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 811-05349
Goldman Sachs Trust
(Exact name of registrant as specified in charter)
71 South Wacker Drive, Chicago, Illinois 60606
(Address of principal executive offices) (Zip code)
Peter V. Bonanno, Esq. | Copies to: | |
Goldman, Sachs & Co. | Jack W. Murphy, Esq. | |
One New York Plaza | Dechert LLP | |
New York, New York 10004 | 1775 I Street, NW | |
Washington, D.C. 20006 | ||
(Name and address of agents for service) |
Registrant’s telephone number, including area code: (312) 655-4400
Date of fiscal year end: December 31
Date of reporting period: June 30, 2009
ITEM 1. | REPORTS TO STOCKHOLDERS. | |
The Semi-Annual Report to Stockholders is filed herewith. |
Goldman Sachs Funds
Semi-Annual Report | June 30, 2009 | ||
Structured Tax-Advantaged Equity Funds | |||
U.S. Equity Dividend and Premium Fund | |||
International Equity Dividend and Premium Fund | |||
Structured Tax-Managed Equity Fund | |||
Structured International Tax-Managed Equity Fund | |||
Goldman Sachs Structured Tax-Advantaged
Equity Funds
Equity Funds
n | U.S. EQUITY DIVIDEND AND PREMIUM FUND | |
n | INTERNATIONAL EQUITY DIVIDEND AND PREMIUM FUND | |
n | STRUCTURED TAX-MANAGED EQUITY FUND | |
n | STRUCTURED INTERNATIONAL TAX-MANAGED EQUITY FUND |
TABLE OF CONTENTS
Principal Investment Strategies and Risks | 1 | |
Portfolio Review and Results | 3 | |
Schedules of Investments | 25 | |
Financial Statements | 48 | |
Notes to Financial Statements | 52 | |
Financial Highlights | 70 | |
Other Information | 84 |
NOT FDIC-INSURED | May Lose Value | No Bank Guarantee | ||||
GOLDMAN SACHS STRUCTURED TAX-ADVANTAGED EQUITY FUNDS
Principal Investment Strategies and Risks
This is not a complete list of risks that may affect the Funds. For additional information
concerning the risks applicable to the Funds, please see the Funds’ Prospectuses.
concerning the risks applicable to the Funds, please see the Funds’ Prospectuses.
GOLDMAN SACHS STRUCTURED TAX-ADVANTAGED EQUITY FUNDS
PORTFOLIO REVIEW
Goldman Sachs Structured Tax-Advantaged
Equity Funds
Equity Funds
Market Review
The equity markets faced two distinct periods during the six months ended June 30, 2009. As the new year began, the global financial markets were still reeling from extraordinary conditions during the fourth quarter of 2008. Persistently elevated levels of credit spreads (i.e., the difference in yields between U.S. Treasury securities and other investment sectors) as well as both implied and realized volatilities and investor risk aversion created an unprecedented period of market distress. Indeed, with global equity indices down over 40% on average in 2008, equity markets continued to struggle in early 2009, as signs of an economic recovery remained hard to find. At the beginning of the first quarter, major retailers and automakers worldwide warned of declines in sales and profits in upcoming months, causing their shares to decline dramatically. As speculation increased that governments globally might nationalize troubled financial institutions, shares of large banks also fell sharply through the beginning of March. Concurrently, unemployment rates continued to rise around the world, with U.S. unemployment reaching 8.5% by the end of March, its highest level in over 25 years.
Then, a slight improvement in the liquidity profile of the market, a stabilizing of commodity prices, including oil, and positive response to certain large banks’ earnings reports and Treasury Secretary Timothy Geithner’s plan to fix the banking system brought a glimmer of hope to the equity markets in March. Driven by investor sentiment relief, as signs indicated that the global financial crisis could be calming and the economy may be stabilizing, we saw a continuation of the strong rebound in global equity markets through most of the second quarter. Liquidity improved, the wave of new regulatory programs slowed, and consumer sentiment improved. The equity market rally stalled somewhat in the last weeks of June, given weak economic data around housing and unemployment that indicated the recovery may take longer and be less robust in terms of future growth than anticipated. Still, the equity market rally during the second quarter of 2009 was broad based — international and U.S. equities both rose dramatically, with most global equity markets rising more than 15%.
U.S. Equity Markets
The S&P 500 Index was up 3.16% for the six-month period, and the Russell 2000 Index gained 2.64%. The Russell 3000 Index rose 4.20%. Large cap stocks outperformed small caps, primarily in the financials sector.
The Russell 1000 Growth Index gained 11.53% for the period, significantly outperforming the Russell 1000 Value Index, which declined 2.87%. Indeed, growth stocks outperformed value stocks across the capitalization spectrum, largely because the growth index was more heavily weighted in the information technology sector, which outperformed during the reporting period.
International Equity Markets
The Morgan Stanley Capital International (MSCI) Europe, Australasia, Far East (EAFE) Index (the “MSCI EAFE Index”) gained 8.42% (USD) during the six-month period. Nineteen of the 21 countries in the MSCI EAFE Index were up, with Hong Kong (+34.42%) and Singapore (+31.49%) posting the largest absolute gains. In terms of its
PORTFOLIO REVIEW
weighting in the MSCI EAFE Index, the U.K. (+13.27%) was the largest positive contributor.
Seven of the ten sectors in the index posted positive results for the six months, with the materials (+24.75%) and consumer discretionary (+15.62%) sectors gaining the most ground. The heavily-weighted financials (+12.89%) sector was the largest positive contributor.
Looking Ahead
In the coming months, we strongly believe investors will use fundamentally-based criteria to build their portfolios. That is, investors will choose to overweight those stocks with less expensive valuations, higher quality earnings, and higher profitability. We believe stocks with good momentum should outperform those with poor momentum.
Our focus will remain on companies with strong fundamentals, sustainable earnings and a track record of using capital to enhance shareholder value. As such, we anticipate remaining fully invested with long-term performance likely to be the result of stock selection.
We stand behind our investment philosophy that sound economic investment principles, coupled with a disciplined quantitative approach, can provide potentially strong, uncorrelated returns over the long run. Our research agenda is robust and we continue to enhance our existing models, add new proprietary forecasting signals, and improve our trading execution as we seek to provide the most value to our shareholders.
INVESTMENT PROCESS
What Differentiates the Goldman Sachs U.S. Equity Dividend and Premium and Goldman Sachs International Equity Dividend and Premium Funds’ Investment Process?
The Goldman Sachs U.S. Equity Dividend and Premium Fund and the Goldman Sachs International Equity Dividend and Premium Fund seek to maximize income and total return. Their portfolios consist primarily of large-cap, dividend-paying stocks. By investing in these securities, and through the use of option call writing, the Funds look to generate an attractive after-tax cash flow.
Goldman Sachs U.S. Equity Dividend and Premium and Goldman Sachs International Equity Dividend and Premium Funds’ Investment Process | ||
A diversified portfolio: | ||
n Create a diversified large-cap equity portfolio that participates in all industries and sectors. | ||
n Emphasize higher dividend-paying stocks within each industry and sector. | ||
Call options: | ||
n The Funds utilize index call writing to enhance their cash flow. | ||
n We use proprietary quantitative techniques, including optimization tools, a risk model and a transactions cost model, in identifying a portfolio of stocks that we believe may enhance expected dividend yield while limiting deviations when compared to the S&P 500 Index. | ||
n A fully invested, style-consistent portfolio. | ||
n Seek attractive after-tax cash flow from qualified dividends, long-term capital gains and option call writing. | ||
n The Funds seek to enhance after-tax return by generating distributions primarily from qualified dividends and long-term capital gains, both of which are subject to current favorable long-term tax rates of 15%.1 |
1 | A sunset provision provides that the 15% long-term capital gain rate will increase to 20% after 12/31/2010. Under the sunset provision, dividends will be taxed as ordinary income after December 31, 2010. |
PORTFOLIO RESULTS
U.S. Equity Dividend and Premium Fund
Portfolio Management Discussion and Analysis
Below, the Goldman Sachs Quantitative Investment Strategies Team discusses the Fund’s performance and positioning for the six months ended June 30, 2009.
Q | How did the Goldman Sachs U.S. Equity Dividend and Premium Fund (the “Fund”) perform during the semi-annual period ended June 30, 2009? |
A | During the six-month period ended June 30, 2009, the Fund’s Class A, C and Institutional Shares generated cumulative total returns, without sales charges, of 2.12%, 1.72% and 2.33%, respectively. These returns compare to the 3.16% and 1.90% cumulative total returns of the Fund’s benchmarks, the Standard and Poor’s 500 Index (with dividends reinvested) and the Barclays Capital Aggregate Bond Index, respectively, during the same period. |
Q | What key factors were most responsible for the Fund’s performance during the six-month reporting period? |
A | The sale of call options on the S&P 500 Index detracted modestly from the Fund’s total return. (A call option is an option that gives the holder the right to buy a certain quantity of an underlying security at an agreed-upon price at any time up to an agreed-upon date.) Stock selection within the consumer discretionary and information technology sectors also hampered results. The Fund’s mix of stocks in the materials sector added value. |
Q | How did the Fund’s call writing affect its performance? |
A | In keeping with our investment approach, we wrote index call options on a portion of the stock portfolio’s market value. The sale of call options obligates us to buy an index at a specified price, also known as the “strike price.” Although the Fund retains the proceeds from the sale of an option, the payment may not exceed the increase in the value of the index, as call options are exercised and we pay the purchaser the increase in value. This was the case during the semi-annual period, when the S&P 500 Index rose. |
In general, we targeted 4% in annual premiums. Because implied volatility was quite high, we only had to write call options covering about 20% of the value of the stock portfolio to achieve this target. We mention this because the amount of overwriting limits the ability of the Fund to participate in market rallies.
Overall, however, call option writing tends to reduce volatility. Since its inception, the realized daily volatility of the Fund has been about 95% of the realized volatility of the S&P 500 Index.
Q | What was the Fund’s dividend yield during the reporting period? |
A | While maintaining industry and sector weights consistent with the S&P 500 Index, we favor stocks with higher dividend yields. The dividend yield of the Fund during the reporting period was 3.5% compared to 2.45% for the S&P 500 Index. The Fund’s dividend yield served to enhance its quarterly net income distributions. |
Q | Among individual holdings, which stocks contributed most to the Fund’s results? |
A | The portfolio benefited from overweighted positions in software giant Microsoft, leading private mortgage insurance provider MGIC Investment, and commercial lender Capital Source. |
Q | Which individual stock holdings detracted most during the semi-annual period? |
A | Detracting were overweighted positions in Gannett, publisher of USA Today and more than 80 U.S. dailies, and American Express, a global credit card and travel company. An underweighted position in The Goldman Sachs Group, the parent company of Goldman Sachs Asset Management, also hindered performance. |
Q | What changes or enhancements did you make to your quantitative model during the six-month reporting period? |
A | We continuously look for ways to improve our process. Accordingly, during the second quarter of 2009, we introduced an enhanced risk model to our process. The key features are the dynamic adjustment of volatility decay rates based on the market environment; the decomposition of factor exposures into different lags; and the use of short interest as a control factor. The expected benefits of these rather complex features are the ability to react to changing markets in a more timely manner, avoiding stale exposures and better controlling active exposure to heavily shorted companies. |
Goldman Sachs Quantitative Investment Strategies Group
New York, July 30, 2009
FUND BASICS
U.S. Equity Dividend and Premium Fund
as of June 30, 2009
PERFORMANCE REVIEW
January 1, 2009– | Fund Total Return | Barclays Capital | ||||||||||||
June 30, 2009 | (based on NAV)1 | Aggregate Bond Index2 | S&P 500 Index3 | |||||||||||
Class A | 2.12 | % | 1.90 | % | 3.16 | % | ||||||||
Class C | 1.72 | 1.90 | 3.16 | |||||||||||
Institutional | 2.33 | 1.90 | 3.16 | |||||||||||
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 Barclays Capital Aggregate Bond Index (formerly known as the Lehman Brothers Aggregate Bond Index) represents an unmanaged diversified portfolio of fixed income securities, including U.S. Treasuries, investment-grade corporate bonds, and mortgage backed and asset-backed securities. The Index figures do not reflect any deduction for fees, expenses or taxes. It is not possible to invest directly in an index. |
3 | The S&P 500 Index is the Standard & Poor’s 500 Composite Index of 500 stocks, an unmanaged index of common stock prices. The Index is unmanaged and the figures for the Index do not include any deduction for fees, expenses or taxes. It is not possible to invest directly in an index. |
STANDARDIZED AVERAGE ANNUAL TOTAL RETURNS4
For the period ended 6/30/09 | One Year | Since Inception | Inception Date | |||||||||||
Class A | -27.17 | % | -5.94 | % | 8/31/05 | |||||||||
Class C | -24.26 | -5.27 | 8/31/05 | |||||||||||
Institutional | -22.69 | -4.19 | 8/31/05 | |||||||||||
4 | The Standardized Average Annual Total Returns are average annual total returns as of the most recent calendar quarter-end. They assume reinvestment of all distributions at NAV. These returns reflect a maximum initial sales charge of 5.5% for Class A Shares and the assumed contingent deferred sales charge for Class C Shares (1% if redeemed within 12 months of purchase). Because Institutional Shares do not involve a sales charge, such a charge is not applied to their Standardized Average Annual 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 RATIOS5
Net Expense Ratio (Current) | Gross Expense Ratio (Before Waivers) | |||||||||
Class A | 1.24 | % | 1.29 | % | ||||||
Class C | 1.99 | 2.04 | ||||||||
Institutional | 0.84 | 0.89 | ||||||||
5 | The expense ratios of the Fund, both current (net of applicable fee waivers and/or expense limitations) and before waivers (gross of applicable fee waivers and/or expense limitations), are as set forth above according to the most recent publicly available Prospectuses for the Fund and may differ from the expense ratios disclosed in the Financial Highlights in this report. Applicable 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. |
FUND BASICS
STANDARDIZED AFTER-TAX PERFORMANCE AS OF 6/30/096
Since Inception | ||||||||||
Class A Shares | One Year | (8/31/05) | ||||||||
Returns before taxes* | -27.17 | % | -5.94 | % | ||||||
Returns after taxes on distributions** | -27.53 | -6.66 | ||||||||
Returns after taxes on distributions*** | -17.45 | -4.83 | ||||||||
and sale of Fund shares | ||||||||||
6 | The after-tax returns are calculated using the historically highest individual federal marginal income tax rates at the time of distributions (currently 15% for qualifying ordinary income dividends and long-term capital gain distributions and 35% for non-qualifying ordinary income dividends) and do not reflect state and local taxes. Actual after-tax returns will be calculated at calendar year-end and depend on an investor’s tax situation and may differ from those shown. In addition, the after-tax returns shown are not relevant to investors who hold Fund shares through tax-deferred arrangements such as 401(k) plans or individual retirement accounts. Under certain circumstances, the addition of the tax benefits from capital losses resulting from redemptions may cause the Returns After Taxes on Distributions and Sale of Fund Shares to be greater than the Returns After Taxes on Distributions or even Returns Before Taxes. Standardized after-tax returns assume reinvestment of all distributions at NAV and reflect a maximum initial sales charge of 5.5% for Class A Shares. |
* | Returns Before Taxes do not reflect taxes on distributions on the Fund’s Class A Shares nor do they show how performance can be impacted by taxes when shares are redeemed. |
** | Returns After Taxes on Distributions assume that taxes are paid on distributions on the Fund’s Class A Shares (i.e., dividends and capital gains) but do not reflect taxes that may be incurred upon redemption of the Class A Shares at the end of the performance period. |
*** | Returns After Taxes on Distributions and Sale of Shares reflect taxes paid on distributions on the Fund’s Class A Shares and taxes applicable when the shares are redeemed. |
TOP 10 PORTFOLIO HOLDINGS AS OF 6/30/097
Holding | % of Net Assets | Line of Business | ||||||
Exxon Mobil Corp. | 4.1 | % | Energy | |||||
Microsoft Corp. | 3.8 | Software & Services | ||||||
Pfizer, Inc. | 2.3 | Pharmaceuticals, Biotechnology & Life Sciences | ||||||
Apple, Inc. | 2.2 | Technology Hardware & Equipment | ||||||
Chevron Corp. | 2.1 | Energy | ||||||
AT&T, Inc. | 2.1 | Telecommunication Services | ||||||
JPMorgan Chase & Co. | 2.1 | Diversified Financials | ||||||
Intel Corp. | 1.8 | Semiconductors & Semiconductor Equipment | ||||||
The Procter & Gamble Co. | 1.7 | Household & Personal Products | ||||||
Johnson & Johnson | 1.7 | Pharmaceuticals, Biotechnology & Life Sciences | ||||||
7 | The top 10 holdings may not be representative of the Fund’s future or current investments. |
FUND BASICS
SECTOR ALLOCATION AS OF 6/30/098
Percentage of Investment Portfolio
8 | The Fund is actively managed and, as such, its composition may differ over time. The above graph categorizes investments using Global Industry Classification Standard (“GICS”), however, the sector classifications used by the portfolio management team may differ from GICS. The percentage shown for each investment category reflects the value of investments in that category as a percentage of market value (excluding investments in the securities lending reinvestment vehicle, if any). Short-term investment represents an investment company. |
PORTFOLIO RESULTS
International Equity Dividend and Premium Fund
Portfolio Management Discussion and Analysis
Below, the Goldman Sachs Quantitative Investment Strategies Team discusses the Fund’s performance and positioning for the six months ended June 30, 2009.
Q | How did the Goldman Sachs International Equity Dividend and Premium Fund (the “Fund”) perform during the semi-annual period ended June 30, 2009? |
A | During the six-month period ended June 30, 2009, the Fund’s Class A, C and Institutional Shares generated cumulative total returns, without sales charges, of 5.70%, 5.24% and 5.49%, respectively. These returns compare to the 7.95% and 1.52% cumulative total returns of the Fund’s benchmarks, the MSCI EAFE Index (unhedged, with dividends reinvested) and the Barclays Capital Global Aggregate Bond Index, during the same period. |
Q | What key factors were most responsible for the Fund’s performance during the six-month reporting period? |
A | The sale of call options detracted modestly from total return. (A call option is an option that gives the holder the right to buy a certain quantity of an underlying security at an agreed-upon price at any time up to an agreed-upon date.) Stock selection within the consumer discretionary and information technology sectors also hampered results. The Fund’s mix of stocks in the materials sector added value. |
Q | How did the Fund’s call writing affect its performance? |
A | In keeping with our investment approach, we wrote index call options on a portion of the market value of the equities in the portfolio, primarily on the Japanese, United Kingdom and European indices. The sale of call options obligates us to buy an index at a specified price, also known as the “strike price.” Although the Fund retains the proceeds from the sale of an option, the payment may not exceed the increase in the value of the index, as call options are exercised and we pay the purchaser the increase in value. This was the case during the semi-annual period, when the global stock indices rose. |
In general, we targeted 4% in annual premiums. Because volatility was quite high, we only had to write call options covering about 20% of the market value of the equities in the portfolio to achieve this target. We mention this because the amount of overwriting limits the ability of the Fund to participate in market rallies.
Q | What was the Fund’s dividend yield during the reporting period? |
A | While maintaining industry and sector weights consistent with the MSCI EAFE Index, we favor stocks with higher dividend yields. The dividend yield of the Fund during the reporting period was 5.0% compared to 4.4% of the MSCI EAFE Index. The Fund’s dividend yield served to enhance its quarterly net income distributions. |
Q | Among individual holdings, which stocks contributed most to the Fund’s results? |
A | The portfolio benefited from overweighted positions in Telefonaktiebolaget LM Ericsson, a global Swedish telecommunications supplier; Parmalat, the multinational Italian dairy and food corporation; and Kazakhmys, an international mining and metals company with principal operations in Kazakhstan and the surrounding region. |
Q | Which individual stock holdings detracted most during the semi-annual period? |
A | Detracting were underweighted positions in Japanese automaker Honda Motor and European financial institution UniCredit Group. An overweighted position in French international media conglomerate Vivendi SA also hampered returns. |
Q | What changes or enhancements did you make to your quantitative model during the six-month reporting period? |
A | We continuously look for ways to improve our process. Accordingly, during the second quarter of 2009, we started implementing enhancements in our non-U.S. risk models in a multi-stage rollout. A key feature is the dynamic adjustment of volatility decay rates based on the market environment, which we expect to help us react in a more timely manner to changing markets. We plan to introduce additional enhancements during the next several months. |
Goldman Sachs Quantitative Investment Strategies Group
New York, July 30, 2009
FUND BASICS
International Equity Dividend and Premium Fund
as of June 30, 2009
PERFORMANCE REVIEW
January 1, 2009– | Fund Total Return | Barclays Capital Global | ||||||||||||
June 30, 2009 | (based on NAV)1 | MSCI EAFE Index2 | Aggregate Bond Index3 | |||||||||||
Class A | 5.70 | % | 7.95 | % | 1.52 | % | ||||||||
Class C | 5.24 | 7.95 | 1.52 | % | ||||||||||
Institutional | 5.49 | 7.95 | 1.52 | % | ||||||||||
1 | The net asset value (NAV) represents the net assets of the class of the Fund (ex-dividend) divided by the total number of shares of the class outstanding. The Fund’s performance reflects the reinvestment of dividends and other distributions. The Fund’s performance does not reflect the deduction of any applicable sales charges. |
2 | The MSCI EAFE Index (unhedged and net of dividend withholding taxes) is an unmanaged market capitalization-weighted composite of securities in 21 developed markets. The Index is unmanaged and the figures for the Index do not include any deduction for fees, expenses or taxes. It is not possible to invest directly in an index. |
3 | The Barclays Capital Global Aggregate Bond Index (formerly known as the Lehman Brothers Global Aggregate Bond Index) represents an unmanaged diversified portfolio of fixed income securities, including U.S. Treasuries, investment-grade corporate bonds, and mortgage backed and asset-backed securities. The Index figures do not reflect any deduction for fees, expenses or taxes. It is not possible to invest directly in an index. |
STANDARDIZED AVERAGE ANNUAL TOTAL RETURNS4
For the period ended 6/30/09 | One Year | Since Inception | Inception Date | |||||||||||
Class A | -30.45 | % | -25.95 | % | 1/31/08 | |||||||||
Class C | -28.64 | -24.20 | 1/31/08 | |||||||||||
Institutional | -27.24 | -23.37 | 1/31/08 | |||||||||||
4 | The Standardized Average Annual Total Returns are average annual total returns as of the most recent calendar quarter-end. They assume reinvestment of all distributions at NAV. These returns reflect a maximum initial sales charge of 5.5% for Class A Shares and the assumed contingent deferred sales charge for Class C Shares (1% if redeemed within 12 months of purchase). Because Institutional Shares do not involve a sales charge, such a charge is not applied to their Standardized Average Annual Total Returns. The Fund will charge a 2% redemption fee on the redemption of shares (including by exchange) held for 30 calendar days or less. The performance figures do not reflect the deduction of the redemption fee. If reflected, the redemption fee would reduce the performance quoted. |
The returns represent past performance. Past performance does not guarantee future results. The Fund’s investment return and principal value will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance may be lower or higher than the performance quoted above. Please visit our Web site at: www.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
Net Expense Ratio (Current) | Gross Expense Ratio (Before Waivers) | |||||||||
Class A | 1.30 | % | 2.66 | % | ||||||
Class C | 2.05 | 3.41 | ||||||||
Institutional | 0.90 | 2.26 | ||||||||
5 | The expense ratios of the Fund, both current (net of applicable fee waivers and/or expense limitations) and before waivers (gross of applicable fee waivers and/or expense limitations), are as set forth above according to the most recent publicly available Prospectuses for the Fund and may differ from the expense ratios disclosed in the Financial Highlights in this report. Applicable 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. |
FUND BASICS
STANDARDIZED AFTER-TAX PERFORMANCE AS OF 6/30/096
Since Inception | ||||||||||
Class A Shares | One Year | (1/31/08) | ||||||||
Returns before taxes* | -30.45 | % | -25.95 | % | ||||||
Returns after taxes on distributions** | -30.62 | -26.18 | ||||||||
Returns after taxes on distributions*** | -19.45 | -21.66 | ||||||||
and sale of Fund shares | �� | |||||||||
6 | The after-tax returns are calculated using the historically highest individual federal marginal income tax rates at the time of distributions (currently 15% for qualifying ordinary income dividends and long-term capital gain distributions and 35% for non-qualifying ordinary income dividends) and do not reflect state and local taxes. Actual after-tax returns will be calculated at calendar year-end and depend on an investor’s tax situation and may differ from those shown. In addition, the after-tax returns shown are not relevant to investors who hold Fund shares through tax-deferred arrangements such as 401(k) plans or individual retirement accounts. Under certain circumstances, the addition of the tax benefits from capital losses resulting from redemptions may cause the Returns After Taxes on Distributions and Sale of Fund Shares to be greater than the Returns After Taxes on Distributions or even Returns Before Taxes. Standardized after-tax returns assume reinvestment of all distributions at NAV and reflect a maximum initial sales charge of 5.5% for Class A Shares. | |
* | Returns Before Taxes do not reflect taxes on distributions on the Fund’s Class A Shares nor do they show how performance can be impacted by taxes when shares are redeemed. | |
** | Returns After Taxes on Distributions assume that taxes are paid on distributions on the Fund’s Class A Shares (i.e., dividends and capital gains) but do not reflect taxes that may be incurred upon redemption of the Class A Shares at the end of the performance period. | |
*** | Returns After Taxes on Distributions and Sale of Shares reflect taxes paid on distributions on the Fund’s Class A Shares and taxes applicable when the shares are redeemed. |
TOP 10 PORTFOLIO HOLDINGS AS OF 6/30/097
% of Net | ||||||||
Company | Assets | Line of Business | Country | |||||
BP PLC ADR | 2.6 | % | Energy | United Kingdom | ||||
Nestle SA (Registered) | 1.6 | Food, Beverage & Tobacco | Switzerland | |||||
Eni SpA | 1.5 | Energy | Italy | |||||
Banco Santander SA | 1.4 | Banks | Spain | |||||
Toyota Motor Corp. | 1.3 | Automobiles & Components | Japan | |||||
Total SA | 1.3 | Energy | France | |||||
BHP Billiton PLC | 1.2 | Materials | United Kingdom | |||||
Novartis AG (Registered) | 1.2 | Pharmaceuticals | Switzerland | |||||
France Telecom SA | 1.2 | Telecommunication Services | France | |||||
HSBC Holdings PLC | 1.2 | Banks | United Kingdom | |||||
7 | The top 10 holdings may not be representative of the Fund’s future or current investments. |
FUND BASICS
SECTOR ALLOCATION AS OF 6/30/098
Percentage of Investment Portfolio
8 | The Fund is actively managed and, as such, its composition may differ over time. The above graph categorizes investments using Global Industry Classification Standard (“GICS”), however, the sector classifications used by the portfolio management team may differ from GICS. The percentage shown for each investment category reflects the value of investments in that category as a percentage of market value (excluding investments in the securities lending reinvestment vehicle, if any). Short-term investment represents an investment company. |
INVESTMENT PROCESS
What Differentiates the Goldman Sachs Global
Structured Tax-Management Process?
Structured Tax-Management Process?
In managing money for many of the world’s wealthiest taxable investors, Goldman Sachs often constructs a diversified
investment portfolio around a tax-managed core. With the Goldman Sachs Structured Tax-Managed Equity Fund and Structured
International Tax-Managed Equity Fund, investors can access Goldman Sachs’ tax-smart investment expertise while capitalizing
on this same strategic approach to portfolio construction.
investment portfolio around a tax-managed core. With the Goldman Sachs Structured Tax-Managed Equity Fund and Structured
International Tax-Managed Equity Fund, investors can access Goldman Sachs’ tax-smart investment expertise while capitalizing
on this same strategic approach to portfolio construction.
Goldman Sachs Global Structured Tax-Management Investment Process | ||
Goldman Sachs Global Structured Tax-Management investment process is a disciplined quantitative approach that has been consistently applied since 1989. With the Structured Tax-Managed Equity Fund and the Structured International Tax-Managed Equity Fund, the Structured investment process is enhanced with an additional layer that seeks to maximize after-tax returns. | ||
n Comprehensive n Extensive n Rigorous n Fundamental n Objective n Insightful | ||
Advantage: Daily analysis of approximately 10,000 U.S. and International equity securities using a proprietary model. | ||
n Benchmark driven n Sector and size neutral n Tax optimized | ||
Tax optimization is an additional layer that is built into the existing structured investment process — a distinct advantage. While other managers may simply seek to minimize taxable distributions through a low turnover strategy, this extension of the structured investment process seeks to maximize after-tax returns — the true objective of every taxable investor. | ||
Advantage: Value added through stock selection — not market timing, industry rotation or style bias. | ||
n A fully invested, style-consistent portfolio n Broad access to the total U.S. and International equity market n A consistent goal of seeking to maximize after-tax risk-adjusted returns |
PORTFOLIO RESULTS
Structured Tax-Managed Equity Fund
Portfolio Management Discussion and Analysis
Below, the Goldman Sachs Quantitative Investment Strategies Team discusses the Fund’s performance and positioning for the six months ended June 30, 2009.
Q | How did the Goldman Sachs Structured Tax-Managed Equity Fund (the “Fund”) perform during the semi-annual period ended June 30, 2009? |
A | During the six-month period ended June 30, 2009, the Fund’s Class A, B, C, Institutional and Service Shares generated cumulative total returns, without sales charges, of -1.25%, -1.58%, -1.58%, -0.96% and -1.24%, respectively. These returns compare to the 4.20% cumulative total return of the Fund’s benchmark, the Russell 3000 Index (with dividends reinvested), over the same time period. |
Q | What key factors were most responsible for the Fund’s performance during the six-month reporting period? |
A | As expected, and in keeping with our investment approach, our quantitative model and its six investment themes had the greatest impact on relative performance. We use these themes to take a long-term view of market patterns and look for inefficiencies, selecting stocks for the Fund and overweighting or underweighting the ones chosen by the model. Over time and by design, the performance of any one of the model’s investment themes tends to have a low correlation with the model’s other themes, demonstrating the diversification benefit of the Fund’s theme-driven quantitative model. The variance in performance supports our research indicating that the diversification provided by the Fund’s different investment themes is a significant investment advantage over the long term, even though the Fund may experience underperformance in the short term. |
During the reporting period, all six of the Fund’s themes detracted from its relative returns. Profitability, which assesses whether a company is earning more than its cost of capital, hurt results the most. Momentum also hampered performance. Momentum predicts drift in stock prices caused by under-reaction to company-specific information.
Also detracting were the Fund’s themes — Management, Sentiment, Valuation and Quality. The Management theme assesses a company’s management strategy and behavior. Sentiment reflects how Wall Street analysts’ views about a company’s earnings and prospects are changing over time. Valuation attempts to capture potential mispricings of securities, typically by comparing a measure of the company’s intrinsic value to its market value. Quality evaluates whether the company’s earnings are coming from more persistent, cash-based sources, as opposed to accruals.
Q | How successful was your stock selection during the reporting period? |
A | The Fund seeks to provide investors with a tax-efficient means for maintaining broadly diversified exposure to the entire U.S. equity market, ranging from large- to small-cap stocks. During the six-month reporting period, stock selection detracted from the Fund’s relative performance. |
Q | Among individual holdings, which stocks contributed most to the Fund’s results? |
A | Our stock picks in the telecommunication services and information technology sectors added modestly to performance. Most advantageous were overweighted positions in software maker Microsoft, wireless carrier Sprint Nextel, and real estate company Simon Property Group. |
Q | Which individual stock holdings detracted most during the semi-annual period? |
A | Stock selection in the energy and consumer discretionary sectors hurt results most. An underweighted position in diversified financial company JPMorgan Chase hindered performance. Also detracting were overweighted positions in oil and gas companies Exxon Mobil and Devon Energy, global manufacturing and technology firm Emerson Electric, and bank holding company Cathay General Bancorp. |
PORTFOLIO RESULTS
Q | What changes or enhancements did you make to your quantitative model during the six-month reporting period? |
A | We continuously look for ways to improve our investment process. Accordingly, during the first quarter of 2009, we added a new factor to our global models (excluding emerging markets) which extends the Fund’s Momentum theme by examining additional relationships across firms. This enhancement is part of our ongoing research effort in developing cross-company linkage signals. We believe that this new factor has predictive ability and should further add value to our process over time. |
During the second quarter of 2009, we introduced an enhanced risk model to our process. The key features are the dynamic adjustment of volatility decay rates based on the market environment; the decomposition of factor exposures into different lags; and the use of short-term interest as a control factor. The expected benefits of these rather complex features are the ability to react to changing markets in a more timely manner, avoiding stale exposures and better managing active exposure to heavily shorted companies.
Goldman Sachs Quantitative Investment Strategies Group
New York, July 30, 2009
FUND BASICS
Structured Tax-Managed Equity Fund
as of June 30, 2009
PERFORMANCE REVIEW
Fund Total Return | ||||||||||
January 1, 2009–June 30, 2009 | (based on NAV)1 | Russell 3000 Index2 | ||||||||
Class A | -1.25 | % | 4.20 | % | ||||||
Class B | -1.58 | 4.20 | ||||||||
Class C | -1.58 | 4.20 | ||||||||
Institutional | -0.96 | 4.20 | ||||||||
Service | -1.24 | 4.20 | ||||||||
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 assumes the reinvestment of dividends and other distributions. The Fund’s performance does not reflect the deduction of any applicable sales charges. |
2 | The Russell 3000 Index is an unmanaged index that measures the performance of the 3,000 largest U.S. companies based on total market capitalization which represents approximately 98% of the investable U.S. equity market. Index figures do not reflect any deduction for fees, expenses or taxes. It is not possible to invest directly in an index. |
STANDARDIZED AVERAGE ANNUAL TOTAL RETURNS3
For the period ended 6/30/09 | One Year | Five Years | Since Inception | Inception Date | ||||||||||||
Class A | -33.36 | % | -4.32 | % | -3.86 | % | 4/3/00 | |||||||||
Class B | -33.57 | -4.35 | -3.99 | 4/3/00 | ||||||||||||
Class C | -30.69 | -3.96 | -4.00 | 4/3/00 | ||||||||||||
Institutional | -29.15 | -2.84 | -2.87 | 4/3/00 | ||||||||||||
Service | -29.57 | -3.34 | -3.36 | 4/3/00 | ||||||||||||
3 | The Standardized Average Annual 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 Average Annual Total Returns. |
Total return figures in the above charts represent past performance and do not indicate future results, which will vary. The investment return and principal value of an investment will fluctuate and, therefore, an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance may be lower or higher than the total return figures in the above charts. Please visit 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.
