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. |
VALUE EQUITY FUNDS | Semiannual Report February 28, 2006 |
Long-term capital appreciation potential through portfolios of quality businesses that are believed to be undervalued. | |||
Asset Management |
Goldman Sachs Value Equity Funds
n GOLDMAN SACHS LARGE CAP VALUE FUND | |
n GOLDMAN SACHS GROWTH AND INCOME FUND | |
n GOLDMAN SACHS MID CAP VALUE FUND | |
n GOLDMAN SACHS SMALL CAP VALUE FUND | |
The Large Cap Value Fund invests primarily in large-capitalization U.S. 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. |
The Growth and Income Fund invests primarily in large-capitalization U.S. equity investments and also invests in fixed income securities. The Fund’s equity investments will be 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. Investments in fixed income securities are subject to the risks associated with debt securities including credit and interest rate risk.
The Mid Cap Value Fund invests primarily in mid-capitalization U.S. 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. The securities of 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.
The Small Cap Value Fund invests primarily in small-capitalization U.S. 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. Stocks of smaller companies are often more volatile and less liquid and present greater risks than stocks of larger companies. At times, the Fund may be unable to sell certain of its portfolio securities without a substantial drop in price, if at all.
NOT FDIC-INSURED | May Lose Value | No Bank Guarantee | ||
What Differentiates Goldman Sachs’
Goldman Sachs’ Value Equity Team believes that all successful investing should thoughtfully weigh two important attributes of a stock: price and prospects. Through independent fundamental research, the Team seeks to identify and invest in quality businesses that are selling at compelling valuations.
At the heart of our value investment philosophy is a belief in the rigorous analysis of business fundamentals. Our approach includes: n Meetings with management teams and on-site company visits n Industry-specific, proprietary financial and valuation models n Assessment of management quality n Analysis of each company’s competitive position and industry dynamics n Interviews with competitors, suppliers and customers We seek to invest in companies: n When market uncertainty exists n When their economic value is not recognized by the market We buy companies with quality characteristics. For us, this means companies that have: n Sustainable operating earnings or cashflow, or competitive advantage n Excellent stewardship of capital n Capability to earn above their cost of capital n Strong or improving balance sheets and cash flow Value portfolios that offer: n Capital appreciation potential as each company’s true value is recognized in the marketplace n Investment style consistency |
Large Cap Value Fund
Dear Shareholder:
This report provides an overview on the performance of the Goldman Sachs Large Cap Value Fund during the six-month reporting period that ended February 28, 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 5.93%, 5.59%, 5.56%, 6.16% and 5.96%, respectively. These returns compare to the 7.33% cumulative total return of the Fund’s benchmark, the Russell 1000 Value Index (with dividends reinvested), over the same time period. | |
Strength during the month of January highlighted a relatively favorable period for large-cap value stocks. For the six months under review, stabilizing energy prices, intensifying merger activity and generally favorable economic data were some of the factors underpinning the advance in share prices. In January, the market reacted positively to indications that the Federal Reserve Board might soon conclude its string of increases in short-term interest rates. | |
Market leadership rotated away from the Energy sector, which had outperformed for most of 2005. A number of other sectors in the Index, including Technology, Financials and Insurance, managed to post double-digit gains during the period. Large-caps trailed their mid-and small-cap counterparts. Within the large-cap space, value had a clear edge over growth. | |
TECHNOLOGY, INSURANCE AND HEALTH CARE DISAPPOINT | |
Stock selection was challenging for us in Technology, Insurance, and Health Care, as these sectors detracted the most from the Fund’s performance versus the benchmark. In Technology, software giant Microsoft Inc. trailed its industry peers, despite strong overall financial performance. We remain confident in management’s commitment to improving fundamentals. | |
In the Insurance sector, reinsurers RenaissanceRe Holdings Ltd. and XL Capital Ltd. also underperformed, as both suffered from an unfavorable regulatory environment and extensive claims connected with last fall’s extreme hurricane season. We reduced our position in the former because we thought the company’s losses might be worse than management was expecting, but continued to maintain a position in the latter. | |
Biotechnology holding Amgen Inc. also was a detractor. While there was no deterioration in the company’s prospects that we could identify, the stock might have been subject to some profit taking after its sharp run-up in July 2005. That said, we continued to like the company’s robust product pipeline. Moreover, unlike many large-cap pharmaceutical companies, Amgen was not threatened by imminent patent expirations on any of its major drugs. We therefore maintained the Fund’s position in the stock. | |
CONSUMER CYCLICALS AND FINANCIALS ADD VALUE | |
Conversely, the Fund’s performance was aided versus the benchmark by our investments in Consumer Cyclicals and Financials. In Consumer Cyclicals, auto safety systems provider Autoliv, Inc. had a positive impact on the Fund’s results. Limited exposure to the relatively |
weak U.S. auto manufacturing industry and a massive share buyback program were factors supporting the stock. | |
In Financials, the Fund benefited from owning fixed income broker/investment bank Lehman Brothers Holdings, Inc., savings and loan Golden West Financial Corp. and commercial bank J.P. Morgan Chase & Co. Lehman Brothers, the Fund’s top contributor, benefited from a positive environment for corporate mergers and acquisitions, as well as a healthy level of activity in the bond market. |
Portfolio Composition
Apparel retailer J.C. Penney Co., Inc. was a new holding for the Fund during the period. We believe the company is attractively valued, given its opportunity to improve margins and department store profitability. Elsewhere, we added to the Fund’s holdings in network equipment provider Cisco Systems and enterprise software maker Oracle. We considered both to be above-average companies whose stocks were trading at attractive valuations relative to the overall market. | |
Positions sold included industrial conglomerate Tyco International, which announced a plan to split the company into three separate pieces. This plan rendered our original investment rationale less likely, prompting us to sell the stock. Energy exploration and production stock Burlington Resources also was sold, as it neared our target price following the recent buyout offer from ConocoPhillips. |
Portfolio Highlights
The following stocks represent a sampling of detractors and contributors to performance over the last six months. | |
n | Activision, Inc. — The Fund’s returns were hampered by this video game publisher, cited in the shareholder report six months ago as an outstanding performer. While uneven short-term demand connected with the industry’s shift to a new hardware platform hurt the stock, we felt that the longer-term case for investing in it remained intact. |
n | ConocoPhillips — In sharp contrast to their performance for much of 2005, energy stocks struggled during the period, as crude oil and natural gas backed away from the highs reached when Hurricane Katrina made landfall at the end of August. This stock also was hurt by the perception that the company paid too much for Burlington Resources, a view we did not share given the considerable synergies we anticipated from the acquisition. |
n | J.C. Penney Co., Inc. — This stock was one of the Fund’s best contributors. The company benefited from a shift to more profitable lines of business, such as private-label products, along with its increasing use of technology to cut costs and boost efficiency. |
Outlook
Looking ahead, we are closely monitoring profit margins at the companies we follow, as the recent surge in commodity prices is driving up raw material costs for many of them. Consequently, we want to invest in companies with the pricing power to pass those cost increases along to customers. That said, we will maintain our focus on companies embodying our theme of “emerging quality” — that is, those with credible plans for improving free cash flow and return on capital. It has been our experience that such a focus is helpful in identifying promising opportunities and minimizing exposure to “value traps” — those stocks that appear to be bargains but are destined to remain at depressed prices. | |
We thank you for your investment and look forward to your continued confidence. | |
Goldman Sachs Large Cap Value Investment Team | |
New York, March 24, 2006 |
Large Cap Value Fund
PERFORMANCE REVIEW |
Fund Total Return | Russell 1000 | |||||||||
September 1, 2005–February 28, 2006 | (based on NAV)1 | Value Index2 | ||||||||
Class A | 5.93 | % | 7.33 | % | ||||||
Class B | 5.59 | 7.33 | ||||||||
Class C | 5.56 | 7.33 | ||||||||
Institutional | 6.16 | 7.33 | ||||||||
Service | 5.96 | 7.33 | ||||||||
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 Russell 1000 Value Index is a market capitalization weighted index of the 1,000 largest U.S. companies with lower price-to-book ratios and lower forecasted growth values. The Index figures do not reflect any deduction of fees, expenses or taxes. 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 | -0.06 | % | 4.25 | % | 5.18 | % | 12/15/99 | |||||||||||
Class B | -0.22 | 4.29 | 5.35 | 12/15/99 | ||||||||||||||
Class C | 3.94 | 4.64 | 5.34 | 12/15/99 | ||||||||||||||
Institutional | 6.25 | 5.87 | 6.56 | 12/15/99 | ||||||||||||||
Service | 5.64 | 5.40 | 6.11 | 12/15/99 | ||||||||||||||
3 | The Standardized Total Returns are average annual total returns as of the most recent calendar quarter-end. They assume reinvestment of all distributions at NAV. These returns reflect a maximum initial sales charge of 5.5% for Class A Shares, 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 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 | ||||||
J.P. Morgan Chase & Co. | 4.5 | % | Large Banks | |||||
Bank of America Corp. | 3.6 | Large Banks | ||||||
ConocoPhillips | 3.1 | Energy Resources | ||||||
Exxon Mobil Corp. | 3.0 | Energy Resources | ||||||
Entergy Corp. | 3.0 | Electrical Utilities | ||||||
J. C. Penney Co., Inc. | 2.8 | Retail Apparel | ||||||
EOG Resources, Inc. | 2.8 | Energy Resources | ||||||
The Williams Companies, Inc. | 2.6 | Diversified Energy | ||||||
Microsoft Corp. | 2.6 | Computer Software | ||||||
Washington Mutual, Inc. | 2.5 | Specialty Financials | ||||||
4 | The top 10 holdings may not be representative of the Fund’s future investments. |
SECTOR ALLOCATION AS OF 2/28/065 |
5 | The percentage shown for each investment category reflects the value of investments in that category as a percentage of market value. Short-term investments include repurchase agreements. |
PORTFOLIO RESULTS
Growth and Income Fund
Dear Shareholder,
This report provides an overview on the performance of the Goldman Sachs Growth and Income Fund during the six-month reporting period that ended February 28, 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 5.51%, 5.14%, 5.13%, 5.73% and 5.48%, respectively. These returns compare to the 7.33% cumulative total return of the Fund’s benchmark, the Russell 1000 Value Index (with dividends reinvested), over the same time period. | |
Strength during the month of January highlighted a relatively favorable period for large-cap value stocks. For the six months under review, stabilizing energy prices, intensifying merger activity and generally favorable economic data were some of the factors underpinning the advance in share prices. In January, the market reacted positively to indications that the Federal Reserve Board might soon conclude its string of increases in short-term interest rates. | |
Market leadership rotated away from the Energy sector, which had outperformed for most of 2005. A number of other sectors in the Index, including Technology, Financials and Insurance, managed to post double-digit gains during the period. Large-caps trailed their mid-and small-cap counterparts. Within the large-cap space, value had a clear edge over growth. | |
TECHNOLOGY, ENERGY AND INSURANCE DISAPPOINT | |
Stock selection was challenging for us in Technology, Energy and Insurance, as these sectors detracted the most from the Fund’s performance versus the benchmark. In Technology, software giant Microsoft Inc. trailed its industry peers, despite overall strong performance. We remain confident in management’s commitment to improving fundamentals. | |
Our holdings in Energy suffered from unseasonably warm weather in January, which contributed to a decline in natural gas prices. We favored energy companies with natural gas exposure due to, in our view, more favorable supply/demand trends. Nevertheless, the Fund’s performance was hurt during the period by its holdings in Williams Companies Inc. and EOG Resources Inc., two natural gas exploration and production companies. We remain positive on these companies, which we believe have attractive assets, disciplined management teams and significantly lower costs than their peers. | |
In the Insurance sector, reinsurers RenaissanceRe Holdings Ltd. and XL Capital Ltd. also underperformed, as both suffered from an unfavorable regulatory environment and extensive claims connected with last fall’s extreme hurricane season. We reduced our position in the former because we thought the company’s losses might be worse than management was expecting but maintained our position in the latter. |
FINANCIALS, SERVICES AND CONSUMER CYCLICALS ADD VALUE | |
In Financials, the Fund benefited from owning fixed income broker/investment bank Lehman Brothers Holdings, Inc., savings and loan Golden West Financial Corp. Inc. and commercial bank J.P. Morgan Chase & Co. Lehman Brothers, the Fund’s top contributor, benefited from a positive environment for corporate mergers and acquisitions, as well as a healthy level of activity in the bond market. | |
In Services, telecommunications giant AT&T, Inc. turned in a strong performance, particularly in the first two months of 2006. The stock’s upward momentum was aided by strong improvement in the company’s wireless business and increased potential cost savings from the acquisition of AT&T, Inc. by SBC Communications, a deal that closed in November 2005. | |
In Consumer Cyclicals, auto safety systems provider Autoliv, Inc. had a positive impact on the Fund’s results. Limited exposure to the relatively weak U.S. auto manufacturing industry and a massive share buyback program were factors supporting the stock. |
Portfolio Composition
We added to the Fund’s holdings in apparel retailer J.C. Penney Co., Inc., mentioned below as a contributor, making it the Fund’s eighth-largest holding by the end of February 2006. Elsewhere, we added to the Fund’s holdings in network equipment provider Cisco Systems and biotechnology stock Amgen, Inc. We considered both to be above-average companies whose stocks were trading at attractive valuations relative to the overall market. | |
Positions sold included industrial conglomerate Tyco International, which announced a plan to split the company into three separate pieces. This plan rendered our original investment rationale less likely, prompting us to sell the stock. Energy exploration and production stock Burlington Resources was reduced, as it neared our target price following the recent buyout offer from ConocoPhillips. We sold PNC Financial for valuation reasons when the stock rose in connection with the merger of PNC subsidiary BlackRock Inc. with the asset management operations of Merrill Lynch and Co. |
Portfolio Highlights
The following stocks represent a sampling of detractors and contributors to performance over the last six months. | |
n | Activision, Inc — The Fund’s returns were hampered by this video game publisher, cited in the shareholder report six months ago as an outstanding performer. While uneven short-term demand connected with the industry’s shift to a new hardware platform hurt the stock, we felt that the longer-term case for investing in it remained intact. |
n | ConocoPhillips — In sharp contrast to their performance for much of 2005, energy stocks struggled during the period, as crude oil and natural gas backed away from the highs reached when Hurricane Katrina made landfall at the end of August. This stock also was hurt by the perception that the company paid too much for Burlington Resources, a view we did not share given the considerable synergies we anticipated from the acquisition. |
n | J.C. Penney Co., Inc. — This stock was one of the Fund’s best contributors. The company benefited from a shift to more profitable lines of business, such as private-label products, along with its increasing use of technology to cut costs and boost efficiency. |
Outlook
Looking ahead, we are closely monitoring profit margins at the companies we follow, as the recent surge in commodity prices is driving up raw material costs for many of them. Consequently, we want to invest in companies with the pricing power to pass those cost increases along to customers. That said, we will maintain our focus on companies embodying our theme of “emerging quality” — that is, those with credible plans for improving free cash flow and return on capital. It has been our experience that such a focus is helpful in identifying promising opportunities and minimizing exposure to “value traps” — those stocks that appear to be bargains but are destined to remain at depressed prices. | |
We thank you for your investment and look forward to your continued confidence. | |
Goldman Sachs Value Investment Team | |
New York, March 24, 2006 |
Growth and Income Fund
PERFORMANCE REVIEW |
Fund Total Return | Russell 1000 | |||||||||
September 1, 2005–February 28, 2006 | (based on NAV)1 | Value Index2 | ||||||||
Class A | 5.51 | % | 7.33 | % | ||||||
Class B | 5.14 | 7.33 | ||||||||
Class C | 5.13 | 7.33 | ||||||||
Institutional | 5.73 | 7.33 | ||||||||
Service | 5.48 | 7.33 | ||||||||
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 Russell 1000 Value Index is a market capitalization weighted index of the 1,000 largest U.S. companies with lower price-to-book ratios and lower forecasted growth values. The Index figures do not reflect any deduction of fees, expenses or taxes. 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 | -1.99 | % | 2.76 | % | 5.63 | % | 7.80 | % | 2/5/93 | |||||||||||||
Class B | -2.13 | 2.78 | n/a | 4.94 | 5/1/96 | |||||||||||||||||
Class C | 1.92 | 3.15 | n/a | 0.77 | 8/15/97 | |||||||||||||||||
Institutional | 4.14 | 4.34 | n/a | 6.00 | 6/3/96 | |||||||||||||||||
Service | 3.61 | 3.82 | 6.144 | 8.204 | 2/5/93 | |||||||||||||||||
3 | The Standardized Total Returns are average annual total returns as of the most recent calendar quarter-end. They assume reinvestment of all distributions at NAV. These returns reflect a maximum initial sales charge of 5.5% for Class A Shares, the assumed contingent deferred sales charge for Class B Shares (5% maximum declining to 0% after six years) and the assumed contingent deferred sales charge for Class C Shares (1% if redeemed within 12 months of purchase). Because Institutional and Service Shares do not involve a sales charge, such a charge is not applied to their Standardized Total Returns. |
