiliates were as follows (in thousands):
Management | Transfer | Distribution and | ||||||||||||||
Portfolio | Fees | Agent Fees | Service Fees | Total | ||||||||||||
Balanced Strategy | $ | 25 | $ | 23 | $ | 66 | $ | 114 | ||||||||
Growth and Income Strategy | 64 | 72 | 206 | 342 | ||||||||||||
Growth Strategy | 54 | 59 | 190 | 303 | ||||||||||||
Aggressive Growth Strategy | 20 | 24 | 80 | 124 | ||||||||||||
4. PORTFOLIO SECURITY TRANSACTIONS |
Portfolio | Purchases | Sales | ||||||
Balanced Strategy | $ | 112,957,020 | $ | 52,319,121 | ||||
Growth and Income Strategy | 252,699,978 | 106,305,372 | ||||||
Growth Strategy | 212,415,805 | 97,582,310 | ||||||
Aggressive Growth Strategy | 38,397,312 | 26,124,264 | ||||||
5. LINE OF CREDIT FACILITY |
6. ADDITIONAL TAX INFORMATION |
Growth and | Aggressive | ||||||||||||||||
Balanced | Income | Growth | Growth | ||||||||||||||
Strategy Portfolio | Strategy Portfolio | Strategy Portfolio | Strategy Portfolio | ||||||||||||||
Capital loss carryforward: | |||||||||||||||||
Expiring 2010 | $ | — | $ | (7,159,988 | ) | $ | (14,200,729 | ) | $ | (4,428,008 | ) | ||||||
Expiring 2011 | — | (5,075,312 | ) | (4,667,019 | ) | (3,712,418 | ) | ||||||||||
Total capital loss carryforward | $ | — | $ | (12,235,300 | ) | $ | (18,867,748 | ) | $ | (8,140,426 | ) | ||||||
At June 30, 2005, the Portfolio’s aggregate security unrealized gains and losses based on cost for U.S. federal income tax purposes was as follows:
Growth and | Aggressive | ||||||||||||||||
Balanced | Income | Growth | Growth | ||||||||||||||
Strategy Portfolio | Strategy Portfolio | Strategy Portfolio | Strategy Portfolio | ||||||||||||||
Tax Cost | $ | 205,563,023 | $ | 506,542,267 | $ | 401,296,930 | $ | 142,773,869 | |||||||||
Gross unrealized gain | 4,964,535 | 33,324,862 | 35,355,271 | 18,914,680 | |||||||||||||
Gross unrealized loss | (68,068 | ) | (117,787 | ) | — | — | |||||||||||
Net unrealized security gain (loss) | $ | 4,896,467 | $ | 33,207,075 | $ | 35,355,271 | $ | 18,914,680 | |||||||||
The difference between book-basis and tax-basis unrealized gains (losses) are primarily attributable to wash sales and return of capital distributions from Underlying Fund investments.
7. SUMMARY OF SHARE TRANSACTIONS |
Balanced Strategy Portfolio | ||||||||||||||||
For the Six Months Ended | ||||||||||||||||
June 30, 2005 | For the Year Ended | |||||||||||||||
(Unaudited) | December 31, 2004 | |||||||||||||||
Shares | Dollars | Shares | Dollars | |||||||||||||
Class A Shares | ||||||||||||||||
Shares sold | 2,719,687 | $ | 29,075,722 | 2,483,886 | $ | 25,416,861 | ||||||||||
Reinvestment of dividends and distributions | 59,585 | 636,539 | 87,665 | 907,499 | ||||||||||||
Shares converted from Class B(a) | 3,775 | 40,407 | 1,524 | 15,929 | ||||||||||||
Shares repurchased | (623,677 | ) | (6,664,404 | ) | (909,880 | ) | (9,314,458 | ) | ||||||||
2,159,370 | 23,088,264 | 1,663,195 | 17,025,831 | |||||||||||||
Class B Shares | ||||||||||||||||
Shares sold | 490,774 | 5,236,024 | 767,285 | 7,838,810 | ||||||||||||
Reinvestment of dividends and distributions | 14,347 | 153,105 | 30,553 | 316,168 | ||||||||||||
Shares converted to Class A(a) | (3,782 | ) | (40,407 | ) | (1,526 | ) | (15,929 | ) | ||||||||
Shares repurchased | (379,826 | ) | (4,058,056 | ) | (537,548 | ) | (5,476,251 | ) | ||||||||
121,513 | 1,290,666 | 258,764 | 2,662,798 | |||||||||||||
Class C Shares | ||||||||||||||||
Shares sold | 913,116 | 9,768,783 | 900,896 | 9,267,334 | ||||||||||||
Reinvestment of dividends and distributions | 14,735 | 157,422 | 24,882 | 257,903 | ||||||||||||
Shares repurchased | (243,342 | ) | (2,598,678 | ) | (284,622 | ) | (2,928,793 | ) | ||||||||
684,509 | 7,327,527 | 641,156 | 6,596,444 | |||||||||||||
Institutional Shares | ||||||||||||||||
Shares sold | 3,271,074 | 35,191,597 | 1,620,780 | 17,100,720 | ||||||||||||
Reinvestment of dividends and distributions | 67,080 | 716,858 | 85,760 | 885,956 | ||||||||||||
Shares repurchased | (1,269,434 | ) | (13,529,628 | ) | (414,092 | ) | (4,323,351 | ) | ||||||||
2,068,720 | 22,378,827 | 1,292,448 | 13,663,325 | |||||||||||||
Service Shares | ||||||||||||||||
Shares sold | 49,674 | 531,615 | 37,970 | 392,647 | ||||||||||||
Reinvestment of dividends and distributions | 1,234 | 13,196 | 2,683 | 27,771 | ||||||||||||
Shares repurchased | (18,352 | ) | (195,506 | ) | (17,866 | ) | (180,973 | ) | ||||||||
32,556 | 349,305 | 22,787 | 239,445 | |||||||||||||
NET INCREASE | 5,066,668 | $ | 54,434,589 | 3,878,350 | $ | 40,187,843 | ||||||||||
(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 Portfolio or another Goldman Sachs Fund. |
Growth and Income Strategy Portfolio | Growth Strategy Portfolio | |||||||||||||||||||||||||||||||
For the Six Months Ended | For the Six Months Ended | |||||||||||||||||||||||||||||||
June 30, 2005 | For the Year Ended | June 30, 2005 | For the Year Ended | |||||||||||||||||||||||||||||
(Unaudited) | December 31, 2004 | (Unaudited) | December 31, 2004 | |||||||||||||||||||||||||||||
Shares | Dollars | Shares | Dollars | Shares | Dollars | Shares | Dollars | |||||||||||||||||||||||||
10,251,661 | $ | 116,071,712 | 7,660,913 | $ | 81,155,655 | 5,603,055 | $ | 65,958,297 | 4,169,637 | $ | 45,409,666 | |||||||||||||||||||||
190,353 | 2,161,864 | 290,122 | 3,151,491 | 5 | 53 | 104,197 | 1,213,509 | |||||||||||||||||||||||||
35,852 | 411,455 | 1,255 | 13,780 | 10,180 | 121,342 | 1,553 | 16,559 | |||||||||||||||||||||||||
(4,453,245 | ) | (50,100,190 | ) | (3,403,785 | ) | (36,103,749 | ) | (1,934,499 | ) | (22,905,670 | ) | (2,125,357 | ) | (22,730,715 | ) | |||||||||||||||||
6,024,621 | 68,544,841 | 4,548,505 | 48,217,177 | 3,678,741 | 43,174,022 | 2,150,030 | 23,909,019 | |||||||||||||||||||||||||
868,284 | 9,832,624 | 1,077,030 | 11,452,726 | 826,353 | 9,719,885 | 759,528 | 8,198,281 | |||||||||||||||||||||||||
36,687 | 415,093 | 71,590 | 780,466 | (1 | ) | (16 | ) | 18,889 | 220,440 | |||||||||||||||||||||||
(35,977 | ) | (411,455 | ) | (1,258 | ) | (13,780 | ) | (10,205 | ) | (121,342 | ) | (1,558 | ) | (16,559 | ) | |||||||||||||||||
(709,209 | ) | (8,035,236 | ) | (1,465,331 | ) | (15,386,747 | ) | (572,123 | ) | (6,723,849 | ) | (1,297,285 | ) | (13,863,423 | ) | |||||||||||||||||
159,785 | 1,801,026 | (317,969 | ) | (3,167,335 | ) | 244,024 | 2,874,678 | (520,426 | ) | (5,461,261 | ) | |||||||||||||||||||||
2,786,799 | 31,522,187 | 2,517,158 | 26,667,982 | 3,067,671 | 35,953,934 | 2,955,536 | 31,792,815 | |||||||||||||||||||||||||
44,246 | 500,234 | 69,807 | 761,733 | — | — | 30,942 | 359,870 | |||||||||||||||||||||||||
(835,387 | ) | (9,448,786 | ) | (1,651,521 | ) | (17,288,580 | ) | (619,486 | ) | (7,259,060 | ) | (1,109,139 | ) | (11,897,185 | ) | |||||||||||||||||
1,995,658 | 22,573,635 | 935,444 | 10,141,135 | 2,448,185 | 28,694,874 | 1,877,339 | 20,255,500 | |||||||||||||||||||||||||
5,494,479 | 61,956,600 | 923,601 | 10,215,372 | 4,063,094 | 47,577,723 | 1,865,071 | 19,833,137 | |||||||||||||||||||||||||