FUND BASICS
EXPENSE RATIOS4
Net Expense Ratio (Current) | Gross Expense Ratio (Before Waivers) | |||||||||
Class A | 1.09 | % | 1.27 | % | ||||||
Class B | 1.84 | 2.02 | ||||||||
Class C | 1.84 | 2.02 | ||||||||
Institutional | 0.69 | 0.87 | ||||||||
Service | 1.19 | 1.37 | ||||||||
4 | The expense ratios of the Fund, both current (net of applicable fee waivers and/or expense limitations) and before waivers (gross of applicable fee waivers and/or expense limitations), are as set forth above according to the most recent publicly available Prospectuses for the Fund and may differ from the expense ratios disclosed in the Financial Highlights in this report. Applicable 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. |
STANDARDIZED AFTER-TAX PERFORMANCE AS OF 6/30/095
Since Inception | ||||||||||||||
Class A Shares | One Year | Five Years | (4/3/00) | |||||||||||
Returns before taxes* | -33.36 | % | -4.32 | % | -3.86 | % | ||||||||
Returns after taxes on distributions** | -33.45 | -4.40 | -3.92 | |||||||||||
Returns after taxes on distributions*** and sale of Fund shares | -21.54 | -3.59 | -3.18 | |||||||||||
5 | The after-tax returns are calculated using the historically highest individual federal marginal income tax rates at the time of distributions (currently 15% for qualifying ordinary income dividends and long-term capital gain distributions and 35% for non-qualifying ordinary income dividends) and do not reflect state and local taxes. Actual after-tax returns will be calculated at calendar year-end and depend on an investor’s tax situation and may differ from those shown. In addition, the after-tax returns shown are not relevant to investors who hold Fund shares through tax-deferred arrangements such as 401(k) plans or individual retirement accounts. Under certain circumstances, the addition of the tax benefits from capital losses resulting from redemptions may cause the Returns After Taxes on Distributions and Sale of Fund Shares to be greater than the Returns After Taxes on Distributions or even Returns Before Taxes. Standardized after-tax returns assume reinvestment of all distributions at NAV and reflect a maximum initial sales charge of 5.5% for Class A Shares. | |
* | Returns Before Taxes do not reflect taxes on distributions on the Fund’s Class A Shares nor do they show how performance can be impacted by taxes when shares are redeemed. | |
** | Returns After Taxes on Distributions assume that taxes are paid on distributions on the Fund’s Class A Shares (i.e., dividends and capital gains) but do not reflect taxes that may be incurred upon redemption of the Class A Shares at the end of the performance period. | |
*** | Returns After Taxes on Distributions and Sale of Shares reflect taxes paid on distributions on the Fund’s Class A Shares and taxes applicable when the shares are redeemed. |
FUND BASICS
TOP 10 PORTFOLIO HOLDINGS AS OF 6/30/096
Holding | % of Net Assets | Line of Business | ||||||
Microsoft Corp. | 4.2 | % | Software & Services | |||||
Pfizer, Inc. | 2.8 | Pharmaceuticals, Biotechnology & Life Sciences | ||||||
Exxon Mobil Corp. | 2.7 | Energy | ||||||
United Parcel Service, Inc. Class B | 2.3 | Transportation | ||||||
Intel Corp. | 2.3 | Semiconductors & Semiconductor Equipment | ||||||
Lorillard, Inc. | 2.1 | Food, Beverage & Tobacco | ||||||
Wal-Mart Stores, Inc. | 2.1 | Food & Staples Retailing | ||||||
Accenture Ltd. Class A | 2.0 | Software & Services | ||||||
Johnson & Johnson | 2.0 | Pharmaceuticals, Biotechnology & Life Sciences | ||||||
Genzyme Corp. | 1.9 | Pharmaceuticals, Biotechnology & Life Sciences | ||||||
6 The top 10 holdings may not be representative of the Fund’s future or current investments.
SECTOR ALLOCATION AS OF 6/30/097
7 | The Fund is actively managed and, as such, its composition may differ over time. The above graph categorizes investments using Global Industry Classification Standard (“GICS”), however, the sector classifications used by the portfolio management team may differ from GICS. The percentage shown for each investment category reflects the value of investments in that category as a percentage of total value of investments (excluding investments in the securities lending reinvestment vehicle, if any). Securities lending reinvestment vehicle represents 12.0% of the Fund’s net assets at June 30, 2009. Short-term investment represents an investment company. |
PORTFOLIO RESULTS
Structured International Tax-Managed Equity Fund
Portfolio Management Discussion and Analysis
Below, the Goldman Sachs Quantitative Investment Strategies Team discusses the Fund’s performance and positioning for the six months ended June 30, 2009.
Q | How did the Goldman Sachs Structured International Tax-Managed Equity Fund (the “Fund”) perform during the semi-annual period ended June 30, 2009? |
A | During the six-month period ended June 30, 2009, the Fund’s Class A, C and Institutional Shares generated cumulative total returns, without sales charges, of 1.81%, 1.65% and 2.15%, respectively. These returns compare to the 7.95% cumulative total return of the Fund’s benchmark, the MSCI EAFE Index (unhedged, with dividends reinvested), during the same time period. |
Q | What key factors were most responsible for the Fund’s performance during the six-month reporting period? |
A | As expected, and in keeping with our investment approach, our quantitative model and its six investment themes had the greatest impact on relative performance. We use these themes to take a long-term view of market patterns and look for inefficiencies, selecting stocks for the Fund and overweighting or underweighting the ones chosen by the model. Over time and by design, the performance of any one of the model’s investment themes tends to have a low correlation with the model’s other themes, demonstrating the diversification benefit of the Fund’s theme-driven quantitative model. The variance in performance supports our research indicating that the diversification provided by the Fund’s different investment themes is a significant investment advantage over the long term, even though the Fund may experience underperformance in the short term. |
Overall, the Fund underperformed its benchmark during the six months, with Management hurting results the most. Management assesses a company’s management strategy and behavior. Other detractors were Sentiment, Momentum, and Quality. Sentiment reflects how Wall Street analysts’ views about a company’s earnings and prospects are changing over time. The Momentum theme predicts drift in stock prices caused by under-reaction to company-specific information. Quality evaluates whether the company’s earnings are coming from more persistent, cash-based sources, as opposed to accruals.
Profitability, which assesses whether a company is earning more than its cost of capital, contributed the most to the Fund’s performance.
The Valuation theme’s impact was neutral. Valuation attempts to capture potential mispricings of securities, typically by comparing a measure of the company’s intrinsic value to its market value.
Q | How successful was your stock selection during the reporting period? |
A | The Fund seeks to provide investors with a tax-efficient means for maintaining broadly diversified exposure to the entire EAFE equity market. During the six-month reporting period, stock selection detracted from the Fund’s relative performance. |
Q | Among individual holdings, which stocks contributed most to the Fund’s results? |
A | Our stock picks in the consumer discretionary sector added modestly to the Fund’s performance. Contributing most were overweighted positions in Spanish bank holding company Banco Santander, Japanese automobile maker Nissan Motor, and natural gas company BG Group. |
Q | Which individual stock holdings detracted most during the semi-annual period? |
A | Stock selection in the financials, consumer staples and utilities sectors hurt results the most. Detracting were overweighted positions in Japanese natural gas company Osaka Gas, Japanese telecommunications firm Nippon Telegraph & Telephone, and French-based global pharmaceutical company Sanofi-Aventis. |
PORTFOLIO RESULTS
Q | What changes or enhancements did you make to your quantitative model during the six-month reporting period? |
A | We continuously look for ways to improve our investment process. Accordingly, during the first quarter of 2009, we added a new factor to our global models (excluding emerging markets), which extends the Fund’s Momentum theme by examining additional relationships across firms. This enhancement is part of our ongoing research effort in developing cross-company linkage signals. We believe that this new factor has predictive ability and should further add value to our process over time. |
During the second quarter of 2009, we started implementing enhancements in our non-U.S. risk models in a multi-stage rollout. A key feature is the dynamic adjustment of volatility decay rates based on the market environment, which we expect to help us react in a more timely manner to changing markets. We plan to introduce additional enhancements during the next several months.
Goldman Sachs Quantitative Investment Strategies Group
New York, July 30, 2009
FUND BASICS
Structured International Tax-Managed Equity Fund
as of June 30, 2009
PERFORMANCE REVIEW
Fund Total Return | ||||||||||
January 1, 2009–June 30, 2009 | (based on NAV)1 | MSCI EAFE Index2 | ||||||||
Class A | 1.81 | % | 7.95 | % | ||||||
Class C | 1.65 | 7.95 | ||||||||
Institutional | 2.15 | 7.95 | ||||||||
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 unmanaged MSCI EAFE Index (unhedged and net of dividend withholding taxes) is a market capitalization-weighted composite of securities in 21 developed markets. The Index is unmanaged and the figures for the Index do not include any deduction for fees, expenses or taxes. It is not possible to invest directly in an index. |
STANDARDIZED AVERAGE ANNUAL TOTAL RETURNS3
For the period ended 6/30/09 | One Year | Since Inception | Inception Date | |||||||||||
Class A | -38.58 | % | -30.21 | % | 1/31/08 | |||||||||
Class C | -36.09 | -27.83 | 1/31/08 | |||||||||||
Institutional | -34.75 | -27.07 | 1/31/08 | |||||||||||
3 | The Standardized Average Annual Total Returns are average annual total returns as of the most recent calendar quarter-end. They assume reinvestment of all distributions at NAV. These returns reflect a maximum initial sales charge of 5.5% for Class A Shares and the assumed contingent deferred sales charge for Class C Shares (1% if redeemed within 12 months of purchase). Because Institutional Shares do not involve a sales charge, such a charge is not applied to their Standardized Average Annual Total Returns. The Fund will charge a 2% redemption fee on the redemption of shares (including by exchange) held for 30 calendar days or less. The performance figures do not reflect the deduction of the redemption fee. If reflected, the redemption fee would reduce the performance quoted. |
The returns represent past performance. Past performance does not guarantee future results. The Fund’s investment return and principal value will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance may be lower or higher than the performance quoted above. Please visit our Web site at: www.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
Net Expense Ratio (Current) | Gross Expense Ratio (Before Waivers) | |||||||||
Class A | 1.26 | % | 1.65 | % | ||||||
Class C | 2.01 | 2.40 | ||||||||
Institutional | 0.86 | 1.25 | ||||||||
4 | The expense ratios of the Fund, both current (net of applicable fee waivers and/or expense limitations) and before waivers (gross of applicable fee waivers and/or expense limitations), are as set forth above according to the most recent publicly available Prospectuses for the Fund and may differ from the expense ratios disclosed in the Financial Highlights in this report. Applicable 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. |
FUND BASICS
STANDARDIZED AFTER-TAX PERFORMANCE AS OF 6/30/095
Since Inception | ||||||||||
Class A Shares | One Year | (1/31/08) | ||||||||
Returns before taxes* | -38.58 | % | -30.21 | % | ||||||
Returns after taxes on distributions** | -38.79 | -30.37 | ||||||||
Returns after taxes on distributions*** and sale of Fund shares | -24.72 | -25.34 | ||||||||
5 | The after-tax returns are calculated using the historically highest individual federal marginal income tax rates at the time of distributions (currently 15% for qualifying ordinary income dividends and long-term capital gain distributions and 35% for non-qualifying ordinary income dividends) and do not reflect state and local taxes. Actual after-tax returns will be calculated at calendar year-end and depend on an investor’s tax situation and may differ from those shown. In addition, the after-tax returns shown are not relevant to investors who hold Fund shares through tax-deferred arrangements such as 401(k) plans or individual retirement accounts. Under certain circumstances, the addition of the tax benefits from capital losses resulting from redemptions may cause the Returns After Taxes on Distributions and Sale of Fund Shares to be greater than the Returns After Taxes on Distributions or even Returns Before Taxes. Standardized after-tax returns assume reinvestment of all distributions at NAV and reflect a maximum initial sales charge of 5.5% for Class A Shares. | |
* | Returns Before Taxes do not reflect taxes on distributions on the Fund’s Class A Shares nor do they show how performance can be impacted by taxes when shares are redeemed. | |
** | Returns After Taxes on Distributions assume that taxes are paid on distributions on the Fund’s Class A Shares (i.e., dividends and capital gains) but do not reflect taxes that may be incurred upon redemption of the Class A Shares at the end of the performance period. | |
*** | Returns After Taxes on Distributions and Sale of Shares reflect taxes paid on distributions on the Fund’s Class A Shares and taxes applicable when the shares are redeemed. |
TOP 10 PORTFOLIO HOLDINGS AS OF 6/30/096
% of Net | ||||||||
Company | Assets | Line of Business | Country | |||||
BP PLC ADR | 3.7 | % | Energy | United Kingdom | ||||
BHP Billiton Ltd. | 3.2 | Materials | Australia | |||||
Banco Santander SA | 2.7 | Banks | Spain | |||||
Sanofi-Aventis SA | 2.6 | Pharmaceuticals, Biotechnology & Life Sciences | France | |||||
Total SA | 1.7 | Energy | France | |||||
Standard Chartered PLC | 1.7 | Banks | United Kingdom | |||||
GlaxoSmithKline PLC ADR | 1.5 | Pharmaceuticals, Biotechnology & Life Sciences | United Kingdom | |||||
Nestle SA (Registered) | 1.4 | Food, Beverage & Tobacco | Switzerland | |||||
WM Morrison Supermarkets PLC | 1.3 | Food & Staples Retailing | United Kingdom | |||||
BAE Systems PLC | 1.2 | Capital Goods | United Kingdom | |||||
6 | The top 10 holdings may not be representative of the Fund’s future or current investments. |
FUND BASICS
SECTOR ALLOCATION AS OF 6/30/097
7 | The Fund is actively managed and, as such, its composition may differ over time. The above graph categorizes investments using Global Industry Classification Standard (“GICS”), however, the sector classifications used by the portfolio management team may differ from GICS. The percentage shown for each investment category reflects the value of investments in that category as a percentage of total value of investments (excluding investments in the securities lending reinvestment vehicle, if any). Securities lending reinvestment vehicle represents 1.3% of the Fund’s net assets at June 30, 2009. Short-term investment represents an investment company. |
GOLDMAN SACHS U.S. EQUITY DIVIDEND AND PREMIUM FUND
Schedule of Investments
June 30, 2009 (Unaudited)
Shares | Description | Value | ||||||||
Common Stocks – 97.5% | ||||||||||
Automobiles & Components – 0.6% | ||||||||||
106,600 | Ford Motor Co.* | $ | 647,062 | |||||||
33,800 | Johnson Controls, Inc. | 734,136 | ||||||||
1,381,198 | ||||||||||
Banks – 2.8% | ||||||||||
6,000 | Associated Banc-Corp | 75,000 | ||||||||
4,700 | BancorpSouth, Inc. | 96,491 | ||||||||
7,800 | Bank of Hawaii Corp. | 279,474 | ||||||||
1,800 | City National Corp. | 66,306 | ||||||||
6,400 | Fulton Financial Corp. | 33,344 | ||||||||
54,700 | New York Community Bancorp, Inc. | 584,743 | ||||||||
15,700 | Popular, Inc. | 34,540 | ||||||||
60,600 | U.S. Bancorp | 1,085,952 | ||||||||
35,025 | Valley National Bancorp | 409,793 | ||||||||
6,400 | Webster Financial Corp. | 51,520 | ||||||||
141,400 | Wells Fargo & Co. | 3,430,364 | ||||||||
4,200 | Whitney Holding Corp. | 38,472 | ||||||||
6,000 | Wilmington Trust Corp. | 81,960 | ||||||||
6,267,959 | ||||||||||
Capital Goods – 7.5% | ||||||||||
26,200 | 3M Co. | 1,574,620 | ||||||||
52,150 | Caterpillar, Inc.(a) | 1,723,036 | ||||||||
29,000 | Deere & Co. | 1,158,550 | ||||||||
16,000 | Eaton Corp. | 713,760 | ||||||||
51,600 | Emerson Electric Co. | 1,671,840 | ||||||||
301,650 | General Electric Co.(a) | 3,535,338 | ||||||||
45,400 | Honeywell International, Inc. | 1,425,560 | ||||||||
12,000 | Lockheed Martin Corp. | 967,800 | ||||||||
7,600 | SPX Corp. | 372,172 | ||||||||
4,600 | SunPower Corp. Class A* | 122,544 | ||||||||
3,600 | Terex Corp.* | 43,452 | ||||||||
43,650 | The Boeing Co. | 1,855,125 | ||||||||
4,000 | Timken Co. | 68,320 | ||||||||
34,750 | United Technologies Corp. | 1,805,610 | ||||||||
17,037,727 | ||||||||||
Commercial & Professional Services – 1.0% | ||||||||||
26,400 | Avery Dennison Corp. | 677,952 | ||||||||
30,100 | Pitney Bowes, Inc. | 660,093 | ||||||||
52,000 | R.R. Donnelley & Sons Co. | 604,240 | ||||||||
57,900 | Steelcase, Inc. Class A | 336,978 | ||||||||
2,279,263 | ||||||||||
Consumer Durables & Apparel – 0.7% | ||||||||||
20,200 | Jones Apparel Group, Inc. | 216,746 | ||||||||
61,800 | Leggett & Platt, Inc. | 941,214 | ||||||||
7,600 | M.D.C. Holdings, Inc. | 228,836 | ||||||||
6,900 | Toll Brothers, Inc.* | 117,093 | ||||||||
1,503,889 | ||||||||||
Consumer Services – 1.1% | ||||||||||
25,600 | Brinker International, Inc. | 435,968 | ||||||||
26,700 | McDonald’s Corp. | 1,534,983 | ||||||||
25,300 | Starwood Hotels & Resorts Worldwide, Inc. | 561,660 | ||||||||
2,532,611 | ||||||||||
Diversified Financials – 7.3% | ||||||||||
59,400 | American Express Co. | 1,380,456 | ||||||||
231,081 | Bank of America Corp.(a) | 3,050,269 | ||||||||
158,800 | Citigroup, Inc. | 471,636 | ||||||||
1,500 | CME Group, Inc. | 466,665 | ||||||||
31,900 | Federated Investors, Inc. Class B | 768,471 | ||||||||
137,850 | JPMorgan Chase & Co.(a) | 4,702,064 | ||||||||
49,100 | Morgan Stanley | 1,399,841 | ||||||||
12,900 | Raymond James Financial, Inc. | 222,009 | ||||||||
17,300 | State Street Corp. | 816,560 | ||||||||
31,400 | T. Rowe Price Group, Inc. | 1,308,438 | ||||||||
38,400 | The Bank of New York Mellon Corp. | 1,125,504 | ||||||||
54,400 | The Charles Schwab Corp. | 954,176 | ||||||||
2,000 | The Student Loan Corp. | 74,400 | ||||||||
16,740,489 | ||||||||||
Energy – 12.2% | ||||||||||
4,200 | Alpha Natural Resources, Inc.* | 110,334 | ||||||||
14,800 | Arch Coal, Inc. | 227,476 | ||||||||
48,000 | Chesapeake Energy Corp. | 951,840 | ||||||||
72,800 | Chevron Corp.(a)(b) | 4,823,000 | ||||||||
91,050 | ConocoPhillips | 3,829,563 | ||||||||
14,900 | Devon Energy Corp. | 812,050 | ||||||||
23,500 | Diamond Offshore Drilling, Inc. | 1,951,675 | ||||||||
134,200 | Exxon Mobil Corp.(a) | 9,381,922 | ||||||||
6,000 | Frontier Oil Corp. | 78,660 | ||||||||
4,400 | Marathon Oil Corp. | 132,572 | ||||||||
40,000 | Occidental Petroleum Corp. | 2,632,400 | ||||||||
17,700 | Petrohawk Energy Corp.* | 394,710 | ||||||||
6,600 | Plains Exploration & Production Co.* | 180,576 | ||||||||
6,900 | Quicksilver Resources, Inc.* | 64,101 | ||||||||
38,300 | Schlumberger Ltd. | 2,072,413 | ||||||||
8,600 | Weatherford International Ltd.* | 168,216 | ||||||||
3,200 | Whiting Petroleum Corp.* | 112,512 | ||||||||
27,924,020 | ||||||||||
Food & Staples Retailing – 1.9% | ||||||||||
34,650 | CVS/Caremark Corp. | 1,104,295 | ||||||||
66,200 | Wal-Mart Stores, Inc. | 3,206,728 | ||||||||
4,311,023 | ||||||||||
Food, Beverage & Tobacco – 5.6% | ||||||||||
105,150 | Altria Group, Inc.(a) | 1,723,409 | ||||||||
39,900 | H. J. Heinz Co. | 1,424,430 | ||||||||
73,091 | Kraft Foods, Inc. Class A | 1,852,126 | ||||||||
43,600 | PepsiCo, Inc. | 2,396,256 | ||||||||
56,650 | Philip Morris International, Inc. | 2,471,073 | ||||||||
62,350 | The Coca-Cola Co. | 2,992,176 | ||||||||
12,859,470 | ||||||||||
GOLDMAN SACHS U.S. EQUITY DIVIDEND AND PREMIUM FUND
Schedule of Investments (continued)
June 30, 2009 (Unaudited)
Shares | Description | Value | ||||||||
Common Stocks – (continued) | ||||||||||
Food, Beverage & Tobacco – (continued) | ||||||||||
Health Care Equipment & Services – 1.7% | ||||||||||
18,700 | Baxter International, Inc. | $ | 990,352 | |||||||
45,100 | Medtronic, Inc. | 1,573,539 | ||||||||
2,600 | Teleflex, Inc. | 116,558 | ||||||||
50,150 | UnitedHealth Group, Inc. | 1,252,747 | ||||||||
3,933,196 | ||||||||||
Household & Personal Products – 2.5% | ||||||||||
7,800 | Colgate-Palmolive Co. | 551,772 | ||||||||
23,800 | Kimberly-Clark Corp. | 1,247,834 | ||||||||
77,500 | The Procter & Gamble Co. | 3,960,250 | ||||||||
5,759,856 | ||||||||||
Insurance – 2.2% | ||||||||||
5,400 | ACE Ltd. | 238,842 | ||||||||
16,300 | Aflac, Inc. | 506,767 | ||||||||
39,700 | Ambac Financial Group, Inc. | 36,524 | ||||||||
33,200 | Cincinnati Financial Corp. | 742,020 | ||||||||
8,700 | Fidelity National Financial, Inc. Class A | 117,711 | ||||||||
2,300 | First American Corp. | 59,593 | ||||||||
4,900 | Mercury General Corp. | 163,807 | ||||||||
40,000 | MetLife, Inc. | 1,200,400 | ||||||||
29,300 | Old Republic International Corp. | 288,605 | ||||||||
7,500 | OneBeacon Insurance Group Ltd. Class A | 87,675 | ||||||||
17,500 | Protective Life Corp. | 200,200 | ||||||||
20,600 | Prudential Financial, Inc. | 766,732 | ||||||||
3,200 | StanCorp Financial Group, Inc. | 91,776 | ||||||||
13,700 | The Travelers Companies, Inc. | 562,248 | ||||||||
3,900 | Unitrin, Inc. | 46,878 | ||||||||
5,109,778 | ||||||||||
Materials – 4.0% | ||||||||||
3,500 | Cabot Corp. | 44,030 | ||||||||
4,600 | Cliffs Natural Resources, Inc. | 112,562 | ||||||||
90,500 | E.I. du Pont de Nemours & Co.(a) | 2,318,610 | ||||||||
15,800 | Freeport-McMoRan Copper & Gold, Inc. | 791,738 | ||||||||
30,600 | Huntsman Corp. | 153,918 | ||||||||
800 | Martin Marietta Materials, Inc. | 63,104 | ||||||||
57,800 | MeadWestvaco Corp. | 948,498 | ||||||||
16,800 | Monsanto Co. | 1,248,912 | ||||||||
14,000 | Newmont Mining Corp. | 572,180 | ||||||||
21,500 | Nucor Corp. | 955,245 | ||||||||
14,600 | PPG Industries, Inc. | 640,940 | ||||||||
20,900 | RPM International, Inc. | 293,436 | ||||||||
5,200 | Sonoco Products Co. | 124,540 | ||||||||
16,500 | Steel Dynamics, Inc. | 243,045 | ||||||||
33,600 | The Dow Chemical Co. | 542,304 | ||||||||
3,800 | Walter Energy, Inc. | 137,712 | ||||||||
9,190,774 | ||||||||||
Media – 2.6% | ||||||||||
3,800 | Cablevision Systems Corp. Class A | 73,758 | ||||||||
118,800 | Comcast Corp. Class A | 1,721,412 | ||||||||
37,100 | Comcast Corp. Special Class A | 523,110 | ||||||||
45,000 | News Corp. Class B | 475,650 | ||||||||
46,600 | Regal Entertainment Group Class A | 619,314 | ||||||||
7,550 | The McClatchy Co. Class A | 3,775 | ||||||||
38,000 | The McGraw-Hill Companies, Inc. | 1,144,180 | ||||||||
60,700 | The Walt Disney Co.(b) | 1,416,131 | ||||||||
2 | Time Warner Cable, Inc. | 63 | ||||||||
2 | Time Warner, Inc. | 51 | ||||||||
5,977,444 | ||||||||||
Pharmaceuticals, Biotechnology & Life Sciences – 10.4% | ||||||||||
45,900 | Abbott Laboratories | 2,159,136 | ||||||||
28,300 | Amgen, Inc.* | 1,498,202 | ||||||||
131,450 | Bristol-Myers Squibb Co. | 2,669,749 | ||||||||
11,100 | Celgene Corp.* | 531,024 | ||||||||
90,100 | Eli Lilly & Co. | 3,121,064 | ||||||||
14,900 | Gilead Sciences, Inc.* | 697,916 | ||||||||
67,600 | Johnson & Johnson(a) | 3,839,680 | ||||||||
66,650 | Merck & Co., Inc. | 1,863,534 | ||||||||
352,000 | Pfizer, Inc.(a)(b) | 5,280,000 | ||||||||
48,800 | Wyeth | 2,215,032 | ||||||||
23,875,337 | ||||||||||
Real Estate Investment Trust – 1.1% | ||||||||||
27,800 | BRE Properties, Inc. | 660,528 | ||||||||
8,400 | Camden Property Trust | 231,840 | ||||||||
54,617 | CBL & Associates Properties, Inc. | 294,385 | ||||||||
58,600 | Developers Diversified Realty Corp. | 285,968 | ||||||||
1,300 | Essex Property Trust, Inc. | 80,899 | ||||||||
27,200 | HCP, Inc. | 576,368 | ||||||||
39,500 | HRPT Properties Trust | 160,370 | ||||||||
198 | The Macerich Co. | 3,487 | ||||||||
9,100 | UDR, Inc. | 94,003 | ||||||||
2,387,848 | ||||||||||
Retailing – 3.0% | ||||||||||
4,700 | Amazon.com, Inc.* | 393,202 | ||||||||
6,800 | Barnes & Noble, Inc. | 140,284 | ||||||||
36,800 | Foot Locker, Inc. | 385,296 | ||||||||
42,800 | J.C. Penney Co., Inc. | 1,228,788 | ||||||||
62,600 | Lowe’s Companies, Inc. | 1,215,066 | ||||||||
27,600 | Target Corp. | 1,089,372 | ||||||||
101,800 | The Home Depot, Inc. | 2,405,534 | ||||||||
6,857,542 | ||||||||||
Semiconductors & Semiconductor Equipment – 3.7% | ||||||||||
254,950 | Intel Corp. | 4,219,423 | ||||||||
38,600 | Intersil Corp. Class A | 485,202 | ||||||||
38,900 | Linear Technology Corp. | 908,315 | ||||||||
39,600 | Maxim Integrated Products, Inc. | 621,324 | ||||||||
102,500 | Microchip Technology, Inc. | 2,311,375 | ||||||||
8,545,639 | ||||||||||
Software & Services – 6.5% | ||||||||||
9,030 | Google, Inc. Class A* | 3,806,958 | ||||||||
365,750 | Microsoft Corp.(a) | 8,693,877 | ||||||||
GOLDMAN SACHS U.S. EQUITY DIVIDEND AND PREMIUM FUND
Shares | Description | Value | ||||||||
Common Stocks – (continued) | ||||||||||
Software & Services – (continued) | ||||||||||
35,300 | Oracle Corp. | $ | 756,126 | |||||||
62,600 | Paychex, Inc. | 1,577,520 | ||||||||
200 | VeriFone Holdings, Inc.* | 1,502 | ||||||||
14,835,983 | ||||||||||
Technology Hardware & Equipment – 6.4% | ||||||||||
34,750 | Apple, Inc.*(a) | 4,949,442 | ||||||||
187,900 | Cisco Systems, Inc.* | 3,502,456 | ||||||||
51,300 | Corning, Inc. | 823,878 | ||||||||
14,900 | Diebold, Inc. | 392,764 | ||||||||
87,800 | Hewlett-Packard Co. | 3,393,470 | ||||||||
62,400 | Molex, Inc. | 970,320 | ||||||||
43,200 | Molex, Inc. Class A | 621,216 | ||||||||
14,653,546 | ||||||||||
Telecommunication Services – 5.4% | ||||||||||
191,728 | AT&T, Inc.(a)(b) | 4,762,524 | ||||||||
17,100 | CenturyTel, Inc. | 524,970 | ||||||||
268,500 | Frontier Communications Corp. | 1,917,090 | ||||||||
10,900 | NII Holdings, Inc.* | 207,863 | ||||||||
94,000 | Verizon Communications, Inc. | 2,888,620 | ||||||||
255,900 | Windstream Corp. | 2,139,324 | ||||||||
12,440,391 | ||||||||||
Transportation – 1.8% | ||||||||||
16,700 | CSX Corp. | 578,321 | ||||||||
7,100 | Delta Air Lines, Inc.* | 41,109 | ||||||||
19,400 | Norfolk Southern Corp. | 730,798 | ||||||||
19,400 | Union Pacific Corp. | 1,009,964 | ||||||||
35,950 | United Parcel Service, Inc. Class B | 1,797,140 | ||||||||
4,157,332 | ||||||||||
Utilities – 5.5% | ||||||||||
7,000 | AGL Resources, Inc. | 222,600 | ||||||||
9,800 | Alliant Energy Corp. | 256,074 | ||||||||
32,500 | American Electric Power Co., Inc. | 938,925 | ||||||||
6,900 | Aqua America, Inc. | 123,510 | ||||||||
67,700 | CenterPoint Energy, Inc. | 750,116 | ||||||||
47,000 | Consolidated Edison, Inc. | 1,758,740 | ||||||||
89,450 | Duke Energy Corp. | 1,305,076 | ||||||||
26,400 | Exelon Corp. | 1,351,944 | ||||||||
25,000 | Great Plains Energy, Inc. | 388,750 | ||||||||
6,200 | Hawaiian Electric Industries, Inc. | 118,172 | ||||||||
17,600 | Integrys Energy Group, Inc. | 527,824 | ||||||||
2,700 | MDU Resources Group, Inc. | 51,219 | ||||||||
101,600 | NiSource, Inc. | 1,184,656 | ||||||||
7,400 | NSTAR | 237,614 | ||||||||
11,200 | Oneok, Inc. | 330,288 | ||||||||
30,100 | Progress Energy, Inc. | 1,138,683 | ||||||||
52,400 | Southern Co. | 1,632,784 | ||||||||
9,400 | Vectren Corp. | 220,242 | ||||||||
12,537,217 | ||||||||||
TOTAL COMMON STOCKS | ||||||||||
(Cost $257,635,885) | $ | 223,099,532 | ||||||||
Shares | Rate | Value | ||||||||||
Investment Company(c) – 2.7% | ||||||||||||
JPMorgan U.S. Government Money Market Fund – Capital Shares | ||||||||||||
6,230,720 | 0.236 | % | $ | 6,230,720 | ||||||||
(Cost $6,230,720) | ||||||||||||
TOTAL INVESTMENTS – 100.2% | ||||||||||||
(Cost $263,866,605) | $ | 229,330,252 | ||||||||||
LIABILITIES IN EXCESS OF OTHER ASSETS – (0.2)% | (424,343 | ) | ||||||||||
NET ASSETS – 100.0% | $ | 228,905,909 | ||||||||||
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 held as collateral for call options written. | |
(b) | All or a portion of security is segregated as collateral for initial margin requirements on futures transactions. | |
(c) | Variable rate security. Interest rate disclosed is that which is in effect at June 30, 2009. |
GOLDMAN SACHS U.S. EQUITY DIVIDEND AND PREMIUM FUND
Schedule of Investments (continued)
June 30, 2009 (Unaudited)
ADDITIONAL INVESTMENT INFORMATION
FUTURES CONTRACTS — At June 30, 2009, the following futures contracts were open:
Number of | ||||||||||||||
Contracts | Settlement | Notional | Unrealized | |||||||||||
Type | Long | Month | Value | Loss | ||||||||||
S&P 500 E-mini | 81 | September 2009 | $ | 3,707,775 | $ | (1,917 | ) | |||||||
WRITTEN OPTIONS — For the six months ended June 30, 2009, the Fund had the following written options activity:
Number of | Premiums | |||||||
