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. | | Geoffrey R.T. Kenyon, Esq. |
| 200 West Street | | Dechert LLP |
| New York, New York 10282 | | 200 Clarendon Street |
| | | 27th Floor
Boston, MA 02116-5021 |
|
(Name and address of agents for service)
|
Registrant’s telephone number, including area code: (312) 655-4400
Date of fiscal year end: October 31
Date of reporting period: April 30, 2011
| | | |
| ITEM 1. | | REPORTS TO STOCKHOLDERS. |
| | | |
| | | The Semi-Annual Report to Stockholders is filed herewith. |
Goldman Sachs Funds
| | | | |
| | | | |
Semi-Annual Report | | | April 30, 2011 |
| | | | |
| | | | |
| | | | |
| | | | |
| | | | Structured International Equity Funds |
| | | | Structured Emerging Markets Equity |
| | | | Structured International Equity |
| | | | Structured International Small Cap |
| | | | |
Goldman Sachs Structured International Equity Funds
| |
| n | STRUCTURED EMERGING MARKETS EQUITY FUND |
| |
| n | STRUCTURED INTERNATIONAL EQUITY FUND |
| |
| n | STRUCTURED INTERNATIONAL SMALL CAP FUND |
| | | |
| TABLE OF CONTENTS | | |
| |
| | | |
| Principal Investment Strategies and Risks | | 1 |
| | | |
| Investment Process | | 2 |
| | | |
| Market Review | | 3 |
| | | |
Portfolio Management Discussions and
Performance Summaries | | 6 |
| | | |
| Schedules of Investments | | 21 |
| | | |
| Financial Statements | | 46 |
| | | |
| Financial Highlights | | 50 |
| | | |
| Notes to the Financial Statements | | 56 |
| | | |
| Other Information | | 72 |
| | | | | | | |
NOT FDIC-INSURED | | | May Lose Value | | | No Bank Guarantee |
| | | | | | | |
GOLDMAN SACHS STRUCTURED INTERNATIONAL 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’ Prospectus.
The Goldman Sachs Structured Emerging Markets Equity Fund invests primarily in a diversified portfolio of equity investments in emerging country issuers. The Fund’s investments are subject to market risk, which means that the value of the securities in which it invests may go up or down in response to the prospects of individual companies, particular industry sectors and/or general economic conditions. Emerging markets securities are volatile, less liquid and are subject to substantial currency fluctuations and sudden economic and political developments. The securities markets of emerging countries have less government regulation and are subject to less extensive accounting and financial reporting requirements than the markets of more developed countries. At times, the Fund may be unable to sell certain of its portfolio securities without a substantial drop in price, if at all.
The Goldman Sachs Structured International Equity Fund invests primarily in a broadly diversified portfolio of equity investments in companies that are organized outside the United States or whose securities are principally traded outside the United States. The Fund’s equity investments will be subject to market risk, which means that the value of the securities in which it invests may go up or down in response to the prospects of individual companies, particular industry sectors and/or general economic conditions. The Fund may also invest in fixed income securities, which are subject to the risks associated with debt securities generally, including credit, liquidity and interest rate risk. Foreign and emerging market securities may be more volatile than investments in U.S. securities and will be subject to the risks of currency fluctuations and sudden economic or political developments. At times, the Fund may be unable to sell certain of its portfolio securities without a substantial drop in price, if at all.
The Goldman Sachs Structured International Small Cap Fund invests primarily in a broadly diversified portfolio of equity investments in small cap non-U.S. issuers. The Fund’s investments are subject to market risk, which means that the value of the securities in which it invests may go up or down in response to the prospects of individual companies, particular industry sectors and/or general economic conditions. Stocks of small cap companies involve greater risks than those associated with larger, more established companies and may be subject to more abrupt or erratic price movements. Foreign and emerging market securities may be more volatile than investments in U.S. securities and will be subject to the risks of currency fluctuations and sudden economic or political developments. At times, the Fund may be unable to sell certain of its portfolio securities without a substantial drop in price, if at all.
GOLDMAN SACHS STRUCTURED INTERNATIONAL EQUITY FUNDS
Goldman Sachs’ Structured International Equity Investment Process
| |
| n | Comprehensive – We forecast returns on approximately 10,000 stocks, 18 countries and 9 currencies on a daily basis. |
| |
| n | Rigorous – We evaluate stocks, countries and currencies based on fundamental investment criteria that have outperformed historically. |
| |
| n | Objective – Our stock and equity market selection process is free from emotion that may lead to biased investment decisions. |
| |
| n | Our computer optimization process allocates risk to our best investment ideas and constructs funds that strive to neutralize systematic risks and deliver better returns. |
| |
| n | We use unique, proprietary risk models that are designed to be more precise, more focused and faster to respond because they seek to identify, track and manage risk specific to our process, using daily data. |
Fully invested, well-diversified international portfolio that seeks to:
| |
| n | Blend top-down market views with bottom-up stock selection. |
| |
| n | Maintain style, sector, risk and capitalization characteristics similar to the benchmark. |
| |
| n | Achieve excess returns by taking intentional country bets and many small diversified stock positions. |
Enhancements Made to Proprietary Quantitative Model
During the Six-Month Period Ended April 30, 2011
We continuously look for ways to improve our investment process. Accordingly, we introduced a number of enhancements to our proprietary quantitative model during the six-month period ended April 30, 2011. During the fourth quarter of 2010, we extended our risk model enhancements to the Far East region. In addition, we continued to research ways to improve our portfolio construction methodology. We anticipate significant future enhancements from this research.
During the first quarter of 2011, we implemented two major enhancements to our Japan, Europe and United Kingdom stock selection models and process. First, we made an improvement to our quantitative portfolio construction methodology that we believe can enable us to tailor trading to reflect the diverse spectrum of signal speeds. In our opinion, the selection of appropriate implementation speeds for each signal can potentially improve portfolio performance. Therefore, and as a result of this enhancement, we expect exposures to virtually all signals to improve. Second, we enhanced the diversification of our factor set by adding new signals across our investment themes. These signals tend to overweight stocks with four general features: strong and stable growth prospects; lower risk of financial distress; inexpensive; and attractive buyout opportunities. We believe these enhancements will add value to our process over different parts of an economic cycle and will also allow us to incorporate tactical elements across and within sectors over time.
MARKET REVIEW
Goldman Sachs Structured International
Equity Funds
Market Review
Overall, global stock markets posted healthy gains during the six months ended April 30, 2011 (the “Reporting Period”). The solid performance, however, masked significant volatility.
International developed equity markets had a weak start to the Reporting Period, trailing the performance of the emerging equity markets in the last months of 2010. However, international developed equity markets then rallied for most of the first four months of 2011, as persistently high inflation and continued interest rate increases plagued many of the emerging markets. The shift in investor sentiment toward developed markets only strengthened when political unrest erupted throughout the Middle East and North Africa, and investors sought to decrease risk in their portfolios.
Positive economic indicators, especially for the German economy, served as a catalyst for improved sentiment toward Europe overall, despite lingering sovereign debt concerns. Although Greece and Israel were the only two markets within the Morgan Stanley Capital International (MSCI) Europe, Australasia, Far East (EAFE) Index (the “MSCI EAFE Index”) to decline during the Reporting Period, most peripheral European countries also underperformed the broader international equity market amidst ongoing uncertainty over bailout packages and debt downgrades. Peripheral European countries include Greece, Portugal, Ireland, Italy and Spain. As sentiment toward Europe’s economy improved, the euro, having declined in November, rose rather steadily throughout the remainder of the Reporting Period. Statements from the European Central Bank regarding pending interest rate increases in an effort to keep inflation in check further supported the euro’s relative strength. Most local currencies rose against the U.S. dollar during the Reporting Period, which significantly boosted equity returns in U.S. dollars. (Remember, as the value of the U.S. dollar decreases, the dollar value of foreign investments typically increases and vice versa.)
Energy stocks overall dominated returns throughout the Reporting Period, as oil prices, measured by the Brent Crude Index, steadily rose from under $90 per barrel to more than $120 per barrel. Toward the end of 2010, the increase was driven by expectations of strengthening demand from a recovering global economy. However, prices spiked further in early 2011 on fears of a supply disruption sparked by political unrest spreading across the Middle East and North Africa. Materials stocks overall also made strong gains during the Reporting Period, as the prices of many underlying commodities continued to rise from already high levels. As a result, the Russian equity market, which is closely correlated to oil and commodity prices, posted the second-strongest performance within the MSCI Emerging Markets Free (EMF) Index (the “MSCI EMF Index”) during the Reporting Period. Eastern European nations, including the Czech Republic, Poland and Hungary, recorded strong returns as well due primarily to improved sentiment on Europe overall, the ripple effect of the healthy performance of developed European equities, and their rising currencies versus the U.S. dollar.
The performance of Japanese equities, which was rather strong early in the Reporting Period, was, not surprisingly, dominated by the impact of the devastating earthquake and tsunami that struck on March 11, 2011 and that subsequently crippled several nuclear reactors in the area. Following the news, the Japanese equity market initially plunged while the yen soared to record highs. However, the leading industrialized countries of the world successfully intervened in the currency market such that the yen then fell significantly. Japanese equities gained back some of the initial losses following the intervention and as the Japanese government and utilities companies showed progress in getting the damaged nuclear reactors under control.
MARKET REVIEW
Still, Japan’s utilities sector, albeit modest, sold off sharply as a result of the nuclear power scenario. Japan’s financials sector also significantly underperformed, as insurance companies were expected to face substantial claims and as the overall economic impact of the disasters, both natural and man-made, remained unknown. The Japanese equity market continued to lag in April 2011 following evidence that production suffered its biggest decline in March since records began to be kept in 1953 and that supply chains were heavily disrupted. In addition, the Bank of Japan reduced its growth forecast for the nation’s fiscal year by a percentage point, to 0.6%, on weaker economic data, including an 8.5% drop in household spending by the Japanese.
Meanwhile, other Asian equity markets recorded solid gains in March and April on expectations that Japanese companies would lose market share to Asian competitors as a result of production and supply chain disruptions. The equity markets of South Korea and Taiwan posted particularly strong returns, as both markets continued to exhibit solid export trends and rising currencies, which boosted returns in U.S. dollars. South Korea, which posted the strongest results in the MSCI EMF Index (net of dividend withholding taxes) during the Reporting Period, also benefited from the robust performance of information technology and chemicals stocks. Indonesia, though generating solid positive returns, lagged in comparison during the Reporting Period.
Egypt was the weakest performer in the MSCI EMF Index (net of dividend withholding taxes) during the Reporting Period due to the political uprising that led to the ouster of its long-time ruler, Hosni Mubarak. Elsewhere, the threats of inflation and rising interest rates, significant themes throughout the Reporting Period, weighed particularly on China, India and Brazil. China increased its reserve requirement ratio and its lending and deposit rates several times throughout the Reporting Period. However, consumer prices in China rose at their fastest pace in 32 months during March 2011, year over year, while China’s economy grew another 9.7%, year over year, which was more than expected. As a result, investors anticipated further tightening measures by the Chinese government, which weighed on its equity market performance. India, which has one of the highest inflation rates in the world, raised its interest rates steadily throughout much of 2010 and into 2011, though to minimal effect. High oil prices weighed on the Indian equity market, as the country imports a significant percentage of its oil. A series of corruption scandals involving India’s government further pressured the country’s equity market returns during the Reporting Period.
International Equity
Against this backdrop, the MSCI EAFE Index (unhedged and net of dividend withholding taxes) gained 12.71%* during the Reporting Period. Twenty-one of the 22 countries in the MSCI EAFE Index were up for the Reporting Period, with Ireland (+29.26) and Sweden (+23.93%) posting the largest gains. The United Kingdom (+13.51%) was the largest contributor on the basis of impact, which takes both weightings and total returns into account.
All 10 of the sectors in the MSCI EAFE Index (unhedged and net of dividend withholding taxes) posted positive results during the Reporting Period, with energy (+22.02%) and materials (+19.94%) gaining the most. The financials (+9.77%) sector was the largest positive contributor to Index returns on the basis of impact.
| |
| * | All index returns are expressed in U.S. dollar terms. |
MARKET REVIEW
Emerging Markets Equity
The MSCI EMF Index (net of dividend withholding taxes) gained 9.74% during the Reporting Period. Sixteen of the 21 countries in the MSCI EMF Index (net of dividend withholding taxes) were up for the Reporting Period, with South Korea (+27.10%) and Russia (+26.87%), posting the largest gains. South Korea was also the largest contributor on the basis of impact.
Nine of the 10 sectors in the MSCI EMF Index (net of dividend withholding taxes) were positive for the Reporting Period, with energy (+18.20%) and information technology (+15.51%) gaining the most. The energy sector was the largest contributor on the basis of impact.
International Small Cap Equity
The MSCI EAFE Small Cap Index (unhedged and net of dividend withholding taxes) gained 16.67% during the Reporting Period. Twenty of the 22 countries in the Index were up for the Reporting Period, with Germany (+32.52%) and Norway (+26.42%) posting the greatest gains. The United Kingdom (+17.01%) was the largest contributor on the basis of impact.
All 10 sectors in the MSCI EAFE Small Cap Index (unhedged and net of dividend withholding taxes) posted positive results for the Reporting Period, with industrials (+21.88%), materials (+19.92%) and information technology (+18.57%) increasing the most. The industrials sector was also the largest positive contributor on the basis of impact.
Looking Ahead
In the coming months, we believe cheaper stocks should outpace more expensive ones. Stocks with good momentum are likely, in our opinion, to outperform those with poor momentum. We plan to focus on seeking profitable companies with positive fundamentals, sustainable earnings and a track record of using capital to enhance shareholder value. As such, we anticipate remaining fully invested. We also believe stock selection has the potential to contribute more to long-term performance than sector or capitalization allocations.
We stand behind our investment philosophy that sound economic investment principles, coupled with a disciplined quantitative approach, can provide strong, uncorrelated returns over the long term. 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.
PORTFOLIO RESULTS
Structured Emerging Markets Equity Fund
Portfolio Management Discussion and Analysis
Below, the Goldman Sachs Quantitative Investment Strategies Team discusses the Goldman Sachs Structured Emerging Markets Equity Fund’s (the “Fund”) performance and positioning for the six-month period ended April 30, 2011 (the “Reporting Period��).
| |
| Q | How did the Fund perform during the Reporting Period? |
| |
| A | During the Reporting Period, the Fund’s Class A, C, Institutional and IR Shares generated cumulative total returns, without sales charges, of 10.32%, 9.94%, 10.58% and 10.29%, respectively. These returns compare to the 9.74% cumulative total return of the Fund’s benchmark, the MSCI EMF Index (net of dividend withholding taxes) (the “Index”), during the same period. |
| |
| Q | What key factors were most responsible for the Fund’s performance during the Reporting Period? |
| |
| A | We use two distinct strategies—a bottom-up stock selection strategy and a top-down country/currency selection strategy—to manage the Fund. These strategies are uncorrelated, that is, they tend to perform differently from each other over time, which enables us to greater diversify the portfolio. |
Although our country/currency selection strategy detracted from the Fund’s relative performance during the Reporting Period, our stock selection strategy, which uses stock selection models based on five investment themes, contributed positively. 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 those stocks chosen by the model. Over time and by design, the performance of any one of our model’s investment themes tends to have a low correlation with the model’s other themes, demonstrating the diversification benefit of our theme-driven quantitative model. The variance in performance supports our research indicating that the diversification provided by our different investment themes is a significant investment advantage over the long term, even though the Fund may experience underperformance in the short term. Of course, diversification does not protect an investor from market risk nor does it ensure a profit.
| |
| Q | Which investment themes helped and which hurt within the Team’s stock selection strategy? |
| |
| A | During the Reporting Period, our bottom-up stock selection strategy and four of its five investment themes contributed positively to the Fund’s relative performance. |
Sentiment was the Fund’s best-performing theme during the Reporting Period. Sentiment reflects selected investment views and decisions of individuals and financial intermediaries. Profitability, Momentum and Quality also added to performance versus the benchmark. Our Profitability theme assesses whether a company is earning more than its cost of capital. Momentum predicts drift in stock prices caused by under-reaction to company-specific information, while Quality evaluates whether the company’s earnings are coming from more persistent, cash-based sources, as opposed to accruals.
Valuation was the only theme that detracted from the Fund’s relative performance during the Reporting Period. 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 did the Fund’s sector allocations affect relative results? |
| |
| A | In constructing the portfolio, we focus on picking stocks rather than on making industry or sector bets. Consequently, the Fund is similar to the Index in terms of its sector allocation and style. Changes in its sector weights generally do not have a meaningful impact on relative returns. |
| |
| Q | Which stock positions contributed the most to the Fund’s relative returns during the Reporting Period? |
| |
| A | We seek to outpace the Index by overweighting stocks we expect to outperform and underweighting those we think may lag. We also build positions based on our thematic views. For example, the Fund aims to hold a basket of stocks with better Momentum characteristics than the benchmark. |
PORTFOLIO RESULTS
Our security selection in the materials, consumer discretionary and information technology sectors enhanced the Fund’s relative returns during the Reporting Period. In particular, the Fund benefited from overweighted positions in KGHM Polska Miedz, a Poland-based copper and silver producer; MMC Norilsk Nickel, Russian producer of nickel and palladium; and Hyundai Motor, a South Korean automaker. The Fund was overweight KGHM Polska Miedz because of our positive views on Momentum and Profitability, while the overweight in MMC Norilsk Nickel was adopted as a result of our positive views on Profitability and Sentiment. Our positive views on Quality and Valuation led to the Fund’s overweight in Hyundai Motor.
| |
| Q | Which Fund positions detracted most from results during the Reporting Period? |
| |
| A | Stock picks in the financials, telecommunication services and industrials sectors dampened the Fund’s relative performance during the Reporting Period. The Fund was overweight Egyptian conglomerate Talaat Moustafa Group; Turkish bank Turkiye Is Bankasi; and major Indian commercial bank Indian Bank. All three overweighted positions were adopted because of our positive views on Profitability and Valuation. |
| |
| Q | What impact did the Team’s country/currency selection strategy have on the Fund’s relative performance during the Reporting Period? |
| |
| A | Our country/currency strategy detracted from the Fund’s relative results during the Reporting Period. The Fund’s performance was hampered by overweighted positions compared to the Index in Egypt and Turkey as well as by an underweighted position relative to the Index in Taiwan. Overweighted positions in Poland and South Korea contributed positively. The Fund also benefited from an underweighted position relative to the Index in India. |
We made our picks using our proprietary models, which are based on five investment factors specific to our country/currency strategy—Valuation, Momentum, Risk Premium, Fund Flows and Macro. Valuation favors equity and currency markets that appear cheap relative to accounting measures of value and purchasing power. The Momentum factor favors countries and currencies that have had strong recent outperformance. Risk Premium evaluates whether a country is overcompensating investors for political and financial risk, while Fund Flows evaluates the strength of capital market inflows. Finally, Macro assesses a market’s interest rate environment and growth prospects.
| |
| Q | How did the Fund use derivatives or similar instruments during the Reporting Period? |
| |
| A | The Fund did not invest in derivatives during the Reporting Period. |
| |
| Q | What changes did you make to the Fund’s country weightings during the Reporting Period? |
| |
| A | We increased the Fund’s weightings compared to the Index in Mexico, Indonesia and Brazil during the Reporting Period and decreased its weightings in Thailand, Turkey and India. |
| |
| Q | What were the Fund’s sector and country weightings at the end of the Reporting Period? |
| |
| A | At the end of the Reporting Period, the Fund was overweight the consumer discretionary and consumer staples sectors relative to the Index, adjusted according to our country views. It was underweight the information technology, financials, industrials, utilities and health care sectors. The Fund was relatively neutral compared to the Index in materials and telecommunication services at the end of the Reporting Period. |
In terms of countries, the Fund was overweight Mexico, Indonesia, Poland, Russia, South Korea, Chile and the Philippines relative to the Index at the end of the Reporting Period. The Fund was underweight South Africa, Taiwan, India, Thailand, Turkey, Malaysia, Columbia, Peru, Czech Republic, Brazil and China. The Fund was relatively neutral in Egypt, Morocco and Hungary relative to the Index.