56,346 | 642,966 | 24,960 | 270,449 | — | — | 35,597 | 414,700 | |||||||||||||||||||||||||
(517,435 | ) | (5,950,230 | ) | (329,473 | ) | (3,503,320 | ) | (477,976 | ) | (5,676,691 | ) | (403,933 | ) | (4,527,034 | ) | |||||||||||||||||
5,033,390 | 56,649,336 | 619,088 | 6,982,501 | 3,585,118 | 41,901,032 | 1,496,735 | 15,720,803 | |||||||||||||||||||||||||
11,921 | 134,683 | 62,791 | 694,230 | 39,157 | 455,174 | 22,572 | 243,799 | |||||||||||||||||||||||||
1,018 | 11,520 | 1,962 | 21,256 | — | — | 1,325 | 15,370 | |||||||||||||||||||||||||
(13,249 | ) | (150,924 | ) | (15,611 | ) | (161,301 | ) | (4,997 | ) | (58,925 | ) | (10,638 | ) | (111,093 | ) | |||||||||||||||||
(310 | ) | (4,721 | ) | 49,142 | 554,185 | 34,160 | 396,249 | 13,259 | 148,076 | |||||||||||||||||||||||
13,213,144 | $ | 149,564,117 | 5,834,210 | $ | 62,727,663 | 9,990,228 | $ | 117,040,855 | 5,016,937 | $ | 54,572,137 | |||||||||||||||||||||
7. SUMMARY OF SHARE TRANSACTIONS (continued) |
Aggressive Growth Strategy Portfolio | ||||||||||||||||
For the Six Months Ended | ||||||||||||||||
June 30, 2005 | For the Year Ended | |||||||||||||||
(Unaudited) | December 31, 2004 | |||||||||||||||
Shares | Dollars | Shares | Dollars | |||||||||||||
Class A Shares | ||||||||||||||||
Shares sold | 1,518,765 | $ | 18,447,063 | 2,154,758 | $ | 23,648,082 | ||||||||||
Reinvestment of dividends and distributions | — | — | 8,881 | 106,733 | ||||||||||||
Shares converted from Class B(a) | 7,454 | 91,173 | 2,870 | 35,074 | ||||||||||||
Shares repurchased | (922,580 | ) | (11,195,160 | ) | (1,425,613 | ) | (15,552,494 | ) | ||||||||
603,639 | 7,343,076 | 740,896 | 8,237,395 | |||||||||||||
Class B Shares | ||||||||||||||||
Shares sold | 191,683 | 2,260,577 | 291,863 | 3,141,690 | ||||||||||||
Shares converted to Class A(a) | (7,654 | ) | (91,173 | ) | (2,940 | ) | (35,074 | ) | ||||||||
Shares repurchased | (283,809 | ) | (3,354,216 | ) | (436,624 | ) | (4,655,321 | ) | ||||||||
(99,780 | ) | (1,184,812 | ) | (147,701 | ) | (1,548,705 | ) | |||||||||
Class C Shares | ||||||||||||||||
Shares sold | 1,007,358 | 11,901,568 | 1,544,378 | 16,549,743 | ||||||||||||
Shares repurchased | (427,589 | ) | (5,058,911 | ) | (847,857 | ) | (9,092,481 | ) | ||||||||
579,769 | 6,842,657 | 696,521 | 7,457,262 | |||||||||||||
Institutional Shares | ||||||||||||||||
Shares sold | 30,349 | 372,831 | 34,340 | 372,724 | ||||||||||||
Reinvestment of dividends and distributions | — | — | 1,674 | 20,285 | ||||||||||||
Shares repurchased | (13,367 | ) | (164,520 | ) | (161,212 | ) | (1,749,707 | ) | ||||||||
16,982 | 208,311 | (125,198 | ) | (1,356,698 | ) | |||||||||||
Service Shares | ||||||||||||||||
Shares sold | 10,762 | 130,526 | 6,063 | 71,635 | ||||||||||||
Reinvestment of dividends and distributions | — | — | 14 | 169 | ||||||||||||
Shares repurchased | (764 | ) | (9,231 | ) | (5,233 | ) | (56,189 | ) | ||||||||
9,998 | 121,295 | 844 | 15,615 | |||||||||||||
NET INCREASE | 1,110,608 | $ | 13,330,527 | 1,165,362 | $ | 12,804,869 | ||||||||||
(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 Portfolio or another Goldman Sachs Fund. |
8. LEGAL PROCEEDINGS |
Financial Highlights
Income (loss) from | ||||||||||||||||||||||||||||||||||||
investment operations | Distributions to shareholders | |||||||||||||||||||||||||||||||||||
Net asset | In excess | |||||||||||||||||||||||||||||||||||
value at | Net | Net realized | Total from | From net | of net | From net | ||||||||||||||||||||||||||||||
beginning | investment | and unrealized | investment | investment | investment | realized | Total | |||||||||||||||||||||||||||||
Year | of period | income(a) | gain (loss) | operations | income | income | gains | distributions | ||||||||||||||||||||||||||||
FOR THE SIX MONTHS ENDED JUNE 30, (Unaudited) | ||||||||||||||||||||||||||||||||||||
2005 - A | $ | 10.79 | $ | 0.11 | $ | (0.04 | ) | $ | 0.07 | $ | (0.11 | ) | $ | — | $ | — | $ | (0.11 | ) | |||||||||||||||||
2005 - B | 10.78 | 0.06 | (0.03 | ) | 0.03 | (0.07 | ) | — | — | (0.07 | ) | |||||||||||||||||||||||||
2005 - C | 10.80 | 0.06 | (0.03 | ) | 0.03 | (0.07 | ) | — | — | (0.07 | ) | |||||||||||||||||||||||||
2005 - Institutional | 10.78 | 0.13 | (0.03 | ) | 0.10 | (0.13 | ) | — | — | (0.13 | ) | |||||||||||||||||||||||||
2005 - Service | 10.80 | 0.10 | (0.04 | ) | 0.06 | (0.10 | ) | — | — | (0.10 | ) | |||||||||||||||||||||||||
FOR THE YEARS ENDED DECEMBER 31, | ||||||||||||||||||||||||||||||||||||
2004 - A | 10.00 | 0.25 | 0.77 | 1.02 | (0.23 | ) | — | — | (0.23 | ) | ||||||||||||||||||||||||||
2004 - B | 10.00 | 0.16 | 0.77 | 0.93 | (0.15 | ) | — | — | (0.15 | ) | ||||||||||||||||||||||||||
2004 - C | 10.01 | 0.17 | 0.77 | 0.94 | (0.15 | ) | — | — | (0.15 | ) | ||||||||||||||||||||||||||
2004 - Institutional | 10.00 | 0.28 | 0.77 | 1.05 | (0.27 | ) | — | — | (0.27 | ) | ||||||||||||||||||||||||||
2004 - Service | 10.01 | 0.23 | 0.77 | 1.00 | (0.21 | ) | — | — | (0.21 | ) | ||||||||||||||||||||||||||
2003 - A | 8.83 | 0.23 | 1.18 | 1.41 | (0.24 | ) | — | — | (0.24 | ) | ||||||||||||||||||||||||||
2003 - B | 8.83 | 0.16 | 1.18 | 1.34 | (0.17 | ) | — | — | (0.17 | ) | ||||||||||||||||||||||||||
2003 - C | 8.84 | 0.16 | 1.18 | 1.34 | (0.17 | ) | — | — | (0.17 | ) | ||||||||||||||||||||||||||
2003 - Institutional | 8.83 | 0.26 | 1.18 | 1.44 | (0.27 | ) | — | — | (0.27 | ) | ||||||||||||||||||||||||||
2003 - Service | 8.84 | 0.22 | 1.18 | 1.40 | (0.23 | ) | — | — | (0.23 | ) | ||||||||||||||||||||||||||
2002 - A | 9.43 | 0.25 | (0.60 | ) | (0.35 | ) | (0.25 | ) | — | — | (0.25 | ) | ||||||||||||||||||||||||
2002 - B | 9.43 | 0.18 | (0.60 | ) | (0.42 | ) | (0.18 | ) | — | — | (0.18 | ) | ||||||||||||||||||||||||
2002 - C | 9.44 | 0.18 | (0.60 | ) | (0.42 | ) | (0.18 | ) | — | — | (0.18 | ) | ||||||||||||||||||||||||
2002 - Institutional | 9.43 | 0.29 | (0.60 | ) | (0.31 | ) | (0.29 | ) | — | — | (0.29 | ) | ||||||||||||||||||||||||
2002 - Service | 9.44 | 0.25 | (0.61 | ) | (0.36 | ) | (0.24 | ) | — | — | (0.24 | ) | ||||||||||||||||||||||||
2001 - A | 10.16 | 0.30 | (0.58 | ) | (0.28 | ) | (0.31 | ) | — | (0.14 | ) | (0.45 | ) | |||||||||||||||||||||||
2001 - B | 10.16 | 0.23 | (0.59 | ) | (0.36 | ) | (0.23 | ) | — | (0.14 | ) | (0.37 | ) | |||||||||||||||||||||||
2001 - C | 10.17 | 0.23 | (0.59 | ) | (0.36 | ) | (0.23 | ) | — | (0.14 | ) | (0.37 | ) | |||||||||||||||||||||||
2001 - Institutional | 10.16 | 0.36 | (0.60 | ) | (0.24 | ) | (0.35 | ) | — | (0.14 | ) | (0.49 | ) | |||||||||||||||||||||||
2001 - Service | 10.17 | 0.29 | (0.58 | ) | (0.29 | ) | (0.30 | ) | — | (0.14 | ) | (0.44 | ) | |||||||||||||||||||||||
2000 - A | 10.99 | 0.48 | (0.54 | ) | (0.06 | ) | (0.50 | ) | (0.01 | ) | (0.26 | ) | (0.77 | ) | ||||||||||||||||||||||
2000 - B | 10.98 | 0.39 | (0.53 | ) | (0.14 | ) | (0.41 | ) | (0.01 | ) | (0.26 | ) | (0.68 | ) | ||||||||||||||||||||||
2000 - C | 10.99 | 0.39 | (0.53 | ) | (0.14 | ) | (0.41 | ) | (0.01 | ) | (0.26 | ) | (0.68 | ) | ||||||||||||||||||||||
