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 Drive, Suite 500, Chicago, Illinois 60606
(Address of principal executive offices) (Zip code)
Peter V. Bonanno | Copies to: | |
Goldman, Sachs & Co. | Jeffrey A. Dalke, Esq. | |
One New York Plaza | Drinker Biddle & Reath LLP | |
New York, New York 10004 | One Logan Square | |
18th and Cherry Streets | ||
Philadelphia, PA 19103 | ||
(Name and address of agents for service) |
Registrant’s telephone number, including area code: (312) 655-4400
Date of fiscal year end: August 31
Date of reporting period: February 28, 2006
ITEM 1. | REPORTS TO STOCKHOLDERS. | |
The Semi–Annual Report to Stockholders is filed herewith. |
INTERNATIONAL EQUITY FUNDS | Semiannual Report February 28, 2006 |
Long-term capital growth potential through investments in equity markets located around the world. | |||
Asset Management |
Goldman Sachs International Equity Funds
n GOLDMAN SACHS EUROPEAN EQUITY FUND | |
n GOLDMAN SACHS INTERNATIONAL EQUITY FUND | |
n GOLDMAN SACHS JAPANESE EQUITY FUND | |
n GOLDMAN SACHS INTERNATIONAL SMALL CAP FUND | |
n GOLDMAN SACHS EMERGING MARKETS EQUITY FUND | |
n GOLDMAN SACHS ASIA EQUITY FUND | |
The European Equity Fund invests primarily in large-capitalization European equity investments and is subject to market risk so that the value of the securities in which it invests may go up or down in response to the prospects of individual companies, particular industry sectors and/or general economic conditions. Because of its focus, the Fund will be more susceptible to European economic, market, political and local risks than a fund that is more geographically diversified. |
The International Equity Fund invests in equity investments in companies that are organized outside the United States or whose securities are principally traded outside the United States and is subject to market risk so that the value of the securities in which it invests may go up or down in response to the prospects of individual companies, particular industry sectors and/or general economic conditions. Foreign and emerging market securities may be more volatile than investments in U.S. securities and will be subject to the risks of currency fluctuations and sudden economic or political developments. At times, the Fund may be unable to sell certain of its portfolio securities without a substantial drop in price, if at all.
The Japanese Equity Fund invests primarily in Japanese equity investments and is subject to market risk so that the value of the securities in which it invests may go up or down in response to the prospects of individual companies, particular industry sectors and/or general economic conditions. Because of its focus, the Fund will be more susceptible to Japanese economic, market, political and local risks than a fund that is more geographically diversified.
The International Small Cap Fund invests primarily in small and mid-capitalization companies organized outside the United States or whose securities are principally traded outside the United States and is subject to market risk so that the value of the securities in which it invests may go up or down in response to the prospects of individual companies, particular industry sectors and/or general economic conditions. Stocks of mid and small-capitalization companies involve greater risks than those associated with larger, more established companies and may be subject to more abrupt or erratic price movements. At times, the Fund may be unable to sell certain of its portfolio securities without a substantial drop in price, if at all.
The Emerging Markets Equity Fund invests primarily in securities of issuers in countries with emerging markets or economies and is subject to market risk so that the value of the securities in which it invests may go up or down in response to the prospects of individual companies, particular industry sectors and/or general economic conditions. Emerging markets securities are volatile, less liquid and are subject to substantial currency fluctuations and sudden economic and political developments. The securities markets of emerging countries have less government regulation and are subject to less extensive accounting and financial reporting requirements than the markets of more developed countries. At times, the Fund may be unable to sell certain of its portfolio securities without a substantial drop in price, if at all.
The Asia Equity Fund invests primarily in Asian equity investments and is subject to market risk so that the value of the securities in which it invests may go up or down in response to the prospects of individual companies, particular industry sectors and/or general economic conditions. Because of its focus, the Fund will be more susceptible to Asian economic, market, political and local risks than a fund that is more geographically diversified.
Effective December 30, 2005, the International Growth Opportunities Fund was renamed the International Small Cap Fund, and the Asia Growth Fund was renamed the Asia Equity Fund.
NOT FDIC-INSURED | May Lose Value | No Bank Guarantee | ||
What Differentiates Goldman Sachs’
Goldman Sachs’ International Equity strategy is based on the belief that strong, consistent results are best achieved through expert stock selection performed by research teams working together on a global scale. Our deep, diverse and experienced team of research analysts and portfolio managers combines local insights with global, industry-specific expertise to identify their best investment ideas.
n Fundamental research teams based in London,Tokyo, Singapore, New York and Tampa focus on long-term business and management quality n Analysts collaborate regularly in global sector teams to leverage industry-specific research and insights n Global perspective is informed by local market expertise n A common valuation framework, focusing on long-term earnings power, ensures consistency when valuing and comparing a company to its peers globally n Team of experienced portfolio managers with sector expertise n Team leverages the research of the 75+ regional investment professionals n Decision making process is informed by active participation in the global research process n Security selections are aligned with level of investment conviction n Risk monitoring considers whether investment and other risks to the Portfolio are intended and justified n Dedicated portfolio construction team assists in ongoing monitoring and adjustment of portfolios International equity portfolios that strive to offer: n Access to markets across the world n Disciplined approach to stock selection n Optimal risk/return profiles |
European Equity Fund
Dear Shareholder,
This report provides an overview on the performance of the Goldman Sachs European Equity Fund during the six-month reporting period that ended February 28, 2006.
Performance Review
Over the six-month period that ended February 28, 2006, the Fund’s Class A, B, C, Institutional and Service Shares generated cumulative total returns, without sales charges, of 10.01%, 9.64%, 9.73%, 10.26% and 9.99%, respectively. These returns compare to the 11.40% cumulative total return of the Fund’s benchmark, the Morgan Stanley Capital International (MSCI) Europe Index (unhedged, with dividends reinvested), over the same time period. | |
While the Fund generated solid returns during the reporting period, it underperformed its benchmark. Strong stock selection within the Industrials and Health Care sectors was offset by weak stock selection within the Materials and Telecommunication Services sectors. | |
At the stock-specific level, Vedior NV, a recruitment consultant, was the top contributor to performance over the reporting period. We initiated this position towards the end of 2005 as we felt the stock was attractively valued and that the French employment picture would start to recover in 2006. Its shares rallied sharply in February 2006 after the company announced very strong results, beating consensus estimates and prompting an increase in full-year consensus estimates. | |
Syngenta, one of the world’s leading agrochemicals companies, also contributed to performance after it reported better-than- expected third-quarter 2005 sales and then announced strong results for 2005 as a whole. We subsequently sold the stock following its strong run as it reached our price target. | |
France Telecom SA, one of Europe’s largest telecommunications operators, was the leading detractor from performance. The company lowered its full-year revenue guidance in October 2005 and then, in January 2006, released a disappointing outlook for the upcoming year. This prompted downgrades to earnings estimates. In addition, heightening competition, growing investment requirements, and increasing acquisition activity depressed the telecom sector’s performance. However, we continue to like France Telecom for its strong and diversified portfolio of businesses and attractive valuation. | |
Vodafone Group PLC, the world’s largest mobile telecommunications company, also detracted from performance. Its shares fell sharply in November 2005 after it indicated that margins would fall in 2006 because of continued heavy investment in its troubled Japanese subsidiary and intensifying competition in its core European markets. The European wireless sector as a whole underperformed during the period on the back of continued concerns over the sector’s long-term profitability. While we acknowledge that earnings visibility within the mobile sector has decreased, we continue to believe that Vodafone’s scale affords it the best position within the industry as the company enjoys competitive advantages in terms of both purchasing power and brand recognition. In addition, we believe that the stock is attractively valued. |
Portfolio Composition
We believe that outperformance is generated by investing in high quality companies run by strong managements that have long-term earnings power not reflected in the valuation of their shares. | |
During the reporting period, the Fund was overweight in the Materials and Health Care sectors and underweight in the Consumer Staples and Utilities sectors. |
Portfolio Highlights
Although the Fund underperformed its benchmark during the reporting period, there were a number of holdings that enhanced results, including the following: | |
n | Credit Agricole SA — Credit Agricole, a leading French retail bank and life insurer, contributed positively to performance. Its shares rose sharply in September 2005 after it reported better-than-expected first half results, prompting several analyst upgrades. In addition, its recently presented business plan focused on improving the efficiency of its retail networks in France and investing five billion euros in small acquisitions to increase its distribution power outside France. |
n | ING Groep NV — ING, a leading Dutch life insurer, also contributed to performance. Its shares outperformed in the fourth quarter 2005 after it reported a 21% increase in third-quarter net profits, which was significantly ahead of consensus estimates and prompted several analyst upgrades. ING Direct, the company’s on-line banking unit, and its life insurance business both produced better-than-expected results. |
n | Old Mutual PLC — UK-based life insurance company Old Mutual enhanced results during the reporting period. Its shares rose following news that the company successfully acquired Skandia, a Swedish life insurer. We believe Old Mutual currently trades at a discount relative to the European life insurance industry. |
We thank you for your investment and look forward to your continued confidence. | |
Goldman Sachs European Equity Investment Team | |
London, March 17, 2006 |
European Equity Fund
PERFORMANCE REVIEW |
Fund Total Return | MSCI Europe Index | |||||||||
September 1, 2005–February 28, 2006 | (based on NAV)1 | (unhedged)2 | ||||||||
Class A | 10.01 | % | 11.40 | % | ||||||
Class B | 9.64 | 11.40 | ||||||||
Class C | 9.73 | 11.40 | ||||||||
Institutional | 10.26 | 11.40 | ||||||||
Service | 9.99 | 11.40 | ||||||||
1 | The net asset value (NAV) represents the net assets of the class of the Fund (ex-dividend) divided by the total number of shares of the class outstanding. The Fund’s performance reflects the reinvestment of dividends and other distributions. The Fund’s performance does not reflect the deduction of any applicable sales charges. |
2 | The MSCI Europe Index (unhedged) is an unmanaged index of common stock prices. The Index figures do not reflect any deduction for fees, expenses or taxes. It is not possible to invest directly in an unmanaged index. |
STANDARDIZED TOTAL RETURNS3 |
For the period ended 12/31/05 | One Year | Five Years | Since Inception | Inception Date | ||||||||||||||
Class A | 4.15 | % | 1.85 | % | 6.03 | % | 10/1/98 | |||||||||||
Class B | 4.34 | 2.01 | 6.27 | 10/1/98 | ||||||||||||||
Class C | 8.44 | 2.41 | 6.29 | 10/1/98 | ||||||||||||||
Institutional | 10.64 | 3.58 | 7.49 | 10/1/98 | ||||||||||||||
Service | 10.15 | 3.11 | 7.00 | 10/1/98 | ||||||||||||||
3 | The Standardized Total Returns are average annual total returns or cumulative total returns (only if the performance period is one year or less) as of the most recent calendar quarter-end. They assume reinvestment of all distributions at NAV. These returns reflect a maximum initial sales charge of 5.5% for Class A Shares, the assumed contingent deferred sales charge for Class B Shares (5% maximum declining to 0% after six years) and the assumed contingent deferred sales charge for Class C Shares (1% if redeemed within 12 months of purchase). Because Institutional and Service Shares do not involve a sales charge, such a charge is not applied to their Standardized Total Returns. The Fund will charge a 2% redemption fee on the redemption of shares (including by exchange) held for 30 calendar days or less. The performance figures do not reflect the deduction of the redemption fee. If reflected, the redemption fee would reduce the performance quoted. |
The returns represent past performance. Past performance does not guarantee future results. The Fund’s investment return and principal value will fluctuate so that 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 performance quoted above. Please visit our Web site at: www.gs.com/funds to obtain the most recent month-end returns. Performance reflects expense limitations in effect. In their absence, performance would be reduced. Returns do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares. |
TOP 10 HOLDINGS AS OF 2/28/064 |
Holding | % of Net Assets | Line of Business | ||||||
Total SA Class B | 5.8 | % | Energy | |||||
GlaxoSmithKline PLC | 4.2 | Pharmaceuticals & Biotechnology | ||||||
Royal Bank of Scotland Group PLC | 4.0 | Banks | ||||||
Novartis AG | 4.0 | Pharmaceuticals & Biotechnology | ||||||
Credit Suisse Group | 3.8 | Diversified Financials | ||||||
Royal Dutch Shell PLC ADR Series B | 3.6 | Energy | ||||||
Vodafone Group PLC | 3.2 | Telecommunication Services | ||||||
Banco Bilbao Vizcaya Argentaria SA | 3.2 | Banks | ||||||
Banco Santander Central Hispano SA | 3.1 | Banks | ||||||
Prudential PLC | 3.1 | Insurance | ||||||
4 | The top 10 holdings may not be representative of the Fund’s future investments. |
International Equity Fund
Dear Shareholder,
This report provides an overview on the performance of the Goldman Sachs International Equity Fund during the six-month reporting period that ended February 28, 2006.
Performance Review
Over the six-month period that ended February 28, 2006, the Fund’s Class A, B, C, Institutional and Service Shares generated cumulative total returns, without sales charges, of 14.16%, 13.75%, 13.79%, 14.38% and 14.09%, respectively. These returns compare to the 15.23% cumulative total return of the Fund’s benchmark, the Morgan Stanley Capital International (MSCI) Europe, Australasia, Far East Index (EAFE) (unhedged, with dividends reinvested), over the same time period. | |
During the reporting period, the Fund generated solid results but underperformed its benchmark. Strong stock selection in the Financials, Energy, and Information Technology sectors contributed to results, while weak stock selection in the Consumer Discretionary and Telecommunication Services sectors detracted from relative performance. | |
At the stock-specific level, LUKOIL ADR, Russia’s biggest oil producer, was the leading contributor to performance. The company’s shares rose on the back of the company’s strong third quarter 2005 results. High oil prices and production drove record earnings for the company, beating analysts’ expectations. | |
Millea Holdings, Inc., a Japanese insurance holding company, contributed significantly to performance. Its shares rose as its revenue growth gained momentum, especially in corporate areas, supported by a stronger economic environment. In addition, since Millea holds a significant amount of equity holdings, its stock performed well because of the strong overall equity market, implying large unrealized gains on Millea’s equity portfolio. | |
France Telecom SA, one of Europe’s largest telecommunications operators, was the leading detractor from performance. The company lowered its full-year revenue guidance in October 2005 and then in January 2006 released a disappointing outlook for the upcoming year. This prompted downgrades to earnings estimates. In addition, heightening competition, growing investment requirements, and increasing acquisition activity depressed the telecom sector’s performance. We continue to like France Telecom for its strong and diversified portfolio of businesses and attractive valuation. | |
Vodafone Group PLC, the world’s largest mobile telecommunications company, also detracted from performance. Its shares fell sharply in November 2005 after it indicated that margins would fall in 2006 because of continued heavy investment in its troubled Japanese subsidiary and intensifying competition in its core European markets. The European wireless sector as a whole underperformed during the period on the back of continued concerns over the sector’s long-term profitability. While we acknowledge that earnings visibility within the mobile sector has decreased, we continue to believe that Vodafone’s scale affords it the best position within the industry as the company enjoys competitive advantages in terms of both purchasing power and brand recognition. In addition, we believe that the stock is attractively valued. |
Portfolio Composition
Throughout the period, we continued to focus on high quality companies that have strong franchises and excellent management teams, and which can demonstrate long-term earnings power. We believe these types of organizations have the potential to perform well across the market cycle when purchased at attractive prices. Stock selection has led to overweight positions in the Telecommunication Services, Consumer Discretionary, Materials, and Health Care sectors and underweight positions in the Industrials, Consumer Staples, Financials, Utilities, Information Technology and Energy sectors. |
Portfolio Highlights
Although the Fund underperformed its benchmark during the reporting period, there were a number of holdings that enhanced results, including the following: | |
n | Mitsui Fudosan — Mitsui Fudosan, a Japanese real estate service provider, contributed to performance during the period. We subsequently exited the position on the back of strong returns for the past two years and following meetings with management in Tokyo. Its shares had reached our price target and during our meetings it became clear that the scope for further upgrades to the operating cash flows from the office leasing business were limited, as the company’s raising of its office rents was progressing slower than expected. |
n | Hon Hai Precision Industry Co. Ltd. GDR — Hon Hai, a large Taiwan-based exporter of electronics, contributed to performance after it reported record sales for December 2005, driven by strong overseas demand for electronic products such as the iPod Nano and PlayStation Portable. The stock continued to rise on expectations that better-than-expected sales at its customer, Apple Computer, Inc., should increase orders at Hon Hai. |
n | Credit Agricole SA — Credit Agricole, a leading French retail bank and life insurer, contributed positively to performance. Its shares rose sharply in September 2005 after it reported better-than-expected first half results, prompting several analyst upgrades. In addition, its recently presented business plan focused on improving the efficiency of its retail networks in France and investing five billion euros in small acquisitions to increase its distribution power outside France. These plans were well received by investors. |
We thank you for your investment and look forward to your continued confidence. | |
Goldman Sachs London Active Equity Team | |
London, March 17, 2006 |
International Equity Fund
PERFORMANCE REVIEW |
September 1, 2005–February 28, 2006 | Fund Total Return (based on NAV)1 | MSCI EAFE Index (unhedged)2 | ||||||||
Class A | 14.16 | % | 15.23 | % | ||||||
Class B | 13.75 | 15.23 | ||||||||
Class C | 13.79 | 15.23 | ||||||||
Institutional | 14.38 | 15.23 | ||||||||
Service | 14.09 | 15.23 | ||||||||
1 | The net asset value (NAV) represents the net assets of the class of the Fund (ex-dividend) divided by the total number of shares of the class outstanding. The Fund’s performance reflects the reinvestment of dividends and other distributions. The Fund’s performance does not reflect the deduction of any applicable sales charges. |
2 | The MSCI EAFE Index (unhedged) is a market capitalization-weighted composite of securities in 21 developed markets. The Index is unmanaged and the figures for the Index do not include any deduction for fees, expenses or taxes. It is not possible to invest directly in an unmanaged index. |
STANDARDIZED TOTAL RETURNS3 |
For the period ended 12/31/05 | One Year | Five Years | Ten Years | Since Inception | Inception Date | |||||||||||||||||
Class A | 7.27 | % | 0.30 | % | 5.29 | % | 6.44 | % | 12/1/92 | |||||||||||||
Class B | 7.67 | 0.45 | n/a | 4.34 | 5/1/96 | |||||||||||||||||
Class C | 11.66 | 0.85 | n/a | 2.68 | 8/15/97 | |||||||||||||||||
Institutional | 13.97 | 2.02 | n/a | 6.28 | 2/7/96 | |||||||||||||||||
Service | 13.40 | 1.51 | 5.994 | 6.984 | 12/1/92 | |||||||||||||||||
3 | The Standardized Total Returns are average annual total returns or cumulative total returns (only if the performance period is one year or less) as of the most recent calendar quarter-end. They assume reinvestment of all distributions at NAV. These returns reflect a maximum initial sales charge of 5.5% for Class A Shares 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. The Fund will charge a 2% redemption fee on the redemption of shares (including by exchange) held for 30 calendar days or less. The performance figures do not reflect the deduction of the redemption fee. If reflected, the redemption fee would reduce the performance quoted. |
4 | Performance data for Service Shares prior to 3/6/96 (commencement of operations) is that of Class A Shares (excluding the impact of front-end sales charges applicable to Class A Shares since Service Shares are not subject to any sales charges). Performance of Class A Shares of the International Equity Fund reflects the expenses applicable to the Fund’s Class A Shares. The fees applicable to Service Shares are different from those applicable to Class A Shares which impact performance ratings and rankings for a class of shares. |
The returns represent past performance. Past performance does not guarantee future results. The Fund’s investment return and principal value will fluctuate so that 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 performance quoted above. Please visit our Web site at: www.gs.com/funds to obtain the most recent month-end returns. Performance reflects expense limitations in effect. In their absence, performance would be reduced. Returns do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares. |
TOP 10 HOLDINGS AS OF 2/28/065 |
Holding | % of Net Assets | Line of Business | ||||||
Total SA Class B | 3.7 | % | Energy | |||||
Millea Holdings, Inc. | 3.7 | Insurance | ||||||
E. ON AG | 3.4 | Utilities | ||||||
TNT NV | 3.1 | Transportation | ||||||
GlaxoSmithKline PLC | 3.1 | Pharmaceuticals & Biotechnology | ||||||
Svenska Cellulosa AB (SCA) Series B | 3.0 | Materials | ||||||
Novartis AG | 2.9 | Pharmaceuticals & Biotechnology | ||||||
Taiheiyo Cement Corp. | 2.8 | Materials | ||||||
Credit Saison Co. Ltd. | 2.7 | Diversified Financials | ||||||
Esprit Holdings Ltd. | 2.7 | Retailing | ||||||
5 | The top 10 holdings may not be representative of the Fund’s future investments. |
Japanese Equity Fund
Dear Shareholder,
This report provides an overview on the performance of the Goldman Sachs Japanese Equity Fund during the six-month reporting period that ended February 28, 2006.
Performance Review
Over the six-month period that ended February 28, 2006, the Fund’s Class A, B, C, Institutional and Service Shares generated cumulative total returns, without sales charges, of 25.50%, 25.06%, 25.11%, 25.83% and 25.50%, respectively. These returns compare to the 25.91% cumulative total return of the Fund’s benchmark, the Tokyo Price Index (TOPIX) (unhedged, with dividends reinvested), over the same time period. | |
The Japanese equity market rose sharply during the reporting period. This was driven by strong corporate earnings, an improving economy, and buoyant capital expenditures. In addition, cost reductions enhanced corporate profitability. The Fund generated solid returns during the reporting period and performed largely in line with its benchmark. | |
Overall, both stock selection and sector weightings contributed positively to Fund performance. In particular, the Fund’s Finance, Steel, and Real Estate stocks enhanced results. In contrast, the Fund’s positions in Precision Instruments and Retail detracted from results. Among the top contributors to performance were Leopalace21 Corp., Urban Corp., and Sumitomo Metal. | |
An example of a stock that detracted from performance was KDDI Corp. The company is a major mobile phone operator and long-distance telephone service provider. Though its fundamentals are improving due to an expanding share of new subscribers and improving average revenue per subscriber, the market focused on intensifying competition in the industry from new entrants. This pushed stock prices down across the sector. |
Portfolio Composition
In managing the Fund, we seek to generate above-average returns over time through careful bottom-up stock selection based on extensive, firsthand fundamental research and a long-term investment horizon. Given this process, the Fund’s sector weightings are the by-product of individual stock holdings rather than sector-based decisions. As of February 28, 2006, the Fund held overweight positions in Chemicals, Glass/ Ceramic, and Finance. Conversely, it had underweights in the Telecommunications, Banks, and Electricity/ Gas industries. |
Portfolio Highlights
There were a number of holdings that enhanced results during the reporting period, including the following: | |
n | Leopalace21 Corp. — Leopalace21 is engaged in the construction and subleasing of Leopalace21-brand apartment houses. The stock performed well on the back of strong real estate sector performance during the period. |
n | Urban Corp. — Urban Corp. is a retail property developer and sales agent. It is also engaged in the redevelopment of non- performing property assets and real estate funds management. Its shares rose during the period due to a combination of favorable conditions in the retail property market. In addition, the company experienced a rapid expansion in its funds management business, which has resulted in strong earnings growth. |
n | Sumitomo Metal — Sumitomo Metal is a major integrated steel maker and a leading crude steel producer. Rising steel prices have helped steel makers in general perform well and Sumitomo Metal performed better than its peers did. We believe this was due to its product mix, which includes steel tube and pipes. This segment of the steel business is facing a tight supply/demand environment. We eliminated the position during the reporting period to capture profits. |
We thank you for your investment and look forward to your continued confidence. | |
Goldman Sachs Japanese Equity Team | |
Tokyo, March 17, 2006 |
Japanese Equity Fund
PERFORMANCE REVIEW |
September 1, 2005–February 28, 2006 | Fund Total Return (based on NAV)1 | TOPIX (unhedged)2 | ||||||||
Class A | 25.50 | % | 25.91 | % | ||||||
Class B | 25.06 | 25.91 | ||||||||
Class C | 25.11 | 25.91 | ||||||||
Institutional | 25.83 | 25.91 | ||||||||
Service | 25.50 | 25.91 | ||||||||
1 | The net asset value (NAV) represents the net assets of the class of the Fund (ex-dividend) divided by the total number of shares of the class outstanding. The Fund’s performance reflects the reinvestment of dividends and other distributions. The Fund’s performance does not reflect the deduction of any applicable sales charges. |
2 | The TOPIX (unhedged, with dividends reinvested) is an unmanaged composite of all stocks on the first section of the Tokyo Stock Exchange. The Index figures do not reflect any deduction for fees, expenses or taxes. It is not possible to invest directly in an unmanaged index. |
STANDARDIZED TOTAL RETURNS3 |
For the period ended 12/31/05 | One Year | Five Years | Since Inception | Inception Date | ||||||||||||||
Class A | 23.55 | % | -0.05 | % | 4.41 | % | 5/1/98 | |||||||||||
Class B | 24.90 | 0.06 | 4.60 | 5/1/98 | ||||||||||||||
Class C | 28.83 | 0.49 | 4.61 | 5/1/98 | ||||||||||||||
Institutional | 31.36 | 1.62 | 5.77 | 5/1/98 | ||||||||||||||
Service | 30.83 | 1.30 | 5.35 | 5/1/98 | ||||||||||||||
3 | The Standardized Total Returns are average annual total returns or cumulative total returns (only if the performance period is one year or less) as of the most recent calendar quarter-end. They assume reinvestment of all distributions at NAV. These returns reflect a maximum initial sales charge of 5.5% for Class A Shares, the assumed contingent deferred sales charge for Class B Shares (5% maximum declining to 0% after six years) and the assumed contingent deferred sales charge for Class C Shares (1% if redeemed within 12 months of purchase). Because Institutional and Service Shares do not involve a sales charge, such a charge is not applied to their Standardized Total Returns. The Fund will charge a 2% redemption fee on the redemption of shares (including by exchange) held for 30 calendar days or less. The performance figures do not reflect the deduction of the redemption fee. If reflected, the redemption fee would reduce the performance quoted. |
The returns represent past performance. Past performance does not guarantee future results. The Fund’s investment return and principal value will fluctuate so that 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 performance quoted above. Please visit our Web site at: www.gs.com/funds to obtain the most recent month-end returns. Performance reflects expense limitations in effect. In their absence, performance would be reduced. Returns do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares. |
TOP 10 HOLDINGS AS OF 2/28/064 |
Holding | % of Net Assets | Line of Business | ||||||
Mitsubishi Tokyo Financial Group, Inc. | 3.4 | % | Banks | |||||
Toyota Motor Corp. | 3.4 | Automobiles | ||||||
Sumitomo Mitsui Financial Group, Inc. | 3.2 | Banks | ||||||
Ricoh Co. Ltd. | 2.7 | Electronic Equipment | ||||||
KDDI Corp. | 2.5 | Fixed-Line Telecommunication Services | ||||||
ORIX Corp. | 2.4 | Consumer Finance | ||||||
The Chiba Bank Ltd. | 2.3 | Banks | ||||||
Asahi Glass Co. Ltd. | 2.3 | Building & Construction Materials | ||||||
Nissan Motor Co. Ltd. | 2.1 | Automobiles | ||||||
Kubota Corp. | 2.0 | Engineering — General | ||||||
4 | The top 10 holdings may not be representative of the Fund’s future investments. |
International Small Cap Fund
Dear Shareholder,
This report provides an overview on the performance of the Goldman Sachs International Small Cap Fund during the six-month reporting period that ended February 28, 2006.
Performance Review
Over the six-month period that ended February 28, 2006, the Fund’s Class A, B, C, Institutional and Service Shares generated cumulative total returns, without sales charges, of 17.10%, 16.66%, 16.66%, 17.27% and 17.00%, respectively. These returns compare to the 17.83% cumulative total return of the Fund’s benchmark, the Morgan Stanley Capital International (MSCI) Europe, Australasia, Far East (EAFE) Small Cap Index (unhedged with dividends reinvested), over the same time period. | |
During the reporting period, the Fund generated positive results but lagged its benchmark. The Fund’s position in Techtronic Industries Co. Ltd., a Hong Kong-based manufacturer of outdoor power equipment and floor care appliances, was the leading detractor from performance during the period. The company’s share price fell in January 2006 after Home Depot, one of Techtronic’s largest customers, delayed a large order across all of its suppliers of outdoor power equipment and floor care appliances. This led to a profit warning by Techtronics. This slowdown in orders for Techtronics was not particular to the company, as the delay was across Home Depot’s entire supply chain. In addition, Techtronics has been increasing market share through growth in different segments of the market and we believe it is also a beneficiary of the global outsourcing trend to Asia. | |
March Networks Corp., a UK provider of digital surveillance security solutions, was the leading positive contributor to performance during the period as it announced solid preliminary results for the fiscal second quarter 2006. The company generated strong earnings and revenue growth, driven by a significant increase in orders from new and existing customers for its digital video recorder. March Networks also raised its guidance for the second time in twelve months. |
Portfolio Composition
We maintain our focus on individual security selection rather than taking large sector and country under- or overweight positions. In addition, we strive to own quality businesses with enduring franchises and exceptional managements that have the potential to perform well in a variety of markets. We believe that value is created through rigorous fundamental analysis that identifies small-cap companies operating in clear and defensible market niches. Additionally, these companies might be well positioned to benefit from structural change in the marketplace. During the period, the Fund was overweight in the Industrials and Consumer Discretionary sectors and underweight in the Financials, Consumer Staples, and Materials sectors. |
Portfolio Highlights
Although the Fund underperformed its benchmark during the reporting period, there were a number of holdings that enhanced results, including the following: | |
n | Valkyries Petroleum Corp. — Valkyries Petroleum is a Canadian oil-exploration company. It performed strongly, especially since the start of 2006, after rival exploration company Lukoil announced a significant oil find in a field adjacent to one currently being explored by Valkyries. This increased the attractiveness of the area in general and pushed up Valkyries’ share price. The company is now on track with its drilling program for 2006 and has executed well on its business plan thus far. |
n | Interhyp AG — The share price of Interhyp, a German mortgage provider, rose during the period driven by an increase in residential mortgage demand. The company has been increasing its share of a market that is characterized by low penetration and experiencing a general pick up in growth after a long period of below-average growth. |
n | Tocalo Co. Ltd. — Tocalo is a leader in thermal spray coating technology in Japan. Its shares rose after announcing first-half results that were ahead of expectations on the back of an increase in Japanese industrial production. The company’s share price also benefited from an improved outlook for semiconductor manufacturing equipment. Approximately 40% of the company’s sales are for semiconductor production equipment and LCD manufacturing equipment. |
We thank you for your investment and look forward to your continued confidence. | |
Goldman Sachs International Small Cap Equity Investment Team | |
London, March 17, 2006 |
International Small Cap Fund
PERFORMANCE REVIEW |
September 1, 2005–February 28, 2006 | Fund Total Return (based on NAV)1 | MSCI EAFE Small Cap Index (unhedged)2 | ||||||||
Class A | 17.10 | % | 17.83 | % | ||||||
Class B | 16.66 | 17.83 | ||||||||
Class C | 16.66 | 17.83 | ||||||||
Institutional | 17.27 | 17.83 | ||||||||
Service | 17.00 | 17.83 | ||||||||
1 | The net asset value (NAV) represents the net assets of the class of the Fund (ex-dividend) divided by the total number of shares of the class outstanding. The Fund’s performance reflects the reinvestment of dividends and other distributions. The Fund’s performance does not reflect the deduction of any applicable sales charges. |
2 | The MSCI EAFE Small Cap Index (unhedged) includes approximately 1,000 securities from 21 developed markets with a capitalization range between $200 million and $1.5 billion and a general regional allocation of 55% Europe, 31% Japan and 14% Australasia. The Index figures do not reflect any deduction for fees, expenses or taxes. It is not possible to invest directly in an unmanaged index. |
STANDARDIZED TOTAL RETURNS3 |
For the period ended 12/31/05 | One Year | Five Years | Since Inception | Inception Date | ||||||||||||||
Class A | 13.71 | % | 6.30 | % | 8.27 | % | 5/1/98 | |||||||||||
Class B | 14.29 | 6.53 | 8.49 | 5/1/98 | ||||||||||||||
Class C | 18.38 | 6.84 | 8.48 | 5/1/98 | ||||||||||||||
Institutional | 20.74 | 8.09 | 9.71 | 5/1/98 | ||||||||||||||
Service | 20.19 | 7.57 | 9.15 | 5/1/98 | ||||||||||||||
3 | The Standardized Total Returns are average annual total returns or cumulative total returns (only if the performance period is one year or less) as of the most recent calendar quarter-end. They assume reinvestment of all distributions at NAV. These returns reflect a maximum initial sales charge of 5.5% for Class A Shares, the assumed contingent deferred sales charge for Class B Shares (5% maximum declining to 0% after six years) and the assumed contingent deferred sales charge for Class C Shares (1% if redeemed within 12 months of purchase). Because Institutional and Service Shares do not involve a sales charge, such a charge is not applied to their Standardized Total Returns. The Fund will charge a 2% redemption fee on the redemption of shares (including by exchange) held for 30 calendar days or less. The performance figures do not reflect the deduction of the redemption fee. If reflected, the redemption fee would reduce the performance quoted. |
The returns represent past performance. Past performance does not guarantee future results. The Fund’s investment return and principal value will fluctuate so that 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 performance quoted above. Please visit our Web site at: www.gs.com/funds to obtain the most recent month-end returns. Performance reflects expense limitations in effect. In their absence, performance would be reduced. Returns do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares. |
TOP 10 HOLDINGS AS OF 2/28/064 |
Holding | % of Net Assets | Line of Business | ||||||
Greek Organization of Football Prognostics | 1.7 | % | Consumer Services | |||||
Valentino Fashion Group SpA | 1.6 | Consumer Durables & Apparel | ||||||
Dawnay Day Carpathian PLC | 1.6 | Real Estate | ||||||
Nissha Printing Co. Ltd. | 1.6 | Commercial Services & Supplies | ||||||
CKD Corp. | 1.5 | Capital Goods | ||||||
Carter & Carter Group PLC | 1.5 | Commercial Services & Supplies | ||||||
Tocalo Co. Ltd. | 1.4 | Capital Goods | ||||||
Ballast Nedam NV | 1.4 | Capital Goods | ||||||
ElringKlinger AG | 1.4 | Automobiles & Components | ||||||
Buhrmann NV | 1.4 | Commercial Services & Supplies | ||||||
4 | The top 10 holdings may not be representative of the Fund’s future investments. |
Emerging Markets Equity Fund
Dear Shareholder,
This report provides an overview on the performance of the Goldman Sachs Emerging Markets Equity Fund during the six-month reporting period that ended February 28, 2006.