FUND BASICS
Structured Emerging Markets Equity Fund
as of April 30, 2011
| | | | | | | | | | | |
| | | Fund Total Return
| | | | |
| November 1, 2010–April 30, 2011 | | (based on NAV)1 | | MSCI EMF Index2 | | |
|
| |
| Class A | | | 10.32 | % | | | 9.74 | % | | |
| Class C | | | 9.94 | | | | 9.74 | | | |
| Institutional | | | 10.58 | | | | 9.74 | | | |
| Class IR | | | 10.29 | | | | 9.74 | | | |
|
| | |
| 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 Emerging Markets Index (the “MSCI EMF Index”) is designed to measure equity market performance of the large and mid market capitalization segments of emerging markets. As of December 31, 2010, the MSCI EMF Index consists of the following 21 emerging market country indices: Brazil, Chile, China, Colombia, Czech Republic, Egypt, Hungary, India, Indonesia, Korea, Malaysia, Mexico, Morocco, Peru, Philippines, Poland, Russia, South Africa, Taiwan, Thailand, and Turkey. Index figures do not reflect any deduction for fees, expenses or taxes. It is not possible to invest directly in an unmanaged index. |
| |
| STANDARDIZED AVERAGE ANNUAL TOTAL RETURNS3 | |
| | | | | | | | | | | | | |
| For the period ended 3/31/11 | | One Year | | Since Inception | | Inception Date | | |
|
| |
| Class A | | | 11.36 | % | | | -2.36 | % | | 10/5/07 | | |
| Class C | | | 16.10 | | | | -1.34 | | | 10/5/07 | | |
| Institutional | | | 18.53 | | | | -0.34 | | | 10/5/07 | | |
| Class IR | | | N/A | | | | 24.50 | | | 8/31/10 | | |
|
| | |
| 3 | | The Standardized Average Annual Total Returns are average annual total returns or cumulative total returns (only if performance is one year or less) as of the most recent calendar quarter-end. They assume reinvestment of all distributions at NAV. These returns reflect a maximum initial sales charge of 5.5% for Class A Shares and the assumed contingent deferred sales charge for Class C Shares (1% if redeemed within 12 months of purchase). Because Institutional and Class IR Shares do not involve a sales charge, such a charge is not applied to their Standardized Average Annual Total Returns. |
| |
| | These 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. |
FUND BASICS
| | | | | | | | | | | |
| | | Net Expense Ratio (Current) | | Gross Expense Ratio (Before Waivers) | | |
|
| |
| Class A | | | 1.45 | % | | | 1.70 | % | | |
| Class C | | | 2.20 | | | | 2.45 | | | |
| Institutional | | | 1.05 | | | | 1.30 | | | |
| Class IR | | | 1.20 | | | | 1.45 | | | |
|
| | |
| 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 Prospectus for the Fund and may differ from the expense ratios disclosed in the Financial Highlights in this report. Applicable waivers and expense limitations may be modified or terminated in the future, consistent with the terms of any arrangement in place. If this occurs, the expense ratios may change. |
| |
| TOP TEN HOLDINGS AS OF 4/30/115 | |
| | | | | | | | | | | |
| | | % of Total
| | | | | | |
| Holding | | Net Assets | | Line of Business | | Country | | |
|
| |
Hyundai Motor Co.
Preference Shares | | | 3.9 | % | | Automobiles & Components | | South Korea | | |
Samsung Electronics Co.
Ltd. | | | 3.8 | | | Semiconductors &
Semiconductor Equipment | | South Korea | | |
| KGHM Polska Miedz SA | | | 3.5 | | | Materials | | Poland | | |
| OAO Gazprom ADR | | | 3.4 | | | Energy | | Russia | | |
| Bank of China Ltd. Class H | | | 3.4 | | | Banks | | China | | |
| China Mobile Ltd. | | | 3.3 | | | Telecommunication Services | | Hong Kong | | |
| PetroChina Co. Ltd. Class H | | | 3.2 | | | Energy | | China | | |
America Movil SAB de CV
Series L ADR | | | 2.9 | | | Telecommunication Services | | Mexico | | |
| Banco do Brasil SA | | | 2.8 | | | Banks | | Brazil | | |
China Construction Bank
Corp. Class H | | | 2.8 | | | Banks | | China | | |
|
| | |
| 5 | | The top 10 holdings may not be representative of the Fund’s future investments. |
FUND BASICS
| |
| FUND VS. BENCHMARK SECTOR ALLOCATIONS6 | |
As of April 30, 2011
| | |
| 6 | | 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. Underlying industry sector allocations of exchange traded funds held by the Fund are not reflected in the graph above. Consequently, the Fund’s overall industry sector allocations may differ from the percentages contained in the graph above. 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). Investment in the securities lending reinvestment vehicle represented 0.6% of the Fund’s net assets at April 30, 2011. |
PORTFOLIO RESULTS
Structured International Equity Fund
Portfolio Management Discussion and Analysis
Below, the Goldman Sachs Quantitative Investment Strategies Team discusses the Goldman Sachs Structured International Equity Fund’s (the “Fund”) performance and positioning for the six-month period ended April 30, 2011 (the “Reporting Period”).
| |
| Q | How did the Fund perform during the Reporting Period? |
| |
| A | During the Reporting Period, the Fund’s Class A, B, C, Institutional, Service, IR and R Shares generated cumulative total returns, without sales charges, of 12.01%, 11.52%, 11.55%, 12.24%, 11.91%, 12.20% and 11.99%, respectively. These returns compare to the 12.71% cumulative total return of the Fund’s benchmark, the MSCI EAFE Index (unhedged and net of dividend withholding taxes) (the “Index”), during the same period. |
| |
| Q | What key factors were most responsible for the Fund’s performance during the Reporting Period? |
| |
| A | We use two distinct strategies—a bottom-up stock selection strategy and a top-down country/currency selection strategy—to manage the Fund. These strategies are uncorrelated, that is, they tend to perform differently from each other over time, which enables us to greater diversify the portfolio. |
During the Reporting Period, our country/currency selection strategy and our bottom-up stock selection strategy, which uses stock selection models based on six investment themes, contributed to the Fund’s relative returns. 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 those stocks chosen by the model. Over time and by design, the performance of any one of our model’s investment themes tends to have a low correlation with the model’s other themes, demonstrating the diversification benefit of our theme-driven quantitative model. The variance in performance supports our research indicating that the diversification provided by our different investment themes is a significant investment advantage over the long term, even though the Fund may experience underperformance in the short term. Of course, diversification does not protect an investor from market risk nor does it ensure a profit.
| |
| Q | Which investment themes helped and which hurt within the Team’s stock selection strategy? |
| |
| A | Our bottom-up stock selection strategy and its six investment themes enhanced the Fund’s relative performance during the Reporting Period. Valuation was our best-performing investment theme. Valuation attempts to capture potential mispricings of securities, typically by comparing a measure of the company’s intrinsic value to its market value. Momentum and Sentiment also contributed positively to results versus the Index. Momentum predicts drift in stock prices caused by under-reaction to company-specific information, while Sentiment reflects selected investment views and decisions of individuals and financial intermediaries. |
Management, which assesses the characteristics, policies and strategic decisions of company management, was our weakest performing theme. Quality and Profitability also detracted, though to a lesser extent. Our Quality theme evaluates whether the company’s earnings are coming from more persistent, cash-based sources, as opposed to accruals. Profitability assesses whether a company is earning more than its cost of capital.
| |
| Q | How did the Fund’s sector allocations affect relative performance? |
| |
| A | In constructing the portfolio, we focus on picking stocks rather than on making industry or sector bets. Consequently, the Fund is similar to the Index in terms of its sector allocation and style. Changes in its sector weights generally do not have a meaningful impact on relative returns. |
| |
| Q | Which stock positions contributed the most to the Fund’s relative returns during the Reporting Period? |
| |
| A | We seek to outpace the Index by overweighting stocks we expect to outperform and underweighting those we think may lag. We also build positions based on our thematic views. For example, the Fund aims to hold a basket of stocks with better Momentum characteristics than the benchmark. |
PORTFOLIO RESULTS
Investments in the materials, consumer staples and utilities sectors added to relative returns during the Reporting Period. The Fund benefited from its overweighted positions in Koninklijke DSM, a Netherlands-based diversified chemicals company; Solvay, a Belgian chemical company; and Statoil ASA, a Norwegian oil and gas producer. We chose to overweight Koninklijke DSM and Solvay because of our positive views on Quality and Valuation. The Fund’s overweight in Statoil ASA was adopted as a result of our positive views on Profitability and Momentum.
| |
| Q | Which Fund positions detracted most from results during the Reporting Period? |
| |
| A | Security selection in industrials, information technology and telecommunication services was a drag on the Fund’s relative performance during the Reporting Period. Detracting were overweighted positions in Spanish bank holding company Banco Santander; French telecommunications giant France Telecom; and Japanese electronics maker Ricoh. The Fund was overweight Banco Santander as a result of our positive views on Management and Profitability. Our positive views on Quality and Valuation led to the overweight in France Telecom. The overweight in Ricoh was adopted because of our positive views on Valuation and Profitability. |
| |
| Q | What impact did the Team’s country/currency selection strategy have on the Fund’s relative performance during the Reporting Period? |
| |
| A | Our country/currency selection strategy contributed to the Fund’s relative results during the Reporting Period. The Fund benefited from its overweighted positions relative to the Index in Germany and France and its underweighted position compared to the Index in Japan. Underweighted positions in Australia and Switzerland hampered performance versus the Index. An overweighted position in Belgium also detracted. |
We made our picks using our proprietary models, which are based on five investment factors specific to our country/currency strategy—Valuation, Momentum, Risk Premium, Fund Flows and Macro. Valuation favors equity and currency markets that appear cheap relative to accounting measures of value and purchasing power. The Momentum factor favors countries and currencies that have had strong recent outperformance. Risk Premium evaluates whether a country is overcompensating investors for political and financial risk, while Fund Flows evaluates the strength of capital market inflows. Finally, Macro assesses a market’s interest rate environment and growth prospects.
| |
| Q | How did the Fund use derivatives or similar instruments during the Reporting Period? |
| |
| A | As we sought to increase the Fund’s total return and to hedge its portfolio against shifts in market conditions, we used instruments such as financial futures contracts. Specifically, we used stock futures to equitize the Fund’s cash holdings. In other words, we put the Fund’s cash holdings to work by using them as collateral for the purchase of stock futures. |
| |
| Q | What changes did you make to the Fund’s country weightings during the Reporting Period? |
| |
| A | During the Reporting Period, we increased the Fund’s weightings relative to the Index in Italy, Germany and France. We decreased its weightings versus the Index in Australia, Sweden and the Netherlands. |
| |
| Q | What were the Fund’s sector and country weightings at the end of the Reporting Period? |
| |
| A | At the end of the Reporting Period, the Fund was overweight the energy, telecommunication services, utilities, consumer discretionary and materials sectors relative to the Index, adjusted according to our country views. The Fund was underweight consumer staples, financials, health care and information technology. It was relatively neutral compared to the Index in the industrials sector. |
In terms of countries, the Fund was overweight Germany, France, Italy, the Netherlands, Norway, Belgium, Austria, Sweden, Singapore and Ireland relative to the Index at the end of the Reporting Period. It was underweight Australia, Switzerland, the U.K., Spain, Denmark, Hong Kong, Finland, Portugal, Japan and Greece. The Fund was relatively neutral compared to the Index in Israel and New Zealand.
FUND BASICS
Structured International Equity Fund
as of April 30, 2011
| | | | | | | | | | | |
| | | Fund Total Return
| | | | |
| November 1, 2010–April 30, 2011 | | (based on NAV)1 | | MSCI EAFE (Net) Index2 | | |
|
| |
| Class A | | | 12.01 | % | | | 12.71 | % | | |
| Class B | | | 11.52 | | | | 12.71 | | | |
| Class C | | | 11.55 | | | | 12.71 | | | |
| Institutional | | | 12.24 | | | | 12.71 | | | |
| Service | | | 11.91 | | | | 12.71 | | | |
| Class IR | | | 12.20 | | | | 12.71 | | | |
| Class R | | | 11.99 | | | | 12.71 | | | |
|
| | |
| 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 Morgan Stanley Capital International (MSCI) Europe, Australasia, Far East (EAFE) (Net) Index (unhedged, with dividends reinvested) (the “Index”) is a market capitalization-weighted composite of securities in 21 developed markets. The Index figures do not reflect any deduction for fees, expenses or taxes. It is not possible to invest directly in an unmanaged index. |
| |
| STANDARDIZED AVERAGE ANNUAL TOTAL RETURNS3 | |
| | | | | | | | | | | | | | | | | | | | | |
| For the period ended 3/31/11 | | One Year | | Five Years | | Ten Years | | Since Inception | | Inception Date | | |
|
| |
| Class A | | | 3.59 | % | | | -0.75 | % | | | 4.78 | % | | | 3.00 | % | | 8/15/97 | | |
| Class B | | | 3.82 | | | | -0.76 | | | | 4.83 | | | | 3.11 | | | 8/15/97 | | |
| Class C | | | 7.90 | | | | -0.35 | | | | 4.69 | | | | 2.81 | | | 8/15/97 | | |
| Institutional | | | 10.03 | | | | 0.78 | | | | 5.89 | | | | 3.97 | | | 8/15/97 | | |
| Service | | | 9.54 | | | | 0.29 | | | | 5.36 | | | | 3.47 | | | 8/15/97 | | |
| Class IR | | | 9.89 | | | | N/A | | | | N/A | | | | -6.71 | | | 11/30/07 | | |
| Class R | | | 9.56 | | | | N/A | | | | N/A | | | | -7.12 | | | 11/30/07 | | |
|
| | |
| 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). Class B Shares convert automatically to Class A Shares on or about the fifteenth day of the last month of the calendar quarter that is eight years after purchase. Returns for Class B Shares for the period after conversion reflect the performance of Class A Shares. Because Institutional, Service, Class IR and Class R Shares do not involve a sales charge, such a charge is not applied to their Standardized Average Annual Total Returns. The Fund’s Class B Shares are no longer available for purchase by new or existing shareholders (although current Class B shareholders may continue to reinvest income and capital gains distributions into Class B Shares, and Class B shareholders may continue to exchange their shares for Class B Shares of certain other Goldman Sachs Funds). |
| |
| | These 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. |
FUND BASICS
| | | | | | | | | | | |
| | | Net Expense Ratio (Current) | | Gross Expense Ratio (Before Waivers) | | |
|
| |
| Class A | | | 1.25 | % | | | 1.29 | % | | |
| Class B | | | 2.00 | | | | 2.04 | | | |
| Class C | | | 2.00 | | | | 2.04 | | | |
| Institutional | | | 0.85 | | | | 0.89 | | | |
| Service | | | 1.35 | | | | 1.39 | | | |
| Class IR | | | 1.00 | | | | 1.04 | | | |
| Class R | | | 1.50 | | | | 1.54 | | | |
|
| | |
| 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 Prospectus for the Fund and may differ from the expense ratios disclosed in the Financial Highlights in this report. Applicable waivers and expense limitations may be modified or terminated in the future, consistent with the terms of any arrangement in place. If this occurs, the expense ratios may change. |
| |
| TOP TEN HOLDINGS AS OF 4/30/115 | |
| | | | | | | | | | | |
| | | % of Total
| | | | | | |
| Holding | | Net Assets | | Line of Business | | Country | | |
|
| |
| E.ON AG | | | 3.3 | % | | Utilities | | Germany | | |
| France Telecom SA | | | 2.3 | | | Telecommunication Services | | France | | |
| Koninklijke DSM NV | | | 2.1 | | | Materials | | Netherlands | | |
| BNP Paribas | | | 2.1 | | | Banks | | France | | |
| Total SA | | | 2.0 | | | Energy | | France | | |
| Siemens AG (Registered) | | | 2.0 | | | Capital Goods | | Germany | | |
| Statoil ASA | | | 1.9 | | | Energy | | Norway | | |
| AstraZeneca PLC | | | 1.9 | | | Pharmaceuticals,
Biotechnology & Life Sciences | | United
Kingdom | | |
| Vodafone Group PLC ADR | | | 1.8 | | | Telecommunication Services | | United
Kingdom | | |
Muenchener
Rueckversicherungs-
Gesellschaft AG
(Registered) | | | 1.8 | | | Insurance | | Germany | | |
|
| | |
| 5 | | The top 10 holdings may not be representative of the Fund’s future investments. |
FUND BASICS
| |
| FUND VS. BENCHMARK SECTOR ALLOCATIONS6 | |
As of April 30, 2011
| | |
| 6 | | 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. Consequently, the Fund’s overall industry sector allocations may differ from percentages contained in the graph above. 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). Investment in the securities lending reinvestment vehicle represented 12.5% of the Fund’s net assets at April 30, 2011. Short-term investments represent investments in investment companies other than those that are exchange traded. |
PORTFOLIO RESULTS
Structured International Small Cap Fund
Portfolio Management Discussion and Analysis
Below, the Goldman Sachs Quantitative Investment Strategies Team discusses the Goldman Sachs Structured International Small Cap Fund’s (the “Fund”) performance and positioning for the six-month period ended April 30, 2011 (the “Reporting Period”).
| |
| Q | How did the Fund perform during the Reporting Period? |
| |
| A | During the Reporting Period, the Fund’s Class A, C, Institutional and IR Shares generated cumulative total returns, without sales charges, of 19.01%, 18.48%, 19.33% and 19.16%, respectively. These returns compare to the 16.67% cumulative total return of the Fund’s benchmark, the MSCI EAFE Small Cap Index (unhedged and net of dividend withholding taxes) (the “Index”), during the same period. |
| |
| Q | What key factors were most responsible for the Fund’s performance during the 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 those stocks chosen by the model. Over time and by design, the performance of any one of our model’s investment themes tends to have a low correlation with the model’s other themes, demonstrating the diversification benefit of our theme-driven quantitative model. The variance in performance supports our research indicating that the diversification provided by our different investment themes is a significant investment advantage over the long term, even though the Fund may experience underperformance in the short term. Of course, diversification does not protect an investor from market risk nor does it ensure a profit. |
Overall, our investment themes enhanced the Fund’s relative returns during the Reporting Period. The best-performing investment theme was Valuation, which attempts to capture potential mispricings of securities, typically by comparing a measure of the company’s intrinsic value to its market value. Momentum and Sentiment also contributed positively to relative performance. Momentum predicts drift in stock prices caused by under-reaction to company-specific information, while Sentiment reflects selected investment views and decisions of individuals and financial intermediaries.