4 | Performance data for Service Shares prior to March 6, 1996 (commencement of operations) is that of Class A Shares (excluding the impact of front-end sales charges applicable to Class A Shares since Service Shares are not subject to any sales charges). Performance of Class A Shares of the Growth and Income Fund reflects the expenses applicable to the Fund’s Class A Shares. The fees applicable to Services Shares are different from those applicable to Class A Shares which impact performance ratings and rankings for a class of shares. |
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 | ||||||
Bank of America Corp. | 4.6 | % | Large Banks | |||||
J.P. Morgan Chase & Co. | 4.3 | Large Banks | ||||||
Exxon Mobil Corp. | 3.9 | Energy Resources | ||||||
Entergy Corp. | 3.1 | Electrical Utilities | ||||||
ConocoPhillips | 3.1 | Energy Resources | ||||||
Washington Mutual, Inc. | 3.0 | Specialty Financials | ||||||
Pfizer, Inc. | 3.0 | Drugs | ||||||
J. C. Penney Co., Inc. | 2.8 | Retail Apparel | ||||||
Citigroup, Inc. | 2.7 | Large Banks | ||||||
AT&T, Inc. | 2.5 | Telephone |
5 | The top 10 holdings may not be representative of the Fund’s future investments. |
SECTOR ALLOCATION AS OF 2/28/066 |
6 | The percentage shown for each investment category reflects the value of investments in that category as a percentage of market value. Short-term investments include repurchase agreements and securities lending collateral. |
Mid Cap Value Fund
Dear Shareholder,
This report provides an overview on the performance of the Goldman Sachs Mid Cap Value Fund during the six-month reporting period that ended February 28, 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 5.60%, 5.18%, 5.21%, 5.81% and 5.53%, respectively. These returns compare to the 8.18% cumulative total return of the Fund’s benchmark, the Russell Midcap Value Index (with dividends reinvested), over the same time period. | |
Strength during the months of November and January highlighted a relatively favorable period for mid-cap value stocks. For the six months under review, stabilizing energy prices, intensifying merger activity and generally favorable economic data were some of the factors underpinning the advance in share prices. In January, the market reacted positively to indications that the Federal Reserve Board might soon conclude its string of increases in short-term interest rates. | |
Market leadership rotated away from the Energy sector, which had outperformed for most of 2005. A number of other sectors in the Index, including Technology, Basic Materials and Industrials, managed to post double-digit gains during the period. Mid-caps handily outperformed large-caps but trailed their small-cap counterparts. Within the mid-cap space, growth had an edge over value. |
TECHNOLOGY, ENERGY AND INSURANCE FALL SHORT |
Stock selection was challenging for us in Technology, Energy and Insurance, as these sectors detracted the most from the Fund’s performance versus the benchmark. In Technology, the Fund’s returns were hampered by video game publisher Activision, Inc., cited in the shareholder report six months ago as an outstanding performer. While uneven short-term demand connected with the industry’s shift to a new hardware platform hurt the stock, we felt that the longer-term case for investing in it remained intact. | |
Our holdings in Energy suffered from unseasonably warm weather in January, which contributed to a decline in natural gas prices. We favored energy companies with natural gas exposure due to, in our view, more favorable supply/demand trends. Nevertheless, the Fund’s performance was hurt during the period by its holdings in Williams Companies Inc. and EOG Resources Inc., two natural gas exploration and production companies. We remain positive on these companies, which we believe have attractive assets, disciplined management teams and significantly lower costs than their peers. | |
In the Insurance sector, reinsurer RenaissanceRe Holdings Ltd. also underperformed, as the company suffered from an unfavorable regulatory environment and extensive claims connected with last fall’s extreme hurricane season. We reduced our position because we thought the company’s losses might be worse than management was expecting. |
FINANCIALS AND SERVICES ADD VALUE |
Conversely, the Fund’s performance was aided versus the benchmark by our investments in Financials and Services. In Financials, investment bank/brokerage Bear Stearns Inc. and regional bank Zions Bancorp. were beneficial to performance. Both companies continued to execute well, and financial stocks began to strengthen after the Federal Reserve Board hinted that it might be close to the end of its series of interest rate hikes. | |
In the Services sector, outdoor advertising holding Lamar Advertising Co. was a strong performer. Unlike many traditional media companies, Lamar’s billboard business has not eroded because of the growth in online advertising. The company operated near full capacity and enjoyed strong pricing power during the period. We sold some shares as the stock neared its target price. Another contributor to performance was biotechnology stock MedImmune Inc., maker of the influenza vaccine FluMist. In our view, the company has a strong product pipeline with low risk from patent expirations. |
Portfolio Composition
We added to the Fund’s holdings in apparel retailer J.C.Penney Co., Inc., mentioned below as a contributor, making it the Fund’s largest holding by the end of February 2006. Elsewhere, we added to the Fund’s holdings in energy producer Range Resources Inc., a company with attractive assets and a solid management team. | |
Positions sold included energy holding Frontier Oil, which neared our valuation target, and auto parts supplier Lear Corp. In Lear’s case, we were uncomfortable with the company’s exposure to the troubled U.S. auto manufacturing industry. Additionally, we reduced the Fund’s position in fertilizer maker Agrium Inc., which tilted its strategy more toward making acquisitions during the period, which we thought could have a dilutive influence on earnings. |
Portfolio Highlights
The following stocks represent a sampling of detractors and contributors to performance over the last six months. | |
n | Apria Healthcare Group, Inc. — The share price of this home care provider weakened due to difficulties with the current reimbursement environment, as well as a delay in the company’s anticipated sale. We maintained the Fund’s position because we liked the stock’s valuation and saw the opportunity for the company to improve margins to industry levels. |
n | Noble Energy Inc. — Noble is an oil and gas exploration/production holding that detracted from performance. We liquidated the position when the company encountered difficulty with integrating a recent acquisition. |
n | J.C. Penney Co., Inc. — This stock was one of the Fund’s best contributors. The company benefited from a shift to more profitable lines of business, such as private-label products, along with its increasing use of technology to cut costs and boost efficiency. |
Outlook
Looking ahead, we are closely monitoring profit margins at the companies we follow, as the recent surge in commodity prices is driving up raw material costs for many of them. Consequently, we want to invest in companies with the pricing power to pass those cost increases along to customers. That said, we will maintain our focus on companies embodying our theme of “emerging quality” — that is, those with credible plans for improving free cash flow and return on capital. It has been our experience that such a focus is helpful in identifying promising opportunities and minimizing exposure to “value traps” — those stocks that appear to be bargains but are destined to remain at depressed prices. | |
We thank you for your investment and look forward to your continued confidence. | |
Goldman Sachs Mid Cap Value Investment Team | |
New York, March 24, 2006 |
Mid Cap Value Fund
PERFORMANCE REVIEW |
Fund Total Return | Russell Midcap | |||||||||
September 1, 2005–February 28, 2006 | (based on NAV)1 | Value Index2 | ||||||||
Class A | 5.60 | % | 8.18 | % | ||||||
Class B | 5.18 | 8.18 | ||||||||
Class C | 5.21 | 8.18 | ||||||||
Institutional | 5.81 | 8.18 | ||||||||
Service | 5.53 | 8.18 | ||||||||
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 Russell Midcap Value Index is an unmanaged index of common stock prices that measures the performance of those Russell Midcap companies with lower price-to-book ratios and lower forecasted growth values. The Index figures do not reflect any deduction for fees, expenses or taxes. 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 | 6.26 | % | 12.52 | % | n/a | 10.25 | % | 8/15/97 | ||||||||||||||
Class B | 6.25 | 12.66 | n/a | 10.20 | 8/15/97 | |||||||||||||||||
Class C | 10.54 | 12.95 | n/a | 10.20 | 8/15/97 | |||||||||||||||||
Institutional | 12.90 | 14.26 | 14.89 | 14.78 | 8/1/95 | |||||||||||||||||
Service | 12.33 | 13.73 | n/a | 11.17 | 7/18/97 | |||||||||||||||||
3 | The Standardized Total Returns are average annual total returns as of the most recent calendar quarter-end. They assume reinvestment of all distributions at NAV. These returns reflect a maximum initial sales charge of 5.5% for Class A Shares, 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 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 | ||||||
J. C. Penney Co., Inc. | 2.8 | % | Retail Apparel | |||||
Entergy Corp. | 2.3 | Electrical Utilities | ||||||
Harrah’s Entertainment, Inc. | 2.2 | Hotel & Leisure | ||||||
AMBAC Financial Group, Inc. | 2.2 | Property Insurance | ||||||
PPL Corp. | 2.2 | Electrical Utilities | ||||||
EOG Resources, Inc. | 2.1 | Energy Resources | ||||||
Zions Bancorp | 2.1 | Regional Banks | ||||||
The Bear Stearns Companies, Inc. | 2.1 | Brokers | ||||||
PG&E Corp. | 2.0 | Electrical Utilities | ||||||
Mohawk Industries, Inc. | 1.9 | Consumer Durables | ||||||
4 | The top 10 holdings may not be representative of the Fund’s future investments. |
SECTOR ALLOCATION AS OF 2/28/065 |
5 | The percentage shown for each investment category reflects the value of investments in that category as a percentage of market value. Short-term investments include repurchase agreements and securities lending collateral. |
Small Cap Value Fund
Dear Shareholder,
This report provides an overview on the performance of the Goldman Sachs Small Cap Value Fund during the six-month reporting period that ended February 28, 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 9.16%, 8.75%, 8.76%, 9.38% and 9.10%, respectively. These returns compare to the 8.80% cumulative total return of the Fund’s benchmark, the Russell 2000 Value Index (with dividends reinvested), over the same time period. | |
Strength during the month of January highlighted a relatively favorable period for small-cap value stocks. For the six months under review, stabilizing energy prices, intensifying merger activity and generally favorable economic data were some of the factors underpinning the advance in share prices. In January, the market reacted positively to indications that the Federal Reserve Board might soon conclude its string of increases in short-term interest rates. | |
Market leadership rotated away from the Energy sector, which had outperformed for most of 2005. A number of other sectors in the Index, including Telecommunications, Basic Materials and Industrials, managed to post double-digit gains during the period. Small-caps handily outperformed both large-caps and their mid-cap counterparts. Within the small-cap space, growth had an edge over value. | |
CONSUMER CYCLICALS, FINANCIALS AND TRANSPORTATION ADD VALUE | |
Favorable stock selection in Consumer Cyclicals, Financials and Transportation contributed the most to the Fund’s performance versus the benchmark. In Consumer Cyclicals, the Fund’s largest contributor and third largest holding at the end of the reporting period was Select Comfort Corp., a maker of high-end, adjustable-firmness mattresses. A good product, savvy marketing and smart management of the distribution process led to improved market share and strong same-store sales for the company. | |
The Fund’s results in Financials were aided by Accredited Home Lenders Holding Co., a sub-prime mortgage lender. A disciplined approach to the loan origination process and healthy revenues from the servicing side of the business were factors helping the stock. | |
Among Transportation holdings, airline AirTran Holdings Inc. merits mention. This low-fare carrier benefited from strong management, excellent cash flow and the bankruptcies of some large competitors. We reduced the position a bit to lock in profits. | |
TECHNOLOGY, INDUSTRIALS AND INSURANCE DISAPPOINT | |
Conversely, sectors that detracted the most from performance included Technology, Industrials and Insurance. In Technology, the Fund’s returns were hampered by video game publishers Take Two Interactive Software Inc. and Atari Inc. Uneven short-term demand connected with the industry’s shift to a new hardware platform hurt both stocks. Additionally, there were some departures among Atari’s senior management, and we significantly reduced the Fund’s position in the stock. |
In Industrials, the Fund’s results were dampened by truck trailer manufacturer Wabash National Corp. While many investors were unenthusiastic about the stock because of fears that the truck replacement cycle was nearing an end, we felt that there was plenty of demand left in the trailer segment of the market. Negligible coverage of this stock by Wall Street analysts — along with their lack of appreciation for the company’s restructuring efforts — made it even more appealing, in our view. | |
In the Insurance sector, reinsurer PXRE Group Ltd. also underperformed, as the company suffered from an unfavorable regulatory environment and worse-than-expected claims connected with last fall’s extreme hurricane season. |
Portfolio Composition
We added to the Fund’s holdings in Wabash National Corp., making it the Fund’s largest holding by the end of the period. We also bought more of GrafTech International Ltd., a maker of graphite electrodes used to melt down scrap steel. We anticipated improving profits for the company, as we saw some firming in its pricing on new contracts. | |
On the sell side, we reduced the Fund’s position in Hughes Supply, a wholesale distributor of construction, repair and maintenance-related products. A buyout offer from Home Depot pushed its stock price higher. We also scaled back the Fund’s exposure to Ditech Communications Corp., a telecommunications equipment maker whose largest customer was Nextel Communications Inc., which recently merged with Sprint Corp. Uncertainty about how well demand for the company’s products would hold up after the merger led us to trim the position. |
Portfolio Highlights
The following stocks represent a sampling of contributors and detractors to performance over the last six months. | |
n | Accredited Home Lenders Holding Co. — Accredited Home Lenders rose sharply due to eased concerns surrounding the US housing market, a slow down in rising interest rates and continued strong operating results. With a strong business model producing ever-improving fundamentals and an overlooked mortgage-servicing business generating increasingly attractive earnings, we believe this volatile non-prime mortgage company is attractively valued. |
n | Wabash National Corp. — Wabash National, the truck trailer manufacturer, was down during the quarter due to the concerns regarding higher raw material costs and disruption of customer orders during the second quarter. We believe these issues are temporary and that the company represents a tremendous opportunity due to market share gains and margin improvements at a low valuation. |
n | Select Comfort Corp. — Select Comfort, a manufacturer and retailer of advanced mattresses reported record sales and earnings with improved operating leverage and same-store sales growth. Additionally, the retailer reported positive business trends during the period. The company’s practice of owning their retail outlets for direct sales has yielded high returns. Additionally, the company benefits from a strong management team with an extensive track record of leading consumer product companies. |
Outlook
Looking ahead, we are closely monitoring profit margins at the companies we follow, as the recent surge in commodity prices is driving up raw material costs for many of them. Consequently, we want to invest in companies with the pricing power to pass those cost increases along to customers. That said, we will maintain our focus on companies embodying our theme of “emerging quality” — that is, those with credible plans for improving free cash flow and return on capital. It has been our experience that such a focus is helpful in identifying promising opportunities and minimizing exposure to “value traps” — those stocks that appear to be bargains but are destined to remain at depressed prices. | |
We thank you for your investment and look forward to your continued confidence. | |
Goldman Sachs Small Cap Value Investment Team | |
New York, March 24, 2006 |
Small Cap Value Fund
PERFORMANCE REVIEW |
September 1, 2005–February 28, 2006 | Fund Total Return (based on NAV)1 | Russell 2000 Value Index2 | ||||||||
Class A | 9.16 | % | 8.80 | % | ||||||
Class B | 8.75 | 8.80 | ||||||||
Class C | 8.76 | 8.80 | ||||||||
Institutional | 9.38 | 8.80 | ||||||||
Service | 9.10 | 8.80 | ||||||||
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 Russell 2000 Value Index is an unmanaged index of common stock prices that measures the performance of those Russell 2000 companies with lower price-to-book ratios and lower forecasted growth values. The Index figures do not reflect any deduction for fees, expenses or taxes. 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 | -2.48 | % | 13.12 | % | 12.18 | % | 11.89 | % | 10/22/92 | |||||||||||||
Class B | -2.67 | 13.27 | n/a | 10.63 | 5/1/96 | |||||||||||||||||
Class C | 1.40 | 13.51 | n/a | 9.39 | 8/15/97 | |||||||||||||||||
Institutional | 3.61 | 14.87 | n/a | 10.67 | 8/15/97 | |||||||||||||||||
Service | 3.10 | 14.30 | 12.724 | 12.294 | 10/22/92 | |||||||||||||||||
3 | The Standardized Total Returns are average annual total returns as of the most recent calendar quarter-end. They assume reinvestment of all distributions at NAV. These returns reflect a maximum initial sales charge of 5.5% for Class A Shares, the assumed contingent deferred sales charge for Class B Shares (5% maximum declining to 0% after six years) and the assumed contingent deferred sales charge for Class C Shares (1% if redeemed within 12 months of purchase). Because Institutional and Service Shares do not involve a sales charge, such a charge is not applied to their Standardized Total Returns. |
4 | Performance data for Service Shares prior to August 15, 1997 (commencement of operations) is that of the Class A Shares (excluding the impact of the front-end sales charge applicable to Class A Shares since Service Shares are not subject to any sales charges). Performance of Class A Shares of the Small Cap Value Fund reflects the expenses applicable to the Fund’s Class A Shares. The fees applicable to Service Shares are different from those applicable to Class A Shares which impact performance ratings and rankings for a class of shares. |
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 | ||||||
Wabash National Corp. | 2.0 | % | Industrial Components | |||||
Accredited Home Lenders Holding Co. | 1.9 | Financial Services | ||||||
Select Comfort Corp. | 1.4 | Consumer Durables | ||||||
Anixter International, Inc. | 1.3 | Telecom Equipment | ||||||
PFF Bancorp, Inc. | 1.3 | Banks | ||||||
Whiting Petroleum Corp. | 1.3 | Energy Resources | ||||||
West Corp. | 1.2 | Industrial Services | ||||||
El Paso Electric Co. | 1.2 | Electrical Utilities | ||||||
Hutchinson Technology, Inc. | 1.1 | Computer Hardware | ||||||
Affiliated Managers Group, Inc. | 1.1 | Security/Asset Management | ||||||
5 | The top 10 holdings may not be representative of the Fund’s future investments. |
SECTOR ALLOCATION AS OF 2/28/066 |
6 | The percentage shown for each investment category reflects the value of investments in that category as a percentage of market value. Short-term investments include repurchase agreements and securities lending collateral. |
Statement of Investments
Shares | Description | Value | ||||||||
