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, Esq. | Copies to: | |
Goldman, Sachs & Co. | Jack Murphy, Esq. | |
One New York Plaza | Dechert | |
New York, New York 10004 | 1775 I Street, NW | |
Washington, DC 20006 | ||
(Name and address of agents for service) |
Registrant’s telephone number, including area code: (312) 655-4400
Date of fiscal year end: February 28
Date of reporting period: February 28, 2007
ITEM 1. | REPORTS TO STOCKHOLDERS. | |
The Semiannual Report to Stockholders is filed herewith. |
VALUE EQUITY FUNDS | Semiannual Report February 28, 2007 |
Long-term capital appreciation potential through portfolios of quality businesses that are believed to be undervalued. |
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 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. |
NOT FDIC-INSURED | May Lose Value | No Bank Guarantee | ||
Value Equity Investment Process?
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 |
n | When market uncertainty exists |
n | When their economic value is not recognized by the market |
n | Sustainable operating earnings or cash flow, 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 |
Over the six-month period that ended February 28, 2007, the Fund’s Class A, B, C, Institutional and Service Shares generated cumulative total returns, without sales charges, of 8.32%, 7.95%, 7.92%, 8.53% and 8.25%, respectively. These returns compare to the 9.82% cumulative total return of the Fund’s benchmark, the Russell 1000 Value Index (with dividends reinvested), over the same time period. | |
The U.S. equity markets finished another year with positive returns as strong gains during the six-month reporting period capped off a widely successful 2006. For the six months ended February 28, 2007, the S&P 500 Index returned 8.93%, while the NASDAQ returned 10.64%. The equity markets largely overcame early concerns over rising interest rates and inflation, as well as signs of a cooling housing market and ongoing geopolitical concerns. Toward the end of the period, concerns related to a U.S. recession, the Asian markets and the sub-prime lending industry prompted a significant sell-off in the U.S. equity markets in late February. This erased the market’s gains during the first two months of the calendar year. | |
For the six-month period, the Fund generated a positive return but lagged the gains of the Russell 1000 Value index. While the portfolio benefited from strong stock selection in Consumer Staples, Technology, and Consumer Cyclicals, this was offset by weakness in holdings in Services, Basic Materials, and Energy. | |
In Energy, several key holdings experienced weakness during the period. We remain positive about the long-term fundamentals in the industry, particularly for natural gas, and continue to invest in companies that we believe have low cost structures, disciplined management teams and quality assets. In addition, we think that some of the current merger activity suggests that corporate buyers share our positive view on well-positioned companies in this sector. The Fund’s overall exposure to Energy has decreased over the reporting period, as we selectively reduced holdings in this sector due to price strength or changed investment thesis. Toward the end of the period, we added to existing holding Williams Companies and initiated a position in Devon Energy Corp. We eliminated the Fund’s holdings in BJ Services Co. as increased competition has pressured pricing, and ConocoPhillips as we felt the risk/reward profile was less attractive. | |
In the Financials sector, news of deteriorating credit quality hurt sub-prime lenders where the Fund had limited exposure. Elsewhere in the sector, Bank of America Corp. detracted from results. However, the company has one of the few national banking franchises, with a dominant position in the most attractive areas of the U.S. and our conviction in Bank of America remains strong. |
Several holdings in the Technology sector, such as Activision, Inc. and Cisco Systems, Inc, contributed positively during the reporting period. Activision, a California based video game publisher, benefited from strong sales in their video game products and management increased their outlook for the year. We continue to have a positive outlook on the long-term prospects of the company. Cisco Systems also traded up on news of a raised outlook and strong earnings driven by increased demand. | |
Top holdings Entergy Corp. and McDonald’s Corp. contributed to performance as they continued to benefit from improving margins, cost efficiencies and shareholder-oriented managements. |
We established a number of new positions during the reporting period that we believe offer attractive upside potential. For example, we initiated a position in Sprint Nextel Corp. due to our belief that, with the Nextel integration issues largely addressed, Sprint has an opportunity to cut costs, reduce customer turnover and improve overall profitability. Sprint, in our view, trades at a compelling valuation for a wireless business with strong free cash flow generation. | |
We also initiated a position in General Electric Co. We believe the company is attractively valued relative to its history and should benefit from improving profitability and capital allocation. Management has been focused on increasing return on invested capital by reducing costs and divesting non-core business. We believe its margins are also likely to improve as business trends across many of its units are showing signs of strength. | |
Elsewhere in the portfolio, we eliminated the Fund’s positions in General Dynamics, Franklin Resources and J.C. Penney Co. as these stocks reached our target prices. |
The following stocks represent a sampling of holdings that impacted performance over the last six months. | |
n | Motorola, Inc. — Motorola’s shares declined due to margin pressures as low-end handset sales negatively impacted its results. We remain positive about the company’s long-term outlook and believe it is potentially on track to improve margins and market share. |
n | Amgen, Inc. — Amgen, in the Health Care sector, also experienced a challenging period due to mixed data on new drugs in development. We continue to believe this attractively valued biotech leader will realize improvements in 2007. |
n | Harrah’s Entertainment, Inc. and Equity Office Properties — Harrah’s Entertainment and Equity Office Properties enhanced the Fund’s results during the period. Harrah’s Entertainment recovered from its lows experienced earlier in 2006, receiving much attention due to the series of private equity bids placed on the company. The Fund also benefited from favorable acquisition activity as Equity Office Properties was sold to a private equity group. We subsequently sold the Fund’s position in both companies. |
Many of our best performing stocks during the period were companies engaged in efforts to rationalize their cost structures, divest non-strategic assets and generally improve returns on capital. As we move further into 2007, we will continue to seek similar opportunities as these programs of internal change can show positive results in an uncertain market environment. We believe the market will see an active flow of private equity investments into select companies, particularly those with the cash flow characteristics we tend to favor. We maintain a valuation focus and are alert for emerging ideas across the investment landscape. | |
We thank you for your investment and look forward to your continued confidence. | |
Goldman Sachs Value Investment Team | |
New York, March 22, 2007 |
PERFORMANCE REVIEW |
Fund Total Return | Russell 1000 | |||||||||
September 1, 2006–February 28, 2007 | (based on NAV)1 | Value Index2 | ||||||||
Class A | 8.32 | % | 9.82 | % | ||||||
Class B | 7.95 | 9.82 | ||||||||
Class C | 7.92 | 9.82 | ||||||||
Institutional | 8.53 | 9.82 | ||||||||
Service | 8.25 | 9.82 | ||||||||
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 AVERAGE ANNUAL TOTAL RETURNS3 |
For the period ended 12/31/06 | One Year | Five Years | Since Inception | Inception Date | ||||||||||||
Class A | 11.92 | % | 9.06 | % | 6.97 | % | 12/15/99 | |||||||||
Class B | 12.36 | 9.16 | 7.00 | 12/15/99 | ||||||||||||
Class C | 16.61 | 9.47 | 7.00 | 12/15/99 | ||||||||||||
Institutional | 18.93 | 10.73 | 8.23 | 12/15/99 | ||||||||||||
Service | 18.39 | 10.23 | 7.77 | 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.goldmansachsfunds.com 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. |
EXPENSE RATIOS4 |
Current Expense Ratio | Expense Ratio Before Waivers | |||||||||
Class A | 1.23 | % | 1.23 | % | ||||||
Class B | 1.98 | 1.98 | ||||||||
Class C | 1.98 | 1.98 | ||||||||
Institutional | 0.83 | 0.83 | ||||||||
Service | 1.33 | 1.33 | ||||||||
4 | The expense ratios of the Fund, both with and without waivers and expense limitations, are as set forth above according to the most recent publicly available Prospectus for the Fund and may differ from the expense ratios disclosed in the Financial Highlights. The waivers and expense limitations are voluntary and may be modified or terminated at any time at the option of the Investment Adviser. If this occurs, the expense ratios may change without shareholder approval. |
TOP 10 HOLDINGS AS OF 2/28/075 |
Holding | % of Net Assets | Line of Business | ||||||
Sprint Nextel Corp. | 4.3 | % | Telephone | |||||
AT&T, Inc. | 4.3 | Telephone | ||||||
Exxon Mobil Corp. | 3.8 | Energy Resources | ||||||
Entergy Corp. | 3.7 | Electrical Utilities | ||||||
Wachovia Corp. | 3.4 | Large Banks | ||||||
The Williams Companies, Inc. | 3.0 | Diversified Energy | ||||||
McDonald’s Corp. | 3.0 | Restaurants | ||||||
Bank of America Corp. | 2.9 | Large Banks | ||||||
Baxter International, Inc. | 2.8 | Medical Products | ||||||
General Electric Co. | 2.7 | Parts & Equipment | ||||||
5 | The top 10 holdings may not be representative of the Fund’s future investments. |
SECTOR ALLOCATION6 |
6 | The percentage shown for each investment category reflects the value of investments in that category as a percentage of net assets. Short-term investments include repurchase agreements and securities lending collateral (if any). Figures in the above graph may not sum to 100% due to the exclusion of other assets and liabilities. |
Over the six-month period that ended February 28, 2007, the Fund’s Class A, B, C, Institutional and Service Shares generated cumulative total returns, without sales charges, of 8.78%, 8.36%, 8.37%, 8.99% and 8.72%, respectively. These returns compare to the 9.82% cumulative total return of the Fund’s benchmark, the Russell 1000 Value Index (with dividends reinvested), over the same time period. | |
The U.S. equity markets finished another year with positive returns as strong gains during the six-month reporting period capped off a widely successful 2006. For the six months ended February 28, 2007, the S&P 500 Index returned 8.93%, while the NASDAQ returned 10.64%. The equity markets largely overcame early concerns over rising interest rates and inflation, as well as signs of a cooling housing market and ongoing geopolitical concerns. Toward the end of the period, concerns related to a U.S. recession, the Asian markets and the sub-prime lending industry prompted a significant sell-off in the U.S. equity markets in late February. This erased the market’s gains during the first two months of the calendar year. | |
The Growth and Income Fund generated positive returns during the reporting period but lagged the gains of the Russell 1000 Value Index. The Fund had strong performance in the Consumer Staples, Utilities, and Energy sectors, which was offset by weakness experienced in Services, Basic Materials, and the Industrial sectors. | |
Highlights include several key holdings, such as Entergy Corp., McDonald’s Corp. and Cisco Systems, Inc., all of which recovered from mid-2006 lows. Each of these companies represents situations we favor — improving free cash flow trends, share repurchases and strong management teams. Top holding Entergy Corporation contributed to positive results as the company continues to benefit from a disciplined management team. McDonalds benefited from record profits, driven by all-time high overseas sales. Improvements to their menus, restaurant expansion and a strengthening brand has served the company well. Cisco traded up on news of a raised outlook and strong earnings driven by increased demand. We remain positive on the company’s long-term prospects. | |
Elsewhere in the portfolio, shares of Motorola, Inc. declined due to margin pressures as low-end handset sales negatively impacted results. We remain positive about the company’s long-term outlook and margin improvement opportunity. In Health Care, our investment in Amgen also experienced a challenging period due to mixed data on new drugs in development. We continue to believe this attractively valued biotech leader will realize improvements in 2007. |
We also established several new positions that benefited the Fund. We established a position in Sprint Nextel Corp. due to our belief that, with the Nextel integration issues largely addressed, Sprint has an opportunity to cut costs, reduce customer turnover and improve overall profitability. Sprint, in our view, trades at a compelling valuation for a wireless business with strong free cash flow generation. | |
We also initiated a position in General Electric Co. We believe GE is attractively valued relative to its history and should benefit from improving profitability and capital allocation. Management has been focused on increasing return on invested capital by reducing costs and divesting non-core business. We believe margins are also likely to improve as business trends across many of their units are showing signs of strength. | |
We eliminated our positions in General Dynamics and J.C. Penney Co. as these stocks reached our target prices. |
The following stocks represent a sampling of holdings that impacted performance over the last six months. | |
n | Newell Rubbermaid, Inc. — Newell Rubbermaid, a Consumer Staples company, was a positive contributor to the Fund. Increased profits, led by strong sales and margin expansion helped boost its stock. We remain positive on the company’s long term prospects. |
n | Activision, Inc. — Activision, a California based video game publisher, was also among the Fund’s contributors to performance during the reporting period. The company benefited from strong sales in their video game products and management increased their outlook for the year. |
n | Waste Management, Inc. — Waste Management detracted from results, as its shares were hurt by lower profits and revenues compared to last year. Despite this setback, we continue to believe the company is well positioned to have continued margin growth and profitability. |
Many of the Fund’s best performing stocks during the period were companies engaged in efforts to rationalize their cost structures, divest non-strategic assets and generally improve returns on capital. As we move further into 2007, we will continue to seek similar opportunities as these programs of internal change can show positive results in an uncertain market environment. We believe the market will see an active flow of private equity investments into select companies, particularly those with the cash flow characteristics we tend to favor. We maintain a valuation focus and are alert for emerging ideas across the investment landscape. | |
We thank you for your investment and look forward to your continued confidence. | |