Profitability, Management and Quality detracted from results versus the Index. Profitability assesses whether a company is earning more than its cost of capital, and Management assesses the characteristics, policies and strategic decisions of company management. Our Quality theme evaluates whether the company’s earnings are coming from more persistent, cash-based sources, as opposed to accruals.
| |
| Q | How did the Fund’s sector allocations affect relative performance? |
| |
| A | In constructing the portfolio, we focus on picking stocks rather than on making industry or sector bets. Consequently, the Fund is similar to the Index in terms of its sector allocation and style. Changes in its sector weights generally do not have a meaningful impact on relative performance. |
| |
| Q | Which stock positions contributed the most to the Fund’s relative returns during the Reporting Period? |
| |
| A | We seek to outpace the Index by overweighting stocks we expect to outperform and underweighting those we think may lag. We also build positions based on our thematic views. For example, the Fund aims to hold a basket of stocks with better Momentum characteristics than the benchmark. |
Security selection in the industrials, information technology and consumer staples sectors added the most to the Fund’s relative performance during the Reporting Period. The Fund benefited from overweighted positions in Arkema, a French chemical manufacturer; Tognum, a German supplier of engines and propulsion systems; and Bechtle, a German information technology services company. Our positive views of Valuation and Momentum led us to overweight Arkema and Bechtle. The Fund was overweight Tognum as a result of our positive views on Momentum and Quality.
PORTFOLIO RESULTS
| |
| Q | Which Fund positions detracted most from results during the Reporting Period? |
| |
| A | Consumer discretionary was the only sector in which our stock picks dampened the Fund’s relative returns. In particular, the Fund was hampered by its overweighted positions in Dixons Retail, a British consumer electronics retailer, and Dominos Pizza UK & IRL, a U.K.-based franchisee of the international fast food pizza delivery chain. We chose to overweight Dixons Retail because of our positive views on Profitability and Valuation, while the Fund was overweight Dominos Pizza because of our positive views on Profitability and Sentiment. An underweighted position in Iluka Resources, an Australia-based minerals mining and processing company, also slowed performance versus the Index. The Fund’s underweighted position in Iluka Resources was the result of our negative views on Momentum and Profitability. |
| |
| Q | What impact did country selection have on the Fund’s relative performance during the Reporting Period? |
| |
| A | The Fund’s overweighted positions relative to the Index in U.K., Swedish and German stocks contributed to relative performance. Underweights compared to the Index in the stocks of Australian, Italian and Belgian companies detracted. Security selection in all six countries added to returns. |
| |
| Q | How did the Fund use derivatives or similar instruments during the Reporting Period? |
| |
| A | As we sought to increase the Fund’s total return and to hedge its portfolio against shifts in market conditions, we used instruments such as financial futures contracts. Specifically, we used stock futures to equitize the Fund’s cash holdings. In other words, we put the Fund’s cash holdings to work by using them as collateral for the purchase of stock futures. |
| |
| Q | What changes did you make to the Fund’s country weightings during the Reporting Period? |
| |
| A | The largest shifts we made during the Reporting Period were to increase the Fund’s weightings relative to the Index in the U.K., Switzerland and Spain and to decrease the Fund’s weightings in Australia, France and Denmark. |
| |
| Q | What were the Fund’s sector and country weightings at the end of the Reporting Period? |
| |
| A | At the end of the Reporting Period, the Fund was overweight the energy, materials, utilities and health care sectors relative to the Index, adjusted for our country views. The Fund was underweight financials, telecommunication services, consumer staples, industrials and consumer discretionary. It was relatively neutral compared to the Index in information technology at the end of the Reporting Period. |
In terms of countries, the Fund was overweight the U.K., Austria, Germany, Norway and Sweden relative to the Index. It was underweight Australia, Denmark, Greece and Finland. At the end of the Reporting Period, the Fund was rather neutral relative to the Index in Portugal, Switzerland, Hong Kong, Italy, Japan, Singapore, Israel, the Netherlands, New Zealand, Belgium, France, Spain and Ireland.
FUND BASICS
Structured International Small Cap Fund
as of April 30, 2011
| | | | | | | | | | | |
| | | Fund Total Return
| | MSCI EAFE
| | |
| November 1, 2010–April 30, 2011 | | (based on NAV)1 | | Small Cap Index2 | | |
|
| |
| Class A | | | 19.01 | % | | | 16.67 | % | | |
| Class C | | | 18.48 | | | | 16.67 | | | |
| Institutional | | | 19.33 | | | | 16.67 | | | |
| Class IR | | | 19.16 | | | | 16.67 | | | |
|
| | |
| 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 charge. |
| |
| 2 | | The Morgan Stanley Capital International (MSCI) EAFE (Europe, Australasia, Far East) (net of dividend withholding taxes) (the “Index”) is designed to measure the equity market performance of the small market capitalization segment & developed markets excluding the US and Canada. MSCI selects the most liquid securities across developed markets relative to their market capitalization, and targets for index inclusion 40% of the full market capitalization of the eligible small cap universe within each industry group, within each country. Its returns include net reinvested dividends but, unlike Fund returns, do not reflect the payment of sales commissions or other expenses incurred in the purchase or sale of the securities included in the Index. It is not possible to invest directly in an unmanaged index. |
| |
| STANDARDIZED AVERAGE ANNUAL TOTAL RETURNS3 | |
| | | | | | | | | | | | | |
| For the period ended 3/31/11 | | One Year | | Since Inception | | Inception Date | | |
|
| |
| Class A | | | 16.50 | % | | | -2.07 | % | | 9/28/07 | | |
| Class C | | | 21.19 | | | | -1.19 | | | 9/28/07 | | |
| Institutional | | | 23.69 | | | | -0.07 | | | 9/28/07 | | |
| Class IR | | | N/A | | | | 31.79 | | | 8/31/10 | | |
|
| | |
| 3 | | The Standardized Average Annual Total Returns are average annual total returns or cumulative total returns (only if performance is one year or less) as of the most recent calendar quarter-end. They assume reinvestment of all distributions at NAV. These returns reflect a maximum initial sales charge of 5.5% for Class A Shares and the assumed contingent deferred sales charge for Class C Shares (1% if redeemed within 12 months of purchase). Because Institutional and Class IR Shares do not involve a sales charge, such a charge is not applied to their Standardized Average Annual Total Returns. |
| |
| | These 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 fee waivers and/or 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
| | | | | | | | | | | |
| | | Net Expense Ratio (Current) | | Gross Expense Ratio (Before Waivers) | | |
|
| |
| Class A | | | 1.30 | % | | | 1.50 | % | | |
| Class C | | | 2.05 | | | | 2.25 | | | |
| Institutional | | | 0.90 | | | | 1.10 | | | |
| Class IR | | | 1.05 | | | | 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 Prospectus for the Fund and may differ from the expense ratios disclosed in the Financial Highlights in this report. Applicable waivers and expense limitations may be modified or terminated in the future, consistent with the terms of any arrangement in place. If this occurs, the expense ratios may change. |
| |
| TOP TEN HOLDINGS AS OF 4/30/115 | |
| | | | | | | | | | | |
| | | % of Total
| | | | | | |
| Holding | | Net Assets | | Line of Business | | Country | | |
|
| |
| Arkema SA | | | 1.4 | % | | Materials | | France | | |
Domino’s Pizza
UK & IRL PLC | | | 1.2 | | | Consumer Services | | United Kingdom | | |
| Drax Group PLC | | | 1.2 | | | Utilities | | United Kingdom | | |
Helvetia Holding AG
(Registered) | | | 0.9 | | | Insurance | | Switzerland | | |
| Bodycote PLC | | | 0.7 | | | Capital Goods | | United Kingdom | | |
| Western Areas NL | | | 0.7 | | | Materials | | Australia | | |
| Corp. Financiera Alba SA | | | 0.7 | | | Diversified Financials | | Spain | | |
| DS Smith PLC | | | 0.7 | | | Materials | | United Kingdom | | |
| Aixtron SE | | | 0.7 | | | Semiconductors &
Semiconductor Equipment | | Germany | | |
| Filtrona PLC | | | 0.7 | | | Materials | | United Kingdom | | |
|
| | |
| 5 | | The top 10 holdings may not be representative of the Fund’s future investments. |
FUND BASICS
| |
| FUND VS. BENCHMARK SECTOR ALLOCATIONS6 | |
As of April 30, 2011
| | |
| 6 | | 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. Consequently, the Fund’s overall industry sector allocations may differ from percentages contained in the graph above. 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). Investment in the securities lending reinvestment vehicle represented 5.8% of the Fund’s net assets at April 30, 2011. Short-term investments represent investments in investment companies other than those that are exchange traded. |
GOLDMAN SACHS STRUCTURED EMERGING MARKETS EQUITY FUND
Schedule of Investments
April 30, 2011 (Unaudited)
| | | | | | | | | |
| Shares | | Description | | Value |
| |
Common Stocks – 97.8% |
Brazil – 14.8% |
| | 556,200 | | | Banco do Brasil SA (Banks) | | $ | 10,217,505 | |
| | 447,200 | | | Banco do Estado do Rio Grande do Sul SA Preference B Shares (Banks) | | | 5,315,688 | |
| | 31,600 | | | Banco Santander Brasil SA ADR (Banks) | | | 366,876 | |
| | 435,400 | | | BR Malls Participacoes SA (Real Estate) | | | 4,599,764 | |
| | 8,700 | | | BRF-Brasil Foods SA (Food, Beverage & Tobacco)* | | | 176,411 | |
| | 49,400 | | | Centrais Eletricas Brasileiras SA (Utilities)* | | | 720,966 | |
| | 22,700 | | | Centrais Eletricas Brasileiras SA Preference B Shares (Utilities)* | | | 415,705 | |
| | 24,000 | | | Companhia de Bebidas das Americas (Food, Beverage & Tobacco) | | | 645,156 | |
| | 60,650 | | | Companhia de Saneamento Basico do Estado de Sao Paulo ADR (Utilities)*(a) | | | 3,549,238 | |
| | 30,300 | | | Companhia de Saneamento de Minas Gerais (Utilities)* | | | 538,898 | |
| | 98,075 | | | Embraer SA ADR (Capital Goods)* | | | 3,185,476 | |
| | 101,900 | | | Marcopolo SA Preference Shares (Capital Goods) | | | 452,112 | |
| | 156,050 | | | Petroleo Brasileiro SA ADR (Energy) | | | 5,825,347 | |
| | 506,500 | | | Petroleo Brasileiro SA Preference Shares (Energy) | | | 8,229,176 | |
| | 25,300 | | | Porto Seguro SA (Insurance) | | | 420,380 | |
| | 19,800 | | | Telecomunicacoes de Sao Paulo SA ADR (Telecommunication Services)(a) | | | 536,778 | |
| | 167,300 | | | Vale SA ADR (Materials) | | | 5,587,820 | |
| | 81,600 | | | Vale SA Preference A Shares (Materials) | | | 2,391,670 | |
| | | | | | | | | |
| | | | | | | | 53,174,966 | |
| |
| |
Chile – 3.3% |
| | 878,291 | | | Centros Comerciales Sudamericanos SA (Food & Staples Retailing) | | | 6,936,296 | |
| | 27,804 | | | Empresas CMPC SA (Materials) | | | 1,543,003 | |
| | 30,468 | | | Empresas COPEC SA (Capital Goods) | | | 590,951 | |
| | 39,818 | | | Quinenco SA (Capital Goods) | | | 156,894 | |
| | 224,694 | | | S.A.C.I. SA Falabella (Retailing) | | | 2,451,993 | |
| | 4,007 | | | Sociedad Quimica y Minera de Chile SA ADR (Materials)(a) | | | 244,547 | |
| | | | | | | | | |
| | | | | | | | 11,923,684 | |
| |
| |
China – 11.6% |
| | 2,130,000 | | | Agricultural Bank of China Ltd. Class H (Banks)* | | | 1,261,286 | |
| | 21,955,000 | | | Bank of China Ltd. Class H (Banks) | | | 12,151,733 | |
| | 1,709,000 | | | China Communications Construction Co. Ltd. Class H (Capital Goods) | | | 1,582,879 | |
| | 10,590,000 | | | China Construction Bank Corp. Class H (Banks) | | | 10,027,905 | |
| | 1,299,500 | | | Great Wall Motor Co. Ltd. Class H (Automobiles & Components) | | | 2,335,226 | |
| | 488,400 | | | Guangzhou R&F Properties Co. Ltd. Class H (Real Estate) | | | 667,660 | |
| | 124,000 | | | Harbin Power Equipment Co. Ltd. Class H (Capital Goods) | | | 119,603 | |
| | 41,600 | | | NetEase.com, Inc. ADR (Software & Services)* | | | 2,050,048 | |
| | 7,878,000 | | | PetroChina Co. Ltd. Class H (Energy) | | | 11,435,705 | |
| | | | | | | | | |
| | | | | | | | 41,632,045 | |
| |
| |
Egypt – 0.3% |
| | 397,050 | | | Talaat Moustafa Group Holding (Real Estate)* | | | 241,516 | |
| | 312,426 | | | Telecom Egypt SAE (Telecommunication Services) | | | 857,285 | |
| | | | | | | | | |
| | | | | | | | 1,098,801 | |
| |
| |
Hong Kong – 5.1% |
| | 1,281,000 | | | China Mobile Ltd. (Telecommunication Services) | | | 11,783,257 | |
| | 1,524,000 | | | Citic Pacific Ltd. (Capital Goods) | | | 4,565,893 | |
| | 180,000 | | | CNOOC Ltd. (Energy) | | | 447,404 | |
| | 236,000 | | | Kingboard Chemical Holdings Ltd. (Technology Hardware & Equipment) | | | 1,295,083 | |
| | 330,000 | | | TPV Technology Ltd. (Technology Hardware & Equipment) | | | 189,874 | |
| | | | | | | | | |
| | | | | | | | 18,281,511 | |
| |
| |
Hungary – 0.3% |
| | 28,428 | | | OTP Bank PLC (Banks)* | | | 1,009,261 | |
| |
| |
India – 3.2% |
| | 805,724 | | | Ashok Leyland Ltd. (Capital Goods) | | | 967,911 | |
| | 86,151 | | | Bajaj Holdings and Investment Ltd. (Diversified Financials) | | | 1,531,366 | |
| | 157,686 | | | Federal Bank Ltd. (Banks) | | | 1,499,576 | |
| | 364,401 | | | Indiabulls Financial Services Ltd. (Diversified Financials) | | | 1,471,099 | |
| | 849,798 | | | Indian Bank (Banks) | | | 4,643,341 | |
| | 89,209 | | | Patni Computer Systems Ltd. (Software & Services) | | | 863,769 | |
| | 21,881 | | | Tata Motors Ltd. (Capital Goods) | | | 612,623 | |
| | | | | | | | | |
| | | | | | | | 11,589,685 | |
| |
| |
Indonesia – 6.9% |
| | 1,966,000 | | | PT Aneka Tambang Tbk (Materials) | | | 524,278 | |
| | 96,500 | | | PT Astra Agro Lestari Tbk (Food, Beverage & Tobacco) | | | 261,741 | |
| | 352,000 | | | PT Bank Central Asia Tbk (Banks) | | | 304,869 | |
| | 636,500 | | | PT Bank Mandiri Tbk (Banks) | | | 532,353 | |
| | 4,393,500 | | | PT Bank Negara Indonesia (Persero) Tbk (Banks) | | | 2,081,413 | |
| | 2,332,000 | | | PT Bank Rakyat Indonesia (Persero) Tbk (Banks) | | | 1,760,719 | |
The accompanying notes are an integral part of these financial statements. 21
GOLDMAN SACHS STRUCTURED EMERGING MARKETS EQUITY FUND
Schedule of Investments (continued)
April 30, 2011 (Unaudited)
| | | | | | | | | |
| Shares | | Description | | Value |
| |
Common Stocks – (continued) |
Indonesia – (continued) |
| | | | | | | | | |
| | 9,873,000 | | | PT Charoen Pokphand Indonesia Tbk (Food, Beverage & Tobacco) | | $ | 2,228,376 | |
| | 50,500 | | | PT Gudang Garam Tbk (Food, Beverage & Tobacco) | | | 239,889 | |
| | 575,500 | | | PT Indika Energy Tbk (Energy) | | | 273,004 | |
| | 58,500 | | | PT Indo Tambangraya Megah (Energy) | | | 320,522 | |
| | 763,000 | | | PT Indofood CBP Sukses Makmur Tbk (Food, Beverage & Tobacco)* | | | 481,333 | |
| | 13,204,000 | | | PT Indofood Sukses Makmur Tbk (Food, Beverage & Tobacco) | | | 8,569,533 | |
| | 3,469,000 | | | PT International Nickel Indonesia Tbk (Materials) | | | 2,023,349 | |
| | 3,574,500 | | | PT Kalbe Farma Tbk (Pharmaceuticals, Biotechnology & Life Sciences) | | | 1,495,551 | |
| | 1,137,500 | | | PT Medco Energi Internasional Tbk (Energy) | | | 366,589 | |
| | 4,371,000 | | | PT Perusahaan Gas Negara (Utilities) | | | 2,047,060 | |
| | 2,835,000 | | | PT Perusahaan Perkebunan London Sumatra Indonesia Tbk (Food, Beverage & Tobacco) | | | 813,181 | |
| | 186,500 | | | PT Telekomunikasi Indonesia Tbk (Telecommunication Services) | | | 168,101 | |
| | 92,500 | | | PT United Tractors Tbk (Capital Goods) | | | 251,605 | |
| | | | | | | | | |
| | | | | | | | 24,743,466 | |
| |
| |
Malaysia – 1.9% |
| | 1,241,400 | | | AMMB Holdings Berhad (Diversified Financials) | | | 2,677,027 | |
| | 87,300 | | | Boustead Holdings Berhad (Capital Goods) | | | 170,711 | |
| | 348,500 | | | Genting Malaysia Berhad (Consumer Services) | | | 1,366,689 | |
| | 332,100 | | | IOI Corp. Berhad (Food, Beverage & Tobacco) | | | 593,733 | |
| | 525,700 | | | Malayan Banking Berhad (Banks) | | | 1,554,517 | |
| | 147,600 | | | Public Bank Berhad (Banks) | | | 653,123 | |
| | | | | | | | | |
| | | | | | | | 7,015,800 | |
| |
| |
Mexico – 9.3% |
| | 26,600 | | | Alfa SAB de CV Class A (Capital Goods) | | | 395,359 | |
| | 182,020 | | | America Movil SAB de CV Series L ADR (Telecommunication Services) | | | 10,411,544 | |
| | 48,840 | | | Cemex SAB de CV ADR (Materials)* | | | 423,931 | |
| | 74,840 | | | Fomento Economico Mexicano SAB de CV ADR (Food, Beverage & Tobacco) | | | 4,707,436 | |
| | 49,330 | | | Grupo Aeroportuario del Pacifico SAB de CV ADR (Transportation)(a) | | | 2,057,554 | |
| | 20,440 | | | Grupo Aeroportuario del Sureste SAB de CV ADR (Transportation) | | | 1,209,230 | |
| | 360,000 | | | Grupo Carso SAB de CV Series A-1 (Capital Goods) | | | 1,398,508 | |
| | 987,900 | | | Grupo Mexico SAB de CV Series B (Materials) | | | 3,420,667 | |
| | 187,920 | | | Grupo Televisa SA ADR (Media)* | | | 4,457,463 | |
| | 9,225 | | | Industrias Penoles SAB de CV (Materials) | | | 359,009 | |
| | 600,100 | | | Inmuebles Carso SAB de CV (Diversified Financials)* | | | 676,642 | |
| | 600,100 | | | Minera Frisco SAB de CV Series A-1 (Materials)* | | | 2,584,584 | |
| | 32,530 | | | Telefonos de Mexico SAB de CV ADR (Telecommunication Services)(a) | | | 608,962 | |
| | 280,400 | | | Wal-Mart de Mexico SAB de CV Series V (Food & Staples Retailing) | | | 876,882 | |
| | | | | | | | | |
| | | | | | | | 33,587,771 | |
| |
| |
Philippines – 1.5% |
| | 2,208,000 | | | Alliance Global Group, Inc. (Food & Staples Retailing) | | | 612,762 | |
| | 27,100 | | | Ayala Corp. (Diversified Financials) | | | 247,887 | |
| | 643,820 | | | Banco de Oro Unibank, Inc. (Banks) | | | 817,769 | |
| | 1,444,900 | | | DMCI Holdings, Inc. (Capital Goods) | | | 1,491,638 | |
| | 907,190 | | | The Metropolitan Bank & Trust Co. (Banks)* | | | 1,455,786 | |
| | 836,900 | | | Universal Robina Corp. (Food, Beverage & Tobacco)* | | | 730,079 | |
| | | | | | | | | |
| | | | | | | | 5,355,921 | |
| |
| |
Poland – 5.2% |
| | 169,142 | | | KGHM Polska Miedz SA (Materials) | | | 12,442,038 | |
| | 220,853 | | | Polski Koncern Naftowy Orlen SA (Energy)* | | | 4,603,252 | |
| | 310,064 | | | Polskie Gornictwo Naftowe i Gazownictwo SA (Energy) | | | 454,125 | |
| | 108,338 | | | Tauron Polska Energia SA (Utilities)* | | | 253,053 | |
| | 158,297 | | | Telekomunikacja Polska SA (Telecommunication Services) | | | 1,046,489 | |
| | | | | | | | | |
| | | | | | | | 18,798,957 | |
| |
| |
Russia – 9.2% |
| | 7,343 | | | Eurasia Drilling Co. Ltd. GDR (Energy) | | | 247,459 | |
| | 47,573,700 | | | Federal Hydrogenerating Co. (Utilities)* | | | 2,409,894 | |
| | 3,228 | | | Novolipetsk Steel OJSC GDR (Materials) | | | 123,657 | |
| | 719,079 | | | OAO Gazprom ADR (Energy) | | | 12,183,891 | |
| | 141,073 | | | OAO Lukoil ADR (Energy) | | | 9,827,004 | |
| | 496,993 | | | OJSC Surgutneftegaz ADR (Energy) | | | 5,314,531 | |
| | 4,892,484 | | | OJSC Surgutneftegaz Preference S Shares (Energy) | | | 2,857,766 | |