Performance Review
Over the six-month period that ended February 28, 2006, the Fund’s Class A, B, C, Institutional and Service Shares generated cumulative total returns, without sales charges, of 30.49%, 30.06%, 30.11%, 30.88% and 30.49%, respectively. These returns compare to the 30.23% cumulative total return of the Fund’s benchmark, the Morgan Stanley Capital International (MSCI) Emerging Markets Free (EMF) Index (with dividends reinvested), over the same time period. | |
During the period, the Fund generated very strong returns and performed largely in line with its benchmark. Leading contributors to performance included Telemig Celular SA, Kookmin Bank, and LUKOIL ADR. Positive performance was somewhat offset by the Fund’s investment in OTP Bank Rt. GDR, Career Technology Co. Ltd, and Mobile TeleSystems. |
Regional Allocation
On a regional basis, the Fund’s performance was enhanced by solid economic growth across many emerging regions, as well as robust commodity prices. Strength in Europe benefited performance. In particular, an overweight in Russia was beneficial due to high energy prices, which filtered into the domestic economy and drove consumption. Latin America was again one of the strongest regions, with an overweight in Brazil enhancing results. Brazil’s market surged on the back of strong commodities prices and improved domestic economy. This, in turn, aided the Fund’s materials and telecommunications services holdings. An overall underweight in emerging Asia once again contributed positively to results. In particular, an underweight in Taiwan benefited the Fund as its market lagged during the beginning of the period after Taiwanese exporters fell on the back of concerns of a slower growth in the U.S. Elsewhere in Asia, stock selection in India hurt performance, driven primarily by our position in Jet Airways Ltd. The company posted a decline in quarterly profits and faced increased competition. |
Portfolio Highlights
During the reporting period, there were a number of holdings that enhanced results, including the following: | |
n | Telemig Celular SA — Telemig Celular, a Brazilian mobile operator, was the leading contributor to performance during the reporting period. During 2005, the Brazilian wireless industry performed poorly due to heavy competition. However, in 2006, a more rational business approach by competitors led to an improved environment leading to rising share prices in the industry as analysts expected an improvement in sector profitability. |
n | Kookmin Bank — Kookmin Bank performed very well during the period as it reported a strong set of quarterly results in 2005. The company’s earnings have consistently exceeded consensus expectations due to lower non-performing loans and improvements in net interest margins. The operational and asset quality improvements have led to upgrades by analysts, which have helped to sustain positive momentum on the price of the stock. |
n | LUKOIL ADR — LUKOIL, Russia’s biggest oil producer, was the leading contributor to performance. The company’s shares rose on the back of the company’s strong third-quarter 2005 results. High oil prices and production drove record earnings for the company, beating analysts’ expectations. |
We thank you for your investment and look forward to your continued confidence. | |
Goldman Sachs Emerging Markets Equity Investment Team | |
New York, London and Singapore March 17, 2006 |
Emerging Markets Equity Fund
PERFORMANCE REVIEW |
September 1, 2005–February 28, 2006 | Fund Total Return (based on NAV)1 | MSCI EMF Index2 | ||||||||
Class A | 30.49 | % | 30.23 | % | ||||||
Class B | 30.06 | 30.23 | ||||||||
Class C | 30.11 | 30.23 | ||||||||
Institutional | 30.88 | 30.23 | ||||||||
Service | 30.49 | 30.23 | ||||||||
1 | The net asset value (NAV) represents the net assets of the class of the Fund (ex-dividend) divided by the total number of shares of the class outstanding. The Fund’s performance reflects the reinvestment of dividends and other distributions. The Fund’s performance does not reflect the deduction of any applicable sales charges. |
2 | The unmanaged MSCI Emerging Markets Free Index is a free float-adjusted market capitalization-weighted index that is designed to measure equity market performance in the global emerging markets, of over 26 emerging market countries. “Free” indicates an index that excludes shares in otherwise free markets that are not purchasable by foreigners. The Index is unmanaged and the figures for the Index do not include any deduction for fees, expenses or taxes. It is not possible to invest directly in an unmanaged index. |
STANDARDIZED TOTAL RETURNS3 |
For the period ended 12/31/05 | One Year | Five Years | Since Inception | Inception Date | ||||||||||||||
Class A | 32.58 | % | 16.54 | % | 8.26 | % | 12/15/97 | |||||||||||
Class B | 34.30 | 17.03 | 8.49 | 12/15/97 | ||||||||||||||
Class C | 38.29 | 17.16 | 8.47 | 12/15/97 | ||||||||||||||
Institutional | 40.91 | 18.53 | 9.71 | 12/15/97 | ||||||||||||||
Service | 40.16 | 18.06 | 8.91 | 12/15/97 | ||||||||||||||
3 | The Standardized Total Returns are average annual total returns or cumulative total returns (only if the performance period is one year or less) as of the most recent calendar quarter-end. They assume reinvestment of all distributions at NAV. These returns reflect a maximum initial sales charge of 5.5% for Class A Shares, the assumed contingent deferred sales charge for Class B Shares (5% maximum declining to 0% after six years) and the assumed contingent deferred sales charge for Class C Shares (1% if redeemed within 12 months of purchase). Because Institutional and Service Shares do not involve a sales charge, such a charge is not applied to their Standardized Total Returns. The Fund will charge a 2% redemption fee on the redemption of shares (including by exchange) held for 30 calendar days or less. The performance figures do not reflect the deduction of the redemption fee. If reflected, the redemption fee would reduce the performance quoted. |
The returns represent past performance. Past performance does not guarantee future results. The Fund’s investment return and principal value will fluctuate so that 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 performance quoted above. Please visit our Web site at: www.gs.com/funds to obtain the most recent month-end returns. Performance reflects expense limitations in effect. In their absence, performance would be reduced. Returns do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares. |
TOP 10 COMPANY HOLDINGS AS OF 2/28/064 |
Holding | % of Net Assets | Line of Business | ||||||
Samsung Electronics Co. Ltd. | 5.5 | % | Semiconductors & Semiconductor Equipment | |||||
LUKOIL ADR | 4.0 | Energy | ||||||
iShares MSCI Emerging Markets Index | 3.3 | Exchange Traded Funds | ||||||
Kookmin Bank | 3.3 | Banks | ||||||
Petroleo Brasileiro SA ADR | 2.9 | Energy | ||||||
America Movil SA de CV ADR | 2.7 | Telecommunication Services | ||||||
Taiwan Semiconductor | 2.4 | Semiconductors & Semiconductor Equipment | ||||||
Turkiye Is Bankasi Series C | 2.3 | Banks | ||||||
Hon Hai Precision | 2.1 | Technology Hardware & Equipment | ||||||
Hyundai Motor Co. Ltd. | 2.1 | Automobiles & Components | ||||||
4 | The top 10 company holdings may not be representative of the Fund’s future investments. |
Asia Equity Fund
Dear Shareholder,
This report provides a an overview on the performance of the Goldman Sachs Asia Equity Fund during the six-month reporting period that ended February 28, 2006.
Performance Review
Over the six-month period that ended February 28, 2006, the Fund’s Class A, B, C and Institutional Shares generated cumulative total returns, without sales charges, of 16.34%, 15.91%, 15.99% and 16.63%, respectively. These returns compare to the 19.51% cumulative total return of the Fund’s benchmark, the Morgan Stanley Capital International (MSCI) All Country (AC) Asia Free ex-Japan Index (unhedged, with dividends reinvested), over the same time period. | |
While the Fund generated positive returns during the reporting period, it underperformed its benchmark. Fund performance was strong during the first four months of the period as it benefited from overweight positions in key Financials, Consumer Discretionary, Telecom, and Technology stocks. The Fund’s Financials, Telecom, and Technology holdings continued to be beneficial as the period progressed. However, during the last two months of the reporting period, weakness in some of the Fund’s Consumer Discretionary stocks hurt performance. For example, in Hong Kong, the share prices of Techtronic Industries Co. Ltd. and Esprit Holdings Ltd. were sold down on the back of earnings disappointments. The Fund’s underweight in Industrials, Materials, and Consumer Staples was also detrimental to performance. |
Regional Allocation
As of February 28, 2006, the Fund was overweight in Indonesia and India, and underweight in Taiwan, Malaysia, and China. |
Portfolio Highlights
Although the Fund underperformed its benchmark during the reporting period, there were a number of holdings that enhanced results, including the following: | |
n | Kookmin Bank — Kookmin Bank performed very well during the period as it reported a strong set of quarterly results in 2005. The company’s earnings have consistently exceeded consensus expectations due to lower non-performing loans and improvements in net interest margins. The operational and asset quality improvements have led to upgrades by analysts, which have helped to sustain positive momentum on the price of the stock. |
n | Daishin Securities Co. — Daishin Securities was a key beneficiary of the rally in the Korean stock market, as securities stocks were most sensitive to an increase in trading volume. Continued optimism in the strength of the domestic economy was also a key factor in sustaining interest on equities. |
n | Samsung Electronics Co. Ltd. — Samsung Electronics’ shares were strong due to excitement over its NAND flash business. NAND flash devices offer storage space for memory cards used in electronic devices such as digital cameras and MP3 players. Recent quarterly results have not only shown strength in demand, but margin improvement was also evident due to cost reductions and yield enhancements. |
We thank you for your investment and look forward to your continued confidence. | |
Goldman Sachs Asia Equity Investment Team | |
Singapore, March 17, 2006 |
Asia Equity Fund
PERFORMANCE REVIEW |
MSCI AC Asia Free ex-Japan | ||||||||||
September 1, 2005–February 28, 2006 | Fund Total Return (based on NAV)1 | Index (unhedged)2 | ||||||||
Class A | 16.34 | % | 19.51 | % | ||||||
Class B | 15.91 | 19.51 | ||||||||
Class C | 15.99 | 19.51 | ||||||||
Institutional | 16.63 | 19.51 | ||||||||
1 | The net asset value (NAV) represents the net assets of the class of the Fund (ex-dividend) divided by the total number of shares of the class outstanding. The Fund’s performance reflects the reinvestment of dividends and other distributions. The Fund’s performance does not reflect the deduction of any applicable sales charges. |
2 | The unmanaged MSCI All Country Asia Free ex-Japan Index (unhedged, with dividends reinvested) is a market capitalization-weighted composite of securities in 11 Asian countries. “Free” indicates an index that excludes shares in otherwise free markets that are not purchasable by foreigners. The Index figures do not reflect any deduction for fees, expenses or taxes. It is not possible to invest directly in an unmanaged index. |
STANDARDIZED TOTAL RETURNS3 |
For the period ended 12/31/05 | One Year | Five Years | Ten Years | Since Inception | Inception Date | |||||||||||||||||
Class A | 15.41 | % | 8.97 | % | -0.52 | % | 0.33 | % | 7/8/94 | |||||||||||||
Class B | 16.12 | 9.27 | n/a | -1.89 | 5/1/96 | |||||||||||||||||
Class C | 20.15 | 9.52 | n/a | -1.12 | 8/15/97 | |||||||||||||||||
Institutional | 22.60 | 10.91 | n/a | -0.26 | 2/2/96 | |||||||||||||||||
3 | The Standardized Total Returns are average annual total returns or cumulative total returns (only if the performance period is one year or less) as of the most recent calendar quarter-end. They assume reinvestment of all distributions at NAV. These returns reflect a maximum initial sales charge of 5.5% for Class A Shares, the assumed contingent deferred sales charge for Class B Shares (5% maximum declining to 0% after six years) and the assumed contingent deferred sales charge for Class C Shares (1% if redeemed within 12 months of purchase). Because Institutional Shares do not involve a sales charge, such a charge is not applied to their Standardized Total Returns. The Fund will charge a 2% redemption fee on the redemption of shares (including by exchange) held for 30 calendar days or less. The performance figures do not reflect the deduction of the redemption fee. If reflected, the redemption fee would reduce the performance quoted. |
The returns represent past performance. Past performance does not guarantee future results. The Fund’s investment return and principal value will fluctuate so that 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 performance quoted above. Please visit our Web site at: www.gs.com/funds to obtain the most recent month-end returns. Performance reflects expense limitations in effect. In their absence, performance would be reduced. Returns do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares. |
TOP 10 COMPANY HOLDINGS AS OF 2/28/064 |
Holding | % of Net Assets | Line of Business | ||||||
Samsung Electronics Co. Ltd. | 5.8 | % | Semiconductors & Semiconductor Equipment | |||||
Kookmin Bank | 4.7 | Banks | ||||||
Hyundai Motor Co. Ltd. | 3.6 | Automobiles & Components | ||||||
Taiwan Semiconductor | 3.5 | Semiconductors & Semiconductor Equipment | ||||||
Esprit Holdings Ltd. | 3.0 | Retailing | ||||||
Hana Financial Group, Inc. | 2.9 | Banks | ||||||
Samsung Electronics Co. Ltd. (Preferred) | 2.8 | Semiconductors & Semiconductor Equipment | ||||||
Techtronic Industries Co. Ltd. | 2.6 | Consumer Durables & Apparel | ||||||
Hon Hai Precision | 2.6 | Technology Hardware & Equipment | ||||||
PT Telekomunikasi Indonesia | 2.5 | Telecommunication Services | ||||||
4 | The top 10 company holdings may not be representative of the Fund’s future investments. |
Statement of Investments
Shares | Description | Value | ||||||||
Common Stocks – 96.7% | ||||||||||
Austria – 1.5% | ||||||||||
2,336 | Erste Bank der oesterreichischen Sparkassen AG* (Banks) | $ | 139,627 | |||||||
8,765 | Erste Bank der oesterreichischen Sparkassen AG (Banks) | 532,797 | ||||||||
672,424 | ||||||||||
Denmark – 2.0% | ||||||||||
15,658 | Novo-Nordisk A/S Class B (Pharmaceuticals & Biotechnology) | 920,420 | ||||||||
Finland – 1.5% | ||||||||||
140,443 | M-real Oyj (Materials) | 704,578 | ||||||||
France – 14.5% | ||||||||||
4,116 | Air Liquide SA(a) (Materials) | 812,184 | ||||||||
21,800 | Credit Agricole SA (Banks) | 796,261 | ||||||||
52,403 | France Telecom SA (Telecommunication Services) | 1,144,828 | ||||||||
6,223 | LVMH Moet Hennessy Louis Vuitton SA(a) (Consumer Durables & Apparel) | 565,286 | ||||||||
8,130 | Sanofi-Aventis (Pharmaceuticals & Biotechnology) | 692,068 | ||||||||
10,545 | Total SA Class B (Energy) | 2,652,053 | ||||||||
6,662,680 | ||||||||||
Germany – 5.5% | ||||||||||
7,711 | E.ON AG (Utilities) | 854,201 | ||||||||
13,341 | Schering AG (Pharmaceuticals & Biotechnology) | 960,059 | ||||||||
7,801 | Siemens AG (Capital Goods) | 716,421 | ||||||||
2,530,681 | ||||||||||
Greece – 1.6% | ||||||||||
34,020 | Hellenic Telecommunications Organization SA (OTE)* (Telecommunication Services) | 723,778 | ||||||||
Ireland – 2.0% | ||||||||||
27,568 | CRH PLC (Materials) | 900,829 | ||||||||
Italy – 7.1% | ||||||||||
152,913 | Banca Intesa SpA (Banks) | 903,467 | ||||||||
15,997 | Fastweb* (Telecommunication Services) | 771,080 | ||||||||
52,088 | Mediaset SpA (Media) | 613,052 | ||||||||
133,000 | UniCredito Italiano SpA* (Banks) | 967,358 | ||||||||
3,254,957 | ||||||||||
Netherlands – 6.3% | ||||||||||
26,423 | ING Groep NV (Diversified Financials) | 993,133 | ||||||||
16,181 | Koninklijke (Royal) Philips Electronics NV* (Consumer Durables & Apparel) | 526,584 | ||||||||
46,332 | Vedior NV (Commercial Services & Supplies) | 874,699 | ||||||||
16,182 | VNU NV (Media) | 524,329 | ||||||||
2,918,745 | ||||||||||
Spain – 6.3% | ||||||||||
71,504 | Banco Bilbao Vizcaya Argentaria SA (Banks) | 1,454,148 | ||||||||
98,939 | Banco Santander Central Hispano SA (Banks) | 1,445,455 | ||||||||
2,899,603 | ||||||||||
Sweden – 3.3% | ||||||||||
19,580 | Svenska Cellulosa AB (SCA) Class B (Materials) | 821,079 | ||||||||
205,130 | Telefonaktiebolaget LM Ericsson Series B (Technology Hardware & Equipment) | 698,977 | ||||||||
1,520,056 | ||||||||||
Switzerland – 7.8% | ||||||||||
31,683 | Credit Suisse Group (Diversified Financials) | 1,754,768 | ||||||||
34,435 | Novartis AG(a) (Pharmaceuticals & Biotechnology) | 1,853,052 | ||||||||
3,607,820 | ||||||||||
United Kingdom – 34.3% | ||||||||||
66,318 | British Sky Broadcasting Group PLC (Media) | 587,820 | ||||||||
121,685 | Cattles PLC (Diversified Financials) | 740,213 | ||||||||
76,466 | GlaxoSmithKline PLC (Pharmaceuticals & Biotechnology) | 1,942,160 | ||||||||
71,121 | HSBC Holdings PLC (Banks) | 1,217,114 | ||||||||
274,078 | Old Mutual PLC (Insurance) | 902,358 | ||||||||
133,832 | Prudential PLC (Insurance) | 1,415,874 | ||||||||
29,493 | Reckitt Benckiser PLC (Household & Personal Products) | 1,050,110 | ||||||||
115,117 | Rexam PLC (Materials) | 1,023,646 | ||||||||
55,486 | Royal Bank of Scotland Group PLC (Banks) | 1,855,946 | ||||||||
2,489 | Royal Dutch Shell PLC ADR Series B (Energy) | 75,037 | ||||||||
52,608 | Royal Dutch Shell PLC Series B (Energy) | 1,654,023 | ||||||||
200,489 | Tesco PLC (Food & Staples Retailing) | 1,188,104 |
20
Shares | Description | Value | ||||||||
Common Stocks – (continued) | ||||||||||
United Kingdom – (continued) | ||||||||||
24,510 | Travis Perkins PLC (Retailing) | $ | 637,798 | |||||||
773,659 | Vodafone Group PLC (Telecommunication Services) | 1,482,328 | ||||||||
15,772,531 | ||||||||||
United States – 3.0% | ||||||||||
26,900 | Carnival Corp. (Consumer Services) | 1,389,385 | ||||||||
TOTAL COMMON STOCKS | ||||||||||
(Cost $38,699,675) | $ | 44,478,487 | ||||||||
Principal | Interest | Maturity | ||||||||||||||
Amount• | Rate | Date | Value | |||||||||||||
Short-Term Obligations – 5.6% | ||||||||||||||||
State Street Bank & Trust Euro – Time Deposit | ||||||||||||||||
EUR 839,065 | 2.31 | % | 03/01/2006 | $ | 1,000,249 | |||||||||||
1,308,621 | 2.33 | 03/02/2006 | 1,560,006 | |||||||||||||
TOTAL SHORT-TERM OBLIGATIONS | ||||||||||||||||
(Cost $2,555,404) | $ | 2,560,255 | ||||||||||||||
TOTAL INVESTMENTS BEFORE SECURITIES LENDING COLLATERAL | ||||||||||||||||
(Cost $41,255,079) | $ | 47,038,742 | ||||||||||||||
Shares | Description | Value | ||||||||
Securities Lending Collateral – 5.5% | ||||||||||
2,544,200 | Boston Global Investment Trust – Enhanced Portfolio | $ | 2,544,200 | |||||||
(Cost $2,544,200) | ||||||||||
TOTAL INVESTMENTS – 107.8% | ||||||||||
(Cost $43,799,279) | $ | 49,582,942 | ||||||||
The percentage shown for each investment category reflects the value of investments in that category as a percentage of net assets. |
• | The principal amount of each security is stated in the currency in which the bond is denominated. See below. |
Currency Description
* | Non-income producing security. | |
(a) | All or portion of security is on loan. |
Investment Abbreviation: | ||||||
ADR | — | American Depositary Receipt | ||||
As a % of | ||||||
Net Assets | ||||||
Investments Industry Classifications† | ||||||
Banks | 20.2 | % | ||||
Capital Goods | 1.6 | |||||
Commercial Services & Supplies | 1.9 | |||||
Consumer Durables & Apparel | 2.4 | |||||
Consumer Services | 3.0 | |||||
Diversified Financials | 7.6 | |||||
Energy | 9.5 | |||||
Food & Staples Retailing | 2.6 | |||||
Household & Personal Products | 2.3 | |||||
Insurance | 5.0 | |||||
Materials | 9.3 | |||||
Media | 3.7 | |||||
Pharmaceuticals & Biotechnology | 13.8 | |||||
Retailing | 1.4 | |||||
Short-term Investments# | 11.1 | |||||
Technology Hardware & Equipment | 1.5 | |||||
Telecommunication Services | 9.0 | |||||
Utilities | 1.9 | |||||
TOTAL INVESTMENTS | 107.8 | % | ||||
† | Industry concentrations greater than one-tenth of one percent are disclosed. | |
# | Short-term investments include securities lending collateral. |
21
Statement of Investments (continued)
ADDITIONAL INVESTMENT INFORMATION |
FUTURES CONTRACTS — At February 28, 2006, the following futures contracts were open as follows:
Number of | ||||||||||||||
Contracts | Settlement | Market | Unrealized | |||||||||||
Type | Long | Month | Value | Gain | ||||||||||
Dow Jones Euro Stoxx 50 Index | 21 | March 2006 | $ | 727,230 | $ | 6,652 | ||||||||
22
Statement of Investments
Shares | Description | Value | ||||||||
Common Stocks – 99.3% | ||||||||||
Australia – 1.8% | ||||||||||
1,574,359 | Alumina Ltd. (Materials) | $ | 8,057,665 | |||||||
France – 10.6% | ||||||||||
318,199 | Credit Agricole SA (Banks) | 11,622,450 | ||||||||
434,395 | France Telecom SA (Telecommunication Services) | 9,490,057 | ||||||||
67,392 | Total SA Class B(a) (Energy) | 16,948,992 | ||||||||
117,018 | Vinci SA (Capital Goods) | 10,801,373 | ||||||||
48,862,872 | ||||||||||
Germany – 5.7% | ||||||||||
140,691 | E.ON AG (Utilities) | 15,585,326 | ||||||||
148,373 | Schering AG (Pharmaceuticals & Biotechnology) | 10,677,372 | ||||||||
26,262,698 | ||||||||||
Hong Kong – 7.5% | ||||||||||
1,644,000 | Esprit Holdings Ltd. (Retailing) | 12,573,136 | ||||||||
34,212,000 | PICC Property and Casualty Co. Ltd. (Insurance) | 11,564,859 | ||||||||
6,058,000 | Techtronic Industries Co. Ltd. (Consumer Durables & Apparel) | 10,531,231 | ||||||||
34,669,226 | ||||||||||
Hungary – 2.5% | ||||||||||
155,600 | OTP Bank Rt. GDR (Banks) | 11,654,440 | ||||||||
Italy – 2.0% | ||||||||||
192,008 | Fastweb*(a) (Telecommunication Services) | 9,255,087 | ||||||||
Japan – 18.3% | ||||||||||
266,400 | Credit Saison Co. Ltd. (Diversified Financials) | 12,581,396 | ||||||||
1,014,000 | Hitachi Metals Ltd. (Materials) | 10,733,917 | ||||||||
829 | Millea Holdings, Inc. (Insurance) | 16,870,156 | ||||||||
621,400 | Nomura Holdings, Inc. (Diversified Financials) | 11,858,245 | ||||||||
184,300 | Shin-Etsu Chemical Co. Ltd. (Materials) | 9,812,669 | ||||||||
3,011,000 | Taiheiyo Cement Corp.(a) (Materials) | 12,956,041 | ||||||||
172,500 | Union Tool Co.(a) (Capital Goods) | 9,136,423 | ||||||||
83,948,847 | ||||||||||
Netherlands – 6.8% | ||||||||||
288,537 | ING Groep NV (Diversified Financials) | 10,844,931 | ||||||||
438,492 | TNT NV (Transportation) | 14,263,532 | ||||||||
189,811 | VNU NV (Media) | 6,150,253 | ||||||||
31,258,716 | ||||||||||
Russia – 3.8% | ||||||||||
149,500 | LUKOIL ADR (Energy) | 11,945,050 | ||||||||
155,900 | Mobile Telesystems ADR (Telecommunication Services) | 5,623,313 | ||||||||
17,568,363 | ||||||||||
South Korea – 5.9% | ||||||||||
294,815 | Hyundai Motor Co. Ltd. GDR(b) (Automobiles & Components) | 12,559,119 | ||||||||
47,700 | Samsung Electronics Co. Ltd. GDR(b) (Semiconductors & Semiconductor Equipment) | 14,649,615 | ||||||||
27,208,734 | ||||||||||
Spain – 2.4% | ||||||||||
539,445 | Banco Bilbao Vizcaya Argentaria SA (Banks) | 10,970,471 | ||||||||
Sweden – 3.0% | ||||||||||
330,538 | Svenska Cellulosa AB (SCA) Series B (Materials) | 13,860,981 | ||||||||
Switzerland – 5.9% | ||||||||||
172,875 | Credit Suisse Group (Diversified Financials) | 9,574,709 | ||||||||
14,746 | Nestle SA (Food Beverage & Tobacco) | 4,335,377 | ||||||||
244,411 | Novartis AG(a) (Pharmaceuticals & Biotechnology) | 13,152,496 | ||||||||
27,062,582 | ||||||||||
Taiwan – 1.4% | ||||||||||
499,475 | Hon Hai Precision Industry Co. Ltd. GDR (Technology Hardware & Equipment) | 6,268,411 | ||||||||
United Kingdom – 21.7% | ||||||||||
1,272,176 | Amvescap PLC (Diversified Financials) | 12,017,297 | ||||||||
1,523,613 | Bodycote International PLC (Capital Goods) | 6,956,633 | ||||||||
476,400 | BP PLC (Energy) | 5,269,953 | ||||||||
161,593 | Carnival PLC (Hotels, Restaurants & Leisure) | 8,828,057 | ||||||||
559,168 | GlaxoSmithKline PLC (Pharmaceuticals & Biotechnology) | 14,202,312 | ||||||||
1,177,391 | Prudential PLC (Insurance) | 12,456,190 | ||||||||
293,181 | Royal Bank of Scotland Group PLC (Banks) | 9,806,581 | ||||||||
5,657,279 | Vodafone Group PLC (Telecommunication Services) | 10,839,325 | ||||||||
2,766,896 | W.M. Supermarkets PLC (Food & Staples Retailing) | 10,344,872 | ||||||||
803,077 | WPP Group PLC (Media) | 9,326,467 | ||||||||
100,047,687 | ||||||||||
TOTAL COMMON STOCKS | ||||||||||
(Cost $351,782,847) | $ | 456,956,780 | ||||||||
23
Statement of Investments (continued)
Principal | Interest | Maturity | ||||||||||||||
Amount | Rate | Date | Value | |||||||||||||
Short-Term Obligation – 0.9% | ||||||||||||||||
State Street Bank & Trust Euro – Time Deposit | ||||||||||||||||
$ | 4,350,000 | 4.20 | % | 03/01/2006 | $ | 4,350,000 | ||||||||||
(Cost $4,350,000) | ||||||||||||||||
TOTAL INVESTMENTS BEFORE SECURITIES LENDING COLLATERAL | ||||||||||||||||
(Cost $356,132,847) | $ | 461,306,780 | ||||||||||||||
Shares | Description | Value | ||||||||
Securities Lending Collateral – 8.1% | ||||||||||
37,260,290 | Boston Global Investment Trust – Enhanced Portfolio | $ | 37,260,290 | |||||||
(Cost $37,260,290) | ||||||||||
TOTAL INVESTMENTS – 108.3% | ||||||||||
(Cost $393,393,137) | $ | 498,567,070 | ||||||||
The percentage shown for each investment category reflects the value of investments in that category as a percentage of net assets. |
* | Non-income producing security. | |
(a) | All or a portion of security is on loan. | |
(b) | Securities are exempt from registration under Rule 144A of the Securities Act of 1933. Under procedures approved by the Board of Trustees, such securities have been determined to be liquid by the Investment Adviser and may be resold, normally to qualified institutional buyers in transactions exempt from registration. Total market value of Rule 144A securities amounts to $27,208,734, which represents approximately 5.9% of net assets as of February 28, 2006. |
Investment Abbreviations: | ||||||
ADR | — | American Depositary Receipt | ||||
GDR | — | Global Depositary Receipt | ||||
As a % of | ||||||
Net Assets | ||||||
Investments Industry Classifications† | ||||||
Automobiles & Components | 2.7 | % | ||||
Banks | 9.6 | |||||
Capital Goods | 5.8 | |||||
Consumer Durables & Apparel | 2.3 | |||||
Diversified Financials | 12.4 | |||||
Energy | 7.4 | |||||
Food & Staples Retailing | 2.2 | |||||
Food Beverage & Tobacco | 0.9 | |||||
Hotels, Restaurants & Leisure | 1.9 | |||||
Insurance | 8.9 | |||||
Materials | 12.0 | |||||
Media | 3.4 | |||||
Pharmaceuticals & Biotechnology | 8.3 | |||||
Retailing | 2.7 | |||||
Semiconductors & Semiconductor Equipment | 3.2 | |||||
Short-term Investments# | 9.0 | |||||
Technology Hardware & Equipment | 1.4 | |||||