Goldman Sachs Value Investment Team | |
New York, March 22, 2007 |
PERFORMANCE REVIEW |
Fund Total Return | Russell 1000 | |||||||||
September 1, 2006–February 28, 2007 | (based on NAV)1 | Value Index2 | ||||||||
Class A | 8.78 | % | 9.82 | % | ||||||
Class B | 8.36 | 9.82 | ||||||||
Class C | 8.37 | 9.82 | ||||||||
Institutional | 8.99 | 9.82 | ||||||||
Service | 8.72 | 9.82 | ||||||||
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 AVERAGE ANNUAL TOTAL RETURNS3 |
For the period ended 12/31/06 | One Year | Five Years | Ten Years | Since Inception | Inception Date | |||||||||||||||
Class A | 15.53 | % | 9.21 | % | 5.31 | % | 8.78 | % | 2/5/93 | |||||||||||
Class B | 16.09 | 9.33 | 5.13 | 6.38 | 5/1/96 | |||||||||||||||
Class C | 20.30 | 9.62 | n/a | 2.79 | 8/15/97 | |||||||||||||||
Institutional | 22.75 | 10.89 | 6.36 | 7.48 | 6/3/96 | |||||||||||||||
Service | 22.14 | 10.34 | 5.82 | 9.15 | 4 | 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.goldmansachsfunds.com 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. |
EXPENSE RATIOS5 |
Current Expense Ratio | Expense Ratio Before Waivers | |||||||||
Class A | 1.18 | % | 1.18 | % | ||||||
Class B | 1.93 | 1.93 | ||||||||
Class C | 1.93 | 1.93 | ||||||||
Institutional | 0.78 | 0.78 | ||||||||
Service | 1.28 | 1.28 | ||||||||
5 | The expense ratios of the Fund, both with and without waivers and expense limitations, are as set forth above according to the most recent publicly available Prospectus for the Fund and may differ from the expense ratios disclosed in the Financial Highlights. The waivers and expense limitations are voluntary and may be modified or terminated at any time at the option of the Investment Adviser. If this occurs, the expense ratios may change without shareholder approval. |
TOP 10 HOLDINGS AS OF 2/28/076 |
Holding | % of Net Assets | Line of Business | ||||||
AT&T, Inc. | 4.3 | % | Telephone | |||||
Exxon Mobil Corp. | 4.1 | Energy Resources | ||||||
Sprint Nextel Corp. | 3.6 | Telephone | ||||||
Entergy Corp. | 3.5 | Electrical Utilities | ||||||
Wachovia Corp. | 3.4 | Large Banks | ||||||
Bank of America Corp. | 3.2 | Large Banks | ||||||
Citigroup, Inc. | 2.8 | Large Banks | ||||||
McDonald’s Corp. | 2.8 | Restaurants | ||||||
General Electric Co. | 2.6 | Parts & Equipment | ||||||
Washington Mutual, Inc. | 2.5 | Specialty Financials | ||||||
6 | The top 10 holdings may not be representative of the Fund’s future investments. |
SECTOR ALLOCATION7 |
7 | The percentage shown for each investment category reflects the value of investments in that category as a percentage of net assets. Short-term investments include repurchase agreements and securities lending collateral (if any). Figures in the above graph may not sum to 100% due to the exclusion of other assets and liabilities. |
Over the six-month period that ended February 28, 2007, the Fund’s Class A, B, C, Institutional and Service Shares generated cumulative total returns, without sales charges, of 13.48%, 13.06%, 13.05%, 13.70% and 13.42%, respectively. These returns compare to the 13.95% cumulative total return of the Fund’s benchmark, the Russell Midcap Value Index (with dividends reinvested), over the same time period. | |
The U.S. equity markets finished another year with positive returns as strong gains during the six-month reporting period capped off a widely successful 2006. For the six months ended February 28, 2007, the S&P 500 Index returned 8.93%, while the NASDAQ returned 10.64%. The equity markets largely overcame early concerns over rising interest rates and inflation, as well as signs of a cooling housing market and ongoing geopolitical concerns. Toward the end of the period, concerns related to a U.S. recession, the Asian markets and the sub-prime lending industry prompted a significant sell-off in the U.S. equity markets in late February. This erased the market’s gains during the first two months of the calendar year. | |
The Fund generated positive results during the reporting period but lagged the gains of the Russell Midcap Value Index. The Fund had strong performance in the Consumer Cyclicals, Services and Financials sectors, but this was offset by weakness primarily in our Energy positioning. | |
In Energy, several key holdings experienced weakness during the reporting period. We remain positive about the long-term fundamentals in the industry, particularly for natural gas, and continue to invest in companies that we believe have low cost structures, disciplined management teams and quality assets. In addition, we think that some of the current merger activity suggests that corporate buyers share our positive view on well-positioned companies in this sector. The Fund’s overall exposure to Energy decreased over the reporting period as we selectively reduced holdings in this sector due to price strength or changed investment thesis. During the period, we added to existing holdings Williams Companies, EOG Resources, Inc. and Range Resources Corp. We reduced the Fund’s exposure to BJ Services Co. as increased competition has pressured pricing. | |
Top holdings Entergy Corp. contributed to performance as it continued to benefit from improving margins, cost efficiencies and shareholder-oriented managements. | |
Activision, Inc, a California based video game publisher, benefited from strong sales in their video game products and management increased their outlook for the year. Supervalu, Inc., a supermarket chain, was boosted by strong profits driven by its acquisition of Albertson’s and expectations of continued growth. We continue to view these companies as interesting investment opportunities. |
We established a number of new positions that we believe offer attractive upside potential. Among them were Airgas, Inc. and Agrium, Inc. Airgas is a low cost producer and distributor of industrial and specialty gases. In our view, it is attractively valued and has the potential for substantial revenue and margin opportunities due to improved pricing and operating leverage. We believe Agrium, a fertilizer producer and retailer, is another company that benefits from a low cost structure. We feel that Agrium will also benefit from the strong global agriculture market, driven primarily by ethanol demand in the U.S. | |
We eliminated the Fund’s holdings in Unisys Corp., Apria Healthcare and Zebra Technologies as we felt the risk/reward profiles were less attractive. |
The following stocks represent a sampling of holdings that impacted performance over the last six months. | |
n | Harrah’s Entertainment, Inc. — Harrah’s Entertainment enhanced the Fund’s results during the period. It recovered from its lows experienced earlier in 2006, receiving much attention due to the series of private equity bids placed on the company. We reduced the Fund’s position in the stock to lock in profits. |
n | Equity Office Properties — Equity Office Properties contributed positively to performance as it benefited from favorable acquisition activity and was sold to a private equity group. We subsequently sold the Fund’s position in the company and captured profits. |
n | AMBAC Financial Group, Inc. — AMBAC Financial, a leading insurance company, was among the Fund’s detractors from performance. The company reported results shy of expectations due to increased competition and a difficult business environment among bond insurers. We remain positive on the company’s long-term prospects. |
Many of the Fund’s best performing stocks during the period were companies engaged in efforts to rationalize their cost structures, divest non-strategic assets and generally improve returns on capital. As we move further into 2007, we will continue to seek similar opportunities as these programs of internal change can show positive results in an uncertain market environment. We believe the market will see an active flow of private equity investments into select companies, particularly those with the cash flow characteristics we tend to favor. We maintain a valuation focus and are alert for emerging ideas across the investment landscape. | |
We thank you for your investment and look forward to your continued confidence. | |
Goldman Sachs Value Investment Team | |
New York, March 22, 2007 |
PERFORMANCE REVIEW |
Fund Total Return | Russell Midcap | |||||||||
September 1, 2006–February 28, 2007 | (based on NAV)1 | Value Index2 | ||||||||
Class A | 13.48 | % | 13.95 | % | ||||||
Class B | 13.06 | 13.95 | ||||||||
Class C | 13.05 | 13.95 | ||||||||
Institutional | 13.70 | 13.95 | ||||||||
Service | 13.42 | 13.95 | ||||||||
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 AVERAGE ANNUAL TOTAL RETURNS3 |
For the period ended 12/31/06 | One Year | Five Years | Ten Years | Since Inception | Inception Date | |||||||||||||||
Class A | 9.24 | % | 13.25 | % | n/a | 10.81 | % | 8/15/97 | ||||||||||||
Class B | 9.54 | 13.39 | n/a | 10.68 | 8/15/97 | |||||||||||||||
Class C | 13.71 | 13.69 | n/a | 10.68 | 8/15/97 | |||||||||||||||
Institutional | 16.06 | 15.00 | 14.37 | % | 14.89 | 8/1/95 | ||||||||||||||
Service | 15.50 | 14.47 | n/a | 11.62 | 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.goldmansachsfunds.com 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. |
EXPENSE RATIOS4 |
Current Expense Ratio | Expense Ratio Before Waivers | |||||||||
Class A | 1.17 | % | 1.17 | % | ||||||
Class B | 1.92 | 1.92 | ||||||||
Class C | 1.92 | 1.92 | ||||||||
Institutional | 0.77 | 0.77 | ||||||||
Service | 1.27 | 1.27 | ||||||||
4 | The expense ratios of the Fund, both with and without waivers and expense limitations, are as set forth above according to the most recent publicly available Prospectus for the Fund and may differ from the expense ratios disclosed in the Financial Highlights. The waivers and expense limitations are voluntary and may be modified or terminated at any time at the option of the Investment Adviser. If this occurs, the expense ratios may change without shareholder approval. |
TOP 10 HOLDINGS AS OF 2/28/075 |
Holding | % of Net Assets | Line of Business | �� | |||||
Entergy Corp. | 3.2 | % | Electrical Utilities | |||||
Range Resources Corp. | 3.2 | Energy Resources | ||||||
The Williams Companies, Inc. | 2.4 | Diversified Resources | ||||||
EOG Resources, Inc. | 2.3 | Energy Resources | ||||||
KeyCorp. | 2.3 | Regional Banks | ||||||
AMBAC Financial Group, Inc. | 2.3 | Property Insurance | ||||||
Edison International | 2.2 | Electrical Utilities | ||||||
PG&E Corp. | 2.2 | Electrical Utilities | ||||||
PPL Corp. | 2.0 | Electrical Utilities | ||||||
Seagate Technology | 1.9 | Computer Hardware | ||||||
5 | The top 10 holdings may not be representative of the Fund’s future investments. |
SECTOR ALLOCATION6 |
6 | The percentage shown for each investment category reflects the value of investments in that category as a percentage of net assets. Short-term investments include repurchase agreements and securities lending collateral (if any). Figures in the above graph may not sum to 100% due to the exclusion of other assets and liabilities. |
Over the six-month period that ended February 28, 2007, the Fund’s Class A, B, C, Institutional and Service Shares generated cumulative total returns, without sales charges, of 10.66%, 10.26%, 10.27%, 10.89% and 10.62%, respectively. These returns compare to the 10.37% cumulative total return of the Fund’s benchmark, the Russell 2000 Value Index (with dividends reinvested), over the same time period. | |
The U.S. equity markets finished another year with positive returns as strong gains during the six-month reporting period capped off a widely successful 2006. For the six months ended February 28, 2007, the S&P 500 Index returned 8.93%, while the NASDAQ returned 10.64%. The equity markets largely overcame early concerns over rising interest rates and inflation, as well as signs of a cooling housing market and ongoing geopolitical concerns. Toward the end of the period, concerns related to a U.S. recession, the Asian markets and the sub-prime lending industry prompted a significant sell-off in the U.S. equity markets in late February. This erased the market’s gains during the first two months of the calendar year. | |
The Fund generated strong results during the reporting period and performed in line with the Russell 2000 Value Index. The Fund has been successful in preserving capital in a notably volatile market. Stock selection was strong in REITs, Healthcare and Utilities, while holdings in Consumer Cyclicals, Basic Materials and Consumer Staples experienced some weakness. | |
Several key holdings experienced weakness due to company-specific events. In the Industrial sector, shares of AirTran Holdings, Inc. declined due to fuel costs concerns. We believe these cost pressures are short-term in nature and continue to hold the position. Parallel Petroleum Corp. experienced several hurdles, including record warm weather patterns that pressured this and other Fund holdings in the Energy sector. Longer term, we believe the supply/demand trends should sustain higher pricing in the sector. | |
During the reporting period, the Fund benefited from several acquisitions, as mid and large companies sought to increase their growth while the economy slowed. For example, Oregon Steel received a buyout offer from a Russian steel consortium and we sold the holding to capture profits. We shifted part of the proceeds from the sale into the Fund’s holding in Olympic Steel. We think this attractively valued steel service center will profit from industry outsourcing as they expand their capabilities. | |
In Technology, we added to the Fund’s position in Electronics for Imaging, Inc. Shares of the printer controller manufacturer were weak due to concerns over the delayed release of their largest customer’s new product. This uncertainty afforded us an attractive entry point in the stock, as we believe demand trends should be positive going forward. Additionally, we think the company should benefit from continued prudent use of strong free cash flow and from the transition to wide-format printing. |
We reduced several of the Fund’s Technology stocks, including Insight Enterprises, Inc. We trimmed the Fund’s position in Insight as increased spending and integration issues with a recent acquisition lowered our conviction. | |
In Financials, we initiated a position in Macquarie Infrastructure. We believe the stock should benefit from increasing its dividend. In addition, its net operating income is dispersed as they increased their infrastructure business in the U.S. and internationally. We sold Affiliated Managers Group, an asset management company with equity investments in a diverse group of mid-sized investment management firms, as its stock reached our price target. |
The following stocks represent a sampling of holdings that impacted performance over the last six months. | |
n | Oregon Steel — Oregon Steel enhanced the Fund’s results during the reporting period as the company was acquired at a premium. |
n | Dobson Communications Corp. — Dobson Communications is a wireless phone service provider. The company’s shares moved higher on the back of a strong fourth quarter that was highlighted by improved profits and positive subscriber growth. |
n | Mueller Industries, Inc. — Mueller Industries detracted from results during the reporting period. The company’s profits were negatively impacted by a soft housing market and declining copper prices. We continue to have a positive outlook on the long-term prospects of the company. |