Common Stocks – 97.6% | ||||||||||
Biotechnology – 2.4% | ||||||||||
232,345 | Amgen, Inc.* | $ | 17,539,724 | |||||||
240,033 | MedImmune, Inc.* | 8,758,804 | ||||||||
26,298,528 | ||||||||||
Brokers – 3.6% | ||||||||||
158,411 | Lehman Brothers Holdings, Inc. | 23,120,085 | ||||||||
218,472 | Merrill Lynch & Co., Inc. | 16,868,223 | ||||||||
39,988,308 | ||||||||||
Chemical – 1.5% | ||||||||||
169,076 | Praxair, Inc. | 9,126,723 | ||||||||
154,887 | Rohm & Haas Co. | 7,705,628 | ||||||||
16,832,351 | ||||||||||
Computer Hardware – 3.0% | ||||||||||
1,056,251 | Cisco Systems, Inc.* | 21,378,520 | ||||||||
368,812 | Hewlett-Packard Co. | 12,100,722 | ||||||||
33,479,242 | ||||||||||
Computer Software – 5.8% | ||||||||||
906,448 | Activision, Inc.* | 11,330,600 | ||||||||
1,063,158 | Microsoft Corp. | 28,598,950 | ||||||||
1,975,244 | Oracle Corp.* | 24,532,531 | ||||||||
64,462,081 | ||||||||||
Defense/Aerospace – 1.8% | ||||||||||
117,762 | General Dynamics Corp. | 14,516,522 | ||||||||
78,045 | The Boeing Co. | 5,673,091 | ||||||||
20,189,613 | ||||||||||
Diversified Energy – 2.6% | ||||||||||
1,346,911 | The Williams Companies, Inc. | 29,052,870 | ||||||||
Drugs – 3.4% | ||||||||||
346,094 | Abbott Laboratories | 15,290,433 | ||||||||
842,708 | Pfizer, Inc. | 22,070,522 | ||||||||
37,360,955 | ||||||||||
Electrical Utilities – 5.6% | ||||||||||
463,103 | Entergy Corp. | 33,579,599 | ||||||||
371,211 | Exelon Corp. | 21,199,860 | ||||||||
134,689 | FirstEnergy Corp. | 6,879,914 | ||||||||
61,659,373 | ||||||||||
Energy Resources – 10.5% | ||||||||||
187,404 | Burlington Resources, Inc. | 16,900,093 | ||||||||
556,970 | ConocoPhillips | 33,952,891 | ||||||||
456,302 | EOG Resources, Inc. | 30,754,755 | ||||||||
567,487 | Exxon Mobil Corp. | 33,691,703 | ||||||||
115,299,442 | ||||||||||
Financial Technology – 1.6% | ||||||||||
380,680 | First Data Corp. | 17,180,088 | ||||||||
Food & Beverage – 0.6% | ||||||||||
225,432 | Kraft Foods, Inc. | 6,783,249 | ||||||||
Home Products – 2.0% | ||||||||||
686,932 | Newell Rubbermaid, Inc. | 17,083,999 | ||||||||
81,353 | The Procter & Gamble Co. | 4,875,485 | ||||||||
21,959,484 | ||||||||||
Hotel & Leisure – 2.0% | ||||||||||
314,101 | Harrah’s Entertainment, Inc. | 22,590,144 | ||||||||
Large Banks – 12.7% | ||||||||||
861,321 | Bank of America Corp. | 39,491,568 | ||||||||
588,368 | Citigroup, Inc. | 27,282,624 | ||||||||
1,219,624 | J.P. Morgan Chase & Co. | 50,175,331 | ||||||||
362,704 | Wells Fargo & Co. | 23,285,597 | ||||||||
140,235,120 | ||||||||||
Life Insurance – 0.6% | ||||||||||
198,937 | Genworth Financial, Inc. | 6,330,175 | ||||||||
Media – 4.3% | ||||||||||
731,638 | The Walt Disney Co. | 20,478,547 | ||||||||
1,556,467 | Time Warner, Inc. | 26,942,444 | ||||||||
47,420,991 | ||||||||||
Medical Products – 1.5% | ||||||||||
435,034 | Baxter International, Inc. | 16,466,037 | ||||||||
Motor Vehicle – 1.3% | ||||||||||
259,028 | Autoliv, Inc. | 13,870,949 | ||||||||
Oil Services – 3.2% | ||||||||||
292,044 | Baker Hughes, Inc. | 19,850,231 | ||||||||
478,346 | BJ Services Co. | 14,977,013 | ||||||||
34,827,244 | ||||||||||
Paper & Packaging – 0.8% | ||||||||||
377,168 | Packaging Corp. of America | 8,603,202 | ||||||||
Parts & Equipment – 3.3% | ||||||||||
340,427 | American Standard Companies, Inc. | 13,474,101 | ||||||||
391,912 | United Technologies Corp. | 22,926,852 | ||||||||
36,400,953 | ||||||||||
Property Insurance – 5.4% | ||||||||||
278,020 | American International Group, Inc. | 18,449,407 | ||||||||
120,791 | Everest Re Group Ltd. | 11,963,141 | ||||||||
124,455 | PartnerRe Ltd. | 7,543,218 | ||||||||
139,268 | RenaissanceRe Holdings Ltd. Series B | 6,204,389 | ||||||||
31,600 | Willis Group Holdings Ltd. | 1,088,304 | ||||||||
205,997 | XL Capital Ltd. | 13,915,097 | ||||||||
59,163,556 | ||||||||||
Regional Banks – 1.0% | ||||||||||
158,317 | KeyCorp | 5,900,475 | ||||||||
41,501 | M&T Bank Corp. | 4,664,712 | ||||||||
10,565,187 | ||||||||||
22
Shares | Description | Value | ||||||||
Common Stocks – (continued) | ||||||||||
REITs – 1.3% | ||||||||||
225,560 | Apartment Investment & Management Co. | $ | 9,994,564 | |||||||
120,212 | iStar Financial, Inc. | 4,580,077 | ||||||||
14,574,641 | ||||||||||
Retail Apparel – 2.8% | ||||||||||
529,337 | J. C. Penney Co., Inc. | 31,040,322 | ||||||||
Specialty Financials – 3.5% | ||||||||||
306,049 | Countrywide Financial Corp. | 10,552,570 | ||||||||
654,796 | Washington Mutual, Inc. | 27,959,789 | ||||||||
38,512,359 | ||||||||||
Telephone – 3.4% | ||||||||||
885,144 | AT&T Inc. | 24,421,123 | ||||||||
400,977 | Verizon Communications, Inc. | 13,512,925 | ||||||||
37,934,048 | ||||||||||
Thrifts – 2.4% | ||||||||||
364,963 | Golden West Financial Corp. | 25,923,322 | ||||||||
Tobacco – 1.3% | ||||||||||
206,182 | Altria Group, Inc. | 14,824,486 | ||||||||
Transports – 0.7% | ||||||||||
440,149 | Southwest Airlines Co. | 7,381,299 | ||||||||
Trust/Processors – 1.7% | ||||||||||
533,471 | Bank of New York Co., Inc. | 18,266,047 | ||||||||
TOTAL COMMON STOCKS | ||||||||||
(Cost $968,940,291) | $ | 1,075,475,666 | ||||||||
Principal | Interest | Maturity | ||||||||||||||
Amount | Rate | Date | Value | |||||||||||||
Repurchase Agreement – 2.4% | ||||||||||||||||
Joint Repurchase Agreement Account II(a) | ||||||||||||||||
$ | 26,700,000 | 4.57 | % | 03/01/2006 | $ | 26,700,000 | ||||||||||
Maturity Value: $26,703,388 | ||||||||||||||||
(Cost $26,700,000) | ||||||||||||||||
TOTAL INVESTMENTS – 100.0% | ||||||||||||||||
(Cost $995,640,291) | $ | 1,102,175,666 | ||||||||||||||
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) | Joint repurchase agreement was entered into on February 28, 2006. Additional information appears on page 33. |
Investment Abbreviation: | ||||||
REIT | — | Real Estate Investment Trust | ||||
23
Statement of Investments
Shares | Description | Value | ||||||||
Common Stocks – 98.3% | ||||||||||
Biotechnology – 0.5% | ||||||||||
72,800 | Amgen, Inc.* | $ | 5,495,672 | |||||||
Brokers – 3.6% | ||||||||||
153,071 | Lehman Brothers Holdings, Inc. | 22,340,713 | ||||||||
72,397 | Merrill Lynch & Co., Inc. | 5,589,772 | ||||||||
182,423 | Morgan Stanley | 10,883,356 | ||||||||
38,813,841 | ||||||||||
Chemical – 1.1% | ||||||||||
251,515 | Rohm & Haas Co. | 12,512,871 | ||||||||
Computer Hardware – 1.4% | ||||||||||
743,800 | Cisco Systems, Inc.* | 15,054,512 | ||||||||
Computer Software – 3.8% | ||||||||||
772,442 | Activision, Inc.* | 9,655,525 | ||||||||
35,106 | International Business Machines Corp. | 2,816,905 | ||||||||
777,769 | Microsoft Corp. | 20,921,986 | ||||||||
689,221 | Oracle Corp.* | 8,560,125 | ||||||||
41,954,541 | ||||||||||
Defense/Aerospace – 1.4% | ||||||||||
120,293 | General Dynamics Corp. | 14,828,518 | ||||||||
Diversified Energy – 1.8% | ||||||||||
889,122 | The Williams Companies, Inc. | 19,178,362 | ||||||||
Drugs – 4.5% | ||||||||||
357,716 | Abbott Laboratories | 15,803,893 | ||||||||
1,260,250 | Pfizer, Inc. | 33,005,947 | ||||||||
48,809,840 | ||||||||||
Electrical Utilities – 7.6% | ||||||||||
32,666 | Dominion Resources, Inc. | 2,453,216 | ||||||||
44,905 | Edison International | 1,991,986 | ||||||||
462,065 | Entergy Corp. | 33,504,333 | ||||||||
364,481 | Exelon Corp. | 20,815,510 | ||||||||
133,074 | FirstEnergy Corp. | 6,797,420 | ||||||||
563,591 | PPL Corp. | 17,922,194 | ||||||||
83,484,659 | ||||||||||
Energy Resources – 10.4% | ||||||||||
182,533 | Burlington Resources, Inc. | 16,460,826 | ||||||||
185,729 | Chevron Corp. | 10,489,974 | ||||||||
547,782 | ConocoPhillips | 33,392,791 | ||||||||
160,700 | EOG Resources, Inc. | 10,831,180 | ||||||||
712,408 | Exxon Mobil Corp. | 42,295,663 | ||||||||
113,470,434 | ||||||||||
Energy-Master Limited Partnership – 3.6% | ||||||||||
276,267 | Energy Transfer Partners LP | 9,868,257 | ||||||||
636,624 | Enterprise Products Partners LP | 15,457,231 | ||||||||
57,528 | Linn Energy LLC* | 1,194,856 | ||||||||
318,469 | Magellan Midstream Partners LP | 10,028,589 | ||||||||
86,750 | Williams Partners LP | 2,871,425 | ||||||||
39,420,358 | ||||||||||
Environmental & Other Services – 1.2% | ||||||||||
380,559 | Waste Management, Inc. | $ | 12,657,392 | |||||||
Financial Technology – 1.0% | ||||||||||
229,929 | First Data Corp. | 10,376,696 | ||||||||
Food & Beverage – 1.8% | ||||||||||
277,811 | Kraft Foods, Inc.(a) | 8,359,333 | ||||||||
156,900 | Unilever NV | 10,918,671 | ||||||||
19,278,004 | ||||||||||
Home Products – 2.4% | ||||||||||
678,683 | Newell Rubbermaid, Inc. | 16,878,846 | ||||||||
80,760 | Procter & Gamble Co. | 4,839,947 | ||||||||
77,090 | The Clorox Co. | 4,698,636 | ||||||||
26,417,429 | ||||||||||
Large Banks – 13.5% | ||||||||||
1,104,637 | Bank of America Corp. | 50,647,606 | ||||||||
645,631 | Citigroup, Inc. | 29,937,910 | ||||||||
1,145,655 | J.P. Morgan Chase & Co. | 47,132,247 | ||||||||
315,449 | Wells Fargo & Co. | 20,251,826 | ||||||||
147,969,589 | ||||||||||
Media – 2.8% | ||||||||||
651,769 | The Walt Disney Co. | 18,243,014 | ||||||||
732,293 | Time Warner, Inc. | 12,675,992 | ||||||||
30,919,006 | ||||||||||
Medical Products – 1.2% | ||||||||||
359,392 | Baxter International, Inc. | 13,602,987 | ||||||||
Motor Vehicle – 0.8% | ||||||||||
172,060 | Autoliv, Inc. | 9,213,813 | ||||||||
Oil Services – 1.2% | ||||||||||
108,120 | Baker Hughes, Inc. | 7,348,916 | ||||||||
185,061 | BJ Services Co. | 5,794,260 | ||||||||
13,143,176 | ||||||||||
Paper & Packaging – 2.3% | ||||||||||
718,874 | Packaging Corp. of America | 16,397,516 | ||||||||
245,221 | Plum Creek Timber Co., Inc. | 9,109,960 | ||||||||
25,507,476 | ||||||||||
Parts & Equipment – 2.7% | ||||||||||
206,588 | American Standard Companies, Inc. | 8,176,753 | ||||||||
365,393 | United Technologies Corp. | 21,375,491 | ||||||||
29,552,244 | ||||||||||
Property Insurance – 4.4% | ||||||||||
158,200 | American International Group, Inc. | 10,498,152 | ||||||||
210,277 | PartnerRe Ltd. | 12,744,889 | ||||||||
229,408 | The Allstate Corp. | 12,566,970 | ||||||||
52,985 | Willis Group Holdings Ltd. | 1,824,803 | ||||||||
156,843 | XL Capital Ltd. | 10,594,745 | ||||||||
48,229,559 | ||||||||||
24
Shares | Description | Value | ||||||||
Common Stocks – (continued) | ||||||||||
Regional Banks – 2.0% | ||||||||||
498,237 | KeyCorp | $ | 18,569,293 | |||||||
33,000 | M&T Bank Corp. | 3,709,200 | ||||||||
22,278,493 | ||||||||||
REITs – 3.6% | ||||||||||
237,721 | Apartment Investment & Management Co. | 10,533,418 | ||||||||
221,081 | Developers Diversified Realty Corp. | 11,096,055 | ||||||||
471,486 | iStar Financial, Inc. | 17,963,617 | ||||||||
39,593,090 | ||||||||||
Retail Apparel – 2.8% | ||||||||||
522,955 | J. C. Penney Co., Inc. | 30,666,081 | ||||||||
Specialty Financials – 6.4% | ||||||||||
257,474 | AllianceBernstein Holding LP | 16,547,854 | ||||||||
301,661 | American Capital Strategies Ltd.(a) | 10,769,298 | ||||||||
281,565 | Countrywide Financial Corp. | 9,708,361 | ||||||||
773,780 | Washington Mutual, Inc. | 33,040,406 | ||||||||
70,065,919 | ||||||||||
Telephone – 4.4% | ||||||||||
977,645 | AT&T, Inc. | 26,973,225 | ||||||||
638,224 | Verizon Communications, Inc. | 21,508,149 | ||||||||
48,481,374 | ||||||||||
Thrifts – 1.3% | ||||||||||
205,249 | Golden West Financial Corp.(a) | 14,578,837 | ||||||||
Tobacco – 1.4% | ||||||||||
207,171 | Altria Group, Inc. | 14,895,595 | ||||||||
Transports – 0.5% | ||||||||||
73,078 | United Parcel Service, Inc. Class B | 5,459,657 | ||||||||
Trust/Processors – 0.9% | ||||||||||
300,547 | Bank of New York Co., Inc. | 10,290,729 | ||||||||
TOTAL COMMON STOCKS | ||||||||||
(Cost $960,286,778) | $ | 1,076,200,754 | ||||||||
Principal | Interest | Maturity | ||||||||||||||
Amount | Rate | Date | Value | |||||||||||||
Repurchase Agreement – 1.6% | ||||||||||||||||
Joint Repurchase Agreement Account II(b) | ||||||||||||||||
$ | 17,300,000 | 4.57 | % | 03/01/2006 | $ | 17,300,000 | ||||||||||
Maturity Value: $17,302,195 | ||||||||||||||||
(Cost $17,300,000) | ||||||||||||||||
TOTAL INVESTMENTS BEFORE SECURITIES LENDING COLLATERAL | ||||||||||||||||
(Cost $977,586,778) | $ | 1,093,500,754 | ||||||||||||||
Shares | Description | Value | ||||||||
Securities Lending Collateral – 1.8% | ||||||||||
19,211,000 | Boston Global Investment Trust — Enhanced Portfolio | $ | 19,211,000 | |||||||
(Cost $19,211,000) | ||||||||||
TOTAL INVESTMENTS – 101.7% | ||||||||||
(Cost $996,797,778) | $ | 1,112,711,754 | ||||||||
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 portion of security is on loan. | |
(b) | Joint repurchase agreement was entered into on February 28, 2006. Additional information appears on page 33. |
Investment Abbreviation: | ||||||
REIT | — | Real Estate Investment Trust | ||||
25
Statement of Investments
Shares | Description | Value | ||||||||
Common Stocks – 95.7% | ||||||||||
Biotechnology – 1.2% | ||||||||||
1,857,854 | MedImmune, Inc.* | $ | 67,793,092 | |||||||
Brokers – 2.1% | ||||||||||
859,054 | The Bear Stearns Companies, Inc. | 115,491,220 | ||||||||
Chemical – 2.2% | ||||||||||
157,141 | Agrium, Inc. | 3,914,382 | ||||||||
526,923 | Carlisle Cos., Inc. | 41,416,148 | ||||||||
2,852,223 | Chemtura Corp. | 31,602,631 | ||||||||
970,574 | Rohm & Haas Co. | 48,286,056 | ||||||||
125,219,217 | ||||||||||
Computer Hardware – 3.8% | ||||||||||
1,136,061 | Amphenol Corp. | 57,064,344 | ||||||||
1,287,076 | Avocent Corp.* | 43,001,209 | ||||||||
2,328,284 | Ingram Micro, Inc.* | 46,053,457 | ||||||||
1,574,770 | Zebra Technologies Corp.* | 69,510,348 | ||||||||
215,629,358 | ||||||||||
Computer Software – 1.2% | ||||||||||
4,845,156 | Activision, Inc.* | 60,564,450 | ||||||||
487,421 | Wind River Systems, Inc.* | 7,540,403 | ||||||||
68,104,853 | ||||||||||
Construction – 1.7% | ||||||||||
1,638,557 | Lennar Corp. | 98,084,022 | ||||||||
Consumer Durables – 1.9% | ||||||||||
1,234,633 | Mohawk Industries, Inc.* | 106,808,101 | ||||||||
31,422 | The Stanley Works(a) | 1,575,499 | ||||||||
108,383,600 | ||||||||||
Defense/Aerospace – 2.6% | ||||||||||
882,125 | Alliant Techsystems, Inc.* | 67,411,992 | ||||||||
1,446,685 | Rockwell Collins, Inc. | 76,891,308 | ||||||||
144,303,300 | ||||||||||
Diversified Energy – 2.9% | ||||||||||
4,245,279 | The Williams Companies, Inc. | 91,570,668 | ||||||||
1,566,500 | Western Gas Resources, Inc. | 74,111,115 | ||||||||
165,681,783 | ||||||||||
Drugs – 1.7% | ||||||||||
1,645,323 | Charles River Laboratories International, Inc.* | 79,551,367 | ||||||||
761,955 | IMS Health, Inc. | 18,363,116 | ||||||||
97,914,483 | ||||||||||
Electrical Utilities – 11.5% | ||||||||||
745,728 | CMS Energy Corp.* | 10,499,850 | ||||||||
1,644,887 | DPL, Inc. | 44,280,358 | ||||||||
2,333,638 | Edison International | 103,520,182 | ||||||||
1,794,700 | Entergy Corp. | 130,133,697 | ||||||||
673,316 | FirstEnergy Corp. | 34,392,981 | ||||||||
1,139,169 | Northeast Utilities | 22,350,496 | ||||||||
2,972,657 | PG&E Corp. | 113,109,599 | ||||||||
189,185 | PNM Resources, Inc. | 4,682,329 | ||||||||
3,892,278 | PPL Corp. | 123,774,440 | ||||||||
209,015 | Public Service Enterprise Group, Inc. | 14,503,551 | ||||||||
1,101,719 | Wisconsin Energy Corp. | 45,027,255 | ||||||||
646,274,738 | ||||||||||
Energy Resources – 4.6% | ||||||||||
1,784,389 | EOG Resources, Inc. | 120,267,819 | ||||||||
3,796,226 | Range Resources Corp. | 90,843,688 | ||||||||
929,030 | Ultra Petroleum Corp.* | 48,346,721 | ||||||||
259,458,228 | ||||||||||
Environmental & Other Services – 1.0% | ||||||||||
1,428,335 | Republic Services, Inc. | 55,519,381 | ||||||||
Food & Beverage – 2.9% | ||||||||||
2,363,895 | Archer-Daniels-Midland Co. | 74,982,749 | ||||||||
439,297 | ConAgra Foods, Inc. | 9,238,416 | ||||||||
909,783 | Pepsi Bottling Group, Inc. | 26,711,229 | ||||||||
1,934,201 | Smithfield Foods, Inc.* | 51,120,933 | ||||||||
162,053,327 | ||||||||||
Gas Utilities – 1.4% | ||||||||||
2,174,086 | AGL Resources, Inc. | 78,049,687 | ||||||||
Health Insurance – 1.9% | ||||||||||
945,562 | Coventry Health Care, Inc.* | 56,374,406 | ||||||||
1,038,431 | Health Net, Inc.* | 49,792,767 | ||||||||
106,167,173 | ||||||||||
Home Products – 2.5% | ||||||||||
2,844,795 | Newell Rubbermaid, Inc. | 70,750,052 | ||||||||
1,118,320 | The Clorox Co. | 68,161,604 | ||||||||
138,911,656 | ||||||||||
Hotel & Leisure – 2.2% | ||||||||||
1,750,259 | Harrah’s Entertainment, Inc. | 125,878,627 | ||||||||
Information Services – 1.5% | ||||||||||
7,293,493 | BearingPoint, Inc.*(a) | 64,985,023 | ||||||||
3,199,022 | Unisys Corp.* | 21,369,467 | ||||||||
86,354,490 | ||||||||||
Life Insurance – 2.3% | ||||||||||
643,610 | Assurant, Inc. | 29,219,894 | ||||||||
657,780 | Lincoln National Corp. | 37,342,170 | ||||||||
1,167,970 | Torchmark Corp. | 63,852,920 | ||||||||
130,414,984 | ||||||||||
Media – 1.1% | ||||||||||
1,173,189 | Lamar Advertising Co.* | 59,856,103 | ||||||||
Medical Providers – 0.7% | ||||||||||
1,601,512 | Apria Healthcare Group, Inc.* | 36,818,761 | ||||||||
26
Shares | Description | Value | ||||||||
Common Stocks – (continued) | ||||||||||
Mining – 1.8% | ||||||||||
903,734 | Allegheny Technologies, Inc. | $ | 45,647,604 | |||||||
290,766 | Carpenter Technology Corp. | 24,305,130 | ||||||||
707,481 | Commercial Metals Co. | 32,041,815 | ||||||||
101,994,549 | ||||||||||
Motor Vehicle – 0.6% | ||||||||||
642,386 | Autoliv, Inc. | 34,399,770 | ||||||||
Oil Services – 1.9% | ||||||||||
2,024,127 | BJ Services Co. | 63,375,416 | ||||||||
1,094,029 | Grant Prideco, Inc.* | 44,275,354 | ||||||||
107,650,770 | ||||||||||
Paper & Packaging – 2.3% | ||||||||||
2,383,208 | Packaging Corp. of America | 54,360,974 | ||||||||
1,980,351 | Plum Creek Timber Co., Inc. | 73,570,040 | ||||||||
127,931,014 | ||||||||||
Parts & Equipment – 3.2% | ||||||||||
�� | 2,461,395 | American Standard Companies, Inc. | 97,422,014 | |||||||
996,696 | Cooper Industries Ltd. | 83,423,455 | ||||||||
180,845,469 | ||||||||||
Property Insurance – 6.2% | ||||||||||
1,658,571 | AMBAC Financial Group, Inc. | 124,641,611 | ||||||||
776,869 | Everest Re Group Ltd. | 76,941,106 | ||||||||
799,180 | PartnerRe Ltd. | 48,438,300 | ||||||||
1,035,750 | RenaissanceRe Holdings Ltd. Series B | 46,142,662 | ||||||||
1,039,432 | The PMI Group, Inc. | 45,007,406 | ||||||||
256,060 | Willis Group Holdings Ltd. | 8,818,706 | ||||||||
349,989,791 | ||||||||||
Publishing – 0.9% | ||||||||||
1,185,806 | Dow Jones & Co., Inc.(a) | 48,203,014 | ||||||||
Regional Banks – 6.2% | ||||||||||
419,097 | Commerce Bancshares, Inc. | 21,604,450 | ||||||||
1,719,534 | FirstMerit Corp. | 42,541,271 | ||||||||
2,104,472 | KeyCorp | 78,433,672 | ||||||||
793,417 | M&T Bank Corp. | 89,180,071 | ||||||||
1,437,127 | Zions Bancorp. | 118,591,720 | ||||||||
350,351,184 | ||||||||||
REITs – 5.7% | ||||||||||
1,734,808 | Apartment Investment & Management Co. | 76,869,343 | ||||||||
421,293 | Brandywine Realty Trust | 12,373,375 | ||||||||
1,370,708 | Developers Diversified Realty Corp. | 68,795,835 | ||||||||
708,841 | Equity Residential Properties Trust | 32,096,320 | ||||||||
792,086 | Healthcare Realty Trust, Inc. | 29,552,729 | ||||||||
1,908,522 | iStar Financial, Inc. | 72,714,688 | ||||||||
626,335 | Liberty Property Trust | 28,047,281 | ||||||||
320,449,571 | ||||||||||
Retail Apparel – 3.8% | ||||||||||
2,666,401 | J. C. Penney Co., Inc. | 156,357,755 | ||||||||
1,979,279 | Ross Stores, Inc. | 56,053,181 | ||||||||
212,410,936 | ||||||||||
Semiconductors – 1.2% | ||||||||||
500,869 | Freescale Semiconductor, Inc.*(a) | 13,468,367 | ||||||||
2,205,374 | LSI Logic Corp.* | 21,502,397 | ||||||||
1,084,401 | Tessera Technologies, Inc.* | 33,865,843 | ||||||||
68,836,607 | ||||||||||
Specialty Financials – 1.9% | ||||||||||
653,463 | American Capital Strategies Ltd.(a) | 23,328,629 | ||||||||
1,044,071 | CIT Group, Inc. | 56,139,698 | ||||||||
978,610 | Eaton Vance Corp. | 27,577,230 | ||||||||
107,045,557 | ||||||||||
Telecom Equipment – 0.8% | ||||||||||
1,697,322 | ADC Telecommunications, Inc.* | 42,976,193 | ||||||||
Tobacco – 1.1% | ||||||||||
578,840 | Reynolds American, Inc.(a) | 61,443,866 | ||||||||
Transports 2.2% | ||||||||||
1,543,800 | Norfolk Southern Corp. | 79,011,684 | ||||||||
1,076,301 | Teekay Shipping Corp.(a) | 41,868,109 | ||||||||
120,879,793 | ||||||||||