Telecommunication Services | 7.7 | |||||
Transportation | 3.1 | |||||
Utilities | 3.4 | |||||
TOTAL INVESTMENTS | 108.3 | % | ||||
† | Industry concentrations greater than one-tenth of one percent are disclosed. | |
# | Short-term investments include securities lending collateral. |
24
Statement of Investments
Shares | Description | Value | ||||||||
Common Stocks – 96.5% | ||||||||||
16,850 | AIFUL Corp. (Consumer Finance) | $ | 1,126,211 | |||||||
50,000 | Air Water, Inc.(a) (Oil & Gas – Exploration & Production) | 471,294 | ||||||||
8,300 | ARRK Corp. (Diversified Industrials) | 594,034 | ||||||||
107,000 | Asahi Glass Co. Ltd.(a) (Building & Construction Materials) | 1,511,149 | ||||||||
162,000 | ASAHI KASEI Corp. (Chemicals – Commodity) | 1,068,611 | ||||||||
19,000 | ASKUL Corp.(a) (Retailers e-commerce) | 515,413 | ||||||||
26,400 | Astellas Pharma, Inc. (Pharmaceuticals) | 1,019,179 | ||||||||
55,000 | Bosch Automotive Systems Corp.(a) (Auto Parts) | 238,075 | ||||||||
12,700 | Canon, Inc. (Electronic Equipment) | 792,938 | ||||||||
10,400 | Cawachi Ltd. (Food & Drug Retailers) | 403,169 | ||||||||
43,000 | Daido Steel Co. Ltd. (Steel) | 375,390 | ||||||||
44,000 | DAIICHI SANKYO Co. Ltd. (Pharmaceuticals) | 908,470 | ||||||||
259,000 | Dainippon Ink and Chemicals, Inc. (Chemicals – Specialty) | 1,050,385 | ||||||||
36,500 | Denso Corp. (Auto Parts) | 1,331,533 | ||||||||
13,200 | Eneserve Corp.(a) (Electricity) | 227,961 | ||||||||
10,000 | Fanuc Ltd. (Electronic Equipment) | 843,249 | ||||||||
141,000 | FUJI ELECTRIC HOLDINGS Co. Ltd. (Electrical Equipment) | 659,194 | ||||||||
8,600 | Fuji Seal International, Inc. (Packaging) | 250,663 | ||||||||
279 | Fuji Television Network, Inc. (Broadcasting Contractors) | 675,424 | ||||||||
9,300 | Hirose Electric Co. Ltd. (Electrical Equipment) | 1,255,489 | ||||||||
72,000 | Hitachi Cable, Ltd. (Electrical Equipment) | 406,452 | ||||||||
104,000 | Hitachi Metals Ltd. (Non-Ferrous Metals) | 1,100,915 | ||||||||
12,500 | Honda Motor Co. Ltd. (Automobiles) | 730,129 | ||||||||
29,000 | Hoya Corp. (Electronic Equipment) | 1,150,550 | ||||||||
27,000 | JFE Holdings, Inc. (Steel) | 995,191 | ||||||||
23,000 | JOINT Corp. (Builders Merchants) | 660,298 | ||||||||
322 | KDDI Corp. (Fixed-Line Telecommunication Services) | 1,653,889 | ||||||||
57,000 | Komatsu Ltd. (Commercial Vehicles & Trucks) | 1,010,871 | ||||||||
16,000 | Kose Corp. (Personal Products) | 655,788 | ||||||||
137,000 | Kubota Corp. (Engineering – General) | 1,339,837 | ||||||||
42,000 | Kyowa Exeo Corp. (Engineering – General) | 541,915 | ||||||||
27,200 | Leopalace21 Corp. (Real Estate Holding & Development) | 978,350 | ||||||||
800 | Matsushita Electric Works Ltd. (Building & Construction Materials) | 9,320 | ||||||||
54,000 | Mitsubishi Corp. (Diversified Industrials) | 1,252,861 | ||||||||
153 | Mitsubishi Tokyo Financial Group, Inc. (Banks) | 2,271,643 | ||||||||
74,000 | Mitsui & Co., Ltd. (Diversified Industrials) | 1,012,428 | ||||||||
19,000 | Mitsui Fudosan Co. Ltd. (Real Estate Holding & Development) | 394,677 | ||||||||
97,000 | Mitsui O.S.K. Lines Ltd. (Shipping & Ports) | 707,271 | ||||||||
93,000 | Mitsui Sumitomo Insurance Co. Ltd. (Insurance – Non-Life) | 1,226,530 | ||||||||
119,000 | Mitsukoshi Ltd.(a) (Retailers) | 676,671 | ||||||||
16,000 | NEOMAX Co. Ltd. (Engineering Fabricators) | 472,189 | ||||||||
120 | Net One Systems Co. Ltd. (Telecommunication Equipment) | 240,327 | ||||||||
7,500 | Nihon Dempa Kogyo Co. Ltd. (Electronic Equipment) | 313,651 | ||||||||
43,000 | Nissan Chemical Industries Ltd. (Chemicals – Specialty) | 707,565 | ||||||||
122,000 | Nissan Motor Co. Ltd. (Automobiles) | 1,400,527 | ||||||||
3,250 | Nitori Co. Ltd. (Furnishings & Floor Coverings) | 159,965 | ||||||||
6,100 | Nitto Denko Corp. (Chemicals – Specialty) | 523,474 | ||||||||
10,000 | NOK Corp. (Auto Parts) | 291,982 | ||||||||
57,000 | Nomura Holdings, Inc. (Investment Banks) | 1,087,737 | ||||||||
20,000 | NS Solutions Corp. (Computer Services) | 510,995 | ||||||||
6,100 | ORIX Corp. (Consumer Finance) | 1,605,951 | ||||||||
134 | Pasona, Inc.(a) (Commercial Services) | 272,380 | ||||||||
155,000 | Penta-Ocean Construction Co., Ltd.* (Engineering & Construct) | 317,160 | ||||||||
18,700 | Plenus Co. Ltd.(a) (Restaurants, Pubs & Breweries) | 574,651 | ||||||||
9,900 | Resorttrust, Inc. (Hotels) | 329,080 | ||||||||
96,000 | Ricoh Co. Ltd. (Electronic Equipment) | 1,777,473 | ||||||||
14,600 | Ryohin Keikaku Co. Ltd. (Retailers – Multi Department) | 1,095,560 | ||||||||
52,000 | SANKEN ELECTRIC Co. Ltd.(a) (Electrical Equipment) | 774,317 | ||||||||
300 | Secom Co. Ltd. (Security & Alarm Services) | 14,885 | ||||||||
173,000 | Shimadzu Corp.(a) (Medical Equipment & Supplies) | 1,069,278 | ||||||||
24,800 | Shin-Etsu Chemical Co. Ltd. (Chemicals – Specialty) | 1,320,424 | ||||||||
39,000 | Shionogi & Co., Ltd. (Health & Personal Care) | 537,781 | ||||||||
9,300 | Sumisho Lease Co. Ltd. (Business Support Services) | 450,760 |
25
Statement of Investments (continued)
Shares | Description | Value | ||||||||
Common Stocks – (continued) | ||||||||||
197 | Sumitomo Mitsui Financial Group, Inc. (Banks) | $ | 2,151,513 | |||||||
35,000 | Sumitomo Rubber Industries, Ltd. (Tires & Rubber) | 422,551 | ||||||||
250,000 | Taiheiyo Cement Corp. (Building & Construction Materials) | 1,075,726 | ||||||||
14,600 | Takeda Chemical Industries Ltd. (Pharmaceuticals) | 813,285 | ||||||||
185,000 | The Chiba Bank Ltd. (Banks) | 1,558,253 | ||||||||
58,000 | The Sumitomo Trust & Banking Co. Ltd. (Banks) | 588,037 | ||||||||
22,000 | Toei Co., Ltd. (Broadcasting Contractors) | 147,355 | ||||||||
230,000 | Tokyo Gas Co. Ltd. (Gas Distribution) | 1,047,193 | ||||||||
42,500 | Toyota Motor Corp. (Automobiles) | 2,265,565 | ||||||||
24,000 | Tsumura & Co. (Medical Equipment & Supplies) | 621,675 | ||||||||
6,000 | Union Tool Co. (Engineering – General) | 317,789 | ||||||||
51,500 | Urban Corp. (Real Estate Holding & Development) | 754,606 | ||||||||
28,000 | USHIO, Inc. (Electrical Equipment) | 684,247 | ||||||||
303 | West Japan Railway Co. (Rail, Road & Freight) | 1,228,173 | ||||||||
58,000 | Yamato Transport Co. Ltd. (Rail, Road & Freight) | 1,108,445 | ||||||||
TOTAL COMMON STOCKS | ||||||||||
(Cost $50,552,349) | $ | 64,725,942 | ||||||||
Principal | Interest | Maturity | ||||||||||||||
Amount | Rate | Date | Value | |||||||||||||
Short-Term Obligation – 1.5% | ||||||||||||||||
State Street Bank & Trust Euro – Time Deposit | ||||||||||||||||
$ | 972,000 | 4.20 | % | 03/01/2006 | $ | 972,000 | ||||||||||
(Cost $972,000) | ||||||||||||||||
TOTAL INVESTMENTS BEFORE SECURITIES LENDING COLLATERAL | ||||||||||||||||
(Cost $51,524,349) | $ | 65,697,942 | ||||||||||||||
Shares | Description | Value | ||||||||
Securities Lending Collateral – 7.1% | ||||||||||
4,767,935 | Boston Global Investment Trust – Enhanced Portfolio | $ | 4,767,935 | |||||||
(Cost $4,767,935) | ||||||||||
TOTAL INVESTMENTS – 105.1% | ||||||||||
(Cost $56,292,284) | $ | 70,465,877 | ||||||||
The percentage shown for each investment category reflects the value of investments in that category as a percentage of net assets. |
* | Non-income producing security. | |
(a) | All or a portion of security is on loan. |
As a % of | ||||||
Net Assets | ||||||
Investments Industry Classifications† | ||||||
Auto Parts | 2.8 | % | ||||
Automobiles | 6.6 | |||||
Banks | 9.8 | |||||
Broadcasting Contractors | 1.2 | |||||
Builders Merchants | 1.0 | |||||
�� | Building & Construction Materials | 3.9 | ||||
Business Support Services | 0.6 | |||||
Chemicals – Commodity | 1.6 | |||||
Chemicals – Specialty | 5.4 | |||||
Commercial Services | 0.4 | |||||
Commerical Vehicles & Trucks | 1.5 | |||||
Computer Services | 0.8 | |||||
Consumer Finance | 4.1 | |||||
Diversified Industrials | 4.3 | |||||
Electrical Equipment | 5.6 | |||||
Electricity | 0.3 | |||||
Electronic Equipment | 7.3 | |||||
Engineering – General | 3.3 | |||||
Engineering Fabricators | 0.7 | |||||
Engineering & Construction | 0.5 | |||||
Fixed-Line Telecommunication Services | 2.5 | |||||
Food & Drug Retailers | 0.6 | |||||
Furnishings & Floor Coverings | 0.2 | |||||
Gas Distribution | 1.6 | |||||
Health & Personal Care | 0.8 | |||||
Hotels | 0.5 | |||||
Insurance – Non-Life | 1.8 | |||||
Investment Banks | 1.6 | |||||
Medical Equipment & Supplies | 2.5 | |||||
Non-Ferrous Metals | 1.6 | |||||
Oil & Gas – Exploration & Production | 0.7 | |||||
Packaging | 0.4 | |||||
Personal Products | 1.0 | |||||
Pharmaceuticals | 4.0 | |||||
Rail, Road & Freight | 3.5 | |||||
Real Estate Holding & Development | 3.2 | |||||
Restaurants, Pubs & Breweries | 0.9 | |||||
Retailers | 1.0 | |||||
Retailers – Multi Department | 1.6 | |||||
Retailers e-commerce | 0.8 | |||||
Shipping & Ports | 1.0 | |||||
Short-term Investments# | 8.6 | |||||
Steel | 2.0 | |||||
Telecommunications Equipment | 0.4 | |||||
Tires & Rubber | 0.6 | |||||
TOTAL INVESTMENTS | 105.1 | % | ||||
† | Industry concentrations greater than one-tenth of one percent are disclosed. | |
# | Short-term investments include securities lending collateral. |
26
Statement of Investments
Shares | Description | Value | ||||||||
Common Stocks – 97.6% | ||||||||||
Australia – 1.5% | ||||||||||
344,178 | Coates Hire Ltd. (Capital Goods) | $ | 1,498,899 | |||||||
515,235 | Great Southern Plantations Ltd.(a) (Materials) | 1,451,414 | ||||||||
2,950,313 | ||||||||||
Austria – 2.0% | ||||||||||
20,458 | Agrana Beteiligungs AG (Food Beverage & Tobacco) | 1,902,399 | ||||||||
77,022 | Semperit AG Holding (Automobiles & Components) | 2,134,728 | ||||||||
4,037,127 | ||||||||||
Bermuda – 0.5% | ||||||||||
178,454 | Energy XXI Acquisition Corp. (Bermuda) Ltd. (Energy) | 972,574 | ||||||||
Canada – 0.6% | ||||||||||
94,900 | Valkyries Petroleum Corp.* (Energy) | 1,093,089 | ||||||||
Finland – 1.3% | ||||||||||
1 | TietoEnator Oyj (Software & Services) | 36 | ||||||||
96,841 | Vacon Oyj (Capital Goods) | 2,489,167 | ||||||||
2,489,203 | ||||||||||
France – 2.4% | ||||||||||
67,089 | Saft Groupe SA* (Capital Goods) | 1,939,458 | ||||||||
79,676 | Trader Classified Media NV (Media) | 1,085,300 | ||||||||
2,243 | Vallourec SA (Capital Goods) | 1,754,907 | ||||||||
4,779,665 | ||||||||||
Germany – 9.3% | ||||||||||
11,173 | Arques Industries AG(a) (Diversified Financials) | 1,513,029 | ||||||||
55,980 | CENTROTEC Sustainable AG* (Materials) | 2,119,633 | ||||||||
190,559 | Curanum AG (Health Care Equipment & Services) | 1,749,173 | ||||||||
62,913 | ElringKlinger AG (Automobiles & Components) | 2,821,446 | ||||||||
70,884 | IDS Scheer AG(a) (Software & Services) | 1,521,014 | ||||||||
6,621 | Interhyp AG* (Banks) | 903,736 | ||||||||
104,351 | Pfleiderer AG* (Capital Goods) | 2,567,910 | ||||||||
24,602 | Surteco AG (Consumer Durables & Apparel) | 938,790 | ||||||||
102,362 | TA Triumph-Adler AG* (Commercial Services & Supplies) | 208,664 | ||||||||
40,314 | Techem AG*(a) (Commercial Services & Supplies) | 1,757,664 | ||||||||
94,377 | Thielert AG* (Automobiles & Components) | 2,126,378 | ||||||||
18,227,437 | ||||||||||
Greece – 3.0% | ||||||||||
292,500 | Bank of Cyprus Public Co. Ltd. (Banks) | 2,496,684 | ||||||||
89,810 | Greek Organization of Football Prognostics (Consumer Services) | 3,402,199 | ||||||||
5,898,883 | ||||||||||
Hong Kong – 0.7% | ||||||||||
780,000 | Techtronic Industries Co. Ltd. (Consumer Durables & Apparel) | 1,355,953 | ||||||||
India – 2.4% | ||||||||||
113,140 | Punj Lloyd Ltd.* (Capital Goods) | 2,744,492 | ||||||||
272,319 | UTI Bank Ltd. (Banks) | 2,015,190 | ||||||||
4,759,682 | ||||||||||
Indonesia – 1.2% | ||||||||||
6,730,500 | PT Bank Rakyat Indonesia (Banks) | 2,372,065 | ||||||||
Ireland – 1.8% | ||||||||||
98,180 | DCC PLC (Capital Goods) | 2,242,471 | ||||||||
72,179 | IAWS Group PLC (Food Beverage & Tobacco) | 1,205,111 | ||||||||
3,447,582 | ||||||||||
Italy – 4.4% | ||||||||||
237,338 | Astaldi SpA (Capital Goods) | 1,603,154 | ||||||||
397,000 | Gruppo Coin SpA*(a) (Retailing) | 1,803,075 | ||||||||
262,334 | Safilo SpA* (Consumer Durables & Apparel) | 1,476,078 | ||||||||
249,000 | Sirti SpA (Technology Hardware & Equipment) | 673,068 | ||||||||
119,500 | Valentino Fashion Group SpA* (Consumer Durables & Apparel) | 3,200,984 | ||||||||
8,756,359 | ||||||||||
Japan – 26.0% | ||||||||||
31,200 | ARRK Corp. (Commercial Services & Supplies) | 2,232,995 | ||||||||
98,200 | As One Corp. (Health Care Equipment & Services) | 2,381,661 | ||||||||
85,100 | ASKUL Corp.(a) (Retailing) | 2,308,509 | ||||||||
52,000 | C. Uyemura & Co. Ltd. (Materials) | 2,461,792 | ||||||||
205,000 | CKD Corp.(a) (Capital Goods) | 3,087,906 | ||||||||
433,000 | DAIHEN Corp. (Capital Goods) | 2,092,713 | ||||||||
49,000 | Eneserve Corp.(a) (Capital Goods) | 846,218 | ||||||||
102,800 | Hitachi Tool Engineering Ltd. (Capital Goods) | 2,150,648 | ||||||||
717 | Japan Wind Development Co. Ltd. (Utilities) | 1,390,756 | ||||||||
299,000 | Juki Corp.(a) (Consumer Durables & Apparel) | 1,678,644 | ||||||||
898 | kabu.com Securities Co. Ltd.*(a) (Diversified Financials) | 2,223,714 | ||||||||
55,400 | MODEC, Inc. (Energy) | 1,443,958 |
27
Statement of Investments (continued)
Shares | Description | Value | ||||||||
Common Stocks – (continued) | ||||||||||
Japan – (continued) | ||||||||||
18,057 | Moshi Moshi Hotline, Inc.(a) (Commercial Services & Supplies) | $ | 2,154,954 | |||||||
149,900 | Neturen Co., Ltd.(a) (Materials) | 1,813,270 | ||||||||
159,000 | Nihon Parkerizing Co. Ltd. (Materials) | 2,348,301 | ||||||||
94,000 | Nissha Printing Co. Ltd. (Commercial Services & Supplies) | 3,122,314 | ||||||||
147,000 | Pocket Card Co. Ltd.(a) (Diversified Financials) | 1,646,918 | ||||||||
57,200 | Resorttrust, Inc. (Consumer Services) | 1,901,351 | ||||||||
18,600 | Ryohin Keikaku Co. Ltd. (Retailing) | 1,395,714 | ||||||||
446,000 | The Higashi-Nippon Bank Ltd. (Banks) | 2,337,417 | ||||||||
81,000 | Tocalo Co. Ltd. (Capital Goods) | 2,976,815 | ||||||||
82,500 | Tohokushinsha Film Corp. (Media) | 2,498,743 | ||||||||
60,000 | Tokai Carbon Co., Ltd. (Materials) | 346,092 | ||||||||
77,500 | Tomen Electronics Corp. (Technology Hardware & Equipment) | 1,923,331 | ||||||||
96,000 | Tsumura & Co.(a) (Pharmaceuticals & Biotechnology) | 2,486,700 | ||||||||
51,251,434 | ||||||||||
Mexico – 0.7% | ||||||||||
85,675 | Axtel SA de CV*(b) (Telecommunication Services) | 1,434,097 | ||||||||
Netherlands – 5.3% | ||||||||||
38,753 | Aalberts Industries NV (Capital Goods) | 2,758,136 | ||||||||
64,687 | Ballast Nedam NV*(a) (Capital Goods) | 2,831,939 | ||||||||
165,006 | Buhrmann NV (Commercial Services & Supplies) | 2,764,661 | ||||||||
42,856 | Heijmans NV (Capital Goods) | 2,042,442 | ||||||||
10,397,178 | ||||||||||
Norway – 3.7% | ||||||||||
30,584 | Aker Kvaerner ASA* (Energy) | 2,470,814 | ||||||||
92,734 | Aktiv Kapital ASA(a) (Diversified Financials) | 1,520,820 | ||||||||
840,978 | Stepstone ASA* (Commercial Services & Supplies) | 1,552,015 | ||||||||
30,019 | TGS Nopec Geophysical Co. ASA* (Energy) | 1,691,204 | ||||||||
7,234,853 | ||||||||||
Singapore – 2.3% | ||||||||||
1,211,700 | Ascendas Real Estate Investment Trust (Real Estate) | 1,611,211 | ||||||||
1,773,000 | Citiraya Industries Ltd.* (Commercial Services & Supplies) | — | ||||||||
2,513,000 | Macquarie International Infrastructure Fund Ltd. (Banks) | 1,547,892 | ||||||||
1,503,000 | Yellow Pages (Singapore) Ltd. (Media) | 1,432,860 | ||||||||
4,591,963 | ||||||||||
South Korea – 0.9% | ||||||||||
322,340 | Kiryung Electronics Co. Ltd.* (Technology Hardware & Equipment) | 1,732,741 | ||||||||
Sweden – 1.5% | ||||||||||
173,796 | Intrum Justitia AB* (Commercial Services & Supplies) | 1,523,685 | ||||||||
293,893 | Observer AB(a) (Commercial Services & Supplies) | 1,396,066 | ||||||||
2,919,751 | ||||||||||
Switzerland – 1.3% | ||||||||||
1,121 | Jelmoli Holding AG (Retailing) | 1,811,372 | ||||||||
432 | Lindt & Spruengli AG (Food Beverage & Tobacco) | 823,726 | ||||||||
2,635,098 | ||||||||||
Taiwan – 0.4% | ||||||||||
798,000 | Career Technology (MFG.) Co. Ltd. (Semiconductors & Semiconductor Equipment) | 769,656 | ||||||||
Thailand – 0.7% | ||||||||||
584,900 | Advanced Info Service Public Co. Ltd. (Telecommunication Services) | 1,435,704 | ||||||||
United Kingdom – 23.7% | ||||||||||
773,494 | Augean PLC* (Commercial Services & Supplies) | 2,001,259 | ||||||||
1,229,221 | Billing Services Group Ltd.* (Automobiles & Components) | 1,955,115 | ||||||||
301,741 | Carter & Carter Group PLC* (Commercial Services & Supplies) | 3,014,742 | ||||||||
306,432 | Cattles PLC (Diversified Financials) | 1,864,033 | ||||||||
1,021,726 | Christian Salvesen PLC (Transportation) | 1,165,241 | ||||||||
627,055 | Chrysalis Group PLC (Media) | 1,655,086 | ||||||||
5,346,118 | Corporate Services Group PLC* (Commercial Services & Supplies) | 864,748 | ||||||||
78,053 | Cyberscan Technology, Inc.* (Consumer Services) | 622,673 |
28
Shares | Description | Value | ||||||||
Common Stocks – (continued) | ||||||||||
United Kingdom – (continued) | ||||||||||
1,496,793 | Dawnay Day Carpathian PLC* (Real Estate) | $ | 3,137,501 | |||||||
245,530 | Dignity PLC (Consumer Services) | 2,002,066 | ||||||||
896,277 | European Nickel PLC* (Materials) | 428,983 | ||||||||
160,311 | First Calgary Petroleums Ltd.* (Energy) | 1,368,558 | ||||||||
732,677 | Heywood Williams Group PLC* (Capital Goods) | 1,355,204 | ||||||||
141,448 | Imperial Energy Corp. Ltd.* (Energy) | 1,502,267 | ||||||||
235,535 | International Metal Enterprises, Inc.* (Materials) | 1,260,112 | ||||||||
694 | Luminar PLC (Consumer Services) | 5,924 | ||||||||
290,066 | M&C Saatchi (Media) | 467,553 | ||||||||
57,721 | March Networks Corp.* (Software & Services) | 1,943,969 | ||||||||
1,394,441 | MFI Furniture Group PLC (Retailing) | 2,244,195 | ||||||||
523,850 | MyTravel Group PLC* (Consumer Services) | 2,099,403 | ||||||||
32,800 | NDS Group PLC ADR* (Software & Services) | 1,579,320 | ||||||||
1,146,565 | Oriel Resources PLC* (Materials) | 633,525 | ||||||||
113,189 | Qinetiq PLC* (Capital Goods) | 393,615 | ||||||||
385,880 | Raymarine PLC (Technology Hardware & Equipment) | 2,075,619 | ||||||||
97,962 | Redrow PLC (Consumer Durables & Apparel) | 936,172 | ||||||||
256,877 | Ricardo PLC (Commercial Services & Supplies) | 1,392,317 | ||||||||
2,675,860 | Sanctuary Group PLC (Media) | 18,775 | ||||||||
184,027 | Sibir Energy PLC* (Energy) | 1,656,291 | ||||||||
570,369 | Sierra Leone Diamond Co.* (Materials) | 805,390 | ||||||||
479,696 | Strategic Equity Capital PLC* (Diversified Financials) | 921,304 | ||||||||
380,716 | Taylor Nelson Sofres PLC (Media) | 1,671,581 | ||||||||
276,820 | Unite Group PLC (Real Estate) | 2,068,799 | ||||||||
248,302 | Wolfson Microelectronics PLC* (Technology Hardware & Equipment) | 1,571,689 | ||||||||
46,683,029 | ||||||||||
TOTAL COMMON STOCKS | ||||||||||
(Cost $151,956,528) | $ | 192,225,436 | ||||||||
Principal | Interest | Maturity | ||||||||||||||
Amount | Rate | Date | Value | |||||||||||||
Short-Term Obligation – 1.4% | ||||||||||||||||
State Street Bank & Trust Euro – Time Deposit | ||||||||||||||||
$ | 2,816,000 | 4.20 | % | 03/01/2006 | $ | 2,816,000 | ||||||||||
(Cost $2,816,000) | ||||||||||||||||
Expiration | ||||||||||||||
Units | Description | Month | Value | |||||||||||
Warrants* – 0.3% | ||||||||||||||
Bermuda – 0.1% | ||||||||||||||
408,384 | Energy XXI Acquisition Corp. (Bermuda) Ltd. (Energy) | 10/2009 | $ | 294,037 | ||||||||||
United Kingdom – 0.0% | ||||||||||||||
31,958 | Oriel Resources PLC (Materials) | 02/2010 | — | |||||||||||
United States – 0.2% | ||||||||||||||
579,362 | International Metal Enterprises, Inc. (Materials) | 10/2006 | 318,648 | |||||||||||
TOTAL WARRANTS | ||||||||||||||
(Cost $246,937) | $ | 612,685 | ||||||||||||
TOTAL INVESTMENTS BEFORE SECURITIES LENDING COLLATERAL | ||||||||||||||
(Cost $155,019,465) | $ | 195,654,121 | ||||||||||||
29
Statement of Investments (continued)
Shares | Description | Value | ||||||||
Securities Lending Collateral – 9.1% | ||||||||||
17,903,580 | Boston Global Investment Trust – Enhanced Portfolio | $ | 17,903,580 | |||||||
(Cost $17,903,580) | ||||||||||
TOTAL INVESTMENTS – 108.4% | ||||||||||
(Cost $172,923,045) | $ | 213,557,701 | ||||||||
The percentage shown for each investment category reflects the value of investments in that category as a percentage of net assets. |
* | Non-income producing security. | |
(a) | All or a portion of security is on loan. | |
(b) | Securities are exempt from registration under Rule 144A of the Securities Act of 1933. Under procedures approved by the Board of Trustees, such securities have been determined to be liquid by the Investment Adviser and may be resold, normally to qualified institutional buyers in transactions exempt from registration. Total market value of Rule 144A securities amounts to $1,434,097, which represents approximately 0.7% of net assets as of February 28, 2006. |
Investment Abbreviation: | ||||||
ADR | — | American Depositary Receipt | ||||
As a % of | ||||||
Net Assets | ||||||
Investments Industry Classifications† | ||||||
Automobiles & Components | 4.6 | % | ||||
Banks | 6.1 | |||||
Capital Goods | 19.0 | |||||
Commercial Services & Supplies | 11.7 | |||||
Consumer Durables & Apparel | 4.9 | |||||
Consumer Services | 5.1 | |||||
Diversified Financials | 4.7 | |||||
Energy | 6.3 | |||||
Food Beverage & Tobacco | 2.0 | |||||
Healthcare Equipment & Services | 2.1 | |||||
Materials | 7.1 | |||||
Media | 4.9 | |||||
Pharmaceuticals & Biotechnology | 1.3 | |||||
Real Estate | 3.5 | |||||
Retailing | 4.8 | |||||
Semiconductors & Semiconductor Equipment | 0.4 | |||||
Short-term Investments# | 10.5 | |||||
Software & Services | 2.6 | |||||
Technology Hardware & Equipment | 4.0 | |||||
Telecommunication Services | 1.5 | |||||
Transportation | 0.6 | |||||
Utilities | 0.7 | |||||
TOTAL INVESTMENTS | 108.4 | % | ||||
† | Industry concentrations greater than one-tenth of one percent are disclosed. | |
# | Short-term investments include securities lending collateral. |
ADDITIONAL INVESTMENT INFORMATION |
FUTURES CONTRACTS — At February 28, 2006, the following futures contracts were open as follows:
Number of | ||||||||||||||
Contracts | Settlement | Market | Unrealized | |||||||||||
Type | Long | Month | Value | Gain | ||||||||||
Dow Jones Euro Stoxx 50 Index | 32 | March 2006 | $ | 1,440,819 | $ | 90,039 | ||||||||
FTSE 100 Index | 6 | March 2006 | 606,691 | 25,743 | ||||||||||
$ | 2,047,510 | $ | 115,782 | |||||||||||
30
Statement of Investments
Shares | Description | Value | ||||||||
Common Stocks – 80.6% | ||||||||||
Austria – 1.4% | ||||||||||
148,312 | Erste Bank der oesterreichischen Sparkassen AG* (Banks) | $ | 8,864,887 | |||||||
Brazil – 6.4% | ||||||||||
316,300 | Banco Itau Holding Financeira SA ADR(a) (Banks) | 10,336,684 | ||||||||
89,600 | Petroleo Brasileiro SA ADR Voting Shares (Energy) | 7,843,584 | ||||||||
217,700 | Petroleo Brasileiro SA ADR (Energy) | 17,409,469 | ||||||||
290,174 | Vivax SA* (Media) | 3,696,353 | ||||||||
39,286,090 | ||||||||||
China – 4.7% | ||||||||||
16,802,000 | China Petroleum and Chemical Corp. (Sinopec) Class H (Energy) | 9,996,217 | ||||||||
8,449,000 | PetroChina Co. Ltd. Class H (Energy) | 8,216,669 | ||||||||
1,064,000 | Weichai Power Co. Ltd. Class H (Capital Goods) | 1,721,881 | ||||||||
10,323,600 | Yanzhou Coal Mining Co. Ltd. Class H (Energy) | 8,411,359 | ||||||||
28,346,126 | ||||||||||
Hong Kong – 2.2% | ||||||||||
15,523,000 | China Construction Bank Class H*(b) (Banks) | 7,253,364 | ||||||||
3,428,000 | China Netcom Group Corp. (Hong Kong) Ltd. (Telecommunication Services) | 6,086,582 | ||||||||
13,339,946 | ||||||||||
Hungary – 2.1% | ||||||||||
170,915 | OTP Bank Rt. GDR(a) (Banks) | 12,801,533 | ||||||||
India – 6.0% | ||||||||||
863,187 | Bharti Tele-Ventures Ltd.* (Telecommunication Services) | 7,049,077 | ||||||||
125,548 | Infosys Technologies Ltd. (Software & Services) | 7,970,920 | ||||||||
127,908 | Jet Airways (India) Ltd.* (Transportation) | 2,861,617 | ||||||||
231,005 | Tata Consultancy Services Ltd. (Software & Services) | 8,781,008 | ||||||||
1,299,217 | UTI Bank Ltd. (Banks) | 9,614,348 | ||||||||
36,276,970 | ||||||||||
Indonesia – 3.2% | ||||||||||
26,622,500 | PT Bank Rakyat Indonesia (Banks) | 9,382,706 | ||||||||
15,353,000 | PT Telekomunikasi Indonesia (Telecommunication Services) | 10,158,565 | ||||||||
19,541,271 | ||||||||||
Israel – 1.6% | ||||||||||
228,280 | Teva Pharmaceutical Industries Ltd. ADR(a) (Pharmaceuticals & Biotechnology) | $ | 9,585,477 | |||||||
Malaysia – 0.0% | ||||||||||
35,726 | Kris Components Berhad (Technology Hardware & Equipment) | 25,292 | ||||||||
Mexico – 7.0% | ||||||||||
471,300 | America Movil SA de CV ADR (Telecommunication Services) | 16,368,249 | ||||||||
2,613,343 | Axtel, S.A. de CV* (Telecommunication Services) | 6,239,590 | ||||||||
4,272,500 | Grupo Financiero Banorte SA de CV Class B (Banks) | 10,425,308 | ||||||||
1,277,665 | Urbi, Desarrollos Urbanos SA de CV* (Consumer Durables & Apparel) | 9,782,218 | ||||||||
42,815,365 | ||||||||||
Russia – 9.8% | ||||||||||
303,400 | LUKOIL ADR(a) (Energy) | 24,240,813 | ||||||||
124,508 | Mobile TeleSystems (Telecommunication Services) | 880,272 | ||||||||
342,803 | Mobile Telesystems ADR (Telecommunication Services) | 12,364,904 | ||||||||
54,950 | North-West Telecom ADR (Telecommunication Services) | 3,324,475 | ||||||||
338,719 | Novolipetsk Steel GDR*(b) (Materials) | 7,113,099 | ||||||||
155,797 | OAO Open Investments GDR* (Real Estate) | 2,726,447 | ||||||||
164,847 | Pyaterochka Holdings NV GDR (Food & Staples Retailing) | 2,626,013 | ||||||||
697,476 | VolgaTelecom ADR (Telecommunication Services) | 6,102,915 | ||||||||
59,378,938 | ||||||||||
South Africa – 10.4% | ||||||||||
407,496 | ABSA Group Ltd. (Banks) | 7,569,316 | ||||||||
583,964 | Harmony Gold Mining Co. Ltd. ADR* (Materials) | 8,064,670 | ||||||||
658,740 | JD Group Ltd. (Retailing) | 9,787,640 | ||||||||
916,133 | Massmart Holdings Ltd. (Food & Staples Retailing) | 8,999,580 | ||||||||
275,907 | Sasol (Energy) | 9,448,375 | ||||||||
731,307 | Standard Bank Group Ltd. (Banks) | 9,336,435 | ||||||||
372,892 | Telkom South Africa Ltd. (Telecommunication Services) | 9,810,923 | ||||||||
63,016,939 | ||||||||||
31
Statement of Investments (continued)
Shares | Description | Value | ||||||||
Common Stocks – (continued) | ||||||||||
South Korea – 10.2% | ||||||||||
93,791 | Hana Financial Group, Inc.* (Banks) | $ | 4,008,575 | |||||||
127,190 | Hyundai Mobis (Automobiles & Components) | 10,693,729 | ||||||||
267,771 | Kookmin Bank (Banks) | 20,296,295 | ||||||||
465,177 | Lotte Shopping Co., Ltd. GDR*(a)(b) (Retailing) | 9,829,190 | ||||||||
12,986 | Samsung Electronics Co. Ltd. (Semiconductors & Semiconductor Equipment) | 9,104,146 | ||||||||
207,530 | Shinhan Financial Group Co. Ltd. (Banks) | 8,107,836 | ||||||||
62,039,771 | ||||||||||
Taiwan – 10.6% | ||||||||||