Many of the Fund’s best performing stocks during the period were companies engaged in efforts to rationalize their cost structures, divest non-strategic assets and generally improve returns on capital. As we move further into 2007, we will continue to seek similar opportunities as these programs of internal change can show positive results in an uncertain market environment. We believe the market will see an active flow of private equity investments into select companies, particularly those with the cash flow characteristics we tend to favor. We maintain a valuation focus and are alert for emerging ideas across the investment landscape. | |
We thank you for your investment and look forward to your continued confidence. | |
Goldman Sachs Value Investment Team | |
New York, March 22, 2007 |
PERFORMANCE REVIEW |
September 1, 2006–February 28, 2007 | Fund Total Return (based on NAV)1 | Russell 2000 Value Index2 | ||||||||
Class A | 10.66 | % | 10.37 | % | ||||||
Class B | 10.26 | 10.37 | ||||||||
Class C | 10.27 | 10.37 | ||||||||
Institutional | 10.89 | 10.37 | ||||||||
Service | 10.62 | 10.37 | ||||||||
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 AVERAGE ANNUAL TOTAL RETURNS3 |
For the period ended 12/31/06 | �� | One Year | Five Years | Ten Years | Since Inception | Inception Date | ||||||||||||||
Class A | 10.88 | % | 12.49 | % | 11.76 | % | 12.26 | % | 10/22/92 | |||||||||||
Class B | 10.97 | 12.61 | 11.55 | 11.16 | 5/1/96 | |||||||||||||||
Class C | 15.36 | 12.94 | n/a | 10.12 | 8/15/97 | |||||||||||||||
Institutional | 17.78 | 14.22 | n/a | 11.41 | 8/15/97 | |||||||||||||||
Service | 17.19 | 13.65 | 12.284 | 12.634 | 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.goldmansachsfunds.com 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. |
EXPENSE RATIOS5 |
Current Expense Ratio | Expense Ratio Before Waivers | |||||||||
Class A | 1.48 | % | 1.48 | % | ||||||
Class B | 2.23 | 2.23 | ||||||||
Class C | 2.23 | 2.23 | ||||||||
Institutional | 1.08 | 1.08 | ||||||||
Service | 1.58 | 1.58 | ||||||||
5 | The expense ratios of the Fund, both with and without waivers and expense limitations, are as set forth above according to the most recent publicly available Prospectus for the Fund and may differ from the expense ratios disclosed in the Financial Highlights. The waivers and expense limitations are voluntary and may be modified or terminated at any time at the option of the Investment Adviser. If this occurs, the expense ratios may change without shareholder approval. |
TOP 10 HOLDINGS AS OF 2/28/076 |
Holding | % of Net Assets | Line of Business | ||||||
El Paso Electric Co. | 1.5 | % | Electrical Utilities | |||||
Wabash National Corp. | 1.4 | Industrial Components | ||||||
Parkway Properties, Inc. | 1.2 | REITs | ||||||
Sprint Finance Corp. | 1.2 | REITs | ||||||
PFF Bancorp, Inc. | 1.2 | Banks | ||||||
Signature Bank | 1.1 | Banks | ||||||
Parametric Technology Corp. | 1.1 | Computer Software | ||||||
Minerals Technologies, Inc. | 1.1 | Chemical | ||||||
Emulex Corp. | 1.0 | Computer Hardware | ||||||
Lawson Software, Inc. | 1.0 | Computer Software | ||||||
6 | Top 10 holdings may not be representative of the Fund’s future investments. |
SECTOR ALLOCATION7 |
7 | The percentage shown for each investment category reflects the value of investments in that category as a percentage of net assets. Short-term investments include repurchase agreements and securities lending collateral (if any). Figures in the above graph may not sum to 100% due to the exclusion of other assets and liabilities. |
Shares | Description | Value | ||||||||
Common Stocks – 98.1% | ||||||||||
Biotechnology – 2.7% | ||||||||||
314,688 | Amgen, Inc.* | $ | 20,221,851 | |||||||
948,994 | MedImmune, Inc.* | 30,282,398 | ||||||||
50,504,249 | ||||||||||
Brokers – 3.2% | ||||||||||
446,861 | Lehman Brothers Holdings, Inc. | 32,754,911 | ||||||||
330,395 | Merrill Lynch & Co., Inc. | 27,647,454 | ||||||||
60,402,365 | ||||||||||
Chemicals – 1.1% | ||||||||||
135,974 | Air Products & Chemicals, Inc. | 10,173,575 | ||||||||
193,572 | E.I. du Pont de Nemours & Co. | 9,823,779 | ||||||||
19,997,354 | ||||||||||
Computer Hardware��– 4.0% | ||||||||||
556,463 | Cisco Systems, Inc.* | 14,434,650 | ||||||||
812,658 | Hewlett-Packard Co. | 32,002,472 | ||||||||
1,094,801 | Seagate Technology | 29,450,147 | ||||||||
75,887,269 | ||||||||||
Computer Software – 1.8% | ||||||||||
2,013,613 | Activision, Inc.* | 33,667,609 | ||||||||
Construction – 1.0% | ||||||||||
367,790 | Lennar Corp. | 18,109,980 | ||||||||
Defense/Aerospace – 1.2% | ||||||||||
271,085 | The Boeing Co.(a) | 23,657,588 | ||||||||
Diversified Energy – 3.0% | ||||||||||
2,133,138 | The Williams Companies, Inc. | 57,530,732 | ||||||||
Drugs – 2.4% | ||||||||||
541,694 | Pfizer, Inc. | 13,520,682 | ||||||||
669,139 | Wyeth | 32,734,280 | ||||||||
46,254,962 | ||||||||||
Electrical Utilities – 5.8% | ||||||||||
714,148 | Entergy Corp. | 70,486,408 | ||||||||
399,180 | Exelon Corp. | 26,317,937 | ||||||||
203,693 | FirstEnergy Corp. | 12,745,071 | ||||||||
109,549,416 | ||||||||||
Energy Resources – 10.0% | ||||||||||
413,336 | Devon Energy Corp. | 27,160,309 | ||||||||
713,564 | EOG Resources, Inc. | 48,336,825 | ||||||||
1,016,954 | Exxon Mobil Corp. | 72,895,263 | ||||||||
792,412 | XTO Energy, Inc. | 40,936,004 | ||||||||
189,328,401 | ||||||||||
Environmental & Other Services – 1.9% | ||||||||||
1,062,594 | Waste Management, Inc. | 36,181,326 | ||||||||
Grocery – 1.8% | ||||||||||
920,284 | SUPERVALU, Inc. | 34,013,697 | ||||||||
Health Insurance – 1.3% | ||||||||||
313,465 | WellPoint, Inc.* | 24,885,986 | ||||||||
Home Products – 1.5% | ||||||||||
944,244 | Newell Rubbermaid, Inc. | 28,912,751 | ||||||||
Large Banks – 13.8% | ||||||||||
1,084,704 | Bank of America Corp. | 55,178,892 | ||||||||
988,310 | Citigroup, Inc. | 49,810,824 | ||||||||
935,743 | JPMorgan Chase & Co. | 46,225,704 | ||||||||
1,179,988 | Wachovia Corp. | 65,335,936 | ||||||||
1,334,509 | Wells Fargo & Co. | 46,307,462 | ||||||||
262,858,818 | ||||||||||
Life Insurance – 1.6% | ||||||||||
226,951 | Prudential Financial, Inc. | 20,638,924 | ||||||||
99,246 | The Hartford Financial Services Group, Inc. | 9,384,702 | ||||||||
30,023,626 | ||||||||||
Media – 2.0% | ||||||||||
1,901,309 | Time Warner, Inc. | 38,691,638 | ||||||||
Medical Products – 2.8% | ||||||||||
1,079,654 | Baxter International, Inc. | 53,993,496 | ||||||||
Motor Vehicle – 1.0% | ||||||||||
319,263 | Autoliv, Inc. | 18,213,954 | ||||||||
Oil Services – 0.6% | ||||||||||
176,210 | Baker Hughes, Inc. | 11,473,033 | ||||||||
Paper & Packaging – 2.4% | ||||||||||
920,605 | International Paper Co. | 33,150,986 | ||||||||
514,599 | Packaging Corp. of America | 12,607,676 | ||||||||
45,758,662 | ||||||||||
Parts & Equipment – 5.0% | ||||||||||
1,473,622 | General Electric Co. | 51,458,880 | ||||||||
667,934 | United Technologies Corp. | 43,836,509 | ||||||||
95,295,389 | ||||||||||
Property Insurance – 4.7% | ||||||||||
494,021 | American International Group, Inc. | 33,148,809 | ||||||||
256,627 | Everest Re Group Ltd. | 24,946,711 | ||||||||
183,524 | PartnerRe Ltd. | 12,751,247 | ||||||||
272,831 | XL Capital Ltd. | 19,371,001 | ||||||||
90,217,768 | ||||||||||
Regionals – 2.1% | ||||||||||
760,058 | KeyCorp | 28,684,589 | ||||||||
320,434 | Regions Financial Corp. | 11,477,946 | ||||||||
40,162,535 | ||||||||||
REIT – 0.7% | ||||||||||
231,014 | Apartment Investment & Management Co. | 13,597,484 | ||||||||
Restaurants – 3.0% | ||||||||||
1,285,088 | McDonald’s Corp. | 56,184,047 | ||||||||
Shares | Description | Value | ||||||||
Common Stocks – (continued) | ||||||||||
Specialty Financials – 3.4% | ||||||||||
353,694 | Freddie Mac | $ | 22,700,081 | |||||||
990,250 | Washington Mutual, Inc. | 42,659,970 | ||||||||
65,360,051 | ||||||||||
Telecom Equipment – 1.0% | ||||||||||
1,048,741 | Motorola, Inc. | 19,422,683 | ||||||||
Telephone – 8.6% | ||||||||||
2,209,284 | AT&T, Inc. | 81,301,651 | ||||||||
4,242,159 | Sprint Nextel Corp. | 81,788,826 | ||||||||
163,090,477 | ||||||||||
Tobacco – 2.2% | ||||||||||
490,556 | Altria Group, Inc. | 41,344,060 | ||||||||
Transports – 0.5% | ||||||||||
93,310 | Union Pacific Corp. | 9,203,165 | ||||||||
TOTAL COMMON STOCKS | ||||||||||
(Cost $1,717,548,991) | $ | 1,863,774,571 | ||||||||
Principal | Interest | Maturity | ||||||||||||||
Amount | Rate | Date | Value | |||||||||||||
Repurchase Agreement(b) – 2.0% | ||||||||||||||||
Joint Repurchase Agreement Account II | ||||||||||||||||
$ | 37,500,000 | 5.335 | % | 03/01/07 | $ | 37,500,000 | ||||||||||
Maturity Value: $37,505,557 | ||||||||||||||||
(Cost $37,500,000) | ||||||||||||||||
TOTAL INVESTMENTS BEFORE SECURITIES LENDING COLLATERAL | ||||||||||||||||
(Cost $1,755,048,991) | $ | 1,901,274,571 | ||||||||||||||
Shares | Description | Value | ||||||||
Securities Lending Collateral – 0.1% | ||||||||||
1,165,900 | Boston Global Investment Trust – Enhanced Portfolio | $ | 1,165,900 | |||||||
(Cost $1,165,900) | ||||||||||
TOTAL INVESTMENTS – 100.2% | ||||||||||
(Cost $1,756,214,891) | $ | 1,902,440,471 | ||||||||
LIABILITIES IN EXCESS OF OTHER ASSETS – (0.2)% | (4,223,914 | ) | ||||||||
NET ASSETS — 100.0% | $ | 1,898,216,557 | ||||||||
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, 2007. Additional information appears on pages 32-33. |
Investment Abbreviation: | ||||||
REIT | — | Real Estate Investment Trust | ||||
Shares | Description | Value | ||||||||
Common Stocks – 99.3% | ||||||||||
Biotechnology – 1.4% | ||||||||||
77,936 | Amgen, Inc.* | $ | 5,008,167 | |||||||
449,200 | MedImmune, Inc.* | 14,333,972 | ||||||||
19,342,139 | ||||||||||
Brokers – 3.2% | ||||||||||
331,178 | Lehman Brothers Holdings, Inc. | 24,275,347 | ||||||||
78,317 | Merrill Lynch & Co., Inc. | 6,553,567 | ||||||||
197,339 | Morgan Stanley | 14,784,638 | ||||||||
45,613,552 | ||||||||||
Chemicals – 1.5% | ||||||||||
97,400 | Air Products & Chemicals, Inc. | 7,287,468 | ||||||||
287,045 | E.I. du Pont de Nemours & Co.(a) | 14,567,534 | ||||||||
21,855,002 | ||||||||||
Computer Hardware – 2.5% | ||||||||||
540,531 | Cisco Systems, Inc.* | 14,021,374 | ||||||||
548,591 | Hewlett-Packard Co. | 21,603,514 | ||||||||
35,624,888 | ||||||||||
Computer Software – 1.0% | ||||||||||
878,527 | Activision, Inc.* | 14,688,972 | ||||||||
Construction – 0.8% | ||||||||||
424,200 | D.R. Horton, Inc. | 10,761,954 | ||||||||
Defense/Aerospace – 0.9% | ||||||||||
155,195 | The Boeing Co. | 13,543,868 | ||||||||
Diversified Energy – 1.8% | ||||||||||
961,827 | The Williams Companies, Inc. | 25,940,474 | ||||||||
Drugs – 3.3% | ||||||||||
876,610 | Pfizer, Inc. | 21,880,186 | ||||||||
507,484 | Wyeth | 24,826,117 | ||||||||
46,706,303 | ||||||||||
Electrical Utilities – 7.0% | ||||||||||
147,642 | Edison International | 6,927,363 | ||||||||
504,138 | Entergy Corp.(a) | 49,758,421 | ||||||||
217,654 | Exelon Corp. | 14,349,928 | ||||||||
143,956 | FirstEnergy Corp. | 9,007,327 | ||||||||
75,583 | FPL Group, Inc. | 4,464,688 | ||||||||
396,611 | PPL Corp. | 15,079,150 | ||||||||
99,586,877 | ||||||||||
Energy Resources – 8.0% | ||||||||||
106,010 | ConocoPhillips | 6,935,174 | ||||||||
302,904 | Devon Energy Corp. | 19,903,822 | ||||||||
204,937 | EOG Resources, Inc. | 13,882,432 | ||||||||
808,532 | Exxon Mobil Corp. | 57,955,574 | ||||||||
308,700 | XTO Energy, Inc. | 15,947,442 | ||||||||
114,624,444 | ||||||||||
Energy-Master Limited Partnership – 4.7% | ||||||||||
298,858 | Energy Transfer Partners LP | 16,485,007 | ||||||||
688,682 | Enterprise Products Partners LP | 21,011,688 | ||||||||
337,488 | Magellan Midstream Partners LP | 14,208,245 | ||||||||
363,316 | Williams Partners LP | 15,695,251 | ||||||||
67,400,191 | ||||||||||
Environmental & Other Services – 1.8% | ||||||||||
766,168 | Waste Management, Inc. | 26,088,020 | ||||||||
Food & Beverage – 1.1% | ||||||||||
576,992 | Unilever NV | 14,984,482 | ||||||||
Grocery – 0.5% | ||||||||||
195,499 | SUPERVALU, Inc. | 7,225,643 | ||||||||
Home Products – 1.8% | ||||||||||
687,677 | Newell Rubbermaid, Inc. | 21,056,670 | ||||||||
83,393 | The Clorox Co. | 5,283,780 | ||||||||
26,340,450 | ||||||||||
Large Banks – 14.4% | ||||||||||
896,320 | Bank of America Corp. | 45,595,799 | ||||||||
798,325 | Citigroup, Inc. | 40,235,580 | ||||||||
707,758 | JPMorgan Chase & Co. | 34,963,245 | ||||||||
890,457 | Wachovia Corp. | 49,304,604 | ||||||||
1,009,290 | Wells Fargo & Co. | 35,022,363 | ||||||||
205,121,591 | ||||||||||
Life Insurance – 0.7% | ||||||||||
111,012 | The Hartford Financial Services Group, Inc. | 10,497,295 | ||||||||
Media – 1.9% | ||||||||||
1 | Comcast Corp.* | 13 | ||||||||
1,366,524 | Time Warner, Inc. | 27,808,763 | ||||||||
27,808,776 | ||||||||||
Medical Products – 2.3% | ||||||||||
456,609 | Baxter International, Inc. | 22,835,016 | ||||||||
205,638 | Medtronic, Inc. | 10,355,930 | ||||||||
33,190,946 | ||||||||||
Mining – 0.3% | ||||||||||
62,179 | Nucor Corp. | 3,784,836 | ||||||||
Motor Vehicle – 0.9% | ||||||||||
228,603 | Autoliv, Inc. | 13,041,801 | ||||||||
Oil Services – 0.5% | ||||||||||
116,960 | Baker Hughes, Inc. | 7,615,266 | ||||||||
Paper & Packaging – 2.9% | ||||||||||
672,058 | International Paper Co. | 24,200,809 | ||||||||
710,101 | Packaging Corp. of America | 17,397,474 | ||||||||
41,598,283 | ||||||||||
Parts & Equipment – 4.4% | ||||||||||
1,081,319 | General Electric Co. | 37,759,660 | ||||||||
378,597 | United Technologies Corp. | 24,847,321 | ||||||||
62,606,981 | ||||||||||
Shares | Description | Value | ||||||||
Common Stocks – (continued) | ||||||||||
Property Insurance – 3.7% | ||||||||||
248,056 | American International Group, Inc. | $ | 16,644,557 | |||||||
213,900 | PartnerRe Ltd.(a) | 14,861,772 | ||||||||
163,910 | The Allstate Corp. | 9,844,435 | ||||||||
169,668 | XL Capital Ltd. | 12,046,428 | ||||||||
53,397,192 | ||||||||||
Regionals – 2.9% | ||||||||||
251,542 | First Horizon National Corp.(a) | 10,854,037 | ||||||||
600,278 | KeyCorp | 22,654,492 | ||||||||
237,815 | Regions Financial Corp. | 8,518,533 | ||||||||
42,027,062 | ||||||||||
REIT – 4.1% | ||||||||||
166,210 | Apartment Investment & Management Co. | 9,783,121 | ||||||||
497,651 | CapitalSource, Inc.(a) | 12,834,419 | ||||||||
132,687 | Developers Diversified Realty Corp. | 8,698,960 | ||||||||
362,086 | iStar Financial, Inc. | 17,325,815 | ||||||||
193,600 | Mack-Cali Realty Corp. | 10,005,248 | ||||||||
58,647,563 | ||||||||||
Restaurants – 2.8% | ||||||||||
911,507 | McDonald’s Corp. | 39,851,086 | ||||||||
Specialty Financials – 4.8% | ||||||||||
88,130 | AllianceBernstein Holding LP | 7,561,554 | ||||||||
121,001 | Apollo Investment Corp. | 2,744,303 | ||||||||
274,946 | Countrywide Financial Corp. | 10,524,933 | ||||||||
195,962 | Freddie Mac | 12,576,841 | ||||||||
814,482 | Washington Mutual, Inc.(a) | 35,087,884 | ||||||||
68,495,515 | ||||||||||
Telecom Equipment – 1.0% | ||||||||||
771,466 | Motorola, Inc. | 14,287,550 | ||||||||
Telephone – 7.9% | ||||||||||
1,665,478 | AT&T, Inc. | 61,289,590 | ||||||||
2,659,350 | Sprint Nextel Corp. | 51,272,268 | ||||||||
112,561,858 | ||||||||||
Tobacco – 2.0% | ||||||||||
332,062 | Altria Group, Inc. | 27,986,185 | ||||||||
Transports – 0.5% | ||||||||||
70,792 | Union Pacific Corp. | 6,982,215 | ||||||||
TOTAL COMMON STOCKS | ||||||||||
(Cost $1,254,014,692) | $ | 1,419,829,260 | ||||||||
Principal | Interest | Maturity | ||||||||||||||
Amount | Rate | Date | Value | |||||||||||||
Repurchase Agreement(b) – 0.3% | ||||||||||||||||