2000 - Institutional | 10.99 | 0.53 | (0.55 | ) | (0.02 | ) | (0.54 | ) | (0.01 | ) | (0.26 | ) | (0.81 | ) | ||||||||||||||||||||||
2000 - Service | 10.99 | 0.61 | (0.68 | ) | (0.07 | ) | (0.48 | ) | (0.01 | ) | (0.26 | ) | (0.75 | ) | ||||||||||||||||||||||
(a) | Calculated based on the average shares outstanding methodology. |
(b) | Assumes investment at the net asset value at the end 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 returns for periods less than one full year are not annualized. Total returns would be reduced if sales or redemption charges were taken into account. Returns do not reflect the deduction of taxes that a shareholder would pay on Portfolio distributions or the redemption of Portfolio shares. |
(c) | Expense ratios exclude expenses of the Underlying Funds. |
(d) | Annualized. |
30
Ratios assuming no | ||||||||||||||||||||||||||||||||||
expense reductions | ||||||||||||||||||||||||||||||||||
Ratio of | Ratio of | |||||||||||||||||||||||||||||||||
Net assets | Ratio of | net investment | Ratio of 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(b) | (in 000s) | net assets(c) | net assets | net assets(c) | net assets | rate | |||||||||||||||||||||||||||
$ | 10.75 | 0.64 | % | $ | 76,955 | 0.59 | %(d) | 1.98 | %(d) | 0.86 | %(d) | 1.71 | %(d) | 30 | % | |||||||||||||||||||
10.74 | 0.26 | 29,467 | 1.34 | (d) | 1.19 | (d) | 1.61 | (d) | 0.92 | (d) | 30 | |||||||||||||||||||||||
10.76 | 0.28 | 33,100 | 1.34 | (d) | 1.21 | (d) | 1.61 | (d) | 0.94 | (d) | 30 | |||||||||||||||||||||||
10.75 | 0.92 | 69,093 | 0.19 | (d) | 2.42 | (d) | 0.46 | (d) | 2.15 | (d) | 30 | |||||||||||||||||||||||
10.76 | 0.58 | 2,449 | 0.69 | (d) | 1.86 | (d) | 0.96 | (d) | 1.59 | (d) | 30 | |||||||||||||||||||||||
10.79 | 10.28 | 53,944 | 0.58 | 2.42 | 0.99 | 2.01 | 52 | |||||||||||||||||||||||||||
10.78 | 9.36 | 28,265 | 1.33 | 1.61 | 1.74 | 1.20 | 52 | |||||||||||||||||||||||||||
10.80 | 9.48 | 25,835 | 1.33 | 1.64 | 1.74 | 1.23 | 52 | |||||||||||||||||||||||||||
10.78 | 10.60 | 47,030 | 0.18 | 2.75 | 0.59 | 2.34 | 52 | |||||||||||||||||||||||||||
10.80 | 10.15 | 2,106 | 0.68 | 2.27 | 1.09 | 1.86 | 52 | |||||||||||||||||||||||||||
10.00 | 16.13 | 33,379 | 0.60 | 2.52 | 1.03 | 2.09 | 41 | |||||||||||||||||||||||||||
10.00 | 15.26 | 23,620 | 1.35 | 1.72 | 1.78 | 1.29 | 41 | |||||||||||||||||||||||||||
10.01 | 15.28 | 17,540 | 1.35 | 1.76 | 1.78 | 1.33 | 41 | |||||||||||||||||||||||||||
10.00 | 16.57 | 30,676 | 0.20 | 2.84 | 0.63 | 2.41 | 41 | |||||||||||||||||||||||||||
10.01 | 15.98 | 1,724 | 0.70 | 2.38 | 1.13 | 1.95 | 41 | |||||||||||||||||||||||||||
8.83 | (3.76 | ) | 24,057 | 0.60 | 2.72 | 1.10 | 2.22 | 40 | ||||||||||||||||||||||||||
8.83 | (4.48 | ) | 21,543 | 1.35 | 1.98 | 1.85 | 1.48 | 40 | ||||||||||||||||||||||||||
8.84 | (4.50 | ) | 13,129 | 1.35 | 1.97 | 1.85 | 1.47 | 40 | ||||||||||||||||||||||||||
8.83 | (3.35 | ) | 28,778 | 0.20 | 3.19 | 0.70 | 2.69 | 40 | ||||||||||||||||||||||||||
8.84 | (3.84 | ) | 1,535 | 0.70 | 2.77 | 1.20 | 2.27 | 40 | ||||||||||||||||||||||||||
9.43 | (2.62 | ) | 31,539 | 0.59 | 3.09 | 1.05 | 2.63 | 51 | ||||||||||||||||||||||||||
9.43 | (3.37 | ) | 23,643 | 1.34 | 2.34 | 1.80 | 1.88 | 51 | ||||||||||||||||||||||||||
9.44 | (3.38 | ) | 16,354 | 1.34 | 2.34 | 1.80 | 1.88 | 51 | ||||||||||||||||||||||||||
9.43 | (2.21 | ) | 9,278 | 0.19 | 3.74 | 0.65 | 3.28 | 51 | ||||||||||||||||||||||||||
9.44 | (3.28 | ) | 897 | 0.69 | 2.99 | 1.15 | 2.53 | 51 | ||||||||||||||||||||||||||
10.16 | (0.66 | ) | 34,056 | 0.59 | 4.45 | 1.09 | 3.95 | 23 | ||||||||||||||||||||||||||
10.16 | (1.33 | ) | 27,326 | 1.34 | 3.60 | 1.84 | 3.10 | 23 | ||||||||||||||||||||||||||
10.17 | (1.31 | ) | 19,567 | 1.34 | 3.59 | 1.84 | 3.09 | 23 | ||||||||||||||||||||||||||
10.16 | (0.25 | ) | 1,924 | 0.19 | 4.94 | 0.69 | 4.44 | 23 | ||||||||||||||||||||||||||
10.17 | (0.11 | ) | 805 | 0.69 | 5.70 | 1.19 | 5.20 | 23 | ||||||||||||||||||||||||||
Financial Highlights
Income (loss) from | ||||||||||||||||||||||||||||||||||||
investment operations | Distributions to shareholders | |||||||||||||||||||||||||||||||||||
Net asset | In excess | |||||||||||||||||||||||||||||||||||
value at | Net | Net realized | Total from | From net | of net | From net | ||||||||||||||||||||||||||||||
beginning | investment | and unrealized | investment | investment | investment | realized | Total | |||||||||||||||||||||||||||||
Year | of period | income(a) | gain (loss) | operations | income | income | gains | distributions | ||||||||||||||||||||||||||||
FOR THE SIX MONTHS ENDED JUNE 30, (Unaudited) | ||||||||||||||||||||||||||||||||||||
2005 - A | $ | 11.46 | $ | 0.10 | $ | 0.03 | $ | 0.13 | $ | (0.11 | ) | $ | — | $ | — | $ | (0.11 | ) | ||||||||||||||||||
2005 - B | 11.45 | 0.05 | 0.03 | 0.08 | (0.07 | ) | — | — | (0.07 | ) | ||||||||||||||||||||||||||
2005 - C | 11.43 | 0.05 | 0.03 | 0.08 | (0.07 | ) | — | — | (0.07 | ) | ||||||||||||||||||||||||||
2005 - Institutional | 11.49 | 0.13 | 0.01 | 0.14 | (0.13 | ) | — | — | (0.13 | ) | ||||||||||||||||||||||||||
2005 - Service | 11.44 | 0.09 | 0.02 | 0.11 | (0.10 | ) | — | — | (0.10 | ) | ||||||||||||||||||||||||||
FOR THE YEARS ENDED DECEMBER 31, | ||||||||||||||||||||||||||||||||||||
2004 - A | 10.17 | 0.22 | 1.28 | 1.50 | (0.21 | ) | — | — | (0.21 | ) | ||||||||||||||||||||||||||
2004 - B | 10.15 | 0.13 | 1.30 | 1.43 | (0.13 | ) | — | — | (0.13 | ) | ||||||||||||||||||||||||||
2004 - C | 10.14 | 0.13 | 1.29 | 1.42 | (0.13 | ) | — | — | (0.13 | ) | ||||||||||||||||||||||||||
2004 - Institutional | 10.19 | 0.26 | 1.29 | 1.55 | (0.25 | ) | — | — | (0.25 | ) | ||||||||||||||||||||||||||
2004 - Service | 10.15 | 0.21 | 1.28 | 1.49 | (0.20 | ) | — | — | (0.20 | ) | ||||||||||||||||||||||||||
2003 - A | 8.39 | 0.21 | 1.83 | 2.04 | (0.26 | ) | — | — | (0.26 | ) | ||||||||||||||||||||||||||
2003 - B | 8.38 | 0.14 | 1.82 | 1.96 | (0.19 | ) | — | — | (0.19 | ) | ||||||||||||||||||||||||||
2003 - C | 8.37 | 0.14 | 1.82 | 1.96 | (0.19 | ) | — | — | (0.19 | ) | ||||||||||||||||||||||||||
2003 - Institutional | 8.40 | 0.27 | 1.81 | 2.08 | (0.29 | ) | — | — | (0.29 | ) | ||||||||||||||||||||||||||
2003 - Service | 8.37 | 0.20 | 1.83 | 2.03 | (0.25 | ) | — | — | (0.25 | ) | ||||||||||||||||||||||||||
2002 - A | 9.38 | 0.19 | (0.98 | ) | (0.79 | ) | (0.20 | ) | — | — | (0.20 | ) | ||||||||||||||||||||||||
2002 - B | 9.36 | 0.12 | (0.96 | ) | (0.84 | ) | (0.14 | ) | — | — | (0.14 | ) | ||||||||||||||||||||||||
2002 - C | 9.36 | 0.12 | (0.97 | ) | (0.85 | ) | (0.14 | ) | — | — | (0.14 | ) | ||||||||||||||||||||||||
2002 - Institutional | 9.39 | 0.21 | (0.96 | ) | (0.75 | ) | (0.24 | ) | — | — | (0.24 | ) | ||||||||||||||||||||||||
2002 - Service | 9.36 | 0.18 | (0.98 | ) | (0.80 | ) | (0.19 | ) | — | — | (0.19 | ) | ||||||||||||||||||||||||
2001 - A | 10.64 | 0.21 | (0.98 | ) | (0.77 | ) | (0.22 | ) | — | (0.27 | ) | (0.49 | ) | |||||||||||||||||||||||