4,660,976 | Career Technology (MFG.) Co. Ltd. (Semiconductors & Semiconductor Equipment) | 4,495,426 | ||||||||
814,000 | Catcher Technology Co., Ltd. (Technology Hardware & Equipment) | 6,372,937 | ||||||||
7,102,000 | China Steel Corp. (Materials) | 6,425,979 | ||||||||
2,044,447 | Hon Hai Precision (Technology Hardware & Equipment) | 12,927,579 | ||||||||
1,220,000 | Hotai Motor Co. Ltd. (Automobiles & Components) | 2,962,456 | ||||||||
3,460,900 | Hsinchu International Bank (Banks) | 1,884,632 | ||||||||
940,000 | Hung Poo Real Estate Development Corp. (Real Estate) | 663,888 | ||||||||
4,560,700 | Quanta Computer, Inc. (Technology Hardware & Equipment) | 6,947,222 | ||||||||
7,992,000 | Shin Kong Financial Holding Co. Ltd. (Insurance) | 6,908,411 | ||||||||
7,975,132 | Taiwan Semiconductor* (Semiconductors & Semiconductor Equipment) | 14,777,574 | ||||||||
64,366,104 | ||||||||||
Turkey – 3.5% | ||||||||||
52,593 | Turkcell Iletisim Hizmetleri AS ADR (Telecommunication Services) | 946,148 | ||||||||
3,125,071 | Turkiye Garanti Bankasi A.S.* (Banks) | 14,055,440 | ||||||||
666,476 | Turkiye Is Bankasi Series C (Banks) | 6,293,354 | ||||||||
21,294,942 | ||||||||||
United Kingdom – 1.5% | ||||||||||
2,740,263 | Old Mutual PLC (Insurance) | 9,021,873 | ||||||||
TOTAL COMMON STOCKS | ||||||||||
(Cost $399,830,030) | $ | 490,001,524 | ||||||||
Exchange Traded Fund(a) – 3.3% | ||||||||||
United States – 3.3% | ||||||||||
209,700 | iShares MSCI Emerging Markets Index | $ | 20,319,930 | |||||||
Preferred Stocks – 14.2% | ||||||||||
Brazil – 6.6% | ||||||||||
7,339,000 | Caemi Mineracao E Metalurgica SA (Materials) | $ | 12,649,277 | |||||||
172,800 | Companhia de Bebidas das Americas ADR (Food Beverage & Tobacco) | 7,333,632 | ||||||||
281,866 | Telemar Norte Leste SA (Telecommunication Services) | 8,322,580 | ||||||||
18,323 | Telemig Celular SA Class G (Telecommunication Services) | 5,781,215 | ||||||||
158,600 | Tim Participacoes SA ADR(a) (Telecommunication Services) | 5,931,640 | ||||||||
40,018,344 | ||||||||||
South Korea – 7.6% | ||||||||||
240,570 | Hyundai Motor Co. Ltd. (Automobiles & Components) | 12,840,504 | ||||||||
63,598 | Samsung Electronics Co. Ltd. (Semiconductors & Semiconductor Equipment) | 33,652,614 | ||||||||
46,493,118 | ||||||||||
TOTAL PREFERRED STOCKS | ||||||||||
(Cost $66,938,718) | $ | 86,511,462 | ||||||||
Expiration | ||||||||||||||
Units | Description | Month | Value | |||||||||||
Right* – 0.0% | ||||||||||||||
Thailand – 0.0% | ||||||||||||||
91,200 | TelecomAsia Corp. Public – Alien Market (Telecommunication Services) | 04/2008 | $ | — | ||||||||||
(Cost $0) | ||||||||||||||
32
Principal | Interest | Maturity | ||||||||||||||
Amount | Rate | Date | Value | |||||||||||||
Short-Term Obligation – 1.0% | ||||||||||||||||
State Street Bank & Trust Euro – Time Deposit | ||||||||||||||||
$ | 5,861,000 | 4.20 | % | 03/01/2006 | $ | 5,861,000 | ||||||||||
(Cost $5,861,000) | ||||||||||||||||
TOTAL INVESTMENTS BEFORE SECURITIES LENDING COLLATERAL | ||||||||||||||||
(Cost $491,542,328) | $ | 602,693,916 | ||||||||||||||
Shares | Description | Value | ||||||||
Securities Lending Collateral – 8.0% | ||||||||||
48,627,900 | Boston Global Investment Trust – Enhanced Portfolio | $ | 48,627,900 | |||||||
(Cost $48,627,900) | ||||||||||
TOTAL INVESTMENTS – 107.1% | ||||||||||
(Cost $540,170,228) | $ | 651,321,816 | ||||||||
The percentage shown for each investment category reflects the value of investments in that category as a percentage of net assets. |
* | Non-income producing security. | |
(a) | All or a portion of security is on loan. | |
(b) | Securities are exempt from registration under Rule 144A of the Securities Act of 1933. Under procedures approved by the Board of Trustees, such securities have been determined to be liquid by the Investment Adviser and may be resold, normally to qualified institutional buyers in transactions exempt from registration. Total market value of Rule 144A securities amounts to $24,195,653, which represents approximately 4.0% of net assets as of February 28, 2006. |
Investment Abbreviations: | ||||||
ADR | — | American Depositary Receipt | ||||
GDR | — | Global Depositary Receipt | ||||
As a % of | ||||||
Net Assets | ||||||
Investments Stock Industry Classifications† | ||||||
Automobiles & Components | 4.4 | % | ||||
Banks | 23.1 | |||||
Capital Goods | 0.3 | |||||
Consumer Durables & Apparel | 1.6 | |||||
Energy | 14.0 | |||||
Exchange Traded Funds | 3.3 | |||||
Food Beverage & Tobacco | 1.2 | |||||
Food & Staples Retailing | 1.9 | |||||
Insurance | 2.6 | |||||
Materials | 5.6 | |||||
Media | 0.6 | |||||
Pharmaceuticals & Biotechnology | 1.6 | |||||
Real Estate | 0.6 | |||||
Retailing | 3.2 | |||||
Semiconductors & Semiconductor Equipment | 10.2 | |||||
Short-term Investments# | 9.0 | |||||
Software & Services | 2.8 | |||||
Technology Hardware & Equipment | 4.3 | |||||
Telecommunication Services | 16.3 | |||||
Transportation | 0.5 | |||||
TOTAL INVESTMENTS | 107.1 | % | ||||
† | Industry concentrations greater than one-tenth of one percent are disclosed. | |
# | Short-term investments include securities lending collateral. |
33
Statement of Investments (continued)
ADDITIONAL INVESTMENT INFORMATION |
FORWARD FOREIGN CURRENCY CONTRACTS — At February 28, 2006, the Fund had outstanding forward foreign currency exchange contracts to purchase foreign currencies as follows:
Unrealized | ||||||||||||||||||||
Open Forward Foreign Currency | Expiration | Value on | Current | |||||||||||||||||
Purchase Contracts | Date | Settlement Date | Value | Gain | (Loss) | |||||||||||||||
Indonesian Rupiah | 03/02/2006 | $ | 1,340,019 | $ | 1,341,114 | $ | 1,095 | $ | — | |||||||||||
South African Rand | 03/03/2006 | 9,836 | 9,691 | — | (145 | ) | ||||||||||||||
03/07/2006 | 3,163,522 | 3,156,475 | — | (7,047 | ) | |||||||||||||||
TOTAL OPEN FORWARD FOREIGN CURRENCY PURCHASE CONTRACTS | $ | 4,513,377 | $ | 4,507,280 | $ | 1,095 | $ | (7,192 | ) | |||||||||||
34
Statement of Investments
Shares | Description | Value | ||||||||
Common Stocks – 88.0% | ||||||||||
China – 8.3% | ||||||||||
587,000 | China Mobile (Hong Kong) Ltd. (Telecommunication Services) | $ | 2,839,913 | |||||||
5,464,000 | China Overseas Land & Investment Ltd. (Real Estate) | 2,950,277 | ||||||||
4,388,000 | China Petroleum and Chemical Corp. (Sinopec) Class H (Energy) | 2,610,606 | ||||||||
1,455,000 | CNOOC Ltd. (Energy) | 1,205,774 | ||||||||
2,276,000 | PetroChina Co. Ltd. Class H (Energy) | 2,213,414 | ||||||||
106,000 | Weichai Power Co. Ltd. Class H (Capital Goods) | 171,541 | ||||||||
11,991,525 | ||||||||||
Hong Kong – 16.5% | ||||||||||
180,000 | Cheung Kong (Holdings) Ltd. (Real Estate) | 1,889,091 | ||||||||
5,154,000 | China Construction Bank Class H*(a) (Banks) | 2,408,287 | ||||||||
633,000 | China Netcom Group Corp. (Hong Kong) Ltd. (Telecommunication Services) | 1,123,923 | ||||||||
699,720 | Dah Sing Banking Group Ltd. (Banks) | 1,373,821 | ||||||||
565,500 | Esprit Holdings Ltd. (Retailing) | 4,324,883 | ||||||||
345,000 | Hongkong Land Holdings Ltd. (Real Estate) | 1,229,478 | ||||||||
256,500 | Hutchison Whampoa Ltd. (Capital Goods) | 2,433,174 | ||||||||
3,284,000 | Kasen International Holdings Ltd.* (Consumer Durables & Apparel) | 1,015,945 | ||||||||
774,000 | Shangri-La Asia Ltd. (Consumer Services) | 1,237,432 | ||||||||
1,494,000 | Sino Land Co. Ltd. (Real Estate) | 2,237,331 | ||||||||
2,175,000 | Techtronic Industries Co. Ltd. (Consumer Durables & Apparel) | 3,781,021 | ||||||||
1,052,000 | Texwinca Holdings Ltd. (Consumer Durables & Apparel) | 827,183 | ||||||||
23,881,569 | ||||||||||
India – 10.3% | ||||||||||
271,491 | Bharti Tele-Ventures Ltd.* (Telecommunication Services) | 2,217,087 | ||||||||
4,829 | Hindustan Lever Ltd. (Household & Personal Products) | 26,355 | ||||||||
67,351 | ICICI Bank Ltd. (Banks) | 925,860 | ||||||||
45,100 | Infosys Technologies Ltd. (Software & Services) | 2,863,355 | ||||||||
368,854 | ITC Ltd. (Food Beverage & Tobacco) | 1,427,862 | ||||||||
38,108 | Nagarjuna Construction Co. Ltd. (Capital Goods) | 264,257 | ||||||||
167,213 | Nagarjuna Construction Co. Ltd. GDR* (Capital Goods) | 1,120,327 | ||||||||
121,510 | Punj Lloyd Ltd.* (Capital Goods) | 2,947,527 | ||||||||
432,398 | UTI Bank Ltd. (Banks) | 3,199,793 | ||||||||
14,992,423 | ||||||||||
Indonesia – 6.7% | ||||||||||
9,193,500 | PT Bank Rakyat Indonesia (Banks) | 3,240,113 | ||||||||
6,168,500 | PT Medco Energi Internasional Tbk (Energy) | 2,765,993 | ||||||||
5,494,600 | PT Telekomunikasi Indonesia (Telecommunication Services) | 3,635,592 | ||||||||
9,641,698 | ||||||||||
Malaysia – 1.9% | ||||||||||
2,464,000 | IGB Corp. Berhad (Real Estate) | 756,113 | ||||||||
92,049 | Kris Components Berhad (Technology Hardware & Equipment) | 65,165 | ||||||||
25 | Public Bank Berhad – Foreign Market (Banks) | 45 | ||||||||
200 | SP Setia Berhad (Real Estate) | 182 | ||||||||
839,000 | Tenaga Nasional Berhad (Utilities) | 1,998,695 | ||||||||
2,820,200 | ||||||||||
Singapore – 6.9% | ||||||||||
1,141,400 | Ascendas Real Estate Investment Trust (Real Estate) | 1,517,732 | ||||||||
1,781,000 | Citiraya Industries Ltd.* (Commercial Services & Supplies) | — | ||||||||
3,457,000 | Macquarie International Infrastructure Fund Ltd. (Banks) | 2,129,352 | ||||||||
1,314,000 | Mapletree Logistics Trust (Real Estate) | 831,621 | ||||||||
314,400 | Oversea-Chinese Banking Corp. Ltd. (Banks) | 1,313,466 | ||||||||
1,508,000 | StarHub Ltd. (Telecommunication Services) | 2,027,776 | ||||||||
138,412 | United Overseas Bank Ltd. (Banks) | 1,273,954 | ||||||||
13,841 | United Overseas Land Ltd. (Real Estate) | 22,750 | ||||||||
916,000 | Yellow Pages (Singapore) Ltd. (Media) | 873,254 | ||||||||
9,989,905 | ||||||||||
South Korea – 18.4% | ||||||||||
9,071 | CJ Home Shopping (Retailing) | 1,074,243 | ||||||||
33,460 | Daishin Securities Co. (Diversified Financials) | 757,242 | ||||||||
99,793 | Hana Financial Group, Inc.* (Banks) | 4,265,097 | ||||||||
32,240 | Hyundai Mobis (Automobiles & Components) | 2,710,636 | ||||||||
166,702 | Kiryung Electronics Co. Ltd.* (Technology Hardware & Equipment) | 896,108 | ||||||||
89,495 | Kookmin Bank (Banks) | 6,783,472 |
35
Statement of Investments (continued)
Shares | Description | Value | ||||||||
Common Stocks – (continued) | ||||||||||
South Korea – (continued) | ||||||||||
85,006 | Lotte Shopping Co., Ltd. GDR*(a) (Retailing) | $ | 1,796,177 | |||||||
12,000 | Samsung Electronics Co. Ltd. (Semiconductors & Semiconductor Equipment) | 8,412,887 | ||||||||
59 | SK Telecom Co. Ltd. (Telecommunication Services) | 12,261 | ||||||||
26,708,123 | ||||||||||
Taiwan – 17.2% | ||||||||||
558,504 | AU Optronics Corp. (Technology Hardware & Equipment) | 892,333 | ||||||||
1,132,447 | Career Technology (MFG.) Co. Ltd. (Semiconductors & Semiconductor Equipment) | 1,092,225 | ||||||||
299,000 | Catcher Technology Co., Ltd. (Technology Hardware & Equipment) | 2,340,919 | ||||||||
34,933 | Chinatrust Financial Holding Co. Ltd. (Diversified Financials) | 29,301 | ||||||||
32,872 | Compal Electronics, Inc. (Technology Hardware & Equipment) | 30,576 | ||||||||
1,916,500 | First Financial Holding Co. Ltd. (Diversified Financials) | 1,476,946 | ||||||||
588,776 | Hon Hai Precision (Technology Hardware & Equipment) | 3,722,986 | ||||||||
421,000 | Hotai Motor Co. Ltd. (Automobiles & Components) | 1,022,290 | ||||||||
1,292,000 | Hsinchu International Bank (Banks) | 703,558 | ||||||||
279,000 | MediaTek, Inc. (Semiconductors & Semiconductor Equipment) | 2,855,620 | ||||||||
12,314 | Nan Ya Plastic Corp. (Materials) | 17,419 | ||||||||
843,477 | Quanta Computer, Inc. (Technology Hardware & Equipment) | 1,284,852 | ||||||||
1,659,000 | Shin Kong Financial Holding Co. Ltd. (Insurance) | 1,434,066 | ||||||||
2,100,000 | SinoPac Holdings Co. Ltd. (Banks) | 1,110,916 | ||||||||
720,720 | Synnex Technology International Corp. (Technology Hardware & Equipment) | 893,946 | ||||||||
101 | Taishin Financial Holdings Co. Ltd. (Banks) | 61 | ||||||||
2,719,160 | Taiwan Semiconductor* (Semiconductors & Semiconductor Equipment) | 5,038,486 | ||||||||
1,790,504 | United Microelectronics Corp. (Semiconductors & Semiconductor Equipment) | 1,044,179 | ||||||||
24,990,679 | ||||||||||
Thailand – 1.8% | ||||||||||
411,500 | Advanced Info Service Public Co. Ltd. (Telecommunication Services) | 1,010,074 | ||||||||
3,648,900 | Amata Corp. Public Co. Ltd. (Real Estate) | 1,567,413 | ||||||||
2,577,487 | ||||||||||
TOTAL COMMON STOCKS | ||||||||||
(Cost $102,203,392) | $ | 127,593,609 | ||||||||
Exchange Traded Fund – 0.6% | ||||||||||
Thailand – 0.6% | ||||||||||
3,080,060 | CPN Retail Growth Property Fund* | |||||||||
(Cost $816,177) | $ | 858,416 | ||||||||
Preferred Stocks – 7.5% | ||||||||||
South Korea – 7.5% | ||||||||||
91,930 | Daishin Securities Co. (Diversified Financials) | $ | 1,537,500 | |||||||
98,280 | Hyundai Motor Co. Ltd. (Automobiles & Components) | 5,257,071 | ||||||||
7,810 | Samsung Electronics Co. Ltd. (Semiconductors & Semiconductor Equipment) | 4,132,628 | ||||||||
10,927,199 | ||||||||||
TOTAL PREFERRED STOCKS | ||||||||||
(Cost $7,316,179) | $ | 10,927,199 | ||||||||
Expiration | ||||||||||||||
Units | Description | Month | Value | |||||||||||
Right* – 0.0% | ||||||||||||||
Thailand – 0.0% | ||||||||||||||
198,411 | TelecomAsia Corp. | 04/2008 | ||||||||||||
Public – Alien Market | ||||||||||||||
(Telecommunication Services) | ||||||||||||||
(Cost $0) | $ | — | ||||||||||||
36
Principal | Interest | Maturity | ||||||||||||||
Amount | Rate | Date | Value | |||||||||||||
Short-Term Obligation – 3.1% | ||||||||||||||||
State Street Bank & Trust Euro – Time Deposit | ||||||||||||||||
$ | 4,500,000 | 4.20 | % | 03/01/2006 | $ | 4,500,000 | ||||||||||
(Cost $4,500,000) | ||||||||||||||||
TOTAL INVESTMENTS – 99.2% | ||||||||||||||||
(Cost $114,835,748) | $ | 143,879,224 | ||||||||||||||
The percentage shown for each investment category reflects the value of investments in that category as a percentage of net assets. |
* | Non-income producing security. | |
(a) | Securities are exempt from registration under Rule 144A of the Securities Act of 1933. Under procedures approved by the Board of Trustees, such securities have been determined to be liquid by the Investment Adviser and may be resold, normally to qualified institutional buyers in transactions exempt from registration. Total market value of Rule 144A securities amounts to $4,204,464, which represents approximately 2.9% of net assets as of February 28, 2006. |
Investment Abbreviation: | ||||||
GDR | — | Global Depository Receipt | ||||
As a % of | ||||||
Net Assets | ||||||
Investments Industry Classifications† | ||||||
Automobiles & Components | 6.2 | % | ||||
Banks | 19.8 | |||||
Capital Goods | 4.8 | |||||
Consumer Durables & Apparel | 3.9 | |||||
Consumer Services | 0.9 | |||||
Diversified Financials | 2.6 | |||||
Energy | 6.1 | |||||
Food Beverage & Tobacco | 0.9 | |||||
Insurance | 0.9 | |||||
Media | 0.5 | |||||
Real Estate | 9.6 | |||||
Retailing | 5.0 | |||||
Semiconductors & Semiconductor Equipment | 15.6 | |||||
Short-term Investment | 3.1 | |||||
Software & Services | 2.0 | |||||
Technology Hardware & Equipment | 7.0 | |||||
Telecommunication Services | 8.9 | |||||
Utilities | 1.4 | |||||
TOTAL INVESTMENTS | 99.2 | % | ||||
† | Industry concentrations greater than one-tenth of one percent are disclosed. |
37
Statements of Assets and Liabilities
European | |||||||||
Equity Fund | |||||||||
Assets: | |||||||||
Investment in securities, at value (identified cost $41,255,079, $356,132,847, $51,524,349, $155,019,465, $491,542,328 and $114,835,748, respectively) — including $2,544,200, $37,260,290, $4,767,935, $17,903,580, $48,627,900 and $0 of securities on loan, respectively | $ | 47,038,742 | |||||||
Securities lending collateral, at value (cost $2,367,722, $34,865,965, $4,527,679, $16,978,401, $46,444,835 and $0, respectively) | 2,544,200 | ||||||||
Cash | 37,776 | ||||||||
Foreign currencies, at value (identified cost $0, $6,634, $585,969, $0, $2,239,154 and $604,055, respectively) | — | ||||||||
Receivables: | |||||||||
Investment securities sold, at value | 1,084,513 | ||||||||
Fund shares sold | 90,134 | ||||||||
Dividends and interest, at value | 39,574 | ||||||||
Reimbursement from investment adviser | 49,297 | ||||||||
Due from broker(a) | 3,091 | ||||||||
Securities lending income | 159 | ||||||||
Foreign tax reclaims, at value | 454 | ||||||||
Forward foreign currency exchange contracts, at value | — | ||||||||
Other assets | 551 | ||||||||
Total assets | 50,888,491 | ||||||||
Liabilities: | |||||||||
Due to custodian for U.S. Cash | — | ||||||||
Due to custodian for foreign currencies, at value (identified cost ($530,750), $0, $0, ($283,547), $0, and $0, respectively) | 530,717 | ||||||||
Payables: | |||||||||
Payable upon return of securities loaned | 2,544,200 | ||||||||
Investment securities purchased, at value | 1,582,417 | ||||||||
Fund shares repurchased | 121,890 | ||||||||
Amounts owed to affiliates | 44,828 | ||||||||
Unrealized foreign capital gains taxes | — | ||||||||
Forward foreign currency exchange contracts, at value | — | ||||||||
Accrued expenses | 78,312 | ||||||||
Total liabilities | 4,902,364 | ||||||||
Net Assets: | |||||||||
Paid-in capital | 69,308,595 | ||||||||
Accumulated net investment loss | (48,935 | ) | |||||||
Accumulated net realized gain (loss) on investments, futures and foreign currency related transactions | (29,066,721 | ) | |||||||
Net unrealized gain on investments, futures and translation of assets and liabilities denominated in foreign currencies | 5,793,188 | ||||||||
NET ASSETS | $ | 45,986,127 | |||||||
Net Assets: | |||||||||
Class A | $ | 17,411,293 | |||||||
Class B | 2,347,390 | ||||||||
Class C | 1,055,739 | ||||||||
Institutional | 22,452,918 | ||||||||
Service | 2,718,787 | ||||||||
Shares Outstanding: | |||||||||
Class A | 1,299,697 | ||||||||
Class B | 180,943 | ||||||||
Class C | 81,215 | ||||||||
Institutional | 1,659,290 | ||||||||
Service | 205,288 | ||||||||
Total shares outstanding, $0.001 par value (unlimited number of shares authorized) | 3,426,433 | ||||||||
Net asset value, offering and redemption price per share:(b) | |||||||||
Class A | $13.40 | ||||||||
Class B | 12.97 | ||||||||
Class C | 13.00 | ||||||||
Institutional | 13.53 | ||||||||
Service | 13.24 | ||||||||
(a) | Includes $52,500 and $119,964 for the European Equity and the International Small Cap Funds, respectively, relating to initial margin requirements for futures transactions. |
(b) | Maximum public offering price per share (NAV per share multiplied by 1.0582) for Class A Shares of European Equity, International Equity, Japanese Equity, International Small Cap, Emerging Markets Equity and Asia Equity Funds is $14.18, $21.31, $12.63, $19.50, $21.62 and $16.31, 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. |
38
International | Japanese | International | Emerging Markets | Asia | ||||||||||||||||||
Equity Fund | Equity Fund | Small Cap Fund | Equity Fund | Equity Fund | ||||||||||||||||||
$ | 461,306,780 | $ | 65,697,942 | $ | 195,654,121 | $ | 602,693,916 | $ | 143,879,224 | |||||||||||||
37,260,290 | 4,767,935 | 17,903,580 | 48,627,900 | — | ||||||||||||||||||
2,005,273 | 237 | 232,000 | 3,792,497 | — | ||||||||||||||||||
6,654 | 591,689 | — | 2,239,072 | 601,678 | ||||||||||||||||||
— | 666,057 | 2,421,467 | 17,086,167 | 85,851 | ||||||||||||||||||
1,188,898 | 357,654 | 1,346,385 | 10,200,020 | 450,613 | ||||||||||||||||||
480,020 | 30,902 | 20,719 | 1,046,972 | 318,145 | ||||||||||||||||||
15,516 | 27,529 | 47,583 | — | 57,748 | ||||||||||||||||||
— | — | 83,542 | — | — | ||||||||||||||||||
4,608 | 1,598 | 12,119 | 14,247 | — | ||||||||||||||||||
14,622 | — | — | 3,025 | 6,005 | ||||||||||||||||||
— | — | — | 1,095 | — | ||||||||||||||||||
6,137 | 1,123 | 2,612 | 5,349 | 1,821 | ||||||||||||||||||
502,288,798 | 72,142,666 | 217,724,128 | 685,710,260 | 145,401,085 | ||||||||||||||||||
— | — | — | — | 5,594 | ||||||||||||||||||
— | — | 290,766 | — | — | ||||||||||||||||||
37,260,290 | 4,767,935 | 17,903,580 | 48,627,900 | — | ||||||||||||||||||
2,004,803 | 147,982 | 1,713,587 | 27,763,153 | — | ||||||||||||||||||
1,991,673 | 18,833 | 413,624 | 61,163 | 24,150 | ||||||||||||||||||
506,202 | 73,251 | 211,014 | 630,647 | 150,534 | ||||||||||||||||||
— | — | 16,094 | 211,961 | 67,242 | ||||||||||||||||||
— | — | — | 7,192 | — | ||||||||||||||||||
164,459 | 85,638 | 97,937 | 173,092 | 106,996 | ||||||||||||||||||
41,927,427 | 5,093,639 | 20,646,602 | 77,475,108 | 354,516 | ||||||||||||||||||
880,623,710 | 74,781,428 | 284,895,964 | 483,140,077 | 191,219,640 | ||||||||||||||||||
(1,627,484 | ) | (962,826 | ) | (1,133,512 | ) | (1,009,643 | ) | (329,725 | ) | |||||||||||||
(523,812,268 | ) | (20,950,375 | ) | (127,422,223 | ) | 15,165,555 | (74,829,355 | ) | ||||||||||||||
105,177,413 | 14,180,800 | 40,737,297 | 110,939,163 | 28,986,009 | ||||||||||||||||||
$ | 460,361,371 | $ | 67,049,027 | $ | 197,077,526 | $ | 608,235,152 | $ | 145,046,569 | |||||||||||||
$ | 352,367,873 | $ | 42,644,200 | $ | 98,797,639 | $ | 256,771,249 | $ | 92,631,130 | |||||||||||||
14,536,795 | 3,105,613 | 5,987,062 | 12,214,899 | 5,615,042 | ||||||||||||||||||
20,763,308 | 4,398,619 | 7,554,945 | 13,193,143 | 3,131,996 | ||||||||||||||||||
71,894,527 | 16,657,565 | 84,212,425 | 324,095,633 | 43,668,401 | ||||||||||||||||||
798,868 | 243,030 | 525,455 | 1,960,228 | — | ||||||||||||||||||
17,492,103 | 3,571,085 | 5,360,990 | 12,566,531 | 6,011,283 | ||||||||||||||||||
744,798 | 270,319 | 336,488 | 619,417 | 379,082 | ||||||||||||||||||
1,085,792 | 383,950 | 426,290 | 668,533 | 212,638 | ||||||||||||||||||
3,495,287 | 1,346,472 | 4,424,182 | 15,248,750 | 2,697,685 | ||||||||||||||||||
39,348 | 20,086 | 28,552 | 97,102 | — | ||||||||||||||||||
22,857,328 | 5,591,912 | 10,576,502 | 29,200,333 | 9,300,688 | ||||||||||||||||||
$20.14 | $11.94 | $18.43 | $20.43 | $15.41 | ||||||||||||||||||
19.52 | 11.49 | 17.79 | 19.72 | 14.81 | ||||||||||||||||||
19.12 | 11.46 | 17.72 | 19.73 | 14.73 | ||||||||||||||||||
20.57 | 12.37 | 19.03 | 21.25 | 16.19 | ||||||||||||||||||
20.30 | 12.10 | 18.40 | 20.19 | — | ||||||||||||||||||
39
Statements of Operations
European | |||||||
Equity Fund | |||||||
Investment Income: | |||||||
Dividends(b) | $ | 169,716 | |||||
Interest (including securities lending income of $4,468, $48,614, $16,467, $58,692, $56,331 and $0, respectively) | 16,915 | ||||||
Total income | 186,631 | ||||||
Expenses: | |||||||
Management fees | 180,883 | ||||||
Distribution and Service fees(c) | 39,605 | ||||||
Custody and accounting fees | 85,882 | ||||||
Transfer Agent fees(c) | 23,638 | ||||||
Registration fees | 34,819 | ||||||
Professional fees | 21,570 | ||||||
Printing fees | 13,855 | ||||||
Trustee fees | 7,300 | ||||||
Service Share fees | 3,812 | ||||||
Other | 9,108 | ||||||
Total expenses | 420,472 | ||||||
Less — expense reductions | (154,346 | ) | |||||
Net expenses | 266,126 | ||||||
NET INVESTMENT LOSS | (79,495 | ) | |||||
Realized and unrealized gain (loss) on investment, futures and foreign currency related transactions: | |||||||
Net realized gain (loss) from: | |||||||
Investment transactions (including commissions recaptured of $0, $55,953, $0, $0, $0, and $0, respectively) | 2,988,655 | ||||||
Futures transactions | 36,960 | ||||||
Foreign currency related transactions | 1,456 | ||||||
Net change in unrealized gain (loss) on: | |||||||
Investments | 658,199 | ||||||
Futures | 6,652 | ||||||
Translation of assets and liabilities denominated in foreign currencies | 1,306 | ||||||
Net realized and unrealized gain on investments, futures and foreign currency related transactions | 3,693,228 | ||||||
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS | $ | 3,613,733 | |||||
(a) | Effective December 29, 2005, the International Growth Opportunities and Asia Growth Funds changed their names to International Small Cap and Asia Equity Funds, respectively. |
(b) | For the European Equity, International Equity, Japanese Equity, International Small Cap, Emerging Markets Equity and Asia Equity Funds, foreign taxes withheld on dividends were $11,090, $129,719, $18,047, $15,290, $262,955 and $93,359, respectively. |
(c) | 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 | ||||||||||||||||||||||||
European Equity Fund | $ | 23,249 | $ | 11,667 | $ | 4,689 | $ | 17,669 | $ | 2,217 | $ | 891 | $ 2,556 | $305 | ||||||||||||||||||
International Equity Fund | 405,233 | 73,555 | 96,050 | 307,977 | 13,976 | 18,249 | 13,108 | 109 | ||||||||||||||||||||||||
Japanese Equity Fund | 54,854 | 13,591 | 13,897 | 41,689 | 2,582 | 2,640 | 2,433 | 44 | ||||||||||||||||||||||||
International Small Cap Fund | 101,157 | 25,745 | 32,160 | 76,880 | 4,892 | 6,110 | 14,287 | 73 | ||||||||||||||||||||||||
Emerging Markets Equity Fund | 180,566 | 39,915 | 30,381 | 137,230 | 7,584 | 5,772 | 39,073 | 319 | ||||||||||||||||||||||||
Asia Equity Fund | 91,251 | 25,807 | 12,206 | 69,351 | 4,903 | 2,319 | 7,542 | N/A |
40
International | Japanese | International | Emerging Markets | Asia | ||||||||||||||||
Equity Fund | Equity Fund | Small Cap Fund(a) | Equity Fund | Equity Fund(a) | ||||||||||||||||
$ | 1,986,891 | $ | 227,534 | $ | 597,214 | $ | 2,134,437 | $ | 736,533 | |||||||||||
230,331 | 40,065 | 120,573 | 118,734 | 42,375 | ||||||||||||||||
2,217,222 | 267,599 | 717,787 | 2,253,171 | 778,908 | ||||||||||||||||
2,120,965 | 308,827 | 903,699 | 2,132,838 | 591,556 | ||||||||||||||||
574,838 | 82,342 | 159,062 | 250,862 | 129,264 | ||||||||||||||||
152,665 | 86,961 | 130,131 | 290,250 | 161,883 | ||||||||||||||||
353,419 | 49,388 | 102,242 | 189,978 | 84,115 | ||||||||||||||||
37,786 | 26,690 | 29,113 | 32,923 | 33,777 | ||||||||||||||||
50,937 | 21,569 | 23,880 | 30,553 | 21,569 | ||||||||||||||||
34,596 | 15,293 | 19,325 | 34,250 | 17,291 | ||||||||||||||||
7,300 | 7,300 | 7,300 | 7,300 | 7,300 | ||||||||||||||||
1,357 | 553 | 913 | 3,983 | — | ||||||||||||||||
25,732 | 9,148 | 12,870 | 14,340 | 9,989 | ||||||||||||||||
3,359,595 | 608,071 | 1,388,535 | 2,987,277 | 1,056,744 | ||||||||||||||||
(92,507 | ) | (131,950 | ) | (137,828 | ) | (8,291 | ) | (155,821 | ) | |||||||||||
3,267,088 | 476,121 | 1,250,707 | 2,978,986 | 900,923 | ||||||||||||||||
(1,049,866 | ) | (208,522 | ) | (532,920 | ) | (725,815 | ) | (122,015 | ) | |||||||||||
26,273,517 | 5,386,223 | 9,553,179 | 20,832,190 | 4,112,347 | ||||||||||||||||
479,822 | 10 | 16,977 | 11,417 | — | ||||||||||||||||
(360,314 | ) | (22,698 | ) | (37,044 | ) | (565,699 | ) | (93,375 | ) | |||||||||||
30,728,646 | 8,370,409 | 18,168,299 | 76,355,996 | 13,586,411 | ||||||||||||||||
— | — | 115,782 | (10,427 | ) | — | |||||||||||||||
300,902 | 8,803 | (2,013 | ) | (154,941 | ) | (15,925 | ) | |||||||||||||
57,422,573 | 13,742,747 | 27,815,180 | 96,468,536 | 17,589,458 | ||||||||||||||||
$ | 56,372,707 | $ | 13,534,225 | $ | 27,282,260 | $ | 95,742,721 | $ | 17,467,443 | |||||||||||
41
Statements of Changes in Net Assets