Joint Repurchase Agreement Account II | ||||||||||||||||
$ | 4,000,000 | 5.335 | % | 03/01/07 | $ | 4,000,000 | ||||||||||
Maturity Value: $4,000,593 | ||||||||||||||||
(Cost $4,000,000) | ||||||||||||||||
TOTAL INVESTMENTS BEFORE SECURITIES LENDING COLLATERAL | ||||||||||||||||
(Cost $1,258,014,692) | $ | 1,423,829,260 | ||||||||||||||
Shares | Description | Value | ||||||||
Securities Lending Collateral – 4.7% | ||||||||||
67,416,325 | Boston Global Investment Trust – Enhanced Portfolio | $ | 67,416,325 | |||||||
(Cost $67,416,325) | ||||||||||
TOTAL INVESTMENTS – 104.3% | ||||||||||
(Cost $1,325,431,017) | $ | 1,491,245,585 | ||||||||
LIABILITIES IN EXCESS OF OTHER ASSETS – (4.3)% | (61,988,438 | ) | ||||||||
NET ASSETS – 100.0% | $ | 1,429,257,147 | ||||||||
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, 2007. Additional information appears on pages 32-33. |
Investment Abbreviation: | ||||||
REIT | — | Real Estate Investment Trust | ||||
Shares | Description | Value | ||||||||
Common Stocks – 98.1% | ||||||||||
Biotechnology – 0.9% | ||||||||||
2,111,793 | MedImmune, Inc.* | $ | 67,387,315 | |||||||
Brokers – 2.1% | ||||||||||
738,587 | E*Trade Financial Corp.* | 17,053,974 | ||||||||
522,271 | Lazard Ltd. | 26,891,734 | ||||||||
722,617 | The Bear Stearns Companies, Inc.(a) | 110,011,212 | ||||||||
153,956,920 | ||||||||||
Chemical – 4.2% | ||||||||||
1,737,524 | Agrium, Inc.(a) | 66,807,798 | ||||||||
737,893 | Air Products & Chemicals, Inc. | 55,209,154 | ||||||||
1,734,654 | Airgas, Inc. | 71,589,171 | ||||||||
253,712 | Albemarle Corp. | 20,766,327 | ||||||||
1,940,906 | Celanese Corp. | 55,471,093 | ||||||||
3,144,514 | Chemtura Corp. | 36,099,021 | ||||||||
305,942,564 | ||||||||||
Computer Hardware – 3.6% | ||||||||||
1,948,539 | Amphenol Corp. | 125,758,707 | ||||||||
5,109,824 | Seagate Technology(a) | 137,454,266 | ||||||||
263,212,973 | ||||||||||
Computer Software – 1.9% | ||||||||||
8,167,244 | Activision, Inc.* | 136,556,320 | ||||||||
Construction – 1.7% | ||||||||||
1,346,583 | D.R. Horton, Inc.(a) | 34,162,811 | ||||||||
1,893,967 | Lennar Corp.(a) | 93,258,935 | ||||||||
127,421,746 | ||||||||||
Defense/Aerospace – 1.9% | ||||||||||
718,611 | Alliant Techsystems, Inc.* | 62,195,782 | ||||||||
1,186,911 | Rockwell Collins, Inc. | 77,718,932 | ||||||||
139,914,714 | ||||||||||
Diversified Energy – 2.4% | ||||||||||
6,506,184 | The Williams Companies, Inc. | 175,471,782 | ||||||||
Drugs – 1.7% | ||||||||||
791,229 | Charles River Laboratories International, Inc.* | 36,277,849 | ||||||||
3,106,018 | IMS Health, Inc. | 89,701,800 | ||||||||
125,979,649 | ||||||||||
Electrical Utilities – 14.7% | ||||||||||
897,652 | American Electric Power Co., Inc. | 40,268,669 | ||||||||
1,295,607 | CMS Energy Corp.(a) | 22,608,342 | ||||||||
251,588 | Constellation Energy Group, Inc. | 19,792,428 | ||||||||
4,352,865 | DPL, Inc.(a) | 131,325,937 | ||||||||
3,419,008 | Edison International | 160,419,855 | ||||||||
2,408,139 | Entergy Corp. | 237,683,319 | ||||||||
943,392 | FirstEnergy Corp. | 59,028,038 | ||||||||
1,316,738 | Northeast Utilities | 38,264,406 | ||||||||
3,436,020 | PG&E Corp.(a) | 159,500,048 | ||||||||
3,878,128 | PPL Corp. | 147,446,427 | ||||||||
315,548 | Sierra Pacific Resources* | 5,477,913 | ||||||||
1,273,449 | Wisconsin Energy Corp. | 61,061,880 | ||||||||
1,082,877,262 | ||||||||||
Energy Resources – 7.4% | ||||||||||
2,501,725 | EOG Resources, Inc. | 169,466,851 | ||||||||
7,438,690 | Range Resources Corp.(b) | 237,517,372 | ||||||||
2,632,985 | Ultra Petroleum Corp.* | 133,781,968 | ||||||||
540,766,191 | ||||||||||
Environmental & Other Services – 2.4% | ||||||||||
9,443,274 | Allied Waste Industries, Inc.*(a) | 121,062,773 | ||||||||
1,321,170 | Republic Services, Inc. | 55,581,622 | ||||||||
176,644,395 | ||||||||||
Food & Beverage – 0.6% | ||||||||||
567,132 | Pepsi Bottling Group, Inc. | 17,581,092 | ||||||||
847,973 | Smithfield Foods, Inc.* | 24,769,291 | ||||||||
42,350,383 | ||||||||||
Gas Utilities – 0.6% | ||||||||||
1,171,149 | AGL Resources, Inc. | 47,700,899 | ||||||||
Grocery – 2.6% | ||||||||||
1,694,412 | Safeway, Inc. | 58,575,823 | ||||||||
3,651,368 | SUPERVALU, Inc. | 134,954,561 | ||||||||
193,530,384 | ||||||||||
Health Insurance – 1.9% | ||||||||||
1,092,953 | Coventry Health Care, Inc.* | 59,478,502 | ||||||||
1,447,459 | Health Net, Inc.* | 77,395,633 | ||||||||
136,874,135 | ||||||||||
Home Products – 2.9% | ||||||||||
3,705,874 | Newell Rubbermaid, Inc. | 113,473,862 | ||||||||
1,608,869 | The Clorox Co. | 101,937,940 | ||||||||
215,411,802 | ||||||||||
Hotel & Leisure – 0.6% | ||||||||||
875,954 | Boyd Gaming Corp.(a) | 41,055,964 | ||||||||
Information Services – 0.8% | ||||||||||
7,654,453 | BearingPoint, Inc.*(a) | 61,235,624 | ||||||||
Life Insurance – 1.9% | ||||||||||
743,933 | Assurant, Inc. | 39,763,219 | ||||||||
842,907 | Lincoln National Corp. | 57,444,112 | ||||||||
331,087 | Torchmark Corp. | 21,163,081 | ||||||||
911,624 | UnumProvident Corp.(a) | 19,517,870 | ||||||||
137,888,282 | ||||||||||
Media – 0.5% | ||||||||||
13,427,831 | Charter Communications, Inc.*(a) | 40,417,771 | ||||||||
Medical Products – 0.8% | ||||||||||
2,378,574 | PerkinElmer, Inc. | 56,372,204 | ||||||||
Shares | Description | Value | ||||||||
Common Stocks – (continued) | ||||||||||
Mining – 1.6% | ||||||||||
3,474,022 | Commercial Metals Co. | $ | 95,674,566 | |||||||
499,400 | Steel Dynamics, Inc. | 18,847,356 | ||||||||
114,521,922 | ||||||||||
Motor Vehicle – 2.7% | ||||||||||
1,393,448 | Autoliv, Inc. | 79,496,208 | ||||||||
1,122,266 | Avis Budget Group, Inc.* | 29,841,053 | ||||||||
981,112 | Johnson Controls, Inc. | 92,028,306 | ||||||||
201,365,567 | ||||||||||
Oil Services – 0.7% | ||||||||||
676,259 | BJ Services Co. | 18,116,979 | ||||||||
740,321 | W-H Energy Services, Inc.* | 31,093,482 | ||||||||
49,210,461 | ||||||||||
Paper & Packaging – 1.8% | ||||||||||
2,464,079 | MeadWestvaco Corp. | 75,031,206 | ||||||||
2,423,443 | Packaging Corp. of America | 59,374,353 | ||||||||
134,405,559 | ||||||||||
Parts & Equipment – 2.2% | ||||||||||
874,125 | American Standard Companies, Inc. | 46,319,884 | ||||||||
356,317 | Carlisle Cos., Inc. | 31,049,463 | ||||||||
941,242 | Cooper Industries Ltd. | 86,349,541 | ||||||||
163,718,888 | ||||||||||
Property Insurance – 6.1% | ||||||||||
1,909,324 | AMBAC Financial Group, Inc. | 167,333,156 | ||||||||
973,554 | Everest Re Group Ltd. | 94,639,184 | ||||||||
550,460 | MGIC Investment Corp.(a) | 33,220,261 | ||||||||
1,084,538 | PartnerRe Ltd. | 75,353,700 | ||||||||
308,031 | Radian Group, Inc. | 17,696,381 | ||||||||
595,594 | RenaissanceRe Holdings Ltd. Series B | 30,542,060 | ||||||||
687,021 | The PMI Group, Inc. | 32,200,674 | ||||||||
450,985,416 | ||||||||||
Regional Banks – 6.1% | ||||||||||
403,914 | City National Corp. | 29,154,513 | ||||||||
1,041,653 | Commerce Bancshares, Inc. | 51,509,741 | ||||||||
1,176,793 | First Horizon National Corp.(a) | 50,778,618 | ||||||||
4,482,326 | KeyCorp | 169,162,983 | ||||||||
444,665 | M&T Bank Corp. | 53,324,227 | ||||||||
1,115,109 | Zions Bancorp. | 95,208,006 | ||||||||
449,138,088 | ||||||||||
REIT – 8.0% | ||||||||||
1,696,667 | Apartment Investment & Management Co. | 99,865,820 | ||||||||
1,726,450 | Brandywine Realty Trust(a) | 61,547,943 | ||||||||
1,019,497 | Developers Diversified Realty Corp. | 66,838,223 | ||||||||
857,093 | Equity Residential Properties Trust(a) | 43,531,754 | ||||||||
1,226,747 | Highwoods Properties, Inc. | 54,197,682 | ||||||||
587,853 | Home Properties of New York, Inc.(a) | 34,436,429 | ||||||||
1,222,811 | iStar Financial, Inc. | 58,511,506 | ||||||||
1,451,285 | Liberty Property Trust | 74,378,356 | ||||||||
1,306,238 | Mack-Cali Realty Corp. | 67,506,380 | ||||||||
667,159 | Pennsylvania Real Estate Investment Trust(a) | 28,794,582 | ||||||||
589,608,675 | ||||||||||
Retail Apparel – 0.9% | ||||||||||
1,038,316 | Ross Stores, Inc. | 34,025,615 | ||||||||
1,037,205 | Williams-Sonoma, Inc.(a) | 35,016,041 | ||||||||
69,041,656 | ||||||||||
Semiconductors – 1.7% | ||||||||||
3,380,343 | LSI Logic Corp.*(a) | 34,276,678 | ||||||||
972,147 | National Semiconductor Corp. | 24,906,406 | ||||||||
1,563,292 | Tessera Technologies, Inc.* | 63,188,263 | ||||||||
122,371,347 | ||||||||||
Specialty Financials – 2.3% | ||||||||||
1,558,484 | CIT Group, Inc. | 88,007,591 | ||||||||
891,156 | Eaton Vance Corp.(a) | 30,914,202 | ||||||||
2,200,973 | H&R Block, Inc.(a) | 47,937,192 | ||||||||
166,858,985 | ||||||||||
Telephone – 1.5% | ||||||||||
1,970,050 | Embarq Corp. | 109,042,267 | ||||||||
Thrifts – 1.5% | ||||||||||
2,605,225 | Hudson City Bancorp, Inc. | 34,910,015 | ||||||||
1,461,787 | Webster Financial Corp. | 72,197,660 | ||||||||
107,107,675 | ||||||||||
Transports – 1.5% | ||||||||||
500,108 | Landstar System, Inc. | 22,349,826 | ||||||||
1,831,162 | Norfolk Southern Corp. | 86,797,079 | ||||||||
109,146,905 | ||||||||||
Trust/Processors – 1.4% | ||||||||||
1,648,076 | Northern Trust Corp. | 99,378,983 | ||||||||
TOTAL COMMON STOCKS | ||||||||||
(Cost $6,100,761,014) | $ | 7,204,871,673 | ||||||||
Principal | Interest | Maturity | ||||||||||||||
Amount | Rate | Date | Value | |||||||||||||
Repurchase Agreement(c) – 2.4% | ||||||||||||||||
Joint Repurchase Agreement Account II | ||||||||||||||||
$ | 174,300,000 | 5.335 | % | 03/01/07 | $ | 174,300,000 | ||||||||||
Maturity Value: $174,325,830 | ||||||||||||||||
(Cost $174,300,000) | ||||||||||||||||
TOTAL INVESTMENTS BEFORE SECURITIES LENDING COLLATERAL | ||||||||||||||||
(Cost $6,275,061,014) | $ | 7,379,171,673 | ||||||||||||||
Shares | Description | Value | ||||||||
Securities Lending Collateral – 4.4% | ||||||||||
320,971,106 | Boston Global Investment Trust – Enhanced Portfolio | $ | 320,971,106 | |||||||
(Cost $320,971,106) | ||||||||||
TOTAL INVESTMENTS – 104.9% | ||||||||||
(Cost $6,596,032,120) | $ | 7,700,142,779 | ||||||||
LIABILITIES IN EXCESS OF OTHER ASSETS – (4.9)% | (358,750,388 | ) | ||||||||
NET ASSETS – 100.0% | $ | 7,341,392,391 | ||||||||
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) | Represents an affiliated issuer. |
(c) | Joint repurchase agreement was entered into on February 28, 2007. Additional information appears on pages 32-33. |
Investment Abbreviation: | ||||||
REIT | — | Real Estate Investment Trust | ||||
Shares | Description | Value | ||||||||
Common Stocks – 96.7% | ||||||||||
Banks – 12.7% | ||||||||||
290,465 | Alabama National Bancorp | $ | 21,070,331 | |||||||
198,282 | Alliance Bankshares Corp.* | 3,142,770 | ||||||||
106,593 | Bank of the Ozarks, Inc.(a) | 3,203,120 | ||||||||
233,250 | Berkshire Hills Bancorp, Inc. | 8,063,453 | ||||||||
719,296 | Cardinal Financial Corp. | 7,308,047 | ||||||||
347,700 | Central Pacific Financial Corp. | 13,104,813 | ||||||||
227,894 | Chittenden Corp. | 6,971,278 | ||||||||
267,673 | Citizens Banking Corp.(a) | 6,076,177 | ||||||||
509,948 | CoBiz, Inc. | 10,443,735 | ||||||||
266,927 | Columbia Banking System, Inc. | 9,000,778 | ||||||||
412,845 | F.N.B. Corp.(a) | 7,084,420 | ||||||||
149,111 | First Financial Bankshares, Inc.(a) | 6,252,224 | ||||||||
594,366 | First Niagara Financial Group, Inc. | 8,439,997 | ||||||||
527,841 | Glacier Bancorp, Inc. | 12,905,712 | ||||||||
302,965 | IBERIABANK Corp. | 16,369,199 | ||||||||
428,930 | Midwest Banc Holdings, Inc.(a) | 8,351,267 | ||||||||
467,798 | Millennium Bankshares Corp.(b) | 4,785,574 | ||||||||
205,439 | Nexity Financial Corp.* | 2,475,540 | ||||||||
775,728 | PFF Bancorp, Inc. | 24,528,519 | ||||||||
483,102 | Prosperity Bancshares, Inc. | 16,797,457 | ||||||||
755,914 | Signature Bank* | 23,221,678 | ||||||||
213,076 | Southcoast Financial Corp.* | 4,826,171 | ||||||||
200,310 | Sterling Bancorp | 3,739,788 | ||||||||
146,288 | Summit State Bank | 1,875,412 | ||||||||
682,447 | The Bancorp, Inc.* | 16,808,670 | ||||||||
480,475 | United Community Banks, Inc. | 15,697,118 | ||||||||
194,894 | West Coast Bancorp | 5,915,033 | ||||||||
268,458,281 | ||||||||||
Biotechnology – 0.7% | ||||||||||
1,047,190 | Medarex, Inc.*(a) | 14,325,559 | ||||||||
Brokers – 0.3% | ||||||||||
353,615 | Knight Capital Group, Inc.* | 5,590,653 | ||||||||
Chemical – 3.5% | ||||||||||
104,998 | Albemarle Corp. | 8,594,086 | ||||||||
146,417 | American Vanguard Corp.(a) | 2,527,157 | ||||||||
441,291 | H.B. Fuller Co. | 11,019,036 | ||||||||
340,135 | KMG Chemicals, Inc. | 3,493,187 | ||||||||
363,586 | Minerals Technologies, Inc. | 22,502,338 | ||||||||
195,618 | Penford Corp. | 4,047,336 | ||||||||
262,939 | PolyOne Corp.* | 1,764,321 | ||||||||
771,643 | UAP Holding Corp. | 19,576,583 | ||||||||
73,524,044 | ||||||||||
Commercial Services – 5.3% | ||||||||||
765,247 | eFunds Corp.* | 19,215,352 | ||||||||
430,222 | Hypercom Corp.* | 2,439,359 | ||||||||
333,482 | Knology, Inc.* | 4,752,119 | ||||||||
243,658 | MAXIMUS, Inc. | 7,343,852 | ||||||||
228,524 | NuCo2, Inc.*(a) | 5,607,979 | ||||||||
1,718,709 | Premiere Global Services, Inc.* | 17,908,948 | ||||||||
444,209 | Providence Service Corp.*(a) | 9,772,598 | ||||||||
606,420 | RCN Corp.* | 16,585,587 | ||||||||
264,988 | School Specialty, Inc.*(a) | 9,886,702 | ||||||||
513,687 | The BISYS Group, Inc.* | 6,749,847 | ||||||||
315,883 | Transaction Systems Architects, Inc.* | 11,150,670 | ||||||||
111,413,013 | ||||||||||
Components/Distribution – 0.6% | ||||||||||
618,252 | Insight Enterprises, Inc.* | 11,944,629 | ||||||||
Computer Hardware – 2.3% | ||||||||||
836,446 | Electronics for Imaging, Inc.* | 19,087,698 | ||||||||
1,224,896 | Emulex Corp.* | 21,925,638 | ||||||||
324,429 | Intermec, Inc.*(a) | 7,267,210 | ||||||||
48,280,546 | ||||||||||
Computer Software – 3.9% | ||||||||||
142,829 | Blackboard, Inc.* | 4,764,775 | ||||||||
901,849 | JDA Software Group, Inc.* | 13,401,476 | ||||||||
2,694,142 | Lawson Software, Inc.*(a) | 21,337,605 | ||||||||
143,826 | MICROS Systems, Inc.* | 8,019,738 | ||||||||
187,032 | MTC Technologies, Inc.* | 3,948,245 | ||||||||
1,185,508 | Parametric Technology Corp.* | 22,607,638 | ||||||||
319,699 | Progress Software Corp.* | 8,967,557 | ||||||||
83,047,034 | ||||||||||
Construction – 3.7% | ||||||||||
273,789 | Beazer Homes USA, Inc. | 10,803,714 | ||||||||
208,397 | Builders FirstSource, Inc.* | 3,755,314 | ||||||||
494,318 | Goodman Global, Inc.*(a) | 9,392,042 | ||||||||
345,552 | Hovnanian Enterprises, Inc.*(a) | 10,746,667 | ||||||||
256,320 | Ryland Group, Inc.(a) | 12,346,934 | ||||||||
42,897 | Trex Co., Inc.*(a) | 1,047,545 | ||||||||
340,839 | Watsco, Inc.(a) | 17,168,060 | ||||||||
520,191 | WCI Communities, Inc.*(a) | 10,830,377 | ||||||||
114,356 | Williams Scotsman International, Inc.* | 2,328,288 | ||||||||
78,418,941 | ||||||||||
Defense/Aerospace – 0.5% | ||||||||||
102,043 | Ducommun, Inc.* | 2,610,260 | ||||||||
345,209 | EDO Corp.(a) | 8,298,824 | ||||||||
10,909,084 | ||||||||||
Diversified – 0.6% | ||||||||||
1,505,868 | GrafTech International Ltd.* | 11,896,357 | ||||||||
Diversified Energy – 1.0% | ||||||||||
476,933 | Williams Partners LP | 20,603,506 | ||||||||
Drugs – 0.2% | ||||||||||
369,132 | Salix Pharmaceuticals Ltd.* | 5,245,366 | ||||||||
Shares | Description | Value | ||||||||
Common Stocks – (continued) | ||||||||||
Electrical Equipment – 0.3% | ||||||||||
47,892 | Baldor Electric Co. | $ | 1,743,269 | |||||||
106,022 | Franklin Electric Co., Inc. | 5,137,826 | ||||||||
6,881,095 | ||||||||||
Electrical Utilities – 3.8% | ||||||||||
506,361 | Cleco Corp. | 13,266,658 | ||||||||
1,331,195 | El Paso Electric Co.* | 31,336,330 | ||||||||