2001 - B | 10.62 | 0.14 | (0.99 | ) | (0.85 | ) | (0.14 | ) | — | (0.27 | ) | (0.41 | ) | |||||||||||||||||||||||
2001 - C | 10.61 | 0.14 | (0.98 | ) | (0.84 | ) | (0.14 | ) | — | (0.27 | ) | (0.41 | ) | |||||||||||||||||||||||
2001 - Institutional | 10.66 | 0.25 | (0.99 | ) | (0.74 | ) | (0.26 | ) | — | (0.27 | ) | (0.53 | ) | |||||||||||||||||||||||
2001 - Service | 10.62 | 0.20 | (0.98 | ) | (0.78 | ) | (0.21 | ) | — | (0.27 | ) | (0.48 | ) | |||||||||||||||||||||||
2000 - A | 11.71 | 0.38 | (0.92 | ) | (0.54 | ) | (0.41 | ) | (0.05 | ) | (0.07 | ) | (0.53 | ) | ||||||||||||||||||||||
2000 - B | 11.69 | 0.29 | (0.92 | ) | (0.63 | ) | (0.33 | ) | (0.04 | ) | (0.07 | ) | (0.44 | ) | ||||||||||||||||||||||
2000 - C | 11.69 | 0.29 | (0.93 | ) | (0.64 | ) | (0.33 | ) | (0.04 | ) | (0.07 | ) | (0.44 | ) | ||||||||||||||||||||||
2000 - Institutional | 11.71 | 0.44 | (0.91 | ) | (0.47 | ) | (0.45 | ) | (0.06 | ) | (0.07 | ) | (0.58 | ) | ||||||||||||||||||||||
2000 - Service | 11.69 | 0.37 | (0.92 | ) | (0.55 | ) | (0.40 | ) | (0.05 | ) | (0.07 | ) | (0.52 | ) | ||||||||||||||||||||||
(a) | Calculated based on the average shares outstanding methodology. |
(b) | Assumes investment at the net asset value at the end 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 returns for periods less than one full year are not annualized. Total return would be reduced if sales or redemption charges were taken into account. Returns do not reflect the deduction of taxes that a shareholder would pay on Portfolio distributions or the redemption of Portfolio shares. |
(c) | Expense ratios exclude expenses of the Underlying Funds. |
(d) | Annualized. |
32
Ratios assuming no | ||||||||||||||||||||||||||||||||||
expense reductions | ||||||||||||||||||||||||||||||||||
Ratio of | Ratio of | |||||||||||||||||||||||||||||||||
Net assets | Ratio of | net investment | Ratio of | net investment | ||||||||||||||||||||||||||||||
Net asset | at end of | net expenses | income | total expenses | income | Portfolio | ||||||||||||||||||||||||||||
value, end | Total | period | to average | to average | to average | to average | turnover | |||||||||||||||||||||||||||
of period | return(b) | (in 000s) | net assets(c) | net assets | net assets(c) | net assets | rate | |||||||||||||||||||||||||||
$ | 11.48 | 1.14 | % | $ | 273,126 | 0.59 | %(d) | 1.68 | %(d) | 0.77 | %(d) | 1.50 | %(d) | 23 | % | |||||||||||||||||||
11.46 | 0.67 | 81,280 | 1.34 | (d) | 0.88 | (d) | 1.52 | (d) | 0.70 | (d) | 23 | |||||||||||||||||||||||
11.44 | 0.70 | 107,839 | 1.34 | (d) | 0.92 | (d) | 1.52 | (d) | 0.74 | (d) | 23 | |||||||||||||||||||||||
11.50 | 1.24 | 77,352 | 0.19 | (d) | 2.17 | (d) | 0.37 | (d) | 1.99 | (d) | 23 | |||||||||||||||||||||||
11.45 | 0.99 | 2,800 | 0.69 | (d) | 1.53 | (d) | 0.87 | (d) | 1.35 | (d) | 23 | |||||||||||||||||||||||
11.46 | 14.85 | 203,730 | 0.57 | 2.05 | 0.88 | 1.74 | 53 | |||||||||||||||||||||||||||
11.45 | 14.11 | 79,369 | 1.32 | 1.19 | 1.63 | 0.88 | 53 | |||||||||||||||||||||||||||
11.43 | 14.05 | 84,937 | 1.32 | 1.25 | 1.63 | 0.94 | 53 | |||||||||||||||||||||||||||
11.49 | 15.35 | 19,448 | 0.17 | 2.41 | 0.48 | 2.10 | 53 | |||||||||||||||||||||||||||
11.44 | 14.77 | 2,801 | 0.67 | 1.96 | 0.98 | 1.65 | 53 | |||||||||||||||||||||||||||
10.17 | 24.55 | 134,430 | 0.60 | 2.33 | 0.89 | 2.04 | 38 | |||||||||||||||||||||||||||
10.15 | 23.53 | 73,619 | 1.35 | 1.54 | 1.64 | 1.25 | 38 | |||||||||||||||||||||||||||
10.14 | 23.60 | 65,853 | 1.35 | 1.58 | 1.64 | 1.29 | 38 | |||||||||||||||||||||||||||
10.19 | 25.12 | 10,938 | 0.20 | 3.01 | 0.49 | 2.72 | 38 | |||||||||||||||||||||||||||
10.15 | 24.49 | 1,985 | 0.70 | 2.21 | 0.99 | 1.92 | 38 | |||||||||||||||||||||||||||
8.39 | (8.44 | ) | 105,812 | 0.60 | 2.15 | 0.90 | 1.85 | 31 | ||||||||||||||||||||||||||
8.38 | (9.07 | ) | 65,864 | 1.35 | 1.35 | 1.65 | 1.05 | 31 | ||||||||||||||||||||||||||
8.37 | (9.16 | ) | 50,722 | 1.35 | 1.40 | 1.65 | 1.10 | 31 | ||||||||||||||||||||||||||
8.40 | (8.08 | ) | 5,476 | 0.20 | 2.36 | 0.50 | 2.06 | 31 | ||||||||||||||||||||||||||
8.37 | (8.56 | ) | 1,587 | 0.70 | 2.08 | 1.00 | 1.78 | 31 | ||||||||||||||||||||||||||
9.38 | (7.27 | ) | 123,586 | 0.59 | 2.11 | 0.85 | 1.85 | 42 | ||||||||||||||||||||||||||
9.36 | (8.01 | ) | 89,089 | 1.34 | 1.36 | 1.60 | 1.10 | 42 | ||||||||||||||||||||||||||
9.36 | (7.92 | ) | 60,569 | 1.34 | 1.36 | 1.60 | 1.10 | 42 | ||||||||||||||||||||||||||
9.39 | (6.95 | ) | 18,107 | 0.19 | 2.52 | 0.45 | 2.26 | 42 | ||||||||||||||||||||||||||
9.36 | (7.35 | ) | 1,866 | 0.69 | 2.05 | 0.95 | 1.79 | 42 | ||||||||||||||||||||||||||
10.64 | (4.54 | ) | 158,430 | 0.59 | 3.35 | 0.87 | 3.07 | 20 | ||||||||||||||||||||||||||
10.62 | (5.28 | ) | 116,542 | 1.34 | 2.57 | 1.62 | 2.29 | 20 | ||||||||||||||||||||||||||
10.61 | (5.36 | ) | 78,144 | 1.34 | 2.57 | 1.62 | 2.29 | 20 | ||||||||||||||||||||||||||
10.66 | (3.99 | ) | 18,763 | 0.19 | 3.87 | 0.47 | 3.59 | 20 | ||||||||||||||||||||||||||
10.62 | (4.63 | ) | 1,570 | 0.69 | 3.26 | 0.97 | 2.98 | 20 | ||||||||||||||||||||||||||
Financial Highlights
Income (loss) from | ||||||||||||||||||||||||||||||||||||
investment operations | Distributions to shareholders | |||||||||||||||||||||||||||||||||||
Net asset | In excess | |||||||||||||||||||||||||||||||||||
value at | Net | Net realized | Total from | From net | of net | From net | ||||||||||||||||||||||||||||||
beginning | investment | and unrealized | investment | investment | investment | realized | Total | |||||||||||||||||||||||||||||
Year | of period | income(a) | gain (loss) | operations | income | income | gains | distributions | ||||||||||||||||||||||||||||
FOR THE SIX MONTHS ENDED JUNE 30, (Unaudited) | ||||||||||||||||||||||||||||||||||||
2005 - A | $ | 11.88 | $ | 0.05 | $ | 0.04 | $ | 0.09 | $ | — | $ | — | $ | — | $ | — | ||||||||||||||||||||
2005 - B | 11.90 | — | 0.04 | 0.04 | — | — | — | — | ||||||||||||||||||||||||||||
2005 - C | 11.86 | — | 0.04 | 0.04 | — | — | — | — | ||||||||||||||||||||||||||||
2005 - Institutional | 11.88 | 0.07 | 0.04 | 0.11 | — | — | — | — | ||||||||||||||||||||||||||||
2005 - Service | 11.83 | 0.04 | 0.04 | 0.08 | — | — | — | — | ||||||||||||||||||||||||||||
FOR THE YEARS ENDED DECEMBER 31, | ||||||||||||||||||||||||||||||||||||
2004 - A | 10.22 | 0.12 | 1.67 | 1.79 | (0.13 | ) | — | — | (0.13 | ) | ||||||||||||||||||||||||||
2004 - B | 10.23 | 0.04 | 1.67 | 1.71 | (0.04 | ) | — | — | (0.04 | ) | ||||||||||||||||||||||||||
2004 - C | 10.21 | 0.04 | 1.67 | 1.71 | (0.06 | ) | — | — | (0.06 | ) | ||||||||||||||||||||||||||
2004 - Institutional | 10.21 | 0.19 | 1.65 | 1.84 | (0.17 | ) | — | — | (0.17 | ) | ||||||||||||||||||||||||||
2004 - Service | 10.18 | 0.11 | 1.66 | 1.77 | (0.12 | ) | — | — | (0.12 | ) | ||||||||||||||||||||||||||
2003 - A | 7.91 | 0.11 | 2.34 | 2.45 | (0.14 | ) | — | — | (0.14 | ) | ||||||||||||||||||||||||||
2003 - B | 7.93 | 0.05 | 2.32 | 2.37 | (0.07 | ) | — | — | (0.07 | ) | ||||||||||||||||||||||||||
2003 - C | 7.92 | 0.05 | 2.31 | 2.36 | (0.07 | ) | — | — | (0.07 | ) | ||||||||||||||||||||||||||