Contracts | Received | |||||||
Contracts Outstanding December 31, 2008 | 305 | $ | 1,799,195 | |||||
Contracts written | 1,198 | 3,962,842 | ||||||
Contracts expired | (305 | ) | (1,799,195 | ) | ||||
Contracts bought to close | (463 | ) | (1,689,487 | ) | ||||
Contracts Outstanding June 30, 2009 | 735 | $ | 2,273,355 | |||||
At June 30, 2009, the Fund had outstanding written options as follows:
Number of | Exercise | Expiration | ||||||||||||
Call Options | Contracts | Rate | Month | Value | ||||||||||
S&P 500 Index | 735 | $950 | September 2009 | $ | (1,852,200 | ) | ||||||||
(Premiums Received $2,273,355) | ||||||||||||||
GOLDMAN SACHS INTERNATIONAL EQUITY DIVIDEND AND PREMIUM FUND
Schedule of Investments
June 30, 2009 (Unaudited)
Shares | Description | Value | ||||||||
Common Stocks – 91.6% | ||||||||||
Australia – 6.7% | ||||||||||
1,597 | AGL Energy Ltd. (Utilities) | $ | 17,282 | |||||||
6,884 | AMP Ltd. (Insurance) | 26,971 | ||||||||
13,056 | Aristocrat Leisure Ltd. (Consumer Services) | 39,780 | ||||||||
30,174 | Arrow Energy Ltd. (Energy)* | 85,701 | ||||||||
14,155 | Australia & New Zealand Banking Group Ltd. (Banks) | 187,588 | ||||||||
8,034 | BHP Billiton Ltd. (Materials) | 220,098 | ||||||||
104,679 | BlueScope Steel Ltd. (Materials) | 212,258 | ||||||||
5,306 | CFS Retail Property Trust (REIT) | 7,030 | ||||||||
6,559 | Coca-Cola Amatil Ltd. (Food, Beverage & Tobacco) | 45,456 | ||||||||
12,687 | Commonwealth Bank of Australia (Banks) | 397,685 | ||||||||
3,527 | Harvey Norman Holdings Ltd. (Retailing) | 9,350 | ||||||||
24,548 | Incitec Pivot Ltd. (Materials) | 46,717 | ||||||||
1,022 | Lend Lease Corp. Ltd. (Real Estate) | 5,751 | ||||||||
8,139 | Macquarie Airports (Transportation) | 15,131 | ||||||||
731 | Macquarie Group Ltd. (Diversified Financials) | 22,885 | ||||||||
6,548 | Newcrest Mining Ltd. (Materials) | 160,041 | ||||||||
32,412 | OneSteel Ltd. (Materials) | 66,995 | ||||||||
34,084 | Qantas Airways Ltd. (Transportation)(a) | 55,192 | ||||||||
5,819 | QBE Insurance Group Ltd. (Insurance) | 93,116 | ||||||||
7,531 | Sonic Healthcare Ltd. (Health Care Equipment & Services) | 74,701 | ||||||||
14,060 | Stockland (REIT) | 36,268 | ||||||||
22,824 | Telstra Corp. Ltd. (Telecommunication Services) | 62,283 | ||||||||
4,438 | Toll Holdings Ltd. (Transportation) | 22,271 | ||||||||
9,411 | Wesfarmers Ltd. (Food & Staples Retailing) | 171,351 | ||||||||
3,179 | Wesfarmers Ltd. Price Protected Shares (Food & Staples Retailing) | 60,080 | ||||||||
13,476 | Westfield Group (REIT) | 123,336 | ||||||||
16,783 | Westpac Banking Corp. (Banks) | 273,054 | ||||||||
4,088 | Woodside Petroleum Ltd. (Energy) | 141,224 | ||||||||
2,679,595 | ||||||||||
Austria – 0.5% | ||||||||||
1,314 | Erste Group Bank AG (Banks) | 35,673 | ||||||||
845 | Raiffeisen International Bank Holding AG (Banks) | 29,498 | ||||||||
4,591 | Voestalpine AG (Materials) | 126,454 | ||||||||
191,625 | ||||||||||
Belgium – 0.4% | ||||||||||
912 | Anheuser-Busch InBev NV (Food, Beverage & Tobacco) | 33,069 | ||||||||
6,200 | Dexia SA (Banks)* | 47,330 | ||||||||
20,489 | Fortis (Diversified Financials)* | 70,155 | ||||||||
1,493 | KBC Groep NV (Banks)* | 27,455 | ||||||||
178,009 | ||||||||||
China – 0.0% | ||||||||||
13,000 | Foxconn International Holdings Ltd. (Technology Hardware & Equipment)* | 8,452 | ||||||||
Denmark – 0.6% | ||||||||||
10 | A.P. Moller – Maersk A/S Class B (Transportation) | 59,916 | ||||||||
1,080 | Carlsberg A/S Class B (Food, Beverage & Tobacco) | 69,282 | ||||||||
719 | Danske Bank A/S (Banks)* | 12,404 | ||||||||
1,312 | Vestas Wind Systems A/S (Capital Goods)* | 94,155 | ||||||||
235,757 | ||||||||||
Finland – 1.7% | ||||||||||
1,362 | Kesko Oyj Class B (Food & Staples Retailing) | 36,074 | ||||||||
8,973 | Nokia Oyj (Technology Hardware & Equipment) | 131,428 | ||||||||
24,233 | Orion Oyj Class B (Pharmaceuticals, Biotechnology & Life Sciences) | 380,070 | ||||||||
7,004 | Rautaruukki Oyj (Materials) | 140,481 | ||||||||
688,053 | ||||||||||
France – 9.5% | ||||||||||
788 | Accor SA (Consumer Services) | 31,396 | ||||||||
722 | Alstom SA (Capital Goods) | 42,870 | ||||||||
13,434 | AXA SA (Insurance) | 254,264 | ||||||||
6,850 | Cap Gemini SA (Software & Services) | 253,514 | ||||||||
294 | Carrefour SA (Food & Staples Retailing) | 12,608 | ||||||||
3,441 | Casino Guichard Perrachon SA (Food & Staples Retailing) | 233,043 | ||||||||
1,140 | Christian Dior SA (Consumer Durables & Apparel) | 85,396 | ||||||||
532 | Compagnie de Saint-Gobain (Capital Goods) | 17,901 | ||||||||
1,157 | Compagnie Generale des Etablissements Michelin Class B (Automobiles & Components) | 66,263 | ||||||||
2,953 | Credit Agricole SA (Banks) | 37,025 | ||||||||
2,622 | Danone (Food, Beverage & Tobacco) | 130,011 | ||||||||
21,248 | France Telecom SA (Telecommunication Services) | 483,467 | ||||||||
2,844 | GDF Suez (Utilities) | 106,457 | ||||||||
396 | Lafarge SA (Materials)* | 26,943 | ||||||||
2,483 | LVMH Moet Hennessy Louis Vuitton SA (Consumer Durables & Apparel) | 190,429 | ||||||||
GOLDMAN SACHS INTERNATIONAL EQUITY DIVIDEND AND PREMIUM FUND
Schedule of Investments (continued)
June 30, 2009 (Unaudited)
Shares | Description | Value | ||||||||
Common Stocks – (continued) | ||||||||||
France – (continued) | ||||||||||
2,320 | Neopost SA (Technology Hardware & Equipment) | $ | 208,907 | |||||||
753 | Sanofi-Aventis SA (Pharmaceuticals, Biotechnology & Life Sciences)(a) | 44,494 | ||||||||
5,949 | Schneider Electric SA (Capital Goods) | 455,323 | ||||||||
2,454 | Societe Generale (Banks) | 134,701 | ||||||||
9,240 | Total SA (Energy)(a) | 500,812 | ||||||||
555 | Unibail-Rodamco SE (REIT) | 82,980 | ||||||||
1,452 | Vallourec SA (Capital Goods) | 177,474 | ||||||||
203 | Vinci SA (Capital Goods) | 9,160 | ||||||||
9,207 | Vivendi (Media)(a) | 221,003 | ||||||||
3,806,441 | ||||||||||
Germany – 8.0% | ||||||||||
3,178 | Allianz SE (Registered) (Insurance) | 293,145 | ||||||||
3,466 | BASF SE (Materials) | 138,091 | ||||||||
1,449 | Bayer AG (Pharmaceuticals, Biotechnology & Life Sciences) | 77,869 | ||||||||
5,346 | Commerzbank AG (Banks)* | 33,325 | ||||||||
9,137 | Daimler AG (Registered) (Automobiles & Components)(a) | 331,815 | ||||||||
3,099 | Deutsche Bank AG (Registered) (Diversified Financials) | 188,390 | ||||||||
865 | Deutsche Boerse AG (Diversified Financials) | 67,318 | ||||||||
18,829 | Deutsche Lufthansa AG (Registered) (Transportation) | 236,466 | ||||||||
6,052 | Deutsche Post AG (Registered) (Transportation) | 79,021 | ||||||||
18,014 | Deutsche Telekom AG (Registered) (Telecommunication Services) | 212,970 | ||||||||
7,948 | E.ON AG (Utilities) | 282,136 | ||||||||
953 | K+S AG (Materials) | 53,755 | ||||||||
1,168 | Muenchener Rueckversicherungs-Gesellschaft AG (Registered) (Insurance) | 157,803 | ||||||||
726 | Porsche Automobil Holding SE Preference Shares (Automobiles & Components) | 48,867 | ||||||||
1,485 | RWE AG (Utilities) | 117,106 | ||||||||
5,141 | RWE AG Preference Shares (Utilities) | 343,309 | ||||||||
1,148 | SAP AG (Software & Services) | 46,285 | ||||||||
2,268 | Siemens AG (Registered) (Capital Goods) | 156,837 | ||||||||
6,068 | Suedzucker AG (Food, Beverage & Tobacco) | 122,986 | ||||||||
4,393 | ThyssenKrupp AG (Materials) | 109,440 | ||||||||
152 | Volkswagen AG (Automobiles & Components) | 51,495 | ||||||||
719 | Volkswagen AG Preference Shares (Automobiles & Components) | 50,314 | ||||||||
3,198,743 | ||||||||||
Greece – 0.5% | ||||||||||
2,642 | National Bank of Greece SA (Banks)* | 73,292 | ||||||||
4,137 | OPAP SA (Consumer Services) | 110,313 | ||||||||
183,605 | ||||||||||
Hong Kong – 2.2% | ||||||||||
300 | ASM Pacific Technology Ltd. (Semiconductors & Semiconductor Equipment) | 1,534 | ||||||||
14,500 | BOC Hong Kong (Holdings) Ltd. (Banks) | 25,229 | ||||||||
5,000 | Cathay Pacific Airways Ltd. (Transportation) | 6,859 | ||||||||
7,000 | Cheung Kong Holdings Ltd. (Real Estate) | 80,039 | ||||||||
1,000 | Cheung Kong Infrastructure Holdings Ltd. (Utilities) | 3,503 | ||||||||
8,500 | CLP Holdings Ltd. (Utilities) | 56,322 | ||||||||
5,600 | Esprit Holdings Ltd. (Retailing) | 31,113 | ||||||||
15,000 | Genting Singapore PLC (Consumer Services)* | 7,022 | ||||||||
4,000 | Hang Lung Group Ltd. (Real Estate) | 18,718 | ||||||||
10,000 | Hang Lung Properties Ltd. (Real Estate) | 32,930 | ||||||||
3,900 | Hang Seng Bank Ltd. (Banks) | 54,585 | ||||||||
6,000 | Henderson Land Development Co. Ltd. (Real Estate) | 34,237 | ||||||||
18,000 | Hong Kong & China Gas Co. Ltd. (Utilities) | 37,785 | ||||||||
6,000 | Hong Kong Electric Holdings Ltd. (Utilities) | 33,331 | ||||||||
4,700 | Hong Kong Exchanges and Clearing Ltd. (Diversified Financials) | 72,646 | ||||||||
1,500 | Hopewell Holdings Ltd. (Real Estate) | 4,684 | ||||||||
11,000 | Hutchison Whampoa Ltd. (Capital Goods) | 71,557 | ||||||||
3,036 | Hysan Development Co. Ltd. (Real Estate) | 7,774 | ||||||||
5,000 | Kerry Properties Ltd. (Real Estate) | 21,780 | ||||||||
10,000 | Li & Fung Ltd. (Retailing) | 26,700 | ||||||||
6,000 | MTR Corp. Ltd. (Transportation) | 17,924 | ||||||||
3,000 | New World Development Ltd. (Real Estate) | 5,400 | ||||||||
1,000 | Noble Group Ltd. (Capital Goods) | 1,246 | ||||||||
500 | Orient Overseas International Ltd. (Transportation) | 2,122 | ||||||||
4,000 | Shangri-La Asia Ltd. (Consumer Services) | 5,908 | ||||||||
12,000 | Sino Land Co. (Real Estate) | 19,755 | ||||||||
7,000 | Sun Hung Kai Properties Ltd. (Real Estate) | 86,925 | ||||||||
5,000 | Swire Pacific Ltd. Class A (Real Estate) | 50,190 | ||||||||
GOLDMAN SACHS INTERNATIONAL EQUITY DIVIDEND AND PREMIUM FUND
Shares | Description | Value | ||||||||
Common Stocks – (continued) | ||||||||||
Hong Kong – (continued) | ||||||||||
7,820 | The Bank of East Asia Ltd. (Banks) | $ | 23,699 | |||||||
10,173 | The Link Real Estate Investment Trust (REIT) | 21,621 | ||||||||
1,000 | The Wharf (Holdings) Ltd. (Real Estate) | 4,216 | ||||||||
2,000 | Wheelock & Co. Ltd. (Real Estate) | 5,140 | ||||||||
500 | Wing Hang Bank Ltd. (Banks) | 4,364 | ||||||||
2,000 | Yue Yuen Industrial Holdings Ltd. (Consumer Durables & Apparel) | 4,705 | ||||||||
881,563 | ||||||||||
Italy – 3.5% | ||||||||||
3,240 | A2A SpA (Utilities) | 5,921 | ||||||||
3,024 | Banco Popolare Societa Cooperativa (Banks)* | 22,614 | ||||||||
59,290 | Enel SpA (Utilities) | 289,448 | ||||||||
25,868 | Eni SpA (Energy) | 613,511 | ||||||||
2,914 | Exor SpA (Diversified Financials) | 41,942 | ||||||||
33,048 | Intesa Sanpaolo SpA (Banks)* | 106,795 | ||||||||
18,793 | Snam Rete Gas SpA (Utilities) | 82,553 | ||||||||
97,816 | Telecom Italia SpA (Telecommunication Services) | 96,360 | ||||||||
55,405 | UniCredit SpA (Banks)* | 140,135 | ||||||||
1,399,279 | ||||||||||
Japan – 22.0% | ||||||||||
450 | Acom Co. Ltd. (Diversified Financials) | 11,215 | ||||||||
4,000 | Ajinomoto Co., Inc. (Food, Beverage & Tobacco) | 31,643 | ||||||||
3,000 | Amada Co. Ltd. (Capital Goods) | 18,592 | ||||||||
15,000 | Asahi Kasei Corp. (Materials) | 76,106 | ||||||||
2,500 | Astellas Pharma, Inc. (Pharmaceuticals, Biotechnology & Life Sciences) | 88,280 | ||||||||
6,900 | Bridgestone Corp. (Automobiles & Components) | 108,085 | ||||||||
5,800 | Canon, Inc. (Technology Hardware & Equipment)(a) | 189,451 | ||||||||
14,000 | Casio Computer Co. Ltd. (Consumer Durables & Apparel) | 125,395 | ||||||||
3,700 | Chubu Electric Power Co., Inc. (Utilities) | 85,447 | ||||||||
8,000 | Chuo Mitsui Trust Holdings, Inc. (Banks) | 30,482 | ||||||||
500 | Coca-Cola West Co. Ltd. (Food, Beverage & Tobacco) | 9,563 | ||||||||
5,000 | Cosmo Oil Co. Ltd. (Energy) | 16,928 | ||||||||
2,900 | Credit Saison Co. Ltd. (Diversified Financials) | 36,785 | ||||||||
2,000 | Dai Nippon Printing Co. Ltd. (Commercial & Professional Services) | 27,384 | ||||||||
3,800 | Daiichi Sankyo Co. Ltd. (Pharmaceuticals, Biotechnology & Life Sciences) | 67,828 | ||||||||
200 | Daito Trust Construction Co. Ltd. (Real Estate) | 9,431 | ||||||||
2,000 | Daiwa House Industry Co. Ltd. (Real Estate) | 21,506 | ||||||||
8,000 | Daiwa Securities Group, Inc. (Diversified Financials) | 47,538 | ||||||||
500 | Denso Corp. (Automobiles & Components) | 12,816 | ||||||||
1,200 | East Japan Railway Co. (Transportation) | 72,247 | ||||||||
3,300 | Eisai Co. Ltd. (Pharmaceuticals, Biotechnology & Life Sciences) | 117,167 | ||||||||
1,200 | FUJIFILM Holdings Corp. (Technology Hardware & Equipment) | 38,190 | ||||||||
15,000 | Fujitsu Ltd. (Technology Hardware & Equipment) | 81,483 | ||||||||
4,000 | Fukuoka Financial Group, Inc. (Banks) | 17,889 | ||||||||
4,000 | GS Yuasa Corp. (Capital Goods) | 35,100 | ||||||||
1,100 | Hikari Tsushin, Inc. (Retailing) | 24,798 | ||||||||
400 | Hitachi Chemical Co. Ltd. (Materials) | 6,440 | ||||||||
1,000 | Hitachi Metals Ltd. (Materials) | 8,512 | ||||||||
1,600 | Hokkaido Electric Power Co., Inc. (Utilities) | 29,958 | ||||||||
14,000 | Honda Motor Co. Ltd. (Automobiles & Components) | 385,152 | ||||||||
400 | Ito En Ltd. (Food, Beverage & Tobacco) | 5,689 | ||||||||
26,000 | ITOCHU Corp. (Capital Goods) | 180,420 | ||||||||
2 | Japan Real Estate Investment Corp. (REIT) | 16,590 | ||||||||
23 | Japan Tobacco, Inc. (Food, Beverage & Tobacco) | 71,894 | ||||||||
2,500 | JS Group Corp. (Capital Goods) | 38,583 | ||||||||
4,000 | Kaneka Corp. (Materials) | 28,423 | ||||||||
1,000 | Kao Corp. (Household & Personal Products) | 21,760 | ||||||||
12,000 | Kawasaki Kisen Kaisha Ltd. (Transportation) | 49,225 | ||||||||
1 | KDDI Corp. (Telecommunication Services) | 5,306 | ||||||||
3,000 | Kikkoman Corp. (Food, Beverage & Tobacco) | 30,043 | ||||||||
4,000 | Kirin Holdings Co. Ltd. (Food, Beverage & Tobacco) | 55,806 | ||||||||
9,000 | Komatsu Ltd. (Capital Goods) | 138,956 | ||||||||
5,000 | Konica Minolta Holdings, Inc. (Technology Hardware & Equipment) | 52,242 | ||||||||
2,600 | Kyushu Electric Power Co., Inc. (Utilities) | 55,956 | ||||||||
2,100 | Lawson, Inc. (Food & Staples Retailing) | 92,434 | ||||||||
18,300 | Marui Group Co. Ltd. (Retailing) | 128,100 | ||||||||
GOLDMAN SACHS INTERNATIONAL EQUITY DIVIDEND AND PREMIUM FUND
Schedule of Investments (continued)
June 30, 2009 (Unaudited)
Shares | Description | Value | ||||||||
Common Stocks – (continued) | ||||||||||
Japan – (continued) | ||||||||||
13,000 | Mazda Motor Corp. (Automobiles & Components) | $ | 33,247 | |||||||
12,000 | Minebea Co. Ltd. (Capital Goods) | 51,069 | ||||||||
7,500 | Mitsubishi Chemical Holdings Corp. (Materials) | 31,723 | ||||||||
10,700 | Mitsubishi Corp. (Capital Goods) | 197,449 | ||||||||
5,000 | Mitsubishi Estate Co. Ltd. (Real Estate) | 83,008 | ||||||||
4,000 | Mitsubishi Gas Chemical Co., Inc. (Materials) | 21,809 | ||||||||
16,000 | Mitsubishi Heavy Industries Ltd. (Capital Goods) | 66,213 | ||||||||
50,500 | Mitsubishi UFJ Financial Group, Inc. (Banks) | 311,827 | ||||||||
150 | Mitsubishi UFJ Lease & Finance Co. Ltd. (Diversified Financials) | 4,890 | ||||||||
7,000 | Mitsui Chemicals, Inc. (Materials) | 22,314 | ||||||||
17,000 | Mitsui Engineering & Shipbuilding Co. Ltd. (Capital Goods) | 39,932 | ||||||||
4,000 | Mitsui Fudosan Co. Ltd. (Real Estate) | 69,377 | ||||||||
15,000 | Mitsui OSK Lines Ltd. (Transportation) | 96,935 | ||||||||
2,500 | Mitsui Sumitomo Insurance Group Holdings, Inc. (Insurance) | 65,402 | ||||||||
2,600 | Mitsumi Electric Co. Ltd. (Technology Hardware & Equipment) | 55,540 | ||||||||
57,600 | Mizuho Financial Group, Inc. (Banks) | 133,824 | ||||||||
600 | Murata Manufacturing Co. Ltd. (Technology Hardware & Equipment) | 25,608 | ||||||||
20,000 | NEC Corp. (Technology Hardware & Equipment)* | 78,232 | ||||||||
3,000 | NGK Insulators Ltd. (Capital Goods) | 61,145 | ||||||||
600 | Nintendo Co. Ltd. (Software & Services)(a) | 166,053 | ||||||||
3 | Nippon Building Fund, Inc. (REIT) | 25,644 | ||||||||
25,000 | Nippon Express Co. Ltd. (Transportation) | 113,493 | ||||||||
12,000 | Nippon Oil Corp. (Energy) | 70,662 | ||||||||
1,900 | Nippon Paper Group, Inc. (Materials) | 49,151 | ||||||||
13,000 | Nippon Sheet Glass Co. Ltd. (Capital Goods) | 37,880 | ||||||||
1,600 | Nippon Telegraph & Telephone Corp. (Telecommunication Services) | 65,161 | ||||||||
3,000 | Nippon Yusen Kabushiki Kaisha (Transportation) | 12,918 | ||||||||
1,000 | Nipponkoa Insurance Co., Ltd.. (Insurance) | 5,818 | ||||||||
3,000 | Nissan Chemical Industries Ltd. (Materials) | 33,724 | ||||||||
3,900 | Nissan Motor Co. Ltd. (Automobiles & Components) | 23,669 | ||||||||
14,200 | Nomura Holdings, Inc. (Diversified Financials) | 119,860 | ||||||||
10,000 | NSK Ltd. (Capital Goods) | 50,622 | ||||||||
152 | NTT DoCoMo, Inc. (Telecommunication Services) | 222,321 | ||||||||
1,000 | Odakyu Electric Railway Co. Ltd. (Transportation) | 8,549 | ||||||||
800 | Ono Pharmaceutical Co. Ltd. (Pharmaceuticals, Biotechnology & Life Sciences) | 35,488 | ||||||||
9,000 | Onward Holdings Co. Ltd. (Consumer Durables & Apparel) | 57,835 | ||||||||
1,500 | Oracle Corp. Japan (Software & Services) | 55,009 | ||||||||
5,600 | Panasonic Corp. (Consumer Durables & Apparel)(a) | 75,447 | ||||||||
3,000 | Panasonic Electric Works Co. Ltd. (Capital Goods) | 28,355 | ||||||||
3,900 | Resona Holdings, Inc. (Banks) | 54,668 | ||||||||
22,000 | Ricoh Co. Ltd. (Technology Hardware & Equipment) | 283,408 | ||||||||
1,800 | Rohm Co. Ltd. (Semiconductors & Semiconductor Equipment) | 131,288 | ||||||||
100 | Sankyo Co. Ltd. (Consumer Durables & Apparel) | 5,334 | ||||||||
2,000 | Sekisui Chemical Co. Ltd. (Consumer Durables & Apparel) | 12,537 | ||||||||
16,000 | Sekisui House Ltd. (Consumer Durables & Apparel) | 162,047 | ||||||||
3,100 | Seven & I Holdings Co. Ltd. (Food & Staples Retailing) | 72,703 | ||||||||
600 | Shin-Etsu Chemical Co. Ltd. (Materials) | 27,827 | ||||||||
5,000 | Shinsei Bank Ltd. (Banks)* | 7,983 | ||||||||
4,000 | Shiseido Co. Ltd. (Household & Personal Products) | 65,439 | ||||||||
40,000 | Showa Denko K.K. (Materials) | 71,342 | ||||||||
800 | Softbank Corp. (Telecommunication Services) | 15,585 | ||||||||
13,600 | Sojitz Corp. (Capital Goods) | 29,825 | ||||||||
5,000 | Sompo Japan Insurance, Inc. (Insurance) | 33,318 | ||||||||
4 | Sony Financial Holdings, Inc. (Insurance) | 11,029 | ||||||||
6,000 | Sumitomo Corp. (Capital Goods) | 60,988 | ||||||||
8,600 | Sumitomo Electric Industries Ltd. (Capital Goods) | 96,421 | ||||||||
104,000 | Sumitomo Metal Industries Ltd. (Materials) | 276,461 | ||||||||
4,000 | Sumitomo Metal Mining Co. Ltd. (Materials) | 56,191 | ||||||||
2,300 | Sumitomo Mitsui Financial Group, Inc. (Banks) | 93,070 | ||||||||
GOLDMAN SACHS INTERNATIONAL EQUITY DIVIDEND AND PREMIUM FUND
Shares | Description | Value | ||||||||
Common Stocks – (continued) | ||||||||||
Japan – (continued) | ||||||||||
3,000 | Sumitomo Realty & Development Co. Ltd. (Real Estate) | $ | 54,776 | |||||||
6,200 | Sumitomo Rubber Industries, Inc. (Automobiles & Components) | 49,844 | ||||||||
2,000 | Suruga Bank Ltd. (Banks) | 19,135 | ||||||||
1,500 | T&D Holdings, Inc. (Insurance) | 42,856 | ||||||||
3,000 | Taisei Corp. (Capital Goods) | 7,232 | ||||||||
4,300 | Takeda Pharmaceutical Co. Ltd. (Pharmaceuticals, Biotechnology & Life Sciences) | 167,184 | ||||||||
1,000 | The Bank of Kyoto Ltd. (Banks) | 9,269 | ||||||||
6,000 | The Bank of Yokohama Ltd. (Banks) | 32,115 | ||||||||
5,000 | The Chiba Bank Ltd. (Banks) | 32,632 | ||||||||
1,000 | The Gunma Bank Ltd. (Banks) | 5,559 | ||||||||
1,000 | The Iyo Bank Ltd. (Banks) | 10,193 | ||||||||
6,000 | The Japan Steel Works, Ltd. (Capital Goods) | 73,944 | ||||||||
4,000 | The Joyo Bank Ltd. (Banks) | 20,409 | ||||||||
4,200 | The Kansai Electric Power Co., Inc. (Utilities) | 92,645 | ||||||||
4,000 | The Shizuoka Bank Ltd. (Banks) | 39,587 | ||||||||
11,000 | The Sumitomo Trust & Banking Co. Ltd. (Banks) | 59,025 | ||||||||
4,300 | The Tokyo Electric Power Co., Inc. (Utilities) | 110,559 | ||||||||
4,700 | Tohoku Electric Power Co., Inc. (Utilities) | 98,179 | ||||||||
4,500 | Tokio Marine Holdings, Inc. (Insurance) | 123,555 | ||||||||
1,000 | Tokyu Corp. (Transportation) | 5,045 | ||||||||
3,000 | Tosoh Corp. (Materials) | 8,486 | ||||||||
14,100 | Toyota Motor Corp. (Automobiles & Components)(a) | 533,225 | ||||||||
16 | West Japan Railway Co. (Transportation) | 52,912 | ||||||||
2,000 | Yamato Holdings Co. Ltd. (Transportation) | 26,592 | ||||||||
200 | Yamato Kogyo Co. Ltd. (Materials) | 5,888 | ||||||||
8,758,351 | ||||||||||
Netherlands – 4.4% | ||||||||||
9,076 | Aegon NV (Insurance) | 56,190 | ||||||||
3,499 | Akzo Nobel NV (Materials) | 154,666 | ||||||||
1,055 | ASML Holding NV (Semiconductors & Semiconductor Equipment) | 22,867 | ||||||||
14,056 | ING Groep NV CVA (Diversified Financials) | 142,401 | ||||||||
4,793 | Koninklijke DSM NV (Materials) | 150,723 | ||||||||
5,759 | Koninklijke Philips Electronics NV (Capital Goods) | 106,328 | ||||||||
17,806 | Royal Dutch Shell PLC Class A (Energy) | 446,167 | ||||||||
13,852 | Royal Dutch Shell PLC Class B (Energy) | 348,730 | ||||||||
13,852 | Unilever NV CVA (Food, Beverage & Tobacco) | 335,025 | ||||||||
1,763,097 | ||||||||||
New Zealand – 0.1% | ||||||||||
6,194 | Fletcher Building Ltd. (Materials) | 26,276 | ||||||||
Norway – 0.4% | ||||||||||
11,600 | DnB NOR ASA (Banks)* | 88,635 | ||||||||
4,200 | Orkla ASA (Capital Goods) | 30,540 | ||||||||
1,950 | Yara International ASA (Materials) | 54,899 | ||||||||
174,074 | ||||||||||
Singapore – 1.2% | ||||||||||
5,000 | Ascendas Real Estate Investment Trust (REIT) | 5,451 | ||||||||
14,000 | CapitaLand Ltd. (Real Estate) | 35,596 | ||||||||
10,000 | CapitaMall Trust (REIT) | 9,618 | ||||||||
1,000 | City Developments Ltd. (Real Estate) | 5,893 | ||||||||
3,000 | ComfortDelgro Corp. Ltd. (Transportation) | 2,643 | ||||||||
6,000 | DBS Group Holdings Ltd. (Banks) | 48,643 | ||||||||
5,000 | Fraser and Neave Ltd. (Capital Goods) | 13,397 | ||||||||
29,440 | Golden Agri-Resources Ltd. (Food, Beverage & Tobacco) | 7,673 | ||||||||
1,000 | Jardine Cycle & Carriage Ltd. (Retailing) | 13,199 | ||||||||
9,000 | Keppel Corp. Ltd. (Capital Goods) | 42,661 | ||||||||
4,000 | Neptune Orient Lines Ltd. (Transportation) | 4,061 | ||||||||
1,000 | Olam International Ltd. (Food & Staples Retailing) | 1,667 | ||||||||
8,144 | Oversea-Chinese Banking Corp. Ltd. (Banks) | 37,391 | ||||||||
6,000 | SembCorp Industries Ltd. (Capital Goods) | 12,442 | ||||||||
1,000 | SembCorp Marine Ltd. (Capital Goods) | 1,843 | ||||||||
2,000 | Singapore Airlines Ltd. (Transportation) | 18,310 | ||||||||
4,000 | Singapore Exchange Ltd. (Diversified Financials) | 19,479 | ||||||||
5,000 | Singapore Press Holdings Ltd. (Media) | 10,880 | ||||||||
4,000 | Singapore Technologies Engineering Ltd. (Capital Goods) | 6,740 | ||||||||
33,000 | Singapore Telecommunications Ltd. (Telecommunication Services) | 68,084 | ||||||||
9,000 | United Overseas Bank Ltd. (Banks) | 90,817 | ||||||||
3,000 | UOL Group Ltd. (Real Estate) | 6,807 | ||||||||
3,000 | Wilmar International Ltd. (Food, Beverage & Tobacco) | 10,348 | ||||||||
473,643 | ||||||||||
GOLDMAN SACHS INTERNATIONAL EQUITY DIVIDEND AND PREMIUM FUND
Schedule of Investments (continued)
June 30, 2009 (Unaudited)
Shares | Description | Value | ||||||||
Common Stocks – (continued) | ||||||||||
Singapore – (continued) | ||||||||||
Spain – 3.9% | ||||||||||
33,094 | Banco Bilbao Vizcaya Argentaria SA (Banks) | $ | 416,702 | |||||||
46,047 | Banco Santander SA (Banks) | 556,622 | ||||||||
3,459 | Grupo Ferrovial SA (Capital Goods) | 111,492 | ||||||||
7,952 | Iberdrola SA (Utilities) | 64,845 | ||||||||
17,061 | Telefonica SA (Telecommunication Services) | 387,447 | ||||||||
1,537,108 | ||||||||||
Sweden – 1.9% | ||||||||||
6,430 | Atlas Copco AB Class A (Capital Goods) | 64,745 | ||||||||
7,540 | Electrolux AB (Consumer Durables & Apparel)* | 105,482 | ||||||||
2,901 | Getinge AB Class B (Health Care Equipment & Services) | 38,085 | ||||||||
20,094 | Nordea Bank AB (Banks) | 159,695 | ||||||||
6,541 | Sandvik AB (Capital Goods) | 48,752 | ||||||||
23,817 | Skandinaviska Enskilda Banken AB Class A (Banks)* | 105,339 | ||||||||
7,192 | Skanska AB Class B (Capital Goods) | 80,692 | ||||||||
1,353 | SSAB AB Class A (Materials) | 15,802 | ||||||||
5,456 | Swedbank AB Class A (Banks)* | 31,896 | ||||||||
1,600 | Swedish Match AB (Food, Beverage & Tobacco) | 26,065 | ||||||||
12,225 | Volvo AB Class B (Capital Goods) | 75,716 | ||||||||
752,269 | ||||||||||
Switzerland – 6.7% | ||||||||||
953 | Actelion Ltd. (Registered) (Pharmaceuticals, Biotechnology & Life Sciences)* | 49,951 | ||||||||
7,029 | Credit Suisse Group AG (Registered) (Diversified Financials) | 322,041 | ||||||||
2,786 | Holcim Ltd. (Registered) (Materials)* | 158,619 | ||||||||
635 | Lonza Group AG (Registered) (Pharmaceuticals, Biotechnology & Life Sciences) | 63,168 | ||||||||
16,721 | Nestle SA (Registered) (Food, Beverage & Tobacco)(a) | 631,359 | ||||||||
7,013 | Nobel Biocare Holding AG (Health Care Equipment & Services) | 153,471 | ||||||||
11,949 | Novartis AG (Registered) (Pharmaceuticals, Biotechnology & Life Sciences) | 486,411 | ||||||||
2,709 | Roche Holding AG (Pharmaceuticals, Biotechnology & Life Sciences) | 369,107 | ||||||||
322 | Swatch Group AG (Consumer Durables & Apparel) | 51,824 | ||||||||
245 | Swiss Life Holding (Registered) (Insurance)* | 21,205 | ||||||||
665 | Swiss Re (Registered) (Insurance) | 22,096 | ||||||||
568 | Synthes, Inc. (Health Care Equipment & Services) | 54,923 | ||||||||
12,295 | UBS AG (Registered) (Diversified Financials)* | 150,963 | ||||||||
696 | Zurich Financial Services AG (Registered) (Insurance) | 123,020 | ||||||||
2,658,158 | ||||||||||
United Kingdom – 17.4% | ||||||||||
5,787 | 3i Group PLC (Diversified Financials) | 23,151 | ||||||||
8,388 | AstraZeneca PLC (Pharmaceuticals, Biotechnology & Life Sciences) | 369,848 | ||||||||
14,793 | Aviva PLC (Insurance) | 83,290 | ||||||||
9,427 | BAE Systems PLC (Capital Goods) | 52,678 | ||||||||
78,224 | Barclays PLC (Banks) | 363,511 | ||||||||
21,799 | BHP Billiton PLC (Materials) | 491,320 | ||||||||
21,453 | BP PLC ADR (Energy)(b) | 1,022,879 | ||||||||
12,483 | British American Tobacco PLC (Food, Beverage & Tobacco)(a) | 344,589 | ||||||||
59,822 | BT Group PLC Class A (Telecommunication Services) | 100,232 | ||||||||
�� | 8,808 | Bunzl PLC (Capital Goods) | 73,042 | |||||||
18,955 | Diageo PLC (Food, Beverage & Tobacco) | 272,253 | ||||||||
7,897 | Firstgroup PLC (Transportation) | 46,632 | ||||||||
4,754 | G4S PLC (Commercial & Professional Services) | 16,374 | ||||||||
9,580 | GlaxoSmithKline PLC ADR (Pharmaceuticals, Biotechnology & Life Sciences)(b) | 338,557 | ||||||||
7,511 | Hammerson PLC (REIT) | 38,087 | ||||||||
56,232 | HSBC Holdings PLC (Banks) | 468,479 | ||||||||
4,091 | ICAP PLC (Diversified Financials) | 30,470 | ||||||||
1,614 | Imperial Tobacco Group PLC (Food, Beverage & Tobacco) | 42,008 | ||||||||
5,945 | Investec PLC (Diversified Financials) | 32,027 | ||||||||
29,703 | Kingfisher PLC (Retailing) | 87,145 | ||||||||
36,648 | Ladbrokes PLC (Consumer Services) | 111,059 | ||||||||
3,777 | Land Securities Group PLC (REIT) | 29,372 | ||||||||
80,929 | Lloyds Banking Group PLC (Banks) | 93,294 | ||||||||
2,672 | Man Group PLC (Diversified Financials) | 12,248 | ||||||||
18,048 | Marks & Spencer Group PLC (Retailing) | 91,009 | ||||||||
3,153 | National Grid PLC (Utilities) | 28,452 | ||||||||
31,802 | Prudential PLC (Insurance) | 217,382 | ||||||||
28,401 | Rexam PLC (Materials) | 133,490 | ||||||||
6,334 | Rio Tinto PLC (Materials) | 219,356 | ||||||||
2,091 | Severn Trent PLC (Utilities) | 37,707 | ||||||||
4,607 | Smiths Group PLC (Capital Goods) | 53,307 | ||||||||
14,014 | Standard Chartered PLC (Banks) | 263,506 | ||||||||
GOLDMAN SACHS INTERNATIONAL EQUITY DIVIDEND AND PREMIUM FUND
Shares | Description | Value | ||||||||
Common Stocks – (continued) | ||||||||||
United Kingdom – (continued) | ||||||||||
14,089 | Tesco PLC (Food & Staples Retailing) | $ | 82,278 | |||||||
1,998 | The British Land Co. PLC (REIT) | 12,581 | ||||||||
27,694 | The Sage Group PLC (Software & Services) | 81,370 | ||||||||
6,249 | Thomson Reuters PLC (Media) | 178,730 | ||||||||
46,920 | Tomkins PLC (Capital Goods) | 114,452 | ||||||||
5,363 | Unilever PLC (Food, Beverage & Tobacco)(a) | 126,042 | ||||||||
19,108 | United Utilities Group PLC (Utilities) | 156,687 | ||||||||
3,039 | Vedanta Resources PLC (Materials) | 64,698 | ||||||||
22,933 | Vodafone Group PLC ADR (Telecommunication Services)(b) | 446,964 | ||||||||
3,344 | Wolseley PLC (Capital Goods)* | 64,015 | ||||||||
6,914,571 | ||||||||||
TOTAL COMMON STOCKS | ||||||||||
(Cost $37,683,146) | $ | 36,508,669 | ||||||||
Expiration | ||||||||||||||||
Units | Description | Month | Value | |||||||||||||
Rights* – 0.0% | ||||||||||||||||
Singapore – 0.0% | ||||||||||||||||
5,004 | Golden Agri-Resources Ltd. (Food, Beverage & Tobacco | ) | 07/09 | $ | 700 | |||||||||||
(Cost $23) | ||||||||||||||||
Warrant* – 0.0% | ||||||||||||||||
Singapore – 0.0% | ||||||||||||||||
2,001 | Golden Agri-Resources Ltd. (Food, Beverage & Tobacco | ) | 07/12 | $ | — | |||||||||||
(Cost $0) | ||||||||||||||||
Shares | Rate | Value | ||||||||||
Investment Company(c) – 9.2% | ||||||||||||
JPMorgan U.S. Government Money Market Fund – Capital Shares | ||||||||||||
3,654,807 | 0.236 | % | $ | 3,654,807 | ||||||||
(Cost $3,654,807) | ||||||||||||
TOTAL INVESTMENTS – 100.8% | ||||||||||||
(Cost $41,337,976) | $ | 40,164,176 | ||||||||||