45,577 | ITC Holdings Corp. | 2,001,286 | ||||||||
61,045 | MGE Energy, Inc. | 2,039,514 | ||||||||
667,431 | Sierra Pacific Resources* | 11,586,602 | ||||||||
52,416 | The Empire District Electric Co.(a) | 1,257,460 | ||||||||
128,764 | Unisource Energy Corp. | 4,881,443 | ||||||||
497,947 | Westar Energy, Inc. | 13,379,836 | ||||||||
79,749,129 | ||||||||||
Energy Resources – 1.6% | ||||||||||
704,843 | Parallel Petroleum Corp.* | 13,497,743 | ||||||||
605,017 | Range Resources Corp. | 19,318,193 | ||||||||
32,815,936 | ||||||||||
Financial Services – 2.0% | ||||||||||
747,378 | Accredited Home Lenders Holding Co.*(a) | 16,801,057 | ||||||||
183,318 | Apollo Investment Corp. | 4,157,652 | ||||||||
613,974 | Financial Federal Corp. | 16,632,556 | ||||||||
102,260 | Macquarie Infrastructure Co. Trust | 3,937,010 | ||||||||
41,528,275 | ||||||||||
Food & Beverage – 1.3% | ||||||||||
702,647 | Casey’s General Stores, Inc. | 17,573,202 | ||||||||
313,083 | Nash Finch Co.(a) | 9,411,275 | ||||||||
26,984,477 | ||||||||||
Forest – 1.5% | ||||||||||
1,510,978 | Caraustar Industries, Inc.*(b) | 11,891,397 | ||||||||
394,178 | Universal Forest Products, Inc. | 20,430,246 | ||||||||
32,321,643 | ||||||||||
Gas Utilities – 2.0% | ||||||||||
294,111 | Northwest Natural Gas Co. | 13,020,294 | ||||||||
515,479 | SEMCO Energy, Inc.* | 3,969,188 | ||||||||
376,671 | South Jersey Industries, Inc. | 13,032,817 | ||||||||
271,604 | Southwest Gas Corp. | 10,081,941 | ||||||||
38,214 | Vectren Corp. | 1,070,374 | ||||||||
41,174,614 | ||||||||||
Home Products – 1.8% | ||||||||||
764,689 | Elizabeth Arden, Inc.* | 16,654,926 | ||||||||
1,210,808 | Playtex Products, Inc.* | 16,600,178 | ||||||||
448,173 | Prestige Brands Holdings, Inc.* | 5,136,063 | ||||||||
38,391,167 | ||||||||||
Industrial Components – 3.4% | ||||||||||
213,541 | Actuant Corp. | 11,146,840 | ||||||||
392,684 | Applied Industrial Technologies, Inc. | 9,420,489 | ||||||||
844,133 | Comfort Systems USA, Inc. | 11,488,650 | ||||||||
578,012 | Modtech Holdings, Inc.* | 2,248,467 | ||||||||
241,577 | RBC Bearings, Inc.* | 7,882,658 | ||||||||
1,815,202 | Wabash National Corp.(b) | 29,242,904 | ||||||||
71,430,008 | ||||||||||
Industrial Services – 2.3% | ||||||||||
223,467 | G&K Services, Inc. | 8,400,125 | ||||||||
187,329 | Hewitt Associates, Inc.* | 5,623,617 | ||||||||
93,828 | ITT Educational Services, Inc.* | 7,504,363 | ||||||||
235,082 | Resources Connection, Inc.* | 7,607,253 | ||||||||
449,760 | Waste Connections, Inc.* | 19,888,387 | ||||||||
49,023,745 | ||||||||||
Leisure & Entertainment – 1.1% | ||||||||||
274,315 | Boyd Gaming Corp. | 12,857,144 | ||||||||
190,536 | Isle of Capri Casinos, Inc.*(a) | 5,115,891 | ||||||||
488,741 | K2, Inc.* | 5,718,270 | ||||||||
23,691,305 | ||||||||||
Life Insurance – 1.3% | ||||||||||
1,246,076 | American Equity Investment Life Holding Co. | 16,522,968 | ||||||||
225,007 | StanCorp Financial Group, Inc. | 10,845,337 | ||||||||
27,368,305 | ||||||||||
Machinery – 0.5% | ||||||||||
146,030 | MTS Systems Corp. | 5,517,013 | ||||||||
151,688 | Tennant Co. | 4,668,957 | ||||||||
10,185,970 | ||||||||||
Medical Products – 3.3% | ||||||||||
504,491 | American Medical Systems Holdings, Inc.* | 10,261,347 | ||||||||
1,154,854 | Cardiac Science Corp.*(b) | 9,850,905 | ||||||||
483,840 | Owens & Minor, Inc. | 15,952,205 | ||||||||
842,445 | PerkinElmer, Inc. | 19,965,946 | ||||||||
972,831 | Symmetry Medical, Inc.* | 14,504,910 | ||||||||
70,535,313 | ||||||||||
Medical Providers – 0.1% | ||||||||||
86,888 | Amedisys, Inc.* | 2,778,678 | ||||||||
Metals – 1.9% | ||||||||||
103,268 | Chaparral Steel Co. | 5,145,845 | ||||||||
573,660 | Commercial Metals Co. | 15,798,596 | ||||||||
417,429 | Mueller Industries, Inc. | 12,439,384 | ||||||||
248,314 | Olympic Steel, Inc. | 7,310,364 | ||||||||
40,694,189 | ||||||||||
Shares | Description | Value | ||||||||
Common Stocks – (continued) | ||||||||||
Motor Vehicle – 1.9% | ||||||||||
655,119 | Commercial Vehicle Group, Inc.* | $ | 12,702,758 | |||||||
80,966 | Lithia Motors, Inc. | 2,385,258 | ||||||||
342,905 | LoJack Corp.* | 6,528,911 | ||||||||
770,305 | Tenneco Automotive, Inc.* | 18,718,412 | ||||||||
40,335,339 | ||||||||||
Oil Services – 1.2% | ||||||||||
553,547 | Oil States International, Inc.* | 16,246,604 | ||||||||
236,409 | W-H Energy Services, Inc.* | 9,929,178 | ||||||||
26,175,782 | ||||||||||
Property Insurance – 3.6% | ||||||||||
320,414 | Aspen Insurance Holdings Ltd. | 8,490,971 | ||||||||
293,351 | Donegal Group, Inc. | 5,033,903 | ||||||||
316,608 | National Atlantic Holdings Corp.* | 4,014,589 | ||||||||
207,295 | Navigators Group, Inc.* | 10,302,562 | ||||||||
167,514 | NYMAGIC, Inc. | 6,595,026 | ||||||||
351,311 | ProAssurance Corp.* | 18,092,517 | ||||||||
546,318 | ProCentury Corp.(b) | 11,008,308 | ||||||||
240,167 | RLI Corp. | 13,463,762 | ||||||||
77,001,638 | ||||||||||
REIT – 10.8% | ||||||||||
355,769 | Acadia Realty Trust | 9,605,763 | ||||||||
371,832 | American Campus Communities, Inc. | 11,247,918 | ||||||||
366,613 | BioMed Realty Trust, Inc. | 10,246,833 | ||||||||
545,974 | Brandywine Realty Trust | 19,463,973 | ||||||||
264,809 | Cogdell Spencer, Inc. | 5,804,613 | ||||||||
285,395 | Digital Realty Trust, Inc. | 11,313,058 | ||||||||
225,557 | Entertainment Properties Trust | 14,773,984 | ||||||||
164,601 | LaSalle Hotel Properties | 7,313,222 | ||||||||
819,029 | Lexington Corporate Properties Trust(a) | 16,831,046 | ||||||||
2,046,157 | MFA Mortgage Investments, Inc. | 15,162,023 | ||||||||
640,050 | National Retail Properties, Inc. | 15,476,409 | ||||||||
932,841 | Omega Healthcare Investors, Inc. | 16,828,452 | ||||||||
472,030 | Parkway Properties, Inc. | 25,390,494 | ||||||||
305,398 | RAIT Investment Trust | 10,215,563 | ||||||||
1,913,046 | Spirit Finance Corp. | 24,716,554 | ||||||||
656,448 | U-Store-It Trust(a) | 14,179,277 | ||||||||
228,569,182 | ||||||||||
Restaurants – 2.3% | ||||||||||
302,050 | California Pizza Kitchen, Inc.* | 9,659,559 | ||||||||
435,135 | CEC Entertainment, Inc.* | 18,554,156 | ||||||||
405,061 | RARE Hospitality International, Inc.* | 12,500,183 | ||||||||
413,600 | The Steak N Shake Co.* | 7,109,784 | ||||||||
47,823,682 | ||||||||||
Retail Apparel – 4.1% | ||||||||||
401,370 | Aaron Rents, Inc.(a) | 10,981,483 | ||||||||
806,963 | Big Lots, Inc.*(a) | 20,198,284 | ||||||||
941,943 | Charming Shoppes, Inc.* | 11,746,029 | ||||||||
125,105 | Christopher & Banks Corp. | 2,323,200 | ||||||||
731,462 | Fossil, Inc.*(a) | 19,690,957 | ||||||||
78,616 | Guitar Center, Inc.*(a) | 3,444,167 | ||||||||
178,467 | Gymboree Corp.*(a) | 6,726,421 | ||||||||
316,947 | Hot Topic, Inc.* | 3,378,655 | ||||||||
298,284 | K-Swiss, Inc. | 8,408,626 | ||||||||
86,897,822 | ||||||||||
Security/Asset Management – 0.4% | ||||||||||
535,525 | Technology Investment Capital Corp. | 8,766,544 | ||||||||
Semiconductor Capital Equipment – 1.3% | ||||||||||
829,052 | Brooks Automation, Inc.* | 12,875,178 | ||||||||
642,595 | Entegris, Inc.* | 7,158,508 | ||||||||
167,429 | FormFactor, Inc.* | 7,157,590 | ||||||||
27,191,276 | ||||||||||
Semiconductors – 2.5% | ||||||||||
328,319 | ATMI, Inc.*(a) | 10,913,324 | ||||||||
1,047,581 | Integrated Device Technology, Inc.* | 16,991,764 | ||||||||
572,689 | Semtech Corp.* | 8,206,633 | ||||||||
425,267 | Tessera Technologies, Inc.* | 17,189,292 | ||||||||
53,301,013 | ||||||||||
Specialty Financials – 0.4% | ||||||||||
502,796 | Highland Distressed Opportunities, Inc.* | 7,416,241 | ||||||||
Telecommunications – 2.9% | ||||||||||
479,817 | Andrew Corp.* | 5,095,656 | ||||||||
196,382 | Anixter International, Inc.*(a) | 12,175,684 | ||||||||
220,384 | Belden CDT, Inc. | 10,219,206 | ||||||||
889,040 | Dobson Communications Corp.*(a) | 7,894,675 | ||||||||
456,323 | Foundry Networks, Inc.* | 6,662,316 | ||||||||
330,504 | Plantronics, Inc. | 6,762,112 | ||||||||
998,526 | Tekelec*(a) | 12,441,634 | ||||||||
61,251,283 | ||||||||||
Thrifts – 0.7% | ||||||||||
708,579 | Brookline Bancorp, Inc.(a) | 9,041,468 | ||||||||
203,024 | Irwin Financial Corp. | 4,194,476 | ||||||||
69,442 | Sterling Financial Corp. | 2,283,947 | ||||||||
15,519,891 | ||||||||||
Shares | Description | Value | ||||||||
Common Stocks – (continued) | ||||||||||
Transportation – 1.1% | ||||||||||
626,940 | AirTran Holdings, Inc.*(a) | $ | 6,532,715 | |||||||
213,266 | Forward Air Corp. | 6,956,737 | ||||||||
527,424 | Heartland Express, Inc. | 8,707,770 | ||||||||
22,197,222 | ||||||||||
TOTAL COMMON STOCKS | ||||||||||
(Cost $1,670,827,700) | $ | 2,041,657,777 | ||||||||
Principal | Interest | Maturity | ||||||||||||||
Amount | Rate | Date | Value | |||||||||||||
Repurchase Agreement(c) – 3.5% | ||||||||||||||||
Joint Repurchase Agreement Account II | ||||||||||||||||
$ | 74,900,000 | 5.335 | % | 03/01/07 | $ | 74,900,000 | ||||||||||
Maturity Value: $74,911,100 | ||||||||||||||||
(Cost $74,900,000) | ||||||||||||||||
TOTAL INVESTMENTS BEFORE SECURITIES LENDING COLLATERAL | ||||||||||||||||
(Cost $1,745,727,700) | $ | 2,116,557,777 | ||||||||||||||
Shares | Description | Value | ||||||||
Securities Lending Collateral – 7.8% | ||||||||||
163,869,800 | Boston Global Investment Trust – Enhanced Portfolio | $ | 163,869,800 | |||||||
(Cost $163,869,800) | ||||||||||
TOTAL INVESTMENTS – 108.0% | ||||||||||
(Cost $1,909,597,500) | $ | 2,280,427,577 | ||||||||
LIABILITIES IN EXCESS OF OTHER ASSETS – (8.0)% | (169,581,799 | ) | ||||||||
NET ASSETS — 100.0% | $ | 2,110,845,778 | ||||||||
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) | Represents an affiliated issuer. |
(c) | Joint repurchase agreement was entered into on February 28, 2007. Additional information appears on pages 32-33. |
Investment Abbreviation: | ||||||
REIT | — | Real Estate Investment Trust | ||||
ADDITIONAL INVESTMENT INFORMATION |
Fund | Principal Amount | |||
Large Cap Value | $ | 37,500,000 | ||
Growth and Income | 4,000,000 | |||
Mid Cap Value | 174,300,000 | |||
Small Cap Value | 74,900,000 | |||
ADDITIONAL INVESTMENT INFORMATION (continued) |
Principal | Interest | Maturity | Maturity | |||||||||||
Counterparty | Amount | Rate | Date | Value | ||||||||||
ABN Amro, Inc. | $ | 1,000,000,000 | 5.33 | % | 03/01/07 | $ | 1,000,148,056 | |||||||
Banc of America Securities LLC | 900,000,000 | 5.33 | 03/01/07 | 900,133,250 | ||||||||||
Barclays Capital PLC | 750,000,000 | 5.34 | 03/01/07 | 750,111,250 | ||||||||||
Citigroup Global Markets, Inc. | 1,000,000,000 | 5.34 | 03/01/07 | 1,000,148,333 | ||||||||||
Credit Suisse Securities (USA) LLC | 1,000,000,000 | 5.33 | 03/01/07 | 1,000,148,056 | ||||||||||
Deutsche Bank Securities, Inc. | 3,750,000,000 | 5.34 | 03/01/07 | 3,750,556,250 | ||||||||||
Greenwich Capital Markets | 300,000,000 | 5.34 | 03/01/07 | 300,044,500 | ||||||||||
Merrill Lynch | 1,000,000,000 | 5.33 | 03/01/07 | 1,000,148,056 | ||||||||||
Morgan Stanley & Co. | 800,000,000 | 5.33 | 03/01/07 | 800,118,444 | ||||||||||
UBS Securities LLC | 507,500,000 | 5.33 | 03/01/07 | 507,575,138 | ||||||||||
Wachovia Capital Markets | 250,000,000 | 5.33 | 03/01/07 | 250,037,014 | ||||||||||
TOTAL | $ | 11,257,500,000 | $ | 11,259,168,347 | ||||||||||
Large Cap | |||||||||
Value Fund | |||||||||
Assets: | |||||||||
Investments in securities, of unaffiliated issuers at value (identified cost $1,755,048,991, $1,258,014,692, $6,105,638,733 and $1,684,879,457, respectively)(a) | $ | 1,901,274,571 | |||||||
Investment in securities of affiliated issuers, at value (identified cost $0, $0, $169,422,281 and $60,848,243, respectively) | — | ||||||||
Securities lending collateral, at value which equals cost | 1,165,900 | ||||||||
Cash | 87,984 | ||||||||
Receivables: | |||||||||
Investment securities sold | 48,000,715 | ||||||||
Dividends and interest | 4,901,840 | ||||||||
Fund shares sold | 6,797,332 | ||||||||
Foreign tax reclaims, at value | — | ||||||||
Securities lending income | 597 | ||||||||
Other assets | 32,816 | ||||||||
Total assets | 1,962,261,755 | ||||||||
Liabilities: | |||||||||
Payables: | |||||||||
Payable upon return of securities loaned | 1,165,900 | ||||||||
Investment securities purchased | 55,499,201 | ||||||||
Fund shares repurchased | 5,724,883 | ||||||||
Amounts owed to affiliates | 1,441,949 | ||||||||
Accrued expenses | 213,265 | ||||||||
Total liabilities | 64,045,198 | ||||||||
Net Assets: | |||||||||
Paid-in capital | 1,678,138,651 | ||||||||
Accumulated undistributed net investment income | 4,201,861 | ||||||||
Accumulated net realized gain on investment transactions | 69,650,465 | ||||||||
Net unrealized gain on investments | 146,225,580 | ||||||||
NET ASSETS | $ | 1,898,216,557 | |||||||
Net Assets: | |||||||||
Class A | $ | 840,533,757 | |||||||
Class B | 29,528,000 | ||||||||
Class C | 86,253,466 | ||||||||
Institutional | 934,873,719 | ||||||||
Service | 7,027,615 | ||||||||
Shares Outstanding: | |||||||||
Class A | 58,665,180 | ||||||||
Class B | 2,110,341 | ||||||||
Class C | 6,200,825 | ||||||||
Institutional | 64,636,869 | ||||||||
Service | 492,373 | ||||||||
Total shares of beneficial interest outstanding, $0.001 par value (unlimited shares authorized) | 132,105,588 | ||||||||
Net asset value, offering and redemption price per share:(b) | |||||||||
Class A | $14.33 | ||||||||
Class B | 13.99 | ||||||||
Class C | 13.91 | ||||||||
Institutional | 14.46 | ||||||||
Service | 14.27 | ||||||||
(a) | Includes loaned securities having a market value of $1,143,106, $66,403,166, $312,976,880, and $158,916,715 for the Large Cap Value, Growth and Income, Mid Cap Value and Small Cap Value Funds, respectively. |
(b) | 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 $15.16, $31.02, $42.23 and $47.38, 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. |
GOLDMAN SACHS VALUE EQUITY FUNDS |
Growth and | Mid Cap | Small Cap | ||||||||||||
Income Fund | Value Fund | Value Fund | ||||||||||||
$ | 1,423,829,260 | $ | 7,141,654,301 | $ | 2,049,778,690 | |||||||||
— | 237,517,372 | 66,779,087 | ||||||||||||
67,416,325 | 320,971,106 | 163,869,800 | ||||||||||||
34,890 | 584,274 | 1,180,501 | ||||||||||||
47,721,596 | 15,255,166 | 5,898,323 | ||||||||||||
3,965,571 | 12,054,372 | 852,794 | ||||||||||||
5,837,563 | 16,335,001 | 4,659,732 | ||||||||||||
27,112 | — | — | ||||||||||||
4,462 | 24,244 | 33,168 | ||||||||||||
24,944 | 80,865 | 24,023 | ||||||||||||
1,548,861,723 | 7,744,476,701 | 2,293,076,118 | ||||||||||||
67,416,325 | 320,971,106 | 163,869,800 | ||||||||||||
49,234,202 | 50,816,097 | 12,763,686 | ||||||||||||
1,412,190 | 24,484,772 | 3,030,231 | ||||||||||||
1,291,310 | 6,007,755 | 2,222,036 | ||||||||||||
250,549 | 804,580 | 344,587 | ||||||||||||
119,604,576 | 403,084,310 | 182,230,340 | ||||||||||||
1,190,927,195 | 5,972,328,630 | 1,609,645,755 | ||||||||||||
8,675,060 | 4,825,550 | 5,071,901 | ||||||||||||
63,840,324 | 260,127,552 | 125,298,045 | ||||||||||||
165,814,568 | 1,104,110,659 | 370,830,077 | ||||||||||||
$ | 1,429,257,147 | $ | 7,341,392,391 | $ | 2,110,845,778 | |||||||||
$ | 1,287,637,803 | $ | 4,171,319,417 | $ | 1,090,132,917 | |||||||||
65,393,994 | 209,967,130 | 79,615,286 | ||||||||||||
28,277,053 | 376,389,345 | 109,682,595 | ||||||||||||
46,729,017 | 2,337,944,964 | 777,153,834 | ||||||||||||
1,219,280 | 245,771,535 | 54,261,146 | ||||||||||||
43,925,108 | 104,505,768 | 24,347,450 | ||||||||||||
2,296,253 | 5,427,086 | 1,964,970 | ||||||||||||
996,477 | 9,788,537 | 2,709,887 | ||||||||||||
1,573,441 | 58,108,421 | 16,748,528 | ||||||||||||
41,600 | 6,208,238 | 1,230,288 | ||||||||||||