European Equity Fund | International Equity Fund | ||||||||||||||||||
For the | For the | ||||||||||||||||||
Six Months Ended | For the | Six Months Ended | For the | ||||||||||||||||
February 28, 2006 | Year Ended | February 28, 2006 | Year Ended | ||||||||||||||||
(Unaudited) | August 31, 2005 | (Unaudited) | August 31, 2005 | ||||||||||||||||
From operations: | |||||||||||||||||||
Net investment income (loss) | $ | (79,495 | ) | $ | 243,940 | $ | (1,049,866 | ) | $ | 2,111,823 | |||||||||
Net realized gain from investment, futures and foreign currency related transactions | 3,027,071 | 4,876,324 | 26,393,025 | 48,952,149 | |||||||||||||||
Net change in unrealized gain on investments, futures and translation of assets and liabilities denominated in foreign currencies | 666,157 | 1,401,253 | 31,029,548 | 37,680,162 | |||||||||||||||
Net increase in net assets resulting from operations | 3,613,733 | 6,521,517 | 56,372,707 | 88,744,134 | |||||||||||||||
Distributions to shareholders: | |||||||||||||||||||
From net investment income | |||||||||||||||||||
Class A Shares | (183,184 | ) | (149,242 | ) | (2,485,364 | ) | (6,635,665 | ) | |||||||||||
Class B Shares | (3,908 | ) | (12,031 | ) | — | (386,009 | ) | ||||||||||||
Class C Shares | (2,544 | ) | (2,586 | ) | (43,839 | ) | (323,999 | ) | |||||||||||
Institutional Shares | (104,730 | ) | (99,974 | ) | (746,955 | ) | (1,814,461 | ) | |||||||||||
Service Shares | (19,370 | ) | (1,581 | ) | (3,123 | ) | (9,587 | ) | |||||||||||
From net realized gains | |||||||||||||||||||
Class A Shares | — | — | — | — | |||||||||||||||
Class B Shares | — | — | — | — | |||||||||||||||
Class C Shares | — | — | — | — | |||||||||||||||
Institutional Shares | — | — | — | — | |||||||||||||||
Service Shares | — | — | — | — | |||||||||||||||
Total distributions to shareholders | (313,736 | ) | (265,414 | ) | (3,279,281 | ) | (9,169,721 | ) | |||||||||||
From share transactions: | |||||||||||||||||||
Proceeds from sales of shares | 16,812,364 | 7,801,468 | 57,882,453 | 71,301,034 | |||||||||||||||
Reinvestment of dividends and distributions | 268,387 | 239,309 | 2,941,972 | 7,693,817 | |||||||||||||||
Cost of shares repurchased | (5,685,636 | )(a) | (10,299,607 | )(b) | (59,239,262 | )(a) | (166,599,756 | ) (b) | |||||||||||
Net increase (decrease) in net assets resulting from share transactions | 11,395,115 | (2,258,830 | ) | 1,585,163 | (87,604,905 | ) | |||||||||||||
TOTAL INCREASE (DECREASE) | 14,695,112 | 3,997,273 | 54,678,589 | (8,030,492 | ) | ||||||||||||||
Net assets: | |||||||||||||||||||
Beginning of period | 31,291,015 | 27,293,742 | 405,682,782 | 413,713,274 | |||||||||||||||
End of period | $ | 45,986,127 | $ | 31,291,015 | $ | 460,361,371 | $ | 405,682,782 | |||||||||||
Accumulated undistributed net investment income (loss) | $ | (48,935 | ) | $ | 344,296 | $ | (1,627,484 | ) | $ | 2,701,663 | |||||||||
(a) | Net of $1, $539, $15,781, $2,353, $10,194 and $6,303 redemption fees remitted to the European Equity, International Equity, Japanese Equity, International Small Cap, Emerging Markets Equity and Asia Equity Funds, respectively. |
(b) | Net of $79, $2,547, $3,988, $3,773, $3,309 and $5,484 redemption fees remitted to the European Equity, International Equity, Japanese Equity, International Small Cap, Emerging Markets Equity and Asia Equity Funds, respectively. |
(c) | Effective December 29, 2005, the International Growth Opportunities and the Asia Growth Fund changed their names to the International Small Cap Fund and the Asia Equity Funds, respectively. |
42
Japanese Equity Fund | International Small Cap Fund(c) | Emerging Markets Equity Fund | Asia Equity Fund(c) | |||||||||||||||||||||||||||||||
For the | For the | For the | For the | |||||||||||||||||||||||||||||||
Six Months Ended | For the | Six Months Ended | For the | Six Months Ended | For the | Six Months Ended | For the | |||||||||||||||||||||||||||
February 28, 2006 | Year Ended | February 28, 2006 | Year Ended | February 28, 2006 | Year Ended | February 28, 2006 | Year Ended | |||||||||||||||||||||||||||
(Unaudited) | August 31, 2005 | (Unaudited) | August 31, 2005 | (Unaudited) | August 31, 2005 | (Unaudited) | August 31, 2005 | |||||||||||||||||||||||||||
$ | (208,522 | ) | $ | (223,525 | ) | $ | (532,920 | ) | $ | 274,741 | $ | (725,815 | ) | $ | 903,368 | $ | (122,015 | ) | $ | 1,100,968 | ||||||||||||||
5,363,535 | 648,108 | 9,533,112 | 14,801,094 | 20,277,908 | 18,194,755 | 4,018,972 | 9,780,009 | |||||||||||||||||||||||||||
8,379,212 | 4,401,018 | 18,282,068 | 11,729,769 | 76,190,628 | 24,445,920 | 13,570,486 | 8,394,383 | |||||||||||||||||||||||||||
13,534,225 | 4,825,601 | 27,282,260 | 26,805,604 | 95,742,721 | 43,544,043 | 17,467,443 | 19,275,360 | |||||||||||||||||||||||||||
(319,752 | ) | — | (470,203 | ) | (179,767 | ) | (235,033 | ) | (41,158 | ) | (793,132 | ) | (251,824 | ) | ||||||||||||||||||||
(7,170 | ) | — | — | (19,347 | ) | — | — | (29,259 | ) | (5,793 | ) | |||||||||||||||||||||||
(9,249 | ) | — | — | (57,850 | ) | — | — | (17,521 | ) | (1,061 | ) | |||||||||||||||||||||||
(113,669 | ) | — | (510,427 | ) | (550,369 | ) | (769,875 | ) | (328,140 | ) | (441,724 | ) | (211,272 | ) | ||||||||||||||||||||
(2,511 | ) | — | (1,531 | ) | (2,894 | ) | — | (1,770 | ) | — | — | |||||||||||||||||||||||
— | — | — | — | (797,972 | ) | — | — | — | ||||||||||||||||||||||||||
— | — | — | — | (43,856 | ) | — | — | — | ||||||||||||||||||||||||||
— | — | — | — | (32,307 | ) | — | — | — | ||||||||||||||||||||||||||
— | — | — | — | (1,146,768 | ) | — | — | — | ||||||||||||||||||||||||||
— | — | — | — | (8,094 | ) | — | — | — | ||||||||||||||||||||||||||
(452,351 | ) | — | (982,161 | ) | (810,227 | ) | (3,033,905 | ) | (371,068 | ) | (1,281,636 | ) | (469,950 | ) | ||||||||||||||||||||
27,745,114 | 19,991,609 | 44,543,318 | 58,963,751 | 364,159,868 | 101,415,378 | 36,130,170 | 37,554,919 | |||||||||||||||||||||||||||
370,025 | — | 778,640 | 668,677 | 2,914,467 | 368,753 | 1,192,005 | 428,249 | |||||||||||||||||||||||||||
(23,119,287 | )(a) | (30,598,806 | )(b) | (18,930,663 | )(a) | (13,052,544 | )(b) | (39,251,267 | )(a) | (37,534,021 | )(b) | (9,080,448 | )(a) | (22,265,295 | )(b) | |||||||||||||||||||
4,995,852 | (10,607,197 | ) | 26,391,295 | 46,579,884 | 327,823,068 | 64,250,110 | 28,241,727 | 15,717,873 | ||||||||||||||||||||||||||
18,077,726 | (5,781,596 | ) | 52,691,394 | 72,575,261 | 420,531,884 | 107,423,085 | 44,427,534 | 34,523,283 | ||||||||||||||||||||||||||
48,971,301 | 54,752,897 | 144,386,132 | 71,810,871 | 187,703,268 | 80,280,183 | 100,619,035 | 66,095,752 | |||||||||||||||||||||||||||
$ | 67,049,027 | $ | 48,971,301 | $ | 197,077,526 | $ | 144,386,132 | $ | 608,235,152 | $ | 187,703,268 | $ | 145,046,569 | $ | 100,619,035 | |||||||||||||||||||
$ | (962,826 | ) | $ | (301,953 | ) | $ | (1,133,512 | ) | $ | 381,569 | $ | (1,009,643 | ) | $ | 721,080 | $ | (329,725 | ) | $ | 1,073,926 | ||||||||||||||
43
Notes to Financial Statements
1. ORGANIZATION |
Goldman Sachs Trust (the “Trust”) is a Delaware statutory trust registered under the Investment Company Act of 1940, as amended, (the “Act”) as an open-end management investment company. The Trust includes the Goldman Sachs European Equity Fund, Goldman Sachs International Equity Fund, Goldman Sachs Japanese Equity Fund, Goldman Sachs International Small Cap Fund (formerly Goldman Sachs International Growth Opportunities Fund), Goldman Sachs Emerging Markets Equity Fund and Goldman Sachs Asia Equity Fund (formerly Goldman Sachs Asia Growth Fund) collectively, the “Funds” or individually a “Fund”. Each Fund is a diversified portfolio offering five classes of shares — Class A, Class B, Class C, Institutional and Service (Service Shares of Asia Equity have not commenced operations). Class A shares of the Funds are sold with front-end sales charge of up to 5.50%. Class B shares of the Funds are sold with contingent deferred sales charge that declines from 5.00% to zero, depending upon the period of time the shares are held. Class C shares of the Funds are sold with a contingent deferred sales charge of 1.00% during the first 12 months. Institutional and Service Class shares of the Funds are not subject to a sales charge. Such sales loads are paid directly to Goldman Sachs & Co. (“Goldman Sachs”) as distributor of the Funds.
2. SIGNIFICANT ACCOUNTING POLICIES |
The following is a summary of the significant accounting policies consistently followed by the Funds. The preparation of financial statements in conformity with U.S. generally accepted accounting principles requires management to make estimates and assumptions that may affect the reported amounts. Actual results could differ from those estimates.
A. Investment Valuation — Investments in equity securities traded on a foreign securities exchange are valued daily at fair value determined by an independent fair value service (if available) under valuation procedures approved by the Board of Trustees consistent with applicable regulatory guidance. The independent service takes into account multiple factors including, but not limited to, movements in the U.S. securities markets, certain depositary receipts, futures contracts and foreign currency exchange rates. Investments in equity securities and investment companies traded on a U.S. securities exchange or the NASDAQ system or for investments in securities traded on a foreign securities exchange for which an independent fair value service is not available are valued daily at their last sale price or official closing price on the principal exchange or system on which they are traded. If no sale occurs, such securities are valued at the last bid price. Debt securities are valued at prices supplied by independent pricing services, broker/dealer-supplied valuations or matrix pricing systems. Unlisted equity securities for which market quotations are available are valued at the last sale price on valuation date, or if no sale occurs, at the last bid price. Investments in investment companies (other than those that are exchange traded) are valued at the net asset value per share on the valuation date. Short-term debt obligations maturing in sixty days or less are valued at amortized cost, which approximates market value. Securities for which quotations are not readily available or are deemed not to reflect market value by the Investment Adviser are valued at fair value using methods approved by the Trust’s Board of Trustees.
B. Security Transactions and Investment Income — Security transactions are reflected as of the trade date. Realized gains and losses on sales of portfolio securities are calculated using the identified cost basis. Dividend income is recorded on the ex-dividend date, net of foreign withholding taxes, if any, which are reduced by any amounts reclaimable by the Funds, where applicable. Interest income is recorded on the basis of interest accrued, premium amortized and discount accreted. In
2. SIGNIFICANT ACCOUNTING POLICIES (continued) |
addition, it is the Funds’ policy to accrue for estimated capital gains taxes on foreign securities held by the Funds, which are subject to such taxes.
C. Commission Recapture — Certain Funds may direct portfolio trades, subject to obtaining best execution, to various brokers who have agreed to rebate a portion of the commissions generated. Such rebates are made directly to the Funds as cash payments and are included in the net realized gain (loss) on investments in the Statements of Operations.
D. Expenses — Expenses incurred by the Trust that do not specifically relate to an individual Fund of the Trust are allocated to the Funds on a straight-line and/or pro-rata basis depending upon the nature of the expense.
E. Federal Taxes — It is each Fund’s policy to comply with the requirements of the Internal Revenue Code (“the Code”) applicable to regulated investment companies and to distribute each year substantially all of its investment company taxable income and capital gains to its shareholders. Accordingly, no federal tax provisions are required. Dividends and distributions to shareholders are recorded on the ex-dividend date. Income and capital gain distributions, if any, are declared and paid annually.
F. Foreign Currency Translations — The books and records of the Funds are maintained in U.S. dollars. Amounts denominated in foreign currencies are translated into U.S. dollars on the following basis: (i) investment valuations, foreign currency and other assets and liabilities initially expressed in foreign currencies are converted each business day into U.S. dollars based upon current exchange rates; and (ii) purchases and sales of foreign investments, income and expenses are converted into U.S. dollars based upon currency exchange rates prevailing on the respective dates of such transactions.
G. Forward Foreign Currency Exchange Contracts — The Funds may enter into forward foreign currency exchange contracts for the purchase or sale of a specific foreign currency at a fixed price on a future date as a hedge or cross-hedge against either specific transactions or portfolio positions. The Funds may also purchase and sell forward contracts to seek to increase total return. All commitments are “marked-to-market” daily at the applicable translation rates and any resulting unrealized gains or losses are recorded in the Funds’ financial statements. The Funds record realized gains or losses at the time a forward contract is offset by entry into a closing transaction or extinguished by delivery of the currency. Risks may arise upon entering into these contracts from the potential inability of counterparties to meet the terms of their contracts and from unanticipated movements in the value of a foreign currency relative to the U.S. dollar.
Notes to Financial Statements (continued)
2. SIGNIFICANT ACCOUNTING POLICIES (continued) |
and offsetting transactions are considered. At February 28, 2006, the Emerging Markets Equity Fund had segregated sufficient cash and/or securities to cover any commitments under these contracts.
H. Futures Contracts — The Funds may enter into futures transactions to hedge against changes in interest rates, securities prices, currency exchange rates or to seek to increase total return. Futures contracts are valued at the last settlement price at the end of each day on the board of trade or exchange upon which they are traded. Upon entering into a futures contract, the Funds are required to deposit with a broker or the Funds’ custodian bank on behalf of the broker an amount of cash or securities equal to the minimum “initial margin” requirement of the associated futures exchange. Subsequent payments for futures contracts (“variation margin”) are paid or received by the Funds, dependent on the fluctuations in the value of the contracts, and are recorded for financial reporting purposes as unrealized gains or losses. When contracts are closed, the Funds realize a gain or loss which is reported in the Statements of Operations.
I. Segregation Transactions — As set forth in the prospectus, certain Funds may enter into derivative transactions to seek to increase total return. Forward foreign currency exchange contracts, futures contracts, swap contracts, written options, when-issued securities and forward commitments represent examples of such transactions. As a result of entering into these transactions, the Funds are required to segregate or physically move liquid assets, on the books of their custodian or to respective counterparty, with a current value equal to or greater than the market value of the corresponding transactions.
3. AGREEMENTS |
Goldman Sachs Asset Management International (“GSAMI”), an affiliate of the Investment Management Division of Goldman Sachs, serves as the investment adviser pursuant to an Investment Management Agreement (the “Agreement”) with the Trust on behalf of the Funds. Under the Agreement, GSAMI manages the Funds, subject to the general supervision of the Trust’s Board of Trustees.
3. AGREEMENTS (continued) |
The Investment Adviser has entered into a fee reduction commitment for the Funds which was implemented on a voluntary basis beginning July 1, 2005 and on a contractual basis as of December 29, 2005 to achieve the rates listed below.
Management Fee | Average Daily | |||||
Fund | Annual Rate | Net Assets | ||||
European Equity | 1.00 | % | First $1 Billion | |||
0.90 | Next $1 Billion | |||||
0.86 | Over $2 Billion | |||||
International Equity | 1.00 | First $1 Billion | ||||
0.90 | Next $1 Billion | |||||
0.86 | Over $2 Billion | |||||
Japanese Equity | 1.00 | First $1 Billion | ||||
0.90 | Next $1 Billion | |||||
0.86 | Over $2 Billion | |||||
International Small Cap | 1.10 | First $2 Billion | ||||
0.99 | Over $2 Billion | |||||
Emerging Markets Equity | 1.20 | First $2 Billion | ||||
1.08 | Over $2 Billion | |||||
Asia Equity | 1.00 | First $1 Billion | ||||
0.90 | Next $1 Billion | |||||
0.86 | Over $2 Billion | |||||
GSAMI has voluntarily agreed to limit certain “Other Expenses” of the Funds (excluding Management Fees, Distribution and Service fees, Transfer Agency fees and expenses, Service Share fees, taxes, interest, brokerage fees and litigation, indemnification, shareholder meeting and other extraordinary expenses exclusive of any offset arrangements) to the extent such expenses exceed, on an annual basis, a percentage rate of the average daily net assets of each Fund. Such expense reimbursements, if any, are computed daily and paid monthly. In addition, the Funds are not obligated to reimburse GSAMI for prior fiscal year expense reimbursements, if any.
Notes to Financial Statements (continued)
3. AGREEMENTS (continued) |
Goldman Sachs serves as Distributor of the shares of the Funds pursuant to a Distribution Agreement. Goldman Sachs may retain a portion of the Class A sales load and Class B and Class C contingent deferred sales charges. During the six months ended February 28, 2006, Goldman Sachs advised the Funds that it retained the following approximate amounts:
Contingent Deferred | ||||||||||||
Sales Load | Sales Charge | |||||||||||
Fund | Class A | Class B | Class C | |||||||||
European Equity | $ | 1,500 | $ | — | $ | — | ||||||
International Equity | 28,200 | — | — | |||||||||
Japanese Equity | 15,000 | 100 | — | |||||||||
International Small Cap | 13,500 | — | 100 | |||||||||
Emerging Markets Equity | 69,400 | 200 | 100 | |||||||||
Asia Equity | 12,300 | 200 | 100 | |||||||||
Class A, Class B, Class C, Institutional and Service shares of the Funds charge a 2% redemption fee on the redemption of shares (including by exchange) held for 30 calendar days or less. Redemption fees are reimbursed to the Funds and reflected as a reduction in share redemptions on the Statements of Changes in Net Assets. Redemption fees are credited to Paid-in capital and are allocated to each share class of the Fund on a pro-rata basis.
Other | ||||||||||||
Expense | Custody | Total Expense | ||||||||||
Fund | Reimbursement | Fee Reduction | Reductions | |||||||||
European Equity | $ | 153 | $ | 1 | $ | 154 | ||||||
International Equity | 89 | 4 | 93 | |||||||||
Japanese Equity | 132 | — | 132 | |||||||||
International Small Cap | 137 | 1 | 138 | |||||||||
Emerging Markets Equity | — | 8 | 8 | |||||||||
Asia Equity | 155 | 1 | 156 | |||||||||
3. AGREEMENTS (continued) |
As of February 28, 2006, the amounts owed to affiliates of the Trust were as follows (in thousands):
Management | Distribution and | Transfer | ||||||||||||||
Fund | Fees | Service Fees | Agent Fees | Total | ||||||||||||
European Equity | $ | 35 | $ | 6 | $ | 4 | $ | 45 | ||||||||
International Equity | 353 | 94 | 59 | 506 | ||||||||||||
Japanese Equity | 51 | 14 | 8 | 73 | ||||||||||||
International Small Cap | 164 | 29 | 18 | 211 | ||||||||||||
Emerging Markets Equity | 522 | 62 | 47 | 631 | ||||||||||||
Asia Equity | 111 | 24 | 16 | 151 | ||||||||||||
4. PORTFOLIO SECURITIES TRANSACTIONS |
The cost of purchases and proceeds of sales and maturities of long-term securities for the six months ended February 28, 2006, were as follows:
Fund | Purchases | Sales and Maturities | ||||||
European Equity | $ | 26,284,026 | $ | 16,389,034 | ||||
International Equity | 129,503,611 | 111,476,462 | ||||||
Japanese Equity | 24,458,126 | 22,397,501 | ||||||
International Small Cap | 67,933,519 | 45,961,477 | ||||||
Emerging Markets Equity | 458,517,217 | 138,260,677 | ||||||
Asia Equity | 53,308,796 | 30,209,903 | ||||||
For the six months ended February 28, 2006, Goldman Sachs earned approximately $100, $27,000, $27,700, $10,100, $500 of brokerage commissions from portfolio transactions, including futures transactions executed on behalf of the European Equity, International Equity, Japanese Equity, International Small Cap and Emerging Markets Equity Funds, respectively.
5. SECURITIES LENDING |
Pursuant to exemptive relief granted by the Securities and Exchange Commission (“SEC”) and the terms and conditions contained therein, the Funds may lend their securities through a securities lending agent, Boston Global Advisers (“BGA”), a wholly-owned subsidiary of Goldman Sachs, to certain qualified borrowers including Goldman Sachs and affiliates. In accordance with the Funds’ securities lending procedures, the loans are collateralized at all times with cash and/or securities with a market value at least equal to the securities on loan. The market value of the loaned securities is determined at the close of business of the Fund, at their last sale price or official closing price on the principal exchange or system on which they are traded, and any additional required collateral is delivered to the Fund on the next business day. As with other extensions of credit, the Funds bear the risk of delay on recovery or loss of rights in the collateral should the borrower of the securities fail financially.
Notes to Financial Statements (continued)
5. SECURITIES LENDING (continued) |
the Enhanced Portfolio of Boston Global Investment Trust, a Delaware statutory trust. The Enhanced Portfolio is exempt from registration under Section 3(c)(7) of the Act and is managed by Goldman Sachs Asset Management L.P. (“GSAM”), for which GSAM receives an investment advisory fee of up to 0.10% of the average daily net assets of the Enhanced Portfolio. The Enhanced Portfolio invests in high quality money market instruments. The Funds bear the risk of incurring a loss from the investment of cash collateral due to either credit or market factors.
Earnings of BGA | Earnings Received by | |||||||||||||||||||
Relating to | the Funds | Amount Payable to | ||||||||||||||||||
Market Value | Cash Collateral | Securities Loaned | From Lending to | Goldman Sachs | ||||||||||||||||
of Securities | Received for Loans | for the | Goldman Sachs for | Upon Return of | ||||||||||||||||
on Loan as of | Outstanding as of | Six Months Ended | the Six Months Ended | Securities Loaned as of | ||||||||||||||||
Fund | February 28, 2006 | February 28, 2006 | February 28, 2006 | February 28, 2006 | February 28, 2006 | |||||||||||||||
European Equity | $ | 2,367,722 | $ | 2,544,200 | $ | 777 | $ | 214 | $ | 1,880,250 | ||||||||||
International Equity | 34,865,965 | 37,260,290 | 8,578 | 3,290 | 12,684,500 | |||||||||||||||
Japanese Equity | 4,527,679 | 4,767,935 | 2,905 | 1,625 | 372,055 | |||||||||||||||
International Small Cap | 16,978,401 | 17,903,580 | 10,356 | 7,558 | 1,149,327 | |||||||||||||||
Emerging Markets Equity | 46,444,835 | 48,627,900 | 9,940 | 16,405 | 10,359,500 | |||||||||||||||
6. LINE OF CREDIT FACILITY |
The Funds participate in a $350,000,000 committed, unsecured revolving line of credit facility together with other registered investment companies having management or investment advisory agreements with GSAM. Under the most restrictive arrangement, each Fund must own securities having a market value in excess of 300% of each Fund’s total bank borrowings. This facility is to be used solely for temporary or emergency purposes. The interest rate on borrowings is based on the federal funds rate. The committed facility also requires a fee to be paid by the Funds based on the amount of the commitment that has not been utilized. During the six months ended February 28, 2006, the Funds did not have any borrowings under this facility.
7. TAX INFORMATION |
As of the Funds’ most recent fiscal year end, August 31, 2005, the Funds’ capital loss carryforwards and certain timing differences on a tax basis were as follows:
International | Emerging | |||||||||||||||||||||||
European | International | Japanese | Small | Markets | Asia | |||||||||||||||||||
Equity | Equity | Equity | Cap | Equity | Equity | |||||||||||||||||||
Capital loss carryforward1 | ||||||||||||||||||||||||
Expiring 2006 | $ | — | $ | — | $ | — | $ | — | $ | — | $ | (55,987,120 | ) | |||||||||||
Expiring 2007 | — | — | — | — | — | (2,489,328 | ) | |||||||||||||||||
Expiring 2009 | — | — | — | — | — | (3,727,234 | ) | |||||||||||||||||
Expiring 2010 | (13,428,201 | ) | (150,360,513 | ) | (19,391,266 | ) | (85,787,727 | ) | — | (15,182,667 | ) | |||||||||||||
Expiring 2011 | (14,916,016 | ) | (317,735,173 | ) | (5,228,295 | ) | (51,047,001 | ) | (1,654,598 | ) | (525,255 | ) | ||||||||||||
Expiring 2012 | (2,492,920 | ) | (69,572,929 | ) | (1,408,407 | ) | — | — | — | |||||||||||||||
Total capital loss carryforward | $ | (30,837,137 | ) | $ | (537,668,615 | ) | $ | (26,027,968 | ) | $ | (136,834,728 | ) | $ | (1,654,598 | ) | $ | (77,911,604 | ) | ||||||
Timing differences (post October losses) | $ | — | $ | (1,714,710 | ) | $ | (37,924 | ) | $ | (19,545 | ) | $ | (151,373 | ) | $ | (59,989 | ) | |||||||
1 | At August 31, 2005 (tax year end), the Funds had a capital loss carryforward for U.S. federal tax purposes. The year and amount of expiration for each capital loss carryforward is indicated above. Expiration occurs on August 31 of the year indicated. |
At February 28, 2006, the Funds’ aggregate security unrealized gains and losses based on cost for U.S. federal income tax purposes were as follows:
International | Emerging | |||||||||||||||||||||||
European | International | Japanese | Small | Markets | Asia | |||||||||||||||||||
Equity | Equity | Equity | Cap | Equity | Growth | |||||||||||||||||||
Tax Cost | $ | 45,055,934 | $ | 406,061,162 | $ | 56,978,130 | $ | 173,857,495 | $ | 541,609,866 | $ | 115,919,626 | ||||||||||||
Gross unrealized gain | 4,936,048 | 97,166,414 | 14,189,550 | 45,882,454 | 112,407,643 | 30,339,227 | ||||||||||||||||||
Gross unrealized loss | (409,040 | ) | (4,660,506 | ) | (701,803 | ) | (6,182,248 | ) | (2,695,693 | ) | (2,379,629 | ) | ||||||||||||
Net unrealized security gain | $ | 4,527,008 | $ | 92,505,908 | $ | 13,487,747 | $ | 39,700,206 | $ | 109,711,950 | $ | 27,959,598 | ||||||||||||
The difference between book-basis and tax-basis unrealized gains (losses) is attributable primarily to wash sales, differences related to the Passive Foreign Investment Company investments, and net mark to market gains (losses) on Section 1256 futures and foreign currency contracts recognized for tax purposes.