| | | | | | | | | |
| | | | | | | | 32,964,202 | |
| |
| |
22 The accompanying notes are an integral part of these financial statements.
GOLDMAN SACHS STRUCTURED EMERGING MARKETS EQUITY FUND
| | | | | | | | | |
| Shares | | Description | | Value |
| |
Common Stocks – (continued) |
| | | | | | | | | |
South Africa – 1.9% |
| | 362,947 | | | AVI Ltd. (Food, Beverage & Tobacco) | | $ | 1,702,783 | |
| | 295,973 | | | Imperial Holdings Ltd. (Retailing) | | | 5,325,390 | |
| | | | | | | | | |
| | | | | | | | 7,028,173 | |
| |
| |
South Korea – 16.5% |
| | 68,390 | | | Daeduck Electronics Co. (Technology Hardware & Equipment) | | | 732,062 | |
| | 5,573 | | | Daelim Industrial Co. Ltd. (Capital Goods) | | | 630,327 | |
| | 8,400 | | | Daewoo Shipbuilding & Marine Engineering Co. Ltd. (Capital Goods) | | | 360,008 | |
| | 19,040 | | | Hanjin Heavy Industries & Construction Co. Ltd. (Capital Goods)* | | | 693,677 | |
| | 95,951 | | | Hanwha Chemical Corp. (Materials) | | | 4,282,167 | |
| | 4,122 | | | Honam Petrochemical Corp. (Materials) | | | 1,459,508 | |
| | 3,055 | | | Hyundai Mipo Dockyard Co. Ltd. (Capital Goods) | | | 542,604 | |
| | 81,473 | | | Hyundai Motor Co. Preference Shares (Automobiles & Components) | | | 13,919,716 | |
| | 7,025 | | | Hyundai Steel Co. (Materials) | | | 894,929 | |
| | 23,840 | | | Industrial Bank of Korea (Banks) | | | 458,149 | |
| | 29,229 | | | KB Financial Group, Inc. (Banks) | | | 1,566,833 | |
| | 29,570 | | | Kolon Corp. (Materials) | | | 793,479 | |
| | 18,455 | | | Korea Petrochemical Industrial Co. Ltd. (Materials) | | | 2,207,820 | |
| | 173,570 | | | KP Chemical Corp. (Materials) | | | 4,284,108 | |
| | 7,352 | | | Lotte Shopping Co. Ltd. (Retailing) | | | 3,352,964 | |
| | 9,610 | | | Poongsan Corp. (Materials) | | | 366,132 | |
| | 59,150 | | | S&T Dynamics Co. Ltd. (Capital Goods) | | | 916,902 | |
| | 55,041 | | | Samsung Card Co. Ltd. (Diversified Financials) | | | 2,734,766 | |
| | 16,225 | | | Samsung Electronics Co. Ltd. (Semiconductors & Semiconductor Equipment) | | | 13,552,431 | |
| | 7,005 | | | Sindoh Co. Ltd. (Technology Hardware & Equipment) | | | 345,135 | |
| | 74,616 | | | SK Chemicals Co. Ltd. (Materials) | | | 5,271,109 | |
| | | | | | | | | |
| | | | | | | | 59,364,826 | |
| |
| |
Taiwan – 6.4% |
| | 3,839,000 | | | China Manmade Fibers Corp. (Materials)* | | | 1,794,351 | |
| | 134,000 | | | CSBC Corp. Taiwan (Capital Goods) | | | 131,474 | |
| | 3,398,636 | | | Fubon Financial Holding Co. Ltd. (Diversified Financials) | | | 4,992,490 | |
| | 800,000 | | | Grand Pacific Petrochemical (Materials) | | | 548,133 | |
| | 708,000 | | | Lingsen Precision Industries Ltd. (Semiconductors & Semiconductor Equipment) | | | 593,617 | |
| | 5,066,880 | | | Macronix International Co. Ltd. (Semiconductors & Semiconductor Equipment) | | | 3,331,248 | |
| | 299,440 | | | Pou Chen Corp. (Consumer Durables & Apparel) | | | 282,917 | |
| | 833,080 | | | Radiant Opto-Electronics Corp. (Semiconductors & Semiconductor Equipment) | | | 2,523,900 | |
| | 117,000 | | | Springsoft, Inc. (Software & Services) | | | 138,234 | |
| | 2,486,000 | | | Systex Corp. (Software & Services) | | | 3,665,890 | |
| | 391,000 | | | Teco Electric and Machinery Co. Ltd. (Capital Goods) | | | 277,018 | |
| | 6,455,000 | | | United Microelectronics Corp. (Semiconductors & Semiconductor Equipment) | | | 3,369,184 | |
| | 284,000 | | | UPC Technology Corp. (Materials) | | | 241,011 | |
| | 111,000 | | | USI Corp. (Materials) | | | 148,828 | |
| | 80,000 | | | Wafer Works Corp. (Semiconductors & Semiconductor Equipment)* | | | 129,416 | |
| | 385,000 | | | Yungtay Engineering Co. Ltd. (Capital Goods) | | | 719,768 | |
| | | | | | | | | |
| | | | | | | | 22,887,479 | |
| |
| |
Thailand – 0.2% |
| | 141,900 | | | PTT Exploration & Production PCL (Energy) | | | 880,672 | |
| |
| |
Turkey – 0.1% |
| | 40,125 | | | Haci Omer Sabanci Holding AS (Diversified Financials) | | | 214,803 | |
| |
| |
Ukraine – 0.1% |
| | 19,502 | | | Kernel Holding SA (Food, Beverage & Tobacco)* | | | 529,501 | |
| |
| |
TOTAL COMMON STOCKS |
(Cost $271,879,402) | | $ | 352,081,524 | |
| |
| |
| | | | | | | | | |
| | | | | | | | | |
Exchange Traded Fund – 2.0% |
Other – 2.0% |
| | 143,782 | | | Vanguard MSCI Emerging Markets ETF | | $ | 7,272,494 | |
(Cost $7,180,118) | | | | |
| |
| |
TOTAL INVESTMENTS BEFORE SECURITIES LENDING REINVESTMENT VEHICLE |
(Cost $279,059,520) | | $ | 359,354,018 | |
| |
| |
The accompanying notes are an integral part of these financial statements. 23
GOLDMAN SACHS STRUCTURED EMERGING MARKETS EQUITY FUND
Schedule of Investments (continued)
April 30, 2011 (Unaudited)
| | | | | | | | | | | |
| Shares | | Rate | | Value |
| |
Securities Lending Reinvestment Vehicle(b)(c) – 0.6% |
| |
| Goldman Sachs Financial Square Money Market Fund – FST Shares |
| | 2,069,825 | | | | 0.110 | % | | $ | 2,069,825 | |
(Cost $2,069,825) | | | | |
| |
| |
TOTAL INVESTMENTS – 100.4% |
(Cost $281,129,345) | | $ | 361,423,843 | |
| |
| |
LIABILITIES IN EXCESS OF OTHER ASSETS – (0.4)% | | | (1,576,062 | ) |
| |
| |
NET ASSETS – 100.0% | | $ | 359,847,781 | |
| |
| |
The percentage shown for each investment category reflects the value of investments in that category as a percentage of net assets.
| | |
| * | | Non-income producing security. |
| |
| (a) | | All or a portion of security is on loan. |
| |
| (b) | | Represents an affiliated issuer. |
| |
| (c) | | Variable rate security. Interest rate disclosed is that which is in effect at April 30, 2011. |
| | | | | |
| |
| |
Investment Abbreviations: |
| ADR | | — | | American Depositary Receipt |
| GDR | | — | | Global Depositary Receipt |
| |
| |
24 The accompanying notes are an integral part of these financial statements.
GOLDMAN SACHS STRUCTURED INTERNATIONAL EQUITY FUND
Schedule of Investments
April 30, 2011 (Unaudited)
| | | | | | | | | |
| Shares | | Description | | Value |
| |
Common Stocks – 97.0% |
Austria – 1.2% |
| | 28,429 | | | Erste Group Bank AG (Banks)(a) | | $ | 1,435,301 | |
| | 344,925 | | | OMV AG (Energy) | | | 15,725,296 | |
| | 80,291 | | | Vienna Insurance Group AG Wiener Versicherung Gruppe (Insurance)(a) | | | 4,789,320 | |
| | 137,677 | | | Voestalpine AG (Materials) | | | 6,773,349 | |
| | | | | | | | | |
| | | | | | | | 28,723,266 | |
| |
| |
Belgium – 2.6% |
| | 1,233,570 | | | Ageas SA (Insurance)(a) | | | 3,739,439 | |
| | 382,310 | | | Dexia SA (Banks)*(a) | | | 1,522,692 | |
| | 102,478 | | | KBC Groep NV (Banks)* | | | 4,171,571 | |
| | 187,129 | | | Solvay SA (Materials) | | | 26,980,092 | |
| | 177,583 | | | UCB SA (Pharmaceuticals, Biotechnology & Life Sciences) | | | 8,579,590 | |
| | 303,970 | | | Umicore NV (Materials)(a) | | | 17,423,061 | |
| | | | | | | | | |
| | | | | | | | 62,416,445 | |
| |
| |
Bermuda – 0.3% |
| | 200,215 | | | Seadrill Ltd. (Energy) | | | 7,103,214 | |
| |
| |
China – 0.1% |
| | 2,065,000 | | | Yangzijiang Shipbuilding Holdings Ltd. (Capital Goods) | | | 3,058,624 | |
| |
| |
Denmark – 0.3% |
| | 52,395 | | | Carlsberg A/S Class B (Food, Beverage & Tobacco) | | | 6,216,929 | |
| |
| |
Finland – 0.5% |
| | 752,417 | | | Nokia Oyj (Technology Hardware & Equipment)(a) | | | 6,931,561 | |
| | 126,974 | | | Wartsila Oyj (Capital Goods) | | | 4,991,241 | |
| | | | | | | | | |
| | | | | | | | 11,922,802 | |
| |
| |
France – 13.7% |
| | 6,065 | | | Arkema SA (Materials) | | | 631,669 | |
| | 422,610 | | | AXA SA (Insurance)(a) | | | 9,474,095 | |
| | 640,443 | | | BNP Paribas (Banks) | | | 50,629,904 | |
| | 18,126 | | | Bouygues SA (Capital Goods)(a) | | | 902,047 | |
| | 83,975 | | | Christian Dior SA (Consumer Durables & Apparel) | | | 13,471,059 | |
| | 33,397 | | | Compagnie de Saint-Gobain (Capital Goods) | | | 2,304,380 | |
| | 13,653 | | | Compagnie Generale des Etablissements Michelin Class B (Automobiles & Components) | | | 1,368,495 | |
| | 207,253 | | | Credit Agricole SA (Banks) | | | 3,447,437 | |
| | 19,224 | | | Fonciere Des Regions SA (REIT) | | | 2,181,588 | |
| | 2,376,742 | | | France Telecom SA (Telecommunication Services) | | | 55,697,416 | |
| | 200,830 | | | GDF Suez SA (Utilities)(a) | | | 8,211,793 | |
| | 244,113 | | | Lagardere SCA (Media) | | | 10,717,989 | |
| | 227,492 | | | Legrand SA (Capital Goods) | | | 10,386,964 | |
| | 21,015 | | | L’Oreal SA (Household & Personal Products)(a) | | | 2,663,940 | |
| | 184,178 | | | M6 Metropole Television SA (Media) | | | 4,886,628 | |
| | 251,450 | | | PSA Peugeot Citroen SA (Automobiles & Components)* | | | 11,411,551 | |
| | 23,484 | | | Publicis Groupe SA (Media) | | | 1,330,375 | |
| | 262,704 | | | Renault SA (Automobiles & Components)* | | | 15,996,275 | |
| | 238,253 | | | Sanofi-Aventis SA (Pharmaceuticals, Biotechnology & Life Sciences) | | | 18,849,867 | |
| | 175,170 | | | SCOR SE (Insurance) | | | 5,347,367 | |
| | 9,998 | | | Societe BIC SA (Commercial & Professional Services) | | | 972,034 | |
| | 185,488 | | | Societe Generale (Banks) | | | 12,395,754 | |
| | 170,057 | | | Societe Television Francaise 1 (Media)(a) | | | 3,192,508 | |
| | 37,845 | | | Technip SA (Energy) | | | 4,270,054 | |
| | 756,567 | | | Total SA (Energy) | | | 48,451,601 | |
| | 31,184 | | | Unibail-Rodamco SE (REIT) | | | 7,295,660 | |
| | 641,170 | | | Vivendi SA (Media) | | | 20,103,830 | |
| | | | | | | | | |
| | | | | | | | 326,592,280 | |
| |
| |
Germany – 17.3% |
| | 164,565 | | | Adidas AG (Registered) (Consumer Durables & Apparel)(a) | | | 12,263,920 | |
| | 35,105 | | | Aixtron SE (Semiconductors & Semiconductor Equipment)(a) | | | 1,490,888 | |
| | 115,175 | | | Allianz SE (Registered) (Insurance)(a) | | | 18,095,273 | |
| | 168,226 | | | BASF SE (Materials)*(a) | | | 17,274,107 | |
| | 308,385 | | | Bayer AG (Registered) (Pharmaceuticals, Biotechnology & Life Sciences)(a) | | | 27,074,528 | |
| | 56,820 | | | Beiersdorf AG (Household & Personal Products)(a) | | | 3,700,469 | |
| | 242,776 | | | Celesio AG (Health Care Equipment & Services) | | | 5,897,128 | |
| | 1,128,559 | | | Commerzbank AG (Banks)*(a) | | | 7,181,522 | |
| | 28,376 | | | Continental AG (Automobiles & Components)* | | | 2,845,155 | |
| | 40,643 | | | Daimler AG (Registered) (Automobiles & Components) | | | 3,141,150 | |
| | 322,562 | | | Deutsche Bank AG (Registered) (Diversified Financials) | | | 21,008,234 | |
| | 627,779 | | | Deutsche Post AG (Registered) (Transportation)* | | | 12,407,180 | |
| | 1,168,639 | | | Deutsche Telekom AG (Registered) (Telecommunication Services) | | | 19,313,218 | |
| | 2,319,651 | | | E.ON AG (Utilities)(a) | | | 79,283,639 | |
| | 25,707 | | | HeidelbergCement AG (Materials) | | | 1,965,742 | |
| | 95,920 | | | Henkel AG & Co. KGaA Preference Shares (Household & Personal Products)(a) | | | 6,539,327 | |
| | 748,330 | | | Infineon Technologies AG (Semiconductors & Semiconductor Equipment) | | | 8,484,204 | |
| | 49,300 | | | K+S AG (Materials) | | | 3,981,731 | |
| | 88,103 | | | Lanxess AG (Materials) | | | 8,060,921 | |
| | 79,623 | | | MAN SE (Capital Goods)* | | | 11,092,601 | |
The accompanying notes are an integral part of these financial statements. 25
GOLDMAN SACHS STRUCTURED INTERNATIONAL EQUITY FUND
Schedule of Investments (continued)
April 30, 2011 (Unaudited)
| | | | | | | | | |
| Shares | | Description | | Value |
| |
Common Stocks – (continued) |
Germany – (continued) |
| | | | | | | | | |
| | 92,123 | | | Metro AG (Food & Staples Retailing)(a) | | $ | 6,761,069 | |
| | 258,462 | | | Muenchener Rueckversicherungs-Gesellschaft AG (Registered) (Insurance) | | | 42,665,399 | |
| | 163,702 | | | Porsche Automobil Holding SE Preference Shares (Automobiles & Components) | | | 11,832,933 | |
| | 23,073 | | | RWE AG (Utilities) | | | 1,505,233 | |
| | 324,448 | | | Siemens AG (Registered) (Capital Goods) | | | 47,193,806 | |
| | 32,131 | | | Stada Arzneimittel AG (Pharmaceuticals, Biotechnology & Life Sciences) | | | 1,420,633 | |
| | 338,797 | | | Suedzucker AG (Food, Beverage & Tobacco) | | | 10,444,699 | |
| | 17,423 | | | Symrise AG (Materials) | | | 573,484 | |
| | 514,297 | | | TUI AG (Consumer Services)* | | | 6,565,769 | |
| | 25,397 | | | Volkswagen AG (Automobiles & Components)*(a) | | | 4,522,677 | |
| | 36,137 | | | Volkswagen AG Preference Shares (Automobiles & Components)*(a) | | | 7,112,416 | |
| | | | | | | | | |
| | | | | | | | 411,699,055 | |
| |
| |
Hong Kong – 1.9% |
| | 1,595,800 | | | AIA Group Ltd. (Insurance)* | | | 5,381,825 | |
| | 1,635,500 | | | BOC Hong Kong (Holdings) Ltd. (Banks) | | | 5,141,249 | |
| | 100,000 | | | Cheung Kong (Holdings) Ltd. (Real Estate) | | | 1,578,245 | |
| | 659,000 | | | CLP Holdings Ltd. (Utilities) | | | 5,420,443 | |
| | 477,849 | | | Esprit Holdings Ltd. (Retailing) | | | 1,994,227 | |
| | 136,000 | | | Hang Lung Group Ltd. (Real Estate) | | | 916,439 | |
| | 262,000 | | | Hutchison Whampoa Ltd. (Capital Goods) | | | 2,996,367 | |
| | 1,572,256 | | | New World Development Ltd. (Real Estate) | | | 2,767,020 | |
| | 249,000 | | | Orient Overseas International Ltd. (Transportation) | | | 1,910,889 | |
| | 406,000 | | | Swire Pacific Ltd. Class A (Real Estate) | | | 6,213,903 | |
| | 306,600 | | | The Link REIT (REIT) | | | 966,290 | |
| | 1,210,000 | | | Wheelock & Co. Ltd. (Real Estate) | | | 4,996,819 | |
| | 956,000 | | | Wynn Macau Ltd. (Consumer Services) | | | 3,411,821 | |
| | 666,500 | | | Yue Yuen Industrial Holdings Ltd. (Consumer Durables & Apparel) | | | 2,302,525 | |
| | | | | | | | | |
| | | | | | | | 45,998,062 | |
| |
| |
Ireland – 0.5% |
| | 330,169 | | | CRH PLC (Materials) | | | 8,129,722 | |
| | 105,196 | | | Kerry Group PLC Class A (Food, Beverage & Tobacco) | | | 4,325,315 | |
| | | | | | | | | |
| | | | | | | | 12,455,037 | |
| |
| |
Israel – 0.7% |
| | 277,471 | | | Bank Hapoalim BM (Banks)* | | | 1,459,145 | |
| | 262,743 | | | Bank Leumi Le-Israel BM (Banks) | | | 1,366,986 | |
| | 249,759 | | | Bezeq Israeli Telecommunication Corp. Ltd. (Telecommunication Services) | | | 741,984 | |
| | 2,081 | | | Elbit Systems Ltd. (Capital Goods) | | | 118,114 | |
| | 75,865 | | | Israel Chemicals Ltd. (Materials) | | | 1,346,522 | |
| | 22,891 | | | Makhteshim Agan Industries Ltd. (Materials)* | | | 123,533 | |
| | 59,857 | | | Mizrahi Tefahot Bank Ltd. (Banks) | | | 664,459 | |
| | 16,652 | | | NICE Systems Ltd. ADR (Software & Services)* | | | 634,941 | |
| | 25,141 | | | Partner Communications Co. Ltd. (Telecommunication Services) | | | 476,781 | |
| | 189,884 | | | Teva Pharmaceutical Industries Ltd. ADR (Pharmaceuticals, Biotechnology & Life Sciences) | | | 8,683,395 | |
| | 755 | | | The Israel Corp. Ltd. (Materials) | | | 941,115 | |
| | | | | | | | | |
| | | | | | | | 16,556,975 | |
| |
| |
Italy – 5.7% |
| | 499,369 | | | Atlantia SpA (Transportation) | | | 12,290,612 | |
| | 2,420,795 | | | Enel SpA (Utilities) | | | 17,263,506 | |
| | 701,354 | | | ENI SpA (Energy) | | | 18,777,796 | |
| | 752,459 | | | Fiat SpA (Automobiles & Components) | | | 8,035,168 | |
| | 1,274,736 | | | Finmeccanica SpA (Capital Goods) | | | 17,223,602 | |
| | 5,177,669 | | | Intesa Sanpaolo SpA (Banks) | | | 17,197,388 | |
| | 4,338,439 | | | Parmalat SpA (Food, Beverage & Tobacco)* | | | 16,426,930 | |
| | 249,883 | | | Pirelli & C. SpA (Automobiles & Components) | | | 2,601,454 | |
| | 379,881 | | | Snam Rete Gas SpA (Utilities) | | | 2,362,902 | |
| | 1,759,569 | | | Telecom Italia RSP (Telecommunication Services)(a) | | | 2,268,992 | |
| | 7,091,698 | | | Telecom Italia SpA (Telecommunication Services) | | | 10,663,286 | |
| | 531,691 | | | Terna Rete Elettrica Nazionale SpA (Utilities) | | | 2,661,900 | |
| | 2,974,353 | | | UniCredit SpA (Banks) | | | 7,659,888 | |
| | 107,171 | | | Unione di Banche Italiane ScpA (Banks) | | | 960,659 | |
| | | | | | | | | |
| | | | | | | | 136,394,083 | |
| |
| |
Japan – 18.6% |
| | 30,600 | | | Adeka Corp. (Materials) | | | 303,135 | |
| | 11,000 | | | Air Water, Inc. (Materials) | | | 132,978 | |
| | 28,500 | | | Aisin Seiki Co. Ltd. (Automobiles & Components) | | | 1,005,244 | |
| | 35,000 | | | Ajinomoto Co., Inc. (Food, Beverage & Tobacco) | | | 389,242 | |
| | 2,500 | | | Alfresa Holdings Corp. (Health Care Equipment & Services) | | | 88,281 | |
| | 6,500 | | | Alpine Electronics, Inc. (Consumer Durables & Apparel) | | | 81,642 | |
| | 30,100 | | | Alps Electric Co. Ltd. (Technology Hardware & Equipment) | | | 301,012 | |