48,832,879 | 184,038,050 | 47,001,123 | ||||||||||||
$29.31 | $39.91 | $44.77 | ||||||||||||
28.48 | 38.69 | 40.52 | ||||||||||||
28.38 | 38.45 | 40.47 | ||||||||||||
29.70 | 40.23 | 46.40 | ||||||||||||
29.31 | 39.59 | 44.10 | ||||||||||||
Large Cap | ||||||||
Value Fund | ||||||||
Investment income: | ||||||||
Dividends — unaffiliated issuers(a) | $ | 16,738,024 | ||||||
Dividends — affiliated issuers | — | |||||||
Interest (including securities lending income of $3,339, $47,087, $192,316 and $278,552, respectively) | 1,379,024 | |||||||
Total income | 18,117,048 | |||||||
Expenses: | ||||||||
Management fees | 5,535,659 | |||||||
Distribution and Service fees(b) | 1,483,660 | |||||||
Transfer agent fees(b) | 971,042 | |||||||
Service Share fees | 14,767 | |||||||
Custody and accounting fees | 64,303 | |||||||
Printing fees | 67,001 | |||||||
Registration fees | 43,655 | |||||||
Professional fees | 34,652 | |||||||
Trustee fees | 8,119 | |||||||
Other | 37,758 | |||||||
Total expenses | 8,260,616 | |||||||
Less — expense reductions | (22,621 | ) | ||||||
Net expenses | 8,237,995 | |||||||
NET INVESTMENT INCOME | 9,879,053 | |||||||
Realized and unrealized gain (loss) on investment transactions: | ||||||||
Net realized gain from investment transactions — unaffiliated issuers (including commissions recaptured of $140,557, $103,776, $354,577 and $0, respectively) | 83,470,227 | |||||||
Net realized loss from investment transactions — affiliated issuers | — | |||||||
Net change in unrealized gain on investments | 13,583,336 | |||||||
Net realized and unrealized gain on investment transactions | 97,053,563 | |||||||
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS | $ | 106,932,616 | ||||||
(a) | Foreign taxes withheld on dividends were $53,196 and $13,907 for Growth and Income and Mid 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 | $ | 985,078 | $ | 138,217 | $ | 360,365 | $ | 748,659 | $ | 26,261 | $ | 68,470 | $ | 126,471 | $ | 1,181 | ||||||||||||||||
Growth and Income | 1,505,337 | 322,226 | 113,010 | 1,144,056 | 61,223 | 21,472 | 8,302 | 224 | ||||||||||||||||||||||||
Mid Cap Value | 4,722,516 | 1,037,781 | 1,830,006 | 3,589,112 | 197,178 | 347,701 | 411,763 | 39,295 | ||||||||||||||||||||||||
Small Cap Value | 1,309,912 | 408,122 | 555,026 | 995,533 | 77,543 | 105,455 | 149,023 | 9,457 |
Growth and | Mid Cap | Small Cap | ||||||||||
Income Fund | Value Fund | Value Fund | ||||||||||
$ | 19,354,027 | $ | 52,232,265 | $ | 12,288,524 | |||||||
— | 343,834 | 234,561 | ||||||||||
902,214 | 6,069,685 | 2,075,554 | ||||||||||
20,256,241 | 58,645,784 | 14,598,639 | ||||||||||
4,549,059 | 23,157,570 | 10,135,052 | ||||||||||
1,940,573 | 7,590,303 | 2,273,060 | ||||||||||
1,235,277 | 4,585,049 | 1,337,011 | ||||||||||
2,799 | 491,192 | 118,206 | ||||||||||
64,280 | 190,653 | 140,616 | ||||||||||
57,154 | 137,752 | 63,708 | ||||||||||
47,929 | 80,636 | 45,581 | ||||||||||
33,796 | 35,044 | 34,052 | ||||||||||
8,119 | 8,119 | 8,119 | ||||||||||
70,481 | 345,264 | 72,977 | ||||||||||
8,009,467 | 36,621,582 | 14,228,382 | ||||||||||
(31,814 | ) | (119,713 | ) | (61,392 | ) | |||||||
7,977,653 | 36,501,869 | 14,166,990 | ||||||||||
12,278,588 | 22,143,915 | 431,649 | ||||||||||
81,646,277 | 303,349,062 | 188,184,930 | ||||||||||
— | — | (1,995,979 | ) | |||||||||
12,652,289 | 500,703,295 | 19,092,930 | ||||||||||
94,298,566 | 804,052,357 | 205,281,881 | ||||||||||
$ | 106,577,154 | $ | 826,196,272 | $ | 205,713,530 | |||||||
Large Cap Value Fund | Growth and Income Fund | ||||||||||||||||||||
For the | For the | ||||||||||||||||||||
Six Months Ended | For the | Six Months Ended | For the | ||||||||||||||||||
February 28, 2007 | Year Ended | February 28, 2007 | Year Ended | ||||||||||||||||||
(Unaudited) | August 31, 2006 | (Unaudited) | August 31, 2006 | ||||||||||||||||||
From operations: | |||||||||||||||||||||
Net investment income | $ | 9,879,053 | $ | 11,466,374 | $ | 12,278,588 | $ | 18,090,303 | |||||||||||||
Net realized gain from investment transactions | 83,470,227 | 50,902,226 | 81,646,277 | 75,962,963 | |||||||||||||||||
Net change in unrealized gain on investments | 13,583,336 | 59,478,440 | 12,652,289 | 41,654,688 | |||||||||||||||||
Net increase in net assets resulting from operations | 106,932,616 | 121,847,040 | 106,577,154 | 135,707,954 | |||||||||||||||||
Distributions to shareholders: | |||||||||||||||||||||
From net investment income | |||||||||||||||||||||
Class A Shares | (6,378,403 | ) | (3,536,462 | ) | (7,287,495 | ) | (15,459,916 | ) | |||||||||||||
Class B Shares | (36,447 | ) | — | (177,957 | ) | (644,688 | ) | ||||||||||||||
Class C Shares | (275,060 | ) | (40,591 | ) | (61,807 | ) | (149,276 | ) | |||||||||||||
Institutional Shares | (6,863,767 | ) | (3,440,770 | ) | (314,250 | ) | (352,889 | ) | |||||||||||||
Service Shares | (46,222 | ) | (18,522 | ) | (6,267 | ) | (13,987 | ) | |||||||||||||
From net realized gain | |||||||||||||||||||||
Class A Shares | (27,128,729 | ) | (39,566,820 | ) | (58,704,964 | ) | — | ||||||||||||||
Class B Shares | (978,801 | ) | (1,877,391 | ) | (3,208,884 | ) | — | ||||||||||||||
Class C Shares | (2,636,166 | ) | (3,034,163 | ) | (1,117,276 | ) | — | ||||||||||||||
Institutional Shares | (20,481,186 | ) | (25,092,442 | ) | (2,015,270 | ) | — | ||||||||||||||
Service Shares | (203,440 | ) | (202,383 | ) | (51,575 | ) | — | ||||||||||||||
Total distributions to shareholders | (65,028,221 | ) | (76,809,544 | ) | (72,945,745 | ) | (16,620,756 | ) | |||||||||||||
From share transactions: | |||||||||||||||||||||
Net proceeds from sales of shares | 691,093,094 | 573,590,981 | 255,200,629 | 174,954,300 | |||||||||||||||||
Reinvestment of dividends and distributions | 53,401,675 | 61,469,072 | 70,414,277 | 16,116,266 | |||||||||||||||||
Cost of shares repurchased | (187,016,225 | ) | (285,916,261 | ) | (103,068,366 | ) | (190,484,864 | ) | |||||||||||||
Net increase (decrease) in net assets resulting from share transactions | 557,478,544 | 349,143,792 | 222,546,540 | 585,702 | |||||||||||||||||
TOTAL INCREASE (DECREASE) | 599,382,939 | 394,181,288 | 256,177,949 | 119,672,900 | |||||||||||||||||
Net assets: | |||||||||||||||||||||
Beginning of period | 1,298,833,618 | 904,652,330 | 1,173,079,198 | 1,053,406,298 | |||||||||||||||||
End of period | $ | 1,898,216,557 | $ | 1,298,833,618 | $ | 1,429,257,147 | $ | 1,173,079,198 | |||||||||||||
Accumulated undistributed net investment income | $ | 4,201,861 | $ | 7,922,707 | $ | 8,675,060 | $ | 4,244,248 | |||||||||||||
Mid Cap Value Fund | Small Cap Value Fund | |||||||||||||||||
For the | For the | |||||||||||||||||
Six Months Ended | For the | Six Months Ended | For the | |||||||||||||||
February 28, 2007 | Year Ended | February 28, 2007 | Year Ended | |||||||||||||||
(Unaudited) | August 31, 2006 | (Unaudited) | August 31, 2006 | |||||||||||||||
$ | 22,143,915 | $ | 29,328,481 | $ | 431,649 | $ | 1,824,896 | |||||||||||
303,349,062 | 289,762,622 | 186,188,951 | 141,903,630 | |||||||||||||||
500,703,295 | 49,502,237 | 19,092,930 | 40,498,217 | |||||||||||||||
826,196,272 | 368,593,340 | 205,713,530 | 184,226,743 | |||||||||||||||
(17,267,131 | ) | (10,526,872 | ) | — | — | |||||||||||||
— | — | — | — | |||||||||||||||
— | — | — | — | |||||||||||||||
(16,859,404 | ) | (9,368,607 | ) | (1,473,292 | ) | — | ||||||||||||
(869,209 | ) | (412,877 | ) | — | — | |||||||||||||
(158,951,532 | ) | (188,260,058 | ) | (84,542,647 | ) | (75,728,950 | ) | |||||||||||
(9,001,990 | ) | (15,143,751 | ) | (7,223,369 | ) | (8,049,217 | ) | |||||||||||
(15,963,264 | ) | (24,343,219 | ) | (9,821,732 | ) | (9,703,113 | ) | |||||||||||
(86,319,324 | ) | (89,212,401 | ) | (58,816,545 | ) | (47,119,702 | ) | |||||||||||
(8,376,196 | ) | (6,744,123 | ) | (3,849,774 | ) | (2,633,286 | ) | |||||||||||
(313,608,050 | ) | (344,011,908 | ) | (165,727,359 | ) | (143,234,268 | ) | |||||||||||
1,278,830,033 | 2,233,949,448 | 261,616,461 | 482,156,211 | |||||||||||||||
277,924,764 | 303,771,448 | 151,173,368 | 128,677,197 | |||||||||||||||
(721,298,850 | ) | (1,211,067,856 | ) | (287,229,788 | ) | (702,069,048 | ) | |||||||||||
835,455,947 | 1,326,653,040 | 125,560,041 | (91,235,640 | ) | ||||||||||||||
1,348,044,169 | 1,351,234,472 | 165,546,212 | (50,243,165 | ) | ||||||||||||||
5,993,348,222 | 4,642,113,750 | 1,945,299,566 | 1,995,542,731 | |||||||||||||||
$ | 7,341,392,391 | $ | 5,993,348,222 | $ | 2,110,845,778 | $ | 1,945,299,566 | |||||||||||
$ | 4,825,550 | $ | 17,677,379 | $ | 5,071,901 | $ | 6,113,544 | |||||||||||
1. ORGANIZATION |
2. SIGNIFICANT ACCOUNTING POLICIES |
2. SIGNIFICANT ACCOUNTING POLICIES (continued) |
3. AGREEMENTS |
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 | |||||
3. AGREEMENTS (continued) |
Contingent Deferred | ||||||||||||
Sales Load | Sales Charge | |||||||||||
Fund | Class A | Class B | Class C | |||||||||
Large Cap Value | $ | 120,300 | $ | 100 | $ | 100 | ||||||
Growth and Income | 583,600 | 100 | — | |||||||||
Mid Cap Value | 150,800 | 300 | 100 | |||||||||
Small Cap Value | 10,100 | 100 | — | |||||||||
Expense Credits | ||||||||||||
Transfer | Total Expense | |||||||||||
Fund | Custody Fee | Agent Fee | Reductions | |||||||||
Large Cap Value | $ | 3 | $ | 20 | $ | 23 | ||||||
Growth and Income | 2 | 30 | 32 | |||||||||
Mid Cap Value | 13 | 107 | 120 | |||||||||
Small Cap Value | 27 | 34 | 61 | |||||||||
Management | Distribution and | Transfer | ||||||||||||||
Fund | Fees | Service Fees | Agent Fees | Total | ||||||||||||
Large Cap Value | $ | 1,020 | $ | 253 | $ | 169 | $ | 1,442 | ||||||||
Growth and Income | 760 | 324 | 207 | 1,291 | ||||||||||||
Mid Cap Value | 3,958 | 1,269 | 781 | 6,008 | ||||||||||||
Small Cap Value | 1,641 | 364 | 217 | 2,222 | ||||||||||||
4. PORTFOLIO SECURITIES TRANSACTIONS |
Fund | Purchases | Sales and Maturities | ||||||
Large Cap Value | $ | 1,077,106,424 | $ | 572,832,164 | ||||
Growth and Income | 552,637,942 | 371,445,516 | ||||||
Mid Cap Value | 2,353,805,437 | 1,743,147,579 | ||||||
Small Cap Value | 649,056,546 | 696,359,239 | ||||||
Number of | Number of | |||||||||||||||||||||||||||
Shares Held | Shares | |||||||||||||||||||||||||||
Beginning | Shares | Shares | Held End | Value at | ||||||||||||||||||||||||
of Period | Bought | Sold | of Period | End | ||||||||||||||||||||||||
Name of Affiliated Issuer | Fund | (in 000’s) | (in 000’s) | (in 000’s) | (in 000’s) | of Period | Income | |||||||||||||||||||||
Range Resources Corp. | Mid Cap Value | 6,744 | 695 | — | 7,439 | $ | 237,517,372 | $ | 343,834 | |||||||||||||||||||
Caraustar Industries, Inc. | Small Cap Value | 1,840 | — | 329 | 1,511 | 11,891,397 | — | |||||||||||||||||||||
Cardiac Science Corp. | Small Cap Value | 957 | 198 | — | 1,155 | 9,850,905 | — | |||||||||||||||||||||
Millennium Bankshares Corp. | Small Cap Value | 414 | 54 | — | 468 | 4,785,574 | 16,554 | |||||||||||||||||||||
ProCentury Corp. | Small Cap Value | 626 | — | 80 | 546 | 11,008,308 | 50,099 | |||||||||||||||||||||
Wabash National Corp. | Small Cap Value | 1,838 | — | 23 | 1,815 | 29,242,904 | 167,908 | |||||||||||||||||||||
5. SECURITIES LENDING |
Earnings Received | Amount Payable to | |||||||||||
Earnings of BGA | by the Funds | Goldman Sachs | ||||||||||
Relating to Securities | From Lending to | Upon Return of | ||||||||||
Loaned for the | Goldman Sachs for the | Securities Loaned | ||||||||||
six months ended | six months ended | as of | ||||||||||
Fund | February 28, 2007 | February 28, 2007 | February 28, 2007 | |||||||||
Large Cap Value | $ | 485 | $ | 328 | $ | — | ||||||
Growth and Income | 6,168 | 732 | — | |||||||||
Mid Cap Value | 25,700 | 55,077 | 76,215,950 | |||||||||
Small Cap Value | 38,109 | 33,828 | 30,904,100 | |||||||||
6. LINE OF CREDIT FACILITY |
7. TAX INFORMATION |
Large Cap | Growth and | Mid Cap | Small Cap | ||||||||||||||
Value Fund | Income Fund | Value Fund | Value Fund | ||||||||||||||
Tax Cost | $ | 1,759,012,435 | $ | 1,321,880,653 | $ | 6,602,882,569 | $ | 1,916,146,801 | |||||||||
Gross unrealized gain | 165,444,130 | 233,385,398 | 1,152,349,034 | 397,279,184 | |||||||||||||
Gross unrealized loss | (22,016,094 | ) | (64,020,466 | ) | (55,088,824 | ) | (32,998,408 | ) | |||||||||
Net unrealized security gain | $ | 143,428,036 | $ | 169,364,932 | $ | 1,097,260,210 | $ | 364,280,776 | |||||||||
8. OTHER MATTERS |
8. OTHER MATTERS (continued) |
9. SUMMARY OF SHARE TRANSACTIONS |
Large Cap Value Fund | ||||||||||||||||
For the Six Months Ended | ||||||||||||||||
February 28, 2007 | For the Year Ended | |||||||||||||||
(Unaudited) | August 31, 2006 | |||||||||||||||
Shares | Dollars | Shares | Dollars | |||||||||||||
Class A Shares | ||||||||||||||||
Shares sold | 12,293,294 | $ | 177,933,146 | 21,417,779 | $ | 285,104,810 | ||||||||||
Shares converted from Class B(a) | 33,295 | 471,213 | 60,747 | 796,180 | ||||||||||||
Reinvestment of dividends and distributions | 2,088,359 | 30,030,606 | 2,907,805 | 37,045,436 | ||||||||||||
Shares repurchased | (7,018,410 | ) | (102,066,409 | ) | (11,813,897 | ) | (157,098,388 | ) | ||||||||
7,396,538 | 106,368,556 | 12,572,434 | 165,848,038 | |||||||||||||
Class B Shares | ||||||||||||||||
Shares sold | 405,461 | 5,724,348 | 365,525 | 4,757,330 | ||||||||||||
Shares converted to Class A(a) | (34,136 | ) | (471,213 | ) | (62,154 | ) | (796,180 | ) | ||||||||
Reinvestment of dividends and distributions | 63,657 | 895,016 | 130,284 | 1,627,246 | ||||||||||||
Shares repurchased | (179,429 | ) | (2,545,545 | ) | (491,994 | ) | (6,357,181 | ) | ||||||||
255,553 | 3,602,606 | (58,339 | ) | (768,785 | ) | |||||||||||
Class C Shares | ||||||||||||||||
Shares sold | 2,182,190 | 30,599,358 | 1,701,749 | 22,114,210 | ||||||||||||
Reinvestment of dividends and distributions | 164,422 | 2,298,612 | 189,928 | 2,362,710 | ||||||||||||
Shares repurchased | (243,575 | ) | (3,426,214 | ) | (665,437 | ) | (8,628,229 | ) | ||||||||
2,103,037 | 29,471,756 | 1,226,240 | 15,848,691 | |||||||||||||
Institutional Shares | ||||||||||||||||
Shares sold | 32,243,982 | 474,571,200 | 19,432,914 | 259,017,632 | ||||||||||||
Reinvestment of dividends and distributions | 1,379,910 | 20,008,701 | 1,579,949 | 20,286,547 | ||||||||||||
Shares repurchased | (5,346,541 | ) | (78,646,595 | ) | (8,408,587 | ) | (113,147,128 | ) | ||||||||
28,277,351 | 415,933,306 | 12,604,276 | 166,157,051 | |||||||||||||
Service Shares | ||||||||||||||||
Shares sold | 157,751 | 2,265,042 | 197,147 | 2,596,999 | ||||||||||||
Reinvestment of dividends and distributions | 11,784 | 168,740 | 11,576 | 147,133 | ||||||||||||
Shares repurchased | (23,055 | ) | (331,462 | ) | (51,525 | ) | (685,335 | ) | ||||||||
146,480 | 2,102,320 | 157,198 | 2,058,797 | |||||||||||||
NET INCREASE (DECREASE) | 38,178,959 | $ | 557,478,544 | 26,501,809 | $ | 349,143,792 | ||||||||||
(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 Fund | ||||||||||||||||
For the Six Months Ended | ||||||||||||||||
February 28, 2007 | For the Year Ended | |||||||||||||||
(Unaudited) | August 31, 2006 | |||||||||||||||
Shares | Dollars | Shares | Dollars | |||||||||||||
7,040,443 | $ | 208,862,391 | 5,591,288 | $ | 148,554,840 | |||||||||||
109,014 | 3,180,433 | 543,064 | 14,269,323 | |||||||||||||
2,212,595 | 64,960,668 | 576,587 | 15,221,413 | |||||||||||||
(2,729,269 | ) | (81,005,573 | ) | (5,608,258 | ) | (148,875,593 | ) | |||||||||
6,632,783 | 195,997,919 | 1,102,681 | 29,169,983 | |||||||||||||
283,598 | 8,203,491 | 262,476 | 6,796,360 | |||||||||||||
(112,064 | ) | (3,180,433 | ) | (558,151 | ) | (14,269,323 | ) | |||||||||