Notes to Financial Statements (continued)
8. OTHER MATTERS |
As of February 28, 2006 the following Goldman Sachs Asset Allocation Portfolios were beneficial owners of the Emerging Markets Equity Fund (Institutional Shares) with amounts greater than 5% (as a percentage of outstanding shares) as follows:
Goldman Sachs | ||||||||
Growth and | Goldman Sachs | |||||||
Income | Growth Strategy | |||||||
Fund | Strategy Portfolio | Portfolio | ||||||
Emerging Markets Equity | 8 | % | 6 | % | ||||
8. OTHER MATTERS (continued) |
Legal Proceedings — Purported class and derivative action lawsuits were filed in April and May 2004 in the United States District Court for the Southern District of New York against the Goldman Sachs Group, Inc. (“GSG”), GSAM and certain related parties, including certain Goldman Sachs Funds including these Funds, and the Trustees and Officers of the Trust. In June 2004, these lawsuits were consolidated into one action and in November 2004 a consolidated and amended complaint was filed against GSG, GSAM, Goldman Sachs Asset Management International (“GSAMI”), Goldman Sachs and certain related parties including certain Goldman Sachs Funds and the Trustees and Officers of the Trust. The Funds in this report, along with certain other investment portfolios of the Trust, were named as nominal defendants in the amended complaint. Plaintiffs filed a second amended consolidated complaint on April 15, 2005. The second amended consolidated complaint alleges violations of the Act and the Investment Advisers Act of 1940. The complaint also asserts claims involving common law breach of fiduciary duty and unjust enrichment. The complaint alleges, among other things, that between April 2, 1999 and January 9, 2004 (the “Class Period”), GSAM and other defendants made improper and excessive brokerage commission and other payments to brokers that sold shares of the Goldman Sachs Funds and omitted statements of fact in registration statements and reports filed pursuant to the Act which were necessary to prevent such registration statements and reports from being materially false and misleading. The complaint further alleges that the Goldman Sachs Funds paid excessive and improper advisory fees to Goldman Sachs. The complaint also alleges that GSAM and GSAMI used 12b-1 fees for improper purposes and made improper use of soft dollars. The complaint further alleges that the Trust’s Officers and Trustees breached their fiduciary duties in connection with the foregoing. On January 13, 2006, all claims against the defendants were dismissed by the U.S. District Court. On February 22, 2006, the plaintiffs appealed this decision.
Notes to Financial Statements (continued)
9. SUMMARY OF SHARE TRANSACTIONS |
Share activity is as follows:
European Equity | ||||||||||||||||
For the Six Months Ended | For the Year Ended | |||||||||||||||
February 28, 2006 | August 31, 2005 | |||||||||||||||
Shares | Dollars | Shares | Dollars | |||||||||||||
Class A Shares | ||||||||||||||||
Shares sold | 74,850 | $ | 952,330 | 160,099 | $ | 1,814,005 | ||||||||||
Reinvestment of dividends and distributions | 12,917 | 162,367 | 11,418 | 129,821 | ||||||||||||
Shares converted from Class B(a) | 1,463 | 18,066 | 2,688 | 31,260 | ||||||||||||
Shares repurchased | (365,072 | ) | (4,717,254 | ) | (406,635 | ) | (4,728,224 | ) | ||||||||
(275,842 | ) | (3,584,491 | ) | (232,430 | ) | (2,753,138 | ) | |||||||||
Class B Shares | ||||||||||||||||
Shares sold | 2,490 | 31,507 | 60,571 | 670,212 | ||||||||||||
Reinvestment of dividends and distributions | 296 | 3,608 | 1,024 | 11,277 | ||||||||||||
Shares converted to Class A(a) | (1,518 | ) | (18,066 | ) | (2,784 | ) | (31,260 | ) | ||||||||
Shares repurchased | (34,996 | ) | (423,019 | ) | (69,864 | ) | (774,510 | ) | ||||||||
(33,728 | ) | (405,970 | ) | (11,053 | ) | (124,281 | ) | |||||||||
Class C Shares | ||||||||||||||||
Shares sold | 7,121 | 91,363 | 10,154 | 114,387 | ||||||||||||
Reinvestment of dividends and distributions | 184 | 2,247 | 217 | 2,394 | ||||||||||||
Shares repurchased | (3,330 | ) | (41,045 | ) | (34,319 | ) | (375,154 | ) | ||||||||
3,975 | 52,565 | (23,948 | ) | (258,373 | ) | |||||||||||
Institutional Shares | ||||||||||||||||
Shares sold | 1,066,575 | 13,860,912 | 373,941 | 4,429,526 | ||||||||||||
Reinvestment of dividends and distributions | 7,880 | 99,993 | 8,351 | 95,789 | ||||||||||||
Shares repurchased | (24,035 | ) | (308,771 | ) | (378,903 | ) | (4,402,344 | ) | ||||||||
1,050,420 | 13,652,134 | 3,389 | 122,971 | |||||||||||||
Service Shares | ||||||||||||||||
Shares sold | 146,745 | 1,876,252 | 65,035 | 773,338 | ||||||||||||
Reinvestment of dividends and distributions | 13 | 172 | 2 | 28 | ||||||||||||
Shares repurchased | (15,190 | ) | (195,547 | ) | (1,600 | ) | (19,375 | ) | ||||||||
131,568 | 1,680,877 | 63,437 | 753,991 | |||||||||||||
NET INCREASE (DECREASE) | 876,393 | $ | 11,395,115 | (200,605 | ) | $ | (2,258,830 | ) | ||||||||
(a) | Class B Shares will automatically convert into Class A Shares at the end of the calendar quarter that is eight years after the initial purchase date of either the Fund or another Goldman Sachs Fund. |
GOLDMAN SACHS INTERNATIONAL EQUITY FUNDS
International Equity | Japanese Equity | |||||||||||||||||||||||||||||||
For the Six Months Ended | For the Year Ended | For the Six Months Ended | For the Year Ended | |||||||||||||||||||||||||||||
February 28, 2006 | August 31, 2005 | February 28, 2006 | August 31, 2005 | |||||||||||||||||||||||||||||
Shares | Dollars | Shares | Dollars | Shares | Dollars | Shares | Dollars | |||||||||||||||||||||||||
2,344,172 | $ | 44,850,769 | 3,536,381 | $ | 59,002,053 | 1,161,328 | $ | 13,122,962 | 1,584,034 | $ | 14,115,083 | |||||||||||||||||||||
123,532 | 2,316,227 | 365,938 | 5,942,839 | 22,464 | 248,906 | — | — | |||||||||||||||||||||||||
91,416 | 1,688,897 | 227,456 | 3,752,447 | 79 | 817 | 2,747 | 24,060 | |||||||||||||||||||||||||
(2,411,782 | ) | (45,523,168 | ) | (7,234,150 | ) | (120,024,340 | ) | (1,626,536 | ) | (18,957,115 | ) | (2,049,447 | ) | (18,145,153 | ) | |||||||||||||||||
147,338 | 3,332,725 | (3,104,375 | ) | (51,327,001 | ) | (442,665 | ) | (5,584,430 | ) | (462,666 | ) | (4,006,010 | ) | |||||||||||||||||||
71,966 | 1,332,912 | 77,443 | 1,236,721 | 154,522 | 1,655,596 | 47,748 | 408,830 | |||||||||||||||||||||||||
— | — | 22,653 | 357,007 | 537 | 5,729 | — | — | |||||||||||||||||||||||||
(94,633 | ) | (1,688,897 | ) | (234,950 | ) | (3,752,447 | ) | (83 | ) | (817 | ) | (2,854 | ) | (24,060 | ) | |||||||||||||||||
(197,114 | ) | (3,571,368 | ) | (549,548 | ) | (8,745,468 | ) | (79,857 | ) | (902,232 | ) | (85,762 | ) | (724,285 | ) | |||||||||||||||||
(219,781 | ) | (3,927,353 | ) | (684,402 | ) | (10,904,187 | ) | 75,119 | 758,276 | (40,868 | ) | (339,515 | ) | |||||||||||||||||||
226,501 | 4,102,549 | 299,257 | 4,755,426 | 225,202 | 2,503,553 | 43,441 | 375,681 | |||||||||||||||||||||||||
2,234 | 39,829 | 18,593 | 287,637 | 585 | 6,227 | — | — | |||||||||||||||||||||||||
(197,922 | ) | (3,618,285 | ) | (378,100 | ) | (6,002,907 | ) | (28,059 | ) | (310,263 | ) | (55,453 | ) | (471,888 | ) | |||||||||||||||||
30,813 | 524,093 | (60,250 | ) | (959,844 | ) | 197,728 | 2,199,517 | (12,012 | ) | (96,207 | ) | |||||||||||||||||||||
363,418 | 7,261,304 | 369,406 | 6,262,683 | 863,135 | 10,208,437 | 553,798 | 5,092,015 | |||||||||||||||||||||||||
30,497 | 583,402 | 66,378 | 1,099,217 | 9,515 | 109,144 | — | — | |||||||||||||||||||||||||
(334,484 | ) | (6,503,653 | ) | (1,837,793 | ) | (31,565,220 | ) | (232,775 | ) | (2,890,948 | ) | (1,263,499 | ) | (11,257,480 | ) | |||||||||||||||||
59,431 | 1,341,053 | (1,402,009 | ) | (24,203,320 | ) | 639,875 | 7,426,633 | (709,701 | ) | (6,165,465 | ) | |||||||||||||||||||||
16,599 | 334,919 | 2,619 | 44,151 | 24,523 | 254,566 | — | — | |||||||||||||||||||||||||
133 | 2,514 | 435 | 7,117 | 2 | 19 | — | — | |||||||||||||||||||||||||
(1,192 | ) | (22,788 | ) | (15,838 | ) | (261,821 | ) | (4,621 | ) | (58,729 | ) | — | — | |||||||||||||||||||
15,540 | 314,645 | (12,784 | ) | (210,553 | ) | 19,904 | 195,856 | — | — | |||||||||||||||||||||||
33,341 | $ | 1,585,163 | (5,263,820 | ) | $ | (87,604,905 | ) | 489,961 | $ | 4,995,852 | (1,225,247 | ) | $ | (10,607,197 | ) | |||||||||||||||||
Notes to Financial Statements (continued)
9. SUMMARY OF SHARE TRANSACTIONS (continued) |
Share activity is as follows:
International Small Cap | ||||||||||||||||
For the Six Months Ended | For the Year Ended | |||||||||||||||
February 28, 2006 | August 31, 2005 | |||||||||||||||
Shares | Dollars | Shares | Dollars | |||||||||||||
Class A Shares | ||||||||||||||||
Shares sold | 1,858,252 | $ | 31,138,928 | 2,566,613 | $ | 37,902,776 | ||||||||||
Reinvestment of dividends and distributions | 27,717 | 450,962 | 12,311 | 165,585 | ||||||||||||
Shares converted from Class B(a) | 2,506 | 41,848 | 1,956 | 28,834 | ||||||||||||
Shares repurchased | (580,850 | ) | (9,778,997 | ) | (562,126 | ) | (8,037,797 | ) | ||||||||
1,307,625 | 21,852,741 | 2,018,754 | 30,059,398 | |||||||||||||
Class B Shares | ||||||||||||||||
Shares sold | 62,654 | 1,026,705 | 210,097 | 2,927,439 | ||||||||||||
Reinvestment of dividends and distributions | — | — | 1,309 | 17,045 | ||||||||||||
Shares converted to Class A(a) | (2,595 | ) | (41,848 | ) | (2,026 | ) | (28,834 | ) | ||||||||
Shares repurchased | (43,832 | ) | (704,424 | ) | (177,777 | ) | (2,431,156 | ) | ||||||||
16,227 | 280,433 | 31,603 | 484,494 | |||||||||||||
Class C Shares | ||||||||||||||||
Shares sold | 83,339 | 1,359,787 | 97,836 | 1,396,516 | ||||||||||||
Reinvestment of dividends and distributions | — | — | 4,375 | 56,790 | ||||||||||||
Shares repurchased | (212,953 | ) | (3,278,909 | ) | (54,727 | ) | (758,145 | ) | ||||||||
(129,614 | ) | (1,919,122 | ) | 47,484 | 695,161 | |||||||||||
Institutional Shares | ||||||||||||||||
Shares sold | 619,585 | 10,652,501 | 1,117,887 | 16,689,174 | ||||||||||||
Reinvestment of dividends and distributions | 19,443 | 326,438 | 30,851 | 426,974 | ||||||||||||
Shares repurchased | (293,261 | ) | (5,041,658 | ) | (118,576 | ) | (1,721,939 | ) | ||||||||
345,767 | 5,937,281 | 1,030,162 | 15,394,209 | |||||||||||||
Service Shares | ||||||||||||||||
Shares sold | 22,740 | 365,397 | 3,294 | 47,846 | ||||||||||||
Reinvestment of dividends and distributions | 76 | 1,240 | 170 | 2,283 | ||||||||||||
Shares repurchased | (7,988 | ) | (126,675 | ) | (7,424 | ) | (103,507 | ) | ||||||||
14,828 | 239,962 | (3,960 | ) | (53,378 | ) | |||||||||||
NET INCREASE | 1,554,833 | $ | 26,391,295 | 3,124,043 | $ | 46,579,884 | ||||||||||
(a) | Class B Shares will automatically convert into Class A Shares at the end of the calendar quarter that is eight years after the initial purchase date of either the Fund or another Goldman Sachs Fund. |
Emerging Markets Equity | Asia Equity | |||||||||||||||||||||||||||||||
For the Six Months Ended | For the Year Ended | For the Six Months Ended | For the Year Ended | |||||||||||||||||||||||||||||
February 28, 2006 | August 31, 2005 | February 28, 2006 | August 31, 2005 | |||||||||||||||||||||||||||||
Shares | Dollars | Shares | Dollars | Shares | Dollars | Shares | Dollars | |||||||||||||||||||||||||
8,722,079 | $ | 162,959,955 | 3,701,456 | $ | 54,052,780 | 1,820,761 | $ | 26,887,436 | 1,623,850 | $ | 20,435,113 | |||||||||||||||||||||
54,051 | 962,096 | 3,236 | 39,510 | 50,397 | 721,183 | 18,532 | 217,380 | |||||||||||||||||||||||||
2,153 | 37,239 | 1,940 | 26,836 | 14,555 | 208,515 | 26,800 | 329,549 | |||||||||||||||||||||||||
(1,750,067 | ) | (30,714,321 | ) | (1,043,351 | ) | (14,110,956 | ) | (325,235 | ) | (4,676,729 | ) | (938,149 | ) | (11,469,681 | ) | |||||||||||||||||
7,028,216 | 133,244,969 | 2,663,281 | 40,008,170 | 1,560,478 | 23,140,405 | 731,033 | 9,512,361 | |||||||||||||||||||||||||
287,015 | 5,215,269 | 188,663 | 2,435,405 | 47,455 | 673,964 | 156,685 | 1,816,866 | |||||||||||||||||||||||||
2,392 | 41,169 | — | — | 2,015 | 27,764 | 484 | 5,490 | |||||||||||||||||||||||||
(2,227 | ) | (37,239 | ) | (2,002 | ) | (26,836 | ) | (15,141 | ) | (208,515 | ) | (27,848 | ) | (329,549 | ) | |||||||||||||||||
(66,652 | ) | (1,144,085 | ) | (79,245 | ) | (1,008,026 | ) | (54,037 | ) | (731,012 | ) | (136,786 | ) | (1,591,282 | ) | |||||||||||||||||
220,528 | 4,075,114 | 107,416 | 1,400,543 | (19,708 | ) | (237,799 | ) | (7,465 | ) | (98,475 | ) | |||||||||||||||||||||
518,533 | 9,394,486 | 127,281 | 1,678,459 | 72,527 | 1,020,879 | 37,458 | 453,672 | |||||||||||||||||||||||||
1,569 | 27,014 | — | — | 1,222 | 16,736 | 87 | 985 | |||||||||||||||||||||||||
(37,372 | ) | (647,986 | ) | (33,403 | ) | (436,467 | ) | (24,459 | ) | (337,712 | ) | (31,926 | ) | (382,349 | ) | |||||||||||||||||
482,730 | 8,773,514 | 93,878 | 1,241,992 | 49,290 | 699,903 | 5,619 | 72,308 | |||||||||||||||||||||||||
9,975,046 | 185,944,429 | 2,803,731 | 42,374,909 | 490,756 | 7,547,891 | 1,164,246 | 14,849,268 | |||||||||||||||||||||||||
101,412 | 1,876,129 | 25,910 | 328,022 | 28,383 | 426,322 | 16,645 | 204,394 | |||||||||||||||||||||||||
(308,965 | ) | (5,969,737 | ) | (1,528,560 | ) | (21,822,099 | ) | (229,431 | ) | (3,334,995 | ) | (725,460 | ) | (8,821,983 | ) | |||||||||||||||||
9,767,493 | 181,850,821 | 1,301,081 | 20,880,832 | 289,708 | 4,639,218 | 455,431 | 6,231,679 | |||||||||||||||||||||||||
35,310 | 645,729 | 62,334 | 873,825 | — | — | — | — | |||||||||||||||||||||||||
458 | 8,059 | 101 | 1,221 | — | — | — | — | |||||||||||||||||||||||||
(45,038 | ) | (775,138 | ) | (10,744 | ) | (156,473 | ) | — | — | — | — | |||||||||||||||||||||
(9,270 | ) | (121,350 | ) | 51,691 | 718,573 | — | — | — | — | |||||||||||||||||||||||
17,489,697 | $ | 327,823,068 | 4,217,347 | $ | 64,250,110 | 1,879,768 | $ | 28,241,727 | 1,184,618 | $ | 15,717,873 | |||||||||||||||||||||
Financial Highlights
Income (loss) from | Distributions | |||||||||||||||||||||||||||||||
investment operations | to shareholders | |||||||||||||||||||||||||||||||
Net asset | ||||||||||||||||||||||||||||||||
value, | Net | Net realized | Total from | From net | From net | |||||||||||||||||||||||||||
beginning | investment | and unrealized | investment | investment | realized | Total | ||||||||||||||||||||||||||
Year - Share Class | of period | income (loss)(a) | gain (loss) | operations | income | gains | distributions | |||||||||||||||||||||||||
FOR THE SIX MONTHS ENDED FEBRUARY 28, (Unaudited) | ||||||||||||||||||||||||||||||||
2006 - A | $ | 12.29 | $ | (0.03 | ) | $ | 1.26 | $ | 1.23 | $ | (0.12 | ) | $ | — | $ | (0.12 | ) | |||||||||||||||
2006 - B | 11.85 | (0.08 | ) | 1.22 | 1.14 | (0.02 | ) | — | (0.02 | ) | ||||||||||||||||||||||
2006 - C | 11.88 | (0.08 | ) | 1.23 | 1.15 | (0.03 | ) | — | (0.03 | ) | ||||||||||||||||||||||
2006 - Institutional | 12.44 | (0.01 | ) | 1.28 | 1.27 | (0.18 | ) | — | (0.18 | ) | ||||||||||||||||||||||
2006 - Service | 12.20 | (0.04 | ) | 1.25 | 1.21 | (0.17 | ) | — | (0.17 | ) | ||||||||||||||||||||||
FOR THE YEARS ENDED AUGUST 31, | ||||||||||||||||||||||||||||||||
2005 - A | 9.93 | 0.09 | 2.35 | 2.44 | (0.08 | ) | — | (0.08 | ) | |||||||||||||||||||||||
2005 - B | 9.62 | 0.01 | 2.27 | 2.28 | (0.05 | ) | — | (0.05 | ) | |||||||||||||||||||||||
2005 - C | 9.62 | — | (c) | 2.29 | 2.29 | (0.03 | ) | — | (0.03 | ) | ||||||||||||||||||||||
2005 - Institutional | 10.07 | 0.14 | 2.39 | 2.53 | (0.16 | ) | — | (0.16 | ) | |||||||||||||||||||||||
2005 - Service | 9.93 | 0.11 | 2.31 | 2.42 | (0.15 | ) | — | (0.15 | ) | |||||||||||||||||||||||
2004 - A | 8.23 | 0.02 | 1.75 | 1.77 | (0.07 | ) | — | (0.07 | ) | |||||||||||||||||||||||
2004 - B | 8.01 | (0.01 | ) | 1.67 | 1.66 | (0.05 | ) | — | (0.05 | ) | ||||||||||||||||||||||
2004 - C | 8.02 | (0.01 | ) | 1.67 | 1.66 | (0.06 | ) | — | (0.06 | ) | ||||||||||||||||||||||
2004 - Institutional | 8.36 | 0.16 | 1.68 | 1.84 | (0.13 | ) | — | (0.13 | ) | |||||||||||||||||||||||
2004 - Service | 8.25 | 0.06 | 1.72 | 1.78 | (0.10 | ) | — | (0.10 | ) | |||||||||||||||||||||||
2003 - A | 7.64 | 0.04 | 0.55 | 0.59 | — | (c) | — | — | (c) | |||||||||||||||||||||||
2003 - B | 7.48 | 0.02 | 0.51 | 0.53 | — | — | — | |||||||||||||||||||||||||
2003 - C | 7.48 | 0.02 | 0.52 | 0.54 | — | — | — | |||||||||||||||||||||||||
2003 - Institutional | 7.80 | 0.07 | 0.58 | 0.65 | (0.09 | ) | — | (0.09 | ) | |||||||||||||||||||||||
2003 - Service | 7.70 | 0.07 | 0.54 | 0.61 | (0.06 | ) | — | (0.06 | ) | |||||||||||||||||||||||
2002 - A | 9.31 | 0.01 | (1.40 | ) | (1.39 | ) | — | (0.28 | ) | (0.28 | ) | |||||||||||||||||||||
2002 - B | 9.17 | (0.02 | ) | (1.39 | ) | (1.41 | ) | — | (0.28 | ) | (0.28 | ) | ||||||||||||||||||||
2002 - C | 9.18 | (0.01 | ) | (1.41 | ) | (1.42 | ) | — | (0.28 | ) | (0.28 | ) | ||||||||||||||||||||
2002 - Institutional | 9.46 | 0.07 | (1.45 | ) | (1.38 | ) | — | (0.28 | ) | (0.28 | ) | |||||||||||||||||||||
2002 - Service | 9.38 | 0.06 | (1.46 | ) | (1.40 | ) | — | (0.28 | ) | (0.28 | ) | |||||||||||||||||||||
2001 - A | 13.82 | (0.02 | ) | (2.93 | ) | (2.95 | ) | — | (1.56 | ) | (1.56 | ) | ||||||||||||||||||||
2001 - B | 13.69 | (0.07 | ) | (2.89 | ) | (2.96 | ) | — | (1.56 | ) | (1.56 | ) | ||||||||||||||||||||
2001 - C | 13.72 | (0.07 | ) | (2.91 | ) | (2.98 | ) | — | (1.56 | ) | (1.56 | ) | ||||||||||||||||||||
2001 - Institutional | 14.00 | 0.08 | (3.00 | ) | (2.92 | ) | (0.06 | ) | (1.56 | ) | (1.62 | ) | ||||||||||||||||||||
2001 - Service | 13.86 | 0.02 | (2.94 | ) | (2.92 | ) | — | (1.56 | ) | (1.56 | ) | |||||||||||||||||||||
(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 return would be reduced if a sales or redemption charge were taken into account. Total returns for periods less than one full year are not annualized. Returns do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares. |
(c) | Less than $0.005 per share. |
(d) | Annualized. |
58
Ratios assuming no | ||||||||||||||||||||||||||||||||||
expense reductions | ||||||||||||||||||||||||||||||||||
Ratio of | Ratio of | |||||||||||||||||||||||||||||||||
Net assets, | Ratio of | net investment | Ratio of | net investment | ||||||||||||||||||||||||||||||
Net asset | end of | net expenses | income (loss) | total expenses | income (loss) | Portfolio | ||||||||||||||||||||||||||||
value, end | Total | period | to average | to average | to average | to average | turnover | |||||||||||||||||||||||||||
of period | return(b) | (in 000s) | net assets | net assets | net assets | net assets | rate | |||||||||||||||||||||||||||
$ | 13.40 | 10.01 | % | $ | 17,411 | 1.54 | %(d) | (0.49 | )%(d) | 2.37 | %(d) | (1.33 | )%(d) | 45 | % | |||||||||||||||||||
12.97 | 9.64 | 2,347 | 2.29 | (d) | (1.25 | )(d) | 3.13 | (d) | (2.09 | )(d) | 45 | |||||||||||||||||||||||
13.00 | 9.73 | 1,056 | 2.29 | (d) | (1.23 | )(d) | 3.14 | (d) | (2.09 | )(d) | 45 | |||||||||||||||||||||||
13.53 | 10.26 | 22,453 | 1.14 | (d) | (0.14 | )(d) | 2.02 | (d) | (1.02 | )(d) | 45 | |||||||||||||||||||||||
13.24 | 9.99 | 2,719 | 1.64 | (d) | (0.57 | )(d) | 2.53 | (d) | (1.45 | )(d) | 45 | |||||||||||||||||||||||
12.29 | 24.66 | 19,359 | 1.54 | 0.77 | 2.46 | (0.15 | ) | 70 | ||||||||||||||||||||||||||
11.85 | 23.78 | 2,543 | 2.29 | 0.08 | 3.21 | (0.84 | ) | 70 | ||||||||||||||||||||||||||
11.88 | 23.82 | 918 | 2.29 | (0.01 | ) | 3.21 | (0.93 | ) | 70 | |||||||||||||||||||||||||
12.44 | 25.30 | 7,572 | 1.14 | 1.24 | 2.06 | 0.32 | 70 | |||||||||||||||||||||||||||
12.20 | 24.53 | 899 | 1.64 | 0.86 | 2.56 | (0.06 | ) | 70 | ||||||||||||||||||||||||||
9.93 | 21.52 | 17,947 | 1.74 | 0.25 | 2.66 | (0.67 | ) | 51 | ||||||||||||||||||||||||||
9.62 | 20.81 | 2,172 | 2.29 | (0.05 | ) | 3.21 | (0.97 | ) | 51 | |||||||||||||||||||||||||
9.62 | 20.86 | 974 | 2.29 | (0.09 | ) | 3.21 | (1.01 | ) | 51 | |||||||||||||||||||||||||
10.07 | 22.16 | 6,099 | 1.14 | 1.55 | 2.06 | 0.63 | 51 | |||||||||||||||||||||||||||
9.93 | 21.66 | 102 | 1.64 | 0.60 | 2.56 | (0.32 | ) | 51 | ||||||||||||||||||||||||||
8.23 | 7.74 | 33,429 | 1.82 | 0.61 | 2.89 | (0.46 | ) | 131 | ||||||||||||||||||||||||||
8.01 | 7.23 | 1,727 | 2.32 | 0.21 | 3.39 | (0.86 | ) | 131 | ||||||||||||||||||||||||||
8.02 | 7.09 | 882 | 2.32 | 0.26 | 3.39 | (0.81 | ) | 131 | ||||||||||||||||||||||||||
8.36 | 8.49 | 2,606 | 1.17 | 0.98 | 2.24 | (0.09 | ) | 131 | ||||||||||||||||||||||||||
8.25 | 7.96 | 2 | 1.67 | 0.98 | 2.74 | (0.09 | ) | 131 | ||||||||||||||||||||||||||
7.64 | (15.31 | ) | 37,017 | 1.81 | 0.16 | 2.54 | (0.57 | ) | 88 | |||||||||||||||||||||||||
7.48 | (15.88 | ) | 1,737 | 2.31 | (0.21 | ) | 3.04 | (0.94 | ) | 88 | ||||||||||||||||||||||||
7.48 | (15.86 | ) | 629 | 2.31 | (0.17 | ) | 3.04 | (0.90 | ) | 88 | ||||||||||||||||||||||||
7.80 | (14.95 | ) | 5,238 | 1.16 | 0.82 | 1.89 | 0.09 | 88 | ||||||||||||||||||||||||||
7.70 | (15.29 | ) | 2 | 1.66 | 0.64 | 2.39 | (0.09 | ) | 88 | |||||||||||||||||||||||||
9.31 | (23.47 | ) | 90,347 | 1.79 | (0.16 | ) | 2.17 | (0.54 | ) | 110 | ||||||||||||||||||||||||
9.17 | (23.80 | ) | 2,727 | 2.29 | (0.63 | ) | 2.67 | (1.01 | ) | 110 | ||||||||||||||||||||||||
9.18 | (23.89 | ) | 1,195 | 2.29 | (0.64 | ) | 2.67 | (1.02 | ) | 110 | ||||||||||||||||||||||||
9.46 | (22.94 | ) | 10,713 | 1.14 | 0.71 | 1.52 | 0.33 | 110 | ||||||||||||||||||||||||||
9.38 | (23.16 | ) | 2 | 1.64 | 0.14 | 2.02 | (0.24 | ) | 110 | |||||||||||||||||||||||||
Financial Highlights
Income (loss) from | Distributions | |||||||||||||||||||||||||||||||
investment operations | to shareholders | |||||||||||||||||||||||||||||||
Net asset | ||||||||||||||||||||||||||||||||
value, | Net | Net realized | Total from | From net | From net | |||||||||||||||||||||||||||
beginning | investment | and unrealized | investment | investment | realized | Total | ||||||||||||||||||||||||||
Year - Share Class | of period | income (loss)(a) | gain (loss) | operations | income | gains | distributions | |||||||||||||||||||||||||
FOR THE SIX MONTHS ENDED FEBRUARY 28, (Unaudited) | ||||||||||||||||||||||||||||||||
2006 - A | $ | 17.78 | $ | (0.05 | ) | $ | 2.56 | $ | 2.51 | $ | (0.15 | ) | $ | — | $ | (0.15 | ) | |||||||||||||||
2006 - B | 17.16 | (0.11 | ) | 2.47 | 2.36 | — | — | — | ||||||||||||||||||||||||
2006 - C | 16.84 | (0.11 | ) | 2.43 | 2.32 | (0.04 | ) | — | (0.04 | ) | ||||||||||||||||||||||
2006 - Institutional | 18.19 | (0.01 | ) | 2.61 | 2.60 | (0.22 | ) | — | (0.22 | ) | ||||||||||||||||||||||
2006 - Service | 17.91 | (0.06 | ) | 2.57 | 2.51 | (0.12 | ) | — | (0.12 | ) | ||||||||||||||||||||||
FOR THE YEARS ENDED AUGUST 31, | ||||||||||||||||||||||||||||||||
2005 - A | 14.73 | 0.09 | 3.30 | 3.39 | (0.34 | ) | — | (0.34 | ) | |||||||||||||||||||||||
2005 - B | 14.26 | (0.04 | ) | 3.20 | 3.16 | (0.26 | ) | — | (0.26 | ) | ||||||||||||||||||||||
2005 - C | 14.03 | (0.03 | ) | 3.13 | 3.10 | (0.29 | ) | — | (0.29 | ) | ||||||||||||||||||||||
2005 - Institutional | 15.05 | 0.14 | 3.41 | 3.55 | (0.41 | ) | — | (0.41 | ) | |||||||||||||||||||||||
2005 - Service | 14.82 | 0.06 | 3.34 | 3.40 | (0.31 | ) | — | (0.31 | ) | |||||||||||||||||||||||
2004 - A | 13.41 | 0.03 | 1.95 | 1.98 | (0.66 | ) | — | (0.66 | ) | |||||||||||||||||||||||
2004 - B | 13.02 | (0.06 | ) | 1.90 | 1.84 | (0.60 | ) | — | (0.60 | ) | ||||||||||||||||||||||
2004 - C | 12.83 | (0.05 | ) | 1.86 | 1.81 | (0.61 | ) | — | (0.61 | ) | ||||||||||||||||||||||
2004 - Institutional | 13.70 | 0.09 | 2.01 | 2.10 | (0.75 | ) | — | (0.75 | ) | |||||||||||||||||||||||
2004 - Service | 13.38 | 0.02 | 1.96 | 1.98 | (0.54 | ) | — | (0.54 | ) | |||||||||||||||||||||||
2003 - A | 12.97 | 0.03 | 0.56 | 0.59 | (0.15 | ) | — | (0.15 | ) | |||||||||||||||||||||||
2003 - B | 12.61 | (0.02 | ) | 0.53 | 0.51 | (0.10 | ) | — | (0.10 | ) | ||||||||||||||||||||||
2003 - C | 12.46 | (0.01 | ) | 0.51 | 0.50 | (0.13 | ) | — | (0.13 | ) | ||||||||||||||||||||||
2003 - Institutional | 13.32 | 0.10 | 0.58 | 0.68 | (0.30 | ) | — | (0.30 | ) | |||||||||||||||||||||||
2003 - Service | 13.00 | 0.06 | 0.55 | 0.61 | (0.23 | ) | — | (0.23 | ) | |||||||||||||||||||||||