26 The accompanying notes are an integral part of these financial statements.
GOLDMAN SACHS STRUCTURED INTERNATIONAL EQUITY FUND
| | | | | | | | | |
| Shares | | Description | | Value |
| |
Common Stocks – (continued) |
Japan – (continued) |
| | | | | | | | | |
| | 1,734,000 | | | Amada Co. Ltd. (Capital Goods) | | $ | 13,925,562 | |
| | 22,800 | | | AOC Holdings, Inc. (Energy) | | | 152,474 | |
| | 5,300 | | | Aoyama Trading Co. Ltd. (Retailing) | | | 87,309 | |
| | 73,900 | | | Asahi Breweries Ltd. (Food, Beverage & Tobacco) | | | 1,388,276 | |
| | 261,000 | | | Asahi Glass Co. Ltd. (Capital Goods) | | | 3,313,737 | |
| | 1,312,000 | | | Asahi Kasei Corp. (Materials) | | | 9,068,874 | |
| | 267,700 | | | Astellas Pharma, Inc. (Pharmaceuticals, Biotechnology & Life Sciences) | | | 10,224,328 | |
| | 25,000 | | | Bando Chemical Industries Ltd. (Capital Goods) | | | 105,358 | |
| | 3,700 | | | Benesse Holdings, Inc. (Consumer Services) | | | 153,896 | |
| | 288,700 | | | Brother Industries Ltd. (Technology Hardware & Equipment) | | | 4,420,768 | |
| | 27,000 | | | Calsonic Kansei Corp. (Automobiles & Components) | | | 110,024 | |
| | 18,000 | | | Central Glass Co. Ltd. (Capital Goods) | | | 71,155 | |
| | 507 | | | Central Japan Railway Co. (Transportation) | | | 3,833,265 | |
| | 6,700 | | | Century Tokyo Leasing Corp. (Diversified Financials) | | | 114,955 | |
| | 30,200 | | | Chubu Electric Power Co., Inc. (Utilities) | | | 661,749 | |
| | 40,100 | | | Citizen Holdings Co. Ltd. (Technology Hardware & Equipment) | | | 242,812 | |
| | 14,200 | | | Coca-Cola Central Japan Co. Ltd. (Food, Beverage & Tobacco) | | | 193,321 | |
| | 9,200 | | | Coca-Cola West Co. Ltd. (Food, Beverage & Tobacco) | | | 190,534 | |
| | 103,000 | | | Cosmo Oil Co. Ltd. (Energy) | | | 339,994 | |
| | 12,800 | | | Credit Saison Co. Ltd. (Diversified Financials) | | | 214,635 | |
| | 18,000 | | | Dai Nippon Printing Co. Ltd. (Commercial & Professional Services) | | | 215,927 | |
| | 13,000 | | | Daido Steel Co. Ltd. (Materials) | | | 74,308 | |
| | 19,500 | | | Daifuku Co. Ltd. (Capital Goods) | | | 132,304 | |
| | 249,400 | | | Daiichi Sankyo Co. Ltd. (Pharmaceuticals, Biotechnology & Life Sciences) | | | 4,900,574 | |
| | 4,700 | | | Daikin Industries Ltd. (Capital Goods) | | | 149,709 | |
| | 58,000 | | | Daikyo, Inc. (Real Estate)* | | | 93,562 | |
| | 14,000 | | | Dainichiseika Color & Chemicals Manufacturing Co. Ltd. (Materials) | | | 78,514 | |
| | 22,600 | | | Dainippon Sumitomo Pharma Co. Ltd. (Pharmaceuticals, Biotechnology & Life Sciences) | | | 217,317 | |
| | 152,000 | | | Daito Trust Construction Co. Ltd. (Real Estate) | | | 12,160,006 | |
| | 176,000 | | | Daiwa House Industry Co. Ltd. (Real Estate) | | | 2,132,452 | |
| | 670,000 | | | Daiwa Securities Group, Inc. (Diversified Financials) | | | 2,891,733 | |
| | 31,700 | | | Dena Co. Ltd. (Retailing) | | | 1,190,024 | |
| | 38,200 | | | Denso Corp. (Automobiles & Components) | | | 1,278,419 | |
| | 9,100 | | | DTS Corp. (Software & Services) | | | 86,308 | |
| | 2,900 | | | Duskin Co. Ltd. (Commercial & Professional Services) | | | 58,505 | |
| | 17,500 | | | East Japan Railway Co. (Transportation) | | | 972,659 | |
| | 6,900 | | | EDION Corp. (Retailing) | | | 59,544 | |
| | 70,800 | | | Eisai Co. Ltd. (Pharmaceuticals, Biotechnology & Life Sciences) | | | 2,574,493 | |
| | 172,200 | | | Elpida Memory, Inc. (Semiconductors & Semiconductor Equipment)*(a) | | | 2,580,239 | |
| | 851,000 | | | Fuji Heavy Industries Ltd. (Automobiles & Components) | | | 6,334,223 | |
| | 2,924 | | | Fuji Media Holdings, Inc. (Media) | | | 3,908,669 | |
| | 244,000 | | | FUJIFILM Holdings Corp. (Technology Hardware & Equipment) | | | 7,585,443 | |
| | 69,000 | | | Fujikura Ltd. (Capital Goods) | | | 357,582 | |
| | 68,000 | | | Furukawa Electric Co. Ltd. (Capital Goods) | | | 270,189 | |
| | 3,300 | | | Fuyo General Lease Co. Ltd. (Diversified Financials) | | | 103,379 | |
| | 4,900 | | | Glory Ltd. (Capital Goods) | | | 107,614 | |
| | 65,000 | | | GS Yuasa Corp. (Capital Goods) | | | 444,759 | |
| | 31,000 | | | Hankyu Hanshin Holdings, Inc. (Capital Goods) | | | 137,328 | |
| | 17,000 | | | Hanwa Co. Ltd. (Capital Goods) | | | 72,664 | |
| | 4,900 | | | Heiwa Corp. (Consumer Durables & Apparel) | | | 75,771 | |
| | 107,300 | | | Hitachi Chemical Co. Ltd. (Materials) | | | 2,211,603 | |
| | 17,600 | | | Hitachi Construction Machinery Co., Ltd. (Capital Goods) | | | 429,074 | |
| | 11,300 | | | Hitachi High-Technologies Corp. (Technology Hardware & Equipment) | | | 237,808 | |
| | 229,000 | | | Hitachi Ltd. (Technology Hardware & Equipment) | | | 1,242,950 | |
| | 6,100 | | | Hitachi Transport System Ltd. (Transportation) | | | 84,765 | |
| | 58,500 | | | Hitachi Zosen Corp. (Capital Goods) | | | 85,431 | |
| | 653,200 | | | Honda Motor Co. Ltd. (Automobiles & Components) | | | 25,111,701 | |
| | 11,300 | | | House Foods Corp. (Food, Beverage & Tobacco) | | | 184,976 | |
| | 16,500 | | | Idemitsu Kosan Co. Ltd. (Energy) | | | 1,951,302 | |
| | 197,000 | | | IHI Corp. (Capital Goods) | | | 501,250 | |
| | 20,000 | | | Inabata & Co. Ltd. (Capital Goods) | | | 114,883 | |
The accompanying notes are an integral part of these financial statements. 27
GOLDMAN SACHS STRUCTURED INTERNATIONAL EQUITY FUND
Schedule of Investments (continued)
April 30, 2011 (Unaudited)
| | | | | | | | | |
| Shares | | Description | | Value |
| |
Common Stocks – (continued) |
Japan – (continued) |
| | | | | | | | | |
| | 573,000 | | | Isuzu Motors Ltd. (Automobiles & Components) | | $ | 2,457,452 | |
| | 11,800 | | | IT Holdings Corp. (Software & Services) | | | 116,049 | |
| | 2,300 | | | Itochu Techno-Solutions Corp. (Software & Services) | | | 81,548 | |
| | 7,900 | | | Japan Petroleum Exploration Co. (Energy) | | | 387,318 | |
| | 30 | | | Japan Real Estate Investment Corp. (REIT) | | | 296,970 | |
| | 538 | | | Japan Retail Fund Investment Corp. (REIT) | | | 869,790 | |
| | 18,700 | | | JTEKT Corp. (Capital Goods) | | | 242,918 | |
| | 2,017,000 | | | JX Holdings, Inc. (Energy) | | | 14,205,104 | |
| | 25,000 | | | Kajima Corp. (Capital Goods) | | | 71,685 | |
| | 562,000 | | | Kaneka Corp. (Materials) | | | 4,101,930 | |
| | 183,800 | | | Kao Corp. (Household & Personal Products) | | | 4,600,981 | |
| | 285,000 | | | Kawasaki Kisen Kaisha Ltd. (Transportation) | | | 955,710 | |
| | 586 | | | KDDI Corp. (Telecommunication Services) | | | 3,912,182 | |
| | 25,000 | | | Kirin Holdings Co. Ltd. (Food, Beverage & Tobacco) | | | 351,784 | |
| | 12,200 | | | Komori Corp. (Capital Goods) | | | 116,125 | |
| | 26,000 | | | Konami Corp. (Software & Services) | | | 518,202 | |
| | 636,000 | | | Konica Minolta Holdings, Inc. (Technology Hardware & Equipment) | | | 5,600,644 | |
| | 6,700 | | | Kuroda Electric Co. Ltd. (Capital Goods) | | | 74,660 | |
| | 7,000 | | | Kyorin Holdings, Inc. (Pharmaceuticals, Biotechnology & Life Sciences) | | | 124,978 | |
| | 4,000 | | | Mabuchi Motor Co. Ltd. (Capital Goods) | | | 198,454 | |
| | 2,300 | | | Makita Corp. (Capital Goods) | | | 105,756 | |
| | 25,600 | | | Marui Group Co. Ltd. (Retailing) | | | 176,859 | |
| | 6,700 | | | Maruichi Steel Tube Ltd. (Materials) | | | 166,730 | |
| | 7,400 | | | Megmilk Snow Brand Co. Ltd. (Food, Beverage & Tobacco) | | | 114,968 | |
| | 6,700 | | | MEIJI Holdings Co. Ltd. (Food, Beverage & Tobacco) | | | 286,157 | |
| | 206,000 | | | Mitsubishi Chemical Holdings Corp. (Materials) | | | 1,394,906 | |
| | 147,000 | | | Mitsubishi Electric Corp. (Capital Goods) | | | 1,636,593 | |
| | 31,000 | | | Mitsubishi Gas Chemical Co., Inc. (Materials) | | | 242,868 | |
| | 1,235,700 | | | Mitsubishi UFJ Financial Group, Inc. (Banks) | | | 5,930,852 | |
| | 31,050 | | | Mitsubishi UFJ Lease & Finance Co. Ltd. (Diversified Financials) | | | 1,241,243 | |
| | 14,000 | | | Mitsuboshi Belting Co. Ltd. (Capital Goods) | | | 66,060 | |
| | 122,000 | | | Mitsui Chemicals, Inc. (Materials) | | | 447,000 | |
| | 451,000 | | | Mitsui Engineering & Shipbuilding Co. Ltd. (Capital Goods) | | | 1,119,784 | |
| | 65,000 | | | Mitsui Mining & Smelting Co. Ltd. (Materials) | | | 232,708 | |
| | 652,000 | | | Mitsui OSK Lines Ltd. (Transportation) | | | 3,636,545 | |
| | 14,100 | | | Mitsumi Electric Co. Ltd. (Technology Hardware & Equipment) | | | 180,804 | |
| | 3,099,000 | | | Mizuho Financial Group, Inc. (Banks) | | | 4,909,886 | |
| | 287,000 | | | Mizuho Securities Co. Ltd. (Diversified Financials)* | | | 730,437 | |
| | 29,200 | | | MS&AD Insurance Group Holdings (Insurance) | | | 683,801 | |
| | 8,100 | | | Nabtesco Corp. (Capital Goods) | | | 207,365 | |
| | 8,100 | | | Nagase & Co. Ltd. (Capital Goods) | | | 102,611 | |
| | 17,400 | | | Namco Bandai Holdings, Inc. (Consumer Durables & Apparel) | | | 192,158 | |
| | 18,000 | | | NHK Spring Co. Ltd. (Automobiles & Components) | | | 171,177 | |
| | 13,000 | | | Nichias Corp. (Capital Goods) | | | 79,099 | |
| | 28,600 | | | Nichiha Corp. (Capital Goods) | | | 247,787 | |
| | 7,800 | | | Nichii Gakkan Co. (Health Care Equipment & Services) | | | 61,373 | |
| | 14,900 | | | Nintendo Co. Ltd. (Software & Services) | | | 3,525,551 | |
| | 167 | | | Nippon Building Fund, Inc. (REIT) | | | 1,680,782 | |
| | 114,000 | | | Nippon Electric Glass Co. Ltd. (Technology Hardware & Equipment) | | | 1,726,037 | |
| | 2,240,000 | | | Nippon Express Co. Ltd. (Transportation) | | | 8,925,020 | |
| | 11,000 | | | Nippon Konpo Unyu Soko Co. Ltd. (Transportation) | | | 118,107 | |
| | 48,000 | | | Nippon Light Metal Co. Ltd. (Materials) | | | 98,073 | |
| | 101,000 | | | Nippon Soda Co. Ltd. (Materials) | | | 443,462 | |
| | 428,000 | | | Nippon Steel Corp. (Materials) | | | 1,338,802 | |
| | 652,600 | | | Nippon Telegraph & Telephone Corp. (Telecommunication Services) | | | 30,409,441 | |
| | 4,080 | | | Nippon Television Network Corp. (Media) | | | 580,178 | |
| | 586,000 | | | Nippon Yusen Kabushiki Kaisha (Transportation) | | | 2,166,350 | |
| | 53,700 | | | Nissan Chemical Industries Ltd. (Materials) | | | 557,200 | |
| | 2,218,200 | | | Nissan Motor Co. Ltd. (Automobiles & Components) | | | 21,342,441 | |
| | 484,500 | | | Nisshin Seifun Group, Inc. (Food, Beverage & Tobacco) | | | 6,064,907 | |
| | 999,000 | | | Nisshin Steel Co. Ltd. (Materials) | | | 1,994,101 | |
| | 69,000 | | | Nisshinbo Holdings, Inc. (Consumer Durables & Apparel) | | | 682,985 | |