113,112 | 3,232,564 | 23,587 | 605,305 | |||||||||||||
(320,501 | ) | (9,159,480 | ) | (1,115,800 | ) | (28,608,415 | ) | |||||||||
(35,855 | ) | (903,858 | ) | (1,387,888 | ) | (35,476,073 | ) | |||||||||
336,325 | 9,708,345 | 187,861 | 4,874,981 | |||||||||||||
37,855 | 1,078,054 | 5,392 | 138,440 | |||||||||||||
(60,206 | ) | (1,730,771 | ) | (162,329 | ) | (4,167,357 | ) | |||||||||
313,974 | 9,055,628 | 30,924 | 846,064 | |||||||||||||
944,302 | 28,171,475 | 528,256 | 14,590,234 | |||||||||||||
36,662 | 1,089,665 | 5,171 | 138,042 | |||||||||||||
(365,321 | ) | (11,037,331 | ) | (319,227 | ) | (8,518,014 | ) | |||||||||
615,643 | 18,223,809 | 214,200 | 6,210,262 | |||||||||||||
8,631 | 254,927 | 5,157 | 137,885 | |||||||||||||
1,815 | 53,326 | 495 | 13,066 | |||||||||||||
(4,448 | ) | (135,211 | ) | (12,455 | ) | (315,485 | ) | |||||||||
5,998 | 173,042 | (6,803 | ) | (164,534 | ) | |||||||||||
7,532,543 | $ | 222,546,540 | (46,886 | ) | $ | 585,702 | ||||||||||
9. SUMMARY OF SHARE TRANSACTIONS (continued) |
Mid Cap Value Fund | ||||||||||||||||
For the Six Months Ended | ||||||||||||||||
February 28, 2007 | For the Year Ended | |||||||||||||||
(Unaudited) | August 31, 2006 | |||||||||||||||
Shares | Dollars | Shares | Dollars | |||||||||||||
Class A Shares | ||||||||||||||||
Shares sold | 18,352,128 | $ | 716,624,851 | 36,674,105 | $ | 1,333,084,001 | ||||||||||
Shares converted from Class B(a) | 78,042 | 2,937,723 | 227,195 | 8,201,866 | ||||||||||||
Reinvestment of dividends and distributions | 4,221,095 | 164,116,153 | 5,283,824 | 184,616,979 | ||||||||||||
Shares repurchased | (11,370,847 | ) | (443,031,557 | ) | (22,570,606 | ) | (819,958,649 | ) | ||||||||
11,280,418 | 440,647,170 | 19,614,518 | 705,944,197 | |||||||||||||
Class B Shares | ||||||||||||||||
Shares sold | 60,492 | 2,284,745 | 264,943 | 9,337,542 | ||||||||||||
Shares converted to Class A(a) | (80,480 | ) | (2,937,723 | ) | (233,381 | ) | (8,201,866 | ) | ||||||||
Reinvestment of dividends and distributions | 214,880 | 8,109,576 | 394,639 | 13,445,348 | ||||||||||||
Shares repurchased | (542,387 | ) | (20,340,111 | ) | (1,169,693 | ) | (41,283,387 | ) | ||||||||
(347,495 | ) | (12,883,513 | ) | (743,492 | ) | (26,702,363 | ) | |||||||||
Class C Shares | ||||||||||||||||
Shares sold | 480,481 | 18,076,319 | 1,359,257 | 47,644,083 | ||||||||||||
Reinvestment of dividends and distributions | 305,070 | 11,443,198 | 515,537 | 17,461,267 | ||||||||||||
Shares repurchased | (952,101 | ) | (35,757,118 | ) | (2,007,961 | ) | (70,594,195 | ) | ||||||||
(166,550 | ) | (6,237,601 | ) | (133,167 | ) | (5,488,845 | ) | |||||||||
Institutional Shares | ||||||||||||||||
Shares sold | 11,418,675 | 453,059,821 | 20,085,253 | 736,002,642 | ||||||||||||
Reinvestment of dividends and distributions | 2,237,248 | 87,588,260 | 2,362,543 | 83,067,008 | ||||||||||||
Shares repurchased | (4,961,626 | ) | (196,790,881 | ) | (6,748,840 | ) | (247,345,508 | ) | ||||||||
8,694,297 | 343,857,200 | 15,698,956 | 571,724,142 | |||||||||||||
Service Shares | ||||||||||||||||
Shares sold | 2,280,526 | 88,784,297 | 2,984,368 | 107,881,180 | ||||||||||||
Reinvestment of dividends and distributions | 172,870 | 6,667,577 | 149,304 | 5,180,845 | ||||||||||||
Shares repurchased | (654,622 | ) | (25,379,183 | ) | (884,945 | ) | (31,886,117 | ) | ||||||||
1,798,774 | 70,072,691 | 2,248,727 | 81,175,908 | |||||||||||||
NET INCREASE (DECREASE) | 21,259,444 | $ | 835,455,947 | 36,685,542 | $ | 1,326,653,039 | ||||||||||
(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 Fund | ||||||||||||||||
For the Six Months Ended | ||||||||||||||||
February 28, 2007 | For the Year Ended | |||||||||||||||
(Unaudited) | August 31, 2006 | |||||||||||||||
Shares | Dollars | Shares | Dollars | |||||||||||||
2,939,894 | $ | 132,784,472 | 5,355,290 | $ | 230,947,459 | |||||||||||
40,766 | 1,814,713 | 155,658 | 6,604,037 | |||||||||||||
1,817,085 | 79,988,071 | 1,739,168 | 71,531,985 | |||||||||||||
(3,099,350 | ) | (140,326,969 | ) | (9,477,869 | ) | (406,482,472 | ) | |||||||||
1,698,395 | 74,260,287 | (2,227,753 | ) | (97,398,991 | ) | |||||||||||
17,327 | 710,057 | 34,997 | 1,381,089 | |||||||||||||
(44,690 | ) | (1,814,713 | ) | (168,887 | ) | (6,604,037 | ) | |||||||||
164,073 | 6,546,515 | 190,890 | 7,228,989 | |||||||||||||
(248,246 | ) | (10,216,516 | ) | (665,214 | ) | (26,287,458 | ) | |||||||||
(111,536 | ) | (4,774,657 | ) | (608,214 | ) | (24,281,417 | ) | |||||||||
76,694 | 3,111,650 | 169,909 | 6,694,970 | |||||||||||||
207,447 | 8,268,847 | 213,286 | 8,070,758 | |||||||||||||
(314,191 | ) | (12,908,116 | ) | (891,583 | ) | (35,311,240 | ) | |||||||||
(30,050 | ) | (1,527,619 | ) | (508,388 | ) | (20,545,512 | ) | |||||||||
2,357,974 | 110,629,651 | 4,923,661 | 219,630,302 | |||||||||||||
1,154,096 | 52,603,715 | 927,827 | 39,330,586 | |||||||||||||
(2,426,209 | ) | (113,370,646 | ) | (4,999,097 | ) | (221,174,093 | ) | |||||||||
1,085,861 | 49,862,720 | 852,391 | 37,786,795 | |||||||||||||
321,882 | 14,380,631 | 546,948 | 23,502,391 | |||||||||||||
86,840 | 3,766,220 | 61,912 | 2,514,879 | |||||||||||||
(233,628 | ) | (10,407,541 | ) | (300,661 | ) | (12,813,785 | ) | |||||||||
175,094 | 7,739,310 | 308,199 | 13,203,485 | |||||||||||||
2,817,764 | $ | 125,560,041 | (2,183,765 | ) | $ | (91,235,640 | ) | |||||||||
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 | gain | distributions | |||||||||||||||||||||||||
FOR THE SIX MONTHS ENDED FEBRUARY 28, (Unaudited) | ||||||||||||||||||||||||||||||||
2007 - A | $ | 13.80 | $ | 0.08 | $ | 1.07 | $ | 1.15 | $ | (0.12 | ) | $ | (0.50 | ) | $ | (0.62 | ) | |||||||||||||||
2007 - B | 13.44 | 0.03 | 1.04 | 1.07 | (0.02 | ) | (0.50 | ) | (0.52 | ) | ||||||||||||||||||||||
2007 - C | 13.40 | 0.03 | 1.03 | 1.06 | (0.05 | ) | (0.50 | ) | (0.55 | ) | ||||||||||||||||||||||
2007 - Institutional | 13.94 | 0.12 | 1.07 | 1.19 | (0.17 | ) | (0.50 | ) | (0.67 | ) | ||||||||||||||||||||||
2007 - Service | 13.75 | 0.08 | 1.06 | 1.14 | (0.12 | ) | (0.50 | ) | (0.62 | ) | ||||||||||||||||||||||
FOR THE YEARS ENDED AUGUST 31, | ||||||||||||||||||||||||||||||||
2006 - A | $ | 13.40 | $ | 0.12 | $ | 1.36 | $ | 1.48 | $ | (0.09 | ) | $ | (0.99 | ) | $ | (1.08 | ) | |||||||||||||||
2006 - B | 13.09 | 0.02 | 1.32 | 1.34 | — | (0.99 | ) | (0.99 | ) | |||||||||||||||||||||||
2006 - C | 13.06 | 0.03 | 1.31 | 1.34 | (0.01 | ) | (0.99 | ) | (1.00 | ) | ||||||||||||||||||||||
2006 - Institutional | 13.52 | 0.18 | 1.37 | 1.55 | (0.14 | ) | (0.99 | ) | (1.13 | ) | ||||||||||||||||||||||
2006 - Service | 13.37 | 0.11 | 1.35 | 1.46 | (0.09 | ) | (0.99 | ) | (1.08 | ) | ||||||||||||||||||||||
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 | ) | |||||||||||||||||||||
(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. |
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 | |||||||||||||||||||||||||||
$ | 14.33 | 8.32 | % | $ | 840,534 | 1.19 | %(c) | 1.15 | %(c) | 1.20 | %(c) | 1.14 | %(c) | 38 | % | |||||||||||||||||||
13.99 | 7.95 | 29,528 | 1.94 | (c) | 0.40 | (c) | 1.95 | (c) | 0.39 | (c) | 38 | |||||||||||||||||||||||
13.91 | 7.92 | 86,253 | 1.94 | (c) | 0.45 | (c) | 1.95 | (c) | 0.44 | (c) | 38 | |||||||||||||||||||||||
14.46 | 8.53 | 934,874 | 0.79 | (c) | 1.61 | (c) | 0.80 | (c) | 1.60 | (c) | 38 | |||||||||||||||||||||||
14.27 | 8.25 | 7,028 | 1.29 | (c) | 1.09 | (c) | 1.30 | (c) | 1.08 | (c) | 38 | |||||||||||||||||||||||
$ | 13.80 | 11.67 | % | $ | 707,319 | 1.23 | % | 0.94 | % | 1.23 | % | 0.94 | % | 66 | % | |||||||||||||||||||
13.44 | 10.78 | 24,939 | 1.98 | 0.17 | 1.98 | 0.17 | 66 | |||||||||||||||||||||||||||
13.40 | 10.85 | 54,910 | 1.98 | 0.19 | 1.98 | 0.19 | 66 | |||||||||||||||||||||||||||
13.94 | 12.12 | 506,910 | 0.83 | 1.35 | 0.83 | 1.35 | 66 | |||||||||||||||||||||||||||
13.75 | 11.56 | 4,756 | 1.33 | 0.86 | 1.33 | 0.86 | 66 | |||||||||||||||||||||||||||
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 | ||||||||||||||||||||||||||
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(a) | gain (loss) | operations | income | gain | distributions | |||||||||||||||||||||||||
FOR THE SIX MONTHS ENDED FEBRUARY 28, (Unaudited) | ||||||||||||||||||||||||||||||||
2007 - A | $ | 28.45 | $ | 0.28 | $ | 2.21 | $ | 2.49 | $ | (0.18 | ) | $ | (1.45 | ) | $ | (1.63 | ) | |||||||||||||||
2007 - B | 27.69 | 0.16 | 2.16 | 2.32 | (0.08 | ) | (1.45 | ) | (1.53 | ) | ||||||||||||||||||||||
2007 - C | 27.60 | 0.16 | 2.15 | 2.31 | (0.08 | ) | (1.45 | ) | (1.53 | ) | ||||||||||||||||||||||
2007 - Institutional | 28.81 | 0.35 | 2.23 | 2.58 | (0.24 | ) | (1.45 | ) | (1.69 | ) | ||||||||||||||||||||||
2007 - Service | 28.45 | 0.26 | 2.22 | 2.48 | (0.17 | ) | (1.45 | ) | (1.62 | ) | ||||||||||||||||||||||
FOR THE YEARS ENDED AUGUST 31, | ||||||||||||||||||||||||||||||||
2006 - A | $ | 25.55 | $ | 0.46 | $ | 2.86 | $ | 3.32 | $ | (0.42 | ) | $ | — | $ | (0.42 | ) | ||||||||||||||||
2006 - B | 24.86 | 0.24 | 2.82 | 3.06 | (0.23 | ) | — | (0.23 | ) | |||||||||||||||||||||||
2006 - C | 24.78 | 0.25 | 2.80 | 3.05 | (0.23 | ) | — | (0.23 | ) | |||||||||||||||||||||||
2006 - Institutional | 25.86 | 0.57 | 2.91 | 3.48 | (0.53 | ) | — | (0.53 | ) | |||||||||||||||||||||||
2006 - Service | 25.54 | 0.42 | 2.88 | 3.30 | (0.39 | ) | — | (0.39 | ) | |||||||||||||||||||||||
2005 - A | 22.88 | 0.41 | (d) | 2.61 | (e) | 3.02 | (0.35 | ) | — | (0.35 | ) | |||||||||||||||||||||
2005 - B | 22.27 | 0.22 | (d) | 2.54 | (e) | 2.76 | (0.17 | ) | — | (0.17 | ) | |||||||||||||||||||||
2005 - C | 22.21 | 0.22 | (d) | 2.53 | (e) | 2.75 | (0.18 | ) | — | (0.18 | ) | |||||||||||||||||||||
2005 - Institutional | 23.15 | 0.52 | (d) | 2.63 | (e) | 3.15 | (0.44 | ) | — | (0.44 | ) | |||||||||||||||||||||
2005 - Service | 22.87 | 0.38 | (d) | 2.61 | (e) | 2.99 | (0.32 | ) | — | (0.32 | ) | |||||||||||||||||||||
2004 - A | 19.22 | 0.22 | 3.67 | 3.89 | (0.23 | ) | — | (0.23 | ) | |||||||||||||||||||||||
2004 - B | 18.72 | 0.05 | 3.58 | 3.63 | (0.08 | ) | — | (0.08 | ) | |||||||||||||||||||||||
2004 - C | 18.67 | 0.05 | 3.57 | 3.62 | (0.08 | ) | — | (0.08 | ) | |||||||||||||||||||||||
2004 - Institutional | 19.44 | 0.31 | 3.72 | 4.03 | (0.32 | ) | — | (0.32 | ) | |||||||||||||||||||||||
2004 - Service | 19.19 | 0.19 | 3.68 | 3.87 | (0.19 | ) | — | (0.19 | ) | |||||||||||||||||||||||
2003 - A | 18.01 | 0.25 | 1.21 | 1.46 | (0.25 | ) | — | (0.25 | ) | |||||||||||||||||||||||
2003 - B | 17.55 | 0.12 | 1.17 | 1.29 | (0.12 | ) | — | (0.12 | ) | |||||||||||||||||||||||
2003 - C | 17.51 | 0.12 | 1.16 | 1.28 | (0.12 | ) | — | (0.12 | ) | |||||||||||||||||||||||
2003 - Institutional | 18.22 | 0.33 | 1.21 | 1.54 | (0.32 | ) | — | (0.32 | ) | |||||||||||||||||||||||
2003 - Service | 17.98 | 0.23 | 1.21 | 1.44 | (0.23 | ) | — | (0.23 | ) | |||||||||||||||||||||||
2002 - A | 19.66 | 0.18 | (1.69 | ) | (1.51 | ) | (0.14 | ) | — | (0.14 | ) | |||||||||||||||||||||
2002 - B | 19.23 | 0.04 | (1.65 | ) | (1.61 | ) | (0.07 | ) | — | (0.07 | ) | |||||||||||||||||||||
2002 - C | 19.19 | 0.04 | (1.65 | ) | (1.61 | ) | (0.07 | ) | — | (0.07 | ) | |||||||||||||||||||||
2002 - Institutional | 19.84 | 0.22 | (1.66 | ) | (1.44 | ) | (0.18 | ) | — | (0.18 | ) | |||||||||||||||||||||
2002 - Service | 19.63 | 0.16 | (1.68 | ) | (1.52 | ) | (0.13 | ) | — | (0.13 | ) | |||||||||||||||||||||
(a) | Calculated based on the average shares outstanding methodology. |
(b) | Assumes investment at the net asset value at the beginning of the period, reinvestment of all dividends and distributions, a complete redemption of the investment at the net asset value at the end of the period and no sales or redemption charges. Total return would be reduced if a sales or redemption charge were taken into account. Total returns for periods less than one full year are not annualized. Returns do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares. |
(c) | 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. |
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 | total expenses | income | Portfolio | ||||||||||||||||||||||||||||
value, end | Total | period | to average | to average | to average | to average | turnover | |||||||||||||||||||||||||||
of period | return(b) | (in 000s) | net assets | net assets | net assets | net assets | rate | |||||||||||||||||||||||||||
$ | 29.31 | 8.78 | % | $ | 1,287,638 | 1.16 | %(c) | 1.88 | %(c) | 1.16 | %(c) | 1.88 | %(c) | 28 | % | |||||||||||||||||||
28.48 | 8.36 | 65,394 | 1.91 | (c) | 1.11 | (c) | 1.91 | (c) | 1.11 | (c) | 28 | |||||||||||||||||||||||
28.38 | 8.37 | 28,277 | 1.91 | (c) | 1.15 | (c) | 1.91 | (c) | 1.15 | (c) | 28 | |||||||||||||||||||||||
29.70 | 8.99 | 46,729 | 0.76 | (c) | 2.32 | (c) | 0.76 | (c) | 2.32 | (c) | 28 | |||||||||||||||||||||||
29.31 | 8.72 | 1,219 | 1.26 | (c) | 1.78 | (c) | 1.26 | (c) | 1.78 | (c) | 28 | |||||||||||||||||||||||
$ | 28.45 | 13.14 | % | $ | 1,061,063 | 1.18 | % | 1.72 | % | 1.19 | % | 1.72 | % | 51 | ||||||||||||||||||||
27.69 | 12.36 | 64,579 | 1.93 | 0.93 | 1.94 | 0.93 | 51 | |||||||||||||||||||||||||||
27.60 | 12.33 | 18,834 | 1.93 | 0.97 | 1.94 | 0.97 | 51 | |||||||||||||||||||||||||||
28.81 | 13.62 | 27,590 | 0.78 | 2.14 | 0.79 | 2.14 | 51 | |||||||||||||||||||||||||||
28.45 | 13.06 | 1,013 | 1.28 | 1.59 | 1.29 | 1.59 | 51 | |||||||||||||||||||||||||||
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 | ||||||||||||||||||||||||||
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 | gain | distributions | |||||||||||||||||||||||||
FOR THE SIX MONTHS ENDED FEBRUARY 28, (Unaudited) | ||||||||||||||||||||||||||||||||
2007 - A | $ | 36.84 | $ | 0.12 | $ | 4.80 | $ | 4.92 | $ | (0.18 | ) | $ | (1.67 | ) | $ | (1.85 | ) | |||||||||||||||
2007 - B | 35.73 | (0.03 | ) | 4.66 | 4.63 | — | (1.67 | ) | (1.67 | ) | ||||||||||||||||||||||
2007 - C | 35.52 | (0.03 | ) | 4.63 | 4.60 | — | (1.67 | ) | (1.67 | ) | ||||||||||||||||||||||
2007 - Institutional | 37.18 | 0.20 | 4.84 | 5.04 | (0.32 | ) | (1.67 | ) | (1.99 | ) | ||||||||||||||||||||||
2007 - Service | 36.57 | 0.10 | 4.76 | 4.86 | (0.17 | ) | (1.67 | ) | (1.84 | ) | ||||||||||||||||||||||
FOR THE YEARS ENDED AUGUST 31, | ||||||||||||||||||||||||||||||||
2006 - A | $ | 36.88 | $ | 0.18 | $ | 2.30 | $ | 2.48 | $ | (0.13 | ) | $ | (2.39 | ) | $ | (2.52 | ) | |||||||||||||||
2006 - B | 35.96 | (0.09 | ) | 2.25 | 2.16 | — | (2.39 | ) | (2.39 | ) | ||||||||||||||||||||||
2006 - C | 35.76 | (0.09 | ) | 2.24 | 2.15 | — | (2.39 | ) | (2.39 | ) | ||||||||||||||||||||||
2006 - Institutional | 37.17 | 0.33 | 2.32 | 2.65 | (0.25 | ) | (2.39 | ) | (2.64 | ) | ||||||||||||||||||||||
2006 - Service | 36.67 | 0.15 | 2.29 | 2.44 | (0.15 | ) | (2.39 | ) | (2.54 | ) | ||||||||||||||||||||||
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 | ) | |||||||||||||||||||||||
(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. |
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 | |||||||||||||||||||||||||||
$ | 39.91 | 13.48 | % | $ | 4,171,319 | 1.16 | %(c) | 0.61 | %(c) | 1.17 | %(c) | 0.60 | %(c) | 27 | % | |||||||||||||||||||
38.69 | 13.06 | 209,967 | 1.91 | (c) | (0.14 | ) (c) | 1.92 | (c) | (0.15 | ) (c) | 27 | |||||||||||||||||||||||
38.45 | 13.05 | 376,389 | 1.91 | (c) | (0.14 | ) (c) | 1.92 | (c) | (0.15 | ) (c) | 27 | |||||||||||||||||||||||
40.23 | 13.70 | 2,337,945 | 0.76 | (c) | 1.02 | (c) | 0.77 | (c) | 1.01 | (c) | 27 | |||||||||||||||||||||||
39.59 | 13.42 | 245,772 | 1.26 | (c) | 0.52 | (c) | 1.27 | (c) | 0.51 | (c) | 27 | |||||||||||||||||||||||
$ | 36.84 | 7.14 | % | $ | 3,434,753 | 1.17 | % | 0.51 | % | 1.19 | % | 0.49 | % | 49 | % | |||||||||||||||||||