2003 - Institutional | 7.91 | 0.17 | 2.30 | 2.47 | (0.17 | ) | — | — | (0.17 | ) | ||||||||||||||||||||||||||
2003 - Service | 7.88 | 0.11 | 2.32 | 2.43 | (0.13 | ) | — | — | (0.13 | ) | ||||||||||||||||||||||||||
2002 - A | 9.30 | 0.11 | (1.38 | ) | (1.27 | ) | (0.12 | ) | — | — | (0.12 | ) | ||||||||||||||||||||||||
2002 - B | 9.29 | 0.04 | (1.35 | ) | (1.31 | ) | (0.05 | ) | — | — | (0.05 | ) | ||||||||||||||||||||||||
2002 - C | 9.30 | 0.04 | (1.37 | ) | (1.33 | ) | (0.05 | ) | — | — | (0.05 | ) | ||||||||||||||||||||||||
2002 - Institutional | 9.30 | 0.13 | (1.36 | ) | (1.23 | ) | (0.16 | ) | — | — | (0.16 | ) | ||||||||||||||||||||||||
2002 - Service | 9.27 | 0.10 | (1.37 | ) | (1.27 | ) | (0.12 | ) | — | — | (0.12 | ) | ||||||||||||||||||||||||
2001 - A | 10.88 | 0.11 | (1.32 | ) | (1.21 | ) | (0.13 | ) | — | (0.24 | ) | (0.37 | ) | |||||||||||||||||||||||
2001 - B | 10.86 | 0.03 | (1.31 | ) | (1.28 | ) | (0.05 | ) | — | (0.24 | ) | (0.29 | ) | |||||||||||||||||||||||
2001 - C | 10.87 | 0.03 | (1.31 | ) | (1.28 | ) | (0.05 | ) | — | (0.24 | ) | (0.29 | ) | |||||||||||||||||||||||
2001 - Institutional | 10.87 | 0.16 | (1.32 | ) | (1.16 | ) | (0.17 | ) | — | (0.24 | ) | (0.41 | ) | |||||||||||||||||||||||
2001 - Service | 10.86 | 0.10 | (1.33 | ) | (1.23 | ) | (0.12 | ) | — | (0.24 | ) | (0.36 | ) | |||||||||||||||||||||||
2000 - A | 12.24 | 0.22 | (1.28 | ) | (1.06 | ) | (0.22 | ) | (0.08 | ) | — | (0.30 | ) | |||||||||||||||||||||||
2000 - B | 12.21 | 0.13 | (1.27 | ) | (1.14 | ) | (0.15 | ) | (0.06 | ) | — | (0.21 | ) | |||||||||||||||||||||||
2000 - C | 12.22 | 0.13 | (1.27 | ) | (1.14 | ) | (0.15 | ) | (0.06 | ) | — | (0.21 | ) | |||||||||||||||||||||||
2000 - Institutional | 12.23 | 0.25 | (1.26 | ) | (1.01 | ) | (0.25 | ) | (0.10 | ) | — | (0.35 | ) | |||||||||||||||||||||||
2000 - Service | 12.22 | 0.23 | (1.29 | ) | (1.06 | ) | (0.22 | ) | (0.08 | ) | — | (0.30 | ) | |||||||||||||||||||||||
(a) | Calculated based on the average shares outstanding methodology. |
(b) | Assumes investment at the net asset value at the beginning of the period, reinvestment of all 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 returns for periods less than one full year are not annualized. Total return would be reduced if sales or redemption charges were taken into account. Returns do not reflect the deduction of taxes that a shareholder would pay on Portfolio distributions or the redemption of Portfolio shares. |
(c) | Expense ratios exclude expenses of the Underlying Funds. |
(d) | Annualized. |
34
Ratios assuming no | ||||||||||||||||||||||||||||||||||
expense reductions | ||||||||||||||||||||||||||||||||||
Ratio of | Ratio of | |||||||||||||||||||||||||||||||||
Net assets | Ratio of | net investment | Ratio of total | net investment | ||||||||||||||||||||||||||||||
Net asset | at end | net expenses | income | expenses | income (loss) | Portfolio | ||||||||||||||||||||||||||||
value, end | Total | of period | to average | to average | to average | to average | turnover | |||||||||||||||||||||||||||
of period | return(b) | (in 000s) | net assets(c) | net assets | net assets(c) | net assets | rate | |||||||||||||||||||||||||||
$ | 11.97 | 0.76 | % | $ | 174,369 | 0.59 | %(d) | 0.79 | %(d) | 0.78 | %(d) | 0.60 | %(d) | 26 | % | |||||||||||||||||||
11.94 | 0.34 | 74,910 | 1.34 | (d) | 0.01 | (d) | 1.53 | (d) | (0.18 | )(d) | 26 | |||||||||||||||||||||||
11.90 | 0.34 | 115,692 | 1.34 | (d) | 0.04 | (d) | 1.53 | (d) | (0.15 | )(d) | 26 | |||||||||||||||||||||||
11.99 | 0.93 | 71,209 | 0.19 | (d) | 1.23 | (d) | 0.38 | (d) | 1.04 | (d) | 26 | |||||||||||||||||||||||
11.91 | 0.68 | 2,154 | 0.69 | (d) | 0.67 | (d) | 0.88 | (d) | 0.48 | (d) | 26 | |||||||||||||||||||||||
11.88 | 17.54 | 129,419 | 0.58 | 1.16 | 0.89 | 0.85 | 44 | |||||||||||||||||||||||||||
11.90 | 16.72 | 71,753 | 1.33 | 0.33 | 1.64 | 0.02 | 44 | |||||||||||||||||||||||||||
11.86 | 16.77 | 86,277 | 1.33 | 0.42 | 1.64 | 0.11 | 44 | |||||||||||||||||||||||||||
11.88 | 18.05 | 27,967 | 0.18 | 1.77 | 0.49 | 1.46 | 44 | |||||||||||||||||||||||||||
11.83 | 17.38 | 1,736 | 0.68 | 1.03 | 0.99 | 0.72 | 44 | |||||||||||||||||||||||||||
10.22 | 30.96 | 89,342 | 0.60 | 1.29 | 0.92 | 0.97 | 46 | |||||||||||||||||||||||||||
10.23 | 29.87 | 67,025 | 1.35 | 0.53 | 1.67 | 0.21 | 46 | |||||||||||||||||||||||||||
10.21 | 29.88 | 55,151 | 1.35 | 0.57 | 1.67 | 0.25 | 46 | |||||||||||||||||||||||||||
10.21 | 31.30 | 8,747 | 0.20 | 1.92 | 0.52 | 1.60 | 46 | |||||||||||||||||||||||||||
10.18 | 30.85 | 1,358 | 0.70 | 1.21 | 1.02 | 0.89 | 46 | |||||||||||||||||||||||||||
7.91 | (13.64 | ) | 72,060 | 0.60 | 1.25 | 0.93 | 0.92 | 23 | ||||||||||||||||||||||||||
7.93 | (14.13 | ) | 56,279 | 1.35 | 0.47 | 1.68 | 0.14 | 23 | ||||||||||||||||||||||||||
7.92 | (14.26 | ) | 40,571 | 1.35 | 0.49 | 1.68 | 0.16 | 23 | ||||||||||||||||||||||||||
7.91 | (13.25 | ) | 3,525 | 0.20 | 1.52 | 0.53 | 1.19 | 23 | ||||||||||||||||||||||||||
7.88 | (13.70 | ) | 840 | 0.70 | 1.20 | 1.03 | 0.87 | 23 | ||||||||||||||||||||||||||
9.30 | (11.03 | ) | 93,313 | 0.59 | 1.09 | 0.88 | 0.80 | 40 | ||||||||||||||||||||||||||
9.29 | (11.72 | ) | 81,563 | 1.34 | 0.34 | 1.63 | 0.05 | 40 | ||||||||||||||||||||||||||
9.30 | (11.69 | ) | 53,001 | 1.34 | 0.34 | 1.63 | 0.05 | 40 | ||||||||||||||||||||||||||
9.30 | (10.55 | ) | 7,324 | 0.19 | 1.65 | 0.48 | 1.36 | 40 | ||||||||||||||||||||||||||
9.27 | (11.16 | ) | 940 | 0.69 | 1.01 | 0.98 | 0.72 | 40 | ||||||||||||||||||||||||||
10.88 | (8.68 | ) | 117,857 | 0.59 | 1.83 | 0.89 | 1.53 | 23 | ||||||||||||||||||||||||||
10.86 | (9.39 | ) | 106,080 | 1.34 | 1.08 | 1.64 | 0.78 | 23 | ||||||||||||||||||||||||||
10.87 | (9.36 | ) | 65,681 | 1.34 | 1.11 | 1.64 | 0.81 | 23 | ||||||||||||||||||||||||||
10.87 | (8.28 | ) | 4,234 | 0.19 | 2.10 | 0.49 | 1.80 | 23 | ||||||||||||||||||||||||||
10.86 | (8.67 | ) | 692 | 0.69 | 1.95 | 0.99 | 1.65 | 23 | ||||||||||||||||||||||||||
Financial Highlights
Income (loss) from | ||||||||||||||||||||||||||||||||||||
investment operations | Distributions to shareholders | |||||||||||||||||||||||||||||||||||
Net asset | Net | In excess | ||||||||||||||||||||||||||||||||||
value at | investment | Net realized | Total from | From net | of net | From net | ||||||||||||||||||||||||||||||
beginning | income | and unrealized | investment | investment | investment | realized | Total | |||||||||||||||||||||||||||||
Year | of period | (loss)(a) | gain (loss) | operations | income | income | gains | distributions | ||||||||||||||||||||||||||||
FOR THE SIX MONTHS ENDED JUNE 30, (Unaudited) | ||||||||||||||||||||||||||||||||||||
2005 - A | $ | 12.30 | $ | (0.01 | ) | $ | 0.06 | $ | 0.05 | $ | — | $ | — | $ | — | $ | — | |||||||||||||||||||
2005 - B | 12.01 | (0.06 | ) | 0.06 | — | — | — | — | — | |||||||||||||||||||||||||||
2005 - C | 11.99 | (0.06 | ) | 0.07 | 0.01 | — | — | — | — | |||||||||||||||||||||||||||