28 The accompanying notes are an integral part of these financial statements.
GOLDMAN SACHS STRUCTURED INTERNATIONAL EQUITY FUND
| | | | | | | | | |
| Shares | | Description | | Value |
| |
Common Stocks – (continued) |
Japan – (continued) |
| | | | | | | | | |
| | 30,000 | | | Nitto Boseki Co. Ltd. (Capital Goods) | | $ | 72,868 | |
| | 116,900 | | | Nomura Holdings, Inc. (Diversified Financials) | | | 597,188 | |
| | 6,000 | | | NS Solutions Corp. (Software & Services) | | | 114,728 | |
| | 41,000 | | | NTN Corp. (Capital Goods) | | | 196,886 | |
| | 60 | | | NTT Data Corp. (Software & Services) | | | 198,815 | |
| | 86 | | | NTT DoCoMo, Inc. (Telecommunication Services) | | | 159,562 | |
| | 6,900 | | | Obara Corp. (Capital Goods) | | | 79,921 | |
| | 43,000 | | | Obayashi Corp. (Capital Goods) | | | 181,396 | |
| | 990 | | | Obic Co. Ltd. (Software & Services) | | | 183,590 | |
| | 1,732,000 | | | Osaka Gas Co. Ltd. (Utilities) | | | 6,391,513 | |
| | 115,000 | | | Pacific Metals Co. Ltd. (Materials) | | | 871,271 | |
| | 6,900 | | | Paltac Corp. (Retailing) | | | 116,293 | |
| | 11,400 | | | Panasonic Corp. (Consumer Durables & Apparel) | | | 140,178 | |
| | 15,600 | | | Pola Orbis Holdings, Inc. (Household & Personal Products) | | | 342,713 | |
| | 172,200 | | | Promise Co. Ltd. (Diversified Financials)* | | | 1,470,221 | |
| | 760,000 | | | Ricoh Co. Ltd. (Technology Hardware & Equipment) | | | 8,387,011 | |
| | 96,800 | | | Rohm Co. Ltd. (Semiconductors & Semiconductor Equipment) | | | 5,829,884 | |
| | 30,000 | | | Ryobi Ltd. (Capital Goods) | | | 116,241 | |
| | 3,700 | | | Ryohin Keikaku Co. Ltd. (Retailing) | | | 171,750 | |
| | 3,200 | | | Saizeriya Co. Ltd. (Consumer Services) | | | 54,566 | |
| | 17,000 | | | Sakai Chemical Industry Co. Ltd. (Materials) | | | 88,934 | |
| | 6,300 | | | Sankyo Co. Ltd. (Consumer Durables & Apparel) | | | 327,635 | |
| | 238,400 | | | Sapporo Hokuyo Holdings, Inc. (Banks) | | | 1,057,530 | |
| | 35,000 | | | Sapporo Holdings Ltd. (Food, Beverage & Tobacco) | | | 140,646 | |
| | 1,100 | | | SBI Holdings, Inc. (Diversified Financials) | | | 118,585 | |
| | 231,100 | | | Sega Sammy Holdings, Inc. (Consumer Durables & Apparel) | | | 4,047,965 | |
| | 18,000 | | | Seino Holdings Corp. (Transportation) | | | 135,216 | |
| | 60,000 | | | Sekisui Chemical Co. Ltd. (Consumer Durables & Apparel) | | | 503,397 | |
| | 7,000 | | | Sekisui Jushi Corp. (Capital Goods) | | | 72,787 | |
| | 5,600 | | | Seven & I Holdings Co. Ltd. (Food & Staples Retailing) | | | 140,930 | |
| | 3,000 | | | Shimachu Co. Ltd. (Retailing) | | | 70,034 | |
| | 20,100 | | | Shinko Electric Industries Co. Ltd. (Semiconductors & Semiconductor Equipment) | | | 206,416 | |
| | 295,000 | | | Shinsei Bank Ltd. (Banks) | | | 354,759 | |
| | 64,100 | | | Shiseido Co. Ltd. (Household & Personal Products) | | | 1,066,203 | |
| | 845 | | | SKY Perfect JSAT Holdings, Inc. (Media) | | | 337,678 | |
| | 1,030,100 | | | Sojitz Corp. (Capital Goods) | | | 1,987,808 | |
| | 107,200 | | | Sony Corp. (Consumer Durables & Apparel) | | | 3,026,843 | |
| | 23,600 | | | Sony Financial Holdings, Inc. (Insurance) | | | 438,640 | |
| | 10,000 | | | Sumitomo Bakelite Co. Ltd. (Materials) | | | 64,132 | |
| | 35,000 | | | Sumitomo Chemical Co. Ltd. (Materials) | | | 186,130 | |
| | 1,026,200 | | | Sumitomo Corp. (Capital Goods) | | | 14,156,265 | |
| | 837,900 | | | Sumitomo Electric Industries Ltd. (Capital Goods) | | | 11,666,210 | |
| | 49,000 | | | Sumitomo Heavy Industries Ltd. (Capital Goods) | | | 323,129 | |
| | 111,000 | | | Sumitomo Metal Mining Co. Ltd. (Materials) | | | 1,981,967 | |
| | 284,000 | | | Sumitomo Mitsui Financial Group, Inc. (Banks) | | | 8,821,572 | |
| | 425,320 | | | Sumitomo Mitsui Trust Holdings, Inc. (Banks) | | | 1,464,266 | |
| | 52,000 | | | Sumitomo Osaka Cement Co. Ltd. (Materials) | | | 141,386 | |
| | 47,000 | | | Sumitomo Realty & Development Co. Ltd. (Real Estate) | | | 972,861 | |
| | 21,200 | | | Suzuki Motor Corp. (Automobiles & Components) | | | 504,705 | |
| | 224,200 | | | T&D Holdings, Inc. (Insurance) | | | 5,536,232 | |
| | 455,300 | | | Takeda Pharmaceutical Co. Ltd. (Pharmaceuticals, Biotechnology & Life Sciences) | | | 22,065,130 | |
| | 33,100 | | | TDK Corp. (Technology Hardware & Equipment) | | | 1,707,791 | |
| | 94,000 | | | Teijin Ltd. (Materials) | | | 450,492 | |
| | 2,404,000 | | | The Bank of Yokohama Ltd. (Banks) | | | 11,909,505 | |
| | 1,359 | | | The Dai-ichi Life Insurance Co. Ltd. (Insurance) | | | 2,244,734 | |
| | 76,400 | | | The Kansai Electric Power Co., Inc. (Utilities) | | | 1,609,166 | |
| | 4,000 | | | The Okinawa Electric Power Co., Inc. (Utilities) | | | 174,447 | |
| | 11,000 | | | The Shizuoka Bank Ltd. (Banks) | | | 100,228 | |
| | 249,700 | | | The Tokyo Electric Power Co., Inc. (Utilities) | | | 1,339,121 | |
| | 40,000 | | | The Yokohama Rubber Co. Ltd. (Automobiles & Components) | | | 204,580 | |
| | 35,000 | | | Toho Gas Co. Ltd. (Utilities) | | | 163,917 | |
| | 128,000 | | | Toho Zinc Co. Ltd. (Materials) | | | 698,207 | |
| | 6,500 | | | Tokai Rika Co. Ltd. (Automobiles & Components) | | | 113,897 | |
| | 307,700 | | | Tokio Marine Holdings, Inc. (Insurance) | | | 8,607,735 | |
The accompanying notes are an integral part of these financial statements. 29
GOLDMAN SACHS STRUCTURED INTERNATIONAL EQUITY FUND
Schedule of Investments (continued)
April 30, 2011 (Unaudited)
| | | | | | | | | |
| Shares | | Description | | Value |
| |
Common Stocks – (continued) |
Japan – (continued) |
| | | | | | | | | |
| | 58,200 | | | Tokyo Electron Ltd. (Semiconductors & Semiconductor Equipment) | | $ | 3,369,434 | |
| | 864,000 | | | Tokyu Land Corp. (Real Estate) | | | 3,732,483 | |
| | 7,900 | | | Tokyu Livable, Inc. (Real Estate) | | | 67,062 | |
| | 22,000 | | | TonenGeneral Sekiyu KK (Energy) | | | 272,949 | |
| | 14,000 | | | Toppan Forms Co. Ltd. (Commercial & Professional Services) | | | 112,029 | |
| | 619,000 | | | Toppan Printing Co. Ltd. (Commercial & Professional Services) | | | 4,865,649 | |
| | 1,023,000 | | | Tosoh Corp. (Materials) | | | 3,957,423 | |
| | 13,000 | | | Toyo Ink SC Holdings (Materials) | | | 65,840 | |
| | 19,000 | | | Toyo Suisan Kaisha Ltd. (Food, Beverage & Tobacco) | | | 437,566 | |
| | 15,800 | | | Toyota Tsusho Corp. (Capital Goods) | | | 263,449 | |
| | 11,000 | | | Tsubakimoto Chain Co. (Capital Goods) | | | 58,526 | |
| | 57,000 | | | Tsudakoma Corp. (Capital Goods)* | | | 153,282 | |
| | 3,600 | | | Unipres Corp. (Automobiles & Components) | | | 77,137 | |
| | 21,410 | | | USS Co. Ltd. (Retailing) | | | 1,645,288 | |
| | 1,437 | | | West Japan Railway Co. (Transportation) | | | 5,240,359 | |
| | 3,500 | | | Xebio Co. Ltd. (Retailing) | | | 64,940 | |
| | 1,289 | | | Yahoo Japan Corp. (Software & Services) | | | 474,154 | |
| | 82,700 | | | Yamaha Corp. (Consumer Durables & Apparel) | | | 1,034,339 | |
| | 6,800 | | | Yamato Kogyo Co. Ltd. (Materials) | | | 224,423 | |
| | 8,000 | | | Zeon Corp. (Materials) | | | 72,273 | |
| | | | | | | | | |
| | | | | | | | 443,012,980 | |
| |
| |
Luxembourg – 0.3% |
| | 176,046 | | | ArcelorMittal SA (Materials) | | | 6,505,933 | |
| |
| |
Netherlands – 6.4% |
| | 439,109 | | | Aegon NV (Insurance)* | | | 3,490,227 | |
| | 115,563 | | | Akzo Nobel NV (Materials)(a) | | | 8,960,543 | |
| | 18,906 | | | ASML Holding NV (Semiconductors & Semiconductor Equipment) | | | 788,041 | |
| | 202,692 | | | Heineken Holding NV (Food, Beverage & Tobacco)(a) | | | 10,695,180 | |
| | 294,376 | | | ING Groep NV CVA (Diversified Financials)* | | | 3,878,179 | |
| | 443,856 | | | Koninklijke Ahold NV (Food & Staples Retailing)(a) | | | 6,233,296 | |
| | 111,991 | | | Koninklijke Boskalis Westminster NV (Capital Goods) | | | 5,951,787 | |
| | 741,261 | | | Koninklijke DSM NV (Materials) | | | 51,092,744 | |
| | 44,494 | | | Koninklijke KPN NV (Telecommunication Services) | | | 706,143 | |
| | 654,499 | | | Koninklijke Philips Electronics NV (Capital Goods) | | | 19,384,969 | |
| | 619,172 | | | Royal Dutch Shell PLC Class A (Energy) | | | 23,923,622 | |
| | 481,265 | | | Royal Dutch Shell PLC Class B (Energy) | | | 18,723,478 | |
| | | | | | | | | |
| | | | | | | | 153,828,209 | |
| |
| |
New Zealand – 0.1% |
| | 147,724 | | | Auckland International Airport Ltd. (Transportation) | | | 265,811 | |
| | 60,915 | | | Contact Energy Ltd. (Utilities)* | | | 293,871 | |
| | 137,147 | | | Fletcher Building Ltd. (Materials) | | | 1,022,405 | |
| | 107,283 | | | Sky City Entertainment Group Ltd. (Consumer Services) | | | 309,510 | |
| | 405,543 | | | Telecom Corp. of New Zealand Ltd. (Telecommunication Services) | | | 711,154 | |
| | | | | | | | | |
| | | | | | | | 2,602,751 | |
| |
| |
Norway – 2.6% |
| | 107,475 | | | DnB NOR ASA (Banks)(a) | | | 1,747,612 | |
| | 1,224,368 | | | Marine Harvest ASA (Food, Beverage & Tobacco) | | | 1,617,566 | |
| | 1,109,670 | | | Orkla ASA (Capital Goods) | | | 11,230,301 | |
| | 1,586,464 | | | Statoil ASA (Energy) | | | 46,473,733 | |
| | | | | | | | | |
| | | | | | | | 61,069,212 | |
| |
| |
Singapore – 1.8% |
| | 135,000 | | | Ascendas Real Estate Investment Trust (REIT) | | | 224,214 | |
| | 116,000 | | | CapitaLand Ltd. (Real Estate)* | | | 322,629 | |
| | 702,000 | | | CapitaMall Trust (REIT) | | | 1,085,871 | |
| | 132,000 | | | Cosco Corp. (Singapore) Ltd. (Capital Goods) | | | 240,262 | |
| | 466,000 | | | DBS Group Holdings Ltd. (Banks) | | | 5,709,421 | |
| | 743,000 | | | Fraser and Neave Ltd. (Capital Goods) | | | 3,808,930 | |
| | 397,000 | | | Genting Singapore PLC (Consumer Services)* | | | 705,108 | |
| | 4,058,000 | | | Golden Agri-Resources Ltd. (Food, Beverage & Tobacco) | | | 2,210,243 | |
| | 1,154,000 | | | Hutchison Port Holdings Trust Class U (Transportation)* | | | 1,061,680 | |
| | 151,523 | | | Jardine Cycle & Carriage Ltd. (Retailing) | | | 4,573,001 | |
| | 425,000 | | | Neptune Orient Lines Ltd. (Transportation) | | | 654,630 | |
| | 111,000 | | | Oversea-Chinese Banking Corp. Ltd. (Banks) | | | 866,824 | |
| | 947,000 | | | Sembcorp Industries Ltd. (Capital Goods) | | | 4,184,005 | |
| | 106,000 | | | SembCorp Marine Ltd. (Capital Goods) | | | 491,881 | |
| | 2,006,780 | | | Singapore Telecommunications Ltd. (Telecommunication Services) | | | 5,122,559 | |
| | 412,000 | | | United Overseas Bank Ltd. (Banks) | | | 6,610,487 | |
30 The accompanying notes are an integral part of these financial statements.
GOLDMAN SACHS STRUCTURED INTERNATIONAL EQUITY FUND
| | | | | | | | | |
| Shares | | Description | | Value |
| |
Common Stocks – (continued) |
Singapore – (continued) |
| | | | | | | | | |
| | 1,282,000 | | | UOL Group Ltd. (Real Estate) | | $ | 5,075,724 | |
| | 60,000 | | | Wilmar International Ltd. (Food, Beverage & Tobacco) | | | 258,586 | |
| | | | | | | | | |
| | | | | | | | 43,206,055 | |
| |
| |
Spain – 2.3% |
| | 314,361 | | | Banco Bilbao Vizcaya Argentaria SA (Banks) | | | 4,026,815 | |
| | 582,840 | | | Banco Popular Espanol SA (Banks) | | | 3,491,355 | |
| | 1,320,718 | | | Banco Santander SA (Banks) | | | 16,866,196 | |
| | 31,927 | | | Enagas SA (Utilities) | | | 789,380 | |
| | 86,297 | | | Ferrovial SA (Capital Goods) | | | 1,189,855 | |
| | 64,693 | | | Gas Natural SDG SA (Utilities) | | | 1,330,236 | |
| | 762,955 | | | Repsol YPF SA (Energy) | | | 27,236,880 | |
| | | | | | | | | |
| | | | | | | | 54,930,717 | |
| |
| |
Sweden – 3.6% |
| | 313,239 | | | Alfa Laval AB (Capital Goods)(a) | | | 7,012,206 | |
| | 23,996 | | | Atlas Copco AB Class A (Capital Goods)* | | | 704,767 | |
| | 600,538 | | | Boliden AB (Materials)*(a) | | | 13,545,353 | |
| | 33,496 | | | Electrolux AB Class B (Consumer Durables & Apparel) | | | 852,421 | |
| | 724,290 | | | Investor AB Class B (Diversified Financials)(a) | | | 18,040,092 | |
| | 2,119,148 | | | Nordea Bank AB (Banks) | | | 24,161,468 | |
| | 209,117 | | | Scania AB Class B (Capital Goods)(a) | | | 5,432,890 | |
| | 389,371 | | | Skanska AB Class B (Capital Goods) | | | 8,370,692 | |
| | 133,636 | | | Swedish Match AB (Food, Beverage & Tobacco)*(a) | | | 4,742,954 | |
| | 360,867 | | | TeliaSonera AB (Telecommunication Services) | | | 2,945,018 | |
| | | | | | | | | |
| | | | | | | | 85,807,861 | |
| |
| |
Switzerland – 1.3% |
| | 1,497,049 | | | STMicroelectronics NV (Semiconductors & Semiconductor Equipment) | | | 17,715,792 | |
| | 389,026 | | | Xstrata PLC (Materials) | | | 9,978,183 | |
| | 10,046 | | | Zurich Financial Services AG (Insurance)* | | | 2,824,721 | |
| | | | | | | | | |
| | | | | | | | 30,518,696 | |
| |
| |
United Kingdom – 15.2% |
| | 215,847 | | | Anglo American PLC (Materials) | | | 11,314,495 | |
| | 509,795 | | | Associated British Foods PLC (Food, Beverage & Tobacco) | | | 8,585,745 | |
| | 924,713 | | | AstraZeneca PLC (Pharmaceuticals, Biotechnology & Life Sciences) | | | 45,882,321 | |
| | 2,017,995 | | | Aviva PLC (Insurance) | | | 15,102,661 | |
| | 3,262,937 | | | BAE Systems PLC (Capital Goods) | | | 17,911,277 | |
| | 323,951 | | | Barclays PLC (Banks) | | | 1,540,068 | |
| | 59,722 | | | BHP Billiton PLC (Materials) | | | 2,525,049 | |
| | 56,194 | | | Bodycote PLC (Capital Goods) | | | 366,112 | |
| | 781,519 | | | BP PLC ADR (Energy)(b) | | | 36,059,287 | |
| | 15,843 | | | BP PLC (Energy) | | | 121,790 | |
| | 108,371 | | | Bunzl PLC (Capital Goods) | | | 1,349,369 | |
| | 126,021 | | | Centrica PLC (Utilities) | | | 676,785 | |
| | 209,622 | | | Chaucer Holdings PLC (Insurance) | | | 193,453 | |
| | 10,329 | | | Croda International PLC (Materials) | | | 324,534 | |
| | 95,000 | | | Devro PLC (Food, Beverage & Tobacco) | | | 454,151 | |
| | 157,143 | | | Drax Group PLC (Utilities) | | | 1,157,393 | |
| | 149,008 | | | EnQuest PLC (Energy)* | | | 347,933 | |
| | 173,142 | | | Eurasian Natural Resources Corp. PLC (Materials) | | | 2,653,318 | |
| | 43,233 | | | Filtrona PLC (Materials) | | | 248,738 | |
| | 34,613 | | | Gulfsands Petroleum PLC (Energy)* | | | 166,784 | |
| | 3,622,804 | | | HSBC Holdings PLC (Banks) | | | 39,517,201 | |
| | 829,193 | | | Imperial Tobacco Group PLC (Food, Beverage & Tobacco) | | | 29,247,644 | |
| | 1,568,649 | | | J Sainsbury PLC (Food & Staples Retailing) | | | 9,137,103 | |
| | 38,079 | | | JKX Oil & Gas PLC (Energy) | | | 195,384 | |
| | 367,774 | | | Kazakhmys PLC (Materials) | | | 8,542,944 | |
| | 347,689 | | | Land Securities Group PLC (REIT) | | | 4,570,321 | |
| | 1,013,466 | | | Legal & General Group PLC (Insurance) | | | 2,084,504 | |
| | 69,009 | | | Lonmin PLC (Materials) | | | 1,890,438 | |
| | 503,518 | | | Marks & Spencer Group PLC (Retailing) | | | 3,271,453 | |
| | 28,296 | | | Mondi PLC (Materials) | | | 281,233 | |
| | 72,414 | | | National Grid PLC (Utilities) | | | 742,974 | |
| | 126,545 | | | Pearson PLC (Media) | | | 2,425,348 | |
| | 17,701 | | | Pennon Group PLC (Utilities) | | | 195,536 | |
| | 52,126 | | | Petrofac Ltd. (Energy) | | | 1,317,776 | |
| | 358,019 | | | Premier Foods PLC (Food, Beverage & Tobacco)* | | | 192,494 | |
| | 9,447 | | | Renishaw PLC (Technology Hardware & Equipment) | | | 278,829 | |
| | 2,518,477 | | | Resolution Ltd. (Insurance) | | | 12,753,753 | |
| | 134,032 | | | Rexam PLC (Materials) | | | 875,968 | |
| | 256,510 | | | Rio Tinto PLC (Materials) | | | 18,716,334 | |
| | 17,284 | | | Rotork PLC (Capital Goods) | | | 496,668 | |
| | 3,850,910 | | | Royal Bank of Scotland Group PLC (Banks)* | | | 2,683,918 | |
| | 119,880 | | | Scottish & Southern Energy PLC (Utilities) | | | 2,719,695 | |
| | 12,032 | | | Spirax-Sarco Engineering PLC (Capital Goods) | | | 404,541 | |
| | 4,859,870 | | | Thomas Cook Group PLC (Consumer Services) | | | 13,944,119 | |
| | 204,079 | | | Vedanta Resources PLC (Materials) | | | 7,969,202 | |
| | 49,416 | | | Victrex PLC (Materials) | | | 1,214,525 | |
| | 1,462,070 | | | Vodafone Group PLC ADR (Telecommunication Services) | | | 42,575,478 | |
The accompanying notes are an integral part of these financial statements. 31
GOLDMAN SACHS STRUCTURED INTERNATIONAL EQUITY FUND
Schedule of Investments (continued)
April 30, 2011 (Unaudited)
| | | | | | | | | |
| Shares | | Description | | Value |
| |
Common Stocks – (continued) |
United Kingdom – (continued) |
| | | | | | | | | |
| | 256,413 | | | Vodafone Group PLC (Telecommunication Services) | | $ | 741,240 | |
| | 1,564,278 | | | WM Morrison Supermarkets PLC (Food & Staples Retailing) | | | 7,717,424 | |