LIABILITIES IN EXCESS OF OTHER ASSETS – (0.8)% | (337,034 | ) | ||||||||||
NET ASSETS – 100.0% | $ | 39,827,142 | ||||||||||
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 segregated as collateral for initial margin requirements on futures transactions. | |
(b) | All or a portion of security is held as collateral for call options written. | |
(c) | Variable rate security. Interest rate disclosed is that which is in effect at June 30, 2009. |
Investment Abbreviations: | ||||||
ADR | — | American Depositary Receipt | ||||
CVA | — | Dutch Certification | ||||
REIT | — | Real Estate Investment Trust | ||||
GOLDMAN SACHS INTERNATIONAL EQUITY DIVIDEND AND PREMIUM FUND
Schedule of Investments (continued)
June 30, 2009 (Unaudited)
ADDITIONAL INVESTMENT INFORMATION
FUTURES CONTRACTS — At June 30, 2009, the following futures contracts were open:
Number of | ||||||||||||||
Contracts | Settlement | Notional | Unrealized | |||||||||||
Type | Long | Month | Value | Gain (Loss) | ||||||||||
Dow Jones EURO STOXX 50 Index | 46 | September 2009 | $ | 1,547,456 | $ | 9,615 | ||||||||
FTSE 100 Index | 10 | September 2009 | 693,945 | (590 | ) | |||||||||
TSE TOPIX Index | 9 | September 2009 | 863,705 | 7,752 | ||||||||||
TOTAL | $ | 16,777 | ||||||||||||
WRITTEN OPTIONS — For the six months ended June 30, 2009, the Fund had the following written options activity:
Number of | Premiums | |||||||
Contracts | Received | |||||||
Contracts Outstanding December 31, 2008 | 39 | $ | 142,738 | |||||
Contracts written | 254 | 569,343 | ||||||
Contracts expired | (39 | ) | (142,738 | ) | ||||
Contracts assigned | (97 | ) | (207,105 | ) | ||||
Contracts Outstanding June 30, 2009 | 157 | $ | 362,238 | |||||
At June 30, 2009, the Fund had outstanding written options as follows:
Number of | Exercise | Expiration | ||||||||||
Call Options | Contracts | Rate | Month | Value | ||||||||
Dow Jones EURO STOXX 50 Index | 105 | EUR 2,450 | September 2009 | $ | (143,322 | ) | ||||||
FTSE 100 Index | 25 | GBP 4,300 | September 2009 | (62,312 | ) | |||||||
Nikkei-225 Stock Average | 27 | JPY 10,500 | September 2009 | (70,004 | ) | |||||||
TOTAL (Premiums Received $362,238) | 157 | $ | (275,638 | ) | ||||||||
GOLDMAN SACHS STRUCTURED TAX-MANAGED EQUITY FUND
Schedule of Investments
June 30, 2009 (Unaudited)
Shares | Description | Value | ||||||
Common Stocks – 97.7% | ||||||||
Automobiles & Components – 1.4% | ||||||||
4,102 | BorgWarner, Inc. | $ | 140,083 | |||||
17,249 | Exide Technologies* | 64,339 | ||||||
21,986 | Federal Mogul Corp.* | 207,768 | ||||||
13,023 | Ford Motor Co.* | 79,049 | ||||||
72,218 | Johnson Controls, Inc. | 1,568,575 | ||||||
56,709 | TRW Automotive Holdings Corp.*(a) | 640,812 | ||||||
2,700,626 | ||||||||
Banks – 2.5% | ||||||||
57,207 | BB&T Corp. | 1,257,410 | ||||||
5,935 | Hudson City Bancorp, Inc. | 78,876 | ||||||
17,416 | International Bancshares Corp. | 179,559 | ||||||
26,979 | U.S. Bancorp | 483,464 | ||||||
119,537 | Wells Fargo & Co. | 2,899,967 | ||||||
4,899,276 | ||||||||
Capital Goods – 6.3% | ||||||||
4,099 | Alliant Techsystems, Inc.*(a) | 337,594 | ||||||
28,876 | Belden, Inc. | 482,229 | ||||||
31,968 | Deere & Co. | 1,277,122 | ||||||
45,708 | Emerson Electric Co. | 1,480,939 | ||||||
12,893 | EnerSys* | 234,524 | ||||||
13,555 | General Cable Corp.*(a) | 509,397 | ||||||
133,360 | General Electric Co. | 1,562,979 | ||||||
4,103 | Jacobs Engineering Group, Inc.* | 172,708 | ||||||
3,442 | Joy Global, Inc. | 122,948 | ||||||
19,381 | KBR, Inc. | 357,386 | ||||||
13,873 | L-3 Communications Holdings, Inc. | 962,509 | ||||||
13,476 | Lockheed Martin Corp. | 1,086,839 | ||||||
9,989 | NACCO Industries, Inc. Class A | 286,884 | ||||||
49,778 | Northrop Grumman Corp. | 2,273,859 | ||||||
5,874 | Quanex Building Products Corp. | 65,906 | ||||||
13,370 | Rockwell Automation, Inc.(a) | 429,444 | ||||||
660 | Roper Industries, Inc. | 29,905 | ||||||
21,665 | Trinity Industries, Inc.(a) | 295,077 | ||||||
13,415 | Tyco International Ltd. | 348,522 | ||||||
12,316,771 | ||||||||
Commercial & Professional Services – 0.4% | ||||||||
17,876 | HNI Corp. | 322,841 | ||||||
5,223 | Manpower, Inc. | 221,142 | ||||||
11,797 | MPS Group, Inc.* | 90,129 | ||||||
19,905 | R.R. Donnelley & Sons Co. | 231,296 | ||||||
865,408 | ||||||||
Consumer Durables & Apparel – 0.8% | ||||||||
6,278 | Blyth, Inc. | 205,856 | ||||||
71,637 | Harman International Industries, Inc.(a) | 1,346,775 | ||||||
11,311 | La-Z-Boy, Inc. | 53,388 | ||||||
1,606,019 | ||||||||
Consumer Services – 0.5% | ||||||||
18,083 | Carnival Corp.(a) | 465,999 | ||||||
7,425 | Choice Hotels International, Inc. | 197,579 | ||||||
2,508 | Domino’s Pizza, Inc.* | 18,785 | ||||||
6,785 | Penn National Gaming, Inc.*(a) | 197,511 | ||||||
341 | Wyndham Worldwide Corp. | 4,133 | ||||||
884,007 | ||||||||
Diversified Financials – 5.9% | ||||||||
70,784 | Advance America, Cash Advance Centers, Inc. | 313,573 | ||||||
9,572 | Affiliated Managers Group, Inc.*(a) | 556,995 | ||||||
38,090 | Allied Capital Corp.(a) | 132,553 | ||||||
19,835 | American Express Co. | 460,965 | ||||||
23,696 | Ameriprise Financial, Inc. | 575,102 | ||||||
73,235 | Apollo Investment Corp. | 439,410 | ||||||
184,209 | Bank of America Corp. | 2,431,559 | ||||||
19,057 | BlackRock Kelso Capital Corp. | 118,725 | ||||||
3,963 | BlackRock, Inc.(a) | 695,189 | ||||||
5,548 | Calamos Asset Management, Inc. Class A | 78,282 | ||||||
131,644 | Citigroup, Inc.(a) | 390,983 | ||||||
1,205 | CME Group, Inc. | 374,888 | ||||||
1,818 | Cohen & Steers, Inc. | 27,179 | ||||||
10,200 | Eaton Vance Corp.(a) | 272,850 | ||||||
7,189 | FBR Capital Markets Corp.* | 33,788 | ||||||
26,719 | Federated Investors, Inc. Class B(a) | 643,661 | ||||||
2,052 | GAMCO Investors, Inc. Class A | 99,522 | ||||||
7,371 | Hercules Technology Growth Capital, Inc. | 61,622 | ||||||
3,748 | IntercontinentalExchange, Inc.* | 428,172 | ||||||
19,998 | MCG Capital Corp.* | 48,595 | ||||||
23,217 | MF Global Ltd.*(a) | 137,677 | ||||||
10,121 | Moody’s Corp.(a) | 266,688 | ||||||
13,578 | Pzena Investment Management, Inc. Class A | 102,921 | ||||||
47,161 | T. Rowe Price Group, Inc.(a) | 1,965,199 | ||||||
3,826 | The NASDAQ OMX Group, Inc.* | 81,532 | ||||||
31,349 | Waddell & Reed Financial, Inc. Class A | 826,673 | ||||||
11,564,303 | ||||||||
Energy – 10.6% | ||||||||
29,206 | Alpha Natural Resources, Inc.* | 767,242 | ||||||
12,115 | Basic Energy Services, Inc.* | 82,746 | ||||||
6,721 | Berry Petroleum Co. Class A(a) | 124,943 | ||||||
3,741 | Bill Barrett Corp.*(a) | 102,728 | ||||||
47,228 | Cal Dive International, Inc.*(a) | 407,578 | ||||||
21,839 | Chevron Corp. | 1,446,834 | ||||||
50,830 | Cimarex Energy Co. | 1,440,522 | ||||||
1,241 | Complete Production Services, Inc.* | 7,893 | ||||||
67,844 | Devon Energy Corp. | 3,697,498 | ||||||
75,277 | Exxon Mobil Corp. | 5,262,615 | ||||||
3,606 | Hess Corp. | 193,823 | ||||||
11,190 | Key Energy Services, Inc.* | 64,454 | ||||||
17,979 | Mariner Energy, Inc.* | 211,253 | ||||||
78,950 | Patterson-UTI Energy, Inc.(a) | 1,015,297 | ||||||
5,552 | Peabody Energy Corp. | 167,448 | ||||||
6,124 | Petroquest Energy, Inc.*(a) | 22,598 | ||||||
9,171 | Schlumberger Ltd. | 496,243 | ||||||
GOLDMAN SACHS STRUCTURED TAX-MANAGED EQUITY FUND
Schedule of Investments (continued)
June 30, 2009 (Unaudited)
Shares | Description | Value | ||||||
Common Stocks – (continued) | ||||||||
Energy – (continued) | ||||||||
31,116 | St. Mary Land & Exploration Co.(a) | $ | 649,391 | |||||
11,601 | Sunoco, Inc. | 269,143 | ||||||
6,817 | Swift Energy Co.*(a) | 113,503 | ||||||
8,116 | Unit Corp.* | 223,758 | ||||||
139,027 | Valero Energy Corp. | 2,348,166 | ||||||
83,976 | Venoco, Inc.* | 644,096 | ||||||
11,795 | Willbros Group, Inc.* | 147,555 | ||||||
3,132 | World Fuel Services Corp. | 129,132 | ||||||
18,916 | XTO Energy, Inc. | 721,456 | ||||||
20,757,915 | ||||||||
Food & Staples Retailing – 2.1% | ||||||||
82,911 | Wal-Mart Stores, Inc. | 4,016,209 | ||||||
Food, Beverage & Tobacco – 7.9% | ||||||||
78,766 | Archer-Daniels-Midland Co. | 2,108,566 | ||||||
10,491 | Bunge Ltd.(a) | 632,083 | ||||||
15,172 | Coca-Cola Enterprises, Inc. | 252,614 | ||||||
48,352 | Hansen Natural Corp.*(a) | 1,490,209 | ||||||
19,699 | Hormel Foods Corp. | 680,403 | ||||||
60,456 | Lorillard, Inc. | 4,097,103 | ||||||
54,075 | PepsiCo, Inc. | 2,971,962 | ||||||
30,230 | Philip Morris International, Inc. | 1,318,633 | ||||||
19,500 | Sanderson Farms, Inc.(a) | 877,500 | ||||||
14,551 | The Coca-Cola Co. | 698,302 | ||||||
17,608 | Tyson Foods, Inc. Class A | 222,037 | ||||||
6,414 | Universal Corp. | 212,367 | ||||||
15,561,779 | ||||||||
Health Care Equipment & Services – 1.8% | ||||||||
10,030 | AMN Healthcare Services, Inc.* | 64,002 | ||||||
1,524 | Assisted Living Concepts, Inc. Class A* | 22,174 | ||||||
84,566 | Coventry Health Care, Inc.*(a) | 1,582,230 | ||||||
6,275 | Hill-Rom Holdings, Inc. | 101,781 | ||||||
14,061 | Hologic, Inc.* | 200,088 | ||||||
17,834 | Humana, Inc.*(a) | 575,325 | ||||||
29,479 | Kindred Healthcare, Inc.* | 364,655 | ||||||
4,573 | Medtronic, Inc. | 159,552 | ||||||
22,212 | Nighthawk Radiology Holdings, Inc.* | 82,184 | ||||||
8,976 | Zimmer Holdings, Inc.* | 382,378 | ||||||
3,534,369 | ||||||||
Household & Personal Products – 1.7% | ||||||||
64,362 | The Procter & Gamble Co. | 3,288,898 | ||||||
Insurance – 2.1% | ||||||||
8,832 | Aflac, Inc. | 274,587 | ||||||
22,075 | Lincoln National Corp. | 379,911 | ||||||
18,505 | MetLife, Inc. | 555,335 | ||||||
18,173 | Prudential Financial, Inc. | 676,399 | ||||||
22,426 | The Allstate Corp. | 547,194 | ||||||
18,941 | The Progressive Corp.* | 286,199 | ||||||
17,352 | The Travelers Companies, Inc. | 712,126 | ||||||
38,693 | Unum Group | 613,671 | ||||||
4,045,422 | ||||||||
Materials – 2.7% | ||||||||
2,353 | Brush Engineered Materials, Inc.* | 39,413 | ||||||
31,970 | Buckeye Technologies, Inc.* | 143,545 | ||||||
5,325 | Commercial Metals Co. | 85,360 | ||||||
3,065 | Eastman Chemical Co. | 116,164 | ||||||
28,621 | Huntsman Corp.(a) | 143,964 | ||||||
32,766 | Kaiser Aluminum Corp. | 1,176,627 | ||||||
6,151 | Newmont Mining Corp. | 251,391 | ||||||
2,473 | Nucor Corp. | 109,875 | ||||||
41,374 | Reliance Steel & Aluminum Co. | 1,588,348 | ||||||
12,698 | Schnitzer Steel Industries, Inc. Class A | 671,216 | ||||||
15,312 | The Dow Chemical Co. | 247,136 | ||||||
31,075 | Westlake Chemical Corp.(a) | 633,619 | ||||||
12,119 | Worthington Industries, Inc. | 155,002 | ||||||
5,361,660 | ||||||||
Media – 3.2% | ||||||||
3,202 | Ascent Media Corp. Class A* | 85,109 | ||||||
16,748 | Belo Corp. Class A | 29,979 | ||||||
66,879 | Comcast Corp. Special Class A | 942,994 | ||||||
1,456 | Discovery Communications, Inc. Class A* | 32,833 | ||||||
104,541 | News Corp. Class A | 952,368 | ||||||
59,307 | News Corp. Class B(a) | 626,875 | ||||||
46,094 | Scripps Networks Interactive, Inc. Class A(a) | 1,282,796 | ||||||
92,688 | Time Warner, Inc. | 2,334,811 | ||||||
6,287,765 | ||||||||
Pharmaceuticals, Biotechnology & Life Sciences – 12.2% | ||||||||
67,422 | Amgen, Inc.* | 3,569,321 | ||||||
71,042 | Bristol-Myers Squibb Co. | 1,442,863 | ||||||
26,953 | Eli Lilly & Co. | 933,652 | ||||||
38,899 | Facet Biotech Corp.* | 361,372 | ||||||
17,560 | Forest Laboratories, Inc.* | 440,932 | ||||||
68,491 | Genzyme Corp.* | 3,812,894 | ||||||
2,409 | Gilead Sciences, Inc.* | 112,837 | ||||||
67,412 | Johnson & Johnson | 3,829,002 | ||||||
3,942 | MAP Pharmaceuticals, Inc.* | 48,171 | ||||||
44,887 | Merck & Co., Inc. | 1,255,040 | ||||||
369,612 | Pfizer, Inc. | 5,544,180 | ||||||
54,483 | Wyeth | 2,472,983 | ||||||
23,823,247 | ||||||||
Real Estate Investment Trust – 2.9% | ||||||||
15,901 | AvalonBay Communities, Inc. | 889,502 | ||||||
8,031 | BRE Properties, Inc. | 190,817 | ||||||
27,833 | Federal Realty Investment Trust(a) | 1,433,956 | ||||||
8,842 | Host Hotels & Resorts, Inc. | 74,185 | ||||||
36,307 | Liberty Property Trust | 836,513 | ||||||
28,767 | Plum Creek Timber Co., Inc.(a) | 856,681 | ||||||
26,543 | Rayonier, Inc.(a) | 964,838 | ||||||
9,465 | Simon Property Group, Inc.(a) | 486,785 | ||||||
107 | Vornado Realty Trust | 4,830 | ||||||
5,738,107 | ||||||||
GOLDMAN SACHS STRUCTURED TAX-MANAGED EQUITY FUND
Shares | Description | Value | ||||||
Common Stocks – (continued) | ||||||||
Retailing – 5.2% | ||||||||
8,682 | 99 Cents Only Stores*(a) | $ | 117,902 | |||||
6,224 | Brown Shoe Co., Inc. | 45,062 | ||||||
7,244 | Chico’s FAS, Inc.*(a) | 70,484 | ||||||
9,711 | Citi Trends, Inc.* | 251,321 | ||||||
62,364 | Dollar Tree, Inc.* | 2,625,524 | ||||||
4,723 | Dress Barn, Inc.*(a) | 67,539 | ||||||
48,601 | Family Dollar Stores, Inc. | 1,375,408 | ||||||
76,282 | Fred’s, Inc. Class A | 961,153 | ||||||
25,930 | Genesco, Inc.* | 486,706 | ||||||
7,158 | HSN, Inc.* | 75,660 | ||||||
41,875 | Liberty Media Corp. – Interactive Class A* | 209,794 | ||||||
43,313 | Ross Stores, Inc.(a) | 1,671,882 | ||||||
9,180 | The Childrens Place Retail Stores, Inc.*(a) | 242,628 | ||||||
33,371 | The Gap, Inc. | 547,284 | ||||||
40,246 | The TJX Companies, Inc. | 1,266,139 | ||||||
13,169 | Ticketmaster Entertainment, Inc.* | 84,545 | ||||||
3,282 | Tuesday Morning Corp.* | 11,060 | ||||||
5,611 | Zale Corp.* | 19,302 | ||||||
10,129,393 | ||||||||
Semiconductors & Semiconductor Equipment – 4.1% | ||||||||
35,114 | Applied Micro Circuits Corp.* | 285,477 | ||||||
39,623 | CSR PLC* | 229,048 | ||||||
27,574 | Cypress Semiconductor Corp.* | 253,681 | ||||||
6,172 | Fairchild Semiconductor International, Inc.* | 43,142 | ||||||
271,801 | Intel Corp. | 4,498,307 | ||||||
4,439 | Intersil Corp. Class A | 55,798 | ||||||
170,390 | Lattice Semiconductor Corp.* | 320,333 | ||||||
24,363 | MIPS Technologies, Inc.* | 73,089 | ||||||
47,698 | RF Micro Devices, Inc.*(a) | 179,344 | ||||||
29,595 | Silicon Image, Inc.* | 68,068 | ||||||
3,857 | Standard Microsystems Corp.* | 78,876 | ||||||
72,738 | Texas Instruments, Inc. | 1,549,319 | ||||||
32,160 | Zoran Corp.* | 350,544 | ||||||
7,985,026 | ||||||||
Software & Services – 8.4% | ||||||||
115,039 | Accenture Ltd. Class A | 3,849,205 | ||||||
7,996 | Adobe Systems, Inc.* | 226,287 | ||||||
4,004 | Autodesk, Inc.* | 75,996 | ||||||
71,423 | eBay, Inc.*(a) | 1,223,476 | ||||||
867 | Electronic Arts, Inc.* | 18,831 | ||||||
16,165 | Marchex, Inc. Class B | 54,476 | ||||||
349,930 | Microsoft Corp. | 8,317,836 | ||||||
40,545 | ModusLink Global Solutions, Inc.* | 278,139 | ||||||
17,471 | NeuStar, Inc. Class A* | 387,157 | ||||||
999 | Oracle Corp. | 21,399 | ||||||
74,391 | RealNetworks, Inc.* | 222,429 | ||||||
48,351 | Symantec Corp.* | 752,342 | ||||||
28,410 | Symyx Technologies, Inc.* | 166,198 | ||||||
76,469 | Valueclick, Inc.* | 804,454 | ||||||
5,724 | Web.com Group, Inc.* | 32,226 | ||||||
16,430,451 | ||||||||
Technology Hardware & Equipment – 7.3% | ||||||||
3,278 | ADC Telecommunications, Inc.* | 26,093 | ||||||
9,588 | Apple, Inc.* | 1,365,619 | ||||||
24,339 | Arrow Electronics, Inc.* | 516,960 | ||||||
57,470 | Avnet, Inc.* | 1,208,594 | ||||||
3,237 | Brightpoint, Inc.* | 20,296 | ||||||
157,661 | Cisco Systems, Inc.* | 2,938,801 | ||||||
12,745 | Cray, Inc.* | 100,431 | ||||||
43,504 | Harris Stratex Networks, Inc. Class A* | 281,906 | ||||||
89,397 | Ingram Micro, Inc. Class A*(a) | 1,564,448 | ||||||
23,034 | International Business Machines Corp. | 2,405,210 | ||||||
224,633 | Powerwave Technologies, Inc.*(a) | 361,659 | ||||||
34,451 | QUALCOMM, Inc. | 1,557,185 | ||||||
70,040 | Quantum Corp.* | 58,133 | ||||||
120,417 | Seagate Technology | 1,259,562 | ||||||
14,129 | ShoreTel, Inc.* | 113,032 | ||||||
2,776 | STEC, Inc.* | 64,375 | ||||||
16,208 | Sun Microsystems, Inc.* | 149,438 | ||||||
8,291 | Western Digital Corp.* | 219,712 | ||||||
14,211,454 | ||||||||
Telecommunication Services – 2.6% | ||||||||
102,442 | AT&T, Inc.(b) | 2,544,659 | ||||||
5,549 | Embarq Corp. | 233,391 | ||||||
26,322 | NII Holdings, Inc.* | 501,961 | ||||||
211,529 | Sprint Nextel Corp.* | 1,017,454 | ||||||
49,075 | Syniverse Holdings, Inc.* | 786,672 | ||||||
5,084,137 | ||||||||
Transportation – 2.4% | ||||||||
90,207 | United Parcel Service, Inc. Class B | 4,509,448 | ||||||
24,237 | UTi Worldwide, Inc.* | 276,302 | ||||||
4,785,750 | ||||||||
Utilities – 2.7% | ||||||||
171,096 | Duke Energy Corp. | 2,496,290 | ||||||
56,127 | Exelon Corp. | 2,874,264 | ||||||
5,370,554 | ||||||||
TOTAL COMMON STOCKS | ||||||||
(Cost $187,112,291) | $ | 191,248,546 | ||||||
Shares | Rate | Value | ||||||||
Investment Company(c) – 3.0% | ||||||||||
JPMorgan U.S. Government Money Market Fund – Capital Shares | ||||||||||
5,925,871 | 0.236 | % | $ | 5,925,871 | ||||||
(Cost $5,925,871) | ||||||||||
TOTAL INVESTMENTS BEFORE SECURITIES LENDING REINVESTMENT VEHICLE | ||||||||||
(Cost $193,038,162) | $ | 197,174,417 | ||||||||
GOLDMAN SACHS STRUCTURED TAX-MANAGED EQUITY FUND
Schedule of Investments (continued)
June 30, 2009 (Unaudited)
Shares | Rate | Value | ||||||||
Securities Lending Reinvestment Vehicle(c)(d) – 12.0% | ||||||||||
Boston Global Investment Trust – Enhanced Portfolio II | ||||||||||
23,517,835 | 0.282 | % | $ | 23,447,281 | ||||||
(Cost $23,299,453) | ||||||||||
TOTAL INVESTMENTS – 112.7% | ||||||||||
(Cost $216,337,615) | $ | 220,621,698 | ||||||||
LIABILITIES IN EXCESS OF OTHER ASSETS – (12.7)% | (24,821,866 | ) | ||||||||
NET ASSETS – 100.0% | $ | 195,799,832 | ||||||||
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) | All or a portion of security is segregated as collateral for initial margin requirements on futures transactions. | |
(c) | Variable rate security. Interest rate disclosed is that which is in effect at June 30, 2009. | |
(d) | Represents an affiliated issuer. |
ADDITIONAL INVESTMENT INFORMATION
FUTURES CONTRACTS — At June 30, 2009, the following futures contracts were open:
Number of | ||||||||||||||
Contracts | Settlement | Notional | Unrealized | |||||||||||
Type | Long | Month | Value | Gain | ||||||||||
Russell 2000 Mini Index | 6 | September 2009 | $ | 304,320 | $ | 4,384 | ||||||||
S&P 500 E-mini | 82 | September 2009 | 3,753,550 | 38,236 | ||||||||||
TOTAL | $ | 42,620 | ||||||||||||
GOLDMAN SACHS STRUCTURED INTERNATIONAL TAX-MANAGED EQUITY FUND
Schedule of Investments
June 30, 2009 (Unaudited)
Shares | Description | Value | ||||||
Common Stocks – 96.6% | ||||||||
Australia – 7.1% | ||||||||
15,155 | AGL Energy Ltd. (Utilities) | $ | 163,999 | |||||
20,687 | Amcor Ltd. (Materials) | 83,183 | ||||||
38,136 | Australia & New Zealand Banking Group Ltd. (Banks) | 505,396 | ||||||
10,047 | Bendigo and Adelaide Bank Ltd. (Banks) | 56,137 | ||||||
51,765 | BHP Billiton Ltd. (Materials) | 1,418,145 | ||||||
19,371 | Caltex Australia Ltd. (Energy) | 215,123 | ||||||
37,588 | Coca-Cola Amatil Ltd. (Food, Beverage & Tobacco) | 260,498 | ||||||
449 | Cochlear Ltd. (Health Care Equipment & Services) | 20,842 | ||||||
14,884 | Commonwealth Bank of Australia (Banks) | 466,551 | ||||||
6,539 | Computershare Ltd. (Software & Services) | 47,395 | ||||||
1,023 | CSL Ltd. (Pharmaceuticals, Biotechnology & Life Sciences) | 26,451 | ||||||
9,790 | Fairfax Media Ltd. (Media) | 9,594 | ||||||
75,165 | Incitec Pivot Ltd. (Materials) | 143,046 | ||||||
9,403 | Lion Nathan Ltd. (Food, Beverage & Tobacco) | 87,582 | ||||||
191,146 | Macquarie Airports (Transportation) | 355,349 | ||||||
4,888 | Macquarie Group Ltd. (Diversified Financials) | 153,026 | ||||||
41,898 | Metcash Ltd. (Food & Staples Retailing) | 145,430 | ||||||
29,268 | Mirvac Group (REIT) | 25,362 | ||||||
26,376 | National Australia Bank Ltd. (Banks) | 475,195 | ||||||
69,827 | OZ Minerals Ltd. (Materials) | 51,191 | ||||||
3,979 | Rio Tinto Ltd. (Materials) | 166,208 | ||||||
58,921 | Suncorp-Metway Ltd. (Insurance) | 316,789 | ||||||
42,305 | Tatts Group Ltd. (Consumer Services) | 86,677 | ||||||
6,575 | Wesfarmers Ltd. (Food & Staples Retailing) | 119,715 | ||||||
876 | Wesfarmers Ltd. Price Protected Shares (Food & Staples Retailing) | 16,555 | ||||||
39,020 | Westfield Group (REIT) | 357,122 | ||||||
23,434 | Westpac Banking Corp. (Banks) | 381,263 | ||||||
664 | Woodside Petroleum Ltd. (Energy) | 22,939 | ||||||
3,557 | Woolworths Ltd. (Food & Staples Retailing) | 75,465 | ||||||
4,856 | WorleyParsons Ltd. (Energy) | 92,547 | ||||||
6,344,775 | ||||||||
Austria – 0.8% | ||||||||
10,620 | OMV AG (Energy) | 399,255 | ||||||
9,177 | Raiffeisen International Bank Holding AG (Banks) | 320,360 | ||||||
777 | Vienna Insurance Group (Insurance) | 33,871 | ||||||
753,486 | ||||||||
Belgium – 0.4% | ||||||||
4,128 | Delhaize Group (Food & Staples Retailing) | 290,627 | ||||||
1,271 | UCB SA (Pharmaceuticals, Biotechnology & Life Sciences) | 40,816 | ||||||
331,443 | ||||||||
Bermuda – 0.2% | ||||||||
14,400 | Seadrill Ltd. (Energy) | 207,383 | ||||||
China – 0.1% | ||||||||
116,000 | Foxconn International Holdings Ltd. (Technology Hardware & Equipment)* | 75,418 | ||||||
Denmark – 0.6% | ||||||||
5 | A.P. Moller – Maersk A/S Class B (Transportation) | 29,958 | ||||||
6,131 | Danske Bank A/S (Banks)* | 105,770 | ||||||
22,894 | DSV A/S (Transportation)* | 283,963 | ||||||
2,709 | William Demant Holding (Health Care Equipment & Services)* | 140,289 | ||||||
559,980 | ||||||||
Finland – 1.5% | ||||||||
18,821 | Elisa Oyj Class A (Telecommunication Services) | 310,159 | ||||||
24,848 | Kesko Oyj Class B (Food & Staples Retailing) | 658,122 | ||||||
15,673 | Nokia Oyj (Technology Hardware & Equipment) | 229,563 | ||||||
5,625 | Sampo Oyj Class A (Insurance) | 106,357 | ||||||
1,304,201 | ||||||||
France – 9.0% | ||||||||
4,951 | Accor SA (Consumer Services) | 197,258 | ||||||
3,848 | Alstom SA (Capital Goods)(a) | 228,481 | ||||||
1,593 | Atos Origin SA (Software & Services)* | 54,244 | ||||||
7,734 | AXA SA (Insurance) | 146,380 | ||||||
2,011 | BNP Paribas (Banks) | 131,142 | ||||||
923 | Casino Guichard Perrachon SA (Food & Staples Retailing) | 62,510 | ||||||
1,451 | Christian Dior SA (Consumer Durables & Apparel) | 108,692 | ||||||
7,220 | Compagne Generale de Geophysique-Veritas (Energy)* | 130,701 | ||||||
4,469 | GDF Suez (Utilities) | 167,284 | ||||||
3,151 | PPR (Retailing) | 258,309 | ||||||
25,867 | PSA Peugeot Citroen SA (Automobiles & Components)* | 682,867 | ||||||
6,913 | Safran SA (Capital Goods) | 91,562 | ||||||
39,774 | Sanofi-Aventis SA (Pharmaceuticals, Biotechnology & Life Sciences)(b) | 2,350,226 | ||||||
13,468 | Schneider Electric SA (Capital Goods) | 1,030,810 | ||||||
7,186 | Technip SA (Energy) | 354,342 | ||||||
28,692 | Total SA (Energy) | 1,555,118 | ||||||
GOLDMAN SACHS STRUCTURED INTERNATIONAL TAX-MANAGED EQUITY FUND
Schedule of Investments (continued)
June 30, 2009 (Unaudited)
Shares | Description | Value | ||||||
Common Stocks – (continued) | ||||||||
France – (continued) | ||||||||
1,140 | Unibail-Rodamco SE (REIT) | $ | 170,445 | |||||
12,248 | Vivendi (Media) | 293,998 | ||||||
8,014,369 | ||||||||
Germany – 7.4% | ||||||||
17,616 | Adidas AG (Consumer Durables & Apparel)(a) | 671,298 | ||||||
6,219 | Allianz SE (Registered) (Insurance) | 573,653 | ||||||
27,079 | BASF SE (Materials) | 1,078,869 | ||||||
1,341 | Bayer AG (Pharmaceuticals, Biotechnology & Life Sciences) | 72,065 | ||||||
5,810 | Deutsche Bank AG (Registered) (Diversified Financials) | 353,193 | ||||||
28,648 | E.ON AG (Utilities) | 1,016,940 | ||||||
16,641 | Henkel AG & Co. KGaA (Household & Personal Products) | 448,906 | ||||||
1,649 | Muenchener Rueckversicherungs-Gesellschaft AG (Registered) (Insurance) | 222,788 | ||||||
3,517 | Porsche Automobil Holding SE Preference Shares (Automobiles & Components) | 236,731 | ||||||
7,798 | RWE AG (Utilities) | 614,944 | ||||||
2,316 | Salzgitter AG (Materials) | 204,133 | ||||||
3,224 | SAP AG (Software & Services) | 129,986 | ||||||
3,715 | Siemens AG (Registered) (Capital Goods) | 256,900 | ||||||
22,716 | Suedzucker AG (Food, Beverage & Tobacco) | 460,405 | ||||||
10,492 | ThyssenKrupp AG (Materials) | 261,381 | ||||||
6,602,192 | ||||||||
Greece – 0.7% | ||||||||
3,940 | Coca Cola Hellenic Bottling Co. SA (Food, Beverage & Tobacco) | 81,207 | ||||||
4,609 | EFG Eurobank Ergasias (Banks)* | 48,480 | ||||||
114,722 | Marfin Investment Group SA (Diversified Financials)* | 492,314 | ||||||
622,001 | ||||||||
Hong Kong – 2.4% | ||||||||
66,000 | BOC Hong Kong (Holdings) Ltd. (Banks) | 114,834 | ||||||
11,000 | Cheung Kong Holdings Ltd. (Real Estate) | 125,775 | ||||||
9,500 | CLP Holdings Ltd. (Utilities) | 62,949 | ||||||
18,400 | Esprit Holdings Ltd. (Retailing) | 102,227 | ||||||
7,900 | Hang Seng Bank Ltd. (Banks) | 110,570 | ||||||
20,000 | Hong Kong & China Gas Co. Ltd. (Utilities) | 41,984 | ||||||
32,000 | Hong Kong Electric Holdings Ltd. (Utilities) | 177,764 | ||||||
8,700 | Hong Kong Exchanges and Clearing Ltd. (Diversified Financials) | 134,471 | ||||||
23,000 | Hutchison Whampoa Ltd. (Capital Goods) | 149,618 | ||||||
68,399 | Hysan Development Co. Ltd. (Real Estate) | 175,144 | ||||||
4,000 | Li & Fung Ltd. (Retailing) | 10,680 | ||||||
188,000 | New World Development Ltd. (Real Estate) | 338,405 | ||||||
54,000 | Noble Group Ltd. (Capital Goods) | 67,304 | ||||||
48,608 | NWS Holdings Ltd. (Capital Goods) | 87,525 | ||||||
13,000 | Orient Overseas International Ltd. (Transportation) | 55,164 | ||||||
2,000 | Sun Hung Kai Properties Ltd. (Real Estate) | 24,836 | ||||||
26,000 | Swire Pacific Ltd. Class A (Real Estate) | 260,986 | ||||||
1,000 | Television Broadcasts Ltd. (Media) | 4,005 | ||||||
22,151 | The Link Real Estate Investment Trust (REIT) | 47,078 | ||||||
3,000 | Yue Yuen Industrial Holdings Ltd. (Consumer Durables & Apparel) | 7,057 | ||||||
2,098,376 | ||||||||
Ireland – 0.6% | ||||||||
23,880 | Kerry Group PLC Class A (Food, Beverage & Tobacco) | 544,298 | ||||||
Italy – 3.0% | ||||||||
12,214 | Assicurazioni Generali SpA (Insurance) | 254,380 | ||||||
107,027 | Enel SpA (Utilities) | 522,496 | ||||||
5,238 | Exor SpA (Diversified Financials) | 75,392 | ||||||
21,666 | Finmeccanica SpA (Capital Goods) | 305,533 | ||||||
74,020 | Intesa Sanpaolo SpA (Banks)* | 239,196 | ||||||
441,502 | Parmalat SpA (Food, Beverage & Tobacco) | 1,066,354 | ||||||
82,624 | UniCredit SpA (Banks)* | 208,980 | ||||||
2,672,331 | ||||||||
Japan – 23.1% | ||||||||
8,000 | Ajinomoto Co., Inc. (Food, Beverage & Tobacco) | 63,285 | ||||||
59,000 | Amada Co. Ltd. (Capital Goods) | 365,635 | ||||||
35,000 | Aozora Bank Ltd. (Banks)* | 54,034 | ||||||
16,000 | Astellas Pharma, Inc. (Pharmaceuticals, Biotechnology & Life Sciences) | 564,995 | ||||||
13,200 | Brother Industries Ltd. (Technology Hardware & Equipment) | 116,753 | ||||||
25,700 | Canon, Inc. (Technology Hardware & Equipment) | 839,465 | ||||||
66 | Central Japan Railway Co. (Transportation) | 405,734 | ||||||
56,900 | Dainippon Sumitomo Pharma Co. Ltd. (Pharmaceuticals, Biotechnology & Life Sciences) | 496,463 | ||||||
6,400 | Daito Trust Construction Co. Ltd. (Real Estate) | 301,775 | ||||||
15,000 | Daiwa House Industry Co. Ltd. (Real Estate) | 161,296 | ||||||
GOLDMAN SACHS STRUCTURED INTERNATIONAL TAX-MANAGED EQUITY FUND
Shares | Description | Value | ||||||
Common Stocks – (continued) | ||||||||
Japan – (continued) | ||||||||
9,000 | Daiwa Securities Group, Inc. (Diversified Financials) | $ | 53,480 | |||||
13 | Dena Co. Ltd. (Retailing) | 43,405 | ||||||
6,700 | Denso Corp. (Automobiles & Components) | 171,739 | ||||||
9,700 | Elpida Memory, Inc. (Semiconductors & Semiconductor Equipment)* | 104,465 | ||||||
55,000 | Fuji Electric Holdings Co. Ltd. (Capital Goods) | 90,818 | ||||||
67,000 | Fuji Heavy Industries Ltd. (Automobiles & Components) | 270,688 | ||||||
220 | Fuji Media Holdings, Inc. (Media) | 331,078 | ||||||
77,000 | Fukuoka Financial Group, Inc. (Banks) | 344,361 | ||||||
28,000 | Hino Motors Ltd. (Capital Goods) | 87,174 | ||||||
31,400 | Honda Motor Co. Ltd. (Automobiles & Components) | 863,841 | ||||||
1,700 | Idemitsu Kosan Co. Ltd. (Energy) | 145,644 | ||||||
83,000 | Isuzu Motors Ltd. (Automobiles & Components) | 133,158 | ||||||
7 | Japan Real Estate Investment Corp. (REIT) | 58,064 | ||||||
6,900 | JFE Holdings, Inc. (Materials) | 231,821 | ||||||
15,000 | Kaneka Corp. (Materials) | 106,584 | ||||||
48,000 | Kawasaki Kisen Kaisha Ltd. (Transportation) | 196,899 | ||||||
18,000 | Kubota Corp. (Capital Goods) | 148,229 | ||||||
6,000 | Kyocera Corp. (Technology Hardware & Equipment) | 450,445 | ||||||
3,500 | Kyushu Electric Power Co., Inc. (Utilities) | 75,325 | ||||||
46,200 | Leopalace21 Corp. (Real Estate) | 412,842 | ||||||
12,900 | Mitsubishi Corp. (Capital Goods) | 238,047 | ||||||
16,000 | Mitsubishi Electric Corp. (Capital Goods) | 101,122 | ||||||
8,000 | Mitsubishi Gas Chemical Co., Inc. (Materials) | 43,619 | ||||||
10,000 | Mitsubishi Tanabe Pharma Corp. (Pharmaceuticals, Biotechnology & Life Sciences) | 114,886 | ||||||
19,000 | Mitsui & Co. Ltd. (Capital Goods) | 225,144 | ||||||
7,000 | Mitsui Chemicals, Inc. (Materials) | 22,314 | ||||||
41,000 | Mitsui OSK Lines Ltd. (Transportation) | 264,956 | ||||||
9,300 | Mitsui Sumitomo Insurance Group Holdings, Inc. (Insurance) | 243,295 | ||||||
2,300 | Mitsumi Electric Co. Ltd. (Technology Hardware & Equipment) | 49,132 | ||||||
287,400 | Mizuho Financial Group, Inc. (Banks)(a) | 667,727 | ||||||
15,500 | Namco Bandai Holdings, Inc. (Consumer Durables & Apparel) | 170,000 | ||||||
15,000 | NGK Insulators Ltd. (Capital Goods) | 305,726 | ||||||
2,700 | Nintendo Co. Ltd. (Software & Services) | 747,238 | ||||||
5 | Nippon Building Fund, Inc. (REIT) | 42,740 | ||||||