Trust/Processors – 1.0% | ||||||||||
1,107,766 | Northern Trust Corp. | 58,401,424 | ||||||||
TOTAL COMMON STOCKS | ||||||||||
(Cost $4,694,645,272) | $ | 5,386,171,591 | ||||||||
Principal | Interest | Maturity | ||||||||||||||
Amount | Rate | Date | Value | |||||||||||||
Repurchase Agreement – 5.1% | ||||||||||||||||
Joint Repurchase Agreement Account II(b) | ||||||||||||||||
$ | 285,500,000 | 4.57 | % | 03/01/2006 | $ | 285,500,000 | ||||||||||
Maturity Value: $285,536,227 | ||||||||||||||||
(Cost $285,500,000) | ||||||||||||||||
TOTAL INVESTMENTS BEFORE SECURITIES LENDING COLLATERAL | ||||||||||||||||
(Cost $4,980,145,272) | $ | 5,671,671,591 | ||||||||||||||
27
Statement of Investments (continued)
Shares | Description | Value | ||||||||
Securities Lending Collateral – 1.0% | ||||||||||
53,889,732 | Boston Global Investment Trust – Enhanced Portfolio | $ | 53,889,732 | |||||||
(Cost $53,889,732) | ||||||||||
TOTAL INVESTMENTS – 101.8% | ||||||||||
(Cost $5,034,035,004) | $ | 5,725,561,323 | ||||||||
The percentage shown for each investment category reflects the value of investments in that category as a percentage of net assets. |
* | Non-income producing security. | |
(a) | All or a portion of security is on loan. | |
(b) | Joint repurchase agreement was entered into on February 28, 2006. Additional information appears on page 33. |
Investment Abbreviation: | ||||||
REIT | — | Real Estate Investment Trust | ||||
28
Statement of Investments
Shares | Description | Value | ||||||||
Common Stocks – 98.0% | ||||||||||
Airlines – 0.9% | ||||||||||
743,852 | AirTran Holdings, Inc.* | $ | 13,225,689 | |||||||
680,196 | Frontier Airlines, Inc.*(a) | 4,897,411 | ||||||||
18,123,100 | ||||||||||
Apartment REITs – 0.4% | ||||||||||
87,915 | American Campus Communities, Inc. | 2,215,458 | ||||||||
118,511 | Post Properties, Inc. | 5,261,888 | ||||||||
7,477,346 | ||||||||||
Banks – 11.6% | ||||||||||
242,859 | Alabama National BanCorporation | 16,895,701 | ||||||||
157,177 | Alliance Bankshares Corp.* | 2,921,920 | ||||||||
228,430 | Berkshire Hills Bancorp, Inc. | 7,549,611 | ||||||||
624,592 | Brookline Bancorp, Inc. | 9,375,126 | ||||||||
633,991 | Cardinal Financial Corp. | 7,798,089 | ||||||||
333,170 | Central Pacific Financial Corp. | 12,327,290 | ||||||||
724,871 | Citizens Banking Corp. | 19,194,584 | ||||||||
1,459,619 | First Niagara Financial Group, Inc. | 20,566,032 | ||||||||
123,888 | First Oak Brook Bancshares, Inc. | 3,333,826 | ||||||||
289,523 | IBERIABANK Corp. | 16,722,820 | ||||||||
433,828 | Main Street Banks, Inc.(a) | 11,210,116 | ||||||||
356,948 | Midwest Banc Holdings, Inc. | 9,173,564 | ||||||||
413,833 | Millennium Bankshares Corp. | 3,757,604 | ||||||||
183,769 | Nexity Financial Corp.* | 2,376,133 | ||||||||
830,512 | PFF Bancorp, Inc. | 26,102,992 | ||||||||
416,345 | Placer Sierra Bancshares | 10,941,547 | ||||||||
141,402 | Prosperity Bancshares, Inc.(a) | 4,080,862 | ||||||||
414,445 | Signature Bank* | 13,428,018 | ||||||||
170,746 | Southcoast Financial Corp.* | 4,200,361 | ||||||||
176,501 | Sterling Bancorp | 3,590,026 | ||||||||
80,819 | Sun Bancorp, Inc.* | 1,681,035 | ||||||||
167,468 | Texas United Bancshares, Inc. | 3,181,892 | ||||||||
610,891 | The Bancorp, Inc.* | 12,816,493 | ||||||||
380,638 | United Community Banks, Inc. | 10,410,449 | ||||||||
233,636,091 | ||||||||||
�� | ||||||||||
Biotechnology – 0.6% | ||||||||||
809,872 | Medarex, Inc.*(a) | 11,953,711 | ||||||||
Brokers – 0.7% | ||||||||||
1,138,275 | Knight Capital Group, Inc.* | 14,330,882 | ||||||||
Chemical – 3.1% | ||||||||||
450,398 | Albemarle Corp. | 19,119,395 | ||||||||
39,646 | American Vanguard Corp.(a) | 1,138,237 | ||||||||
123,147 | Cabot Microelectronics Corp.*(a) | 4,201,776 | ||||||||
355,262 | Minerals Technologies, Inc. | 19,017,175 | ||||||||
201,450 | NuCo2, Inc.*(a) | 6,033,428 | ||||||||
292,645 | Penford Corp. | 4,645,739 | ||||||||
373,190 | UAP Holding Corp. | 8,120,614 | ||||||||
62,276,364 | ||||||||||
Commercial Services – 0.8% | ||||||||||
284,402 | Kanbay International, Inc.* | 4,829,146 | ||||||||
140,559 | Providence Service Corp.* | 4,333,434 | ||||||||
186,210 | School Specialty, Inc.*(a) | 6,495,005 | ||||||||
15,657,585 | ||||||||||
Components/ Distribution – 1.3% | ||||||||||
855,042 | Insight Enterprises, Inc.* | 18,409,054 | ||||||||
134,899 | ScanSource, Inc.*(a) | 7,838,981 | ||||||||
26,248,035 | ||||||||||
Computer Hardware – 1.4% | ||||||||||
1 | Diodes, Inc.* | 19 | ||||||||
807,028 | Hutchinson Technology, Inc.*(a) | 22,201,340 | ||||||||
542,642 | Mobility Electronics, Inc.*(a) | 5,117,114 | ||||||||
27,318,473 | ||||||||||
Computer Software – 1.4% | ||||||||||
1,416,708 | Atari, Inc.* | 1,211,285 | ||||||||
608,626 | Entrust, Inc.* | 2,251,916 | ||||||||
465,407 | Epicor Software Corp.* | 5,780,355 | ||||||||
169,999 | The Ultimate Software Group, Inc.* | 3,977,977 | ||||||||
959,358 | TIBCO Software, Inc.* | 8,317,634 | ||||||||
320,537 | Viisage Technology, Inc.*(a) | 5,891,466 | ||||||||
27,430,633 | ||||||||||
Construction – 1.0% | ||||||||||
128,031 | Beazer Homes USA, Inc.(a) | 8,123,567 | ||||||||
245,043 | Builders FirstSource, Inc.* | 5,809,970 | ||||||||
187,851 | Champion Enterprises, Inc.* | 2,915,448 | ||||||||
38,280 | Trex Co., Inc.*(a) | 994,897 | ||||||||
90,643 | WCI Communities, Inc.* | 2,287,829 | ||||||||
20,131,711 | ||||||||||
Consumer Durables – 1.4% | ||||||||||
777,649 | Select Comfort Corp.*(a) | 28,423,071 | ||||||||
Consumer Services – 0.2% | ||||||||||
82,610 | Matthews International Corp. | 3,068,135 | ||||||||
Defense/ Aerospace – 0.8% | ||||||||||
64,031 | Aviall, Inc.* | 2,442,783 | ||||||||
214,427 | Ducommun, Inc.* | 4,736,692 | ||||||||
304,207 | EDO Corp.(a) | 8,861,550 | ||||||||
16,041,025 | ||||||||||
Diversified – 1.3% | ||||||||||
3,593,361 | GrafTech International Ltd.* | 18,326,141 | ||||||||
834,811 | Lydall, Inc.*(b) | 7,404,774 | ||||||||
25,730,915 | ||||||||||
Drugs – 0.7% | ||||||||||
313,434 | PAREXEL International Corp.* | 8,030,179 | ||||||||
362,197 | Salix Pharmaceuticals Ltd.* | 5,708,225 | ||||||||
13,738,404 | ||||||||||
29
Statement of Investments (continued)
Shares | Description | Value | ||||||||
Common Stocks – (continued) | ||||||||||
Electrical Equipment – 1.1% | ||||||||||
281,791 | Baldor Electric Co. | $ | 9,087,760 | |||||||
329,211 | CyberOptics Corp.* | 5,076,434 | ||||||||
194,852 | Franklin Electric Co., Inc. | 8,739,112 | ||||||||
22,903,306 | ||||||||||
Electrical Utilities – 3.2% | ||||||||||
214,746 | Avista Corp. | 4,209,022 | ||||||||
54,149 | Central Vermont Public Service Corp. | 1,159,330 | ||||||||
347,407 | Cleco Corp. | 7,813,183 | ||||||||
1,169,398 | El Paso Electric Co.* | 23,914,189 | ||||||||
53,794 | MGE Energy, Inc. | 1,803,175 | ||||||||
750,825 | Sierra Pacific Resources*(a) | 10,691,748 | ||||||||
113,469 | Unisource Energy Corp. | 3,450,592 | ||||||||
483,096 | Westar Energy, Inc. | 10,396,226 | ||||||||
63,437,465 | ||||||||||
Energy Resources – 3.4% | ||||||||||
395,057 | Delta Petroleum Corp.*(a) | 7,707,562 | ||||||||
771,366 | Parallel Petroleum Corp.* | 13,120,936 | ||||||||
79,171 | Petroleum Development Corp.* | 3,405,145 | ||||||||
761,902 | Range Resources Corp. | 18,232,303 | ||||||||
632,946 | Whiting Petroleum Corp.*(a) | 25,697,607 | ||||||||
68,163,553 | ||||||||||
Environmental Services – 0.8% | ||||||||||
416,258 | Waste Connections, Inc.*(a) | 15,251,693 | ||||||||
Financial Services – 3.3% | ||||||||||
709,697 | Accredited Home Lenders Holding Co.*(a) | 37,833,947 | ||||||||
822,782 | Apollo Investment Corp. | 15,460,074 | ||||||||
503,459 | Financial Federal Corp. | 14,061,610 | ||||||||
67,355,631 | ||||||||||
Food & Beverage – 0.6% | ||||||||||
250,872 | Corn Products International, Inc. | 6,763,509 | ||||||||
216,286 | Delta & Pine Land Co. | 5,474,199 | ||||||||
12,237,708 | ||||||||||
Forest – 1.6% | ||||||||||
1,896,048 | Caraustar Industries, Inc.*(b) | 19,282,808 | ||||||||
216,752 | Universal Forest Products, Inc. | 13,401,776 | ||||||||
32,684,584 | ||||||||||
Gas Utilities – 1.2% | ||||||||||
437,986 | Northwest Natural Gas Co. | 14,996,641 | ||||||||
87,676 | South Jersey Industries, Inc. | 2,507,533 | ||||||||
259,458 | Southwest Gas Corp. | 7,399,742 | ||||||||
24,903,916 | ||||||||||
Health Care REITs – 0.7% | ||||||||||
203,079 | Cogdell Spencer, Inc. | 3,838,193 | ||||||||
788,886 | Omega Healthcare Investors, Inc. | 10,208,185 | ||||||||
14,046,378 | ||||||||||
Home Products – 2.8% | ||||||||||
24,138 | Chattem, Inc.* | 941,140 | ||||||||
684,522 | Elizabeth Arden, Inc.* | 16,702,337 | ||||||||
707,803 | Helen of Troy Ltd.*(a) | 14,163,138 | ||||||||
1,331,186 | Oneida Ltd.* | 758,776 | ||||||||
1,559,698 | Playtex Products, Inc.* | 16,376,829 | ||||||||
728,478 | Prestige Brands Holdings, Inc.* | 8,144,384 | ||||||||
57,086,604 | ||||||||||
Hotel REITs – 0.6% | ||||||||||
147,040 | Hersha Hospitality Trust | 1,392,469 | ||||||||
289,128 | LaSalle Hotel Properties | 11,550,663 | ||||||||
12,943,132 | ||||||||||
Industrial Components – 4.2% | ||||||||||
142,915 | Actuant Corp. | 7,874,617 | ||||||||
115,026 | Applied Industrial Technologies, Inc. | 4,920,812 | ||||||||
852,481 | Comfort Systems USA, Inc. | 9,368,766 | ||||||||
354,208 | Hughes Supply, Inc. | 16,382,120 | ||||||||
475,104 | Modtech Holdings, Inc.* | 3,686,807 | ||||||||
104,832 | RBC Bearings, Inc.* | 2,068,335 | ||||||||
1,978,880 | Wabash National Corp.(a)(b) | 39,518,234 | ||||||||
83,819,691 | ||||||||||
Industrial Services – 2.4% | ||||||||||
377,174 | Infrasource Services, Inc.* | 6,740,099 | ||||||||
158,069 | ITT Educational Services, Inc.* | 9,800,278 | ||||||||
216,523 | LECG Corp.* | 3,501,177 | ||||||||
135,128 | Resources Connection, Inc.* | 3,718,723 | ||||||||
553,604 | West Corp.* | 24,098,382 | ||||||||
47,858,659 | ||||||||||
Information Services – 2.3% | ||||||||||
654,403 | BearingPoint, Inc.* | 5,830,731 | ||||||||
2,591,500 | Lionbridge Technologies, Inc.* | 18,555,140 | ||||||||
764,193 | MTC Technologies, Inc.* | 21,084,085 | ||||||||
45,469,956 | ||||||||||
Internet – 0.1% | ||||||||||
382,507 | Autobytel, Inc.* | 1,786,308 | ||||||||
Leisure & Entertainment – 1.6% | ||||||||||
427,916 | Aztar Corp.* | 12,914,505 | ||||||||
167,903 | Isle of Capri Casinos, Inc.*(a) | 5,089,140 | ||||||||
923,867 | K2, Inc.* | 10,532,084 | ||||||||
308,843 | Leapfrog Enterprises, Inc.*(a) | 3,598,021 | ||||||||
32,133,750 | ||||||||||
30
Shares | Description | Value | ||||||||
Common Stocks – (continued) | ||||||||||
Life Insurance – 0.9% | ||||||||||
569,852 | American Equity Investment Life Holding Co.(a) | $ | 7,630,318 | |||||||
204,407 | StanCorp Financial Group, Inc. | 11,058,419 | ||||||||
18,688,737 | ||||||||||
Machinery – 0.9% | ||||||||||
125,447 | MTS Systems Corp. | 4,957,665 | ||||||||
85,947 | Tennant Co. | 4,013,725 | ||||||||
126,317 | Terex Corp.* | 9,997,991 | ||||||||
18,969,381 | ||||||||||
Media – 0.4% | ||||||||||
269,705 | ADVO, Inc. | 8,671,016 | ||||||||
Medical Products – 1.7% | ||||||||||
530,979 | Cardiac Science Corp.* | 5,309,790 | ||||||||
1,544,532 | Encore Medical Corp.*(a) | 9,205,411 | ||||||||
686,370 | PSS World Medical, Inc.* | 11,860,473 | ||||||||
384,076 | Symmetry Medical, Inc.* | 7,958,055 | ||||||||
154,930 | ThermoGenesis Corp.* | 618,171 | ||||||||
34,951,900 | ||||||||||
Medical Providers – 0.4% | ||||||||||
163,282 | Amedisys, Inc.* | 5,254,415 | ||||||||
1,502,824 | Radiologix, Inc.*(b) | 2,840,337 | ||||||||
8,094,752 | ||||||||||
Medical Services – 0.8% | ||||||||||
690,120 | CapitalSource, Inc.(a) | 16,983,853 | ||||||||
Metals – 3.2% | ||||||||||
423,193 | Commercial Metals Co. | 19,166,411 | ||||||||
728,138 | Earle M. Jorgensen Co.* | 10,193,932 | ||||||||
539,337 | Mueller Industries, Inc. | 17,803,514 | ||||||||
439,662 | Oregon Steel Mills, Inc.* | 16,654,397 | ||||||||
63,818,254 | ||||||||||
Mortgage – 0.4% | ||||||||||
1,501,513 | MFA Mortgage Investments, Inc. | 8,888,957 | ||||||||
Motor Vehicle – 1.7% | ||||||||||
577,553 | Commercial Vehicle Group, Inc.* | 10,569,220 | ||||||||
390,310 | LoJack Corp.* | 8,879,553 | ||||||||
672,611 | Tenneco Automotive, Inc.* | 15,234,639 | ||||||||
34,683,412 | ||||||||||
Office Industrial REITs – 2.8% | ||||||||||
731,426 | Brandywine Realty Trust | 21,481,981 | ||||||||
178,842 | Columbia Equity Trust, Inc. | 3,090,390 | ||||||||
101,646 | Corporate Office Properties Trust | 4,220,342 | ||||||||
537,928 | Lexington Corporate Properties Trust | 11,468,625 | ||||||||
363,370 | Parkway Properties, Inc. | 16,002,815 | ||||||||
56,264,153 | ||||||||||
Oil Services – 1.7% | ||||||||||
101,653 | Hydril Co.* | 6,845,313 | ||||||||
487,867 | Oil States International, Inc.* | 16,846,048 | ||||||||
83,609 | Superior Well Services, Inc.* | 2,052,601 | ||||||||
232,079 | W-H Energy Services, Inc.* | 9,167,120 | ||||||||
34,911,082 | ||||||||||
Other REITs – 4.2% | ||||||||||
413,819 | BioMed Reality Trust, Inc. | 11,454,510 | ||||||||
352,244 | CentraCore Properties Trust | 9,517,633 | ||||||||
648,892 | Commercial Net Lease Realty | 14,762,293 | ||||||||
230,520 | Digital Realty Trust, Inc. | 6,364,657 | ||||||||
218,366 | Entertainment Properties Trust | 9,029,434 | ||||||||
562,451 | RAIT Investment Trust | 15,354,912 | ||||||||
885,553 | Spirit Finance Corp. | 10,670,914 | ||||||||
358,270 | U-Store-It Trust | 7,978,673 | ||||||||
85,133,026 | ||||||||||
Property Insurance – 3.7% | ||||||||||
222,450 | Aspen Insurance Holdings Ltd. | 5,163,065 | ||||||||
193,931 | Donegal Group, Inc. | 4,741,613 | ||||||||
280,279 | National Atlantic Holdings Corp.* | 3,279,264 | ||||||||
182,705 | Navigators Group, Inc.* | 8,568,865 | ||||||||
147,633 | NYMAGIC, Inc. | 3,720,352 | ||||||||
324,511 | ProAssurance Corp.*(a) | 16,644,169 | ||||||||
626,239 | ProCentury Corp. | 7,715,264 | ||||||||
447,857 | Republic Companies Group, Inc. | 7,694,183 | ||||||||
309,296 | RLI Corp. | 16,306,085 | ||||||||
73,832,860 | ||||||||||
Publishing – 0.3% | ||||||||||
425,185 | Journal Register Co. | 5,467,879 | ||||||||
Restaurants – 1.2% | ||||||||||
181,174 | Buca, Inc.* | 1,025,445 | ||||||||
131,368 | California Pizza Kitchen, Inc.* | 3,948,922 | ||||||||
419,794 | CEC Entertainment, Inc.* | 13,668,493 | ||||||||
148,621 | Fox & Hound Restaurant Group* | 2,410,632 | ||||||||
73,164 | Ruby Tuesday, Inc. | 2,088,832 | ||||||||
23,142,324 | ||||||||||
Retail Apparel – 4.3% | ||||||||||
816,734 | Aaron Rents, Inc. | 21,398,431 | ||||||||
617,816 | Big Lots, Inc.* | 7,852,441 | ||||||||
582,477 | Charming Shoppes, Inc.* | 7,799,367 | ||||||||
110,219 | Christopher & Banks Corp. | 2,417,103 | ||||||||
196,984 | Dress Barn, Inc.*(a) | 8,505,769 | ||||||||
483,616 | Fossil, Inc.* | 8,231,144 | ||||||||
331,349 | Gymboree Corp.* | 7,574,638 | ||||||||
253,558 | K-Swiss, Inc. | 7,398,823 | ||||||||
78,984 | Kellwood Co. | 2,033,048 |
31
Statement of Investments (continued)
Shares | Description | Value | ||||||||
Common Stocks – (continued) | ||||||||||
Retail Apparel – (continued) | ||||||||||
73,318 | Sharper Image Corp.*(a) | $ | 865,152 | |||||||
374,856 | Tuesday Morning Corp. | 8,250,581 | ||||||||
173,037 | Zale Corp.* | 4,507,614 | ||||||||
86,834,111 | ||||||||||
Retail REITs – 0.8% | ||||||||||
341,200 | Acadia Realty Trust | 7,482,516 | ||||||||
271,831 | Agree Realty Corp. | 8,483,845 | ||||||||
15,966,361 | ||||||||||
Security/ Asset Management – 1.4% | ||||||||||
219,512 | Affiliated Managers Group, Inc.*(a) | 21,606,566 | ||||||||
393,046 | Technology Investment Capital Corp. | 5,993,952 | ||||||||
27,600,518 | ||||||||||
Semiconductor Capital Equipment – 0.9% | ||||||||||
452,989 | Axcelis Technologies, Inc.* | 3,130,154 | ||||||||
793,405 | Entegris, Inc.* | 8,299,016 | ||||||||
182,184 | FormFactor, Inc.* | 6,711,659 | ||||||||
18,140,829 | ||||||||||
Semiconductors – 2.7% | ||||||||||
1,238,919 | Aeroflex, Inc.* | 16,105,947 | ||||||||
83,927 | Fairchild Semiconductor International, Inc.* | 1,458,651 | ||||||||
1,208,904 | Integrated Device Technology, Inc.* | 17,952,225 | ||||||||
587,070 | Tessera Technologies, Inc.* | 18,334,196 | ||||||||
53,851,019 | ||||||||||
Telecom Equipment – 1.6% | ||||||||||
583,388 | Anixter International, Inc. | 26,690,001 | ||||||||
580,627 | Ditech Communications Corp.* | 5,986,264 | ||||||||
32,676,265 | ||||||||||
Telephone – 0.4% | ||||||||||
256,672 | Alaska Communications Systems Group, Inc. | 2,846,492 | ||||||||
236,342 | RCN Corp.*(a) | 5,908,550 | ||||||||
8,755,042 | ||||||||||
Thrifts – 2.1% | ||||||||||
505,705 | BankUnited Financial Corp. | 14,129,398 | ||||||||
505,264 | Fidelity Bankshares, Inc. | 16,133,079 | ||||||||
298,659 | Irwin Financial Corp. | 5,985,126 | ||||||||
739,557 | NetBank, Inc. | 5,509,700 | ||||||||
41,757,303 | ||||||||||
Truck Freight – 0.8% | ||||||||||
54,321 | Forward Air Corp. | 1,927,309 | ||||||||
242,746 | Heartland Express, Inc. | 5,614,715 | ||||||||
110,602 | OMI Corp.(a) | 1,935,535 | ||||||||
269,177 | SCS Transportation, Inc.* | 7,275,854 | ||||||||
16,753,413 | ||||||||||
Wireless – 1.2% | ||||||||||
512,488 | Andrew Corp.*(a) | 6,949,337 | ||||||||
1,390,106 | Dobson Communications Corp.* | 10,064,367 | ||||||||
106,188 | Leap Wireless International, Inc.* | 4,471,577 | ||||||||
315,865 | UbiquiTel, Inc.* | 3,086,001 | ||||||||
24,571,282 | ||||||||||
TOTAL COMMON STOCKS | ||||||||||
(Cost $1,564,959,555) | $ | 1,973,075,544 | ||||||||
Principal | Interest | Maturity | ||||||||||||||
Amount | Rate | Date | Value | |||||||||||||
Repurchase Agreement – 1.9% | ||||||||||||||||
Joint Repurchase Agreement Account II(c) | ||||||||||||||||
$ | 37,600,000 | 4.57 | % | 03/01/2006 | $ | 37,600,000 | ||||||||||
Maturity Value: $37,604,771 | ||||||||||||||||
(Cost $37,600,000) | ||||||||||||||||
TOTAL INVESTMENTS BEFORE SECURITIES LENDING COLLATERAL | ||||||||||||||||
(Cost $1,602,559,555) | $ | 2,010,675,544 | ||||||||||||||
Shares | Description | Value | ||||||||
Securities Lending Collateral – 8.0% | ||||||||||
162,099,556 | Boston Global Investment Trust – Enhanced Portfolio | $ | 162,099,556 | |||||||
(Cost $162,099,556) | ||||||||||
TOTAL INVESTMENTS – 107.9% | ||||||||||
(Cost $1,764,659,111) | $ | 2,172,775,100 | ||||||||
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 portion of security is on loan. | |
(b) | Represents an affiliated issuer. | |
(c) | Joint repurchase agreement was entered into on February 28, 2006. Additional information appears on page 33. |
Investment Abbreviation: | ||||||
REIT | — | Real Estate Investment Trust | ||||
32
ADDITIONAL INVESTMENT INFORMATION |
JOINT REPURCHASE AGREEMENT ACCOUNT II — At February 28, 2006, the Funds had undivided interests in the Joint Repurchase Agreement Account II, as follows:
Fund | Principal Amount | |||
Large Cap Value | $ | 26,700,000 | ||
Growth and Income | 17,300,000 | |||
Mid Cap Value | 285,500,000 | |||
Small Cap Value | 37,600,000 | |||
Principal | Interest | Maturity | Maturity | |||||||||||
Repurchase Agreements | Amount | Rate | Date | Value | ||||||||||
Banc of America Securities LLC | $ | 3,019,900,000 | 4.56 | % | 03/01/2006 | $ | 3,020,282,521 | |||||||
Barclays Capital PLC | 3,000,000,000 | 4.57 | 03/01/2006 | 3,000,380,833 | ||||||||||
Credit Suisse First Boston LLC | 500,000,000 | 4.57 | 03/01/2006 | 500,063,472 | ||||||||||
Deutsche Bank Securities, Inc. | 3,020,000,000 | 4.57 | 03/01/2006 | 3,020,383,372 | ||||||||||
Greenwich Capital Markets | 300,000,000 | 4.58 | 03/01/2006 | 300,038,167 | ||||||||||
J.P. Morgan Securities, Inc. | 400,000,000 | 4.56 | 03/01/2006 | 400,050,667 | ||||||||||
Morgan Stanley & Co. | 2,925,000,000 | 4.57 | 03/01/2006 | 2,925,371,312 | ||||||||||
UBS Securities LLC | 1,500,000,000 | 4.57 | 03/01/2006 | 1,500,190,417 | ||||||||||
Wachovia Capital Markets | 400,000,000 | 4.58 | 03/01/2006 | 400,050,889 | ||||||||||
TOTAL | $ | 15,064,900,000 | $ | 15,066,811,650 | ||||||||||
33
Statements of Assets and Liabilities
Large Cap | |||||||||
Value Fund | |||||||||
Assets: | |||||||||
Investment in securities of unaffiliated issuers, at value (identified cost $995,640,291, $977,586,778, $4,980,145,272 and $1,533,823,142, respectively) | $ | 1,102,175,666 | |||||||
Investment in securities of affiliated issuers, at value (identified cost $0, $0, $0 and $68,736,413, respectively) | — | ||||||||