2005 - Institutional | 12.40 | 0.01 | 0.06 | 0.07 | — | — | — | — | ||||||||||||||||||||||||||||
2005 - Service | 12.24 | (0.02 | ) | 0.06 | 0.04 | — | — | — | — | |||||||||||||||||||||||||||
FOR THE YEARS ENDED DECEMBER 31, | ||||||||||||||||||||||||||||||||||||
2004 - A | 10.36 | 0.05 | 1.91 | 1.96 | (0.02 | ) | — | — | (0.02 | ) | ||||||||||||||||||||||||||
2004 - B | 10.18 | (0.04 | ) | 1.87 | 1.83 | — | — | — | — | |||||||||||||||||||||||||||
2004 - C | 10.17 | (0.03 | ) | 1.85 | 1.82 | — | — | — | — | |||||||||||||||||||||||||||
2004 - Institutional | 10.43 | 0.08 | 1.95 | 2.03 | (0.06 | ) | — | — | (0.06 | ) | ||||||||||||||||||||||||||
2004 - Service | 10.32 | 0.04 | 1.89 | 1.93 | (0.01 | ) | — | — | (0.01 | ) | ||||||||||||||||||||||||||
2003 - A | 7.72 | 0.04 | 2.66 | 2.70 | (0.06 | ) | — | — | (0.06 | ) | ||||||||||||||||||||||||||
2003 - B | 7.59 | (0.02 | ) | 2.61 | 2.59 | — | — | — | — | |||||||||||||||||||||||||||
2003 - C | 7.59 | (0.02 | ) | 2.60 | 2.58 | — | (d) | — | — | — | (d) | |||||||||||||||||||||||||
2003 - Institutional | 7.77 | 0.08 | 2.68 | 2.76 | (0.10 | ) | — | — | (0.10 | ) | ||||||||||||||||||||||||||
2003 - Service | 7.68 | 0.03 | 2.65 | 2.68 | (0.04 | ) | — | — | (0.04 | ) | ||||||||||||||||||||||||||
2002 - A | 9.25 | 0.02 | (1.55 | ) | (1.53 | ) | — | — | — | — | ||||||||||||||||||||||||||
2002 - B | 9.17 | (0.05 | ) | (1.53 | ) | (1.58 | ) | — | — | — | — | |||||||||||||||||||||||||
2002 - C | 9.16 | (0.05 | ) | (1.52 | ) | (1.57 | ) | — | — | — | — | |||||||||||||||||||||||||
2002 - Institutional | 9.27 | 0.04 | (1.54 | ) | (1.50 | ) | — | — | — | — | ||||||||||||||||||||||||||
2002 - Service | 9.21 | 0.01 | (1.54 | ) | (1.53 | ) | — | — | — | — | ||||||||||||||||||||||||||
2001 - A | 10.71 | (0.01 | ) | (1.45 | ) | (1.46 | ) | — | — | — | — | |||||||||||||||||||||||||
2001 - B | 10.70 | (0.08 | ) | (1.45 | ) | (1.53 | ) | — | — | — | — | |||||||||||||||||||||||||
2001 - C | 10.69 | (0.08 | ) | (1.45 | ) | (1.53 | ) | — | — | — | — | |||||||||||||||||||||||||
2001 - Institutional | 10.70 | 0.02 | (1.45 | ) | (1.43 | ) | — | — | — | — | ||||||||||||||||||||||||||
2001 - Service | 10.68 | (0.02 | ) | (1.45 | ) | (1.47 | ) | — | — | — | — | |||||||||||||||||||||||||
2000 - A | 12.61 | 0.03 | (1.49 | ) | (1.46 | ) | — | (0.15 | ) | (0.29 | ) | (0.44 | ) | |||||||||||||||||||||||
2000 - B | 12.57 | (0.06 | ) | (1.47 | ) | (1.53 | ) | — | (0.05 | ) | (0.29 | ) | (0.34 | ) | ||||||||||||||||||||||
2000 - C | 12.57 | (0.05 | ) | (1.47 | ) | (1.52 | ) | — | (0.07 | ) | (0.29 | ) | (0.36 | ) | ||||||||||||||||||||||
2000 - Institutional | 12.60 | 0.10 | (1.51 | ) | (1.41 | ) | — | (0.20 | ) | (0.29 | ) | (0.49 | ) | |||||||||||||||||||||||
2000 - Service | 12.59 | 0.04 | (1.51 | ) | (1.47 | ) | — | (0.15 | ) | (0.29 | ) | (0.44 | ) | |||||||||||||||||||||||
(a) | Calculated based on the average shares outstanding methodology. |
(b) | Assumes investment at the net asset value at the beginning of the period, reinvestment of all 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 returns for periods less than one full year are not annualized. Total return would be reduced if sales or redemption charges were taken into account. Returns do not reflect the deduction of taxes that a shareholder would pay on Portfolio distributions or the redemption of Portfolio shares. |
(c) | Expense ratios exclude expenses of the Underlying Funds. |
(d) | Amount is less than $.005 per share |
(e) | Annualized. |
36
Ratios assuming no | ||||||||||||||||||||||||||||||||||
expense reductions | ||||||||||||||||||||||||||||||||||
Ratio of | Ratio of | |||||||||||||||||||||||||||||||||
Net assets | Ratio of | net investment | Ratio of total | net investment | ||||||||||||||||||||||||||||||
Net asset | at end of | net expenses | income (loss) to | expenses to | income (loss) to | Portfolio | ||||||||||||||||||||||||||||
value, end | Total | period | to average | average | average | average | turnover | |||||||||||||||||||||||||||
of period | return(b) | (in 000s) | net assets(c) | net assets | net assets(c) | net assets | rate | |||||||||||||||||||||||||||
$ | 12.35 | 0.41 | % | $ | 78,688 | 0.59 | %(e) | (0.19)%(e) | 0.89 | %(e) | (0.49)%(e) | 17 | % | |||||||||||||||||||||
12.01 | 0.00 | 26,387 | 1.34 | (e) | (0.96)(e) | 1.64 | (e) | (1.26)(e) | 17 | |||||||||||||||||||||||||
12.00 | 0.08 | 51,546 | 1.34 | (e) | (0.94)(e) | 1.64 | (e) | (1.24)(e) | 17 | |||||||||||||||||||||||||
12.47 | 0.56 | 4,483 | 0.19 | (e) | 0.21 | (e) | 0.49 | (e) | (0.09)(e) | 17 | ||||||||||||||||||||||||
12.28 | 0.33 | 288 | 0.69 | (e) | (0.26)(e) | 0.99 | (e) | (0.56)(e) | 17 | |||||||||||||||||||||||||
12.30 | 18.91 | 70,961 | 0.58 | 0.43 | 0.99 | 0.02 | 36 | |||||||||||||||||||||||||||
12.01 | 17.98 | 27,582 | 1.33 | (0.38) | 1.74 | (0.79) | 36 | |||||||||||||||||||||||||||
11.99 | 17.90 | 44,582 | 1.33 | (0.31) | 1.74 | (0.72) | 36 | |||||||||||||||||||||||||||
12.40 | 19.46 | 4,247 | 0.18 | 0.74 | 0.59 | 0.33 | 36 | |||||||||||||||||||||||||||
12.24 | 18.73 | 165 | 0.68 | 0.37 | 1.09 | (0.04) | 36 | |||||||||||||||||||||||||||
10.36 | 35.02 | 52,088 | 0.60 | 0.50 | 1.03 | 0.07 | 36 | |||||||||||||||||||||||||||
10.18 | 34.12 | 24,879 | 1.35 | (0.27) | 1.78 | (0.70) | 36 | |||||||||||||||||||||||||||
10.17 | 34.05 | 30,706 | 1.35 | (0.22) | 1.78 | (0.65) | 36 | |||||||||||||||||||||||||||
10.43 | 35.51 | 4,881 | 0.20 | 0.88 | 0.63 | 0.45 | 36 | |||||||||||||||||||||||||||
10.32 | 34.97 | 130 | 0.70 | 0.30 | 1.13 | (0.13) | 36 | |||||||||||||||||||||||||||
7.72 | (16.54) | 39,214 | 0.60 | 0.22 | 1.06 | (0.24) | 27 | |||||||||||||||||||||||||||
7.59 | (17.23) | 21,105 | 1.35 | (0.58) | 1.81 | (1.04) | 27 | |||||||||||||||||||||||||||
7.59 | (17.14) | 20,740 | 1.35 | (0.54) | 1.81 | (1.00) | 27 | |||||||||||||||||||||||||||
7.77 | (16.18) | 3,961 | 0.20 | 0.48 | 0.66 | 0.02 | 27 | |||||||||||||||||||||||||||
7.68 | (16.61) | 125 | 0.70 | 0.11 | 1.16 | (0.35) | 27 | |||||||||||||||||||||||||||
9.25 | (13.63) | 48,639 | 0.59 | (0.11) | 0.97 | (0.49) | 43 | |||||||||||||||||||||||||||
9.17 | (14.30) | 30,013 | 1.34 | (0.87) | 1.72 | (1.25) | 43 | |||||||||||||||||||||||||||
9.16 | (14.31) | 25,571 | 1.34 | (0.86) | 1.72 | (1.24) | 43 | |||||||||||||||||||||||||||
9.27 | (13.36) | 7,248 | 0.19 | 0.25 | 0.57 | (0.13) | 43 | |||||||||||||||||||||||||||
9.21 | (13.76) | 153 | 0.69 | (0.20) | 1.07 | (0.58) | 43 | |||||||||||||||||||||||||||
10.71 | (11.47) | 53,480 | 0.59 | 0.28 | 0.99 | (0.12) | 19 | |||||||||||||||||||||||||||
10.70 | (12.07) | 39,885 | 1.34 | (0.49) | 1.74 | (0.89) | 19 | |||||||||||||||||||||||||||
10.69 | (12.00) | 32,695 | 1.34 | (0.42) | 1.74 | (0.82) | 19 | |||||||||||||||||||||||||||
10.70 | (11.07) | 6,011 | 0.19 | 0.84 | 0.59 | 0.44 | 19 | |||||||||||||||||||||||||||
10.68 | (11.55) | 146 | 0.69 | 0.30 | 1.09 | (0.10) | 19 | |||||||||||||||||||||||||||
Statement Regarding Basis for Approval of Management Agreement (Unaudited)