26,000 | Nippon Express Co. Ltd. (Transportation) | 118,033 | ||||||
70,500 | Nippon Mining Holdings, Inc. (Energy) | 364,309 | ||||||
8,000 | Nippon Oil Corp. (Energy) | 47,108 | ||||||
2,600 | Nippon Paper Group, Inc. (Materials) | 67,260 | ||||||
21,700 | Nippon Telegraph & Telephone Corp. (Telecommunication Services) | 883,742 | ||||||
54,000 | Nippon Yusen Kabushiki Kaisha (Transportation) | 232,534 | ||||||
156,900 | Nissan Motor Co. Ltd. (Automobiles & Components) | 952,209 | ||||||
38,000 | Nisshin Seifun Group, Inc. (Food, Beverage & Tobacco) | 451,486 | ||||||
19,000 | Nisshinbo Holdings, Inc. (Consumer Durables & Apparel) | 214,341 | ||||||
4,600 | Omron Corp. (Technology Hardware & Equipment) | 66,646 | ||||||
70,000 | Osaka Gas Co. Ltd. (Utilities) | 223,125 | ||||||
9,000 | Panasonic Electric Works Co. Ltd. (Capital Goods) | 85,064 | ||||||
7,000 | Promise Co. Ltd. (Diversified Financials) | 89,314 | ||||||
2,000 | Ricoh Co. Ltd. (Technology Hardware & Equipment) | 25,764 | ||||||
3,100 | Rohm Co. Ltd. (Semiconductors & Semiconductor Equipment) | 226,108 | ||||||
15,000 | Sekisui Chemical Co. Ltd. (Consumer Durables & Apparel) | 94,025 | ||||||
43,000 | Sekisui House Ltd. (Consumer Durables & Apparel) | 435,502 | ||||||
21,000 | Sharp Corp. (Consumer Durables & Apparel) | 217,859 | ||||||
2,200 | Shin-Etsu Chemical Co. Ltd. (Materials) | 102,034 | ||||||
40,000 | Shinsei Bank Ltd. (Banks)* | 63,862 | ||||||
10,000 | Showa Denko K.K. (Materials) | 17,835 | ||||||
50,000 | Sompo Japan Insurance, Inc. (Insurance) | 333,182 | ||||||
57,000 | Sumitomo Chemical Co. Ltd. (Materials) | 256,338 | ||||||
33,700 | Sumitomo Corp. (Capital Goods) | 342,550 | ||||||
10,000 | Sumitomo Heavy Industries Ltd. (Capital Goods) | 44,486 | ||||||
12,900 | Sumitomo Mitsui Financial Group, Inc. (Banks) | 522,002 | ||||||
16,900 | Takeda Pharmaceutical Co. Ltd. (Pharmaceuticals, Biotechnology & Life Sciences) | 657,071 | ||||||
45,000 | The Bank of Yokohama Ltd. (Banks) | 240,866 | ||||||
5,300 | The Kansai Electric Power Co., Inc. (Utilities) | 116,910 | ||||||
68,000 | The Sumitomo Trust & Banking Co. Ltd. (Banks) | 364,880 | ||||||
4,900 | Tokio Marine Holdings, Inc. (Insurance) | 134,538 | ||||||
GOLDMAN SACHS STRUCTURED INTERNATIONAL TAX-MANAGED EQUITY FUND
Schedule of Investments (continued)
June 30, 2009 (Unaudited)
Shares | Description | Value | ||||||
Common Stocks – (continued) | ||||||||
Japan – (continued) | ||||||||
11,000 | Tokuyama Corp. (Materials) | $ | 80,743 | |||||
64,000 | Tokyo Gas Co. Ltd. (Utilities) | 228,636 | ||||||
12,600 | Tokyo Steel Manufacturing Co. Ltd. (Materials) | 153,370 | ||||||
4,300 | Toyo Seikan Kaisha Ltd. (Materials) | 90,977 | ||||||
4,700 | Toyota Motor Corp. (Automobiles & Components) | 177,742 | ||||||
53 | West Japan Railway Co. (Transportation) | 175,273 | ||||||
5,800 | Yamaha Corp. (Consumer Durables & Apparel) | 72,290 | ||||||
41,000 | Yamaha Motor Co. Ltd. (Automobiles & Components) | 455,457 | ||||||
1,400 | Yamato Kogyo Co. Ltd. (Materials) | 41,216 | ||||||
28,900 | Yokogawa Electric Corp. (Technology Hardware & Equipment) | 194,757 | ||||||
20,586,885 | ||||||||
Luxembourg – 0.6% | ||||||||
13,515 | ArcelorMittal (Materials) | 447,252 | ||||||
1,935 | Millicom International Cellular SA SDR SDR (Telecommunication Services)* | 109,153 | ||||||
556,405 | ||||||||
Netherlands – 2.0% | ||||||||
25,745 | Aegon NV (Insurance) | 159,388 | ||||||
1,708 | ASML Holding NV (Semiconductors & Semiconductor Equipment) | 37,021 | ||||||
10,979 | European Aeronautic Defence and Space Co. NV (Capital Goods)(a) | 178,304 | ||||||
10,458 | James Hardie Industries NV CDI (Materials)* | 35,288 | ||||||
2,133 | Koninklijke Boskalis Westminster NV (Capital Goods)(a) | 48,554 | ||||||
34,300 | Koninklijke DSM NV (Materials) | 1,078,615 | ||||||
8,228 | Koninklijke Philips Electronics NV (Capital Goods) | 151,913 | ||||||
3,314 | Royal Dutch Shell PLC Class A (Energy) | 83,039 | ||||||
1,772,122 | ||||||||
New Zealand – 0.0% | ||||||||
14,781 | Telecom Corp. of New Zealand Ltd. (Telecommunication Services) | 25,946 | ||||||
Norway – 1.0% | ||||||||
24,400 | DnB NOR ASA (Banks)* | 186,440 | ||||||
12,000 | StatoilHydro ASA (Energy) | 237,038 | ||||||
25,400 | Telenor ASA (Telecommunication Services)* | 196,008 | ||||||
8,800 | Yara International ASA (Materials) | 247,748 | ||||||
867,234 | ||||||||
Portugal – 0.7% | ||||||||
84,223 | EDP – Energias de Portugal SA (Utilities) | 330,849 | ||||||
29,148 | Portugal Telecom, SGPS, SA (Registered) (Telecommunication Services) | 285,915 | ||||||
616,764 | ||||||||
Singapore – 1.2% | ||||||||
33,000 | Ascendas Real Estate Investment Trust (REIT) | 35,978 | ||||||
3,000 | CapitaMall Trust (REIT) | 2,885 | ||||||
14,000 | City Developments Ltd. (Real Estate) | 82,502 | ||||||
57,000 | Cosco Corp. (Singapore) Ltd. (Capital Goods) | 48,817 | ||||||
28,000 | DBS Group Holdings Ltd. (Banks) | 227,000 | ||||||
169,680 | Golden Agri-Resources Ltd. (Food, Beverage & Tobacco) | 44,226 | ||||||
6,000 | Jardine Cycle & Carriage Ltd. (Retailing) | 79,195 | ||||||
11,000 | Keppel Corp. Ltd. (Capital Goods) | 52,141 | ||||||
7,000 | Neptune Orient Lines Ltd. (Transportation) | 7,106 | ||||||
34,985 | Oversea-Chinese Banking Corp. Ltd. (Banks) | 160,623 | ||||||
9,000 | Singapore Airlines Ltd. (Transportation) | 82,397 | ||||||
5,000 | Singapore Exchange Ltd. (Diversified Financials) | 24,348 | ||||||
9,000 | Singapore Press Holdings Ltd. (Media) | 19,585 | ||||||
44,000 | Singapore Telecommunications Ltd. (Telecommunication Services) | 90,778 | ||||||
40,000 | StarHub Ltd. (Telecommunication Services) | 58,975 | ||||||
12,000 | UOL Group Ltd. (Real Estate) | 27,229 | ||||||
13,000 | Wilmar International Ltd. (Food, Beverage & Tobacco) | 44,839 | ||||||
1,088,624 | ||||||||
Spain – 4.4% | ||||||||
72,794 | Banco Bilbao Vizcaya Argentaria SA (Banks) | 916,583 | ||||||
199,368 | Banco Santander SA (Banks) | 2,409,984 | ||||||
15,840 | Repsol YPF SA (Energy) | 354,576 | ||||||
9,924 | Telefonica SA (Telecommunication Services) | 225,369 | ||||||
3,906,512 | ||||||||
Sweden – 2.4% | ||||||||
14,106 | Alfa Laval AB (Capital Goods)(a) | 135,186 | ||||||
12,289 | Nordea Bank AB (Banks) | 97,665 | ||||||
8,717 | Skanska AB Class B (Capital Goods) | 97,802 | ||||||
21,739 | SKF AB Class B (Capital Goods) | 268,689 | ||||||
8,823 | Svenska Handelsbanken AB Class A (Banks) | 167,313 | ||||||
5,582 | Swedish Match AB (Food, Beverage & Tobacco) | 90,936 | ||||||
GOLDMAN SACHS STRUCTURED INTERNATIONAL TAX-MANAGED EQUITY FUND
Shares | Description | Value | ||||||
Common Stocks – (continued) | ||||||||
Sweden – (continued) | ||||||||
55,380 | Telefonaktiebolaget LM Ericsson Class B (Technology Hardware & Equipment) | $ | 545,572 | |||||
138,955 | TeliaSonera AB (Telecommunication Services) | 731,348 | ||||||
2,134,511 | ||||||||
Switzerland – 7.0% | ||||||||
46,526 | ABB Ltd. (Registered) (Capital Goods)* | 734,677 | ||||||
3,073 | Adecco SA (Commercial & Professional Services) | 128,443 | ||||||
1,130 | Baloise Holding AG (Registered) (Insurance) | 84,031 | ||||||
448 | BKW FMB Energie AG (Utilities) | 32,987 | ||||||
23,568 | Compagnie Financiere Richemont SA Class A (Consumer Durables & Apparel) | 491,353 | ||||||
7,415 | Credit Suisse Group AG (Registered) (Diversified Financials) | 339,725 | ||||||
12,822 | Julius Baer Holding AG (Registered) (Diversified Financials) | 498,676 | ||||||
2,659 | Lonza Group AG (Registered) (Pharmaceuticals, Biotechnology & Life Sciences)(a) | 264,511 | ||||||
33,720 | Nestle SA (Registered) (Food, Beverage & Tobacco) | 1,273,215 | ||||||
13,230 | Novartis AG (Registered) (Pharmaceuticals, Biotechnology & Life Sciences) | 538,557 | ||||||
7,306 | Roche Holding AG (Pharmaceuticals, Biotechnology & Life Sciences) | 995,458 | ||||||
2,737 | Syngenta AG (Registered) (Materials) | 636,807 | ||||||
17,100 | UBS AG (Registered) (Diversified Financials)* | 209,961 | ||||||
6,228,401 | ||||||||
United Kingdom – 20.4% | ||||||||
2,995 | AstraZeneca PLC (Pharmaceuticals, Biotechnology & Life Sciences) | 132,057 | ||||||
66,889 | Aviva PLC (Insurance) | 376,611 | ||||||
197,541 | BAE Systems PLC (Capital Goods) | 1,103,865 | ||||||
84,465 | Barclays PLC (Banks) | 392,513 | ||||||
63,720 | BG Group PLC (Energy) | 1,073,026 | ||||||
62,288 | BHP Billiton PLC (Materials) | 1,403,887 | ||||||
68,824 | BP PLC ADR (Energy)(b) | 3,281,528 | ||||||
16,128 | Burberry Group PLC (Consumer Durables & Apparel) | 112,399 | ||||||
30,131 | Cadbury PLC (Food, Beverage & Tobacco) | 257,551 | ||||||
39,883 | Centrica PLC (Utilities) | 146,651 | ||||||
20,159 | Compass Group PLC (Consumer Services) | 113,792 | ||||||
38,377 | Drax Group PLC (Utilities) | 277,797 | ||||||
33,163 | Eurasian Natural Resources Corp. (Materials) | 358,867 | ||||||
37,381 | GlaxoSmithKline PLC ADR (Pharmaceuticals, Biotechnology & Life Sciences) | 1,321,044 | ||||||
34,138 | Hammerson PLC (REIT) | 173,106 | ||||||
57,068 | HSBC Holdings PLC (Banks) | 475,444 | ||||||
13,609 | Investec PLC (Diversified Financials) | 73,314 | ||||||
174,367 | J Sainsbury PLC (Food & Staples Retailing) | 900,474 | ||||||
4,131 | Kazakhmys PLC (Materials) | 43,081 | ||||||
45,375 | Kingfisher PLC (Retailing) | 133,124 | ||||||
107,918 | Legal & General Group PLC (Insurance) | 100,941 | ||||||
59,883 | Man Group PLC (Diversified Financials) | 274,497 | ||||||
2,310 | National Grid PLC (Utilities) | 20,845 | ||||||
158,767 | Old Mutual PLC (Insurance) | 212,029 | ||||||
94,918 | Rexam PLC (Materials) | 446,133 | ||||||
8,695 | Rio Tinto PLC (Materials) | 301,121 | ||||||
80,540 | Standard Chartered PLC (Banks) | 1,514,397 | ||||||
171,418 | Thomas Cook Group PLC (Consumer Services) | 580,843 | ||||||
16,844 | Thomson Reuters PLC (Media) | 481,761 | ||||||
27,308 | Tomkins PLC (Capital Goods) | 66,612 | ||||||
15,969 | TUI Travel PLC (Consumer Services) | 61,044 | ||||||
37,761 | Vodafone Group PLC ADR (Telecommunication Services)(b) | 735,962 | ||||||
304,337 | WM Morrison Supermarkets PLC (Food & Staples Retailing) | 1,188,680 | ||||||
18,134,996 | ||||||||
TOTAL COMMON STOCKS | ||||||||
(Cost $68,334,370) | $ | 86,048,653 | ||||||
Expiration | ||||||||||
Units | Description | Month | Value | |||||||
Rights* – 0.0% | ||||||||||
Australia – 0.0% | ||||||||||
19,556 | Mirvac Group (REIT) | 07/09 | $ | 1,188 | ||||||
1 | Rio Tinto Ltd. (Materials) | 07/09 | 17 | |||||||
1,205 | ||||||||||
Singapore – 0.0% | ||||||||||
28,845 | Golden Agri-Resources Ltd. (Food, Beverage & Tobacco) | 07/09 | 3,933 | |||||||
TOTAL RIGHTS | ||||||||||
(Cost $11) | $ | 5,138 | ||||||||
Warrant* – 0.0% | ||||||||||
Singapore – 0.0% | ||||||||||
11,538 | Golden Agri-Resources Ltd. (Food, Beverage & Tobacco) | 07/12 | $ | — | ||||||
(Cost $0) | ||||||||||
GOLDMAN SACHS STRUCTURED INTERNATIONAL TAX-MANAGED EQUITY FUND
Schedule of Investments (continued)
June 30, 2009 (Unaudited)
Shares | Rate | Value | ||||||||
Investment Company(c) – 1.0% | ||||||||||
JPMorgan U.S. Government Money Market Fund – Capital Shares | ||||||||||
899,043 | 0.236 | % | $ | 899,043 | ||||||
(Cost $899,043) | ||||||||||
TOTAL INVESTMENTS BEFORE SECURITIES LENDING REINVESTMENT VEHICLE | ||||||||||
(Cost $69,233,424) | $ | 86,952,834 | ||||||||
Securities Lending Reinvestment Vehicle(c)(d) – 1.3% | ||||||||||
Boston Global Investment Trust – Enhanced Portfolio II | ||||||||||
1,105,521 | 0.282 | % | $ | 1,102,204 | ||||||
(Cost $1,091,878) | ||||||||||
TOTAL INVESTMENTS – 98.9% | ||||||||||
(Cost $70,325,302) | $ | 88,055,038 | ||||||||
OTHER ASSETS IN EXCESS OF LIABILITIES – 1.1% | 1,004,102 | |||||||||
NET ASSETS – 100.0% | $ | 89,059,140 | ||||||||
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) | All or a portion of security is segregated as collateral for initial margin requirements on futures transactions. | |
(c) | Variable rate security. Interest rate disclosed is that which is in effect at June 30, 2009. | |
(d) | Represents an affiliated issuer. |
Investment Abbreviations: | ||||||
ADR | — | American Depositary Receipt | ||||
CDI | — | CHESS Depositary Interest | ||||
REIT | — | Real Estate Investment Trust | ||||
SDR | — | Swedish Depositary Receipt | ||||
GOLDMAN SACHS STRUCTURED INTERNATIONAL TAX-MANAGED EQUITY FUND
ADDITIONAL INVESTMENT INFORMATION
FUTURES CONTRACTS — At June 30, 2009, the following futures contracts were open:
Number of | ||||||||||||||
Contracts | Settlement | Notional | Unrealized | |||||||||||
Type | Long | Month | Value | Gain (Loss) | ||||||||||
Dow Jones EURO STOXX 50 Index | 29 | September 2009 | $ | 975,570 | $ | (11,433 | ) | |||||||
FTSE 100 Index | 6 | September 2009 | 416,367 | (8,506 | ) | |||||||||
SPI 200 Index | 2 | September 2009 | 157,171 | (634 | ) | |||||||||
TSE TOPIX Index | 5 | September 2009 | 479,836 | 3,003 | ||||||||||
TOTAL | $ | (17,570 | ) | |||||||||||
GOLDMAN SACHS STRUCTURED TAX-ADVANTAGED EQUITY FUNDS
Statements of Assets and Liabilities
June 30, 2009 (Unaudited)
International | Structured | |||||||||||||||||||
U.S. Equity | Equity | Structured | International | |||||||||||||||||
Dividend and | Dividend and | Tax-Managed | Tax-Managed | |||||||||||||||||
Premium Fund | Premium Fund | Equity Fund | Equity Fund | |||||||||||||||||
Assets: | ||||||||||||||||||||
Investments in securities of unaffiliated issuers, at value (identified cost $263,866,605, $41,337,976, $193,038,162 and $69,233,424, respectively)(a) | $ | 229,330,252 | $ | 40,164,176 | $ | 197,174,417 | $ | 86,952,834 | ||||||||||||
Investments in affiliated securities lending reinvestment vehicle, at value (identified cost $0, $0, $23,299,453 and $1,091,878, respectively) | — | — | 23,447,281 | 1,102,204 | ||||||||||||||||
Cash | 808 | — | — | 15,961 | ||||||||||||||||
Foreign currencies, at value (identified cost $0, $1,305,666, $0 and $1,634,213, respectively) | — | 1,314,296 | — | 1,633,436 | ||||||||||||||||
Receivables: | �� | |||||||||||||||||||
Investment securities sold, at value | — | 1,721,425 | 2,140,292 | 265,021 | ||||||||||||||||
Fund shares sold | 1,317,311 | 1,866,544 | 513,958 | 311,559 | ||||||||||||||||
Dividends and interest, at value | 440,379 | 74,853 | 165,701 | 198,826 | ||||||||||||||||
Reimbursement from adviser | 8,438 | 85,110 | 15,444 | 52,160 | ||||||||||||||||
Due from broker(b) | — | 1,264,000 | — | — | ||||||||||||||||
Foreign tax reclaims, at value | — | 27,757 | — | 48,697 | ||||||||||||||||
Securities lending income | — | — | 50,882 | 5,593 | ||||||||||||||||
Due from custodian | — | — | 64,202 | 192,379 | ||||||||||||||||
Other assets | 806 | 180 | 822 | 590 | ||||||||||||||||
Total assets | 231,097,994 | 46,518,341 | 223,572,999 | 90,779,260 | ||||||||||||||||
Liabilities: | ||||||||||||||||||||
Due to custodian | — | 438,007 | — | 264,218 | ||||||||||||||||
Payables: | ||||||||||||||||||||
Investment securities purchased, at value | — | 5,839,765 | 2,849,825 | 192,379 | ||||||||||||||||
Written options, at value (premium received $2,273,355, $362,238, $0 and $0, respectively) | 1,852,200 | 275,638 | — | — | ||||||||||||||||
Amounts owed to affiliates | 196,410 | 29,785 | 158,382 | 82,053 | ||||||||||||||||
Fund shares redeemed | 41,339 | 814 | 835,413 | 16,911 | ||||||||||||||||
Due to broker — variation margin, at value | 23,085 | 25,537 | 23,850 | 13,974 | ||||||||||||||||
Payable upon return of securities loaned | — | — | 23,671,508 | 1,057,970 | ||||||||||||||||
Accrued expenses and other liabilities | 79,051 | 81,653 | 234,189 | 92,615 | ||||||||||||||||
Total liabilities | 2,192,085 | 6,691,199 | 27,773,167 | 1,720,120 | ||||||||||||||||
Net Assets: | ||||||||||||||||||||
Paid-in capital | 348,195,117 | 49,003,089 | 317,912,639 | 144,357,915 | ||||||||||||||||
Accumulated undistributed (distributions in excess of) net investment income | 129,324 | (86,013 | ) | 1,383,814 | 1,518,580 | |||||||||||||||
Accumulated net realized loss from investment, futures, written options and foreign currency related transactions | (85,301,417 | ) | (8,043,572 | ) | (127,823,324 | ) | (74,575,201 | ) | ||||||||||||
Net unrealized gain (loss) on investments, futures, written options and translation of assets and liabilities denominated in foreign currencies | (34,117,115 | ) | (1,046,362 | ) | 4,326,703 | 17,757,846 | ||||||||||||||
NET ASSETS | $ | 228,905,909 | $ | 39,827,142 | $ | 195,799,832 | $ | 89,059,140 | ||||||||||||
Net Assets: | ||||||||||||||||||||
Class A | $ | 123,619,472 | $ | 18,171,217 | $ | 92,624,977 | $ | 57,739,524 | ||||||||||||
Class B | — | — | 3,146,676 | — | ||||||||||||||||
Class C | 7,873,192 | 222,872 | 11,424,482 | 7,290 | ||||||||||||||||
Institutional | 97,413,245 | 21,433,053 | 88,568,902 | 31,312,326 | ||||||||||||||||
Service | — | — | 34,795 | — | ||||||||||||||||
Total Net Assets | $ | 228,905,909 | $ | 39,827,142 | $ | 195,799,832 | $ | 89,059,140 | ||||||||||||
Shares outstanding $0.001 par value (unlimited shares authorized): | ||||||||||||||||||||
Class A | 17,790,851 | 2,748,489 | 13,022,310 | 9,336,463 | ||||||||||||||||
Class B | — | — | 458,757 | — | ||||||||||||||||
Class C | 1,131,963 | 34,240 | 1,670,656 | 1,184 | ||||||||||||||||
Institutional | 14,038,157 | 3,283,774 | 12,239,869 | 5,058,148 | ||||||||||||||||
Service | — | — | 4,851 | — | ||||||||||||||||
Net asset value, offering and redemption price per share:(c) | ||||||||||||||||||||
Class A | $ | 6.95 | $ | 6.61 | $ | 7.11 | $ | 6.18 | ||||||||||||
Class B | — | — | 6.86 | — | ||||||||||||||||
Class C | 6.96 | 6.51 | 6.84 | 6.16 | ||||||||||||||||
Institutional | 6.94 | 6.53 | 7.24 | 6.19 | ||||||||||||||||
Service | — | — | 7.17 | — | ||||||||||||||||
(a) | Includes loaned securities having a market value of $22,888,259 and $989,656 for the Structured Tax-Managed Equity and Structured International Tax-Managed Equity Funds, respectively. |
(b) | Represents restricted cash pledged to the broker as collateral for written options for the International Equity Dividend and Premium Fund. |
(c) | Maximum public offering price per share (NAV per share multiplied by 1.0582) for Class A Shares of the U.S. Equity Dividend and Premium, International Equity Dividend and Premium, Structured Tax-Managed Equity and Structured International Tax-Managed Equity Funds is $7.35, $6.99, $7.52 and $6.54, respectively. At redemption, Class B and Class C Shares may be subject to contingent deferred sales charge assessed on the amount equal to the lesser of the current net asset value or the original purchase price of the shares. |
GOLDMAN SACHS STRUCTURED TAX-ADVANTAGED EQUITY FUNDS
Statements of Operations
For the Six Months Ended June 30, 2009 (Unaudited)
International | Structured | |||||||||||||||||||||
U.S. Equity | Equity | Structured | International | |||||||||||||||||||
Dividend and | Dividend and | Tax-Managed | Tax-Managed | |||||||||||||||||||
Premium Fund | Premium Fund | Equity Fund | Equity Fund | |||||||||||||||||||
Investment income: | ||||||||||||||||||||||
Dividends(a) | $ | 2,860,193 | $ | 614,719 | $ | 1,976,750 | $ | 1,942,899 | ||||||||||||||
Securities lending income — affiliated issuer | — | — | 157,529 | 84,742 | ||||||||||||||||||
Total investment income | 2,860,193 | 614,719 | 2,134,279 | 2,027,641 | ||||||||||||||||||
Expenses: | ||||||||||||||||||||||
Management fees | 749,077 | 103,803 | 629,908 | 343,510 | ||||||||||||||||||
Distribution and Service fees(b) | 175,799 | 13,736 | 194,639 | 73,246 | ||||||||||||||||||
Transfer Agent fees(b) | 128,614 | 13,189 | 117,616 | 60,098 | ||||||||||||||||||
Professional fees | 34,474 | 50,726 | 33,545 | 51,114 | ||||||||||||||||||
Registration fees | 31,078 | 36,395 | 53,996 | 33,242 | ||||||||||||||||||
Printing fees | 28,440 | 11,776 | 18,705 | 20,125 | ||||||||||||||||||
Custody and accounting fees | 16,137 | 75,974 | 18,145 | 61,965 | ||||||||||||||||||
Trustee fees | 8,460 | 8,460 | 8,460 | 8,460 | ||||||||||||||||||
Amortization of offering costs | — | 48,258 | — | 35,860 | ||||||||||||||||||
Service share fees — Service Plan | — | — | 57 | — | ||||||||||||||||||
Service share fees — Shareholder Administration Plan | — | — | 57 | — | ||||||||||||||||||
Other | 19,060 | 3,467 | 26,092 | 7,591 | ||||||||||||||||||
Total expenses | 1,191,139 | 365,784 | 1,101,220 | 695,211 | ||||||||||||||||||
Less — expense reductions | (84,536 | ) | (228,114 | ) | (201,282 | ) | (228,905 | ) | ||||||||||||||
Net expenses | 1,106,603 | 137,670 | 899,938 | 466,306 | ||||||||||||||||||
NET INVESTMENT INCOME | 1,753,590 | 477,049 | 1,234,341 | 1,561,335 | ||||||||||||||||||
Realized and unrealized gain (loss) from investment, futures, written options and foreign currency related transactions: | ||||||||||||||||||||||
Net realized gain (loss) from: | ||||||||||||||||||||||
Investment transactions — unaffiliated issuers | 5,117,335 | (695,930 | ) | 3,863,667 | (12,720,423 | ) | ||||||||||||||||
Securities lending reinvestment vehicle transactions — affiliated issuer | — | — | 77,185 | 33,908 | ||||||||||||||||||
Futures transactions | (994,491 | ) | (208,853 | ) | 751,389 | (245,262 | ) | |||||||||||||||
Written options | (1,194,563 | ) | (490,224 | ) | — | — | ||||||||||||||||
Foreign currency related transactions | — | 30,505 | — | 58,964 | ||||||||||||||||||
Net change in unrealized gain (loss) on: | ||||||||||||||||||||||
Investments — unaffiliated issuers | 362,246 | 2,135,567 | (8,702,130 | ) | 12,176,671 | |||||||||||||||||
Securities lending reinvestment vehicle — affiliated issuer | — | — | 106,462 | 10,326 | ||||||||||||||||||
Futures | (434,612 | ) | (19,807 | ) | (381,727 | ) | (10,605 | ) | ||||||||||||||
Written options | 91,450 | 75,444 | — | — | ||||||||||||||||||
Translation of asset and liabilities denominated in foreign currencies | — | 34,448 | — | 28,419 | ||||||||||||||||||
Net realized and unrealized gain (loss) from investment, futures, written options and foreign currency related transactions | 2,947,365 | 861,150 | (4,285,154 | ) | (668,002 | ) | ||||||||||||||||
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS | $ | 4,700,955 | $ | 1,338,199 | $ | (3,050,813 | ) | $ | 893,333 | |||||||||||||
(a) | Foreign taxes withheld on dividends were $68,050 and $214,369 for the International Equity Dividend and Premium, and Structured International Tax-Managed Equity 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 | ||||||||||||||||||||||||
U.S. Equity Dividend and Premium | $ | 138,429 | $ | — | $ | 37,370 | $ | 105,206 | $ | — | $ | 7,100 | $ | 16,308 | $ | — | ||||||||||||||||
International Equity Dividend and Premium | 13,338 | — | 398 | 10,137 | — | 76 | 2,976 | — | ||||||||||||||||||||||||
Structured Tax-Managed Equity | 116,500 | 19,358 | 58,781 | 88,541 | 3,678 | 11,168 | 14,220 | 9 | ||||||||||||||||||||||||
Structured International Tax-Managed Equity | 73,212 | — | 34 | 55,641 | — | 7 | 4,450 | — |
GOLDMAN SACHS STRUCTURED TAX-ADVANTAGED EQUITY FUNDS
Statements of Changes in Net Assets
U.S. Equity Dividend and Premium Fund | ||||||||||
For the | ||||||||||
Six Months Ended | For the Fiscal | |||||||||
June 30, 2009 | Year Ended | |||||||||
(Unaudited) | December 31, 2008 | |||||||||
From operations: | ||||||||||
Net investment income | $ | 1,753,590 | $ | 6,185,126 | ||||||
Net realized gain (loss) from investment, futures, written options and foreign currency related transactions | 2,928,281 | (87,564,919 | ) | |||||||
Net change in unrealized gain (loss) on investments, futures, written options and translation of assets and liabilities denominated in foreign currencies | 19,084 | (21,243,900 | ) | |||||||
Net increase (decrease) in net assets resulting from operations | 4,700,955 | (102,623,693 | ) | |||||||
Distributions to shareholders: | ||||||||||
From net investment income | ||||||||||
Class A Shares | (882,844 | ) | (3,707,228 | ) | ||||||
Class C Shares | (28,575 | ) | (169,737 | ) | ||||||
Institutional Shares | (835,940 | ) | (2,184,707 | ) | ||||||
From net realized gains | ||||||||||
Class A Shares | — | (319,404 | ) | |||||||
Class C Shares | — | (23,610 | ) | |||||||
Institutional Shares | — | (204,622 | ) | |||||||
From return of capital | ||||||||||
Class A Shares | — | — | ||||||||
Class C Shares | — | — | ||||||||
Institutional Shares | — | — | ||||||||
Total distributions to shareholders | (1,747,359 | ) | (6,609,308 | ) | ||||||
From share transactions: | ||||||||||
Proceeds from sales of shares | 57,296,377 | 153,668,190 | ||||||||
Reinvestments of distributions | 1,030,165 | 4,308,619 | ||||||||
Cost of shares redeemed | (31,313,668 | ) | (189,188,778 | ) | ||||||
Net increase (decrease) in net assets resulting from share transactions | 27,012,874 | (31,211,969 | ) | |||||||
TOTAL INCREASE (DECREASE) | 29,966,470 | (140,444,970 | ) | |||||||
Net assets: | ||||||||||
Beginning of period | 198,939,439 | 339,384,409 | ||||||||
End of period | $ | 228,905,909 | $ | 198,939,439 | ||||||
Accumulated undistributed (distributions in excess of) net investment income | $ | 129,324 | $ | 123,093 | ||||||
(a) | Commenced operations on January 31, 2008. |
(b) | Net of $11,608 and $651 of redemption fees remitted to the International Equity Dividend and Premium, and Structured International Tax-Managed Equity Funds, respectively. |
(c) | Net of $81,944 and $1,945 of redemption fees remitted to the International Equity Dividend and Premium, and Structured International Tax-Managed Equity Funds, respectively. |
GOLDMAN SACHS STRUCTURED TAX-ADVANTAGED EQUITY FUNDS
International Equity Dividend and Premium Fund | Structured Tax-Managed Equity Fund | Structured International Tax-Managed Equity Fund | ||||||||||||||||||||||
For the | For the | For the | ||||||||||||||||||||||
Six Months Ended | For the | Six Months Ended | For the Fiscal | Six Months Ended | For the | |||||||||||||||||||
June 30, 2009 | Period Ended | June 30, 2009 | Year Ended | June 30, 2009 | Period Ended | |||||||||||||||||||
(Unaudited) | December 31, 2008(a) | (Unaudited) | December 31, 2008 | (Unaudited) | December 31, 2008(a) | |||||||||||||||||||
$ | 477,049 | $ | 586,952 | $ | 1,234,341 | $ | 2,115,685 | $ | 1,561,335 | $ | 2,066,040 | |||||||||||||
(1,364,502 | ) | (6,910,348 | ) | 4,692,241 | (64,391,715 | ) | (12,872,813 | ) | (61,276,549 | ) | ||||||||||||||
2,225,652 | (3,272,014 | ) | (8,977,395 | ) | (56,129,870 | ) | 12,204,811 | 5,553,035 | ||||||||||||||||
1,338,199 | (9,595,410 | ) | (3,050,813 | ) | (118,405,900 | ) | 893,333 | (53,657,474 | ) | |||||||||||||||
(198,019 | ) | (73,929 | ) | — | (1,169,733 | ) | — | (2,102,568 | ) | |||||||||||||||
(1,840 | ) | (242 | ) | — | — | — | (242 | ) | ||||||||||||||||
(296,780 | ) | (352,231 | ) | — | (876,231 | ) | — | (457,618 | ) | |||||||||||||||
— | — | — | — | — | — | |||||||||||||||||||
— | — | — | — | — | — | |||||||||||||||||||
— | — | — | — | — | — | |||||||||||||||||||
— | (18,923 | ) | — | — | — | — | ||||||||||||||||||
— | (62 | ) | — | — | — | — | ||||||||||||||||||
— | (90,157 | ) | — | — | — | — | ||||||||||||||||||
(496,639 | ) | (535,544 | ) | — | (2,045,964 | ) | — | (2,560,428 | ) | |||||||||||||||
23,101,077 | 61,056,265 | 47,423,802 | 127,368,830 | 25,676,764 | 208,286,040 | |||||||||||||||||||
381,510 | 496,819 | — | 1,710,883 | — | 2,477,681 | |||||||||||||||||||
(6,467,970 | )(b) | (29,451,165 | )(c) | (47,566,919 | ) | (165,156,853 | ) | (27,088,153 | )(b) | (64,968,623 | )(c) | |||||||||||||
17,014,617 | 32,101,919 | (143,117 | ) | (36,077,140 | ) | (1,411,389 | ) | 145,795,098 | ||||||||||||||||
17,856,177 | 21,970,965 | (3,193,930 | ) | (156,529,004 | ) | (518,056 | ) | 89,577,196 | ||||||||||||||||
21,970,965 | — | 198,993,762 | 355,522,766 | 89,577,196 | — | |||||||||||||||||||
$ | 39,827,142 | $ | 21,970,965 | $ | 195,799,832 | $ | 198,993,762 | $ | 89,059,140 | $ | 89,577,196 | |||||||||||||
$ | (86,013 | ) | $ | (66,423 | ) | $ | 1,383,814 | $ | 149,473 | $ | 1,518,580 | $ | (42,755 | ) | ||||||||||
GOLDMAN SACHS STRUCTURED TAX-ADVANTAGED EQUITY FUNDS
Notes to Financial Statements
June 30, 2009 (Unaudited)
1. ORGANIZATION
Goldman Sachs Trust (the “Trust”) is a Delaware statutory trust registered under the Investment Company Act of 1940, as amended (the “Act”), as an open-end management investment company. The following table lists those series of the Trust that are included in this report (collectively, the “Funds” or individually a “Fund”), along with their corresponding share classes and respective diversification status under the Act:
Fund | Share Classes Offered | Diversified/Non-diversified | ||||
U.S. Equity Dividend and Premium, International Equity Dividend and Premium, and Structured International Tax-Managed Equity | A, C and Institutional Shares | Diversified | ||||
Structured Tax-Managed Equity | A, B, C, Institutional and Service Shares | Diversified | ||||
Class A Shares of the Funds are sold with a front-end sales charge of up to 5.50%. Class B Shares of the Structured Tax-Managed Equity Fund are sold with a contingent deferred sales charge that declines from 5.00% to zero, depending upon the period of time the shares are held. Class C Shares of the Funds are sold with a contingent deferred sales charge of 1.00% during the first 12 months. Institutional Shares of the Funds and Service Shares of the Structured Tax-Managed Equity Fund are not subject to a sales charge. Goldman, Sachs & Co. (“Goldman Sachs” or the “Distributor”) serves as distributor of the shares of the Funds pursuant to a Distribution Agreement. Goldman Sachs may retain a portion of such sales charges it receives as Distributor.