Securities lending collateral, at value (cost $0, $19,211,000, $53,889,732 and $162,099,556) | — | ||||||||
Cash | 9,149 | ||||||||
Receivables: | |||||||||
Investment securities sold | 467,391 | ||||||||
Fund shares sold | 9,117,492 | ||||||||
Dividends and interest | 1,901,016 | ||||||||
Securities lending income | — | ||||||||
Other assets | 36,957 | ||||||||
Total assets | 1,113,707,671 | ||||||||
Liabilities: | |||||||||
Payables: | |||||||||
Payable upon return of securities loaned | — | ||||||||
Investment securities purchased | 1,427,281 | ||||||||
Fund shares repurchased | 1,998,461 | ||||||||
Amounts owed to affiliates | 899,116 | ||||||||
Accrued expenses | 136,233 | ||||||||
Total liabilities | 4,461,091 | ||||||||
Net Assets: | |||||||||
Paid-in capital | 990,792,536 | ||||||||
Accumulated undistributed net investment income | 2,140,172 | ||||||||
Accumulated net realized gain on investment transactions | 9,778,497 | ||||||||
Net unrealized gain on investments | 106,535,375 | ||||||||
NET ASSETS | $ | 1,109,246,580 | |||||||
Net Assets: | |||||||||
Class A | $ | 597,841,021 | |||||||
Class B | 24,746,866 | ||||||||
Class C | 43,691,538 | ||||||||
Institutional | 439,622,926 | ||||||||
Service | 3,344,229 | ||||||||
Shares Outstanding: | |||||||||
Class A | 45,664,230 | ||||||||
Class B | 1,932,413 | ||||||||
Class C | 3,423,152 | ||||||||
Institutional | 33,294,420 | ||||||||
Service | 256,158 | ||||||||
Total shares outstanding, $0.001 par value (unlimited number of shares authorized) | 84,570,373 | ||||||||
Net asset value, offering and redemption price per share:(a) | |||||||||
Class A | $13.09 | ||||||||
Class B | 12.81 | ||||||||
Class C | 12.76 | ||||||||
Institutional | 13.20 | ||||||||
Service | 13.06 | ||||||||
(a) | Maximum public offering price per share (NAV per share multiplied by 1.0582) for Class A Shares of the Large Cap Value, Growth and Income, Mid Cap Value and Small Cap Value Funds is $13.85, $28.32, $38.42 and $46.13, respectively. At redemption, Class B and Class C Shares may be subject to a contingent deferred sales charge assessed on the amount equal to the lesser of the current NAV or the original purchase price of the shares. |
34
Growth and | Mid Cap | Small Cap | ||||||||||||
Income Fund | Value Fund | Value Fund | ||||||||||||
$ | 1,093,500,754 | $ | 5,671,671,591 | $ | 1,941,629,391 | |||||||||
— | — | 69,046,153 | ||||||||||||
19,211,000 | 53,889,732 | 162,099,556 | ||||||||||||
65,167 | 2,191,964 | 98,556 | ||||||||||||
797,066 | 43,493,472 | 6,271,148 | ||||||||||||
1,878,048 | 30,278,188 | 5,131,607 | ||||||||||||
2,473,362 | 9,915,181 | 719,126 | ||||||||||||
1,048 | 11,313 | 60,887 | ||||||||||||
17,156 | 84,172 | 34,661 | ||||||||||||
1,117,943,601 | 5,811,535,613 | 2,185,091,085 | ||||||||||||
19,211,000 | 53,889,732 | 162,099,556 | ||||||||||||
1,125,136 | 118,373,278 | 1,570,885 | ||||||||||||
2,339,149 | 11,340,114 | 5,058,122 | ||||||||||||
994,505 | 4,675,260 | 2,131,813 | ||||||||||||
195,430 | 472,676 | 235,681 | ||||||||||||
23,865,220 | 188,751,060 | 171,096,057 | ||||||||||||
956,034,715 | 4,833,243,101 | 1,551,873,692 | ||||||||||||
3,448,465 | 4,042,042 | 6,158,764 | ||||||||||||
18,681,225 | 93,973,091 | 47,846,583 | ||||||||||||
115,913,976 | 691,526,319 | 408,115,989 | ||||||||||||
$ | 1,094,078,381 | $ | 5,622,784,553 | $ | 2,013,995,028 | |||||||||
$ | 981,417,833 | $ | 3,250,411,534 | $ | 1,076,367,065 | |||||||||
77,084,467 | 229,213,511 | 99,153,492 | ||||||||||||
16,751,620 | 379,431,168 | 122,859,193 | ||||||||||||
17,905,709 | 1,635,771,637 | 675,345,165 | ||||||||||||
918,752 | 127,956,703 | 40,270,113 | ||||||||||||
36,671,945 | 89,527,562 | 24,694,688 | ||||||||||||
2,960,451 | 6,485,440 | 2,475,047 | ||||||||||||
645,293 | 10,799,094 | 3,069,489 | ||||||||||||
660,988 | 44,735,409 | 15,022,651 | ||||||||||||
34,336 | 3,549,327 | 935,892 | ||||||||||||
40,973,013 | 155,096,832 | 46,197,767 | ||||||||||||
$26.76 | $ | 36.31 | $ | 43.59 | ||||||||||
26.04 | 35.34 | 40.06 | ||||||||||||
25.96 | 35.14 | 40.03 | ||||||||||||
27.09 | 36.57 | 44.96 | ||||||||||||
26.76 | 36.05 | 43.03 | ||||||||||||
35
Statements of Operations
Large Cap | ||||||||
Value Fund | ||||||||
Investment income: | ||||||||
Dividends — unaffiliated issuers(a) | $ | 9,857,935 | ||||||
Dividends — affiliated issuers | — | |||||||
Interest (including securities lending income of $9,308, $11,546, $94,253, and $427,704, respectively) | 697,082 | |||||||
Total income | 10,555,017 | |||||||
Expenses: | ||||||||
Management fees | 3,657,370 | |||||||
Distribution and Service fees(b) | 1,010,287 | |||||||
Transfer agent fees(b) | 655,763 | |||||||
Custody and accounting fees | 101,468 | |||||||
Service Share fees | 7,059 | |||||||
Printing fees | 44,535 | |||||||
Registration fees | 43,666 | |||||||
Professional fees | 13,497 | |||||||
Trustee fees | 3,270 | |||||||
Other | 38,460 | |||||||
Total expenses | 5,575,375 | |||||||
Less — expense reductions | (5,018 | ) | ||||||
Net expenses | 5,570,357 | |||||||
NET INVESTMENT INCOME | 4,984,660 | |||||||
Realized and unrealized gain (loss) on investment transactions: | ||||||||
Net realized gain from investment transactions — unaffiliated issuers (including commissions recaptured of $89,749, $39,304, $425,335 and $0, respectively) | 20,065,105 | |||||||
Net realized loss from investment transactions — affiliated issuers | — | |||||||
Net change in unrealized gain (loss) on investments | 33,371,571 | |||||||
Net realized and unrealized gain on investment transactions | 53,436,676 | |||||||
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS | $ | 58,421,336 | ||||||
(a) | Foreign taxes withheld on dividends were $18,797, $10,253, and $2,559 for Growth and Income, Mid Cap Value and Small Cap Value Funds, respectively. |
(b) | Class-specific Distribution and Service and Transfer agent fees were as follows: |
Distribution and Service Fees | Transfer agent Fees | |||||||||||||||||||||||||||||||
Fund | Class A | Class B | Class C | Class A | Class B | Class C | Institutional | Service | ||||||||||||||||||||||||
Large Cap Value | $ | 686,000 | $ | 123,695 | $ | 200,592 | $ | 521,360 | $ | 23,502 | $ | 38,112 | $ | 72,224 | $ | 565 | ||||||||||||||||
Growth and Income | 1,173,234 | 410,564 | 80,796 | 891,658 | 78,007 | 15,351 | 3,645 | 184 | ||||||||||||||||||||||||
Mid Cap Value | 3,629,916 | 1,134,150 | 1,815,527 | 2,758,736 | 215,489 | 344,950 | 278,287 | 20,131 | ||||||||||||||||||||||||
Small Cap Value | 1,293,549 | 500,137 | 612,817 | 983,097 | 95,026 | 116,435 | 130,624 | 6,910 |
36
Growth and | Mid Cap | Small Cap | ||||||||||
Income Fund | Value Fund | Value Fund | ||||||||||
$ | 14,729,395 | $ | 39,278,448 | $ | 14,143,855 | |||||||
— | — | 171,933 | ||||||||||
441,954 | 3,566,748 | 1,280,069 | ||||||||||
15,171,349 | 42,845,196 | 15,595,857 | ||||||||||
3,685,714 | 18,291,001 | 9,723,785 | ||||||||||
1,664,594 | 6,579,593 | 2,406,503 | ||||||||||
988,845 | 3,617,593 | 1,332,092 | ||||||||||
97,792 | 243,698 | 146,590 | ||||||||||
2,299 | 251,635 | 86,373 | ||||||||||
48,047 | 150,395 | 71,061 | ||||||||||
38,543 | 73,962 | 29,722 | ||||||||||
13,498 | 15,725 | 15,725 | ||||||||||
3,270 | 3,270 | 3,270 | ||||||||||
80,208 | 191,801 | 85,685 | ||||||||||
6,622,810 | 29,418,673 | 13,900,806 | ||||||||||
(15,336 | ) | (664,080 | ) | (2,949 | ) | |||||||
6,607,474 | 28,754,593 | 13,897,857 | ||||||||||
8,563,875 | 14,090,603 | 1,698,000 | ||||||||||
44,704,925 | 132,413,121 | 73,317,289 | ||||||||||
— | — | (35,376 | ) | |||||||||
4,406,385 | 137,621,192 | 96,877,059 | ||||||||||
49,111,310 | 270,034,313 | 170,158,972 | ||||||||||
$ | 57,675,185 | $ | 284,124,916 | $ | 171,856,972 | |||||||
37
Statements of Changes in Net Assets
Large Cap Value Fund | |||||||||||
For the | |||||||||||
Six Months Ended | For the | ||||||||||
February 28, 2006 | Year Ended | ||||||||||
(Unaudited) | August 31, 2005 | ||||||||||
From operations: | |||||||||||
Net investment income | $ | 4,984,660 | $ | 8,027,433 | |||||||
Net realized gain from investment transactions | 20,065,105 | 73,063,247 | |||||||||
Payments by affiliates to reimburse certain security claims | — | — | |||||||||
Net change in unrealized gain (loss) on investments | 33,371,571 | 14,674,803 | |||||||||
Net increase in net assets resulting from operations | 58,421,336 | 95,765,483 | |||||||||
Distributions to shareholders: | |||||||||||
From net investment income | |||||||||||
Class A Shares | (3,536,463 | ) | (2,431,764 | ) | |||||||
Class B Shares | — | (22,089 | ) | ||||||||
Class C Shares | (40,591 | ) | (36,990 | ) | |||||||
Institutional Shares | (3,440,770 | ) | (2,582,487 | ) | |||||||
Service Shares | (18,522 | ) | (3,541 | ) | |||||||
From net realized gains | |||||||||||
Class A Shares | (39,566,820 | ) | (2,271,434 | ) | |||||||
Class B Shares | (1,877,391 | ) | (139,478 | ) | |||||||
Class C Shares | (3,034,163 | ) | (128,351 | ) | |||||||
Institutional Shares | (25,092,442 | ) | (1,622,741 | ) | |||||||
Service Shares | (202,383 | ) | (2,720 | ) | |||||||
Total distributions to shareholders | (76,809,545 | ) | (9,241,595 | ) | |||||||
From share transactions: | |||||||||||
Proceeds from sales of shares | 292,393,272 | 427,796,464 | |||||||||
Proceeds received in connection with merger | — | 61,425,577 | |||||||||
Reinvestment of dividends and distributions | 61,469,093 | 7,008,749 | |||||||||
Cost of shares repurchased | (130,879,906 | ) | (160,017,555 | ) | |||||||
Net increase (decrease) in net assets resulting from share transactions | 222,982,459 | 336,213,235 | |||||||||
NET INCREASE | 204,594,250 | 422,737,123 | |||||||||
Net assets: | |||||||||||
Beginning of period | 904,652,330 | 481,915,207 | |||||||||
End of period | $ | 1,109,246,580 | $ | 904,652,330 | |||||||
Accumulated undistributed net investment income | $ | 2,140,172 | $ | 4,191,858 | |||||||
38
Growth and Income Fund | Mid Cap Value Fund | Small Cap Value Fund | ||||||||||||||||||||||
For the | For the | For the | ||||||||||||||||||||||
Six Months Ended | For the | Six Months Ended | For the | Six Months Ended | For the | |||||||||||||||||||
February 28, 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 | |||||||||||||||||||
$ | 8,563,875 | $ | 14,353,686 | $ | 14,090,603 | $ | 13,201,976 | $ | 1,698,000 | $ | 2,513,568 | |||||||||||||
44,704,925 | 68,982,866 | 132,413,121 | 322,362,179 | 73,281,913 | 166,620,224 | |||||||||||||||||||
— | 893,155 | — | 304,300 | — | 339,459 | |||||||||||||||||||
4,406,385 | 22,063,316 | 137,621,192 | 381,185,485 | 96,877,059 | 102,375,774 | |||||||||||||||||||
57,675,185 | 106,293,023 | 284,124,916 | 717,053,940 | 171,856,972 | 271,849,025 | |||||||||||||||||||
(6,909,273 | ) | (10,994,452 | ) | (10,529,102 | ) | (3,671,900 | ) | — | — | |||||||||||||||
(322,972 | ) | (701,859 | ) | — | — | — | — | |||||||||||||||||
(63,334 | ) | (104,364 | ) | — | — | — | — | |||||||||||||||||
(168,317 | ) | (196,828 | ) | (9,368,607 | ) | (3,753,499 | ) | — | — | |||||||||||||||
(6,429 | ) | (15,658 | ) | (412,877 | ) | (54,438 | ) | — | — | |||||||||||||||
— | — | (188,260,058 | ) | (86,851,401 | ) | (75,729,048 | ) | (63,698,172 | ) | |||||||||||||||
— | — | (15,143,751 | ) | (12,288,164 | ) | (8,049,217 | ) | (7,907,495 | ) | |||||||||||||||
— | — | (24,343,219 | ) | (9,399,556 | ) | (9,703,383 | ) | (9,053,298 | ) | |||||||||||||||
— | — | (89,212,401 | ) | (45,371,052 | ) | (47,119,702 | ) | (28,746,568 | ) | |||||||||||||||
— | — | (6,744,123 | ) | (1,393,641 | ) | (2,633,286 | ) | (1,417,611 | ) | |||||||||||||||
(7,470,325 | ) | (12,013,161 | ) | (344,014,138 | ) | (162,783,651 | ) | (143,234,636 | ) | (110,823,144 | ) | |||||||||||||
79,084,870 | 307,900,081 | 1,246,996,519 | 2,799,132,512 | 242,091,137 | 715,613,326 | |||||||||||||||||||
— | 8,340,631 | — | — | — | 32,729,837 | |||||||||||||||||||
7,237,946 | 11,735,043 | 303,772,471 | 145,409,774 | 128,677,198 | 97,777,593 | |||||||||||||||||||
(95,855,593 | ) | (117,368,089 | ) | (510,208,965 | ) | (567,881,856 | ) | (380,938,374 | ) | (525,719,617 | ) | |||||||||||||
(9,532,777 | ) | 210,607,666 | 1,040,560,025 | 2,376,660,430 | (10,170,039 | ) | 320,401,139 | |||||||||||||||||
40,672,083 | 304,887,528 | 980,670,803 | 2,930,930,719 | 18,452,297 | 481,427,020 | |||||||||||||||||||
1,053,406,298 | 748,518,770 | 4,642,113,750 | 1,711,183,031 | 1,995,542,731 | 1,514,115,711 | |||||||||||||||||||
$ | 1,094,078,381 | $ | 1,053,406,298 | $ | 5,622,784,553 | $ | 4,642,113,750 | $ | 2,013,995,028 | $ | 1,995,542,731 | |||||||||||||
$ | 3,448,465 | $ | 2,354,915 | $ | 4,042,042 | $ | 10,262,025 | $ | 6,158,764 | $ | 4,460,764 | |||||||||||||
39
Notes to Financial Statements
1. ORGANIZATION |
Goldman Sachs Trust (the “Trust”) is a Delaware statutory trust registered under the Investment Company Act of 1940 (the “Act”), as amended, as an open-end management investment company. The Trust includes the Goldman Sachs Large Cap Value Fund, Goldman Sachs Growth and Income Fund, Goldman Sachs Mid Cap Value Fund and Goldman Sachs Small Cap Value 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. 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 and investment companies traded on a U.S. securities exchange or the NASDAQ system are valued daily at their last sale price or official closing price on the principal exchange or system on which they are traded. If no sale occurs, 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.
C. Federal Taxes — It is each Fund’s policy to comply with the requirements of the Internal Revenue Code (the “Code”) applicable to regulated investment companies and to distribute each year substantially all of its investment company taxable income and capital gains to its shareholders. Accordingly, no federal tax provisions are required. Dividends and distributions to shareholders are recorded on the ex-dividend date. Income distributions, if any, are declared and paid quarterly for the Growth and Income Fund and annually for the Large Cap Value, Mid Cap Value and Small Cap Value Funds. Capital gains distributions, if any, are declared and paid annually for all Funds.
2. SIGNIFICANT ACCOUNTING POLICIES (continued) |
such as property depreciation, a REIT’s cash flow will exceed its taxable income. The REIT may distribute this excess cash to offer a more competitive yield. This portion of the distribution is deemed a return of capital and is generally not taxable to shareholders.
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. Repurchase Agreements — Repurchase agreements involve the purchase of securities subject to the seller’s agreement to repurchase them at a mutually agreed upon date and price. During the term of a repurchase agreement, the value of the underlying securities held as collateral on behalf of the Funds, including accrued interest, is required to exceed the value of the repurchase agreement, including accrued interest. If the seller defaults or becomes insolvent, realization of the collateral by the Funds may be delayed or limited and there may be a decline in the value of the collateral during the period while the Funds seek to assert their rights. The underlying securities for all repurchase agreements are held in safekeeping at the Funds’ custodian or designated subcustodians under triparty repurchase agreements.
F. Segregation Transactions — As set forth in the prospectus, the Funds may enter into certain derivative transactions to seek to increase total return. Forward foreign currency exchange contracts, futures contracts, written options, when-issued securities and forward commitments represent examples of such transactions. As a result of entering into these transactions, the Funds are required to segregate 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.
G. Commission Recapture — The 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.
3. AGREEMENTS |
GSAM, an affiliate 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, GSAM manages the Funds, subject to the general supervision of the Trust’s Board of Trustees.
Notes to Financial Statements (continued)
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 | ||||
Large Cap Value | 0.75 | % | First $1 Billion | |||
0.68 | Next $1 Billion | |||||
0.65 | Over $2 Billion | |||||
Growth and Income | 0.70 | First $1 Billion | ||||
0.63 | Next $1 Billion | |||||
0.60 | Over $2 Billion | |||||
Mid Cap Value | 0.75 | First $2 Billion | ||||
0.68 | Over $2 Billion | |||||
Small Cap Value | 1.00 | First $2 Billion | ||||
0.90 | Over $2 Billion | |||||
Contingent Deferred | ||||||||||||
Sales Load | Sales Charge | |||||||||||
Fund | Class A | Class B | Class C | |||||||||
Large Cap Value | $ | 79,600 | $ | 100 | $ | — | ||||||
Growth and Income | 276,000 | 100 | — | |||||||||
Mid Cap Value | 223,300 | 1,000 | 100 | |||||||||
Small Cap Value | 12,400 | 100 | — | |||||||||
3. AGREEMENTS (continued) |
The Trust, on behalf of each Fund, has adopted a Service Plan and Shareholder Administration Plan for Service Shares. These plans allow for Service Shares to compensate service organizations for providing varying levels of personal and account administration and shareholder administration services to their customers who are beneficial owners of such shares. The Service Plan and Shareholder Administration Plan provide for compensation to the service organizations in an amount equal to, on an annualized basis, 0.25% and 0.25%, respectively, of the average daily net assets of the Service Shares.
Management Fee | Custody Fee | Total Expense | ||||||||||
Fund | Waiver | Reduction | Reductions | |||||||||
Large Cap Value | $ | — | $ | 5 | $ | 5 | ||||||
Growth and Income | 12 | 3 | 15 | |||||||||
Mid Cap Value | 644 | 20 | 664 | |||||||||
Small Cap Value | 1 | 2 | 3 | |||||||||
At 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 | ||||||||||||
Large Cap Value | $ | 624 | $ | 166 | $ | 109 | $ | 899 | ||||||||
Growth and Income | 580 | 259 | 156 | 995 | ||||||||||||
Mid Cap Value | 2,987 | 1,080 | 608 | 4,675 | ||||||||||||
Small Cap Value | 1,542 | 378 | 212 | 2,132 | ||||||||||||
4. PORTFOLIO SECURITIES TRANSACTIONS |
The cost of purchases and proceeds from sales and maturities of long-term securities for the six months ended February 28, 2006, were as follows:
Fund | Purchases | Sales and Maturities | ||||||
Large Cap Value | $ | 470,523,834 | $ | 321,700,056 | ||||
Growth and Income | 285,485,582 | 277,352,104 | ||||||
Mid Cap Value | 1,716,256,061 | 1,114,790,083 | ||||||
Small Cap Value | 384,918,515 | 524,199,394 | ||||||
For the six months ended February 28, 2006, Goldman Sachs earned approximately $72,500, $11,200, $174,700 and $2,400 of brokerage commissions from portfolio transactions executed on behalf of the Large Cap Value, Growth and Income, Mid Cap Value and Small Cap Value Funds, respectively.
Notes to Financial Statements (continued)
4. PORTFOLIO SECURITIES TRANSACTIONS (continued) |
of which the Trust is an affiliate for the six months ended February 28, 2006, including income earned from these affiliated issuers.
Number of Shares Held | Gross | Gross | Number of Shares Held | |||||||||||||||||||||
Beginning of Period | Additions | Reductions | End of Period | Value at End | Income | |||||||||||||||||||
Name of Affiliated Issuer | (in 000’s) | (in 000’s) | (in 000’s) | (in 000’s) | of Period | Earned | ||||||||||||||||||
Caraustar Industries, Inc. | 1,916 | — | 20 | 1,896 | $ | 19,282,808 | $ | — | ||||||||||||||||
Fox & Hound Restaurant Group | 509 | — | 509 | — | — | — | ||||||||||||||||||
Lionbridge Technologies, Inc. | 2,925 | — | 2,925 | — | — | — | ||||||||||||||||||
Lydall, Inc. | 835 | — | — | 835 | 7,404,774 | — | ||||||||||||||||||
Radiologix, Inc. | 1,503 | — | — | 1,503 | 2,840,337 | — | ||||||||||||||||||
Southcoast Financial Corp. | 171 | — | 171 | — | — | — | ||||||||||||||||||
Wabash National Corp. | 1,842 | 137 | — | 1,979 | 39,518,234 | 171,933 | ||||||||||||||||||
5. SECURITIES LENDING |
Pursuant to exemptive relief granted by the 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’ security 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 funds 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 funds 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.