| | | | | | | | | |
| | | | | | | | 363,685,310 | |
| |
| |
TOTAL COMMON STOCKS |
(Cost $1,983,574,179) | | $ | 2,314,304,496 | |
| |
| |
| | | | | | | | | |
| | | | | | | | | |
| Shares | | Rate | | Value |
| |
Short-term Investment(c) – 0.8% |
| JPMorgan U.S. Government Money Market Fund – Capital Shares |
| | 18,463,133 | | | 0.010% | | $ | 18,463,133 | |
(Cost $18,463,133) | | | | |
| |
| |
TOTAL INVESTMENTS BEFORE SECURITIES LENDING REINVESTMENT VEHICLE |
(Cost $2,002,037,312) | | $ | 2,332,767,629 | |
| |
| |
| | | | | | | | | |
| | | | | | | | | |
Securities Lending Reinvestment Vehicle(c)(d) – 12.5% |
| Goldman Sachs Financial Square Money Market Fund – FST Shares |
| $ | 297,623,002 | | | 0.110% | | | 297,623,002 | |
(Cost $297,623,002) | | | | |
| |
| |
TOTAL INVESTMENTS – 110.3% |
(Cost $2,299,660,314) | | $ | 2,630,390,631 | |
| |
| |
LIABILITIES IN EXCESS OF OTHER ASSETS – (10.3)% | | | (245,938,361 | ) |
| |
| |
NET ASSETS – 100.0% | | $ | 2,384,452,270 | |
| |
| |
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 April 30, 2011. |
| |
| (d) | | Represents an affiliated issuer. |
| | | | | |
| |
| |
Investment Abbreviations: |
| ADR | | — | | American Depositary Receipt |
| CVA | | — | | Dutch Certification |
| REIT | | — | | Real Estate Investment Trust |
| RSP | | — | | Risparmio Shares |
| |
| |
32 The accompanying notes are an integral part of these financial statements.
GOLDMAN SACHS STRUCTURED INTERNATIONAL EQUITY FUND
| |
| ADDITIONAL INVESTMENT INFORMATION | |
FUTURES CONTRACTS — At April 30, 2011, the following futures contracts were open:
| | | | | | | | | | | | | | | |
| | | Number of
| | | | | | |
| | | Contracts
| | Expiration
| | Current
| | Unrealized
|
| Type | | Long (Short) | | Date | | Value | | Gain (Loss) |
| |
| Dow Jones EURO STOXX 50 Index | | | 643 | | | June 2011 | | $ | 28,066,622 | | | $ | 947,856 | |
| FTSE 100 Index | | | 129 | | | June 2011 | | | 12,999,616 | | | | 189,934 | |
| Hang Seng Index | | | 8 | | | May 2011 | | | 1,209,593 | | | | (14,804 | ) |
| MSCI Singapore Index | | | 13 | | | May 2011 | | | 787,190 | | | | (2,843 | ) |
| SPI 200 Index | | | 37 | | | June 2011 | | | 4,874,795 | | | | (78,171 | ) |
| TSE TOPIX Index | | | 116 | | | June 2011 | | | 12,205,634 | | | | (2,372 | ) |
| |
| |
TOTAL | | | | | | | | | | | | $ | 1,039,600 | |
| |
| |
The accompanying notes are an integral part of these financial statements. 33
GOLDMAN SACHS STRUCTURED INTERNATIONAL SMALL CAP FUND
Schedule of Investments
April 30, 2011 (Unaudited)
| | | | | | | | | |
| Shares | | Description | | Value |
| |
Common Stocks – 96.6% |
Australia – 8.4% |
| | 49,925 | | | Acrux Ltd. (Pharmaceuticals, Biotechnology & Life Sciences) | | $ | 191,581 | |
| | 71,816 | | | Aditya Birla Minerals Ltd. (Materials)* | | | 142,673 | |
| | 32,281 | | | Ansell Ltd. (Health Care Equipment & Services) | | | 493,838 | |
| | 239,715 | | | APA Group (Utilities) | | | 1,119,130 | |
| | 46,565 | | | Aquila Resources Ltd. (Energy)* | | | 465,823 | |
| | 54,184 | | | Ardent Leisure Group (REIT) | | | 82,575 | |
| | 23,721 | | | Aristocrat Leisure Ltd. (Consumer Services) | | | 68,339 | |
| | 77,894 | | | Astro Japan Property Group (REIT) | | | 266,275 | |
| | 166,396 | | | Ausdrill Ltd. (Materials) | | | 615,262 | |
| | 102,124 | | | Australand Property Group (REIT) | | | 340,224 | |
| | 51,585 | | | Australian Infrastructure Fund (Transportation) | | | 107,290 | |
| | 547,031 | | | Beach Energy Ltd. (Energy) | | | 577,066 | |
| | 41,296 | | | Boart Longyear Ltd. (Capital Goods) | | | 207,995 | |
| | 125,679 | | | Bow Energy Ltd. (Energy)* | | | 123,121 | |
| | 44,460 | | | BT Investment Management Ltd. (Diversified Financials) | | | 131,841 | |
| | 99,993 | | | Bunnings Warehouse Property Trust (REIT) | | | 194,895 | |
| | 42,488 | | | Cabcharge Australia Ltd. (Commercial & Professional Services) | | | 255,589 | |
| | 35,429 | | | carsales.com.au Ltd. (Software & Services) | | | 199,729 | |
| | 84,002 | | | Challenger Ltd. (Diversified Financials) | | | 445,519 | |
| | 23,349 | | | Charter Hall Office REIT (REIT) | | | 90,103 | |
| | 115,757 | | | Charter Hall Retail REIT (REIT) | | | 407,174 | |
| | 45,043 | | | Coalspur Mines Ltd. (Energy)* | | | 86,872 | |
| | 386,685 | | | Consolidated Media Holdings Ltd. (Media) | | | 1,183,412 | |
| | 280,071 | | | Dart Energy Ltd. (Energy)* | | | 232,432 | |
| | 209,986 | | | Downer EDI Ltd. (Commercial & Professional Services) | | | 854,841 | |
| | 505,638 | | | DUET Group (Utilities) | | | 943,692 | |
| | 55,293 | | | DuluxGroup Ltd. (Materials) | | | 168,310 | |
| | 595,372 | | | Emeco Holdings Ltd. (Capital Goods) | | | 717,393 | |
| | 531,700 | | | Envestra Ltd. (Utilities) | | | 373,102 | |
| | 109,383 | | | FKP Property Group (Real Estate) | | | 93,716 | |
| | 28,528 | | | Fleetwood Corp. Ltd. (Automobiles & Components) | | | 348,652 | |
| | 113,291 | | | FlexiGroup Ltd. (Diversified Financials) | | | 276,196 | |
| | 70,180 | | | Hills Holdings Ltd. (Capital Goods) | | | 121,183 | |
| | 78,929 | | | iiNet Ltd. (Telecommunication Services) | | | 234,242 | |
| | 15,818 | | | Independence Group NL (Materials) | | | 116,752 | |
| | 1,566,224 | | | ING Office Fund (REIT) | | | 1,084,343 | |
| | 57,958 | | | Invocare Ltd. (Consumer Services) | | | 436,763 | |
| | 37,040 | | | Iress Market Technology Ltd. (Software & Services) | | | 371,945 | |
| | 325,881 | | | Linc Energy Ltd. (Energy) | | | 977,603 | |
| | 235,879 | | | Lynas Corp. Ltd. (Materials)* | | | 543,625 | |
| | 439,749 | | | Macmahon Holdings Ltd. (Capital Goods) | | | 253,820 | |
| | 45,470 | | | McMillan Shakespeare Ltd. (Commercial & Professional Services) | | | 474,505 | |
| | 515,132 | | | Minara Resources Ltd. (Materials) | | | 437,127 | |
| | 333,806 | | | Mincor Resources NL (Materials) | | | 441,282 | |
| | 36,570 | | | Monadelphous Group Ltd. (Capital Goods) | | | 772,356 | |
| | 197,874 | | | Myer Holdings Ltd. (Retailing) | | | 687,188 | |
| | 143,119 | | | Navitas Ltd. (Consumer Services) | | | 640,429 | |
| | 1,154,287 | | | Nexus Energy Ltd. (Energy)* | | | 545,563 | |
| | 209,510 | | | NRW Holdings Ltd. (Capital Goods) | | | 623,115 | |
| | 57,520 | | | Pacific Brands Ltd. (Retailing) | | | 46,194 | |
| | 242,968 | | | PanAust Ltd. (Materials)* | | | 206,825 | |
| | 214,570 | | | Panoramic Resources Ltd. (Materials) | | | 486,834 | |
| | 367,709 | | | PMP Ltd. (Commercial & Professional Services) | | | 296,229 | |
| | 126,172 | | | Primary Health Care Ltd. (Health Care Equipment & Services) | | | 481,273 | |
| | 244,701 | | | Roc Oil Co. Ltd. (Energy)* | | | 115,692 | |
| | 91,212 | | | Salmat Ltd. (Commercial & Professional Services) | | | 365,818 | |
| | 161,436 | | | STW Communications Group Ltd. (Media) | | | 205,464 | |
| | 441,457 | | | Sunland Group Ltd. (Real Estate)* | | | 334,311 | |
| | 23,700 | | | Tower Australia Group Ltd. (Insurance) | | | 103,650 | |
| | 15,735 | | | United Group Ltd. (Capital Goods) | | | 260,900 | |
| | 306,160 | | | Western Areas NL (Materials)(a) | | | 2,262,313 | |
| | 15,375 | | | Wotif.com Holdings Ltd. (Retailing) | | | 96,397 | |
| | | | | | | | | |
| | | | | | | | 25,828,401 | |
| |
| |
Austria – 1.7% |
| | 8,000 | | | Andritz AG (Capital Goods) | | | 826,227 | |
| | 4,327 | | | Flughafen Wien AG (Transportation)(a) | | | 272,380 | |
| | 14,890 | | | Oesterreichische Post AG (Transportation)(a) | | | 538,796 | |
| | 3,262 | | | Rosenbauer International AG (Capital Goods) | | | 198,092 | |
| | 7,465 | | | Schoeller-Bleckmann Oilfield Equipment AG (Energy)(a) | | | 755,571 | |
| | 43,249 | | | Strabag SE (Capital Goods) | | | 1,452,486 | |
| | 33,010 | | | Zumtobel AG (Capital Goods) | | | 1,197,479 | |
| | | | | | | | | |
| | | | | | | | 5,241,031 | |
| |
| |
Belgium – 1.4% |
| | 1,563 | | | Ackermans & van Haaren NV (Diversified Financials) | | | 163,507 | |
| | 49,116 | | | Agfa-Gevaert NV (Health Care Equipment & Services)* | | | 218,891 | |
| | 1,034 | | | Befimmo SCA Sicafi (REIT) | | | 95,915 | |
| | 20,272 | | | Compagnie Maritime Belge SA (Transportation) | | | 634,681 | |
| | 13,437 | | | Gimv NV (Diversified Financials) | | | 890,621 | |
| | 12,769 | | | Omega Pharma SA (Health Care Equipment & Services) | | | 654,383 | |
34 The accompanying notes are an integral part of these financial statements.
GOLDMAN SACHS STRUCTURED INTERNATIONAL SMALL CAP FUND
| | | | | | | | | |
| Shares | | Description | | Value |
| |
Common Stocks – (continued) |
Belgium – (continued) |
| | | | | | | | | |
| | 28,786 | | | Recticel SA (Materials) | | $ | 319,934 | |
| | 56,697 | | | RHJ International SA (Diversified Financials)* | | | 471,110 | |
| | 23,516 | | | Tessenderlo Chemie NV (Materials) | | | 935,699 | |
| | | | | | | | | |
| | | | | | | | 4,384,741 | |
| |
| |
Bermuda – 0.8% |
| | 1,678,000 | | | Apollo Solar Energy Technology Holdings Ltd. (Semiconductors & Semiconductor Equipment)* | | | 119,301 | |
| | 89,267 | | | Catlin Group Ltd. (Insurance) | | | 590,256 | |
| | 20,221 | | | Frontline Ltd. (Energy)(a) | | | 446,674 | |
| | 29,000 | | | GuocoLeisure Ltd. (Consumer Services) | | | 17,459 | |
| | 340,000 | | | IT Ltd. (Retailing) | | | 274,404 | |
| | 54,524 | | | Lancashire Holdings Ltd. (Insurance) | | | 589,300 | |
| | 214,095 | | | Northern Offshore Ltd. (Energy)* | | | 563,463 | |
| | | | | | | | | |
| | | | | | | | 2,600,857 | |
| |
| |
China – 0.0% |
| | 471,000 | | | Li Heng Chemical Fibre Technologies Ltd. (Consumer Durables & Apparel) | | | 67,521 | |
| |
| |
Cyprus – 0.9% |
| | 144,712 | | | ProSafe SE (Energy) | | | 1,174,789 | |
| | 263,331 | | | Songa Offshore SE (Energy)* | | | 1,608,949 | |
| | | | | | | | | |
| | | | | | | | 2,783,738 | |
| |
| |
Denmark – 1.6% |
| | 20,158 | | | D/S Norden A/S (Transportation) | | | 722,401 | |
| | 3,422 | | | Danisco A/S (Food, Beverage & Tobacco) | | | 453,674 | |
| | 40,812 | | | East Asiatic Co. Ltd. A/S (Food, Beverage & Tobacco) | | | 1,356,934 | |
| | 11,569 | | | Genmab A/S (Pharmaceuticals, Biotechnology & Life Sciences)* | | | 124,900 | |
| | 60,234 | | | GN Store Nord A/S (Health Care Equipment & Services) | | | 597,327 | |
| | 1,794 | | | Royal UNIBREW A/S (Food, Beverage & Tobacco) | | | 132,385 | |
| | 14,252 | | | Schouw & Co. A/S (Capital Goods) | | | 422,467 | |
| | 2,869 | | | SimCorp A/S (Software & Services) | | | 521,367 | |
| | 2,479 | | | Topdanmark A/S (Insurance)* | | | 455,445 | |
| | | | | | | | | |
| | | | | | | | 4,786,900 | |
| |
| |
Finland – 1.5% |
| | 22,209 | | | Alma Media Oyj (Media) | | | 259,211 | |
| | 59,763 | | | Huhtamaki Oyj (Materials) | | | 835,610 | |
| | 86,396 | | | Kemira Oyj (Materials) | | | 1,579,522 | |
| | 7,476 | | | Konecranes Oyj (Capital Goods) | | | 359,659 | |
| | 45,866 | | | M-Real Oyj Class B (Materials)* | | | 216,818 | |
| | 145,740 | | | Sponda Oyj (Real Estate) | | | 859,529 | |
| | 12,194 | | | Tieto Oyj (Software & Services) | | | 224,899 | |
| | 4,145 | | | Tikkurila Oyj (Materials) | | | 98,771 | |
| | 9,233 | | | YIT Oyj (Capital Goods) | | | 276,992 | |
| | | | | | | | | |
| | | | | | | | 4,711,011 | |
| |
| |
France – 5.2% |
| | 2,671 | | | Alten Ltd. (Software & Services) | | | 109,585 | |
| | 40,307 | | | Arkema SA (Materials) | | | 4,197,973 | |
| | 49,402 | | | Assystem SA (Commercial & Professional Services)(a) | | | 1,294,545 | |
| | 9,937 | | | Boiron SA (Pharmaceuticals, Biotechnology & Life Sciences) | | | 442,281 | |
| | 25,611 | | | Cegid Group (Software & Services) | | | 879,724 | |
| | 2,042 | | | Ciments Francais SA (Materials)* | | | 215,670 | |
| | 38,294 | | | Club Mediterranee (Consumer Services)* | | | 892,230 | |
| | 1,078 | | | Esso SA (Energy) | | | 151,685 | |
| | 1,385 | | | Faiveley Transport SA (Capital Goods) | | | 141,119 | |
| | 220,635 | | | Havas SA (Media) | | | 1,257,401 | |
| | 1,528 | | | Nexans SA (Capital Goods) | | | 161,943 | |
| | 13,994 | | | Nexity SA (Consumer Durables & Apparel) | | | 761,072 | |
| | 1,799 | | | Pierre & Vacances SA (Consumer Services) | | | 160,488 | |
| | 3,669 | | | Plastic Omnium SA (Automobiles & Components)(a) | | | 351,200 | |
| | 5,069 | | | Rhodia SA (Materials) | | | 235,928 | |
| | 6,801 | | | Societe de la Tour Eiffel (REIT) | | | 682,164 | |
| | 5,623 | | | Sword Group (Software & Services) | | | 184,393 | |
| | 113,854 | | | Technicolor (Media)* | | | 869,988 | |
| | 30,180 | | | Valeo SA (Automobiles & Components)* | | | 1,922,380 | |
| | 13,021 | | | Zodiac Aerospace (Capital Goods) | | | 1,021,933 | |
| | | | | | | | | |
| | | | | | | | 15,933,702 | |
| |
| |
Germany – 6.6% |
| | 62,890 | | | Air Berlin PLC (Transportation)* | | | 280,939 | |
| | 50,035 | | | Aixtron SE (Semiconductors & Semiconductor Equipment)(a) | | | 2,124,956 | |
| | 8,099 | | | Aurubis AG (Materials) | | | 478,657 | |
| | 20,283 | | | Balda AG (Technology Hardware & Equipment)* | | | 270,244 | |
| | 32,413 | | | Bechtle AG (Software & Services) | | | 1,543,474 | |
| | 3,801 | | | Biotest AG (Pharmaceuticals, Biotechnology & Life Sciences) | | | 268,825 | |
| | 6,830 | | | Biotest AG Preference Shares (Pharmaceuticals, Biotechnology & Life Sciences) | | | 458,975 | |
| | 6,812 | | | Carl Zeiss Meditec AG (Health Care Equipment & Services) | | | 148,216 | |
| | 2,974 | | | Centrotherm Photovoltaics AG (Semiconductors & Semiconductor Equipment)* | | | 179,951 | |
| | 14,504 | | | Cewe Color Holding AG (Commercial & Professional Services) | | | 704,307 | |
| | 3,218 | | | Delticom AG (Retailing)(a) | | | 349,638 | |
| | 21,452 | | | Deutsche Beteiligungs AG (Diversified Financials) | | | 630,071 | |
| | 13,871 | | | Deutz AG (Capital Goods)* | | | 126,781 | |
| | 4,063 | | | Draegerwerk AG & Co. KGaA (Health Care Equipment & Services) | | | 347,835 | |
The accompanying notes are an integral part of these financial statements. 35
GOLDMAN SACHS STRUCTURED INTERNATIONAL SMALL CAP FUND
Schedule of Investments (continued)