Goldman Sachs Asset Management, L.P. (“GSAM”), an affiliate of Goldman Sachs, serves as investment adviser pursuant to a Management Agreement (the “Agreement”) with the Trust on behalf of the Funds.
2. SIGNIFICANT ACCOUNTING POLICIES
The following is a summary of the significant accounting policies consistently followed by the Funds. The preparation of financial statements in conformity with accounting principles generally accepted in the United States of America (“GAAP”) requires management to make estimates and assumptions that may affect the amounts and disclosures on the financial statements. Actual results could differ from those estimates and assumptions.
A. Investment Valuation — The investment valuation policy of the Funds is to value investments at market value. Investments in equity securities traded on a foreign securities exchange are valued daily at fair value determined by an independent fair value service (if available) under valuation procedures approved by the trustees consistent with applicable regulatory guidance. The independent fair value service takes into account multiple factors including, but not limited to, movements in the United States (“U.S.”) securities markets, certain depositary receipts, futures contracts and foreign currency exchange rates that have occurred subsequent to the close of the foreign securities exchanges. While the independent service may not take into account market or security specific information, under the valuation procedures, these securities might also be fair valued by GSAM by taking into consideration market or security specific information as discussed below.
Investments in equity securities and investment companies traded on a U.S. securities exchange or the NASDAQ system are valued daily at their last sale price or official closing price on the principal exchange or system on which they are traded. Investments in equity securities and investment companies traded on a foreign securities exchange for which an independent fair value service cannot provide a quote are valued daily at their last sale price or official closing price on the principal exchange on which they are traded. If no sale occurs, such securities and investment companies are valued at the last bid price for long positions and at the last ask price for short positions. Debt securities for which market quotations are readily available are valued on the basis of quotations furnished by an independent pricing service approved by the trustees or provided by securities dealers. The pricing services may use valuation models or matrix pricing, which consider either
GOLDMAN SACHS STRUCTURED TAX-ADVANTAGED EQUITY FUNDS
2. SIGNIFICANT ACCOUNTING POLICIES (continued) |
(i) yield or price with respect to bonds that are considered comparable in characteristics such as rating, interest rate and maturity date or (ii) quotations from bond dealers, to determine current value. If accurate quotations are not readily available, or if GSAM believes that such quotations do not accurately reflect fair value, the fair value of the Funds’ investments may be determined based on yield equivalents, a pricing matrix or other sources, under valuation procedures established by the trustees. Unlisted equity securities for which market quotations are available are valued at the last sale price on valuation date, or if no sale occurs, at the last bid price. In the absence of market quotations, broker quotes will be utilized or the security will be fair valued. Investments in investment companies (other than those that are exchange traded) are valued at the net asset value per share (“NAV”) on the valuation date. Short-term debt obligations that mature in sixty days or less and that do not exhibit signs of credit deterioration are valued at amortized cost, which approximates market value.
GSAM, consistent with its procedures and applicable regulatory guidance, may make an adjustment to the previous closing prices of either domestic or foreign securities in light of significant events to reflect what it believes to be the fair value of the securities at the time of determining the Funds’ NAV. Significant events that could affect a large number of securities in a particular market may include, but are not limited to: situations relating to one or more single issuers in a market sector; significant fluctuations in U.S. or foreign markets; market dislocations; market disruptions or market closings; equipment failures; natural or man-made disasters or acts of God; armed conflicts; government actions or other developments; as well as the same or similar events which may affect specific issuers or the securities markets even though not tied directly to the securities markets. Other significant events that could relate to a single issuer may include, but are not limited to: corporate actions such as reorganizations, mergers and buy-outs; corporate announcements, including those relating to earnings, products and regulatory news; significant litigation; low trading volume; and trading limits or suspensions.
B. Security and Investor Share Transactions and Investment Income — Security and investor share transactions are reflected for financial reporting purposes as of the trade date which may cause the NAV as stated in the accompanying financial statements to be different than the official closing NAV. Realized gains and losses on sales of portfolio securities are calculated using the identified cost basis. Dividend income is recognized on the ex-dividend date, net of foreign withholding taxes, if any, which are reduced by any amounts reclaimable by the Funds, where applicable. Interest income is recorded on the basis of interest accrued, premium amortized and discount accreted. In addition, it is the Funds’ policy to accrue for foreign capital gains taxes, if applicable, on certain foreign securities held by the Funds, which are subject to such taxes. An estimated foreign capital gains tax is recorded daily on net unrealized gains on these securities and is payable upon the sale of such securities when a gain is realized.
Net investment income (other than class specific expenses) and unrealized and realized gains or losses are allocated daily to each class of shares of the respective Fund based upon the relative proportion of net assets of each class.
In addition, distributions received from the Funds’ investments in real estate investment trusts (“REITs”) often include a “return of capital” which is recorded by the Funds as a reduction of the cost basis of the securities held. The Internal Revenue Code of 1986, as amended (the “Code”) requires a REIT to distribute at least 95% of its taxable income to investors. In many cases, however, because of “non-cash” expenses such as property depreciation, a REIT’s cash flow will exceed its taxable income. The REIT may distribute this excess cash to offer a more competitive yield. This portion of the Funds’ distributions is deemed a return of capital and is generally not taxable to shareholders.
C. Expenses — Expenses incurred by the Trust that do not specifically relate to an individual Fund of the Trust are allocated to the Funds on a straight-line and/or “pro-rata” basis depending upon the nature of the expense.
D. Federal Taxes and Distributions to Shareholders — It is each Fund’s policy to comply with the requirements of the Code applicable to regulated investment companies (mutual funds) and to distribute each year substantially all of its
GOLDMAN SACHS STRUCTURED TAX-ADVANTAGED EQUITY FUNDS
Notes to Financial Statements (continued)
June 30, 2009 (Unaudited)
2. SIGNIFICANT ACCOUNTING POLICIES (continued) |
investment company taxable income and capital gains to its shareholders. Accordingly, no federal income tax provisions are required. Distributions to shareholders are recorded on the ex-dividend date. Income and capital gains distributions, if any, are declared and paid according to the following schedule:
Income Distribution | Capital Gains Distribution | |||||||
Fund | Declared and Paid | Declared and Paid | ||||||
U.S. Equity Dividend and Premium, and International Equity Dividend and Premium | Quarterly | Annually | ||||||
Structured Tax-Managed Equity and Structured International Tax-Managed Equity | Annually | Annually | ||||||
Net capital losses are carried forward to future fiscal years and may be used to the extent allowed by the Code to offset any future capital gains. Utilization of capital loss carryforwards will reduce the requirement of future capital gains distributions.
The characterization of distributions to shareholders for financial reporting purposes is determined in accordance with federal income tax rules, which may differ from GAAP. The source of each Fund’s distributions may be shown in the accompanying financial statements as either from net investment income, net realized gain or capital. Financial statements are adjusted for permanent book/tax differences to reflect the appropriate tax character, and are not adjusted for temporary differences.
GSAM has reviewed the Funds’ tax positions for all open tax years (the current and prior three tax years) and has concluded that no provision for income tax is required in the Funds’ financial statements. Such open tax years remain subject to examination by tax authorities.
E. Foreign Currency Translations — The books and records of the Funds are accounted for in U.S. dollars. Amounts denominated in foreign currencies are translated into U.S. dollars on the following basis: (i) investment valuations, foreign currency and other assets and liabilities initially expressed in foreign currencies are converted into U.S. dollars based upon 4:00 p.m. Eastern Time exchange rates; and (ii) purchases and sales of foreign investments, income and expenses are converted into U.S. dollars based upon currency exchange rates prevailing on the respective dates of such transactions as of 4:00 p.m. Eastern Time.
Net realized and unrealized gain (loss) on foreign currency transactions represents: (i) foreign exchange gains and losses from the sale and holdings of foreign currencies; (ii) currency gains and losses between trade date and settlement date on investment security transactions and forward exchange contracts; and (iii) gains and losses from the difference between amounts of dividends, interest and foreign withholding taxes recorded and the amounts actually received. The effect of changes in foreign currency exchange rates on equity securities and derivative instruments are not segregated in the Statements of Operations from the effects of changes in market prices of those investments, but are included with the net realized and unrealized gain (loss) on investments. The effect of changes in foreign currency exchange rates on fixed income securities are segregated in the Statements of Operations from the effects of changes in market prices of those investments, and are included with the net realized and unrealized gain (loss) on foreign currency related transactions. Net unrealized foreign exchange gains and losses arising from changes in the value of other assets and liabilities as a result of changes in foreign exchange rates are included as increases and decreases in unrealized gain (loss) on foreign currency related transactions.
GOLDMAN SACHS STRUCTURED TAX-ADVANTAGED EQUITY FUNDS
2. SIGNIFICANT ACCOUNTING POLICIES (continued) |
Non U.S. currency symbols utilized throughout the report are defined as follows:
EUR — Euro Currency
GBP — British Pound
JPY — Japanese Yen
F. Offering Costs — Offering costs paid in connection with the offering of shares of the International Equity Dividend and Premium and Structured International Tax-Managed Equity Funds were amortized on a straight line basis over 12 months from the date of the commencement of operations.
G. Redemption Fees — All classes of the International Equity Dividend and Premium, and Structured International Tax-Managed Equity Funds charge a 2% redemption fee on the redemption of shares (including by exchange) held for 30 calendar days or less. For this purpose, the Funds use a first-in first-out method so that shares held longest will be treated as being redeemed first and shares held shortest will be treated as being redeemed last. Redemption fees are reimbursed to a Fund and are reflected as a reduction in share redemptions. Redemption fees are credited to Paid-in capital and are allocated to each share class of a Fund on a pro-rata basis at the time of payment.
H. Derivatives — The Funds may make investments in derivative instruments, including, but not limited to, options, futures, swaps and other derivatives relating to foreign currency transactions. A derivative is an instrument whose value is derived from underlying assets, indices, reference rates or a combination of these factors. Derivative instruments may be privately negotiated contracts (often referred to as over the counter (“OTC”) derivatives) or they may be listed and traded on an exchange. Derivative contracts may involve future commitments to purchase or sell financial instruments or commodities at specified terms on a specified date, or to exchange interest payment streams or currencies based on a notional or contractual amount. Derivative instruments may involve a high degree of financial risk. The use of derivatives also involves the risk of loss if the investment adviser is incorrect in its expectation of the timing or level of fluctuations in securities prices, interest rates or currency prices. Investments in derivative instruments also include the risk of default by the counterparty, the risk that the investment may not be liquid and the risk that a small movement in the price of the underlying security or benchmark may result in a disproportionately large movement, unfavorable or favorable, in the price of the derivative instrument.
Futures Contracts — The Funds may purchase or sell futures contracts to hedge against changes in interest rates, securities prices, currency exchange rates, or to seek to increase total return. Futures contracts are valued at the last settlement price, or in the absence of a sale, the last bid price, at the end of each day on the board of trade or exchange upon which they are traded. Upon entering into a futures contract, the Funds deposit cash or securities in an account on behalf of the broker in an amount sufficient to meet the initial margin requirement. Subsequent payments are made or received by the Funds equal to the daily change in the contract value and are recorded as variation margin receivable or payable with a corresponding offset in unrealized gains or losses. The Funds recognize a realized gain or loss when a contract is closed or expires.
The use of futures contracts involves, to varying degrees, elements of market and counterparty risk which may exceed the amounts recognized in the Statements of Assets and Liabilities. Futures contracts may be illiquid, and exchanges may limit fluctuations in futures contract prices during a single day. Changes in the value of a futures contract may not directly correlate with changes in the value of the underlying securities. These risks may decrease the effectiveness of the Funds’ strategies and potentially result in a loss. The Funds must set aside liquid assets, or engage in other appropriate measures to cover their obligations under these contracts.
Options — When the Funds write call or put options, an amount equal to the premium received is recorded as an asset and as an equivalent liability. The amount of the liability is subsequently marked-to-market to reflect the current market value of the option written. Written options are valued at the last settlement price, or in the absence of a sale, the last ask price, at the end of each day on the board of trade or exchange upon which they are traded. When a written option expires on its
GOLDMAN SACHS STRUCTURED TAX-ADVANTAGED EQUITY FUNDS
Notes to Financial Statements (continued)
June 30, 2009 (Unaudited)
2. SIGNIFICANT ACCOUNTING POLICIES (continued) |
stipulated expiration date or the Funds enter into a closing purchase transaction, the Funds realize a gain or loss without regard to any unrealized gain or loss from the sale of the underlying security, and the option is extinguished. When a written call option is exercised, the Funds realize a gain or loss on the sale of the underlying security, and the proceeds of the sale are increased by the premium originally received. When a written put option is exercised, the amount of the premium originally received will reduce the cost of the security which the Funds purchase upon exercise. There is a risk of loss from a change in value of such options which may exceed the related premiums received. The Funds must set aside liquid assets, or engage in other appropriate measures to cover their obligations under written options contracts.
Upon the purchase of a call option or a protective put option by the Funds, the premium paid is recorded as an investment and subsequently marked-to-market to reflect the current market value of the option. Purchased options are valued at the last settlement price, or in the absence of a sale, the last bid price, at the end of each day on the board of trade or exchange upon which they are traded. If an option which the Funds have purchased expires on the stipulated expiration date, the Funds will realize a loss in the amount of the cost of the option. If the Funds enter into a closing sale transaction, the Funds will realize a gain or loss, depending on whether the sale proceeds for the closing sale transaction are greater or less than the cost of the option. If the Funds exercise a purchased put option, the Funds will realize a gain or loss from the sale of the underlying security, and the proceeds from such sale will be decreased by the premium originally paid. If the Funds exercise a purchased call option, the cost of the security which the Funds purchase upon exercise will be increased by the premium originally paid.
The U.S. Equity Dividend and Premium and International Equity Dividend and Premium Funds invest in written options. Writing (selling) call options limits the opportunity to profit from an increase in the market value of stocks in exchange for up-front cash at the time of selling the call option. When the Funds write (sells) S&P 500 Index or related ETF call options, they receive cash which limit their opportunity to profit from an increase in the market value of the S&P 500 Index or related ETF beyond the exercise price (plus the premium received) of the option. In a rising market, the Funds could significantly under perform the market. The Funds’ option strategies may not fully protect them against declines in the value of the market. Cash received from premiums will enhance return in declining markets, but the Funds will continue to bear the risk of a decline in the value of the securities held in their portfolios. The benefit from writing a call option is limited to the amount of premiums received. In a period of a sharply falling equity market, the Funds will likely also experience sharp declines in their net asset values.
On June 30, 2009, the Funds adopted Statement of Accounting Standards No. 161, “Disclosures about Derivative Instruments and Hedging Activities” (“FAS 161”) which requires enhanced disclosures about the Funds’ derivatives and hedging activities. The following table sets forth the gross value of the Funds’ derivative contracts by certain risk types as of June 30, 2009. The values in the table below exclude the effects of cash received or posted pursuant to derivative contracts, and therefore are not representative of the Funds’ net exposure.
U.S. Equity Dividend and Premium
As of June 30, 2009 | |||||||||||||||||||||||||
Balance Sheet | Derivative | Number of | Balance Sheet | Derivative | Number of | ||||||||||||||||||||
Derivative contracts for trading activities | Location | Assets | Contracts | Location | Liabilities | Contracts | |||||||||||||||||||
Equities | Receivables, Net assets — Unrealized gain | — | — | Payables, Net assets — Unrealized loss | $ | (1,854,117 | ) | 816 | |||||||||||||||||
GOLDMAN SACHS STRUCTURED TAX-ADVANTAGED EQUITY FUNDS
2. SIGNIFICANT ACCOUNTING POLICIES (continued) |
International Equity Dividend and Premium
As of June 30, 2009 | |||||||||||||||||||||||||
Balance Sheet | Derivative | Number of | Balance Sheet | Derivative | Number of | ||||||||||||||||||||
Derivative contracts for trading activities | Location | Assets | Contracts | Location | Liabilities | Contracts | |||||||||||||||||||
Equities | Receivables, Net assets — Unrealized gain | $ | 17,367 | 55 | Payables, Net assets — Unrealized loss | $ | (276,228 | ) | 167 | ||||||||||||||||
The following table sets forth by certain risk types the Funds’ gains (losses) related to derivative activities for the six months ended June 30, 2009 in accordance with FAS No. 161. These gains (losses) should be considered in the context that derivative contracts may have been executed to economically hedge securities and accordingly, gains or losses on derivative contracts may offset gains or losses attributable to securities. These gains (losses) are included in “Net realized or net change in unrealized gain (loss)” in the Statements of Operations:
U.S. Equity Dividend and Premium
Six Months Ended June 30, 2009 | ||||||||||
Realized | Change in | |||||||||
Location of Gain or (Loss) on Derivatives Recognized on Statement of Operations | Losses | Unrealized Losses | ||||||||
Equities | Net realized loss from futures and written options transactions/change in unrealized loss on futures and written options | $ | (2,189,054 | ) | $ | (343,162 | ) | |||
International Equity Dividend and Premium
Six Months Ended June 30, 2009 | ||||||||||
Realized | Change in | |||||||||
Location of Gain or (Loss) on Derivatives Recognized on Statement of Operations | Losses | Unrealized Gains | ||||||||
Equities | Net realized loss from futures and written options transactions/change in unrealized loss on futures and written options | $ | (699,077 | ) | $ | 55,637 | ||||
3. AGREEMENTS
A. Management Agreement — Under the Agreement, GSAM manages the Funds, subject to the general supervision of the trustees.
As compensation for the services rendered pursuant to the Agreement, the assumption of the expenses related thereto and administering the Funds’ business affairs, including providing facilities, GSAM is entitled to a management fee computed daily and payable monthly, equal to an annual percentage rate of each Fund’s average daily net assets.
GOLDMAN SACHS STRUCTURED TAX-ADVANTAGED EQUITY FUNDS
Notes to Financial Statements (continued)
June 30, 2009 (Unaudited)
3. AGREEMENTS (continued) |
For the six months ended June 30, 2009, contractual and net management fees with GSAM were at the following rates:
Effective Net | ||||||||||||||||||||||||||||
Contractual Management Rate | Management | |||||||||||||||||||||||||||
Up to | Next | Next | Next | Over | Effective | Rate | ||||||||||||||||||||||
Fund | $1 billion | $1 billion | $3 billion | $3 billion | $8 billion | Rate | (after waiver) | |||||||||||||||||||||
U.S. Equity Dividend and Premium | 0.75 | % | 0.68 | % | 0.65 | % | 0.64 | % | 0.63 | % | 0.75 | % | 0.75 | % | ||||||||||||||
International Equity Dividend and Premium | 0.81 | 0.73 | 0.69 | 0.68 | 0.67 | 0.81 | 0.81 | |||||||||||||||||||||
Structured Tax-Managed Equity | 0.70 | 0.63 | 0.60 | 0.59 | 0.58 | 0.70 | 0.65 | * | ||||||||||||||||||||
Structured International Tax-Managed Equity | 0.85 | 0.77 | 0.73 | 0.72 | 0.71 | 0.85 | 0.81 | * | ||||||||||||||||||||
* | GSAM has voluntarily agreed to waive a portion of its management fee in order to achieve the effective net management rates. |
B. Distribution Agreement and Service Plans — The Trust, on behalf of each Fund, has adopted Distribution and Service Plans (the “Plans”). Under the Plans, Goldman Sachs and/or authorized dealers are entitled to a fee accrued daily and paid monthly for distribution services and account maintenance services at the following annual rates calculated on a Fund’s average daily net assets of each respective share class:
Distribution and Service Plan Rates | ||||||||||||||||
Class A* | Class B | Class C | Class R* | |||||||||||||
Distribution Plan | 0.25 | % | 0.75 | % | 0.75 | % | 0.50 | % | ||||||||
Service Plan | — | 0.25 | 0.25 | — | ||||||||||||
* | With respect to Class A and Class R Shares, the Distributor at its discretion may use compensation for distribution services paid under the Plans to compensate service organizations for personal and account maintenance services and expenses so long as such total compensation under the Plans does not exceed the maximum cap on “service fees” imposed by the Financial Industry Regulatory Authority. |
Goldman Sachs may retain a portion of the Class A front end sales load and Class B and Class C contingent deferred sales charges. During the six months ended June 30, 2009, Goldman Sachs advised the Funds that it retained the following approximate amounts:
Front End | Contingent Deferred | |||||||||||
Sales Load | Sales Charge | |||||||||||
Fund | Class A | Class B | Class C | |||||||||
U.S. Equity Dividend and Premium | $ | 1,300 | N/A | $ | — | |||||||
International Equity Dividend and Premium | 100 | N/A | — | |||||||||
Structured Tax-Managed Equity | 2,400 | $ | — | — | ||||||||
Structured International Tax-Managed Equity | — | * | N/A | — | ||||||||
* | Amount rounds to less than $100. |
C. Transfer Agency Agreement — Goldman Sachs also serves as the transfer agent for the Funds for a fee pursuant to a Transfer Agency Agreement. The fees charged for such transfer agency services are calculated daily and payable monthly at an annual rate as follows: 0.19% of the average daily net assets for Class A, Class B, Class C, Class IR and Class R Shares and 0.04% of the average daily net assets for Institutional and Service Shares.
GOLDMAN SACHS STRUCTURED TAX-ADVANTAGED EQUITY FUNDS
3. AGREEMENTS (continued) |
D. Service Plan and Shareholder Administration Plans — The Trust, on behalf of the Structured Tax-Managed Equity Fund, has adopted a Service Plan and a Shareholder Administration Plan for Service Shares. These plans allow for Service Shares to compensate service organizations for providing varying levels of personal and account administration and shareholder administration services to their customers who are beneficial owners of such shares. The Service Plan and Shareholder Administration Plan each provide for compensation to the service organizations in an amount equal to, on an annual basis, 0.25% (0.50% in aggregate) of the average daily net assets of the Service Shares.
E. Other Agreements — GSAM has voluntarily agreed to limit certain “Other Expenses” of the Funds (excluding management fees, distribution and service fees, transfer agent fees and expenses, Service Share fees, taxes, interest, brokerage fees and litigation, indemnification, shareholder meetings and other extraordinary expenses, exclusive of any custody and transfer agent fee credit reductions) to the extent such expenses exceed, on an annual basis, a percentage rate of the average daily net assets of each Fund. Such expense reimbursements, if any, are computed daily and paid monthly. In addition, the Funds are not obligated to reimburse GSAM for prior period expense reimbursements, if any. The Other Expenses limitations for U.S. Equity Dividend and Premium, International Equity Dividend and Premium, Structured Tax-Managed Equity and Structured International Tax-Managed Equity Funds as an annual percentage rate of average daily net assets are 0.054%, 0.054%, 0.004% and 0.014% respectively. In addition, the Funds have entered into certain offset arrangements with the custodian and the transfer agent resulting in a reduction in the Funds’ expenses.
For the six months ended June 30, 2009, these expense reductions, including any fee waivers and Other Expense reimbursements, were as follows (in thousands):
Transfer | ||||||||||||||||
Management | Other Expense | Agent Fee | Total Expense | |||||||||||||
Fee Waiver | Reimbursement | Credits | Reductions | |||||||||||||
U.S. Equity Dividend and Premium | $ | — | $ | 84 | $ | 1 | $ | 85 | ||||||||
International Equity Dividend and Premium | — | 228 | — | * | 228 | |||||||||||
Structured Tax-Managed Equity | 45 | 155 | 1 | 201 | ||||||||||||
Structured International Tax-Managed Equity | 16 | 213 | — | * | 229 | |||||||||||
* | Amount rounds to less than $1,000. |
As of June 30, 2009, the amounts owed to affiliates of the Funds were as follows (in thousands):
Management | Distribution and | Transfer | ||||||||||||||
Fund | Fees | Service Fees | Agent Fees | Total | ||||||||||||
U.S. Equity Dividend and Premium | $ | 140 | $ | 32 | $ | 24 | $ | 196 | ||||||||
International Equity Dividend and Premium | 23 | 4 | 3 | 30 | ||||||||||||
Structured Tax-Managed Equity | 106 | 32 | 20 | 158 | ||||||||||||
Structured International Tax-Managed Equity | 60 | 12 | 10 | 82 | ||||||||||||
F. Line of Credit Facility — The Funds participate in a $660,000,000 committed, unsecured revolving line of credit facility (the “facility”) together with other funds of the Trust and registered investment companies having management agreements with GSAM or its affiliates. Pursuant to the terms of the facility, the Funds and other borrowers may increase the credit amount by an additional $340,000,000, for a total of up to $1 billion. This facility is to be used solely for temporary or
GOLDMAN SACHS STRUCTURED TAX-ADVANTAGED EQUITY FUNDS
Notes to Financial Statements (continued)
June 30, 2009 (Unaudited)
3. AGREEMENTS (continued) |
emergency purposes. The interest rate on borrowings is based on the federal funds rate. The facility also requires a fee to be paid by the Funds based on the amount of the commitment that has not been utilized. For the six months ended June 30, 2009, the Funds did not have any borrowings under the facility. Prior to May 12, 2009, the amount available through the facility was $700,000,000.
4. FAIR VALUE OF INVESTMENTS
The fair value of a financial instrument is the amount that would be received to sell an asset or paid to transfer a liability in an orderly transaction between market participants at the measurement date (exit price). Fair value measurements do not include transaction costs. GAAP establishes a fair value hierarchy that prioritizes the inputs to valuation techniques used to measure fair value. The hierarchy gives the highest priority to unadjusted quoted prices in active markets for identical assets or liabilities (Level 1 measurements) and the lowest priority to unobservable inputs (Level 3 measurements). The three levels of the fair value hierarchy are described below:
Level 1 — Unadjusted quoted prices in active markets that are accessible at the measurement date for identical, unrestricted assets or liabilities;
Level 2 — Quoted prices in markets that are not active or financial instruments for which all significant inputs are observable, either directly or indirectly;
Level 3 — Prices or valuations that require inputs that are both significant to the fair value measurement and unobservable.
The following is a summary of the Funds’ investments categorized in the fair value hierarchy:
U.S. Equity Dividend and Premium
Level 1 | Level 2 | Level 3 | ||||||||||
Assets | ||||||||||||
Common Stock and/or Other Equity Investments | $ | 223,099,532 | $— | $ | — | |||||||
Short-term Investments | 6,230,720 | — | — | |||||||||
Total | $ | 229,330,252 | $— | $ | — | |||||||
Liabilities | ||||||||||||
Derivatives | $ | (1,917 | ) | $ | (1,852,200 | ) | $ | — | ||||
GOLDMAN SACHS STRUCTURED TAX-ADVANTAGED EQUITY FUNDS
4. FAIR VALUE OF INVESTMENTS (continued) |
International Equity Dividend and Premium
Level 1 | Level 2 | Level 3 | ||||||||||
Assets | ||||||||||||
Common Stock and/or Other Equity Investments(a) | $ | 1,808,400 | $ | 34,700,969 | $ | — | ||||||
Short-term Investments | 3,654,807 | — | — | |||||||||
Derivatives | 17,367 | — | — | |||||||||
Total | $ | 5,480,574 | $ | 34,700,969 | $ | — | ||||||
Liabilities | ||||||||||||
Derivatives | $ | (590 | ) | $ | (275,638 | ) | $ | — | ||||
(a) | To adjust for the market difference between local market close and the calculation of the net asset value, the Fund may utilize fair value model prices for international equities provided by an independent service resulting in a Level 2 classification. |
Structured Tax-Managed Equity
Level 1 | Level 2 | Level 3 | ||||||||||
Assets | ||||||||||||
Common Stock and/or Other Equity Investments | $ | 191,019,498 | $ | 229,048 | $ | — | ||||||
Short-term Investments | 5,925,871 | 23,447,281 | — | |||||||||
Derivatives | 42,620 | — | — | |||||||||
Total | $ | 196,987,989 | $ | 23,676,329 | $ | — | ||||||
Structured International Tax-Managed Equity
Level 1 | Level 2 | Level 3 | ||||||||||
Assets | ||||||||||||
Common Stock and/or Other Equity Investments(a) | $ | 5,338,534 | $ | 80,715,257 | $ | — | ||||||
Short-term Investment | 899,043 | 1,102,204 | — | |||||||||
Derivatives | 3,003 | — | — | |||||||||
Total | $ | 6,240,580 | $ | 81,817,461 | $ | — | ||||||
Liabilities | ||||||||||||
Derivatives | $ | (20,573 | ) | $ | — | $ | — | |||||
(a) | To adjust for the market difference between local market close and the calculation of the net asset value, the Fund may utilize fair value model prices for international equities provided by an independent service resulting in a Level 2 classification. |
GOLDMAN SACHS STRUCTURED TAX-ADVANTAGED EQUITY FUNDS
Notes to Financial Statements (continued)
June 30, 2009 (Unaudited)
5. SECURITIES LENDING
Pursuant to exemptive relief granted by the Securities and Exchange Commission and the terms and conditions contained therein, the Funds may lend their securities through a securities lending agent, Goldman Sachs Agency Lending (“GSAL”), a wholly-owned subsidiary of Goldman Sachs, to certain qualified borrowers including Goldman Sachs and affiliates. In accordance with the Funds’ securities lending procedures, the Funds receive cash collateral at least equal to the market value of the securities on loan. The market value of the loaned securities is determined at the close of business of the Funds, at their last sale price or official closing price on the principal exchange or system on which they are traded, and any additional required collateral is delivered to the Funds on the next business day. As with other extensions of credit, the Funds may experience delay in the recovery of their securities or incur a loss should the borrower of the securities breach its agreement with the Funds or become insolvent and the collateral not be sufficient to cover the cost of repurchasing securities on loan.
The Funds invest the cash collateral received in connection with securities lending transactions in the Enhanced Portfolio II of Boston Global Investment Trust (“Enhanced Portfolio II”), a Delaware statutory trust. The Enhanced Portfolio II, deemed an affiliate of the Trust, is exempt from registration under Section 3(c)(7) of the Act and is managed by GSAM, for which GSAM may receive an investment advisory fee of up to 0.10% on an annualized basis of the average daily net assets of the Enhanced Portfolio II. The Enhanced Portfolio II invests primarily in short-term investments, but is not a “money market fund” subject to the requirements of Rule 2a-7 of the Act. The Funds’ investment of cash collateral in the Enhanced Portfolio II is subject to a net asset value that may fall or rise due to market and credit conditions.
Both the Funds and GSAL receive compensation relating to the lending of the Funds’ securities. The amounts earned by the Funds for the six months ended June 30, 2009, are reported under Investment Income on the Statements of Operations. As of June 30, 2009, the U.S. Equity Dividend and Premium and the International Equity Dividend and Premium Funds did not participate in the securities lending program.
The table below details securities lending activity with affiliates of Goldman Sachs as of, and for the six months ended June 30, 2009:
Earnings of GSAL | Amounts Received by | Amounts Payable to | ||||||||||
Relating to Securities | the Funds from Lending | Goldman Sachs upon | ||||||||||
Loaned for the Six | to Goldman Sachs for | Return of Securities | ||||||||||
Months Ended | the Six Months Ended | Loaned as of | ||||||||||
Fund | June 30, 2009 | June 30, 2009 | June 30, 2009 | |||||||||
Structured Tax-Managed Equity | $ | 17,538 | $ | 7,231 | $ | 7,228,263 | ||||||
Structured International Tax-Managed Equity | 9,420 | 9,070 | 502,250 | |||||||||
The following table provides information about the Funds’ investment in the Enhanced Portfolio II for the six months ended June 30, 2009 (in thousands).
Number of | Number of | |||||||||||||||||||
Shares Held | Shares | Shares | Shares Held | Value at | ||||||||||||||||
Fund | Beginning of Period | Bought | Sold | End of Period | End of Period | |||||||||||||||
Structured Tax-Managed Equity | 12,815 | 104,673 | (93,970 | ) | 23,518 | $ | 23,447 | |||||||||||||
Structured International Tax-Managed Equity | — | 20,813 | (19,707 | ) | 1,106 | 1,102 | ||||||||||||||
GOLDMAN SACHS STRUCTURED TAX-ADVANTAGED EQUITY FUNDS
6. PORTFOLIO SECURITIES TRANSACTIONS
The cost of purchases and proceeds from sales and maturities of long-term securities for the six months ended June 30, 2009, were as follows:
Fund | Purchases | Sales and Maturities | ||||||
U.S. Equity Dividend and Premium | $ | 129,467,863 | $ | 94,680,029 | ||||
International Equity Dividend and Premium | 34,762,354 | 16,834,770 | ||||||
Structured Tax-Managed Equity | 285,550,436 | 275,120,851 | ||||||
Structured International Tax-Managed Equity | 63,848,998 | 67,123,943 | ||||||
For the six-months ended June 30, 2009, Goldman Sachs earned approximately $6,300, $5,000, $4,000 and $3,000 in brokerage commissions from portfolio transactions, including futures transactions executed with Goldman Sachs as the Futures Commission Merchant and written options transactions, executed on behalf of the U.S. Equity Dividend and Premium, International Equity Dividend and Premium, Structured Tax-Managed Equity and Structured International Tax-Managed Equity Funds, respectively.