2002 - A | 15.64 | — | (c) | (2.61 | ) | (2.61 | ) | (0.06 | ) | — | (0.06 | ) | ||||||||||||||||||||
2002 - B | 15.23 | (0.06 | ) | (2.56 | ) | (2.62 | ) | — | — | — | ||||||||||||||||||||||
2002 - C | 15.05 | (0.06 | ) | (2.53 | ) | (2.59 | ) | — | — | — | ||||||||||||||||||||||
2002 - Institutional | 16.09 | 0.13 | (2.72 | ) | (2.59 | ) | (0.18 | ) | — | (0.18 | ) | |||||||||||||||||||||
2002 - Service | 15.71 | 0.04 | (2.64 | ) | (2.60 | ) | (0.11 | ) | — | (0.11 | ) | |||||||||||||||||||||
2001 - A | 23.59 | (0.02 | ) | (5.80 | ) | (5.82 | ) | — | (2.13 | ) | (2.13 | ) | ||||||||||||||||||||
2001 - B | 23.14 | (0.12 | ) | (5.66 | ) | (5.78 | ) | — | (2.13 | ) | (2.13 | ) | ||||||||||||||||||||
2001 - C | 22.89 | (0.11 | ) | (5.60 | ) | (5.71 | ) | — | (2.13 | ) | (2.13 | ) | ||||||||||||||||||||
2001 - Institutional | 24.06 | 0.11 | (5.95 | ) | (5.84 | ) | — | (2.13 | ) | (2.13 | ) | |||||||||||||||||||||
2001 - Service | 23.65 | 0.02 | (5.83 | ) | (5.81 | ) | — | (2.13 | ) | (2.13 | ) | |||||||||||||||||||||
(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 return would be reduced if a sales or redemption charge were taken into account. Total returns for periods less than one full year are not annualized. Returns do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares. |
(c) | Less than $0.005 per share. |
(d) | Annualized. |
60
Ratios assuming no | ||||||||||||||||||||||||||||||||||
expense reductions | ||||||||||||||||||||||||||||||||||
Ratio of | Ratio of | |||||||||||||||||||||||||||||||||
Net assets, | Ratio of | net investment | Ratio of | net investment | ||||||||||||||||||||||||||||||
Net asset | end of | net expenses | income (loss) | total expenses | income (loss) | Portfolio | ||||||||||||||||||||||||||||
value, end | Total | period | to average | to average | to average | to average | turnover | |||||||||||||||||||||||||||
of period | return(b) | (in 000s) | net assets | net assets | net assets | net assets | rate | |||||||||||||||||||||||||||
$ | 20.14 | 14.16 | % | $ | 352,368 | 1.54 | %(d) | (0.50 | )% (d) | 1.59 | %(d) | (0.54 | )% (d) | 27 | % | |||||||||||||||||||
19.52 | 13.75 | 14,537 | 2.29 | (d) | (1.25 | )(d) | 2.33 | (d) | (1.29 | )(d) | 27 | |||||||||||||||||||||||
19.12 | 13.79 | 20,763 | 2.29 | (d) | (1.24 | )(d) | 2.34 | (d) | (1.29 | )(d) | 27 | |||||||||||||||||||||||
20.57 | 14.38 | 71,894 | 1.14 | (d) | (0.10 | )(d) | 1.19 | (d) | (0.14 | )(d) | 27 | |||||||||||||||||||||||
20.30 | 14.09 | 799 | 1.64 | (d) | (0.64 | )(d) | 1.69 | (d) | (0.68 | )(d) | 27 | |||||||||||||||||||||||
17.78 | 23.26 | 308,447 | 1.54 | 0.53 | 1.60 | 0.47 | 49 | |||||||||||||||||||||||||||
17.16 | 22.36 | 16,554 | 2.29 | (0.27 | ) | 2.35 | (0.33 | ) | 49 | |||||||||||||||||||||||||
16.84 | 22.31 | 17,770 | 2.29 | (0.21 | ) | 2.35 | (0.27 | ) | 49 | |||||||||||||||||||||||||
18.19 | 23.84 | 62,486 | 1.14 | 0.83 | 1.20 | 0.77 | 49 | |||||||||||||||||||||||||||
17.91 | 23.17 | 426 | 1.64 | 0.39 | 1.70 | 0.33 | 49 | |||||||||||||||||||||||||||
14.73 | 14.88 | 301,190 | 1.74 | 0.17 | 1.81 | 0.10 | 78 | |||||||||||||||||||||||||||
14.26 | 14.23 | 23,515 | 2.29 | (0.39 | ) | 2.36 | (0.46 | ) | 78 | |||||||||||||||||||||||||
14.03 | 14.26 | 15,643 | 2.29 | (0.36 | ) | 2.36 | (0.43 | ) | 78 | |||||||||||||||||||||||||
15.05 | 15.53 | 72,823 | 1.14 | 0.63 | 1.21 | 0.56 | 78 | |||||||||||||||||||||||||||
14.82 | 14.90 | 542 | 1.64 | 0.12 | 1.71 | 0.05 | 78 | |||||||||||||||||||||||||||
13.41 | 4.69 | 313,197 | 1.80 | 0.29 | 1.87 | 0.22 | 62 | |||||||||||||||||||||||||||
13.02 | 4.17 | 26,438 | 2.30 | (0.18 | ) | 2.37 | (0.25 | ) | 62 | |||||||||||||||||||||||||
12.83 | 4.17 | 13,814 | 2.30 | (0.12 | ) | 2.37 | (0.19 | ) | 62 | |||||||||||||||||||||||||
13.70 | 5.39 | 196,494 | 1.15 | 0.82 | 1.22 | 0.75 | 62 | |||||||||||||||||||||||||||
13.38 | 4.93 | 1,270 | 1.65 | 0.52 | 1.72 | 0.45 | 62 | |||||||||||||||||||||||||||
12.97 | (16.76 | ) | 503,843 | 1.80 | 0.01 | 1.86 | (0.05 | ) | 118 | |||||||||||||||||||||||||
12.61 | (17.20 | ) | 32,317 | 2.30 | (0.43 | ) | 2.36 | (0.49 | ) | 118 | ||||||||||||||||||||||||
12.46 | (17.21 | ) | 13,832 | 2.30 | (0.40 | ) | 2.36 | (0.46 | ) | 118 | ||||||||||||||||||||||||
13.32 | (16.22 | ) | 409,736 | 1.15 | 0.90 | 1.21 | 0.84 | 118 | ||||||||||||||||||||||||||
13.00 | (16.63 | ) | 5,122 | 1.65 | 0.25 | 1.71 | 0.19 | 118 | ||||||||||||||||||||||||||
15.64 | (26.49 | ) | 1,068,155 | 1.79 | (0.10 | ) | 1.83 | (0.14 | ) | 63 | ||||||||||||||||||||||||
15.23 | (26.86 | ) | 49,019 | 2.29 | (0.64 | ) | 2.33 | (0.68 | ) | 63 | ||||||||||||||||||||||||
15.05 | (26.85 | ) | 17,665 | 2.29 | (0.62 | ) | 2.33 | (0.66 | ) | 63 | ||||||||||||||||||||||||
16.09 | (26.03 | ) | 292,298 | 1.14 | 0.57 | 1.18 | 0.53 | 63 | ||||||||||||||||||||||||||
15.71 | (26.41 | ) | 5,621 | 1.64 | 0.12 | 1.68 | 0.08 | 63 | ||||||||||||||||||||||||||
Financial Highlights
Income (loss) from | Distributions to | |||||||||||||||||||||||||||||||
investment operations | shareholders | |||||||||||||||||||||||||||||||
Net asset | ||||||||||||||||||||||||||||||||
value, | Net | Net realized | Total from | From net | From net | |||||||||||||||||||||||||||
beginning | investment | and unrealized | investment | investment | realized | Total | ||||||||||||||||||||||||||
Year - Share Class | of period | loss(a) | gain (loss) | operations | income | gains | distributions | |||||||||||||||||||||||||
FOR THE SIX MONTHS ENDED FEBRUARY 28, (Unaudited) | ||||||||||||||||||||||||||||||||
2006 - A | $ | 9.58 | $ | (0.04 | ) | $ | 2.48 | $ | 2.44 | $ | (0.08 | ) | $ | — | $ | (0.08 | ) | |||||||||||||||
2006 - B | 9.21 | (0.08 | ) | 2.39 | 2.31 | (0.03 | ) | — | (0.03 | ) | ||||||||||||||||||||||
2006 - C | 9.19 | (0.09 | ) | 2.40 | 2.31 | (0.04 | ) | — | (0.04 | ) | ||||||||||||||||||||||
2006 - Institutional | 9.93 | (0.03 | ) | 2.59 | 2.56 | (0.12 | ) | — | (0.12 | ) | ||||||||||||||||||||||
2006 - Service | 9.73 | (0.04 | ) | 2.51 | 2.47 | (0.10 | ) | — | (0.10 | ) | ||||||||||||||||||||||
FOR THE YEARS ENDED AUGUST 31, | ||||||||||||||||||||||||||||||||
2005 - A | 8.61 | (0.04 | ) | 1.01 | 0.97 | — | — | — | ||||||||||||||||||||||||
2005 - B | 8.34 | (0.10 | ) | 0.97 | 0.87 | — | — | — | ||||||||||||||||||||||||
2005 - C | 8.32 | (0.10 | ) | 0.97 | 0.87 | — | — | — | ||||||||||||||||||||||||
2005 - Institutional | 8.89 | — | (c) | 1.04 | 1.04 | — | — | — | ||||||||||||||||||||||||
2005 - Service | 8.75 | (0.05 | ) | 1.03 | 0.98 | — | — | — | ||||||||||||||||||||||||
2004 - A | 7.39 | (0.08 | ) | 1.31 | 1.23 | (0.01 | ) | — | (0.01 | ) | ||||||||||||||||||||||
2004 - B | 7.19 | (0.13 | ) | 1.28 | 1.15 | — | — | — | ||||||||||||||||||||||||
2004 - C | 7.18 | (0.13 | ) | 1.27 | 1.14 | — | — | — | ||||||||||||||||||||||||
2004 - Institutional | 7.62 | (0.03 | ) | 1.34 | 1.31 | (0.04 | ) | — | (0.04 | ) | ||||||||||||||||||||||
2004 - Service | 7.47 | (0.04 | ) | 1.33 | 1.29 | (0.01 | ) | — | (0.01 | ) | ||||||||||||||||||||||
2003 - A | 7.70 | (0.06 | ) | (0.25 | ) | (0.31 | ) | — | — | — | ||||||||||||||||||||||
2003 - B | 7.55 | (0.09 | ) | (0.27 | ) | (0.36 | ) | — | — | — | ||||||||||||||||||||||
2003 - C | 7.53 | (0.09 | ) | (0.26 | ) | (0.35 | ) | — | — | — | ||||||||||||||||||||||
2003 - Institutional | 7.90 | (0.02 | ) | (0.26 | ) | (0.28 | ) | — | — | — | ||||||||||||||||||||||
2003 - Service | 7.77 | (0.04 | ) | (0.26 | ) | (0.30 | ) | — | — | — | ||||||||||||||||||||||
2002 - A | 8.82 | (0.09 | ) | (0.95 | ) | (1.04 | ) | — | (0.08 | ) | (0.08 | ) | ||||||||||||||||||||
2002 - B | 8.69 | (0.13 | ) | (0.93 | ) | (1.06 | ) | — | (0.08 | ) | (0.08 | ) | ||||||||||||||||||||
2002 - C | 8.67 | (0.13 | ) | (0.93 | ) | (1.06 | ) | — | (0.08 | ) | (0.08 | ) | ||||||||||||||||||||
2002 - Institutional | 9.00 | (0.04 | ) | (0.98 | ) | (1.02 | ) | — | (0.08 | ) | (0.08 | ) | ||||||||||||||||||||
2002 - Service | 8.88 | (0.07 | ) | (0.96 | ) | (1.03 | ) | — | (0.08 | ) | (0.08 | ) | ||||||||||||||||||||
2001 - A | 15.77 | (0.14 | ) | (5.80 | ) | (5.94 | ) | — | (1.01 | ) | (1.01 | ) | ||||||||||||||||||||
2001 - B | 15.63 | (0.20 | ) | (5.73 | ) | (5.93 | ) | — | (1.01 | ) | (1.01 | ) | ||||||||||||||||||||
2001 - C | 15.58 | (0.19 | ) | (5.71 | ) | (5.90 | ) | — | (1.01 | ) | (1.01 | ) | ||||||||||||||||||||
2001 - Institutional | 15.96 | (0.08 | ) | (5.87 | ) | (5.95 | ) | — | (1.01 | ) | (1.01 | ) | ||||||||||||||||||||
2001 - Service | 15.83 | (0.11 | ) | (5.83 | ) | (5.94 | ) | — | (1.01 | ) | (1.01 | ) | ||||||||||||||||||||
(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 return would be reduced if a sales or redemption charge were taken into account. Total returns for periods less than one full year are not annualized. Returns do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares. |
(c) | Less than $0.005 per share |
(d) | Annualized. |
62
Ratios assuming no | ||||||||||||||||||||||||||||||||||
expense reductions | ||||||||||||||||||||||||||||||||||
Ratio of | Ratio of | |||||||||||||||||||||||||||||||||
Net assets, | Ratio of | net investment | Ratio of | net investment | ||||||||||||||||||||||||||||||
Net asset | end of | net expenses | loss to | total expenses | loss to | Portfolio | ||||||||||||||||||||||||||||
value, end | Total | period | to average | average | to average | average | turnover | |||||||||||||||||||||||||||
of period | return(b) | (in 000s) | net assets | net assets | net assets | net assets | rate | |||||||||||||||||||||||||||
$ | 11.94 | 25.50 | % | $ | 42,644 | 1.55 | %(d) | (0.63 | )%(d) | 1.98 | %(d) | (1.06 | )%(d) | 37 | % | |||||||||||||||||||
11.49 | 25.06 | 3,106 | 2.30 | (d) | (1.48 | )(d) | 2.73 | (d) | (1.91 | )(d) | 37 | |||||||||||||||||||||||
11.46 | 25.11 | 4,399 | 2.30 | (d) | (1.58 | )(d) | 2.74 | (d) | (2.01 | )(d) | 37 | |||||||||||||||||||||||
12.37 | 25.83 | 16,657 | 1.15 | (d) | (0.44 | )(d) | 1.58 | (d) | (0.86 | )(d) | 37 | |||||||||||||||||||||||
12.10 | 25.50 | 243 | 1.65 | (d) | (0.70 | )(d) | 2.09 | (d) | (1.13 | )(d) | 37 | |||||||||||||||||||||||
9.58 | 11.27 | 38,443 | 1.55 | (0.46 | ) | 2.11 | (1.02 | ) | 82 | |||||||||||||||||||||||||
9.21 | 10.43 | 1,797 | 2.30 | (1.20 | ) | 2.86 | (1.76 | ) | 82 | |||||||||||||||||||||||||
9.19 | 10.46 | 1,711 | 2.30 | (1.21 | ) | 2.86 | (1.77 | ) | 82 | |||||||||||||||||||||||||
9.93 | 11.70 | 7,018 | 1.15 | (0.04 | ) | 1.71 | (0.60 | ) | 82 | |||||||||||||||||||||||||
9.73 | 11.20 | 2 | 1.65 | (0.48 | ) | 2.21 | (1.04 | ) | 82 | |||||||||||||||||||||||||
8.61 | 16.58 | 38,544 | 1.73 | (0.92 | ) | 2.34 | (1.53 | ) | 111 | |||||||||||||||||||||||||
8.34 | 15.99 | 1,969 | 2.30 | (1.57 | ) | 2.91 | (2.18 | ) | 111 | |||||||||||||||||||||||||
8.32 | 15.88 | 1,650 | 2.30 | (1.55 | ) | 2.91 | (2.16 | ) | 111 | |||||||||||||||||||||||||
8.89 | 17.32 | 12,588 | 1.15 | (0.28 | ) | 1.76 | (0.89 | ) | 111 | |||||||||||||||||||||||||
8.75 | 17.27 | 2 | 1.65 | (0.47 | ) | 2.26 | (1.08 | ) | 111 | |||||||||||||||||||||||||
7.39 | (4.03 | ) | 19,088 | 1.84 | (0.91 | ) | 3.15 | (2.22 | ) | 115 | ||||||||||||||||||||||||
7.19 | (4.77 | ) | 1,556 | 2.34 | (1.40 | ) | 3.65 | (2.71 | ) | 115 | ||||||||||||||||||||||||
7.18 | (4.65 | ) | 1,784 | 2.34 | (1.40 | ) | 3.65 | (2.71 | ) | 115 | ||||||||||||||||||||||||
7.62 | (3.54 | ) | 5,057 | 1.19 | (0.34 | ) | 2.50 | (1.65 | ) | 115 | ||||||||||||||||||||||||
7.47 | (3.86 | ) | 1 | 1.69 | (0.54 | ) | 3.00 | (1.85 | ) | 115 | ||||||||||||||||||||||||
7.70 | (11.84 | ) | 16,863 | 1.83 | (1.11 | ) | 3.19 | (2.47 | ) | 98 | ||||||||||||||||||||||||
7.55 | (12.25 | ) | 1,807 | 2.33 | (1.59 | ) | 3.69 | (2.95 | ) | 98 | ||||||||||||||||||||||||
7.53 | (12.28 | ) | 2,389 | 2.33 | (1.60 | ) | 3.69 | (2.96 | ) | 98 | ||||||||||||||||||||||||
7.90 | (11.38 | ) | 6,480 | 1.18 | (0.45 | ) | 2.54 | (1.81 | ) | 98 | ||||||||||||||||||||||||
7.77 | (11.65 | ) | 1 | 1.68 | (0.88 | ) | 3.04 | (2.24 | ) | 98 | ||||||||||||||||||||||||
8.82 | (39.60 | ) | 19,289 | 1.80 | (1.19 | ) | 2.29 | (1.68 | ) | 75 | ||||||||||||||||||||||||
8.69 | (39.90 | ) | 2,281 | 2.30 | (1.67 | ) | 2.79 | (2.16 | ) | 75 | ||||||||||||||||||||||||
8.67 | (39.84 | ) | 2,242 | 2.30 | (1.65 | ) | 2.79 | (2.14 | ) | 75 | ||||||||||||||||||||||||
9.00 | (39.16 | ) | 2,285 | 1.15 | (0.64 | ) | 1.64 | (1.13 | ) | 75 | ||||||||||||||||||||||||
8.88 | (39.44 | ) | 2 | 1.65 | (0.94 | ) | 2.14 | (1.43 | ) | 75 | ||||||||||||||||||||||||
Financial Highlights
Income (loss) from | Distributions to | |||||||||||||||||||||||||||||||
investment operations | shareholders | |||||||||||||||||||||||||||||||
Net asset | Net | |||||||||||||||||||||||||||||||
value, | investment | Net realized | Total from | From net | From net | |||||||||||||||||||||||||||
beginning | income | and unrealized | investment | investment | realized | Total | ||||||||||||||||||||||||||
Year - Share Class | of period | (loss)(a) | gain (loss) | operations | income | gains | distributions | |||||||||||||||||||||||||
FOR THE SIX MONTHS ENDED FEBRUARY 28, (Unaudited) | ||||||||||||||||||||||||||||||||
2006 - A | $ | 15.83 | $ | (0.06 | ) | $ | 2.76 | $ | 2.70 | $ | (0.10 | ) | $ | — | $ | (0.10 | ) | |||||||||||||||
2006 - B | 15.25 | (0.12 | ) | 2.66 | 2.54 | — | — | — | ||||||||||||||||||||||||
2006 - C | 15.19 | (0.12 | ) | 2.65 | 2.53 | — | — | — | ||||||||||||||||||||||||
2006 - Institutional | 16.35 | (0.03 | ) | 2.84 | 2.81 | (0.13 | ) | — | (0.13 | ) | ||||||||||||||||||||||
2006 - Service | 15.80 | (0.08 | ) | 2.76 | 2.68 | (0.08 | ) | — | (0.08 | ) | ||||||||||||||||||||||
FOR THE YEARS ENDED AUGUST 31, | ||||||||||||||||||||||||||||||||
2005 - A | 12.00 | 0.03 | 3.88 | 3.91 | (0.08 | ) | — | (0.08 | ) | |||||||||||||||||||||||
2005 - B | 11.65 | (0.09 | ) | 3.76 | 3.67 | (0.07 | ) | — | (0.07 | ) | ||||||||||||||||||||||
2005 - C | 11.64 | (0.09 | ) | 3.75 | 3.66 | (0.11 | ) | — | (0.11 | ) | ||||||||||||||||||||||
2005 - Institutional | 12.43 | 0.08 | 4.02 | 4.10 | (0.18 | ) | — | (0.18 | ) | |||||||||||||||||||||||
2005 - Service | 12.06 | 0.01 | 3.89 | 3.90 | (0.16 | ) | — | (0.16 | ) | |||||||||||||||||||||||
2004 - A | 9.22 | 0.08 | 2.71 | 2.79 | (0.01 | ) | — | (0.01 | ) | |||||||||||||||||||||||
2004 - B | 8.99 | 0.02 | 2.65 | 2.67 | (0.01 | ) | — | (0.01 | ) | |||||||||||||||||||||||
2004 - C | 8.98 | (0.01 | ) | 2.67 | 2.66 | — | — | — | ||||||||||||||||||||||||
2004 - Institutional | 9.55 | 0.13 | 2.83 | 2.96 | (0.08 | ) | — | (0.08 | ) | |||||||||||||||||||||||
2004 - Service | 9.29 | 0.09 | 2.73 | 2.82 | (0.05 | ) | — | (0.05 | ) | |||||||||||||||||||||||
2003 - A | 7.96 | — | (c) | 1.26 | 1.26 | — | — | — | ||||||||||||||||||||||||
2003 - B | 7.81 | (0.03 | ) | 1.21 | 1.18 | — | — | — | ||||||||||||||||||||||||
2003 - C | 7.80 | (0.03 | ) | 1.21 | 1.18 | — | — | — | ||||||||||||||||||||||||
2003 - Institutional | 8.20 | 0.06 | 1.29 | 1.35 | — | — | — | |||||||||||||||||||||||||
2003 - Service | 8.01 | 0.03 | 1.25 | 1.28 | — | — | — | |||||||||||||||||||||||||
2002 - A | 9.81 | (0.07 | ) | (1.78 | ) | (1.85 | ) | — | — | — | ||||||||||||||||||||||
2002 - B | 9.66 | (0.11 | ) | (1.74 | ) | (1.85 | ) | — | — | — | ||||||||||||||||||||||
2002 - C | 9.66 | (0.11 | ) | (1.75 | ) | (1.86 | ) | — | — | — | ||||||||||||||||||||||
2002 - Institutional | 10.03 | (0.01 | ) | (1.82 | ) | (1.83 | ) | — | — | — | ||||||||||||||||||||||
2002 - Service | 9.85 | (0.04 | ) | (1.80 | ) | (1.84 | ) | — | — | — | ||||||||||||||||||||||
2001 - A | 16.12 | (0.12 | ) | (5.21 | ) | (5.33 | ) | — | (0.98 | ) | (0.98 | ) | ||||||||||||||||||||
2001 - B | 15.98 | (0.18 | ) | (5.16 | ) | (5.34 | ) | — | (0.98 | ) | (0.98 | ) | ||||||||||||||||||||
2001 - C | 15.97 | (0.17 | ) | (5.16 | ) | (5.33 | ) | — | (0.98 | ) | (0.98 | ) | ||||||||||||||||||||
2001 - Institutional | 16.37 | (0.05 | ) | (5.31 | ) | (5.36 | ) | — | (0.98 | ) | (0.98 | ) | ||||||||||||||||||||
2001 - Service | 16.16 | (0.10 | ) | (5.23 | ) | (5.33 | ) | — | (0.98 | ) | (0.98 | ) | ||||||||||||||||||||
(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 return would be reduced if a sales or redemption charge were taken into account. Total returns for periods less than one full year are not annualized. Returns do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares. |
(c) | Less than $0.005 per share |
(d) | Annualized. |
64
Ratios assuming no | ||||||||||||||||||||||||||||||||||
expense reductions | ||||||||||||||||||||||||||||||||||
Ratio of | Ratio of | |||||||||||||||||||||||||||||||||
Net assets, | Ratio of | net investment | Ratio of | net investment | ||||||||||||||||||||||||||||||
Net asset | end of | net expenses | income (loss) | total expenses | income (loss) to | Portfolio | ||||||||||||||||||||||||||||
value, end | Total | period | to average | to average | to average | average | turnover | |||||||||||||||||||||||||||
of period | return(b) | (in 000s) | net assets | net assets | net assets | net assets | rate | |||||||||||||||||||||||||||
$ | 18.43 | 17.10 | % | $ | 98,798 | 1.64 | %(d) | (0.78 | )% (d) | 1.81 | %(d) | (0.95 | )% (d) | 28 | % | |||||||||||||||||||
17.79 | 16.66 | 5,987 | 2.39 | (d) | (1.51 | )(d) | 2.56 | (d) | (1.68 | )(d) | 28 | |||||||||||||||||||||||
17.72 | 16.66 | 7,555 | 2.39 | (d) | (1.52 | )(d) | 2.56 | (d) | (1.69 | )(d) | 28 | |||||||||||||||||||||||
19.03 | 17.27 | 84,212 | 1.24 | (d) | (0.36 | )(d) | 1.41 | (d) | (0.53 | )(d) | 28 | |||||||||||||||||||||||
18.40 | 17.00 | 526 | 1.74 | (d) | (0.95 | )(d) | 1.93 | (d) | (1.12 | )(d) | 28 | |||||||||||||||||||||||
15.83 | 32.70 | 64,169 | 1.64 | 0.17 | 1.95 | (0.14 | ) | 67 | ||||||||||||||||||||||||||
15.25 | 31.63 | 4,885 | 2.39 | (0.64 | ) | 2.70 | (0.95 | ) | 67 | |||||||||||||||||||||||||
15.19 | 31.65 | 8,445 | 2.39 | (0.63 | ) | 2.70 | (0.94 | ) | 67 | |||||||||||||||||||||||||
16.35 | 33.27 | 66,670 | 1.24 | 0.52 | 1.55 | 0.21 | 67 | |||||||||||||||||||||||||||
15.80 | 32.54 | 217 | 1.74 | 0.06 | 2.05 | (0.25 | ) | 67 | ||||||||||||||||||||||||||
12.00 | 30.33 | 24,420 | 1.85 | 0.70 | 2.43 | 0.12 | 99 | |||||||||||||||||||||||||||
11.65 | 29.66 | 3,362 | 2.39 | 0.17 | 2.97 | (0.41 | ) | 99 | ||||||||||||||||||||||||||
11.64 | 29.62 | 5,918 | 2.39 | (0.05 | ) | 2.97 | (0.63 | ) | 99 | |||||||||||||||||||||||||
12.43 | 31.07 | 37,898 | 1.24 | 1.12 | 1.82 | 0.54 | 99 | |||||||||||||||||||||||||||
12.06 | 30.38 | 213 | 1.74 | 0.73 | 2.32 | 0.15 | 99 | |||||||||||||||||||||||||||
9.22 | 15.83 | 29,846 | 1.91 | 0.02 | 2.66 | (0.73 | ) | 87 | ||||||||||||||||||||||||||
8.99 | 15.11 | 1,285 | 2.41 | (0.38 | ) | 3.16 | (1.13 | ) | 87 | |||||||||||||||||||||||||
8.98 | 15.13 | 1,653 | 2.41 | (0.44 | ) | 3.16 | (1.19 | ) | 87 | |||||||||||||||||||||||||
9.55 | 16.46 | 28,721 | 1.26 | 0.83 | 2.01 | 0.08 | 87 | |||||||||||||||||||||||||||
9.29 | 15.98 | 56 | 1.76 | 0.34 | 2.51 | (0.41 | ) | 87 | ||||||||||||||||||||||||||
7.96 | (18.86 | ) | 51,188 | 2.03 | (0.77 | ) | 2.37 | (1.11 | ) | 56 | ||||||||||||||||||||||||
7.81 | (19.15 | ) | 1,171 | 2.53 | (1.22 | ) | 2.87 | (1.56 | ) | 56 | ||||||||||||||||||||||||
7.80 | (19.25 | ) | 1,377 | 2.53 | (1.23 | ) | 2.87 | (1.57 | ) | 56 | ||||||||||||||||||||||||
8.20 | (18.25 | ) | 41,175 | 1.38 | (0.12 | ) | 1.72 | (0.46 | ) | 56 | ||||||||||||||||||||||||
8.01 | (18.68 | ) | 25 | 1.88 | (0.49 | ) | 2.22 | (0.83 | ) | 56 | ||||||||||||||||||||||||
9.81 | (34.26 | ) | 161,849 | 2.05 | (1.02 | ) | 2.13 | (1.10 | ) | 64 | ||||||||||||||||||||||||
9.66 | (34.64 | ) | 1,709 | 2.55 | (1.51 | ) | 2.63 | (1.59 | ) | 64 | ||||||||||||||||||||||||
9.66 | (34.60 | ) | 1,826 | 2.55 | (1.47 | ) | 2.63 | (1.55 | ) | 64 | ||||||||||||||||||||||||
10.03 | (33.90 | ) | 82,850 | 1.40 | (0.38 | ) | 1.48 | (0.46 | ) | 64 | ||||||||||||||||||||||||
9.85 | (34.17 | ) | 8 | 1.90 | (0.86 | ) | 1.98 | (0.94 | ) | 64 | ||||||||||||||||||||||||
Financial Highlights
Income (loss) from | Distributions to | |||||||||||||||||||||||||||||||
investment operations | shareholders | |||||||||||||||||||||||||||||||
Net asset | ||||||||||||||||||||||||||||||||
value, | Net | Net realized | Total from | From net | From net | |||||||||||||||||||||||||||
beginning | investment | and unrealized | investment | investment | realized | Total | ||||||||||||||||||||||||||
Year - Share Class | of period | income (loss)(a) | gain (loss) | operations | income | gains | distributions | |||||||||||||||||||||||||
FOR THE SIX MONTHS ENDED FEBRUARY 28, (Unaudited) | ||||||||||||||||||||||||||||||||
2006 - A | $ | 15.76 | $ | (0.06 | ) | $ | 4.86 | $ | 4.80 | $ | (0.03 | ) | $ | (0.10 | ) | $ | (0.13 | ) | ||||||||||||||
2006 - B | 15.24 | (0.11 | ) | 4.69 | 4.58 | — | (0.10 | ) | (0.10 | ) | ||||||||||||||||||||||
2006 - C | 15.26 | (0.12 | ) | 4.69 | 4.57 | — | (0.10 | ) | (0.10 | ) | ||||||||||||||||||||||
2006 - Institutional | 16.39 | (0.02 | ) | 5.05 | 5.03 | (0.07 | ) | (0.10 | ) | (0.17 | ) | |||||||||||||||||||||
2006 - Service | 15.56 | (0.06 | ) | 4.79 | 4.73 | — | (0.10 | ) | (0.10 | ) | ||||||||||||||||||||||
FOR THE YEARS ENDED AUGUST 31, | ||||||||||||||||||||||||||||||||
2005 - A | 10.49 | 0.09 | 5.19 | 5.28 | (0.01 | ) | — | (0.01 | ) | |||||||||||||||||||||||
2005 - B | 10.19 | (0.01 | ) | 5.06 | 5.05 | — | — | — | ||||||||||||||||||||||||
2005 - C | 10.22 | — | (c) | 5.04 | 5.04 | — | — | — | ||||||||||||||||||||||||
2005 - Institutional | 10.92 | 0.14 | 5.41 | 5.55 | (0.08 | ) | — | (0.08 | ) | |||||||||||||||||||||||
2005 - Service | 10.38 | 0.08 | 5.13 | 5.21 | (0.03 | ) | — | (0.03 | ) | |||||||||||||||||||||||
2004 - A | 9.14 | 0.04 | 1.35 | 1.39 | (0.04 | ) | — | (0.04 | ) | |||||||||||||||||||||||
2004 - B | 8.91 | (0.01 | ) | 1.31 | 1.30 | (0.02 | ) | — | (0.02 | ) | ||||||||||||||||||||||
2004 - C | 8.92 | (0.02 | ) | 1.32 | 1.30 | — | — | — | ||||||||||||||||||||||||
2004 - Institutional | 9.49 | 0.09 | 1.42 | 1.51 | (0.08 | ) | — | (0.08 | ) | |||||||||||||||||||||||
2004 - Service | 9.06 | 0.06 | 1.33 | 1.39 | (0.07 | ) | — | (0.07 | ) | |||||||||||||||||||||||
2003 - A | 7.14 | 0.03 | 1.97 | 2.00 | — | — | — | |||||||||||||||||||||||||
2003 - B | 7.00 | (0.01 | ) | 1.92 | 1.91 | — | — | — | ||||||||||||||||||||||||
2003 - C | 7.01 | (0.01 | ) | 1.92 | 1.91 | — | — | — | ||||||||||||||||||||||||
2003 - Institutional | 7.37 | 0.08 | 2.04 | 2.12 | — | — | — | |||||||||||||||||||||||||
2003 - Service | 7.07 | 0.04 | 1.95 | 1.99 | — | — | — | |||||||||||||||||||||||||
2002 - A | 7.21 | (0.04 | ) | (0.03 | ) | (0.07 | ) | — | — | — | ||||||||||||||||||||||
2002 - B | 7.09 | (0.08 | ) | (0.01 | ) | (0.09 | ) | — | — | — | ||||||||||||||||||||||
2002 - C | 7.11 | (0.08 | ) | (0.02 | ) | (0.10 | ) | — | — | — | ||||||||||||||||||||||
2002 - Institutional | 7.38 | 0.01 | (0.02 | ) | (0.01 | ) | — | — | — | |||||||||||||||||||||||
2002 - Service | 7.12 | (0.06 | ) | 0.01 | (0.05 | ) | — | — | — | |||||||||||||||||||||||
2001 - A | 10.83 | 0.01 | (3.27 | ) | (3.26 | ) | — | (0.36 | ) | (0.36 | ) | |||||||||||||||||||||
2001 - B | 10.72 | (0.02 | ) | (3.25 | ) | (3.27 | ) | — | (0.36 | ) | (0.36 | ) | ||||||||||||||||||||
2001 - C | 10.75 | (0.03 | ) | (3.25 | ) | (3.28 | ) | — | (0.36 | ) | (0.36 | ) | ||||||||||||||||||||
2001 - Institutional | 11.02 | 0.05 | (3.33 | ) | (3.28 | ) | — | (0.36 | ) | (0.36 | ) | |||||||||||||||||||||
2001 - Service | 10.63 | 0.08 | (3.23 | ) | (3.15 | ) | — | (0.36 | ) | (0.36 | ) | |||||||||||||||||||||
(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 return would be reduced if a sales or redemption charge were taken into account. Total returns for periods less than one full year are not annualized. Returns do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares. |
(c) | Less than $0.005 per share |
(d) | Annualized. |
66
Ratios assuming no | ||||||||||||||||||||||||||||||||||
expense reductions | ||||||||||||||||||||||||||||||||||
Ratio of | Ratio of | |||||||||||||||||||||||||||||||||
Net assets, | Ratio of | net investment | Ratio of | net investment | ||||||||||||||||||||||||||||||
Net asset | end of | net expenses | income (loss) | total expenses | income (loss) | Portfolio | ||||||||||||||||||||||||||||