The Trustees oversee the management of Goldman Sachs Trust (the “Trust”), and review the investment performance and expenses of the investment portfolios covered by this Report (the “Portfolios”) at regularly scheduled meetings held during the Portfolios’ fiscal year. In addition, the Trustees determine annually whether to approve and continue the Trust’s investment management agreement (the “Management Agreement”) with Goldman Sachs Asset Management, L.P. (the “Investment Adviser”) for the Portfolios.
transactions by the Underlying Funds and sales loads on the sale of certain classes of shares offered by the Portfolios. The Trustees concluded that the Investment Adviser was both able to commit substantial financial and other resources to the operations of the Portfolios and had, in fact, committed those resources in multiple areas including portfolio management, trading, technology, human resources, tax, treasury, legal, compliance and risk management. The Trustees also believed that the Investment Adviser had made significant commitments to address new regulatory compliance requirements applicable to the Portfolios and the Investment Adviser, including education and training initiatives.
Fund Expenses (Unaudited) — Six Month Period Ended June 30, 2005
As a shareholder of Class A, Class B, Class C, Institutional or Service Shares of the Portfolios you incur two types of costs: (1) transaction costs, including sales charges (loads) on purchase payments (with respect to Class A Shares), contingent deferred sales charges (loads) on redemptions (with respect to Class B and Class C Shares), and redemption fees (with respect to Class A, Class B, Class C, Institutional and Service Shares, if any); and (2) ongoing costs, including management fees; distribution and service (12b-1) fees (with respect to Class A, Class B and Class C Shares); and other Fund expenses. This Example is intended to help you understand your ongoing costs (in dollars) of investing in Class A, Class B, Class C, Institutional and Service Shares of the Fund and to compare these costs with the ongoing costs of investing in other mutual funds. | |
The Example is based on an investment of $1,000 invested at the beginning of the period and held for the entire period from December 31, 2004 through June 30, 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 for 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 Portfolio’s actual expense ratios and an assumed rate of return of 5% per year before expenses, which is not the Portfolio’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 Funds and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds. |
Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transactional costs, such as sales charges (loads), redemption fees, or exchange fees. Therefore, the second line of the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transactional costs were included, your costs would have been higher. |
Balanced Strategy Portfolio | Growth and Income Strategy Portfolio | Growth Strategy Portfolio | Aggressive Growth Strategy Portfolio | |||||||||||||||||||||||||||||||||||||||||||||
Expenses | Expenses | Expenses | Expenses | |||||||||||||||||||||||||||||||||||||||||||||
Beginning | Ending | Paid for the | Beginning | Ending | Paid for the | Beginning | Ending | Paid for the | Beginning | Ending | Paid for the | |||||||||||||||||||||||||||||||||||||
Account | Account | 6 months | Account | Account | 6 months | Account | Account | 6 months | Account | Account | 6 months | |||||||||||||||||||||||||||||||||||||
Value | Value | ended | Value | Value | ended | Value | Value | ended | Value | Value | ended | |||||||||||||||||||||||||||||||||||||
Share Class | 12/31/04 | 06/30/05 | 06/30/05* | 12/31/04 | 06/30/05 | 06/30/05* | 12/31/04 | 06/30/05 | 06/30/05* | 12/31/04 | 06/30/05 | 06/30/05* | ||||||||||||||||||||||||||||||||||||
Class A | ||||||||||||||||||||||||||||||||||||||||||||||||
Actual | $ | 1,000.00 | $ | 1,006.40 | $ | 2.96 | $ | 1,000.00 | $ | 1,011.40 | $ | 2.96 | $ | 1,000.00 | $ | 1,007.60 | $ | 2.96 | $ | 1,000.00 | $ | 1,004.10 | $ | 2.96 | ||||||||||||||||||||||||
Hypothetical (5% return) | 1,000.00 | 1,021.85 | + | 2.98 | 1,000.00 | 1,021.85 | + | 2.98 | 1,000.00 | 1,021.85 | + | 2.98 | 1,000.00 | 1,021.85 | + | 2.98 | ||||||||||||||||||||||||||||||||
Class B | ||||||||||||||||||||||||||||||||||||||||||||||||
Actual | 1,000.00 | 1,002.60 | 6.67 | 1,000.00 | 1,006.70 | 6.69 | 1,000.00 | 1,003.40 | 6.67 | 1,000.00 | 1,000.00 | 6.66 | ||||||||||||||||||||||||||||||||||||
Hypothetical (5% return) | 1,000.00 | 1,018.13 | + | 6.72 | 1,000.00 | 1,018.13 | + | 6.72 | 1,000.00 | 1,018.13 | + | 6.72 | 1,000.00 | 1,018.13 | + | 6.72 | ||||||||||||||||||||||||||||||||
Class C | ||||||||||||||||||||||||||||||||||||||||||||||||
Actual | 1,000.00 | 1,002.80 | 6.67 | 1,000.00 | 1,007.00 | 6.69 | 1,000.00 | 1,003.40 | 6.68 | 1,000.00 | 1,000.80 | 6.67 | ||||||||||||||||||||||||||||||||||||
Hypothetical (5% return) | 1,000.00 | 1,018.13 | + | 6.72 | 1,000.00 | 1,018.13 | + | 6.72 | 1,000.00 | 1,018.13 | + | 6.72 | 1,000.00 | 1,018.13 | + | 6.72 | ||||||||||||||||||||||||||||||||
Institutional | ||||||||||||||||||||||||||||||||||||||||||||||||
Actual | 1,000.00 | 1,009.20 | 0.97 | 1,000.00 | 1,012.40 | 0.97 | 1,000.00 | 1,009.30 | 0.97 | 1,000.00 | 1,005.60 | 0.96 | ||||||||||||||||||||||||||||||||||||
Hypothetical (5% return) | 1,000.00 | 1,023.83 | + | 0.98 | 1,000.00 | 1,023.83 | + | 0.98 | 1,000.00 | 1,023.83 | + | 0.98 | 1,000.00 | 1,023.83 | + | 0.98 | ||||||||||||||||||||||||||||||||
Service | ||||||||||||||||||||||||||||||||||||||||||||||||
Actual | 1,000.00 | 1,005.80 | 3.45 | 1,000.00 | 1,009.90 | 3.46 | 1,000.00 | 1,006.80 | 3.45 | 1,000.00 | 1,003.30 | 3.45 | ||||||||||||||||||||||||||||||||||||
Hypothetical (5% return) | 1,000.00 | 1,021.35 | + | 3.48 | 1,000.00 | 1,021.35 | + | 3.48 | 1,000.00 | 1,021.35 | + | 3.48 | 1,000.00 | 1,021.35 | + | 3.48 | ||||||||||||||||||||||||||||||||
* | Expenses for each share class are calculated using the Portfolio’s expense ratio for each class, which represents the ongoing expenses as a percentage of net assets for the six months ended June 30, 2005. 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. Expense ratios for the most recent fiscal half year may differ from expense ratios based on one-year data in the financial highlights. The expense ratios for the period were as follows: |
Fund | Class A | Class B | Class C | Institutional | Service | |||||||||||||||
Balanced Strategy Portfolio | 0.59 | % | 1.34 | % | 1.34 | % | 0.19 | % | 0.69 | % | ||||||||||
Growth and Income Strategy Portfolio | 0.59 | 1.34 | 1.34 | 0.19 | 0.69 | |||||||||||||||
Growth Strategy Portfolio | 0.59 | 1.34 | 1.34 | 0.19 | 0.69 | |||||||||||||||
Aggressive Growth Strategy Portfolio | 0.59 | 1.34 | 1.34 | 0.19 | 0.69 | |||||||||||||||
+ | Hypothetical expenses are based on the Portfolio’s actual expense ratios and an assumed rate of return of 5% per year before expenses. |