7. TAX INFORMATION
As of the Funds’ most recent fiscal year end, December 31, 2008, the Funds’ capital loss carryforwards and certain timing differences on a tax basis were as follows:
International | Structured | |||||||||||||||
U.S. Equity | Equity | Structured | International | |||||||||||||
Dividend and | Dividend and | Tax-Managed | Tax-Managed | |||||||||||||
Premium | Premium | Equity | Equity | |||||||||||||
Capital loss carryforward:(1) | ||||||||||||||||
Expiring 2009 | $ | — | $ | — | $ | (16,243,287 | ) | $ | — | |||||||
Expiring 2010 | — | — | (20,748,975 | ) | — | |||||||||||
Expiring 2011 | — | — | (209,608 | ) | — | |||||||||||
Expiring 2015 | — | — | (19,869,694 | ) | — | |||||||||||
Expiring 2016 | (23,356,728 | ) | (4,489,523 | ) | (51,456,725 | ) | (41,184,780 | ) | ||||||||
Total capital loss carryforward | $ | (23,356,728 | ) | $ | (4,489,523 | ) | $ | (108,528,289 | ) | $ | (41,184,780 | ) | ||||
Timing differences (post-October losses/deferred REIT income) | $ | (59,743,134 | ) | $ | (2,004,527 | ) | $ | (23,135,687 | ) | $ | (20,354,159 | ) | ||||
(1) | Expiration occurs on December 31 of the year indicated. |
GOLDMAN SACHS STRUCTURED TAX-ADVANTAGED EQUITY FUNDS
Notes to Financial Statements (continued)
June 30, 2009 (Unaudited)
7. TAX INFORMATION (continued) |
At June 30, 2009, the Funds’ aggregate security unrealized gains and losses based on cost for U.S. federal income tax purposes were as follows:
International | Structured | |||||||||||||||
U.S. Equity | Equity | Structured | International | |||||||||||||
Dividend and | Dividend and | Tax-Managed | Tax-Managed | |||||||||||||
Premium | Premium | Equity | Equity | |||||||||||||
Tax cost | $ | 268,232,228 | $ | 41,589,419 | $ | 216,736,436 | $ | 70,616,241 | ||||||||
Gross unrealized gain | 2,523,138 | 970,785 | 9,868,036 | 17,633,942 | ||||||||||||
Gross unrealized loss | (41,425,114 | ) | (2,396,028 | ) | (5,982,774 | ) | (195,145 | ) | ||||||||
Net unrealized security gain (loss) | $ | (38,901,976 | ) | $ | (1,425,243 | ) | $ | 3,885,262 | $ | 17,438,797 | ||||||
The difference between book-basis and tax-basis unrealized gains (losses) is attributable primarily to wash sales, net mark to market gains (losses) on regulated futures and options, and differences related to the tax treatment of partnerships, passive foreign investment companies and securities on loan as of the most recent fiscal year end.
8. OTHER RISKS
Foreign Custody Risk — A Fund that invests in foreign securities may hold such securities and foreign currency with foreign banks, agents, and securities depositories (each a “Foreign Custodian”) appointed by the Fund’s custodian. Investments in emerging markets may be subject to greater custody risks than investments in more developed markets. Custody services in emerging market countries are often undeveloped and may be less regulated than in more developed countries, and thus may not afford the same level of investor protection as would apply in developed countries. In some countries, Foreign Custodians may be subject to little or no regulatory oversight or independent evaluation of their operations. Further, the laws of certain countries may place limitations on a Fund’s ability to recover its assets if a Foreign Custodian enters into bankruptcy.
Funds’ Shareholder Concentration — Certain Goldman Sachs Fund of Funds Portfolios may invest a significant percentage of their assets in the Funds. In the event the Fund of Funds Portfolios experience significant redemptions and/or reallocations, the Funds may be exposed to liquidity risk. In particular, the Funds may encounter difficulty meeting redemptions if unusual market conditions create an unfavorable environment in which the Funds are forced to liquidate their securities. As of June 30, 2009, the following Fund of Funds Portfolios were the beneficial owners of 5% or more of total outstanding shares of the following Funds:
Goldman Sachs | ||||||||
Goldman Sachs | Enhanced Dividend | |||||||
Income Strategies | Global Equity | |||||||
Fund | Portfolio | Portfolio | ||||||
International Equity Dividend and Premium | 7 | % | 29 | % | ||||
Market and Credit Risks — In the normal course of business, the Funds trade financial instruments and enter into financial transactions where risk of potential loss exists due to changes in the market (market risk). Additionally, the Funds may also be exposed to credit risk in the event that an issuer fails to perform or that an institution or entity with which the Funds have unsettled or open transactions defaults.
GOLDMAN SACHS STRUCTURED TAX-ADVANTAGED EQUITY FUNDS
8. OTHER RISKS (continued) |
Investing in foreign markets may involve special risks and considerations not typically associated with investing in the U.S. These risks include revaluation of currencies, high rates of inflation, repatriation restrictions on income and capital, and adverse political and economic developments. Moreover, securities issued in these markets may be less liquid, be subject to government ownership controls, have delayed settlements, and their prices may be more volatile than those of comparable securities in the U.S.
9. OTHER MATTERS
Indemnifications — Under the Trust’s organizational documents, its trustees, officers, employees and agents are indemnified, to the extent permitted by the Act, against certain liabilities that may arise out of performance of their duties to the Funds. Additionally, in the course of business, the Funds enter into contracts that contain a variety of indemnification clauses. The Funds’ maximum exposure under these arrangements is unknown, as this would involve future claims that may be against the Funds that have not yet occurred. However, the Funds believe the risk of loss under these arrangements to be remote.
New Accounting Pronouncement — In May 2009, the FASB issued Statement of Financial Accounting Standards No. 165, “Subsequent Events” (“FAS 165”). This standard requires disclosure in the financial statements to reflect the effects of subsequent events that provide additional information on conditions about the financial statements as of the balance sheet date (recognized subsequent events) and disclosure of subsequent events that provide additional information about conditions after the balance sheet date if the financial statements would otherwise be misleading (unrecognized subsequent events). FAS 165 is effective for interim and annual financial statements issued for fiscal years ending after June 15, 2009. For purposes of inclusion in the financial statements, GSAM has concluded that subsequent events after the balance sheet date have been evaluated through August 24, 2009, the date that the financial statements were issued.
GOLDMAN SACHS STRUCTURED TAX-ADVANTAGED EQUITY FUNDS
Notes to Financial Statements (continued)
June 30, 2009 (Unaudited)
10. SUMMARY OF SHARE TRANSACTIONS
Share activity is as follows:
U.S. Equity Dividend and Premium Fund | ||||||||||||||||
For the Six Months Ended | ||||||||||||||||
June 30, 2009 | For the Fiscal Year Ended | |||||||||||||||
(Unaudited) | December 31, 2008 | |||||||||||||||
Shares | Dollars | Shares | Dollars | |||||||||||||
Class A Shares | ||||||||||||||||
Shares sold | 3,787,189 | $ | 24,640,322 | 9,185,087 | $ | 79,045,981 | ||||||||||
Reinvestment of distributions | 94,576 | 603,907 | 368,650 | 3,084,082 | ||||||||||||
Shares redeemed | (2,874,341 | ) | (17,768,968 | ) | (16,048,763 | ) | (139,507,926 | ) | ||||||||
1,007,424 | 7,475,261 | (6,495,026 | ) | (57,377,863 | ) | |||||||||||
Class C Shares | ||||||||||||||||
Shares sold | 177,934 | 1,139,131 | 289,383 | 2,351,614 | ||||||||||||
Reinvestment of distributions | 2,333 | 14,792 | 10,644 | 87,833 | ||||||||||||
Shares redeemed | (297,116 | ) | (1,806,036 | ) | (616,701 | ) | (5,260,123 | ) | ||||||||
(116,849 | ) | (652,113 | ) | (316,674 | ) | (2,820,676 | ) | |||||||||
Institutional Shares | ||||||||||||||||
Shares sold | 4,841,244 | 31,516,924 | 8,215,960 | 72,270,595 | ||||||||||||
Reinvestments of distributions | 64,261 | 411,466 | 141,457 | 1,136,704 | ||||||||||||
Shares redeemed | (1,837,293 | ) | (11,738,664 | ) | (5,353,364 | ) | (44,420,729 | ) | ||||||||
3,068,212 | 20,189,726 | 3,004,053 | 28,986,570 | |||||||||||||
NET INCREASE (DECREASE) | 3,958,787 | $ | 27,012,874 | (3,807,647 | ) | $ | (31,211,969 | ) | ||||||||
GOLDMAN SACHS STRUCTURED TAX-ADVANTAGED EQUITY FUNDS
10. SUMMARY OF SHARE TRANSACTIONS (continued) |
Share activity is as follows:
International Equity Dividend and Premium Fund | ||||||||||||||||
For the Six Months Ended | ||||||||||||||||
June 30, 2009 | For the Period Ended | |||||||||||||||
(Unaudited) | December 31, 2008(a) | |||||||||||||||
Shares | Dollars | Shares | Dollars | |||||||||||||
Class A Shares | ||||||||||||||||
Shares sold | 2,085,599 | $ | 12,940,744 | 3,116,730 | $ | 23,144,535 | ||||||||||
Reinvestment of distributions | 20,597 | 130,468 | 8,634 | 75,169 | ||||||||||||
Shares redeemed | (879,054 | ) | (4,696,596 | ) | (1,604,017 | ) | (9,933,810 | ) | ||||||||
1,227,142 | 8,374,616 | 1,521,347 | 13,285,894 | |||||||||||||
Class C Shares | ||||||||||||||||
Shares sold | 31,338 | 190,759 | 5,886 | 47,108 | ||||||||||||
Reinvestment of distributions | 287 | 1,840 | 36 | 304 | ||||||||||||
Shares redeemed | (983 | ) | (5,587 | ) | (2,324 | ) | (15,347 | ) | ||||||||
30,642 | 187,012 | 3,598 | 32,065 | |||||||||||||
Institutional Shares | ||||||||||||||||
Shares sold | 1,612,243 | 9,969,574 | 4,396,472 | 37,864,622 | ||||||||||||
Reinvestments of distributions | 41,502 | 249,202 | 47,588 | 421,346 | ||||||||||||
Shares redeemed | (318,058 | ) | (1,765,787 | ) | (2,495,973 | ) | (19,502,008 | ) | ||||||||
1,335,687 | 8,452,989 | 1,948,087 | 18,783,960 | |||||||||||||
NET INCREASE | 2,593,471 | $ | 17,014,617 | 3,473,032 | $ | 32,101,919 | ||||||||||
(a) | Commenced operations on January 31, 2008. |
GOLDMAN SACHS STRUCTURED TAX-ADVANTAGED EQUITY FUNDS
Notes to Financial Statements (continued)
June 30, 2009 (Unaudited)
10. SUMMARY OF SHARE TRANSACTIONS (continued) |
Share activity is as follows:
Structured Tax-Managed Equity Fund | ||||||||||||||||
For the Six Months Ended | ||||||||||||||||
June 30, 2009 | For the Fiscal Year Ended | |||||||||||||||
(Unaudited) | December 31, 2008 | |||||||||||||||
Shares | Dollars | Shares | Dollars | |||||||||||||
Class A Shares | ||||||||||||||||
Shares sold | 1,528,892 | $ | 10,254,414 | 6,550,895 | $ | 59,792,321 | ||||||||||
Shares converted from Class B(a) | 87,897 | 588,058 | 322,623 | 3,059,236 | ||||||||||||
Reinvestment of distributions | — | — | 158,662 | 1,107,458 | ||||||||||||
Shares redeemed | (4,217,891 | ) | (27,222,903 | ) | (12,390,672 | ) | (112,989,876 | ) | ||||||||
(2,601,102 | ) | (16,380,431 | ) | (5,358,492 | ) | (49,030,861 | ) | |||||||||
Class B Shares | ||||||||||||||||
Shares sold | 15,616 | 100,672 | 17,874 | 154,319 | ||||||||||||
Shares converted to Class A(a) | (91,071 | ) | (588,058 | ) | (335,102 | ) | (3,059,236 | ) | ||||||||
Shares redeemed | (207,879 | ) | (1,299,489 | ) | (742,908 | ) | (6,601,001 | ) | ||||||||
(283,334 | ) | (1,786,875 | ) | (1,060,136 | ) | (9,505,918 | ) | |||||||||
Class C Shares | ||||||||||||||||
Shares sold | 18,760 | 121,736 | 274,949 | 2,282,920 | ||||||||||||
Shares redeemed | (360,635 | ) | (2,292,465 | ) | (974,551 | ) | (8,473,118 | ) | ||||||||
(341,875 | ) | (2,170,729 | ) | (699,602 | ) | (6,190,198 | ) | |||||||||
Institutional Shares | ||||||||||||||||
Shares sold | 5,530,254 | 36,926,869 | 7,600,230 | 65,139,270 | ||||||||||||
Reinvestment of distributions | — | — | 85,229 | 603,425 | ||||||||||||
Shares redeemed | (2,509,623 | ) | (16,712,612 | ) | (3,931,661 | ) | (36,844,956 | ) | ||||||||
3,020,631 | 20,214,257 | 3,753,798 | 28,897,739 | |||||||||||||
Service Shares | ||||||||||||||||
Shares sold | 2,956 | 20,111 | — | — | ||||||||||||
Shares redeemed | (5,606 | ) | (39,450 | ) | (27,341 | ) | (247,902 | ) | ||||||||
(2,650 | ) | (19,339 | ) | (27,341 | ) | (247,902 | ) | |||||||||
NET DECREASE | (208,330 | ) | $ | (143,117 | ) | (3,391,773 | ) | $ | (36,077,140 | ) | ||||||
(a) | Class B Shares automatically convert into Class A Shares on or about the fifteenth day of the last month of the calendar quarter that is eight years after the initial purchase date of either the Fund or another Goldman Sachs Fund. |
GOLDMAN SACHS STRUCTURED TAX-ADVANTAGED EQUITY FUNDS
10. SUMMARY OF SHARE TRANSACTIONS (continued) |
Share activity is as follows:
Structured International Tax-Managed Equity Fund | ||||||||||||||||
For the Six Months Ended | ||||||||||||||||
June 30, 2009 | For the Period Ended | |||||||||||||||
(Unaudited) | December 31, 2008(a) | |||||||||||||||
Shares | Dollars | Shares | Dollars | |||||||||||||
Class A Shares | ||||||||||||||||
Shares sold | 1,806,114 | $ | 10,142,231 | 18,499,859 | $ | 172,637,083 | ||||||||||
Reinvestment of distributions | — | — | 348,847 | 2,019,821 | ||||||||||||
Shares redeemed | (4,323,065 | ) | (23,351,459 | ) | (6,995,292 | ) | (51,316,906 | ) | ||||||||
(2,516,951 | ) | (13,209,228 | ) | 11,853,414 | 123,339,998 | |||||||||||
Class C Shares | ||||||||||||||||
Shares sold | — | — | 1,906 | 16,378 | ||||||||||||
Reinvestment of distributions | — | — | 42 | 242 | ||||||||||||
Shares redeemed | (137 | ) | (750 | ) | (627 | ) | (3,717 | ) | ||||||||
(137 | ) | (750 | ) | 1,321 | 12,903 | |||||||||||
Institutional Shares | ||||||||||||||||
Shares sold | 2,833,890 | 15,534,526 | 4,488,082 | 35,632,579 | ||||||||||||
Reinvestment of distributions | — | — | 79,036 | 457,618 | ||||||||||||
Shares redeemed | (687,758 | ) | (3,735,937 | ) | (1,655,102 | ) | (13,648,000 | ) | ||||||||
2,146,132 | 11,798,589 | 2,912,016 | 22,442,197 | |||||||||||||
NET INCREASE (DECREASE) | (370,956 | ) | $ | (1,411,389 | ) | 14,766,751 | $ | 145,795,098 | ||||||||
(a) | Commenced operations on January 31, 2008. |
GOLDMAN SACHS U.S. EQUITY DIVIDEND AND PREMIUM FUND
Financial Highlights
Selected Data for a Share Outstanding Throughout Each Period
Income (loss) from | Distributions | |||||||||||||||||||||||||||||||||||
Net asset | investment operations | to shareholders | ||||||||||||||||||||||||||||||||||
value, | Net | Net realized | Total from | From net | From net | |||||||||||||||||||||||||||||||
beginning | investment | and unrealized | investment | investment | realized | From | Total | |||||||||||||||||||||||||||||
Year - Share Class | of period | income(a) | gain (loss) | operations | income | gains | capital | distributions | ||||||||||||||||||||||||||||
FOR THE SIX MONTHS ENDED JUNE 30, (UNAUDITED) | ||||||||||||||||||||||||||||||||||||
2009 - A | $ | 6.86 | $ | 0.05 | $ | 0.09 | $ | 0.14 | $ | (0.05 | ) | $ | — | $ | — | $ | (0.05 | ) | ||||||||||||||||||
2009 - C | 6.87 | 0.03 | 0.09 | 0.12 | (0.03 | ) | — | — | (0.03 | ) | ||||||||||||||||||||||||||
2009 - Institutional | 6.85 | 0.06 | 0.09 | 0.15 | (0.06 | ) | — | — | (0.06 | ) | ||||||||||||||||||||||||||
FOR THE FISCAL YEARS ENDED DECEMBER 31, | ||||||||||||||||||||||||||||||||||||
2008 - A | 10.34 | 0.19 | (3.46 | ) | (3.27 | ) | (0.19 | ) | (0.02 | ) | — | (0.21 | ) | |||||||||||||||||||||||
2008 - C | 10.35 | 0.12 | (3.46 | ) | (3.34 | ) | (0.12 | ) | (0.02 | ) | — | (0.14 | ) | |||||||||||||||||||||||
2008 - Institutional | 10.34 | 0.23 | (3.47 | ) | (3.24 | ) | (0.23 | ) | (0.02 | ) | — | (0.25 | ) | |||||||||||||||||||||||
2007 - A | 10.97 | 0.29 | (d) | 0.05 | 0.34 | (0.29 | ) | (0.68 | ) | — | (0.97 | ) | ||||||||||||||||||||||||
2007 - C | 10.99 | 0.20 | (d) | 0.06 | 0.26 | (0.22 | ) | (0.68 | ) | — | (0.90 | ) | ||||||||||||||||||||||||
2007 - Institutional | 10.97 | 0.33 | (d) | 0.06 | 0.39 | (0.34 | ) | (0.68 | ) | — | (1.02 | ) | ||||||||||||||||||||||||
2006 - A | 10.09 | 0.34 | (e) | 1.11 | 1.45 | (0.28 | ) | (0.28 | ) | (0.01 | ) | (0.57 | ) | |||||||||||||||||||||||
2006 - C | 10.09 | 0.26 | (e) | 1.10 | 1.36 | (0.17 | ) | (0.28 | ) | (0.01 | ) | (0.46 | ) | |||||||||||||||||||||||
2006 - Institutional | 10.10 | 0.40 | (e) | 1.09 | 1.49 | (0.33 | ) | (0.28 | ) | (0.01 | ) | (0.62 | ) | |||||||||||||||||||||||
FOR THE PERIOD ENDED DECEMBER 31, | ||||||||||||||||||||||||||||||||||||
2005 - A (commenced August 31, 2005) | 10.00 | 0.13 | 0.07 | 0.20 | (0.09 | ) | (0.02 | ) | — | (0.11 | ) | |||||||||||||||||||||||||
2005 - C (commenced August 31, 2005) | 10.00 | 0.12 | 0.06 | 0.18 | (0.07 | ) | (0.02 | ) | — | (0.09 | ) | |||||||||||||||||||||||||
2005 - Institutional (commenced August 31, 2005) | 10.00 | 0.13 | 0.09 | 0.22 | (0.10 | ) | (0.02 | ) | — | (0.12 | ) | |||||||||||||||||||||||||
(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 distributions, a complete redemption of the investment at the net asset value at the end of the period and no sales or redemption charges. Total returns would be reduced if sales or redemption charges were taken into account. Returns do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares. Total returns for periods less than one full year are not annualized. |
(c) | Annualized. |
(d) | Amounts include income recognized from special dividends which equal $0.05 per share and 0.43% of average net assets. |
(e) | Amounts include income recognized from special dividends which equal $0.10 per share and 0.93% of average net assets. |
(f) | Total return reflects the impact of payments received for special dividends recorded this year. Excluding such payments, the total return would have been 13.52%, 12.74% and 13.98%, respectively. |
GOLDMAN SACHS U.S. EQUITY DIVIDEND AND PREMIUM FUND
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 | |||||||||||||||||||||||||||
$ | 6.95 | 2.12 | % | $ | 123,619 | 1.24 | %(c) | 1.62 | %(c) | 1.32 | %(c) | 1.54 | %(c) | 50 | % | |||||||||||||||||||
6.96 | 1.72 | 7,873 | 1.99 | (c) | 0.87 | (c) | 2.07 | (c) | 0.79 | (c) | 50 | |||||||||||||||||||||||
6.94 | 2.33 | 97,413 | 0.84 | (c) | 2.02 | (c) | 0.92 | (c) | 1.94 | (c) | 50 | |||||||||||||||||||||||
6.86 | (31.86 | ) | 115,172 | 1.24 | 2.12 | 1.29 | 2.07 | 61 | ||||||||||||||||||||||||||
6.87 | (32.36 | ) | 8,577 | 1.99 | 1.37 | 2.04 | 1.32 | 61 | ||||||||||||||||||||||||||
6.85 | (31.65 | ) | 75,190 | 0.84 | 2.62 | 0.89 | 2.57 | 61 | ||||||||||||||||||||||||||
10.34 | 2.99 | 240,787 | 1.24 | 2.57 | (d) | 1.26 | 2.55 | (d) | 53 | |||||||||||||||||||||||||
10.35 | 2.19 | 16,209 | 1.99 | 1.78 | (d) | 2.01 | 1.76 | (d) | 53 | |||||||||||||||||||||||||
10.34 | 3.39 | 82,388 | 0.84 | 2.90 | (d) | 0.86 | 2.88 | (d) | 53 | |||||||||||||||||||||||||
10.97 | 14.53 | (f) | 181,756 | 1.24 | 3.25 | (e) | 1.53 | 2.96 | (e) | 63 | ||||||||||||||||||||||||
10.99 | 13.64 | (f) | 8,201 | 1.99 | 2.48 | (e) | 2.28 | 2.19 | (e) | 63 | ||||||||||||||||||||||||
10.97 | 14.99 | (f) | 49,601 | 0.84 | 3.80 | (e) | 1.13 | 3.51 | (e) | 63 | ||||||||||||||||||||||||
10.09 | 2.02 | 38,977 | 1.24 | (c) | 3.98 | (c) | 2.61 | (c) | 2.61 | (c) | 21 | |||||||||||||||||||||||
10.09 | 1.82 | 1,031 | 1.99 | (c) | 3.65 | (c) | 3.20 | (c) | 2.43 | (c) | 21 | |||||||||||||||||||||||
10.10 | 2.19 | 3,781 | 0.82 | (c) | 3.76 | (c) | 3.25 | (c) | 1.33 | (c) | 21 | |||||||||||||||||||||||
GOLDMAN SACHS INTERNATIONAL EQUITY DIVIDEND AND PREMIUM FUND
Financial Highlights
Selected Data for a Share Outstanding Throughout Each Period
Income (loss) from | Distributions to | |||||||||||||||||||||||||||||||
Net asset | investment operations | shareholders | ||||||||||||||||||||||||||||||
value, | Net | Net realized | Total from | From net | ||||||||||||||||||||||||||||
beginning | investment | and unrealized | investment | investment | From | Total | ||||||||||||||||||||||||||
Year - Share Class | of period | income(a) | gain (loss) | operations | income | capital | distributions | |||||||||||||||||||||||||
FOR THE SIX MONTHS ENDED JUNE 30, (UNAUDITED) | ||||||||||||||||||||||||||||||||
2009 - A | $ | 6.36 | $ | 0.10 | $ | 0.24 | $ | 0.34 | $ | (0.09 | ) | $ | — | $ | (0.09 | ) | ||||||||||||||||
2009 - C | 6.28 | 0.09 | 0.22 | 0.31 | (0.08 | ) | — | (0.08 | ) | |||||||||||||||||||||||
2009 - Institutional | 6.30 | 0.12 | 0.22 | 0.34 | (0.11 | ) | — | (0.11 | ) | |||||||||||||||||||||||
FOR THE PERIOD ENDED DECEMBER 31, | ||||||||||||||||||||||||||||||||
2008 - A (commenced January 31, 2008) | 10.00 | 0.18 | (3.55 | ) | (3.37 | ) | (0.21 | ) | (0.06 | ) | (0.27 | ) | ||||||||||||||||||||
2008 - C (commenced January 31, 2008) | 10.00 | 0.15 | (3.66 | ) | (3.51 | ) | (0.15 | ) | (0.06 | ) | (0.21 | ) | ||||||||||||||||||||
2008 - Institutional (commenced January 31, 2008) | 10.00 | 0.31 | (3.73 | ) | (3.42 | ) | (0.22 | ) | (0.06 | ) | (0.28 | ) | ||||||||||||||||||||
(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 distributions, a complete redemption of the investment at the net asset value at the end of the period and no sales or redemption charges. Total returns would be reduced if sales or redemption charges were taken into account. Returns do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares. Total returns for periods less than one full year are not annualized. |
(c) | Annualized. |
GOLDMAN SACHS INTERNATIONAL EQUITY DIVIDEND AND PREMIUM FUND
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 (loss) | Portfolio | ||||||||||||||||||||||||||||
value, end | Total | period | to average | to average | to average | to average | turnover | |||||||||||||||||||||||||||
of period | return(b) | (in 000s) | net assets(c) | net assets(c) | net assets(c) | net assets(c) | rate | |||||||||||||||||||||||||||
$ | 6.61 | 5.70 | % | $ | 18,171 | 1.30 | % | 3.34 | % | 3.07 | % | 1.57 | % | 70 | % | |||||||||||||||||||
6.51 | 5.24 | 223 | 2.05 | 2.76 | 3.82 | 0.99 | 70 | |||||||||||||||||||||||||||
6.53 | 5.49 | 21,433 | 0.90 | 3.98 | 2.67 | 2.21 | 70 | |||||||||||||||||||||||||||
6.36 | (34.60 | ) | 9,673 | 1.30 | 2.71 | 3.50 | 0.51 | 130 | ||||||||||||||||||||||||||
6.28 | (35.82 | ) | 23 | 2.05 | 2.20 | 4.25 | (0.01 | ) | 130 | |||||||||||||||||||||||||
6.30 | (34.98 | ) | 12,275 | 0.90 | 4.05 | 3.10 | 1.85 | 130 | ||||||||||||||||||||||||||
GOLDMAN SACHS STRUCTURED TAX-MANAGED EQUITY FUND
Financial Highlights
Selected Data for a Share Outstanding Throughout Each Period
Income (loss) from | Distributions to | |||||||||||||||||||||||||||||||
Net asset | investment operations | shareholders | ||||||||||||||||||||||||||||||
value, | Net | Net realized | Total from | From net | ||||||||||||||||||||||||||||
beginning | investment | and unrealized | investment | investment | From | Total | ||||||||||||||||||||||||||
Year - Share Class | of period | income (loss)(a) | gain (loss) | operations | income | capital | distributions | |||||||||||||||||||||||||
FOR THE SIX MONTHS ENDED JUNE 30, (UNAUDITED) | ||||||||||||||||||||||||||||||||
2009 - A | $ | 7.20 | $ | 0.04 | $ | (0.13 | ) | $ | (0.09 | ) | $ | — | $ | — | $ | — | ||||||||||||||||
2009 - B | 6.97 | 0.02 | (0.13 | ) | (0.11 | ) | — | — | — | |||||||||||||||||||||||
2009 - C | 6.94 | 0.02 | (0.12 | ) | (0.10 | ) | — | — | — | |||||||||||||||||||||||
2009 - Institutional | 7.31 | 0.06 | (0.13 | ) | (0.07 | ) | — | — | — | |||||||||||||||||||||||
2009 - Service | 7.26 | 0.04 | (0.13 | ) | (0.09 | ) | — | — | — | |||||||||||||||||||||||
FOR THE FISCAL YEARS ENDED DECEMBER 31, | ||||||||||||||||||||||||||||||||
2008 - A | 11.50 | 0.08 | (4.31 | ) | (4.23 | ) | (0.07 | ) | — | (0.07 | ) | |||||||||||||||||||||
2008 - B | 11.10 | — | (d) | (4.13 | ) | (4.13 | ) | — | — | — | ||||||||||||||||||||||
2008 - C | 11.06 | 0.01 | (4.13 | ) | (4.12 | ) | — | — | — | |||||||||||||||||||||||
2008 - Institutional | 11.69 | 0.12 | (4.38 | ) | (4.26 | ) | (0.12 | ) | — | (0.12 | ) | |||||||||||||||||||||
2008 - Service | 11.49 | 0.06 | (4.29 | ) | (4.23 | ) | — | — | — | |||||||||||||||||||||||
2007 - A | 11.72 | 0.08 | (0.20 | ) | (0.12 | ) | (0.07 | ) | (0.03 | ) | (0.10 | ) | ||||||||||||||||||||
2007 - B | 11.30 | (0.01 | ) | (0.19 | ) | (0.20 | ) | — | — | — | ||||||||||||||||||||||
2007 - C | 11.27 | (0.01 | ) | (0.19 | ) | (0.20 | ) | (0.01 | ) | — | (d) | (0.01 | ) | |||||||||||||||||||
2007 - Institutional | 11.91 | 0.13 | (0.21 | ) | (0.08 | ) | (0.10 | ) | (0.04 | ) | (0.14 | ) | ||||||||||||||||||||
2007 - Service | 11.70 | 0.07 | (0.20 | ) | (0.13 | ) | (0.06 | ) | (0.02 | ) | (0.08 | ) | ||||||||||||||||||||
2006 - A | 10.39 | 0.08 | 1.32 | 1.40 | (0.07 | ) | — | (0.07 | ) | |||||||||||||||||||||||
2006 - B | 10.04 | — | (d) | 1.26 | 1.26 | — | — | — | ||||||||||||||||||||||||
2006 - C | 10.02 | — | (d) | 1.25 | 1.25 | — | — | — | ||||||||||||||||||||||||
2006 - Institutional | 10.56 | 0.14 | 1.31 | 1.45 | (0.10 | ) | — | (0.10 | ) | |||||||||||||||||||||||
2006 - Service | 10.37 | 0.07 | 1.30 | 1.37 | (0.04 | ) | — | (0.04 | ) | |||||||||||||||||||||||
2005 - A | 9.56 | 0.04 | 0.80 | 0.84 | (0.01 | ) | — | (0.01 | ) | |||||||||||||||||||||||
2005 - B | 9.30 | (0.03 | ) | 0.77 | 0.74 | — | — | — | ||||||||||||||||||||||||
2005 - C | 9.28 | (0.03 | ) | 0.77 | 0.74 | — | — | — | ||||||||||||||||||||||||
2005 - Institutional | 9.70 | 0.09 | 0.81 | 0.90 | (0.04 | ) | — | (0.04 | ) | |||||||||||||||||||||||
2005 - Service | 9.54 | 0.03 | 0.80 | 0.83 | — | — | — | |||||||||||||||||||||||||
2004 - A | 8.09 | 0.06 | 1.45 | 1.51 | (0.04 | ) | — | (0.04 | ) | |||||||||||||||||||||||
2004 - B | 7.90 | (0.01 | ) | 1.41 | 1.40 | — | — | — | ||||||||||||||||||||||||
2004 - C | 7.88 | (0.01 | ) | 1.41 | 1.40 | — | — | — | ||||||||||||||||||||||||
2004 - Institutional | 8.21 | 0.10 | 1.47 | 1.57 | (0.08 | ) | — | (0.08 | ) | |||||||||||||||||||||||
2004 - Service | 8.06 | 0.05 | 1.44 | 1.49 | (0.01 | ) | — | (0.01 | ) | |||||||||||||||||||||||
(a) | Calculated based on the average shares outstanding methodology. |
(b) | Assumes investment at the net asset value at the beginning of the period, reinvestment of all distributions, a complete redemption of the investment at the net asset value at the end of the period and no sales or redemption charges. Total returns would be reduced if sales or redemption charges were taken into account. Returns do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares. Total returns for periods less than one full year are not annualized. |
(c) | Annualized. |
(d) | Amount is less than $0.005 per share. |
GOLDMAN SACHS STRUCTURED TAX-MANAGED EQUITY FUND
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 | |||||||||||||||||||||||||||
$ | 7.11 | (1.25 | )% | $ | 92,625 | 1.09 | %(c) | 1.28 | %(c) | 1.31 | %(c) | 1.06 | %(c) | 157 | % | |||||||||||||||||||
6.86 | (1.58 | ) | 3,147 | 1.84 | (c) | 0.53 | (c) | 2.06 | (c) | 0.31 | (c) | 157 | ||||||||||||||||||||||
6.84 | (1.58 | ) | 11,424 | 1.84 | (c) | 0.53 | (c) | 2.06 | (c) | 0.31 | (c) | 157 | ||||||||||||||||||||||
7.24 | (0.96 | ) | 88,569 | 0.69 | (c) | 1.68 | (c) | 0.91 | (c) | 1.46 | (c) | 157 | ||||||||||||||||||||||
7.17 | (1.24 | ) | 35 | 1.19 | (c) | 1.18 | (c) | 1.41 | (c) | 0.96 | (c) | 157 | ||||||||||||||||||||||
7.20 | (36.66 | ) | 112,426 | 1.09 | 0.81 | 1.27 | 0.63 | 153 | ||||||||||||||||||||||||||
6.97 | (37.13 | ) | 5,169 | 1.84 | (0.02 | ) | 2.02 | (0.20 | ) | 153 | ||||||||||||||||||||||||
6.94 | (37.08 | ) | 13,977 | 1.84 | 0.06 | 2.02 | (0.12 | ) | 153 | |||||||||||||||||||||||||
7.31 | (36.34 | ) | 67,367 | 0.69 | 1.27 | 0.87 | 1.09 | 153 | ||||||||||||||||||||||||||
7.26 | (36.74 | ) | 55 | 1.19 | 0.57 | 1.37 | 0.39 | 153 | ||||||||||||||||||||||||||
11.50 | (0.92 | ) | 241,192 | 1.10 | 0.65 | 1.24 | 0.51 | 73 | ||||||||||||||||||||||||||
11.10 | (1.77 | ) | 20,010 | 1.85 | (0.11 | ) | 1.99 | (0.25 | ) | 73 | ||||||||||||||||||||||||
11.06 | (1.75 | ) | 30,008 | 1.85 | (0.10 | ) | 1.99 | (0.24 | ) | 73 | ||||||||||||||||||||||||
11.69 | (0.65 | ) | 63,913 | 0.70 | 1.05 | 0.84 | 0.91 | 73 | ||||||||||||||||||||||||||
11.49 | (1.10 | ) | 400 | 1.20 | 0.55 | 1.34 | 0.41 | 73 | ||||||||||||||||||||||||||
11.72 | 13.34 | 138,732 | 1.09 | 0.77 | 1.32 | 0.54 | 90 | |||||||||||||||||||||||||||
11.30 | 12.55 | 24,820 | 1.84 | (0.01 | ) | 2.07 | (0.24 | ) | 90 | |||||||||||||||||||||||||
11.27 | 12.48 | 29,340 | 1.84 | 0.01 | 2.07 | (0.22 | ) | 90 | ||||||||||||||||||||||||||
11.91 | 13.76 | 61,338 | 0.69 | 1.21 | 0.92 | 0.98 | 90 | |||||||||||||||||||||||||||
11.70 | 13.21 | 354 | 1.19 | 0.63 | 1.42 | 0.40 | 90 | |||||||||||||||||||||||||||
10.39 | 8.77 | 76,268 | 1.19 | 0.45 | 1.55 | 0.10 | 92 | |||||||||||||||||||||||||||
10.04 | 7.96 | 25,218 | 1.94 | (0.33 | ) | 2.29 | (0.68 | ) | 92 | |||||||||||||||||||||||||
10.02 | 7.97 | 22,687 | 1.94 | (0.33 | ) | 2.29 | (0.68 | ) | 92 | |||||||||||||||||||||||||
10.56 | 9.25 | 17,843 | 0.79 | 0.89 | 1.15 | 0.52 | 92 | |||||||||||||||||||||||||||
10.37 | 8.70 | 411 | 1.29 | 0.32 | 1.64 | (0.03 | ) | 92 | ||||||||||||||||||||||||||
9.56 | 18.69 | 40,125 | 1.21 | 0.64 | 1.57 | 0.28 | 102 | |||||||||||||||||||||||||||
9.30 | 17.72 | 27,405 | 1.96 | (0.12 | ) | 2.32 | (0.48 | ) | 102 | |||||||||||||||||||||||||
9.28 | 17.77 | 22,431 | 1.96 | (0.12 | ) | 2.32 | (0.48 | ) | 102 | |||||||||||||||||||||||||
9.70 | 19.10 | 4,177 | 0.81 | 1.16 | 1.17 | 0.80 | 102 | |||||||||||||||||||||||||||
9.54 | 18.54 | 553 | 1.31 | 0.50 | 1.67 | 0.14 | 102 | |||||||||||||||||||||||||||
GOLDMAN SACHS STRUCTURED INTERNATIONAL TAX-MANAGED EQUITY FUND
Financial Highlights
Selected Data for a Share Outstanding Throughout Each Period
Income (loss) from | Distributions to | |||||||||||||||||||||||
Net asset | investment operations | shareholders | ||||||||||||||||||||||
value, | Net | Net realized | Total from | from net | ||||||||||||||||||||
beginning | investment | and unrealized | investment | investment | ||||||||||||||||||||
Year - Share Class | of period | income | gain (loss) | operations | income | |||||||||||||||||||
FOR THE SIX MONTHS ENDED JUNE 30, (UNAUDITED) | ||||||||||||||||||||||||
2009 - A | $ | 6.07 | $ | 0.10 | (b) | $ | 0.01 | $ | 0.11 | $ | — | |||||||||||||
2009 - C | 6.06 | 0.08 | (b) | 0.02 | 0.10 | — | ||||||||||||||||||
2009 - Institutional | 6.06 | 0.12 | (b) | 0.01 | 0.13 | — | ||||||||||||||||||
FOR THE PERIOD ENDED DECEMBER 31, | ||||||||||||||||||||||||
2008 - A (commenced January 31, 2008) | 10.00 | 0.17 | (3.93 | ) | (3.76 | ) | (0.17 | ) | ||||||||||||||||
2008 - C (commenced January 31, 2008) | 10.00 | 0.13 | (3.94 | ) | (3.81 | ) | (0.13 | ) | ||||||||||||||||
2008 - Institutional (commenced January 31, 2008) | 10.00 | 0.19 | (3.94 | ) | (3.75 | ) | (0.19 | ) | ||||||||||||||||
(a) | Assumes investment at the net asset value at the beginning of the period, reinvestment of all distributions, a complete redemption of the investment at the net asset value at the end of the period and no sales or redemption charges. Total returns would be reduced if sales or redemption charges were taken into account. Returns do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares. Total returns for periods less than one full year are not annualized. |
(b) | Calculated based on the average shares outstanding methodology. |
(c) | Annualized. |
GOLDMAN SACHS STRUCTURED INTERNATIONAL TAX-MANAGED EQUITY FUND
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(a) | (in 000s) | net assets(c) | net assets(c) | net assets(c) | net assets(c) | rate | |||||||||||||||||||||||||||
$ | 6.18 | 1.81 | % | $ | 57,740 | 1.26 | % | 3.63 | % | 1.84 | % | 3.05 | % | 80 | % | |||||||||||||||||||
6.16 | 1.65 | 7 | 2.01 | 2.98 | 2.59 | 2.40 | 80 | |||||||||||||||||||||||||||
6.19 | 2.15 | 31,312 | 0.86 | 4.47 | 1.44 | 3.89 | 80 | |||||||||||||||||||||||||||
6.07 | (37.56 | ) | 71,917 | 1.26 | 2.53 | 1.80 | 1.99 | 243 | ||||||||||||||||||||||||||
6.06 | (38.02 | ) | 8 | 2.01 | 1.83 | 2.55 | 1.29 | 243 | ||||||||||||||||||||||||||
6.06 | (37.40 | ) | 17,652 | 0.86 | 2.05 | 1.40 | 1.51 | 243 | ||||||||||||||||||||||||||
GOLDMAN SACHS STRUCTURED TAX-ADVANTAGED EQUITY FUNDS
Background
The Goldman Sachs U.S. Equity Dividend and Premium Fund, Goldman Sachs International Equity Dividend and Premium Fund, Goldman Sachs Structured Tax-Managed Equity Fund and Goldman Sachs Structured International Tax-Managed Equity Fund (the “Funds”) are investment portfolios of Goldman Sachs Trust (the “Trust”). The Board of Trustees oversees the management of the Trust and reviews the investment performance and expenses of the Funds at regularly scheduled meetings held during the year. In addition, the Board of Trustees determines annually whether to approve and continue the Trust’s investment management agreement (the “Management Agreement”) with Goldman Sachs Asset Management, L.P. (the “Investment Adviser”) on behalf of the Funds.