Earnings Received by | ||||||||||||||||||||
Earnings of BGA | the Funds From | Amount Payable to | ||||||||||||||||||
Market Value of | Cash Collateral | Relating to Securities | Lending to Goldman | Goldman Sachs Upon | ||||||||||||||||
Securities on | Received for Loans | Loaned for the Six | Sachs for the Six | Return of Securities | ||||||||||||||||
Loan as of | Outstanding as of | Months Ended | Months Ended | Loaned as of | ||||||||||||||||
Fund | February 28, 2006 | February 28, 2006 | February 28, 2006 | February 28, 2006 | February 28, 2006 | |||||||||||||||
Large Cap Value | $ | — | $ | — | $ | 1,642 | $ | — | $ | — | ||||||||||
Growth and Income | 18,560,758 | 19,211,000 | 2,037 | — | — | |||||||||||||||
Mid Cap Value | 52,514,639 | 53,889,732 | 16,630 | 6,498 | — | |||||||||||||||
Small Cap Value | 156,865,945 | 162,099,556 | 75,471 | 57,346 | 4,067,975 | |||||||||||||||
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, the Funds 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 were as follows.
Large Cap | Growth and | Mid Cap | Small Cap | ||||||||||||||
Value Fund | Income Fund | Value Fund | Value Fund | ||||||||||||||
Capital loss carryforward:* | |||||||||||||||||
Expiring 2010 | $ | — | $ | (2,087,904 | ) | $ | — | $ | — | ||||||||
Expiring 2011 | — | (22,494,322 | ) | — | — | ||||||||||||
Total capital loss carryforward | $ | — | $ | (24,582,226 | ) | $ | — | $ | — | ||||||||
* | Expiration occurs on August 31 of the year indicated. Utilization of these losses may be limited under the Internal Revenue Code. |
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:
Large Cap | Growth and | Mid Cap | Small Cap | |||||||||||||
Value Fund | Income Fund | Value Fund | Value Fund | |||||||||||||
Tax Cost: | $ | 997,878,324 | $ | 995,951,931 | $ | 5,039,040,566 | $ | 1,769,400,270 | ||||||||
Gross unrealized gain | 111,577,049 | 128,400,151 | 739,693,898 | 461,050,382 | ||||||||||||
Gross unrealized loss | (7,279,707 | ) | (11,640,328 | ) | (53,173,141 | ) | (57,675,552 | ) | ||||||||
Net unrealized security gain | $ | 104,297,342 | $ | 116,759,823 | $ | 686,520,757 | $ | 403,374,830 | ||||||||
The difference between book-basis and tax-basis unrealized gains (losses) is attributable to wash sales and differences related to the tax treatment of partnership investments and return of capital distributions from underlying fund investments.
8. OTHER MATTERS |
As of February 28, 2006, Goldman, Sachs & Co. Employees Profit Sharing Master Trust was the beneficial owner of approximately 5% and 6% of the outstanding shares of the Large Cap Value and Mid Cap Value Funds, respectively.
Mergers and Reorganizations — At a meeting held on August 5, 2004, the Board of Trustees of the Trust approved an Agreement and Plan of Reorganization (“the Agreement”) providing for the tax-free acquisition of the Golden Oak Value and the Golden Oak Small Cap Value Funds into the Goldman Sachs Large Cap Value and Goldman Sachs Small Cap Value Funds, respectively. The acquisition was completed on September 28, 2004.
Notes to Financial Statements (continued)
8. OTHER MATTERS (continued) |
Goldman Sachs Small Cap Value Funds (“Survivor Funds”) Institutional Class and Class A, respectively, in a tax-free exchange as follows:
Exchanged Shares | Acquired Fund’s | |||||||||||
of Survivor | Value of | Shares Outstanding | ||||||||||
Survivor/Acquired Fund | Issued | Exchanged Shares | on September 28, 2004 | |||||||||
Goldman Sachs Large Cap Value Class A/ Golden Oak Value Class A | 504,066 | $ | 6,003,614 | 705,289 | ||||||||
Goldman Sachs Large Cap Value Institutional Class/ Golden Oak Value Institutional Class | 4,610,585 | 55,421,963 | 6,479,508 | |||||||||
Goldman Sachs Small Cap Value Class A/ Golden Oak Small Cap Value Class A | 168,713 | 6,856,556 | 715,037 | |||||||||
Goldman Sachs Small Cap Value Institutional Class/ Golden Oak Small Cap Value Institutional Class | 623,019 | 25,873,281 | 2,675,696 | |||||||||
The following chart shows the Survivor Funds’ and Acquired Funds’ aggregate net assets (immediately before and after the completion of the acquisition) and the acquired funds’ unrealized appreciation.
Survivor Fund’s | ||||||||||||||||
Survivor Fund’s | Acquired Fund’s | Aggregate Net | ||||||||||||||
Aggregate Net | Aggregate Net | Acquired Fund’s | Assets | |||||||||||||
Assets Before | Assets Before | Unrealized | Immediately | |||||||||||||
Survivor/Acquired Fund | Acquisition | Acquisition | Appreciation | After Acquisition | ||||||||||||
Goldman Sachs Large Cap Value/ Golden Oak Value | $ | 496,303,016 | $ | 61,425,577 | $ | 4,222,034 | $ | 557,728,593 | ||||||||
Goldman Sachs Small Cap Value/ Golden Oak Small Cap Value | 1,588,484,785 | 32,729,837 | 7,232,645 | 1,621,214,622 | ||||||||||||
At a meeting held on November 4, 2004, the Board of Trustees of the Trust approved an Agreement and Plan of Reorganization (“the Agreement”) providing for the tax-free acquisition of the Expedition Equity Income Fund into the Goldman Sachs Growth and Income Fund. The acquisition was completed on February 28, 2005.
Exchanged | Acquired Fund’s | |||||||||||
of Survivor | Value of | Shares Outstanding | ||||||||||
Survivor/Acquired Fund | Issued | Exchanged Shares | on February 25, 2005 | |||||||||
Goldman Sachs Growth and Income Class A/ Expedition Equity Income Class A | 11,042 | $ | 282,016 | 36,029 | ||||||||
Goldman Sachs Growth and Income Class B/ Expedition Equity Income Class B | 26,027 | 647,035 | 83,634 | |||||||||
Goldman Sachs Growth and Income Institutional Class/ Expedition Equity Income Institutional Class | 286,716 | 7,411,580 | 945,467 | |||||||||
The following chart shows the Survivor Fund’s and Acquired Fund’s aggregate net assets (immediately before and after the completion of the acquisition) and the Acquired Fund’s unrealized appreciation and capital loss carryforwards. Utilization of the Acquired Fund’s capital loss carryforward may be limited under the Internal Revenue Code.
8. OTHER MATTERS (continued) |
Survivor Fund’s | ||||||||||||||||||||
Aggregate | ||||||||||||||||||||
Survivor Fund’s | Acquired Fund’s | Net Assets | ||||||||||||||||||
Aggregate Net | Aggregate Net | Acquired Fund’s | Acquired Fund’s | Immediately | ||||||||||||||||
Assets Before | Assets Before | Unrealized | Capital Loss | After | ||||||||||||||||
Survivor/Acquired Fund | Acquisition | Acquisition | Appreciation | Carryforward | Acquisition | |||||||||||||||
Goldman Sachs Growth and Income/ Expedition Equity Income | $ | 945,115,028 | $ | 8,340,631 | $ | 1,424,882 | $ | (7,347,465 | ) | $ | 953,455,659 | |||||||||
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 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 including these 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 second 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:
Large Cap Value | ||||||||||||||||
For the Six Months Ended | For the Year Ended | |||||||||||||||
February 28, 2006 | August 31, 2005 | |||||||||||||||
Shares | Dollars | Shares | Dollars | |||||||||||||
Class A Shares | ||||||||||||||||
Shares sold | 10,463,658 | $ | 137,726,374 | 20,232,385 | $ | 258,943,402 | ||||||||||
Shares issued in connection with merger | — | — | 504,066 | 6,003,614 | ||||||||||||
Shares converted from Class B(a) | 27,646 | 359,822 | 24,029 | 310,034 | ||||||||||||
Reinvestments of dividends and distributions | 2,907,805 | 37,045,436 | 323,625 | 4,106,793 | ||||||||||||
Shares repurchased | (6,431,087 | ) | (85,114,658 | ) | (7,121,291 | ) | (91,120,228 | ) | ||||||||
6,968,022 | 90,016,974 | 13,962,814 | 178,243,615 | |||||||||||||
Class B Shares | ||||||||||||||||
Shares sold | 168,091 | 2,180,362 | 729,370 | 9,108,324 | ||||||||||||
Shares issued in connection with merger | — | — | — | — | ||||||||||||
Shares converted to Class A(a) | (28,271 | ) | (359,822 | ) | (24,532 | ) | (310,034 | ) | ||||||||
Reinvestments of dividends and distributions | 130,286 | 1,627,267 | 10,871 | 135,563 | ||||||||||||
Shares repurchased | (251,000 | ) | (3,226,133 | ) | (281,344 | ) | (3,524,308 | ) | ||||||||
19,106 | 221,674 | 434,365 | 5,409,545 | |||||||||||||
Class C Shares | ||||||||||||||||
Shares sold | 633,264 | 8,143,827 | 1,755,932 | 22,034,146 | ||||||||||||
Reinvestments of dividends and distributions | 189,928 | 2,362,710 | 11,252 | 139,970 | ||||||||||||
Shares repurchased | (271,588 | ) | (3,524,271 | ) | (162,101 | ) | (2,025,786 | ) | ||||||||
551,604 | 6,982,266 | 1,605,083 | 20,148,330 | |||||||||||||
Institutional Shares | ||||||||||||||||
Shares sold | 10,872,875 | 143,473,165 | 10,509,730 | 135,151,581 | ||||||||||||
Shares issued in connection with merger | — | — | 4,610,585 | 55,421,963 | ||||||||||||
Reinvestments of dividends and distributions | 1,579,949 | 20,286,547 | 205,576 | 2,625,219 | ||||||||||||
Shares repurchased | (2,913,646 | ) | (38,871,994 | ) | (4,875,272 | ) | (63,050,030 | ) | ||||||||
9,539,178 | 124,887,718 | 10,450,619 | 130,148,733 | |||||||||||||
Service Shares | ||||||||||||||||
Shares sold | 66,944 | 869,544 | 200,071 | 2,559,011 | ||||||||||||
Reinvestments of dividends and distributions | 11,576 | 147,133 | 95 | 1,204 | ||||||||||||
Shares repurchased | (11,057 | ) | (142,850 | ) | (22,813 | ) | (297,203 | ) | ||||||||
67,463 | 873,827 | 177,353 | 2,263,012 | |||||||||||||
NET INCREASE (DECREASE) | 17,145,373 | $ | 222,982,459 | 26,630,234 | $ | 336,213,235 | ||||||||||
(a) | Class B Shares 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. |
Growth and Income | ||||||||||||||||
For the Six Months Ended | For the Year Ended | |||||||||||||||
February 28, 2006 | August 31, 2005 | |||||||||||||||
Shares | Dollars | Shares | Dollars | |||||||||||||
2,763,337 | $ | 71,147,121 | 11,218,549 | $ | 277,092,419 | |||||||||||
— | — | 11,042 | 282,016 | |||||||||||||
287,828 | 7,401,860 | 302,000 | 7,525,820 | |||||||||||||
264,521 | 6,810,184 | 444,288 | 10,858,777 | |||||||||||||
(2,833,385 | ) | (73,272,250 | ) | (3,637,580 | ) | (89,762,636 | ) | |||||||||
482,301 | 12,086,915 | 8,338,299 | 205,996,396 | |||||||||||||
118,370 | 2,964,845 | 709,246 | 17,038,996 | |||||||||||||
— | — | 26,027 | 647,035 | |||||||||||||
(295,685 | ) | (7,401,860 | ) | (310,397 | ) | (7,525,820 | ) | |||||||||
11,989 | 300,747 | 27,307 | 647,810 | |||||||||||||
(594,219 | ) | (14,900,870 | ) | (924,545 | ) | (22,263,938 | ) | |||||||||
(759,545 | ) | (19,037,138 | ) | (472,362 | ) | (11,455,917 | ) | |||||||||
82,222 | 2,062,410 | 232,581 | 5,594,367 | |||||||||||||
2,345 | 58,656 | 4,074 | 96,674 | |||||||||||||
(90,853 | ) | (2,278,877 | ) | (132,553 | ) | (3,194,373 | ) | |||||||||
(6,286 | ) | (157,811 | ) | 104,102 | 2,496,668 | |||||||||||
110,821 | 2,831,345 | 321,372 | 8,052,481 | |||||||||||||
— | — | 286,716 | 7,411,580 | |||||||||||||
2,397 | 62,411 | 4,775 | 118,497 | |||||||||||||
(195,828 | ) | (5,118,861 | ) | (70,523 | ) | (1,755,275 | ) | |||||||||
(82,610 | ) | (2,225,105 | ) | 542,340 | 13,827,283 | |||||||||||
3,014 | 79,149 | 4,972 | 121,818 | |||||||||||||
231 | 5,948 | 545 | 13,285 | |||||||||||||
(11,314 | ) | (284,735 | ) | (15,764 | ) | (391,867 | ) | |||||||||
(8,069 | ) | (199,638 | ) | (10,247 | ) | (256,764 | ) | |||||||||
(374,209 | ) | $ | (9,532,777 | ) | 8,502,132 | $ | 210,607,666 | |||||||||
Notes to Financial Statements (continued)
9. SUMMARY OF SHARE TRANSACTIONS (continued) |
Share activity is as follows:
Mid Cap Value | ||||||||||||||||
For the Six Months Ended | For the Year Ended | |||||||||||||||
February 28, 2006 | August 31, 2005 | |||||||||||||||
Shares | Dollars | Shares | Dollars | |||||||||||||
Class A Shares | ||||||||||||||||
Shares sold | 20,313,544 | $ | 734,707,774 | 52,847,603 | $ | 1,793,159,144 | ||||||||||
Shares issued in connection with merger | — | — | — | — | ||||||||||||
Shares converted from Class B(a) | 116,492 | 4,164,869 | 53,927 | 1,820,499 | ||||||||||||
Reinvestments of dividends and distributions | 5,283,855 | 184,618,041 | 2,623,925 | 84,779,024 | ||||||||||||
Shares repurchased | (9,797,161 | ) | (353,598,248 | ) | (11,604,909 | ) | (396,640,773 | ) | ||||||||
15,916,730 | 569,892,436 | 43,920,546 | 1,483,117,894 | |||||||||||||
Class B Shares | ||||||||||||||||
Shares sold | 185,250 | 6,494,035 | 2,091,588 | 68,393,484 | ||||||||||||
Shares converted to Class A(a) | (119,507 | ) | (4,164,869 | ) | (55,102 | ) | (1,820,499 | ) | ||||||||
Reinvestments of dividends and distributions | 394,639 | 13,445,347 | 344,970 | 10,928,664 | ||||||||||||
Shares repurchased | (493,015 | ) | (17,327,223 | ) | (776,811 | ) | (25,863,761 | ) | ||||||||
(32,633 | ) | (1,552,710 | ) | 1,604,645 | 51,637,888 | |||||||||||
Class C Shares | ||||||||||||||||
Shares sold | 886,822 | 30,902,471 | 7,459,399 | 244,851,759 | ||||||||||||
Reinvestments of dividends and distributions | 515,535 | 17,461,230 | 254,402 | 8,016,205 | ||||||||||||
Shares repurchased | (691,517 | ) | (24,195,782 | ) | (817,201 | ) | (27,404,360 | ) | ||||||||
710,840 | 24,167,919 | 6,896,600 | 225,463,604 | |||||||||||||
Institutional Shares | ||||||||||||||||
Shares sold | 11,437,449 | 416,611,610 | 18,323,540 | 627,237,233 | ||||||||||||
Shares issued in connection with merger | — | — | — | — | ||||||||||||
Reinvestments of dividends and distributions | 2,362,543 | 83,067,008 | 1,246,311 | 40,467,725 | ||||||||||||
Shares repurchased | (2,779,751 | ) | (101,418,788 | ) | (3,188,852 | ) | (109,798,492 | ) | ||||||||
11,020,241 | 398,259,830 | 16,380,999 | 557,906,466 | |||||||||||||
Service Shares | ||||||||||||||||
Shares sold | 1,621,566 | 58,280,629 | 1,906,377 | 65,490,892 | ||||||||||||
Reinvestments of dividends and distributions | 149,304 | 5,180,845 | 37,890 | 1,218,156 | ||||||||||||
Shares repurchased | (382,280 | ) | (13,668,924 | ) | (239,765 | ) | (8,174,470 | ) | ||||||||
1,388,590 | 49,792,550 | 1,704,502 | 58,534,578 | |||||||||||||
NET INCREASE (DECREASE) | 29,003,768 | $ | 1,040,560,025 | 70,507,292 | $ | 2,376,660,430 | ||||||||||
(a) | Class B Shares 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. |
Small Cap Value | ||||||||||||||||
For the Six Months Ended | For the Year Ended | |||||||||||||||
February 28, 2006 | August 31, 2005 | |||||||||||||||
Shares | Dollars | Shares | Dollars | |||||||||||||
2,893,860 | $ | 122,876,624 | 7,878,912 | $ | 326,096,886 | |||||||||||
— | — | 168,713 | 6,856,556 | |||||||||||||
91,535 | 3,823,757 | 63,190 | 2,583,337 | |||||||||||||
1,739,168 | 71,531,986 | 1,425,983 | 58,836,071 | |||||||||||||
(4,906,683 | ) | (207,967,725 | ) | (8,108,006 | ) | (334,596,469 | ) | |||||||||
(182,120 | ) | (9,735,358 | ) | 1,428,792 | 59,776,381 | |||||||||||
24,631 | 960,793 | 74,259 | 2,905,391 | |||||||||||||
(99,016 | ) | (3,823,757 | ) | (67,862 | ) | (2,583,337 | ) | |||||||||
190,890 | 7,228,989 | 185,044 | 7,126,040 | |||||||||||||
(326,178 | ) | (12,785,065 | ) | (603,785 | ) | (23,156,746 | ) | |||||||||
(209,673 | ) | (8,419,040 | ) | (412,344 | ) | (15,708,652 | ) | |||||||||
107,750 | 4,180,040 | 301,803 | 11,673,874 | |||||||||||||
213,286 | 8,070,758 | 200,068 | 7,698,671 | |||||||||||||
(499,872 | ) | (19,648,492 | ) | (716,344 | ) | (27,464,729 | ) | |||||||||
(178,836 | ) | (7,397,694 | ) | (214,473 | ) | (8,092,184 | ) | |||||||||
2,382,800 | 104,334,682 | 8,456,068 | 358,127,438 | |||||||||||||
— | — | 623,019 | 25,873,281 | |||||||||||||
927,827 | 39,330,586 | 539,413 | 22,795,589 | |||||||||||||
(3,098,252 | ) | (136,154,874 | ) | (3,112,224 | ) | (132,894,806 | ) | |||||||||
212,375 | 7,510,394 | 6,506,276 | 273,901,502 | |||||||||||||
231,237 | 9,738,998 | 408,644 | 16,809,737 | |||||||||||||
61,912 | 2,514,879 | 32,367 | 1,321,222 | |||||||||||||
(104,252 | ) | (4,382,218 | ) | (186,261 | ) | (7,606,867 | ) | |||||||||
188,897 | 7,871,659 | 254,750 | 10,524,092 | |||||||||||||
(169,357 | ) | $ | (10,170,039 | ) | 7,563,001 | $ | 320,401,139 | |||||||||
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 | $ | 13.40 | $ | 0.06 | $ | 0.71 | $ | 0.77 | $ | (0.09 | ) | $ | (0.99 | ) | $ | (1.08 | ) | |||||||||||||||
2006 - B | 13.09 | 0.01 | 0.70 | 0.71 | — | (0.99 | ) | (0.99 | ) | |||||||||||||||||||||||
2006 - C | 13.06 | 0.01 | 0.69 | 0.70 | (0.01 | ) | (0.99 | ) | (1.00 | ) | ||||||||||||||||||||||
2006 - Institutional | 13.52 | 0.09 | 0.72 | 0.81 | (0.14 | ) | (0.99 | ) | (1.13 | ) | ||||||||||||||||||||||
2006 - Service | 13.37 | 0.06 | 0.71 | 0.77 | (0.09 | ) | (0.99 | ) | (1.08 | ) | ||||||||||||||||||||||
FOR THE YEARS ENDED AUGUST 31, | ||||||||||||||||||||||||||||||||