40
F U N D S P R O F I L E Goldman Sachs Funds THE GOLDMAN SACHS ADVANTAGE Our goal is to deliver: Global Resources and Global Research Team Approach Disciplined Processes Strong,Consistent Investment Results Thoughtful Solutions Risk Management Innovative, Value-Added Investment Products Dedicated Service Teams Excellence and Integrity Outstanding Client Service 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 $462.9 billion in assets under management as of March 31, 2005 — our investment professionals bring firsthand knowledge of local markets to every investment decision, making us one of the few truly global asset managers. GOLDMAN SACHS FUNDS In building a globally diversified portfolio, you can select from more than 50 Goldman Sachs Funds and gain access to investment opportunities across borders, investment styles, asset classes and security capitalizations. MONEY MARKET FIXED INCOME SPECIALTY Lower Risk/Return HigherRisk/Return ASSET ALLOCATION PORTFOLIOS INTERNATIONAL EQUITY DOMESTIC EQUITY 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 Fund SM, Tollkeeper Fund SM and CORE SM are service marks of Goldman, Sachs & Co. International Equity Funds Asia Growth Fund Emerging Markets Equity Fund International Growth Opportunities Fund Japanese Equity Fund European Equity Fund International Equity Fund CORE SM International Equity Fund Domestic Equity Funds Small Cap Value Fund CORE SM Small Cap Equity Fund Small/Mid Cap Growth Fund Growth Opportunities Fund Mid Cap Value Fund Concentrated Growth Fund Research Select Fund SM Strategic Growth Fund Capital Growth Fund Large Cap Value Fund Growth and Income Fund CORE SM Large Cap Growth Fund CORE SM Large Cap Value Fund CORE SM U.S. Equity Fund Asset Allocation Funds Balanced Fund Asset Allocation Portfolios Specialty Funds Tollkeeper Fund SM CORE SM Tax-Managed Equity Fund Real Estate Securities Fund Fixed Income Funds Emerging Markets Debt Fund High Yield Fund High Yield Municipal Fund Global Income Fund Investment Grade Credit Fund Core Fixed Income Fund U.S. Mortgages Fund Municipal Income Fund Government Income Fund Short Duration Tax-Free Fund Short Duration Government Fund Ultra-Short Duration Government Fund Enhanced Income Fund Money Market Funds 1 C1 |
GOLDMAN SACHS ASSET MANAGEMENT, L.P. 32 OLD SLIP, 32ND FLOOR, NEW YORK, NEW YORK 10005 TRUSTEES Ashok N. Bakhru, Chairman John P. Coblentz, Jr. Patrick T. Harker Mary Patterson McPherson Alan A. Shuch Wilma J. Smelcer Richard P. Strubel Kaysie P. Uniacke OFFICERS Kaysie P. Uniacke, President James A. Fitzpatrick, Vice President James A. McNamara, Vice President John M. Perlowski, Treasurer Howard B. Surloff, Secretary Copyright 2005 Goldman, Sachs & Co. All rights reserved. Date of first use: August 29, 2005 05-1405 / AASAR / 46.4K / 08-05 GOLDMAN, SACHS & CO. Distributor and Transfer Agent GOLDMAN SACHS ASSET MANAGEMENT, L.P. Investment Adviser GOLDMAN SACHS ASSET MANAGEMENT INTERNATIONAL Christchurch Court 10-15 Newgate Street London, England EC1A 7HD 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 Funds use to determine how to vote proxies relating to portfolio securities and information regarding how a Fund voted proxies relating to portfolio securities during the most recent 12-month period ended June 30 is available (i) without charge, upon request by calling 1-800-526-7384 (for Retail Shareholders) or 1-800-621-2550 (for Institutional Shareholders); and (ii) on the Securities and Exchange Commission Web site at http://www.sec.gov. The Funds file their complete schedule of portfolio holdings with the Securities and Exchange Commission (“SEC”) for the first and third quarters of each fiscal year on Form N-Q. Beginning the fiscal quarter ended September 30, 2004 and every first and third fiscal quarter thereafter, the Funds’ Form N-Q will become available on the SEC’s website at http://www.sec.gov within 60 days after the Funds’ first and third fiscal quarters. When available, the Funds’ Forms N-Q may be reviewed and copied at the SEC’s Public Reference Room in Washington, D.C. and information on the operation of the Public Reference Room may be obtained by calling 1-800-SEC-0330.When available, 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). Asset Allocation Funds are subject to underlying fund expenses as well as the expenses of the portfolio, and the cost of this type of investment may be higher than a mutual fund that only invests in stocks and bonds. 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. Portfolios on the efficient frontier are optimal in both the sense that they offer maximal expected return for some given level of ris k and minimal risk for some given level of expected return. The efficient frontier is the line created from the risk-reward graph, comprised of optimal portfolios. The optimal portfolios plotted along the curve have the highest expected return possible for the given amount of risk. CORE SM is a service mark of Goldman, Sachs & Co. This material is not authorized for distribution to prospective investors unless preceded or accompanied by a current Prospectus. Please consider a Fund’s objectives, risks, and charges and expenses, and read the Prospectus carefully before investing. The Prospectus contains this and other information about the Funds. |
ITEM 2. | CODE OF ETHICS. — Not applicable to the Semi-Annual Report for the period ended June 30, 2005 |
ITEM 3. | AUDIT COMMITTEE FINANCIAL EXPERT. — Not applicable to the Semi-Annual Report for the period ended June 30, 2005 |
ITEM 4. | PRINCIPAL ACCOUNTANT FEES AND SERVICES. — Not applicable to the Semi-Annual Report for the period ended June 30, 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 and principal financial officers or persons performing similar functions have concluded that the registrant’s disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940, as amended (the “1940 Act”)) are effective as of a date within 90 days of the filing of this report that includes the disclosure required by this paragraph, based on the evaluation of these controls and procedures required by Rule 30a-3(b) under the 1940 Act and 15d-15(b) under the Securities Exchange Act of 1934, as amended. | ||
(b) | There were no changes in the registrant’s internal control over financial reporting (as defined in Rule 30a-3(d) under the 1940 Act) that occurred during the registrant’s second fiscal quarter of the period covered by this report that has materially affected, or is reasonably likely to materially affect the registrant’s internal control over financial reporting. | ||
ITEM 12. | EXHIBITS. |
(a)(1) | Goldman Sachs 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: | August 19, 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: | August 19, 2005 | |||||
By: | /s/ John M. Perlowski | |||||
John M. Perlowski | ||||||
Treasurer/Principal Financial Officer | ||||||
Goldman Sachs Trust | ||||||
Date: | August 19, 2005 |