value, end | Total | period | to average | to average | to average | to average | turnover | |||||||||||||||||||||||||||
of period | return(b) | (in 000s) | net assets | net assets | net assets | net assets | rate | |||||||||||||||||||||||||||
$ | 20.43 | 30.49 | % | $ | 256,771 | 1.87 | %(d) | (0.62 | )% (d) | 1.87 | %(d) | (0.62 | )% (d) | 38 | % | |||||||||||||||||||
19.72 | 30.06 | 12,215 | 2.61 | (d) | (1.31 | )(d) | 2.61 | (d) | (1.31 | )(d) | 38 | |||||||||||||||||||||||
19.73 | 30.11 | 13,193 | 2.64 | (d) | (1.35 | )(d) | 2.64 | (d) | (1.35 | )(d) | 38 | |||||||||||||||||||||||
21.25 | 30.88 | 324,096 | 1.46 | (d) | (0.18 | )(d) | 1.46 | (d) | (0.18 | )(d) | 38 | |||||||||||||||||||||||
20.19 | 30.49 | 1,960 | 1.94 | (d) | (0.64 | )(d) | 1.94 | (d) | (0.64 | )(d) | 38 | |||||||||||||||||||||||
15.76 | 50.51 | 87,292 | 1.99 | 0.63 | 2.06 | 0.56 | 91 | |||||||||||||||||||||||||||
15.24 | 49.51 | 6,080 | 2.74 | (0.11 | ) | 2.81 | (0.18 | ) | 91 | |||||||||||||||||||||||||
15.26 | 49.32 | 2,835 | 2.74 | 0.02 | 2.81 | (0.05 | ) | 91 | ||||||||||||||||||||||||||
16.39 | 51.00 | 89,841 | 1.59 | 1.01 | 1.66 | 0.94 | 91 | |||||||||||||||||||||||||||
15.56 | 50.25 | 1,655 | 2.09 | 0.58 | 2.16 | 0.51 | 91 | |||||||||||||||||||||||||||
10.49 | 15.20 | 30,159 | 2.18 | 0.36 | 2.33 | 0.21 | 150 | |||||||||||||||||||||||||||
10.19 | 14.68 | 2,971 | 2.74 | (0.13 | ) | 2.89 | (0.28 | ) | 150 | |||||||||||||||||||||||||
10.22 | 14.70 | 939 | 2.74 | (0.22 | ) | 2.89 | (0.37 | ) | 150 | |||||||||||||||||||||||||
10.92 | 15.91 | 45,644 | 1.59 | 0.82 | 1.74 | 0.67 | 150 | |||||||||||||||||||||||||||
10.38 | 15.36 | 567 | 2.09 | 0.56 | 2.24 | 0.41 | 150 | |||||||||||||||||||||||||||
9.14 | 28.01 | 24,504 | 2.25 | 0.40 | 2.42 | 0.23 | 82 | |||||||||||||||||||||||||||
8.91 | 27.29 | 1,428 | 2.75 | (0.10 | ) | 2.92 | (0.27 | ) | 82 | |||||||||||||||||||||||||
8.92 | 27.10 | 972 | 2.75 | (0.18 | ) | 2.92 | (0.35 | ) | 82 | |||||||||||||||||||||||||
9.49 | 28.77 | 78,132 | 1.60 | 1.07 | 1.77 | 0.90 | 82 | |||||||||||||||||||||||||||
9.06 | 28.15 | 185 | 2.10 | 0.52 | 2.27 | 0.35 | 82 | |||||||||||||||||||||||||||
7.14 | (0.97 | ) | 22,442 | 2.25 | (0.51 | ) | 2.56 | (0.82 | ) | 104 | ||||||||||||||||||||||||
7.00 | (1.27 | ) | 1,351 | 2.75 | (1.03 | ) | 3.06 | (1.34 | ) | 104 | ||||||||||||||||||||||||
7.01 | (1.41 | ) | 706 | 2.75 | (1.04 | ) | 3.06 | (1.35 | ) | 104 | ||||||||||||||||||||||||
7.37 | (0.14 | ) | 66,920 | 1.60 | 0.13 | 1.91 | (0.18 | ) | 104 | |||||||||||||||||||||||||
7.07 | (0.70 | ) | 50 | 2.10 | (0.93 | ) | 2.41 | (1.24 | ) | 104 | ||||||||||||||||||||||||
7.21 | (30.55 | ) | 33,827 | 2.24 | 0.11 | 2.49 | (0.14 | ) | 139 | |||||||||||||||||||||||||
7.09 | (30.97 | ) | 1,498 | 2.74 | (0.29 | ) | 2.99 | (0.54 | ) | 139 | ||||||||||||||||||||||||
7.11 | (30.98 | ) | 656 | 2.74 | (0.41 | ) | 2.99 | (0.66 | ) | 139 | ||||||||||||||||||||||||
7.38 | (30.20 | ) | 74,483 | 1.59 | 0.63 | 1.84 | 0.38 | 139 | ||||||||||||||||||||||||||
7.12 | (30.08 | ) | 8 | 1.55 | 0.97 | 2.34 | 0.18 | 139 | ||||||||||||||||||||||||||
Financial Highlights
Income (loss) from | Distributions to | |||||||||||||||||||||||
investment operations | shareholders | |||||||||||||||||||||||
Net asset | ||||||||||||||||||||||||
value, | Net | Net realized | Total from | From net | ||||||||||||||||||||
beginning | investment | and unrealized | investment | investment | ||||||||||||||||||||
Year - Share Class | of period | income (loss)(a) | gain (loss) | operations | income | |||||||||||||||||||
FOR THE SIX MONTHS ENDED FEBRUARY 28, (Unaudited) | ||||||||||||||||||||||||
2006 - A | $ | 13.38 | $ | (0.02 | ) | $ | 2.21 | $ | 2.19 | $ | (0.16 | ) | ||||||||||||
2006 - B | 12.85 | (0.07 | ) | 2.11 | 2.04 | (0.08 | ) | |||||||||||||||||
2006 - C | 12.79 | (0.07 | ) | 2.11 | 2.04 | (0.10 | ) | |||||||||||||||||
2006 - Institutional | 14.05 | 0.01 | 2.31 | 2.32 | (0.18 | ) | ||||||||||||||||||
FOR THE YEARS ENDED AUGUST 31, | ||||||||||||||||||||||||
2005 - A | 10.47 | 0.16 | 2.82 | 2.98 | (0.07 | ) | ||||||||||||||||||
2005 - B | 10.08 | 0.04 | 2.74 | 2.78 | (0.01 | ) | ||||||||||||||||||
2005 - C | 10.03 | 0.06 | 2.71 | 2.77 | (0.01 | ) | ||||||||||||||||||
2005 - Institutional | 11.00 | 0.23 | 2.95 | 3.18 | (0.13 | ) | ||||||||||||||||||
2004 - A | 9.37 | 0.06 | 1.11 | 1.17 | (0.07 | ) | ||||||||||||||||||
2004 - B | 9.04 | 0.01 | 1.06 | 1.07 | (0.03 | ) | ||||||||||||||||||
2004 - C | 9.00 | 0.01 | 1.06 | 1.07 | (0.04 | ) | ||||||||||||||||||
2004 - Institutional | 9.82 | 0.20 | 1.09 | 1.29 | (0.11 | ) | ||||||||||||||||||
2003 - A | 8.65 | 0.07 | 0.65 | 0.72 | — | |||||||||||||||||||
2003 - B | 8.39 | 0.02 | 0.63 | 0.65 | — | |||||||||||||||||||
2003 - C | 8.37 | 0.03 | 0.60 | 0.63 | — | |||||||||||||||||||
2003 - Institutional | 8.97 | 0.21 | 0.64 | 0.85 | — | |||||||||||||||||||
2002 - A | 8.07 | 0.06 | 0.52 | 0.58 | — | |||||||||||||||||||
2002 - B | 7.87 | 0.01 | 0.51 | 0.52 | — | |||||||||||||||||||
2002 - C | 7.85 | 0.02 | 0.50 | 0.52 | — | |||||||||||||||||||
2002 - Institutional | 8.32 | 0.12 | 0.53 | 0.65 | — | |||||||||||||||||||
2001 - A | 11.16 | 0.04 | (3.13 | ) | (3.09 | ) | — | |||||||||||||||||
2001 - B | 10.91 | — | (c) | (3.04 | ) | (3.04 | ) | — | ||||||||||||||||
2001 - C | 10.88 | (0.01 | ) | (3.02 | ) | (3.03 | ) | — | ||||||||||||||||
2001 - Institutional | 11.41 | 0.13 | (3.22 | ) | (3.09 | ) | — | |||||||||||||||||
(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 return would be reduced if a sales or redemption charge were taken into account. Total returns for periods less than one full year are not annualized. Returns do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares. |
(c) | Less than $0.005 per share. |
(d) | Annualized. |
68
Ratios assuming no | ||||||||||||||||||||||||||||||||||
expense reductions | ||||||||||||||||||||||||||||||||||
Ratio of | Ratio of | |||||||||||||||||||||||||||||||||
Net assets, | Ratio of | net investment | Ratio of | net investment | ||||||||||||||||||||||||||||||
Net asset | end of | net expenses | income (loss) | total expenses | income (loss) | Portfolio | ||||||||||||||||||||||||||||
value, end | Total | period | to average | to average | to average | to average | turnover | |||||||||||||||||||||||||||
of period | return(b) | (in 000s) | net assets | net assets | net assets | net assets | rate | |||||||||||||||||||||||||||
$ | 15.41 | 16.34 | % | $ | 92,631 | 1.60 | %(d) | (0.29 | )% (d) | 1.87 | %(d) | (0.55 | )% (d) | 26 | % | |||||||||||||||||||
14.81 | 15.91 | 5,615 | 2.35 | (d) | (1.02 | )(d) | 2.61 | (d) | (1.28 | )(d) | 26 | |||||||||||||||||||||||
14.73 | 15.99 | 3,132 | 2.35 | (d) | (1.03 | )(d) | 2.62 | (d) | (1.30 | )(d) | 26 | |||||||||||||||||||||||
16.19 | 16.63 | 43,669 | 1.20 | (d) | 0.11 | (d) | 1.46 | (d) | (0.15 | )(d) | 26 | |||||||||||||||||||||||
13.38 | 28.64 | 59,572 | 1.60 | 1.25 | 1.99 | 0.86 | 66 | |||||||||||||||||||||||||||
12.85 | 27.63 | 5,124 | 2.35 | 0.38 | 2.74 | (0.01 | ) | 66 | ||||||||||||||||||||||||||
12.79 | 27.60 | 2,090 | 2.35 | 0.48 | 2.74 | 0.09 | 66 | |||||||||||||||||||||||||||
14.05 | 29.06 | 33,833 | 1.20 | 1.74 | 1.59 | 1.35 | 66 | |||||||||||||||||||||||||||
10.47 | 12.53 | 38,943 | 1.79 | 0.62 | 2.40 | 0.01 | 105 | |||||||||||||||||||||||||||
10.08 | 11.85 | 4,096 | 2.35 | 0.08 | 2.96 | (0.53 | ) | 105 | ||||||||||||||||||||||||||
10.03 | 11.89 | 1,582 | 2.35 | 0.06 | 2.96 | (0.55 | ) | 105 | ||||||||||||||||||||||||||
11.00 | 13.21 | 21,475 | 1.20 | 1.74 | 1.81 | 1.13 | 105 | |||||||||||||||||||||||||||
9.37 | 8.20 | 35,070 | 1.89 | 0.87 | 3.34 | (0.58 | ) | 224 | ||||||||||||||||||||||||||
9.04 | 7.62 | 3,185 | 2.39 | 0.32 | 3.84 | (1.13 | ) | 224 | ||||||||||||||||||||||||||
9.00 | 7.53 | 1,215 | 2.39 | 0.38 | 3.84 | (1.07 | ) | 224 | ||||||||||||||||||||||||||
9.82 | 9.35 | 3,161 | 1.24 | 2.65 | 2.69 | 1.20 | 224 | |||||||||||||||||||||||||||
8.65 | 7.18 | 29,635 | 1.87 | 0.70 | 3.17 | (0.60 | ) | 161 | ||||||||||||||||||||||||||
8.39 | 6.73 | 3,101 | 2.37 | 0.17 | 3.67 | (1.13 | ) | 161 | ||||||||||||||||||||||||||
8.37 | 6.62 | 1,055 | 2.37 | 0.23 | 3.67 | (1.07 | ) | 161 | ||||||||||||||||||||||||||
8.97 | 7.80 | 4,068 | 1.22 | 1.35 | 2.52 | 0.05 | 161 | |||||||||||||||||||||||||||
8.07 | (27.53 | ) | 33,854 | 1.85 | 0.41 | 2.57 | (0.31 | ) | 314 | |||||||||||||||||||||||||
7.87 | (27.80 | ) | 3,645 | 2.35 | (0.04 | ) | 3.07 | (0.76 | ) | 314 | ||||||||||||||||||||||||
7.85 | (27.78 | ) | 1,010 | 2.35 | (0.07 | ) | 3.07 | (0.79 | ) | 314 | ||||||||||||||||||||||||
8.32 | (26.93 | ) | 3,055 | 1.20 | 1.41 | 1.92 | 0.69 | 314 | ||||||||||||||||||||||||||
Fund Expenses (Unaudited) — Six Month Period Ended February 28, 2006
As a shareholder of Class A, Class B, Class C, Institutional or Service Shares of the Funds you incur two types of costs: (1) transaction costs, including sales charges (loads) on purchase payments (with respect to Class A Shares), contingent deferred sales charges (loads) on redemptions (with respect to Class B and Class C Shares), and redemption fees (with respect to Class A, 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 Funds and to compare these costs with the ongoing costs of investing in other mutual funds.
The Example is based on an investment of $1,000 invested at the beginning of the period and held for the entire period from September 1, 2005 through February 28, 2006.
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 Funds’ actual expense ratios and an assumed rate of return of 5% per year before expenses, which are not the Funds’ actual returns. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Funds and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds.
Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transactional costs, such as sales charges (loads), redemption fees, or exchange fees. Therefore, the second line of the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transactional costs were included, your costs would have been higher.
European Equity Fund | International Equity Fund | Japanese Equity Fund | ||||||||||||||||||||||||||||||||||
Beginning | Ending | Expenses | Beginning | Ending | Expenses | Beginning | Ending | Expenses | ||||||||||||||||||||||||||||
Account | Account | Paid for the | Account | Account | Paid for the | Account | Account | Paid for the | ||||||||||||||||||||||||||||
Value | Value | 6 months ended | Value | Value | 6 months ended | Value | Value | 6 months ended | ||||||||||||||||||||||||||||
Share Class | 9/1/05 | 2/28/06 | 2/28/06* | 9/1/05 | 2/28/06 | 2/28/06* | 9/1/05 | 2/28/06 | 2/28/06* | |||||||||||||||||||||||||||
Class A | ||||||||||||||||||||||||||||||||||||
Actual | $ | 1,000.00 | $ | 1,100.10 | $ | 8.01 | $ | 1,000.00 | $ | 1,141.60 | $ | 8.19 | $ | 1,000.00 | $ | 1,255.00 | $ | 8.68 | ||||||||||||||||||
Hypothetical 5% return | 1,000.00 | 1,017.17 | † | 7.69 | 1,000.00 | 1,017.15 | † | 7.71 | 1,000.00 | 1,017.10 | † | 7.76 | ||||||||||||||||||||||||
Class B | ||||||||||||||||||||||||||||||||||||
Actual | 1,000.00 | 1,096.40 | 11.89 | 1,000.00 | 1,137.50 | 12.14 | 1,000.00 | 1,250.60 | 12.85 | |||||||||||||||||||||||||||
Hypothetical 5% return | 1,000.00 | 1,013.45 | † | 11.42 | 1,000.00 | 1,013.44 | † | 11.43 | 1,000.00 | 1,013.37 | † | 11.50 | ||||||||||||||||||||||||
Class C | ||||||||||||||||||||||||||||||||||||
Actual | 1,000.00 | 1,097.30 | 11.91 | 1,000.00 | 1,137.90 | 12.15 | 1,000.00 | 1,251.10 | 12.89 | |||||||||||||||||||||||||||
Hypothetical 5% return | 1,000.00 | 1,013.44 | † | 11.43 | 1,000.00 | 1,013.43 | † | 11.44 | 1,000.00 | 1,013.34 | † | 11.53 | ||||||||||||||||||||||||
Institutional | ||||||||||||||||||||||||||||||||||||
Actual | 1,000.00 | 1,102.60 | 5.97 | 1,000.00 | 1,143.80 | 6.07 | 1,000.00 | 1,258.30 | 6.48 | |||||||||||||||||||||||||||
Hypothetical 5% return | 1,000.00 | 1,019.12 | † | 5.73 | 1,000.00 | 1,019.13 | † | 5.72 | 1,000.00 | 1,019.06 | † | 5.79 | ||||||||||||||||||||||||
Service | ||||||||||||||||||||||||||||||||||||
Actual | 1,000.00 | 1,099.90 | 8.58 | 1,000.00 | 1,140.90 | 8.74 | 1,000.00 | 1,255.00 | 9.31 | |||||||||||||||||||||||||||
Hypothetical 5% return | 1,000.00 | 1,016.62 | † | 8.24 | 1,000.00 | 1,016.63 | † | 8.23 | 1,000.00 | 1,016.54 | † | 8.32 | ||||||||||||||||||||||||
Fund Expenses (Unaudited) — Six Month Period Ended February 28, 2006 (continued)
International Small Cap Fund | Emerging Markets Equity Fund | Asia Equity Fund | ||||||||||||||||||||||||||||||||||
Beginning | Ending | Expenses | Beginning | Ending | Expenses | Beginning | Ending | Expenses | ||||||||||||||||||||||||||||
Account | Account | Paid for the | Account | Account | Paid for the | Account | Account | Paid for the | ||||||||||||||||||||||||||||
Value | Value | 6 months ended | Value | Value | 6 months ended | Value | Value | 6 months ended | ||||||||||||||||||||||||||||
Share Class | 9/1/05 | 2/28/06 | 2/28/06* | 9/1/05 | 2/28/06 | 2/28/06* | 9/1/05 | 2/28/06 | 2/28/06* | |||||||||||||||||||||||||||
Class A | ||||||||||||||||||||||||||||||||||||
Actual | $ | 1,000.00 | $ | 1,171.00 | $ | 8.85 | $ | 1,000.00 | $ | 1,304.90 | $ | 10.68 | $ | 1,000.00 | $ | 1,163.40 | $ | 8.60 | ||||||||||||||||||
Hypothetical 5% return | 1,000.00 | 1,016.64 | † | 8.22 | 1,000.00 | 1,015.53 | † | 9.34 | 1,000.00 | 1,016.85 | 8.02 | |||||||||||||||||||||||||
Class B | ||||||||||||||||||||||||||||||||||||
Actual | 1,000.00 | 1,166.60 | 12.85 | 1,000.00 | 1,300.60 | 14.86 | 1,000.00 | 1,159.10 | 12.58 | |||||||||||||||||||||||||||
Hypothetical 5% return | 1,000.00 | 1,012.93 | † | 11.94 | 1,000.00 | 1,011.87 | † | 13.00 | 1,000.00 | 1,013.14 | 11.73 | |||||||||||||||||||||||||
Class C | ||||||||||||||||||||||||||||||||||||
Actual | 1,000.00 | 1,166.60 | 12.84 | 1,000.00 | 1,301.10 | 15.04 | 1,000.00 | 1,159.90 | 12.60 | |||||||||||||||||||||||||||
Hypothetical 5% return | 1,000.00 | 1,012.94 | † | 11.93 | 1,000.00 | 1,011.73 | † | 13.14 | 1,000.00 | 1,013.13 | 11.74 | |||||||||||||||||||||||||
Institutional | ||||||||||||||||||||||||||||||||||||
Actual | 1,000.00 | 1,172.70 | 6.69 | 1,000.00 | 1,308.80 | 8.38 | 1,000.00 | 1,166.30 | 6.45 | |||||||||||||||||||||||||||
Hypothetical 5% return | 1,000.00 | 1,018.63 | † | 6.22 | 1,000.00 | 1,017.54 | † | 7.32 | 1,000.00 | 1,018.84 | 6.01 | |||||||||||||||||||||||||
Service | ||||||||||||||||||||||||||||||||||||
Actual | 1,000.00 | 1,170.00 | 9.44 | 1,000.00 | 1,304.90 | 11.08 | N/A | N/A | N/A | |||||||||||||||||||||||||||
Hypothetical 5% return | 1,000.00 | 1,016.10 | † | 8.77 | 1,000.00 | 1,015.18 | † | 9.69 | ||||||||||||||||||||||||||||
* | Expenses for each share class are calculated using each Fund’s annualized expense ratio for each class, which represents the ongoing expenses as a percentage of net assets for the six months ended February 28, 2006. Expenses are calculated by multiplying the annualized expense ratio by the average account value for the period; then multiplying the result by the number of days in the most recent fiscal half year; and then dividing that result by the number of days in the fiscal year. The annualized net expense ratios for the period were as follows: |
Fund | Class A | Class B | Class C | Institutional | Service | |||||||||||||||
European Equity | 1.54 | % | 2.29 | % | 2.29 | % | 1.14 | % | 1.65 | % | ||||||||||
International Equity | 1.54 | 2.29 | 2.29 | 1.14 | 1.65 | |||||||||||||||
Japanese Equity | 1.55 | 2.30 | 2.31 | 1.16 | 1.66 | |||||||||||||||
International Small Cap | 1.64 | 2.39 | 2.39 | 1.24 | 1.75 | |||||||||||||||
Emerging Markets Equity | 1.87 | 2.61 | 2.64 | 1.46 | 1.94 | |||||||||||||||
Asia Equity | 1.60 | 2.35 | 2.35 | 1.20 | N/A | |||||||||||||||
† | Hypothetical expenses are based on each Fund’s actual expense ratios and an assumed rate of return of 5% per year before expenses. |
Goldman Sachs Funds
Goldman Sachs is a premier financial services firm, known since 1869 for creating thoughtful and customized investment solutions in complex global markets.
Today, The Investment Management Division of Goldman Sachs serves a diverse set of clients worldwide, including private institutions, public entities and individuals. With portfolio management teams located around the world — and $526.4 billion in assets under management as of December 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.
International Equity Funds ▪ Asia Equity Fund2 ▪ Emerging Markets Equity Fund ▪ International Small Cap Fund2 ▪ Japanese Equity Fund ▪ European Equity Fund ▪ International Equity Fund ▪ Structured International Equity Fund2 | Domestic Equity Funds ▪ Small Cap Value Fund ▪ Structured Small Cap Equity Fund2 ▪ Small/Mid Cap Growth Fund ▪ Growth Opportunities Fund ▪ Mid Cap Value Fund ▪ Concentrated Growth Fund ▪ Research Select FundSM ▪ Strategic Growth Fund ▪ Capital Growth Fund ▪ Large Cap Value Fund ▪ Growth and Income Fund ▪ Structured Large Cap Growth Fund2 ▪ Structured Large Cap Value Fund2 ▪ Structured U.S. Equity Fund2 Asset Allocation Funds ▪ Balanced Fund ▪ Asset Allocation Portfolios | Specialty Funds ▪ Tollkeeper FundSM ▪ Structured Tax-Managed Equity Fund2 ▪ U.S. Equity Dividend and Premium 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 ▪ Government Income Fund ▪ U.S. Mortgages Fund ▪ Municipal Income Fund ▪ California Intermediate AMT-Free Municipal Fund ▪ New York Intermediate AMT-Free Municipal Fund ▪ Short Duration Tax-Free Fund ▪ Short Duration Government Fund ▪ Ultra-Short Duration Government Fund ▪ Enhanced Income Fund Money Market Funds1 |
1 | An investment in a money market fund is neither insured nor guaranteed by the Federal Deposit Insurance Corporation or any other government agency. Although the Funds seek to preserve the value of your investment at $1.00 per share, it is possible to lose money by investing in the Funds. |
2 | Effective December 30, 2005, the Asia Growth Fund was renamed the Asia Equity Fund and the International Growth Opportunities Fund was renamed the International Small Cap Fund. Also effective December 30, 2005, the CORE International Equity, CORE Small Cap Equity, CORE Large Cap Growth, CORE Large Cap Value and CORE U.S. Equity Funds were renamed, respectively, the Structured International Equity, Structured Small Cap Equity, Structured Large Cap Growth, Structured Large Cap Value Funds and Structured U.S. Equity. Effective January 6, 2006, the CORE Tax-Managed Equity Fund was renamed the Structured Tax-Managed Equity Fund. |
The Goldman Sachs Research Select FundSM, CORESM and Tollkeeper FundSM are registered service marks of Goldman, Sachs & Co. |
The reports concerning the Funds included in this shareholder report may contain certain forward-looking statements about the factors that may affect the performance of the Funds in the future. These statements are based on Fund management’s predictions and expectations concerning certain future events and their expected impact on the Funds, such as performance of the economy as a whole and of specific industry sectors, changes in the levels of interest rates, the impact of developing world events, and other factors that may influence the future performance of the Funds. Management believes these forward-looking statements to be reasonable, although they are inherently uncertain and difficult to predict. Actual events may cause adjustments in portfolio management strategies from those currently expected to be employed.
A description of the policies and procedures that the Funds use to determine how to vote proxies relating to portfolio securities and information regarding how a Fund voted proxies relating to portfolio securities during the most recent 12-month period ended June 30 is available (I) without charge, upon request by calling 1-800-526-7384 (for Retail Shareholders) or 1-800-621-2550 (for Institutional Shareholders); and (II) on the Securities and Exchange Commission Web site at http://www.sec.gov.
The Funds file their complete schedule of portfolio holdings with the Securities and Exchange Commission (“SEC”) for the first and third quarters of each fiscal year on Form N-Q. 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 also 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).
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 | |
GOLDMAN, SACHS & CO Distributor and Transfer Agent GOLDMAN SACHS ASSET MANAGEMENT INTERNATIONAL, L.P. Investment Adviser | GOLDMAN SACHS 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 European Equity, International Equity, Japanese Equity, International Small Cap, Emerging Markets Equity and Asia Equity Funds may participate in the Initial Public Offering (IPO) market, and a portion of the Funds’ returns consequently may be attributable to their investment in IPOs. The market value of IPO shares may fluctuate considerably due to factors such as the absence of a prior public market, unseasoned trading, and the small number of shares available for trading and limited information about the issuer. When a fund’s asset base is small, IPOs may have a magnified impact on the fund’s performance. As a fund’s assets grow, it is probable that the effect of the fund’s investment in IPOs on its total returns may not be as significant, which could reduce the fund’s performance.
The European Equity Fund may invest in securities of any capitalization, including mid-cap and small-cap companies, and in companies located in emerging countries. The securities of small and mid-capitalization companies involve greater risks than those associated with larger more established companies and may be subject to more abrupt or erratic price movements. Emerging markets securities are volatile and are subject to substantial currency fluctuations and sudden economic and political developments. At times, the Fund may be unable to sell certain of its portfolio securities without a substantial drop in price, if at all.
The European Equity, International Equity, Japanese Equity, International Small Cap, Emerging Markets Equity and Asia Equity Funds may invest in securities of issuers in countries with emerging markets or economies. Emerging markets securities are volatile, less liquid and are subject to substantial currency fluctuations and sudden economic and political developments. At times, the Funds may be unable to sell certain of their portfolio securities without a substantial drop in price, if at all.
Holdings and allocations shown may not be representative of current or future investments. Holdings and allocations may not include the Fund’s entire investment portfolio, which may change at any time. Fund holdings should not be relied on in making investment decisions and should not be construed as research or investment advice regarding particular securities.
This material is not authorized for distribution to prospective investors unless preceded or accompanied by a current Prospectus for the Funds. Please consider a Fund’s objectives, risks, and charges and expenses, and read the Prospectus carefully before investing. The Prospectus contains this and other information about the Funds.
Copyright 2006 Goldman, Sachs & Co. All rights reserved. | 06-463 / INTLSAR / 44.2K / 04-06 |
ITEM 2. | CODE OF ETHICS. Not applicable to the Semi–Annual Report for the period ended February 28, 2006 |
ITEM 3. | AUDIT COMMITTEE FINANCIAL EXPERT. Not applicable to the Semi–Annual Report for the period ended February 28, 2006 |
ITEM 4. | PRINCIPAL ACCOUNTANT FEES AND SERVICES. Not applicable to the Semi–Annual Report for the period ended February 28, 2006 | |
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: | May 5, 2006 |
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated. |
By: | /s/ Kaysie P. Uniacke | |||||
Kaysie P. Uniacke | ||||||
President/Principal Executive Officer | ||||||
Goldman Sachs Trust | ||||||
Date: | May 5, 2006 | |||||
By: | /s/ John M. Perlowski | |||||
John M. Perlowski | ||||||
Treasurer/Principal Financial Officer | ||||||
Goldman Sachs Trust | ||||||
Date: | May 5, 2006 |