2005 - A | 11.80 | 0.13 | (d) | 1.65 | 1.78 | (0.09 | ) | (0.09 | ) | (0.18 | ) | |||||||||||||||||||||
2005 - B | 11.54 | 0.04 | (d) | 1.61 | 1.65 | (0.01 | ) | (0.09 | ) | (0.10 | ) | |||||||||||||||||||||
2005 - C | 11.53 | 0.03 | (d) | 1.61 | 1.64 | (0.02 | ) | (0.09 | ) | (0.11 | ) | |||||||||||||||||||||
2005 - Institutional | 11.90 | 0.19 | (d) | 1.66 | 1.85 | (0.14 | ) | (0.09 | ) | (0.23 | ) | |||||||||||||||||||||
2005 - Service | 11.80 | 0.12 | (d) | 1.65 | 1.77 | (0.11 | ) | (0.09 | ) | (0.20 | ) | |||||||||||||||||||||
2004 - A | 9.86 | 0.08 | 1.95 | 2.03 | (0.09 | ) | — | (0.09 | ) | |||||||||||||||||||||||
2004 - B | 9.66 | — | (e) | 1.91 | 1.91 | (0.03 | ) | — | (0.03 | ) | ||||||||||||||||||||||
2004 - C | 9.67 | — | (e) | 1.90 | 1.90 | (0.04 | ) | — | (0.04 | ) | ||||||||||||||||||||||
2004 - Institutional | 9.95 | 0.12 | 1.96 | 2.08 | (0.13 | ) | — | (0.13 | ) | |||||||||||||||||||||||
2004 - Service | 9.91 | 0.06 | 1.96 | 2.02 | (0.13 | ) | — | (0.13 | ) | |||||||||||||||||||||||
2003 - A | 9.24 | 0.08 | 0.63 | 0.71 | (0.09 | ) | — | (0.09 | ) | |||||||||||||||||||||||
2003 - B | 9.11 | 0.01 | 0.61 | 0.62 | (0.07 | ) | — | (0.07 | ) | |||||||||||||||||||||||
2003 - C | 9.11 | 0.01 | 0.62 | 0.63 | (0.07 | ) | — | (0.07 | ) | |||||||||||||||||||||||
2003 - Institutional | 9.29 | 0.12 | 0.64 | 0.76 | (0.10 | ) | — | (0.10 | ) | |||||||||||||||||||||||
2003 - Service | 9.29 | 0.08 | 0.63 | 0.71 | (0.09 | ) | — | (0.09 | ) | |||||||||||||||||||||||
2002 - A | 10.21 | 0.08 | (1.01 | ) | (0.93 | ) | (0.04 | ) | — | (0.04 | ) | |||||||||||||||||||||
2002 - B | 10.10 | — | (e) | (0.99 | ) | (0.99 | ) | — | — | — | ||||||||||||||||||||||
2002 - C | 10.10 | — | (e) | (0.99 | ) | (0.99 | ) | — | — | — | ||||||||||||||||||||||
2002 - Institutional | 10.24 | 0.12 | (1.01 | ) | (0.89 | ) | (0.06 | ) | — | (0.06 | ) | |||||||||||||||||||||
2002 - Service | 10.23 | 0.08 | (1.00 | ) | (0.92 | ) | (0.02 | ) | — | (0.02 | ) | |||||||||||||||||||||
2001 - A | 10.39 | 0.08 | (0.20 | ) | (0.12 | ) | (0.06 | ) | — | (0.06 | ) | |||||||||||||||||||||
2001 - B | 10.33 | (0.01 | ) | (0.19 | ) | (0.20 | ) | (0.03 | ) | — | (0.03 | ) | ||||||||||||||||||||
2001 - C | 10.32 | (0.01 | ) | (0.19 | ) | (0.20 | ) | (0.02 | ) | — | (0.02 | ) | ||||||||||||||||||||
2001 - Institutional | 10.40 | 0.12 | (0.20 | ) | (0.08 | ) | (0.08 | ) | — | (0.08 | ) | |||||||||||||||||||||
2001 - Service | 10.38 | 0.08 | (0.20 | ) | (0.12 | ) | (0.03 | ) | — | (0.03 | ) | |||||||||||||||||||||
(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) | Annualized. |
(d) | Reflects income recognized from a special dividend which amounted to $0.03 per share and 0.21% of average net assets. |
(e) | Less than $0.005 per share. |
52
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 | |||||||||||||||||||||||||||
$ | 13.09 | 5.93 | % | $ | 597,841 | 1.24 | %(c) | 0.92 | %(c) | 1.24 | %(c) | 0.92 | %(c) | 34 | % | |||||||||||||||||||
12.81 | 5.59 | 24,747 | 1.99 | (c) | 0.16 | (c) | 1.99 | (c) | 0.16 | (c) | 34 | |||||||||||||||||||||||
12.76 | 5.56 | 43,692 | 1.99 | (c) | 0.17 | (c) | 1.99 | (c) | 0.17 | (c) | 34 | |||||||||||||||||||||||
13.20 | 6.16 | 439,623 | 0.84 | (c) | 1.33 | (c) | 0.84 | (c) | 1.33 | (c) | 34 | |||||||||||||||||||||||
13.06 | 5.96 | 3,344 | 1.34 | (c) | 0.83 | (c) | 1.34 | (c) | 0.83 | (c) | 34 | |||||||||||||||||||||||
13.40 | 15.16 | 518,376 | 1.25 | 1.03 | (d) | 1.26 | 1.02 | (d) | 70 | |||||||||||||||||||||||||
13.09 | 14.35 | 25,040 | 2.00 | 0.29 | (d) | 2.01 | 0.28 | (d) | 70 | |||||||||||||||||||||||||
13.06 | 14.28 | 37,503 | 2.00 | 0.25 | (d) | 2.01 | 0.24 | (d) | 70 | |||||||||||||||||||||||||
13.52 | 15.61 | 321,210 | 0.85 | 1.45 | (d) | 0.86 | 1.44 | (d) | 70 | |||||||||||||||||||||||||
13.37 | 15.08 | 2,523 | 1.35 | 0.87 | (d) | 1.36 | 0.86 | (d) | 70 | |||||||||||||||||||||||||
11.80 | 20.71 | 291,795 | 1.25 | 0.68 | 1.28 | 0.65 | 72 | |||||||||||||||||||||||||||
11.54 | 19.76 | 17,069 | 2.00 | (0.07 | ) | 2.03 | (0.10 | ) | 72 | |||||||||||||||||||||||||
11.53 | 19.74 | 14,601 | 2.00 | (0.07 | ) | 2.03 | (0.10 | ) | 72 | |||||||||||||||||||||||||
11.90 | 21.07 | 158,316 | 0.85 | 1.07 | 0.88 | 1.04 | 72 | |||||||||||||||||||||||||||
11.80 | 20.51 | 134 | 1.35 | 0.48 | 1.38 | 0.45 | 72 | |||||||||||||||||||||||||||
9.86 | 7.77 | 224,605 | 1.26 | 0.91 | 1.30 | 0.87 | 78 | |||||||||||||||||||||||||||
9.66 | 6.92 | 13,740 | 2.01 | 0.16 | 2.05 | 0.12 | 78 | |||||||||||||||||||||||||||
9.67 | 7.03 | 10,417 | 2.01 | 0.15 | 2.05 | 0.11 | 78 | |||||||||||||||||||||||||||
9.95 | 8.27 | 96,895 | 0.86 | 1.31 | 0.90 | 1.27 | 78 | |||||||||||||||||||||||||||
9.91 | 7.74 | 2 | 1.36 | 0.82 | 1.40 | 0.78 | 78 | |||||||||||||||||||||||||||
9.24 | (9.12 | ) | 232,501 | 1.26 | 0.80 | 1.32 | 0.74 | 91 | ||||||||||||||||||||||||||
9.11 | (9.80 | ) | 11,772 | 2.01 | 0.04 | 2.07 | (0.02 | ) | 91 | |||||||||||||||||||||||||
9.11 | (9.80 | ) | 4,420 | 2.01 | 0.05 | 2.07 | (0.01 | ) | 91 | |||||||||||||||||||||||||
9.29 | (8.73 | ) | 78,146 | 0.86 | 1.19 | 0.92 | 1.13 | 91 | ||||||||||||||||||||||||||
9.29 | (9.03 | ) | 1 | 1.36 | 0.84 | 1.42 | 0.78 | 91 | ||||||||||||||||||||||||||
10.21 | (1.21 | ) | 123,013 | 1.25 | 0.73 | 1.83 | 0.15 | 69 | ||||||||||||||||||||||||||
10.10 | (1.98 | ) | 8,830 | 2.00 | (0.06 | ) | 2.58 | (0.64 | ) | 69 | ||||||||||||||||||||||||
10.10 | (1.96 | ) | 3,636 | 2.00 | (0.05 | ) | 2.58 | (0.63 | ) | 69 | ||||||||||||||||||||||||
10.24 | (0.81 | ) | 50,740 | 0.85 | 1.09 | 1.43 | 0.51 | 69 | ||||||||||||||||||||||||||
10.23 | (1.17 | ) | 2 | 1.35 | 0.80 | 1.93 | 0.22 | 69 | ||||||||||||||||||||||||||
Financial Highlights
Income (loss) from | Distributions | |||||||||||||||||||||||
investment operations | to 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 | $ | 25.55 | $ | 0.22 | $ | 1.18 | $ | 1.40 | $ | (0.19 | ) | |||||||||||||
2006 - B | 24.86 | 0.11 | 1.16 | 1.27 | (0.09 | ) | ||||||||||||||||||
2006 - C | 24.78 | 0.12 | 1.16 | 1.28 | (0.10 | ) | ||||||||||||||||||
2006 - Institutional | 25.86 | 0.27 | 1.20 | 1.47 | (0.24 | ) | ||||||||||||||||||
2006 - Service | 25.54 | 0.19 | 1.20 | 1.39 | (0.17 | ) | ||||||||||||||||||
FOR THE YEARS ENDED AUGUST 31, | ||||||||||||||||||||||||
2005 - A | 22.88 | 0.41 | (d) | 2.61 | (e) | 3.02 | (0.35 | ) | ||||||||||||||||
2005 - B | 22.27 | 0.22 | (d) | 2.54 | (e) | 2.76 | (0.17 | ) | ||||||||||||||||
2005 - C | 22.21 | 0.22 | (d) | 2.53 | (e) | 2.75 | (0.18 | ) | ||||||||||||||||
2005 - Institutional | 23.15 | 0.52 | (d) | 2.63 | (e) | 3.15 | (0.44 | ) | ||||||||||||||||
2005 - Service | 22.87 | 0.38 | (d) | 2.61 | (e) | 2.99 | (0.32 | ) | ||||||||||||||||
2004 - A | 19.22 | 0.22 | 3.67 | 3.89 | (0.23 | ) | ||||||||||||||||||
2004 - B | 18.72 | 0.05 | 3.58 | 3.63 | (0.08 | ) | ||||||||||||||||||
2004 - C | 18.67 | 0.05 | 3.57 | 3.62 | (0.08 | ) | ||||||||||||||||||
2004 - Institutional | 19.44 | 0.31 | 3.72 | 4.03 | (0.32 | ) | ||||||||||||||||||
2004 - Service | 19.19 | 0.19 | 3.68 | 3.87 | (0.19 | ) | ||||||||||||||||||
2003 - A | 18.01 | 0.25 | 1.21 | 1.46 | (0.25 | ) | ||||||||||||||||||
2003 - B | 17.55 | 0.12 | 1.17 | 1.29 | (0.12 | ) | ||||||||||||||||||
2003 - C | 17.51 | 0.12 | 1.16 | 1.28 | (0.12 | ) | ||||||||||||||||||
2003 - Institutional | 18.22 | 0.33 | 1.21 | 1.54 | (0.32 | ) | ||||||||||||||||||
2003 - Service | 17.98 | 0.23 | 1.21 | 1.44 | (0.23 | ) | ||||||||||||||||||
2002 - A | 19.66 | 0.18 | (1.69 | ) | (1.51 | ) | (0.14 | ) | ||||||||||||||||
2002 - B | 19.23 | 0.04 | (1.65 | ) | (1.61 | ) | (0.07 | ) | ||||||||||||||||
2002 - C | 19.19 | 0.04 | (1.65 | ) | (1.61 | ) | (0.07 | ) | ||||||||||||||||
2002 - Institutional | 19.84 | 0.22 | (1.66 | ) | (1.44 | ) | (0.18 | ) | ||||||||||||||||
2002 - Service | 19.63 | 0.16 | (1.68 | ) | (1.52 | ) | (0.13 | ) | ||||||||||||||||
2001 - A | 24.78 | 0.01 | (5.13 | ) | (5.12 | ) | — | |||||||||||||||||
2001 - B | 24.42 | (0.15 | ) | (5.04 | ) | (5.19 | ) | — | ||||||||||||||||
2001 - C | 24.37 | (0.15 | ) | (5.03 | ) | (5.18 | ) | — | ||||||||||||||||
2001 - Institutional | 24.91 | 0.11 | (5.18 | ) | (5.07 | ) | — | |||||||||||||||||
2001 - Service | 24.77 | (0.01 | ) | (5.13 | ) | (5.14 | ) | — | ||||||||||||||||
(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) | Annualized. |
(d) | Reflects income recognized from a special dividend which amounted to $0.05 per share and 0.20% of average net assets. |
(e) | Reflects an increase of $0.02 due to payments by affiliates during the period to reimburse certain security claims. |
(f) | Performance has not been restated to reflect the impact of security claims recorded during the period. If restated, the performance would have been 13.33%, 12.45%, 12.45%, 13.78% and 13.20% for Class A, Class B, Class C, Institutional and Service Shares, respectively. |
54
Ratios assuming no | ||||||||||||||||||||||||||||||||||
expense reductions | ||||||||||||||||||||||||||||||||||
Ratio of | Ratio of | Ratio of | ||||||||||||||||||||||||||||||||
Net assets, | Ratio of | net investment | total | net investment | ||||||||||||||||||||||||||||||
Net asset | end of | net expenses | income (loss) | expenses | income (loss) | Portfolio | ||||||||||||||||||||||||||||
value, end | Total | period | to average | to average | to average | to average | turnover | |||||||||||||||||||||||||||
of period | return(b) | (in 000s) | net assets | net assets | net assets | net assets | rate | |||||||||||||||||||||||||||
$ | 26.76 | 5.51 | % | $ | 981,418 | 1.19 | %(c) | 1.69 | %(c) | 1.19 | %(c) | 1.69 | %(c) | 27 | % | |||||||||||||||||||
26.04 | 5.14 | 77,084 | 1.94 | (c) | 0.91 | (c) | 1.94 | (c) | 0.91 | (c) | 27 | |||||||||||||||||||||||
25.96 | 5.13 | 16,751 | 1.94 | (c) | 0.93 | (c) | 1.94 | (c) | 0.93 | (c) | 27 | |||||||||||||||||||||||
27.09 | 5.73 | 17,906 | 0.79 | (c) | 2.08 | (c) | 0.79 | (c) | 2.08 | (c) | 27 | |||||||||||||||||||||||
26.76 | 5.48 | 919 | 1.29 | (c) | 1.52 | (c) | 1.29 | (c) | 1.52 | (c) | 27 | |||||||||||||||||||||||
25.55 | 13.37 | (f) | 924,479 | 1.19 | 1.65 | (d) | 1.21 | 1.63 | (d) | 45 | ||||||||||||||||||||||||
24.86 | 12.50 | (f) | 92,469 | 1.94 | 0.91 | (d) | 1.96 | 0.89 | (d) | 45 | ||||||||||||||||||||||||
24.78 | 12.49 | (f) | 16,149 | 1.94 | 0.89 | (d) | 1.96 | 0.87 | (d) | 45 | ||||||||||||||||||||||||
25.86 | 13.83 | (f) | 19,226 | 0.79 | 1.94 | (d) | 0.81 | 1.92 | (d) | 45 | ||||||||||||||||||||||||
25.54 | 13.24 | (f) | 1,083 | 1.29 | 1.57 | (d) | 1.31 | 1.55 | (d) | 45 | ||||||||||||||||||||||||
22.88 | 20.27 | 637,130 | 1.19 | 1.02 | 1.21 | 1.00 | 54 | |||||||||||||||||||||||||||
22.27 | 19.38 | 93,367 | 1.94 | 0.27 | 1.96 | 0.25 | 54 | |||||||||||||||||||||||||||
22.21 | 19.40 | 12,159 | 1.94 | 0.27 | 1.96 | 0.25 | 54 | |||||||||||||||||||||||||||
23.15 | 20.75 | 4,659 | 0.79 | 1.43 | 0.81 | 1.41 | 54 | |||||||||||||||||||||||||||
22.87 | 20.14 | 1,204 | 1.29 | 0.94 | 1.31 | 0.92 | 54 | |||||||||||||||||||||||||||
19.22 | 8.25 | 401,439 | 1.20 | 1.42 | 1.24 | 1.38 | 55 | |||||||||||||||||||||||||||
18.72 | 7.43 | 81,765 | 1.95 | 0.68 | 1.99 | 0.64 | 55 | |||||||||||||||||||||||||||
18.67 | 7.39 | 9,661 | 1.95 | 0.68 | 1.99 | 0.64 | 55 | |||||||||||||||||||||||||||
19.44 | 8.63 | 3,615 | 0.80 | 1.83 | 0.84 | 1.79 | 55 | |||||||||||||||||||||||||||
19.19 | 8.14 | 2,191 | 1.30 | 1.33 | 1.34 | 1.29 | 55 | |||||||||||||||||||||||||||
18.01 | (7.74 | ) | 291,151 | 1.20 | 0.95 | 1.22 | 0.93 | 89 | ||||||||||||||||||||||||||
17.55 | (8.42 | ) | 76,772 | 1.95 | 0.19 | 1.97 | 0.17 | 89 | ||||||||||||||||||||||||||
17.51 | (8.42 | ) | 9,336 | 1.95 | 0.21 | 1.97 | 0.19 | 89 | ||||||||||||||||||||||||||
18.22 | (7.36 | ) | 4,539 | 0.80 | 1.12 | 0.82 | 1.10 | 89 | ||||||||||||||||||||||||||
17.98 | (7.80 | ) | 3,819 | 1.30 | 0.83 | 1.32 | 0.81 | 89 | ||||||||||||||||||||||||||
19.66 | (20.66 | ) | 355,205 | 1.19 | 0.07 | 1.21 | 0.05 | 40 | ||||||||||||||||||||||||||
19.23 | (21.25 | ) | 98,747 | 1.94 | (0.68 | ) | 1.96 | (0.70 | ) | 40 | ||||||||||||||||||||||||
19.19 | (21.22 | ) | 10,360 | 1.94 | (0.68 | ) | 1.96 | (0.70 | ) | 40 | ||||||||||||||||||||||||
19.84 | (20.32 | ) | 28,201 | 0.79 | 0.49 | 0.81 | 0.47 | 40 | ||||||||||||||||||||||||||
19.63 | (20.75 | ) | 5,581 | 1.29 | (0.03 | ) | 1.31 | (0.05 | ) | 40 | ||||||||||||||||||||||||
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 | operations | income | gains | distributions | |||||||||||||||||||||||||
FOR THE SIX MONTHS ENDED FEBRUARY 28, (Unaudited) | ||||||||||||||||||||||||||||||||
2006 - A | $ | 36.88 | $ | 0.10 | $ | 1.85 | $ | 1.95 | $ | (0.13 | ) | $ | (2.39 | ) | $ | (2.52 | ) | |||||||||||||||
2006 - B | 35.96 | (0.03 | ) | 1.80 | 1.77 | — | (2.39 | ) | (2.39 | ) | ||||||||||||||||||||||
2006 - C | 35.76 | (0.03 | ) | 1.80 | 1.77 | — | (2.39 | ) | (2.39 | ) | ||||||||||||||||||||||
2006 - Institutional | 37.17 | 0.17 | 1.87 | 2.04 | (0.25 | ) | (2.39 | ) | (2.64 | ) | ||||||||||||||||||||||
2006 - Service | 36.67 | 0.08 | 1.84 | 1.92 | (0.15 | ) | (2.39 | ) | (2.54 | ) | ||||||||||||||||||||||
FOR THE YEARS ENDED AUGUST 31, | ||||||||||||||||||||||||||||||||
2005 - A | 30.82 | 0.15 | 8.36 | 8.51 | (0.10 | ) | (2.35 | ) | (2.45 | ) | ||||||||||||||||||||||
2005 - B | 30.23 | (0.11 | ) | 8.19 | 8.08 | — | (2.35 | ) | (2.35 | ) | ||||||||||||||||||||||
2005 - C | 30.08 | (0.11 | ) | 8.14 | 8.03 | — | (2.35 | ) | (2.35 | ) | ||||||||||||||||||||||
2005 - Institutional | 31.01 | 0.29 | 8.41 | 8.70 | (0.19 | ) | (2.35 | ) | (2.54 | ) | ||||||||||||||||||||||
2005 - Service | 30.68 | 0.12 | 8.31 | 8.43 | (0.09 | ) | (2.35 | ) | (2.44 | ) | ||||||||||||||||||||||
2004 - A | 25.37 | 0.11 | 5.51 | 5.62 | (0.17 | ) | — | (0.17 | ) | |||||||||||||||||||||||
2004 - B | 24.92 | (0.11 | ) | 5.42 | 5.31 | — | — | — | ||||||||||||||||||||||||
2004 - C | 24.81 | (0.11 | ) | 5.40 | 5.29 | (0.02 | ) | — | (0.02 | ) | ||||||||||||||||||||||
2004 - Institutional | 25.49 | 0.23 | 5.53 | 5.76 | (0.24 | ) | — | (0.24 | ) | |||||||||||||||||||||||
2004 - Service | 25.26 | 0.09 | 5.51 | 5.60 | (0.18 | ) | — | (0.18 | ) | |||||||||||||||||||||||
2003 - A | 24.17 | 0.19 | 1.65 | 1.84 | (0.14 | ) | (0.50 | ) | (0.64 | ) | ||||||||||||||||||||||
2003 - B | 23.80 | 0.02 | 1.62 | 1.64 | (0.02 | ) | (0.50 | ) | (0.52 | ) | ||||||||||||||||||||||
2003 - C | 23.73 | 0.02 | 1.60 | 1.62 | (0.04 | ) | (0.50 | ) | (0.54 | ) | ||||||||||||||||||||||
2003 - Institutional | 24.24 | 0.29 | 1.66 | 1.95 | (0.20 | ) | (0.50 | ) | (0.70 | ) | ||||||||||||||||||||||
2003 - Service | 24.12 | 0.17 | 1.65 | 1.82 | (0.18 | ) | (0.50 | ) | (0.68 | ) | ||||||||||||||||||||||
2002 - A | 24.34 | 0.18 | 0.45 | 0.63 | (0.18 | ) | (0.62 | ) | (0.80 | ) | ||||||||||||||||||||||
2002 - B | 24.01 | (0.01 | ) | 0.45 | 0.44 | (0.03 | ) | (0.62 | ) | (0.65 | ) | |||||||||||||||||||||
2002 - C | 23.98 | (0.01 | ) | 0.45 | 0.44 | (0.07 | ) | (0.62 | ) | (0.69 | ) | |||||||||||||||||||||
2002 - Institutional | 24.35 | 0.27 | 0.45 | 0.72 | (0.21 | ) | (0.62 | ) | (0.83 | ) | ||||||||||||||||||||||
2002 - Service | 24.14 | 0.16 | 0.44 | 0.60 | — | (0.62 | ) | (0.62 | ) | |||||||||||||||||||||||
2001 - A | 19.88 | 0.24 | 4.37 | 4.61 | (0.15 | ) | — | (0.15 | ) | |||||||||||||||||||||||
2001 - B | 19.69 | 0.06 | 4.33 | 4.39 | (0.07 | ) | — | (0.07 | ) | |||||||||||||||||||||||
2001 - C | 19.67 | 0.06 | 4.33 | 4.39 | (0.08 | ) | — | (0.08 | ) | |||||||||||||||||||||||
2001 - Institutional | 19.86 | 0.33 | 4.36 | 4.69 | (0.20 | ) | — | (0.20 | ) | |||||||||||||||||||||||
2001 - Service | 19.73 | 0.21 | 4.34 | 4.55 | (0.14 | ) | — | (0.14 | ) | |||||||||||||||||||||||
(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) | Annualized. |
56
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 | |||||||||||||||||||||||||||
$ | 36.31 | 5.60 | % | $ | 3,250,412 | 1.17 | %(c) | 0.54 | %(c) | 1.20 | %(c) | 0.51 | %(c) | 23 | % | |||||||||||||||||||
35.34 | 5.18 | 229,213 | 1.92 | (c) | (0.19 | )(c) | 1.95 | (c) | (0.22 | )(c) | 23 | |||||||||||||||||||||||
35.14 | 5.21 | 379,431 | 1.92 | (c) | (0.20 | )(c) | 1.95 | (c) | (0.23 | )(c) | 23 | |||||||||||||||||||||||
36.57 | 5.81 | 1,635,772 | 0.77 | (c) | 0.94 | (c) | 0.80 | (c) | 0.91 | (c) | 23 | |||||||||||||||||||||||
36.05 | 5.53 | 127,957 | 1.27 | (c) | 0.43 | (c) | 1.30 | (c) | 0.40 | (c) | 23 | |||||||||||||||||||||||
36.88 | 28.68 | 2,714,610 | 1.22 | 0.43 | 1.23 | 0.42 | 58 | |||||||||||||||||||||||||||
35.96 | 27.76 | 234,405 | 1.97 | (0.34 | ) | 1.98 | (0.35 | ) | 58 | |||||||||||||||||||||||||
35.76 | 27.73 | 360,806 | 1.97 | (0.31 | ) | 1.98 | (0.32 | ) | 58 | |||||||||||||||||||||||||