The Management Agreement was most recently approved for continuation until June 30, 2010 by the Board of Trustees, including those Trustees who are not parties to the Management Agreement or “interested persons” (as defined in the Investment Company Act of 1940, as amended) of any party thereto (the “Independent Trustees”), at a meeting held on June 17, 2009 (the “Annual Contract Meeting”).
To assist the Trustees in their deliberations at the Annual Contract Meeting, and in addition to reports on the Funds’ investment performance, expenses and other matters discussed at regularly scheduled Board meetings during the year, the Trustees have established a Contract Review Committee (the “Committee”), comprised of the Independent Trustees. The Committee held meetings on December 17, 2008, February 11, 2009 and May 20, 2009. At those Committee meetings, the Independent Trustees considered matters relating to the Management Agreement including: (a) the nature and quality of the advisory, administrative and other services provided to the Funds by the Investment Adviser and its affiliates; (b) the Funds’ investment performance; (c) the Funds’ management fee arrangements; (d) the voluntary undertakings of the Investment Adviser to reimburse certain fees and expenses of the Funds that exceed specified levels and the estimated annualized savings realized by the Funds from those undertakings; (e) potential economies of scale and the levels of breakpoints in the fees payable by the Funds under the Management Agreement; (f) the relative expense levels of the Funds as compared to those of comparable funds managed by the Investment Adviser, as well as those managed by other advisers; (g) information relating to the profitability of the Management Agreements and the transfer agency arrangements of each of the Funds and the Trust as a whole to the Investment Adviser and its affiliates; (h) the statutory and regulatory requirements applicable to the approval and continuation of mutual fund investment management agreements; (i) a summary of fee concessions made by the Investment Adviser and its affiliates over the past several years with respect to the Funds; (j) capacity issues relating to the securities in which the Funds invest; (k) to the extent the Investment Adviser manages institutional accounts or collective investment vehicles having investment objectives and policies similar to those of the Funds, comparative information on the advisory fees charged and services provided to those accounts by the Investment Adviser; (l) information on the processes followed by a third party mutual fund data provider engaged as part of the Trustees’ contract review (the “Outside Data Provider”) in producing investment performance and expense comparisons for the Funds; (m) the current pricing of services provided by, and the profitability of, the Funds’ transfer agent, Goldman, Sachs & Co. (“Goldman Sachs”); and (n) the nature and quality of the services provided to the Funds by their unaffiliated service providers and reports on due diligence conducted by the Investment Adviser with respect to those service providers.
At the Annual Contract Meeting, the Trustees reviewed the matters that were considered at the Committee meetings and also considered additional matters, including: (a) the quality of the Investment Adviser’s services; (b) the structure, staff and capabilities of the Investment Adviser and its portfolio management teams; (c) the groups or teams within the Investment Adviser that support the portfolio management teams, including legal, compliance, internal audit, the credit department, fund controllers, tax, product services, valuation oversight, market risk analysis, finance and strategy, operations, shareholder services, risk management and advisory, training and technology; (d) whether certain reductions in headcount were likely to affect the quality of the services provided to the Funds; (e) the Investment Adviser’s business continuity and disaster recovery planning; (f) the Investment Adviser’s financial resources and its ability to hire and retain talented
GOLDMAN SACHS STRUCTURED TAX-ADVANTAGED EQUITY FUNDS
Statement Regarding Basis for Approval of Management Agreement (Unaudited) (continued)
personnel; (g) the fees received by the Investment Adviser’s affiliates from the Funds for transfer agency, securities lending, portfolio brokerage, distribution and other services; (h) the terms of the Management Agreement and agreements with other service providers entered into by the Trust on behalf of the Funds; (i) the administrative services provided under the Management Agreement, including the nature and extent of the Investment Adviser’s oversight of the Funds’ other service providers, including the custodian and fund accounting agent; (j) an update on the Investment Adviser’s soft dollars practices and other portfolio trading related issues; (k) the Investment Adviser’s processes and policies addressing various types of potential conflicts of interest; (l) the Investment Adviser’s approach to risk management; (m) an overview of the Funds’ distribution plan; and (n) an annual review of the effectiveness of the Funds’ compliance program. At the Annual Contract Meeting, the Trustees also considered further the Investment Adviser’s profitability with respect to each Fund, and each Fund’s investment performance, fees and expenses, including each Fund’s expense trends over time and any breakpoints in the fee rates payable by each Fund under the Management Agreement.
In connection with the Committee meetings and the Annual Contract Meeting, the Trustees attended sessions at which they reviewed information regarding the Funds’ assets, share purchase and redemption activity, the commission rates paid by the Funds on brokerage transactions, the Investment Adviser’s receipt of research services in connection with certain of those transactions, and the payment of Rule 12b-1 distribution and service fees by the Funds and the payment of non-Rule 12b-1 shareholder service and/or administration fees by the Structured Tax-Managed Equity Fund. Also, in conjunction with these meetings, the Trustees received written materials and oral presentations on the topics covered, and were advised by their independent legal counsel regarding their responsibilities under applicable law.
Information was also provided to the Trustees relating to revenue sharing payments made by and services provided by the Investment Adviser and its affiliates to intermediaries that promote the sale, distribution and/or servicing of Fund shares; portfolio manager ownership of Fund shares; the manner in which portfolio manager compensation is determined, the alignment of the interests of the Funds and of the portfolio managers and related potential conflicts of interest; the number and types of accounts managed by the portfolio managers; and other matters. During the course of their deliberations, the Independent Trustees met in executive session with their independent legal counsel, without representatives of the Investment Adviser or its affiliates present.
The presentations made at the Committee meetings and at the Annual Contract Meeting encompassed the Funds and other mutual fund portfolios for which the Board of Trustees has responsibility. While the management agreements for all of the Funds and the other mutual fund portfolios for which the Trustees have responsibility were considered at the same Annual Contract Meeting, the Trustees separately considered the Management Agreement as it applied to each Fund.
In evaluating the Management Agreement at the Annual Contract Meeting, the Trustees relied upon their knowledge, resulting from their meetings and other interactions throughout the year, of the Investment Adviser, its affiliates, their services and the Funds. At those meetings the Trustees regularly received materials relating to the Investment Adviser’s investment management and other services provided under the Management Agreement, including: (a) information on the investment performance of the Funds in comparison to the performance of similar mutual funds and benchmark performance indices; (b) general investment outlooks in the markets in which the Funds invest; (c) compliance reports; and (d) expenses borne by the Funds. In addition, the Trustees were provided with copies of disclosure materials regarding the Funds and their expenses, as well as information on the Funds’ competitive universe. The Trustees also discussed the broad range of other investment choices that are available to Fund investors, including the availability of comparable funds managed by other advisers.
Nature, Extent and Quality of the Services Provided Under the Management Agreement
As part of their review, the Trustees considered the nature, extent and quality of the services provided by the Investment Adviser. In this regard, the Trustees considered both the investment advisory services, and the other, non-advisory services,
GOLDMAN SACHS STRUCTURED TAX-ADVANTAGED EQUITY FUNDS
Statement Regarding Basis for Approval of Management Agreement (Unaudited) (continued)
that are provided to the Funds by the Investment Adviser and its affiliates. The Trustees concluded that, during the recent financial crisis, the Investment Adviser had demonstrated a willingness and an ability to commit substantial financial and other resources to the operations of the Funds and had represented that it will continue to commit those resources in multiple areas including portfolio management, trading, technology, human resources, tax, treasury, legal, compliance, valuation oversight, vendor oversight and risk management. The Independent Trustees also observed that the Investment Adviser had made significant commitments to address regulatory compliance requirements applicable to the Funds and the Investment Adviser, including the implementation and enhancement of compliance systems and education and training initiatives.
Investment Performance
The Independent Trustees also considered the investment performance of the Funds and the Investment Adviser. In this regard, they compared the investment performance of each Fund (with the exceptions of the Structured International Tax-Managed Equity and International Equity Dividend and Premium Funds, which commenced operations in 2008) to the performance of other similar SEC-registered funds and to rankings and ratings compiled by the Outside Data Provider. The Independent Trustees also reviewed (with the exceptions of the Structured International Tax-Managed Equity and International Equity Dividend and Premium Funds, which commenced operations in 2008) each Fund’s investment performance over time on a year-by-year basis relative to its performance benchmark. This information on each Fund’s investment performance was provided for the one-, three-and five-year periods ended December 31, 2008, to the extent that each Fund had been in existence for those periods. In addition, they considered the investment performance trends of the Funds (with the exceptions of the Structured International Tax-Managed Equity and International Equity Dividend and Premium Funds, which commenced operations in 2008) over time, and reviewed the investment performance of each Fund in light of its investment objective and policies, market conditions, and illiquidity in certain market sectors, as well as in light of periodic analyses of its quality and risk profile. The Independent Trustees considered whether each Fund had operated within its investment policies, and had complied with its investment limitations. The Trustees noted that the Structured International Tax-Managed Equity and International Equity Dividend and Premium Funds commenced operations in 2008 and had provided a reasonable level of performance to investors in light of their investment policies and given prevailing conditions in the markets in which the Funds invest. The Trustees concluded that the Investment Adviser’s continued management likely would benefit each Fund and its shareholders. The Trustees believed that each of the other Funds had provided investment performance within a competitive range for long-term investors, and that the Investment Adviser’s continued management would benefit each Fund and its shareholders.
Costs of Services Provided and Competitive Information
The Independent Trustees considered the contractual fee rates payable by each Fund under the Management Agreement. In this regard, the Trustees considered information on the services rendered by the Investment Adviser to the Funds, which included both advisory and administrative services that were directed to the needs and operations of the Funds as registered mutual funds.
In particular, the Trustees reviewed analyses prepared by the Outside Data Provider regarding the expense rankings of the Funds. The analyses provided a comparison of the Funds’ management fees and breakpoints to those of relevant peer groups and category universes; an expense analysis which compared each Fund’s expenses to a peer group and a category universe; and a five-year history (or, in the case of Funds that commenced investment operations within a shorter period, since the year in which it commenced operations), comparing each Fund’s expenses to the peer and category averages. The analyses also compared each Fund’s transfer agency fees, custody and accounting fees, distribution fees, other expenses and fee waivers/reimbursements to those of other funds in the peer groups and peer group medians. The Independent Trustees
GOLDMAN SACHS STRUCTURED TAX-ADVANTAGED EQUITY FUNDS
Statement Regarding Basis for Approval of Management Agreement (Unaudited) (continued)
believed that the comparisons provided by the Outside Data Provider were useful in evaluating the reasonableness of the management fees and total expenses paid by the Funds.
In addition, the Independent Trustees considered the Investment Adviser’s voluntary undertakings to limit the Funds’ “other expenses” ratios (excluding certain expenses) to certain specified levels and to waive a portion of the Structured International Tax-Managed Equity and Structured Tax-Managed Equity Funds’ management fees. They also considered, to the extent that the Investment Adviser manages institutional accounts or collective investment vehicles having investment objectives and policies similar to those of the Funds, comparative fee information for services provided by the Investment Adviser to those accounts, and information that indicated that services provided to the Funds differed in various significant respects from the services provided to institutional accounts, which operated under less stringent legal and regulatory structures, were in some instances subject to different investment guidelines, required fewer services from the Investment Adviser to a smaller number of client contact points, were less time-intensive and paid lower fees.
The Independent Trustees noted the competitive nature of the mutual fund marketplace, and that many of the Funds’ shareholders invested in the Funds in part because of the Funds’ relationship with the Investment Adviser and have a general expectation that the relationship will continue. They also noted that shareholders are able to redeem their Fund shares if they believe that the Fund fees and expenses are too high or if they are dissatisfied with the performance of the Fund.
Profitability
The Independent Trustees reviewed the Investment Adviser’s revenues and pre-tax profit margins with respect to the Trust and each of the Funds. In this regard the Independent Trustees reviewed, among other things, profitability analyses and summaries, revenue and expense schedules by Fund and by function (i.e., investment management, transfer agency and distribution and service) and the Investment Adviser’s expense allocation methodology. The Trustees also reviewed the report of the internal audit group within the Goldman Sachs organization, which included an assessment of the reasonableness and consistency of the Investment Adviser’s expense allocation methodology and an evaluation of the accuracy of the Investment Adviser’s profitability analysis calculations. Profitability data for the Trust and each Fund were provided for 2008 and 2007 (2008 only for the Structured International Tax-Managed Equity and International Equity Dividend and Premium Funds), and the Independent Trustees considered this information in relation to the Investment Adviser’s overall profitability. The Independent Trustees considered the Investment Adviser’s revenues and pre-tax profit margins both in absolute terms and in comparison to information on the reported pre-tax profit margins earned by certain other asset management firms.
Economies of Scale
The Independent Trustees also considered the breakpoints in the fee rate payable under the Management Agreement for each of the Funds at the following annual percentage rates of the average daily net assets of the Funds:
Structured | ||||||||||||||||
U.S. Equity | International | Structured | International | |||||||||||||
Dividend and | Equity Dividend and | Tax-Managed | Tax-Managed | |||||||||||||
Premium Fund | Premium Fund | Equity Fund | Equity Fund | |||||||||||||
First $1 billion | 0.75 | % | 0.81 | % | 0.70 | % | 0.85 | % | ||||||||
Next $1 billion | 0.68 | 0.73 | 0.63 | 0.77 | ||||||||||||
Next $3 billion | 0.65 | 0.69 | 0.60 | 0.73 | ||||||||||||
Next $3 billion | 0.64 | 0.68 | 0.59 | 0.72 | ||||||||||||
Over $8 billion | 0.63 | 0.67 | 0.58 | 0.71 |
GOLDMAN SACHS STRUCTURED TAX-ADVANTAGED EQUITY FUNDS
Statement Regarding Basis for Approval of Management Agreement (Unaudited) (continued)
The Trustees noted that the breakpoints at the $5 and $8 billion asset levels had been proposed by the Investment Adviser and approved by the Trustees in 2008 to further share potential economies of scale, if any, with the Funds and their shareholders as assets under management reach those asset levels. In approving these fee breakpoints, the Independent Trustees considered the Investment Adviser’s potential economies of scale in managing each Fund, and whether the Funds and their shareholders would participate in the benefits of those economies. In this regard, the Independent Trustees considered the amounts of assets in the Funds; the Funds’ recent share purchase and redemption activity; the information provided by the Investment Adviser relating to the costs of the services provided by the Investment Adviser and its affiliates and their realized profits; information comparing fee rates charged by the Investment Adviser with fee rates charged to other funds in the peer group; and the Investment Adviser’s voluntary undertakings to limit management fees and “other expenses” to certain amounts. Upon reviewing these matters at the Annual Contract Meeting, the Independent Trustees concluded that the fee breakpoints represented a means of ensuring that benefits of scalability would be passed along to shareholders at the specified asset levels.
Other Benefits to the Investment Adviser and Its Affiliates
The Independent Trustees also considered the other benefits derived by the Investment Adviser and its affiliates from their relationship with the Funds as stated above, including: (a) transfer agency fees received by Goldman Sachs; (b) brokerage and futures commissions earned by Goldman Sachs for executing securities and futures transactions on behalf of the Funds; (c) soft dollar benefits received by the Investment Adviser from broker-dealers in exchange for executing certain transactions on behalf of the Funds; (d) trading efficiencies resulting from aggregation of orders of the Funds with those for other funds or accounts managed by the Investment Adviser; (e) fees earned by Goldman Sachs Agency Lending, an affiliate of the Investment Adviser, as securities lending agent (and fees earned by the Investment Adviser for managing the portfolio in which the Funds’ cash collateral is invested); (f) the Investment Adviser’s ability to leverage the infrastructure designed to service the Funds on behalf of its other clients; (g) the Investment Adviser’s ability to cross-market other products and services to Fund shareholders; (h) Goldman Sachs’ retention of certain fees as Fund Distributor; (i) the Investment Adviser’s ability to negotiate better pricing with custodians on behalf of its other clients, as a result of the relationship with the Funds; and (j) the Investment Adviser’s ability to leverage relationships with the Funds’ third party service providers to attract more firmwide business.
Other Benefits to the Funds and Their Shareholders
The Independent Trustees also noted that the Funds receive certain potential benefits as a result of their relationship with the Investment Adviser, including: (a) trading efficiencies resulting from aggregation of orders of the Funds with those of other funds or accounts managed by the Investment Adviser; (b) improved servicing and pricing from vendors because of the volume of business generated by the Investment Adviser and its affiliates; (c) improved servicing from broker-dealers because of the volume of business generated by the Investment Adviser and its affiliates; (d) the Investment Adviser’s ability to negotiate favorably with derivatives counterparties as a result of the size and reputation of the Goldman Sachs organization; (e) the advantages received from the Investment Adviser’s knowledge and experience gained from managing other accounts and products; (f) the Investment Adviser’s ability to hire and retain qualified personnel to provide services to the Funds because of the reputation of the Goldman Sachs organization; (g) the Funds’ access, through the Investment Adviser, to certain firmwide resources (e.g., proprietary databases); and (h) the Funds’ access to certain affiliated distribution channels.
GOLDMAN SACHS STRUCTURED TAX-ADVANTAGED EQUITY FUNDS
Statement Regarding Basis for Approval of Management Agreement (Unaudited) (continued)
Conclusion
In connection with their consideration of the Management Agreement, the Independent Trustees gave weight to each of the factors described above, but did not identify any particular factor as controlling their decision. After deliberation and consideration of all of the information provided, including the factors described above, the Independent Trustees concluded, in the exercise of their business judgment, that the management fees paid by each of the Funds were reasonable in light of the services provided to it by the Investment Adviser, the Investment Adviser’s costs and each Fund’s current and reasonably foreseeable asset levels, and that the Management Agreement should be approved and continued with respect to each Fund until June 30, 2010.
GOLDMAN SACHS STRUCTURED TAX-ADVANTAGED EQUITY FUNDS
Fund Expenses — Six Month Period Ended June 30, 2009 (Unaudited)
As a shareholder of Class A, Class B, Class C, Institutional or Service Shares of a Fund you incur two types of costs: (1) transaction costs, including sales charges (loads) on purchase payments (with respect to Class A Shares), contingent deferred sales charges (loads) on redemptions (with respect to Class B and Class C Shares), and redemption fees (with respect to Class A, Class B, Class C, Institutional and Service Shares, if any); and (2) ongoing costs, including management fees; distribution and service (12b-1) fees (with respect to Class A, Class B and Class C Shares); and other Fund expenses. This example is intended to help you understand your ongoing costs (in dollars) of investing in Class A, Class B, Class C, Institutional and Service Shares of the Funds and to compare these costs with the ongoing costs of investing in other mutual funds.
The example is based on an investment of $1,000 invested at the beginning of the period and held for the entire period from January 1, 2009 through June 30, 2009.
Actual Expenses — The first line under each share class in the table below provides information about actual account values and actual expenses. You may use the information in this line, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number in the first line under the heading entitled “Expenses Paid” to estimate the expenses you paid on your account during this period.
Hypothetical Example for Comparison Purposes — The second line under each share class in the table below provides information about hypothetical account values and hypothetical expenses based on the Funds’ actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Funds’ actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Funds and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds.
Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transactional costs, such as sales charges (loads), redemption fees, or exchange fees. Therefore, the second line of the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transactional costs were included, your costs would have been higher.
U.S. Equity Dividend and Premium Fund | International Equity Dividend and Premium Fund | Structured Tax-Managed Equity Fund | Structured International Tax-Managed Equity 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 | 1/01/09 | 6/30/09 | 6/30/09* | 1/01/09 | 6/30/09 | 6/30/09* | 1/01/09 | 6/30/09 | 6/30/09* | 1/01/09 | 6/30/09 | 6/30/09* | ||||||||||||||||||||||||||||||||||||||||||||||||
Class A | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Actual | $ | 1,000 | $ | 1,021.20 | $ | 6.21 | $ | 1,000 | $ | 1,057.00 | $ | 6.63 | $ | 1,000 | $ | 987.50 | $ | 5.37 | $ | 1,000 | $ | 1,018.10 | $ | 6.30 | ||||||||||||||||||||||||||||||||||||
Hypothetical 5% return | 1,000 | 1,018.65 | + | 6.21 | 1,000 | 1,018.35 | + | 6.51 | 1,000 | 1,019.39 | + | 5.46 | 1,000 | 1,018.55 | + | 6.31 | ||||||||||||||||||||||||||||||||||||||||||||
Class B | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Actual | N/A | N/A | N/A | N/A | N/A | N/A | 1,000 | 984.20 | 9.10 | N/A | N/A | N/A | ||||||||||||||||||||||||||||||||||||||||||||||||
Hypothetical 5% return | N/A | N/A | N/A | N/A | N/A | N/A | 1,000 | 1,015.62 | + | 9.25 | N/A | N/A | N/A | |||||||||||||||||||||||||||||||||||||||||||||||
Class C | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Actual | 1,000 | 1,017.20 | 9.95 | 1,000 | 1,052.40 | 10.33 | 1,000 | 984.20 | 9.05 | 1,000 | 1,016.50 | 10.00 | ||||||||||||||||||||||||||||||||||||||||||||||||
Hypothetical 5% return | 1,000 | 1,014.92 | + | 9.94 | 1,000 | 1,014.73 | + | 10.14 | 1,000 | 1,015.67 | + | 9.20 | 1,000 | 1,014.88 | + | 9.99 | ||||||||||||||||||||||||||||||||||||||||||||
Institutional | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Actual | 1,000 | 1,023.30 | 4.21 | 1,000 | 1,054.90 | 4.59 | 1,000 | 990.40 | 3.41 | 1,000 | 1,021.50 | 4.31 | ||||||||||||||||||||||||||||||||||||||||||||||||
Hypothetical 5% return | 1,000 | 1,020.63 | + | 4.21 | 1,000 | 1,020.33 | + | 4.51 | 1,000 | 1,021.37 | + | 3.46 | 1,000 | 1,020.53 | + | 4.31 | ||||||||||||||||||||||||||||||||||||||||||||
Service | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Actual | N/A | N/A | N/A | N/A | N/A | N/A | 1,000 | 987.60 | 5.91 | N/A | N/A | N/A | ||||||||||||||||||||||||||||||||||||||||||||||||
Hypothetical 5% return | N/A | N/A | N/A | N/A | N/A | N/A | 1,000 | 1,018.84 | + | 6.01 | N/A | N/A | N/A | |||||||||||||||||||||||||||||||||||||||||||||||
* | Expenses are calculated using each Fund’s annualized net expense ratio, which represents the ongoing expenses as a percentage of net assets for the six months ended June 30, 2009. Expenses are calculated by multiplying the annualized net expense ratio by the average account value for the period; then multiplying the result by the number of days in the most recent fiscal half year; and then dividing that result by the number of days in the fiscal year. The annualized net expense ratios for the period were as follows: |
Fund | Class A | Class B | Class C | Institutional | Service | |||||||||||||||
U.S. Equity Dividend and Premium | 1.24 | % | N/A | 1.99 | % | 0.84 | % | N/A | ||||||||||||
International Equity Dividend and Premium | 1.30 | N/A | 2.05 | 0.90 | N/A | |||||||||||||||
Structured Tax-Managed Equity | 1.09 | 1.84 | % | 1.84 | 0.69 | 1.19 | % | |||||||||||||
Structured International Tax-Managed Equity | 1.26 | N/A | 2.01 | 0.86 | N/A | |||||||||||||||
+ | 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. |
84
FUNDS PROFILE
Goldman Sachs Funds
Goldman Sachs is a premier financial services firm, known since 1869 for creating thoughtful and customized investment solutions in complex global markets.
Today, the Investment Management Division of Goldman Sachs serves a diverse set of clients worldwide, including private institutions, public entities and individuals. With portfolio management teams located around the world — and $761 billion in assets under management as of June 30, 2009 — our investment professionals bring firsthand knowledge of local markets to every investment decision, making us one of the few truly global asset managers.
GOLDMAN SACHS FUNDS
In building a globally diversified portfolio, you can select from more than 80 Goldman Sachs Funds and gain access to investment opportunities across borders, investment styles, asset classes and security capitalizations.
Money Market1 Fixed Income n Enhanced Income Fund n Ultra-Short Duration Government Fund n Short Duration Government Fund n Short Duration Tax-Free Fund n Municipal Income Fund n Government Income Fund n Inflation Protected Securities Fund n U.S. Mortgages Fund n Core Fixed Income Fund n Core Plus Fixed Income Fund n Investment Grade Credit Fund n Global Income Fund n High Yield Municipal Fund n High Yield Fund n Emerging Markets Debt Fund n Local Emerging Markets Debt Fund | Domestic Equity n Balanced Fund n Growth and Income Fund n Structured Large Cap Value Fund n Large Cap Value Fund n Structured U.S. Equity Fund n Structured Large Cap Growth Fund n Capital Growth Fund n Strategic Growth Fund n All Cap Growth Fund n Concentrated Growth Fund n Tollkeeper FundSM n Mid Cap Value Fund n Growth Opportunities Fund n Small/Mid Cap Growth Fund n Structured Small Cap Equity Fund n Structured Small Cap Value Fund n Structured Small Cap Growth Fund n Small Cap Value Fund Fund of Funds2 n Asset Allocation Portfolios n Income Strategies Portfolio n Satellite Strategies Portfolio n Enhanced Dividend Global Equity Portfolio n Tax-Advantaged Global Equity Portfolio | Retirement Strategies2 International Equity n Structured International Equity Fund n Structured International Equity Flex Fund n Strategic International Equity Fund n Concentrated International Equity Fund n Structured International Small Cap Fund n International Small Cap Fund n Asia Equity Fund n Structured Emerging Markets Equity Fund n Emerging Markets Equity Fund n BRIC Fund (Brazil, Russia, India, China) Specialty2 n U.S. Equity Dividend and Premium Fund n International Equity Dividend and Premium Fund n Structured Tax-Managed Equity Fund n Structured International Tax-Managed Equity Fund n Real Estate Securities Fund n International Real Estate Securities Fund n Commodity Strategy Fund n Absolute Return Tracker Fund |
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 | Individual Funds within the Fund of Funds, Retirement Strategies 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 Fund of Funds, Retirement Strategies 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. Diana M. Daniels Patrick T. Harker James A. McNamara Jessica Palmer Alan A. Shuch Richard P. Strubel | OFFICERS James A. McNamara, President John M. Perlowski, Senior Vice President and Treasurer Peter V. Bonanno, Secretary | |
GOLDMAN, SACHS & CO. Distributor and Transfer Agent | GOLDMAN SACHS ASSET MANAGEMENT, L.P. Investment Adviser |
A prospectus for the Fund containing more complete information may be obtained from your authorized dealer or from Goldman, Sachs & Co. by calling (retail – 1-800-526-7384) (institutional – 1-800-621-2550). Please consider a fund’s objectives, risks, and charges and expenses, and read the prospectus carefully before investing. The prospectus contains this and other information about the Fund.
The reports concerning the Funds included in this shareholder report may contain certain forward-looking statements about the factors that may affect the performance of the Funds in the future. These statements are based on Fund management’s predictions and expectations concerning certain future events and their expected impact on the Funds, such as performance of the economy as a whole and of specific industry sectors, changes in the levels of interest rates, the impact of developing world events, and other factors that may influence the future performance of the Funds. Management believes these forward-looking statements to be reasonable, although they are inherently uncertain and difficult to predict. Actual events may cause adjustments in portfolio management strategies from those currently expected to be employed.
A description of the policies and procedures that the Funds use to determine how to vote proxies relating to portfolio securities and information regarding how a Fund voted proxies relating to portfolio securities during the most recent 12-month period ended June 30 is available (i) without charge, upon request by calling 1-800-526-7384 (for Retail Shareholders) or 1-800-621-2550 (for Institutional Shareholders); and (ii) on the Securities and Exchange Commission Web site at http://www.sec.gov.
The Funds file their complete schedule of portfolio holdings with the Securities and Exchange Commission (“SEC”) for the first and third quarters of each fiscal year on Form N-Q. Forms N-Q will become available on the SEC’s website at http://www.sec.gov within 60 days after the Funds’ first and third fiscal quarters. When available, the Funds’ Forms N-Q may be reviewed and copied at the SEC’s Public Reference Room in Washington, D.C. and information on the operation of the Public Reference Room may also be obtained by calling 1-800-SEC-0330. When available, Forms N-Q may be obtained upon request and without charge by calling 1-800-526-7384 (for Retail Shareholders) or 1-800-621-2550 (for Institutional Shareholders).
Goldman, Sachs & Co. (“Goldman Sachs”) does not provide legal, tax or accounting advice. Any statement contained in this communication (including any attachments) concerning U.S. tax matters was not intended or written to be used, and cannot be used, for the purpose of avoiding penalties under the Internal Revenue Code, and was written to support the promotion or marketing of the transaction(s) or matter(s) addressed. Clients of Goldman Sachs should obtain their own independent tax advice based on their particular circumstances.
Holdings and allocations shown may not be representative of current or future investments. Holdings and allocations may not include the Funds’ entire investment portfolio, which may change at any time. Fund holdings should not be relied on in making investment decisions and should not be construed as research or investment advice regarding particular securities.
This material is not authorized for distribution to prospective investors unless preceded or accompanied by a current Prospectus. Please consider a Fund’s objectives, risks, and charges and expenses, and read the Prospectus carefully before investing. The Prospectus contains this and other information about the Funds.
Copyright 2009 Goldman, Sachs & Co. All rights reserved. 25505.MF.TMPL TAXADVSAR/9K/08-09
ITEM 2. | CODE OF ETHICS. |
(a) | The information required by this Item is only required in an annual report on this Form N-CSR. | ||
(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 information required by this Item is only required in an annual report on this Form N-CSR.
ITEM 4. | PRINCIPAL ACCOUNTANT FEES AND SERVICES. |
The information required by this Item is only required in an annual report on this Form N-CSR.
ITEM 5. | AUDIT COMMITTEE OF LISTED REGISTRANTS. | |
The information required by this Item is only required in an annual report on this Form N-CSR. |
ITEM 6. | SCHEDULE OF INVESTMENTS. | |
The Schedule of Investments is included as part of the Semi-Annual Report to Stockholders filed under Item 1 of this Form N-CSR. |
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, as amended, and the Investment Company Act of 1940, as amended, the Registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized. |
Goldman Sachs Trust | ||||||
By: | /s/ James A. McNamara | |||||
James A. McNamara | ||||||
President/Principal Executive Officer | ||||||
Goldman Sachs Trust | ||||||
Date: | September 2, 2009 |
Pursuant to the requirements of the Securities Exchange Act of 1934, as amended, and the Investment Company Act of 1940, as amended, 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/ James A. McNamara | |||||
James A. McNamara | ||||||
President/Principal Executive Officer | ||||||
Goldman Sachs Trust | ||||||
Date: | September 2, 2009 | |||||
By: | /s/ John M. Perlowski | |||||
John M. Perlowski | ||||||
Treasurer/Principal Financial Officer | ||||||
Goldman Sachs Trust | ||||||
Date: | September 2, 2009 |