35.73 | 6.34 | 206,336 | 1.92 | (0.25 | ) | 1.94 | (0.27 | ) | 49 | |||||||||||||||||||||||||
35.52 | 6.35 | 353,614 | 1.92 | (0.25 | ) | 1.94 | (0.27 | ) | 49 | |||||||||||||||||||||||||
37.18 | 7.58 | 1,837,408 | 0.77 | 0.91 | 0.79 | 0.90 | 49 | |||||||||||||||||||||||||||
36.57 | 7.05 | 161,237 | 1.27 | 0.42 | 1.29 | 0.41 | 49 | |||||||||||||||||||||||||||
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 | |||||||||||||||||||||||||||
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 | gain | distributions | |||||||||||||||||||||||||
FOR THE SIX MONTHS ENDED FEBRUARY 28, (Unaudited) | ||||||||||||||||||||||||||||||||
2007 - A | $ | 43.93 | $ | (0.01 | ) | $ | 4.63 | $ | 4.62 | $ | — | $ | (3.78 | ) | $ | (3.78 | ) | |||||||||||||||
2007 - B | 40.23 | (0.16 | ) | 4.23 | 4.07 | — | (3.78 | ) | (3.78 | ) | ||||||||||||||||||||||
2007 - C | 40.19 | (0.16 | ) | 4.22 | 4.06 | — | (3.78 | ) | (3.78 | ) | ||||||||||||||||||||||
2007 - Institutional | 45.40 | 0.09 | 4.79 | 4.88 | (0.10 | ) | (3.78 | ) | (3.88 | ) | ||||||||||||||||||||||
2007 - Service | 43.34 | (0.03 | ) | 4.57 | 4.54 | — | (3.78 | ) | (3.78 | ) | ||||||||||||||||||||||
FOR THE YEARS ENDED AUGUST 31, | ||||||||||||||||||||||||||||||||
2006 - A | $ | 43.07 | $ | 0.02 | $ | 4.07 | $ | 4.09 | $ | — | $ | (3.23 | ) | $ | (3.23 | ) | ||||||||||||||||
2006 - B | 39.98 | (0.28 | ) | 3.76 | 3.48 | — | (3.23 | ) | (3.23 | ) | ||||||||||||||||||||||
2006 - C | 39.95 | (0.28 | ) | 3.75 | 3.47 | — | (3.23 | ) | (3.23 | ) | ||||||||||||||||||||||
2006 - Institutional | 44.24 | 0.19 | 4.20 | 4.39 | — | (3.23 | ) | (3.23 | ) | |||||||||||||||||||||||
2006 - Service | 42.58 | (0.04 | ) | 4.03 | 3.99 | — | (3.23 | ) | (3.23 | ) | ||||||||||||||||||||||
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 | ) | |||||||||||||||||||||
(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. |
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 | |||||||||||||||||||||||||||
$ | 44.77 | 10.66 | % | $ | 1,090,133 | 1.47 | %(c) | (0.03 | )%(c) | 1.47 | %(c) | (0.03 | )%(c) | 33 | % | |||||||||||||||||||
40.52 | 10.26 | 79,615 | 2.22 | (c) | (0.77 | )(c) | 2.22 | (c) | (0.77 | )(c) | 33 | |||||||||||||||||||||||
40.47 | 10.27 | 109,683 | 2.22 | (c) | (0.78 | )(c) | 2.22 | (c) | (0.78 | )(c) | 33 | |||||||||||||||||||||||
46.40 | 10.89 | 777,154 | 1.07 | (c) | 0.37(c | ) | 1.07(c | ) | 0.37(c | ) | 33 | |||||||||||||||||||||||
44.10 | 10.62 | 54,261 | 1.57 | (c) | (0.14 | )(c) | 1.57 | (c) | (0.14 | )(c) | 33 | |||||||||||||||||||||||
$ | 43.93 | 10.01 | % | $ | 994,880 | 1.47 | % | 0.04 | % | 1.48 | % | 0.04 | % | 46 | % | |||||||||||||||||||
40.23 | 9.21 | 83,531 | 2.22 | (0.70 | ) | 2.23 | (0.70 | ) | 46 | |||||||||||||||||||||||||
40.19 | 9.19 | 110,108 | 2.22 | (0.70 | ) | 2.23 | (0.71 | ) | 46 | |||||||||||||||||||||||||
45.40 | 10.45 | 711,046 | 1.07 | 0.43 | 1.08 | 0.43 | 46 | |||||||||||||||||||||||||||
43.34 | 9.88 | 45,735 | 1.58 | (0.10 | ) | 1.58 | (0.10 | ) | 46 | |||||||||||||||||||||||||
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 | ||||||||||||||||||||||||||
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 | 9/1/06 | 2/28/07 | 2/28/07* | 9/1/06 | 2/28/07 | 2/28/07* | 9/1/06 | 2/28/07 | 2/28/07* | 9/1/06 | 2/28/07 | 2/28/07* | ||||||||||||||||||||||||||||||||||||
Class A | ||||||||||||||||||||||||||||||||||||||||||||||||
Actual | $ | 1,000.00 | $ | 1,083.20 | $ | 6.17 | $ | 1,000.00 | $ | 1,087.80 | $ | 6.00 | $ | 1,000.00 | $ | 1,134.80 | $ | 6.15 | $ | 1,000.00 | $ | 1,106.60 | $ | 7.66 | ||||||||||||||||||||||||
Hypothetical 5% return | 1,000.00 | 1,018.87 | + | 5.98 | 1,000.00 | 1,019.04 | + | 5.80 | �� | 1,000.00 | 1,019.03 | + | 5.81 | 1,000.00 | 1,017.52 | + | 7.34 | |||||||||||||||||||||||||||||||
Class B | ||||||||||||||||||||||||||||||||||||||||||||||||
Actual | 1,000.00 | 1,079.50 | 10.03 | 1,000.00 | 1,083.60 | 9.86 | 1,000.00 | 1,130.60 | 10.09 | 1,000.00 | 1,102.60 | 11.55 | ||||||||||||||||||||||||||||||||||||
Hypothetical 5% return | 1,000.00 | 1,015.15 | + | 9.72 | 1,000.00 | 1,015.33 | + | 9.54 | 1,000.00 | 1,015.32 | + | 9.54 | 1,000.00 | 1,013.81 | + | 11.06 | ||||||||||||||||||||||||||||||||
Class C | ||||||||||||||||||||||||||||||||||||||||||||||||
Actual | 1,000.00 | 1,079.20 | 10.03 | 1,000.00 | 1,083.70 | 9.87 | 1,000.00 | 1,130.50 | 10.09 | 1,000.00 | 1,102.70 | 11.56 | ||||||||||||||||||||||||||||||||||||
Hypothetical 5% return | 1,000.00 | 1,015.15 | + | 9.72 | 1,000.00 | 1,015.33 | + | 9.54 | 1,000.00 | 1,015.32 | + | 9.54 | 1,000.00 | 1,013.81 | + | 11.06 | ||||||||||||||||||||||||||||||||
Institutional | ||||||||||||||||||||||||||||||||||||||||||||||||
Actual | 1,000.00 | 1,085.30 | 4.13 | 1,000.00 | 1,089.90 | 3.94 | 1,000.00 | 1,137.00 | 4.04 | 1,000.00 | 1,108.90 | 5.58 | ||||||||||||||||||||||||||||||||||||
Hypothetical 5% return | 1,000.00 | 1,020.84 | + | 4.00 | 1,000.00 | 1,021.02 | + | 3.81 | 1,000.00 | 1,021.02 | + | 3.82 | 1,000.00 | 1,019.50 | + | 5.34 | ||||||||||||||||||||||||||||||||
Service | ||||||||||||||||||||||||||||||||||||||||||||||||
Actual | 1,000.00 | 1,082.50 | 6.68 | 1,000.00 | 1,087.20 | 6.52 | 1,000.00 | 1,134.20 | 6.68 | 1,000.00 | 1,106.20 | 8.19 | ||||||||||||||||||||||||||||||||||||
Hypothetical 5% return | 1,000.00 | 1,018.37 | + | 6.48 | 1,000.00 | 1,018.55 | + | 6.30 | 1,000.00 | 1,018.53 | + | 6.32 | 1,000.00 | 1,017.02 | + | 7.84 | ||||||||||||||||||||||||||||||||
* | Expenses for each share class are calculated using each Fund’s annualized net expense ratio for each class, which represents the ongoing expenses as a percentage of net assets for the six months ended February 28, 2007. 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 | 1.19 | % | 1.94 | % | 1.94 | % | 0.79 | % | 1.29 | % | ||||||||||
Growth and Income | 1.16 | 1.91 | 1.91 | 0.76 | 1.26 | |||||||||||||||
Mid Cap Value | 1.16 | 1.91 | 1.91 | 0.76 | 1.26 | |||||||||||||||
Small Cap Value | 1.47 | 2.22 | 2.22 | 1.07 | 1.57 | |||||||||||||||
+ | Hypothetical expenses are based on each Fund’s actual annualized net expense ratios and an assumed rate of return of 5% per year before expenses. |
GOLDMAN SACHS FUNDS |
Money Market Funds1 Fixed Income Funds ▪ Enhanced Income Fund ▪ Ultra-Short Duration Government Fund ▪ Short Duration Government Fund ▪ Short Duration Tax-Free Fund ▪ California Intermediate AMT-Free Municipal Fund ▪ New York Intermediate AMT-Free Municipal Fund ▪ Tennessee Municipal Fund ▪ Municipal Income Fund ▪ U.S. Mortgages Fund ▪ Government Income Fund ▪ Core Fixed Income Fund ▪ Core Plus Fixed Income Fund ▪ Investment Grade Credit Fund ▪ Global Income Fund ▪ High Yield Municipal Fund ▪ High Yield Fund ▪ Emerging Markets Debt Fund | Domestic Equity Funds ▪ Balanced Fund ▪ Growth and Income Fund ▪ Structured Large Cap Value Fund ▪ Large Cap Value Fund ▪ Structured U.S. Equity Fund ▪ Structured U.S. Equity Flex Fund ▪ Structured Large Cap Growth Fund ▪ Capital Growth Fund ▪ Strategic Growth Fund ▪ Concentrated Growth Fund ▪ Mid Cap Value Fund ▪ Growth Opportunities Fund ▪ Small/ Mid Cap Growth Fund ▪ Structured Small Cap Equity Fund ▪ Small Cap Value Fund | International Equity Funds ▪ Structured International Equity Fund ▪ Structured International Equity Flex Fund ▪ Concentrated International Equity Fund2 ▪ Japanese Equity Fund ▪ International Small Cap Fund ▪ Asia Equity Fund ▪ Emerging Markets Equity Fund ▪ BRIC Fund (Brazil, Russia, India, China) Asset Allocation Funds3 Specialty Funds3 ▪ U.S. Equity Dividend and Premium Fund ▪ Structured Tax-Managed Equity Fund2 ▪ Real Estate Securities Fund ▪ International Real Estate Securities Fund ▪ Tollkeeper FundSM ▪ Commodity Strategy Fund |
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 26, 2006 the International Equity Fund was renamed the Concentrated International Equity Fund. |
3 | Individual Funds within the Asset Allocation and Specialty categories will have various placement on the risk/return spectrum and may have greater or lesser risk than that indicated by the placement of the general Asset Allocation or Specialty category. |
The Goldman Sachs Tollkeeper FundSM is a registered service mark of Goldman, Sachs & Co. |
TRUSTEES Ashok N. Bakhru, Chairman John P. Coblentz, Jr. Patrick T. Harker Mary Patterson McPherson Alan A. Shuch Richard P. Strubel | OFFICERS Kaysie P. Uniacke, President James A. Fitzpatrick, Vice President James A. McNamara, Vice President John M. Perlowski, Treasurer Peter V. Bonanno, Secretary |
GOLDMAN, SACHS & CO. Distributor and Transfer Agent | GOLDMAN SACHS ASSET MANAGEMENT, L.P. Investment Adviser |
Copyright 2007 Goldman, Sachs & Co. All rights reserved. 07-676 | VALUESAR / 353.3K / 4-07 |
ITEM 2. | CODE OF ETHICS. |
(a) | As of the end of the period covered by this report, the registrant has adopted a code of ethics that applies to the registrant’s principal executive officer, principal financial officer, principal accounting officer or controller, or persons performing similar functions, regardless of whether these individuals are employed by the registrant or a third party (the “Code of Ethics”). | |||
(b) | During the period covered by this report, no amendments were made to the provisions of the Code of Ethics. | |||
(c) | During the period covered by this report, the registrant did not grant any waivers, including an implicit waiver, from any provision of the Code of Ethics. | |||
(d) | A copy of the Code of Ethics is available as provided in Item 12(a)(1) of this report. |
ITEM 3. | AUDIT COMMITTEE FINANCIAL EXPERT. | |
The registrant’s board of trustees has determined that the registrant has at least one “audit committee financial expert” (as defined in Item 3 of Form N-CSR) serving on its audit committee. John P. Coblentz, Jr. is the “audit committee financial expert” and is “independent” (as each term is defined in Item 3 of Form N-CSR). |
ITEM 4. | PRINCIPAL ACCOUNTANT FEES AND SERVICES. | |
N/A |
* | These include the advisor (excluding sub-advisors) and any entity controlling, controlled by or under common control with the advisor that provides ongoing services to the registrant (hereinafter referred to as “service affiliates”). |
Item 4(e)(1) — Audit Committee Pre-Approval Policies and Procedures
Pre-Approval of Audit and Non-Audit Services Provided to the Funds of the Goldman Sachs Trust. The Audit and Non-Audit Services Pre-Approval Policy (the “Policy”) adopted by the Audit Committee of Goldman Sachs Trust (“GST”) sets forth the procedures and the conditions pursuant to which services performed by an independent auditor for GST may be pre-approved. Services may be pre-approved specifically by the Audit Committee as a whole or, in certain circumstances, by the Audit Committee Chairman or the person designated as the Audit Committee Financial Expert. In addition, subject to specified cost limitations, certain services may be pre-approved under the provisions of the Policy. The Policy provides that the Audit Committee will consider whether the services provided by an independent auditor are consistent with the Securities and Exchange Commission’s rules on auditor independence. The Policy provides for periodic review and pre-approval by the Audit Committee of the services that may be provided by the independent auditor.
De Minimis Waiver. The pre-approval requirements of the Policy may be waived with respect to the provision of non-audit services that are permissible for an independent auditor to perform, provided (1) the aggregate amount of all such services provided constitutes no more than five percent of the total amount of revenues subject to pre-approval that was paid to the independent auditors during the fiscal year in which the services are provided; (2) such services were not recognized by GST at the time of the engagement to be non-audit services; and (3) such services are promptly brought to the attention of the Audit Committee and approved prior to the completion of the audit by the Audit Committee or by one or more members of the Audit Committee to whom authority to grant such approvals has been delegated by the Audit Committee, pursuant to the pre-approval provisions of the Policy.
Pre-Approval of Non-Audit Services Provided to GST’s Investment Advisers. The Policy provides that, in addition to requiring pre-approval of audit and non-audit services provided to GST, the Audit Committee will pre-approve those non-audit services provided to GST’s investment advisers (and entities controlling, controlled by or under common control with the investment advisers that provide ongoing services to GST) where the engagement relates directly to the operations or financial reporting of GST.
Item 4(e)(2) – 0% of the audit-related fees, tax fees and other fees listed in Table 1 were approved by GST’s Audit Committee pursuant to the “de minimis” exception of Rule 2-01(c)(7)(i)(C) of Regulation S-X. In addition, 0% of the non-audit services to the GST’s service affiliates listed in Table 2 were approved by GST’s Audit Committee pursuant to the “de minimis” exception of Rule 2-01(c)(7)(i)(C) of Regulation S-X.
Item 4(f) – Not applicable.
Item 4(g) Aggregate Non-Audit Fees Disclosure
The aggregate non-audit fees billed to GST by PricewaterhouseCoopers LLP for the 12 months ended December 31, 2006 and December 31, 2005 were approximately $476,400 and $411,200 respectively. The aggregate non-audit fees billed to GST’s adviser and service affiliates by PricewaterhouseCoopers LLP for non-audit services for the twelve months ended November 25, 2006 and November 26, 2005 were approximately $5.9 million and $5.2 million, respectively. With regard to the aggregate non-audit fees billed to GST’s adviser and service affiliates, the 2005 and 2006 amounts include fees for non-audit services required to be pre-approved [see Table 2] and fees for non-audit services that did not require pre-approval since they did not directly relate to GST’s operations or financial reporting.
The aggregate non-audit fees billed to GST by Ernst & Young LLP for the 12 months ended December 31, 2006 and December 31, 2005 were approximately $107,400 and $84,850, respectively. The aggregate non-audit fees billed to GST’s adviser and service affiliates by Ernst & Young LLP for non-audit services for the twelve months ended December 31, 2006 and December 31, 2005 were approximately $55.9 million and $49.0 million, respectively. With regard to the aggregate non-audit fees billed to GST’s adviser and service affiliates, the 2005 and 2006 amounts include fees for non-audit services required to be pre-approved [see Table 2] and fees for non-audit services that did not require pre-approval since they did not directly relate to GST’s operations or financial reporting.
Item 4(h) — GST’s Audit Committee has considered whether the provision of non-audit services to GST’s investment adviser and service affiliates that did not require pre-approval pursuant to paragraph (c)(7)(ii) of Rule 2-01 of Regulation S-X is compatible with maintaining the auditors’ independence.
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 Stockholders 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 have materially affected, or are 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 9, 2007 |
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated. |
By: | /s/ Kaysie P. Uniacke | |||||
Kaysie P. Uniacke | ||||||
President/Principal Executive Officer | ||||||
Goldman Sachs Trust | ||||||
Date: | May 9, 2007 | |||||
By: | /s/ John M. Perlowski | |||||
John M. Perlowski | ||||||
Treasurer/Principal Financial Officer | ||||||
Goldman Sachs Trust | ||||||
Date: | May 9, 2007 |