37.17 | 29.20 | 1,253,069 | 0.82 | 0.82 | 0.83 | 0.81 | 58 | |||||||||||||||||||||||||||
36.67 | 28.55 | 79,224 | 1.32 | 0.35 | 1.33 | 0.34 | 58 | |||||||||||||||||||||||||||
30.82 | 22.24 | 915,091 | 1.24 | 0.37 | 1.24 | 0.37 | 71 | |||||||||||||||||||||||||||
30.23 | 21.31 | 148,555 | 1.99 | (0.38 | ) | 1.99 | (0.38 | ) | 71 | |||||||||||||||||||||||||
30.08 | 21.35 | 96,007 | 1.99 | (0.37 | ) | 1.99 | (0.37 | ) | 71 | |||||||||||||||||||||||||
31.01 | 22.71 | 537,533 | 0.84 | 0.78 | 0.84 | 0.78 | 71 | |||||||||||||||||||||||||||
30.68 | 22.27 | 13,997 | 1.34 | 0.30 | 1.34 | 0.30 | 71 | |||||||||||||||||||||||||||
25.37 | 7.88 | 504,693 | 1.25 | 0.83 | 1.25 | 0.83 | 80 | |||||||||||||||||||||||||||
24.92 | 7.09 | 110,569 | 2.00 | 0.09 | 2.00 | 0.09 | 80 | |||||||||||||||||||||||||||
24.81 | 7.07 | 53,835 | 2.00 | 0.09 | 2.00 | 0.09 | 80 | |||||||||||||||||||||||||||
25.49 | 8.34 | 330,827 | 0.85 | 1.24 | 0.85 | 1.24 | 80 | |||||||||||||||||||||||||||
25.26 | 7.83 | 3,008 | 1.35 | 0.72 | 1.35 | 0.72 | 80 | |||||||||||||||||||||||||||
24.17 | 2.67 | 342,976 | 1.27 | 0.72 | 1.27 | 0.72 | 92 | |||||||||||||||||||||||||||
23.80 | 1.90 | 89,434 | 2.02 | (0.04 | ) | 2.02 | (0.04 | ) | 92 | |||||||||||||||||||||||||
23.73 | 1.87 | 39,498 | 2.02 | (0.03 | ) | 2.02 | (0.03 | ) | 92 | |||||||||||||||||||||||||
24.24 | 3.05 | 318,916 | 0.87 | 1.11 | 0.87 | 1.11 | 92 | |||||||||||||||||||||||||||
24.12 | 2.55 | 921 | 1.37 | 0.63 | 1.37 | 0.63 | 92 | |||||||||||||||||||||||||||
24.34 | 23.29 | 96,568 | 1.29 | 1.05 | 1.32 | 1.02 | 101 | |||||||||||||||||||||||||||
24.01 | 22.33 | 42,813 | 2.04 | 0.28 | 2.07 | 0.25 | 101 | |||||||||||||||||||||||||||
23.98 | 22.37 | 16,094 | 2.04 | 0.28 | 2.07 | 0.25 | 101 | |||||||||||||||||||||||||||
24.35 | 23.75 | 247,212 | 0.89 | 1.43 | 0.92 | 1.40 | 101 | |||||||||||||||||||||||||||
24.14 | 23.17 | 256 | 1.39 | 0.94 | 1.42 | 0.91 | 101 | |||||||||||||||||||||||||||
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 | $ | 43.07 | $ | 0.03 | $ | 3.72 | $ | 3.75 | $ | — | $ | (3.23 | ) | $ | (3.23 | ) | ||||||||||||||||
2006 - B | 39.98 | (0.12 | ) | 3.43 | 3.31 | — | (3.23 | ) | (3.23 | ) | ||||||||||||||||||||||
2006 - C | 39.95 | (0.12 | ) | 3.43 | 3.31 | — | (3.23 | ) | (3.23 | ) | ||||||||||||||||||||||
2006 - Institutional | 44.24 | 0.11 | 3.84 | 3.95 | — | (3.23 | ) | (3.23 | ) | |||||||||||||||||||||||
2006 - Service | 42.58 | (0.01 | ) | 3.69 | 3.68 | — | (3.23 | ) | (3.23 | ) | ||||||||||||||||||||||
FOR THE YEARS ENDED AUGUST 31, | ||||||||||||||||||||||||||||||||
2005 - A | 39.25 | 0.06 | 6.39 | (e) | 6.45 | — | (2.63 | ) | (2.63 | ) | ||||||||||||||||||||||
2005 - B | 36.86 | (0.23 | ) | 5.98 | (e) | 5.75 | — | (2.63 | ) | (2.63 | ) | |||||||||||||||||||||
2005 - C | 36.84 | (0.23 | ) | 5.97 | (e) | 5.74 | — | (2.63 | ) | (2.63 | ) | |||||||||||||||||||||
2005 - Institutional | 40.09 | 0.20 | 6.58 | (e) | 6.78 | — | (2.63 | ) | (2.63 | ) | ||||||||||||||||||||||
2005 - Service | 38.86 | — | (d) | 6.35 | (e) | 6.35 | — | (2.63 | ) | (2.63 | ) | |||||||||||||||||||||
2004 - A | 33.77 | (0.16 | ) | 6.29 | 6.13 | — | (0.65 | ) | (0.65 | ) | ||||||||||||||||||||||
2004 - B | 31.99 | (0.43 | ) | 5.95 | 5.52 | — | (0.65 | ) | (0.65 | ) | ||||||||||||||||||||||
2004 - C | 31.96 | (0.43 | ) | 5.96 | 5.53 | — | (0.65 | ) | (0.65 | ) | ||||||||||||||||||||||
2004 - Institutional | 34.35 | (0.01 | ) | 6.40 | 6.39 | — | (0.65 | ) | (0.65 | ) | ||||||||||||||||||||||
2004 - Service | 33.48 | (0.21 | ) | 6.24 | 6.03 | — | (0.65 | ) | (0.65 | ) | ||||||||||||||||||||||
2003 - A | 27.79 | — | (d) | 6.03 | 6.03 | (0.02 | ) | (0.03 | ) | (0.05 | ) | |||||||||||||||||||||
2003 - B | 26.50 | (0.19 | ) | 5.71 | 5.52 | — | (0.03 | ) | (0.03 | ) | ||||||||||||||||||||||
2003 - C | 26.48 | (0.20 | ) | 5.71 | 5.51 | — | (0.03 | ) | (0.03 | ) | ||||||||||||||||||||||
2003 - Institutional | 28.25 | 0.12 | 6.13 | 6.25 | (0.12 | ) | (0.03 | ) | (0.15 | ) | ||||||||||||||||||||||
2003 - Service | 27.56 | (0.02 | ) | 5.97 | 5.95 | — | (0.03 | ) | (0.03 | ) | ||||||||||||||||||||||
2002 - A | 28.55 | 0.09 | (0.76 | ) | (0.67 | ) | (0.09 | ) | — | (0.09 | ) | |||||||||||||||||||||
2002 - B | 27.35 | (0.12 | ) | (0.73 | ) | (0.85 | ) | — | — | — | ||||||||||||||||||||||
2002 - C | 27.38 | (0.13 | ) | (0.77 | ) | (0.90 | ) | — | — | — | ||||||||||||||||||||||
2002 - Institutional | 28.98 | 0.21 | (0.76 | ) | (0.55 | ) | (0.18 | ) | — | (0.18 | ) | |||||||||||||||||||||
2002 - Service | 28.43 | 0.05 | (0.74 | ) | (0.69 | ) | (0.18 | ) | — | (0.18 | ) | |||||||||||||||||||||
2001 - A | 23.21 | 0.15 | 5.19 | 5.34 | — | — | — | |||||||||||||||||||||||||
2001 - B | 22.40 | (0.04 | ) | 4.99 | 4.95 | — | — | — | ||||||||||||||||||||||||
2001 - C | 22.42 | (0.04 | ) | 5.00 | 4.96 | — | — | — | ||||||||||||||||||||||||
2001 - Institutional | 23.47 | 0.25 | 5.26 | 5.51 | — | — | — | |||||||||||||||||||||||||
2001 - Service | 23.13 | 0.13 | 5.17 | 5.30 | — | — | — | |||||||||||||||||||||||||
(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) | Annualized. |
(d) | Less than $0.005 per share. |
(e) | Reflects an increase of $0.01 due to payments by affiliates during the period to reimburse certain security claims. |
(f) | Performance has not been restated to reflect the impact of security claims recorded during the period. If restated, the performance would have been 16.71%, 15.85%, 15.83%, 17.20% and 16.61% for Class A, Class B, Class C, Institutional and Service Shares, respectively. |
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 | |||||||||||||||||||||||||||
$ | 43.59 | 9.16 | % | $ | 1,076,367 | 1.48 | %(c) | 0.13 | %(c) | 1.48 | %(c) | 0.13 | %(c) | 20 | % | |||||||||||||||||||
40.06 | 8.75 | 99,154 | 2.23 | (c) | (0.61 | )(c) | 2.23 | (c) | (0.61 | )(c) | 20 | |||||||||||||||||||||||
40.03 | 8.76 | 122,859 | 2.23 | (c) | (0.61 | )(c) | 2.23 | (c) | (0.61 | )(c) | 20 | |||||||||||||||||||||||
44.96 | 9.38 | 675,345 | 1.08 | (c) | 0.53 | (c) | 1.08 | (c) | 0.53 | (c) | 20 | |||||||||||||||||||||||
43.03 | 9.10 | 40,270 | 1.58 | (c) | (0.03 | )(c) | 1.58 | (c) | (0.03 | )(c) | 20 | |||||||||||||||||||||||
43.07 | 16.73 | (f) | 1,071,447 | 1.48 | 0.14 | 1.48 | 0.14 | 48 | ||||||||||||||||||||||||||
39.98 | 15.88 | (f) | 107,342 | 2.23 | (0.59 | ) | 2.23 | (0.59 | ) | 48 | ||||||||||||||||||||||||
39.95 | 15.86 | (f) | 129,767 | 2.23 | (0.60 | ) | 2.23 | (0.60 | ) | 48 | ||||||||||||||||||||||||
44.24 | 17.23 | (f) | 655,181 | 1.08 | 0.48 | 1.08 | 0.48 | 48 | ||||||||||||||||||||||||||
42.58 | 16.64 | (f) | 31,806 | 1.58 | — | 1.58 | — | 48 | ||||||||||||||||||||||||||
39.25 | 18.30 | 920,309 | 1.49 | (0.43 | ) | 1.49 | (0.43 | ) | 57 | |||||||||||||||||||||||||
36.86 | 17.40 | 114,169 | 2.24 | (1.17 | ) | 2.24 | (1.17 | ) | 57 | |||||||||||||||||||||||||
36.84 | 17.45 | 127,560 | 2.24 | (1.18 | ) | 2.24 | (1.18 | ) | 57 | |||||||||||||||||||||||||
40.09 | 18.76 | 332,947 | 1.09 | (0.04 | ) | 1.09 | (0.04 | ) | 57 | |||||||||||||||||||||||||
38.86 | 18.16 | 19,131 | 1.59 | (0.55 | ) | 1.59 | (0.55 | ) | 57 | |||||||||||||||||||||||||
33.77 | 21.75 | 592,863 | 1.51 | 0.01 | 1.52 | — | 58 | |||||||||||||||||||||||||||
31.99 | 20.84 | 93,528 | 2.26 | (0.71 | ) | 2.27 | (0.72 | ) | 58 | |||||||||||||||||||||||||
31.96 | 20.82 | 76,112 | 2.26 | (0.74 | ) | 2.27 | (0.75 | ) | 58 | |||||||||||||||||||||||||
34.35 | 22.22 | 117,968 | 1.11 | 0.43 | 1.12 | 0.42 | 58 | |||||||||||||||||||||||||||
33.48 | 21.60 | 4,100 | 1.61 | (0.09 | ) | 1.62 | (0.10 | ) | 58 | |||||||||||||||||||||||||
27.79 | (2.34 | ) | 372,900 | 1.51 | 0.32 | 1.53 | 0.30 | 75 | ||||||||||||||||||||||||||
26.50 | (3.11 | ) | 76,494 | 2.26 | (0.43 | ) | 2.28 | (0.45 | ) | 75 | ||||||||||||||||||||||||
26.48 | (3.29 | ) | 46,416 | 2.26 | (0.46 | ) | 2.28 | (0.48 | ) | 75 | ||||||||||||||||||||||||
28.25 | (1.91 | ) | 90,177 | 1.11 | 0.71 | 1.13 | 0.69 | 75 | ||||||||||||||||||||||||||
27.56 | (2.43 | ) | 3,326 | 1.61 | 0.17 | 1.63 | 0.15 | 75 | ||||||||||||||||||||||||||
28.55 | 23.01 | 244,860 | 1.50 | 0.59 | 1.60 | 0.49 | 93 | |||||||||||||||||||||||||||
27.35 | 22.10 | 48,939 | 2.25 | (0.16 | ) | 2.35 | (0.26 | ) | 93 | |||||||||||||||||||||||||
27.38 | 22.07 | 18,140 | 2.25 | (0.16 | ) | 2.35 | (0.26 | ) | 93 | |||||||||||||||||||||||||
28.98 | 23.48 | 46,211 | 1.10 | 0.97 | 1.20 | 0.87 | 93 | |||||||||||||||||||||||||||
28.43 | 22.91 | 1,006 | 1.60 | 0.47 | 1.70 | 0.37 | 93 | |||||||||||||||||||||||||||
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 Fund and to compare these costs with the ongoing costs of investing in other mutual funds.
The example is based on an investment of $1,000 invested at the beginning of the period and held for the entire period from September 1, 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 during this period.
Hypothetical Example for Comparison Purposes — The second line under each share class in the table below provides information about hypothetical account values and hypothetical expenses based on the Funds’ actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Funds’ actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Funds and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds.
Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transactional costs, such as sales charges (loads), 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.
Large Cap Value Fund | Growth and Income Fund | Mid Cap Value Fund | Small Cap Value Fund | |||||||||||||||||||||||||||||||||||||||||||||
Expenses | Expenses | Expenses | Expenses | |||||||||||||||||||||||||||||||||||||||||||||
Beginning | Ending | Paid for the | Beginning | Ending | Paid for the | Beginning | Ending | Paid for the | Beginning | Ending | Paid for the | |||||||||||||||||||||||||||||||||||||
Account Value | Account Value | 6 months ended | Account Value | Account Value | 6 months ended | Account Value | Account Value | 6 months ended | Account Value | Account 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* | 9/1/05 | 2/28/06 | 2/28/06* | ||||||||||||||||||||||||||||||||||||
Class A | ||||||||||||||||||||||||||||||||||||||||||||||||
Actual | $ | 1,000.00 | $ | 1,059.30 | $ | 6.33 | $ | 1,000.00 | $ | 1,055.10 | $ | 6.06 | $ | 1,000.00 | $ | 1,056.00 | $ | 5.96 | $ | 1,000.00 | $ | 1,091.60 | $ | 7.68 | ||||||||||||||||||||||||
Hypothetical 5% return | 1,000.00 | 1,018.65 | + | 6.21 | 1,000.00 | 1,018.89 | + | 5.96 | 1,000.00 | 1,018.99 | + | 5.86 | 1,000.00 | 1,017.46 | + | 7.40 | ||||||||||||||||||||||||||||||||
Class B | ||||||||||||||||||||||||||||||||||||||||||||||||
Actual | 1,000.00 | 1,055.90 | 10.14 | 1,000.00 | 1,051.40 | 9.87 | 1,000.00 | 1,051.80 | 9.77 | 1,000.00 | 1,087.50 | 11.54 | ||||||||||||||||||||||||||||||||||||
Hypothetical 5% return | 1,000.00 | 1,014.93 | + | 9.94 | 1,000.00 | 1,015.17 | + | 9.69 | 1,000.00 | 1,015.27 | + | 9.59 | 1,000.00 | 1,013.74 | + | 11.13 | ||||||||||||||||||||||||||||||||
Class C | ||||||||||||||||||||||||||||||||||||||||||||||||
Actual | 1,000.00 | 1,055.60 | 10.14 | 1,000.00 | 1,051.30 | 9.87 | 1,000.00 | 1,052.10 | 9.77 | 1,000.00 | 1,087.60 | 11.54 | ||||||||||||||||||||||||||||||||||||
Hypothetical 5% return | 1,000.00 | 1,014.93 | + | 9.94 | 1,000.00 | 1,015.17 | + | 9.69 | 1,000.00 | 1,015.27 | + | 9.59 | 1,000.00 | 1,013.74 | + | 11.13 | ||||||||||||||||||||||||||||||||
Institutional | ||||||||||||||||||||||||||||||||||||||||||||||||
Actual | 1,000.00 | 1,061.60 | 4.29 | 1,000.00 | 1,057.30 | 4.03 | 1,000.00 | 1,058.10 | 3.93 | 1,000.00 | 1,093.80 | 5.61 | ||||||||||||||||||||||||||||||||||||
Hypothetical 5% return | 1,000.00 | 1,020.63 | + | 4.21 | 1,000.00 | 1,020.88 | + | 3.96 | 1,000.00 | 1,020.98 | + | 3.86 | 1,000.00 | 1,019.44 | + | 5.41 | ||||||||||||||||||||||||||||||||
Service | ||||||||||||||||||||||||||||||||||||||||||||||||
Actual | 1,000.00 | 1,059.60 | 6.84 | 1,000.00 | 1,054.80 | 6.57 | 1,000.00 | 1,055.30 | 6.52 | 1,000.00 | 1,091.00 | 8.19 | ||||||||||||||||||||||||||||||||||||
Hypothetical 5% return | 1,000.00 | 1,018.15 | + | 6.71 | 1,000.00 | 1,018.40 | + | 6.46 | 1,000.00 | 1,018.45 | + | 6.41 | 1,000.00 | 1,016.96 | + | 7.90 | ||||||||||||||||||||||||||||||||
* | Expenses for each share class are calculated using the Fund’s annualized expense ratio for each class, which represents the ongoing expenses as a percentage of net assets for the six months ended 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 calendar year. The expense ratios for the period were as follows: |
Fund | Class A | Class B | Class C | Institutional | Service | |||||||||||||||
Large Cap Value | 1.24 | % | 1.99 | % | 1.99 | % | 0.84 | % | 1.34 | % | ||||||||||
Growth and Income | 1.19 | 1.94 | 1.94 | 0.79 | 1.29 | |||||||||||||||
Mid Cap Value | 1.17 | 1.92 | 1.92 | 0.77 | 1.27 | |||||||||||||||
Small Cap Value | 1.48 | 2.23 | 2.23 | 1.08 | 1.58 | |||||||||||||||
+ | Hypothetical expenses are based on each Fund’s actual annualized expense ratios and an assumed rate of return of 5% per year before expenses. |
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 CORESM International Equity, CORESM Small Cap Equity, CORESM Large Cap Growth, CORESM Large Cap Value and CORESM U.S. Equity Funds were renamed, respectively, the Structured International Equity, Structured Small Cap Equity, Structured Large Cap Growth, Structured Large Cap Value and Structured U.S. Equity Funds. Effective January 6, 2006, the CORESM 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. |
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, L.P. Investment Adviser |
Visit our Web site at www.gs.com/funds to obtain the most recent month-end returns
The reports concerning the Funds included in this shareholder report may contain certain forward-looking statements about the factors that may affect the performance of the Funds in the future. These statements are based on Fund management’s predictions and expectations concerning certain future events and their expected impact on the Funds, such as performance of the economy as a whole and of specific industry sectors, changes in the levels of interest rates, the impact of developing world events, and other factors that may influence the future performance of the Funds. Management believes these forward-looking statements to be reasonable, although they are inherently uncertain and difficult to predict. Actual events may cause adjustments in portfolio management strategies from those currently expected to be employed.
A description of the policies and procedures that the Funds use to determine how to vote proxies relating to portfolio securities and information regarding how a Fund voted proxies relating to portfolio securities during the most recent 12-month period ended June 30 is available (I) without charge, upon request by calling 1-800-526-7384 (for Retail Shareholders) or 1-800-621-2550 (for Institutional Shareholders); and (II) on the Securities and Exchange Commission Web site at http://www.sec.gov.
The Funds file their complete schedule of portfolio holdings with the Securities and Exchange Commission (“SEC”) for the first and third quarters of each fiscal year on Form N-Q. Beginning the fiscal quarter ended November 30, 2004 and every first and third fiscal quarter thereafter, the Funds’ Form N-Q will become available on the SEC’s website at http://www.sec.gov within 60 days after the Funds’ first and third fiscal quarters. When available, the Funds’ Forms N-Q may be reviewed and copied at the SEC’s Public Reference Room in Washington, D.C. and information on the operation of the Public Reference Room may 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).
The Funds may invest in foreign securities, which may be more volatile and less liquid than investment in U.S. securities and will be subject to the risks of currency fluctuations and sudden economic or 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.
The Large Cap Value, Mid Cap Value and Small Cap Value Funds may invest in fixed income securities. Investments in fixed income securities are subject to the risks associated with debt securities including credit and interest rate risk.
The Large Cap Value Fund may participate in the Initial Public Offering (IPO) market, and a portion of the Fund’s returns consequently may be attributable to its 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.
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. 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. | 06-503 / VALUESAR / 301.1K / 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 |