April 30, 2011 (Unaudited)
| | | | | | | | | |
| Shares | | Description | | Value |
| |
Common Stocks – (continued) |
Germany – (continued) |
| | | | | | | | | |
| | 15,355 | | | Draegerwerk AG & Co. KGaA Preference Shares (Health Care Equipment & Services)(a) | | $ | 1,611,435 | |
| | 5,234 | | | Duerr AG (Capital Goods)* | | | 203,909 | |
| | 2,923 | | | Fuchs Petrolub AG (Materials) | | | 423,069 | |
| | 7,819 | | | Gerresheimer AG (Pharmaceuticals, Biotechnology & Life Sciences) | | | 378,017 | |
| | 5,069 | | | Gesco AG (Capital Goods) | | | 431,031 | |
| | 4,532 | | | Grammer AG (Automobiles & Components)* | | | 126,709 | |
| | 21,807 | | | Homag Group AG (Capital Goods)* | | | 527,935 | |
| | 8,286 | | | Indus Holding AG (Capital Goods) | | | 274,297 | |
| | 13,572 | | | Jenoptik AG (Technology Hardware & Equipment)* | | | 111,426 | |
| | 33,461 | | | Jungheinrich AG Preference Shares (Capital Goods) | | | 1,537,375 | |
| | 17,043 | | | Leoni AG (Automobiles & Components)* | | | 938,349 | |
| | 23,920 | | | Medion AG (Retailing) | | | 345,434 | |
| | 9,042 | | | Morphosys AG (Pharmaceuticals, Biotechnology & Life Sciences)* | | | 265,842 | |
| | 1,131 | | | Pfeiffer Vacuum Technology AG (Capital Goods) | | | 157,087 | |
| | 5,749 | | | R. Stahl AG (Capital Goods)(a) | | | 264,565 | |
| | 17,299 | | | Rheinmetall AG (Capital Goods) | | | 1,550,824 | |
| | 3,298 | | | Sixt AG Preference Shares (Transportation) | | | 133,185 | |
| | 2,965 | | | Software AG (Software & Services) | | | 561,177 | |
| | 15,145 | | | Stada Arzneimittel AG (Pharmaceuticals, Biotechnology & Life Sciences) | | | 669,617 | |
| | 49,828 | | | Tognum AG (Capital Goods) | | | 1,911,491 | |
| | 7,206 | | | VTG AG (Transportation) | | | 183,952 | |
| | | | | | | | | |
| | | | | | | | 20,519,595 | |
| |
| |
Greece – 0.6% |
| | 68,685 | | | Eurobank Properties Real Estate Investment Co. (REIT) | | | 610,397 | |
| | 38,178 | | | Hellenic Exchanges SA (Diversified Financials) | | | 305,249 | |
| | 13,475 | | | Hellenic Petroleum SA (Energy) | | | 143,556 | |
| | 405,084 | | | Marfin Investment Group SA (Diversified Financials)* | | | 425,928 | |
| | 9,962 | | | Motor Oil (Hellas) Corinth Refineries SA (Energy) | | | 132,082 | |
| | 15,149 | | | Mytilineos Holdings SA (Materials)* | | | 120,621 | |
| | | | | | | | | |
| | | | | | | | 1,737,833 | |
| |
| |
Hong Kong – 2.9% |
| | 299,000 | | | Brightoil Petroleum Holdings Ltd. (Energy) | | | 131,888 | |
| | 560,000 | | | Chen Hsong Holdings Ltd. (Capital Goods) | | | 315,557 | |
| | 3,044,000 | | | China Ting Group Holdings Ltd. (Consumer Durables & Apparel) | | | 435,613 | |
| | 270,000 | | | China WindPower Group Ltd. (Utilities)* | | | 28,191 | |
| | 60,000 | | | City Telecom HK Ltd. (Telecommunication Services) | | | 45,145 | |
| | 317,000 | | | Dah Chong Hong Holdings Ltd. (Retailing) | | | 362,918 | |
| | 387,000 | | | Dickson Concepts International Ltd. (Retailing) | | | 305,949 | |
| | 832,000 | | | First Pacific Co. Ltd. (Diversified Financials) | | | 783,782 | |
| | 616,000 | | | Giordano International Ltd. (Retailing) | | | 445,009 | |
| | 81,976 | | | Great Eagle Holdings Ltd. (Real Estate) | | | 291,894 | |
| | 549,000 | | | G-Resources Group Ltd. (Software & Services)* | | | 42,472 | |
| | 594,100 | | | HKR International Ltd. (Real Estate) | | | 347,048 | |
| | 634,000 | | | Hutchison Telecommunications Hong Kong Holdings Ltd. (Telecommunication Services) | | | 200,260 | |
| | 954,000 | | | Johnson Electric Holdings Ltd. (Capital Goods) | | | 586,174 | |
| | 2,538,000 | | | Lai Sun Development Co. Ltd. (Real Estate)* | | | 86,843 | |
| | 555,000 | | | Melco International Development Ltd. (Consumer Services) | | | 472,075 | |
| | 532,000 | | | Midland Holdings Ltd. (Real Estate) | | | 412,021 | |
| | 152,000 | | | Mongolia Energy Corp Ltd (Energy)* | | | 35,823 | |
| | 360,000 | | | Natural Beauty Bio-Technology Ltd. (Household & Personal Products) | | | 89,024 | |
| | 438,000 | | | Next Media Ltd. (Media)* | | | 54,142 | |
| | 184,000 | | | Norstar Founders Group Ltd. (Automobiles & Components)* | | | — | |
| | 230,000 | | | Pacific Andes International Holdings Ltd. (Food, Beverage & Tobacco) | | | 37,686 | |
| | 350,000 | | | Pacific Century Premium Developments Ltd. (Real Estate) | | | 66,839 | |
| | 676,000 | | | Pacific Textiles Holdings Ltd. (Consumer Durables & Apparel) | | | 438,690 | |
| | 1,204,000 | | | Pico Far East Holdings Ltd. (Media) | | | 235,815 | |
| | 1,155,000 | | | Prosperity Real Estate Investment Trust (REIT) | | | 278,364 | |
| | 158,000 | | | Public Financial Holdings Ltd. (Diversified Financials) | | | 98,749 | |
| | 434,000 | | | Regal Hotels International Holdings Ltd. (Consumer Services) | | | 195,279 | |
| | 404,000 | | | Shun Tak Holdings Ltd. (Capital Goods) | | | 252,438 | |
| | 262,000 | | | Singamas Container Holdings Ltd. (Capital Goods)* | | | 120,537 | |
| | 28,000 | | | SmarTone Telecommunications Holding Ltd. (Telecommunication Services) | | | 43,384 | |
| | 1,211,000 | | | SUNeVision Holdings Ltd. (Software & Services) | | | 145,309 | |
| | 591,000 | | | Sunlight Real Estate Investment Trust (REIT) | | | 191,768 | |
36 The accompanying notes are an integral part of these financial statements.
GOLDMAN SACHS STRUCTURED INTERNATIONAL SMALL CAP FUND
| | | | | | | | | |
| Shares | | Description | | Value |
| |
Common Stocks – (continued) |
Hong Kong – (continued) |
| | | | | | | | | |
| | 264,500 | | | Techtronic Industries Co. Ltd. (Consumer Durables & Apparel) | | $ | 361,704 | |
| | 24,000 | | | Television Broadcasts Ltd. (Media) | | | 141,086 | |
| | 24,500 | | | The Hongkong & Shanghai Hotels Ltd. (Consumer Services) | | | 43,218 | |
| | 100,000 | | | Tian An China Investments Co. Ltd. (Real Estate) | | | 66,846 | |
| | 340,000 | | | Titan Petrochemicals Group Ltd. (Energy)* | | | 28,054 | |
| | 590,000 | | | VST Holdings Ltd. (Technology Hardware & Equipment)* | | | 168,498 | |
| | 33,300 | | | VTech Holdings Ltd. (Technology Hardware & Equipment) | | | 380,330 | |
| | 162,000 | | | Win Hanverky Holdings Ltd. (Consumer Durables & Apparel) | | | 21,495 | |
| | 166,000 | | | Xinyi Glass Holdings Ltd. (Automobiles & Components) | | | 200,487 | |
| | | | | | | | | |
| | | | | | | | 8,988,404 | |
| |
| |
Ireland – 0.8% |
| | 194,141 | | | Beazley PLC (Insurance) | | | 425,913 | |
| | 268,529 | | | Fyffes PLC (Food & Staples Retailing) | | | 163,052 | |
| | 90,236 | | | Grafton Group PLC (Capital Goods) | | | 474,468 | |
| | 23,495 | | | Kingspan Group PLC (Capital Goods) | | | 229,347 | |
| | 7,102 | | | Paddy Power PLC (Consumer Services) | | | 347,016 | |
| | 367,051 | | | Total Produce PLC (Food & Staples Retailing) | | | 228,336 | |
| | 197,899 | | | United Drug PLC (Health Care Equipment & Services) | | | 682,537 | |
| | | | | | | | | |
| | | | | | | | 2,550,669 | |
| |
| |
Israel – 1.0% |
| | 12,231 | | | Africa-Israel Investments Ltd. (Real Estate)* | | | 104,828 | |
| | 4,446 | | | AL-ROV (Israel) Ltd. (Real Estate)* | | | 172,461 | |
| | 36,191 | | | Alony Hetz Properties & Investments Ltd. (Real Estate) | | | 208,719 | |
| | 12,974 | | | Amot Investments Ltd. (Real Estate) | | | 40,144 | |
| | 13,527 | | | AudioCodes Ltd. (Technology Hardware & Equipment)* | | | 83,864 | |
| | 1,262 | | | B Communications Ltd. (Telecommunication Services)* | | | 41,628 | |
| | 790 | | | Clal Biotechnology Industries Ltd. (Pharmaceuticals, Biotechnology & Life Sciences)* | | | 4,956 | |
| | 18,117 | | | Clal Industries and Investments Ltd. (Capital Goods) | | | 145,318 | |
| | 5,801 | | | Clal Insurance Enterprise Holdings Ltd. (Insurance) | | | 164,317 | |
| | 10,460 | | | Delek Automotive Systems Ltd. (Retailing) | | | 134,976 | |
| | 3,247 | | | F.I.B.I. Holdings Ltd. (Banks)* | | | 72,296 | |
| | 1,784 | | | FMS Enterprises Migun Ltd. (Capital Goods) | | | 53,093 | |
| | 17,853 | | | Frutarom Industries Ltd. (Materials) | | | 196,144 | |
| | 1,290 | | | Harel Insurance Investments & Financial Services Ltd. (Insurance) | | | 77,043 | |
| | 1,051 | | | Internet Gold-Golden Lines Ltd. (Software & Services)* | | | 29,847 | |
| | 3,169 | | | J.O.E.L. Jerusalem Oil Exploration (Energy)* | | | 69,210 | |
| | 5,770 | | | Jerusalem Economy Ltd. (Real Estate) | | | 73,321 | |
| | 5,084 | | | Koor Industries Ltd. (Capital Goods)* | | | 123,649 | |
| | 18,904 | | | Matrix IT Ltd. (Software & Services) | | | 118,006 | |
| | 5,267 | | | Mellanox Technologies Ltd. (Semiconductors & Semiconductor Equipment)* | | | 147,297 | |
| | 10,097 | | | NetVision Ltd. (Software & Services) | | | 139,025 | |
| | 194,014 | | | Oil Refineries Ltd. (Energy)* | | | 145,333 | |
| | 797 | | | Ormat Industries Ltd. (Capital Goods) | | | 5,745 | |
| | 6,190 | | | Osem Investments Ltd. (Food, Beverage & Tobacco) | | | 108,257 | |
| | 314 | | | Paz Oil Co. Ltd. (Energy) | | | 58,219 | |
| | 2,270 | | | Rami Levi Chain Stores Hashikma Marketing 2006 Ltd. (Food & Staples Retailing) | | | 91,236 | |
| | 39,252 | | | Shufersal Ltd. (Food & Staples Retailing) | | | 245,410 | |
| | 1,420 | | | Strauss Group Ltd. (Food, Beverage & Tobacco) | | | 23,729 | |
| | 1,576 | | | The Israel Land Development Co. Ltd. (Media) | | | 15,629 | |
| | 8,556 | | | Tower Semiconductor Ltd. (Semiconductors & Semiconductor Equipment)* | | | 11,671 | |
| | 21,006 | | | Union Bank of Israel Ltd. (Banks) | | | 107,589 | |
| | | | | | | | | |
| | | | | | | | 3,012,960 | |
| |
| |
Italy – 3.3% |
| | 59,157 | | | Autostrada Torino-Milano SpA (Transportation) | | | 995,383 | |
| | 127,846 | | | Banca Piccolo Credito Valtellinese Scarl (Banks)(a) | | | 609,274 | |
| | 10,139 | | | Banca Popolare dell’Emilia Romagna SCRL (Banks) | | | 123,965 | |
| | 221,499 | | | Banca Popolare di Milano Scarl (Banks)(a) | | | 758,038 | |
| | 23,071 | | | Banco di Desio e della Brianza SpA (Banks) | | | 129,978 | |
| | 150,958 | | | Benetton Group SpA (Consumer Durables & Apparel) | | | 1,225,836 | |
| | 105,120 | | | Beni Stabili SpA (REIT) * | | | 119,015 | |
| | 39,529 | | | Danieli & C. Officine Meccaniche SpA (Capital Goods) | | | 1,259,259 | |
| | 97,314 | | | Danieli & C. Officine Meccaniche SpA RSP (Capital Goods) | | | 1,743,641 | |
| | 45,120 | | | De’Longhi SpA (Consumer Durables & Apparel) | | | 576,738 | |
| | 96,145 | | | ERG SpA (Energy) | | | 1,421,305 | |
| | 92,426 | | | IMMSI SpA (Automobiles & Components) | | | 120,037 | |
The accompanying notes are an integral part of these financial statements. 37
GOLDMAN SACHS STRUCTURED INTERNATIONAL SMALL CAP FUND
Schedule of Investments (continued)
April 30, 2011 (Unaudited)
| | | | | | | | | |
| Shares | | Description | | Value |
| |
Common Stocks – (continued) |
Italy – (continued) |
| | | | | | | | | |
| | 42,484 | | | Indesit Co. SpA (Consumer Durables & Apparel) | | $ | 560,000 | |
| | 5,285 | | | Industria Macchine Automatiche SpA (Capital Goods) | | | 113,896 | |
| | 13,619 | | | Italcementi SpA (Materials) | | | 149,295 | |
| | 7,974 | | | Societa Cattolica di Assicurazioni SCRL (Insurance)* | | | 224,332 | |
| | | | | | | | | |
| | | | | | | | 10,129,992 | |
| |
| |
Japan – 21.9% |
| | 58,300 | | | Adeka Corp. (Materials) | | | 577,541 | |
| | 91,600 | | | Aichi Corp. (Capital Goods) | | | 439,173 | |
| | 12,000 | | | Aichi Machine Industry Co. Ltd. (Automobiles & Components) | | | 42,843 | |
| | 22,100 | | | Aisan Industry Co. Ltd. (Automobiles & Components) | | | 207,915 | |
| | 28,800 | | | Alpen Co. Ltd. (Retailing) | | | 472,682 | |
| | 28,800 | | | Alpine Electronics, Inc. (Consumer Durables & Apparel) | | | 361,735 | |
| | 19,400 | | | Amano Corp. (Capital Goods) | | | 180,063 | |
| | 4,400 | | | AOKI Holdings, Inc. (Retailing) | | | 67,782 | |
| | 39,600 | | | Aoyama Trading Co. Ltd. (Retailing) | | | 652,351 | |
| | 20,000 | | | Arc Land Sakamoto Co. Ltd. (Retailing) | | | 277,272 | |
| | 32,900 | | | Arcs Co. Ltd. (Food & Staples Retailing) | | | 509,599 | |
| | 42,600 | | | Arisawa Manufacturing Co. Ltd. (Technology Hardware & Equipment) | | | 211,589 | |
| | 5,000 | | | Asahi Diamond Industrial Co. Ltd. (Capital Goods) | | | 104,007 | |
| | 493,000 | | | Atsugi Co. Ltd. (Consumer Durables & Apparel) | | | 580,501 | |
| | 15,300 | | | Autobacs Seven Co. Ltd. (Retailing) | | | 562,328 | |
| | 24,400 | | | Avex Group Holdings Inc (Media) | | | 303,314 | |
| | 115,800 | | | Belluna Co. Ltd. (Retailing) | | | 803,914 | |
| | 53,000 | | | Best Denki Co. Ltd. (Retailing)* | | | 143,662 | |
| | 2,300 | | | BML, Inc. (Health Care Equipment & Services) | | | 65,477 | |
| | 17,700 | | | C. Uyemura & Co. Ltd. (Materials) | | | 790,964 | |
| | 10,200 | | | Canon Electronics, Inc. (Technology Hardware & Equipment) | | | 244,796 | |
| | 29,200 | | | Century Tokyo Leasing Corp. (Diversified Financials) | | | 500,998 | |
| | 55,000 | | | Chugai Ro Co. Ltd. (Capital Goods) | | | 234,958 | |
| | 23,500 | | | Circle K Sunkus Co. Ltd. (Food & Staples Retailing) | | | 362,889 | |
| | 43,800 | | | Coca-Cola Central Japan Co. Ltd. (Food, Beverage & Tobacco) | | | 596,301 | |
| | 16,500 | | | COMSYS Holdings Corp. (Capital Goods) | | | 172,658 | |
| | 51,000 | | | Daifuku Co. Ltd. (Capital Goods) | | | 346,026 | |
| | 80,900 | | | Daiichikosho Co. Ltd. (Media) | | | 1,417,476 | |
| | 109,000 | | | Daikyo, Inc. (Real Estate)* | | | 175,832 | |
| | 98,000 | | | Daiwa Industries Ltd. (Capital Goods) | | | 492,681 | |
| | 17,000 | | | Denki Kogyo Co. Ltd. (Technology Hardware & Equipment) | | | 81,134 | |
| | 44,700 | | | DTS Corp. (Software & Services) | | | 423,955 | |
| | 22,400 | | | EDION Corp. (Retailing) | | | 193,304 | |
| | 6,500 | | | Eizo Nanao Corp. (Technology Hardware & Equipment) | | | 145,454 | |
| | 9,000 | | | Ezaki Glico Co. Ltd. (Food, Beverage & Tobacco) | | | 107,630 | |
| | 139 | | | Fields Corp. (Consumer Durables & Apparel) | | | 217,347 | |
| | 46,200 | | | Fuji Machine Manufacturing Co. Ltd. (Capital Goods) | | | 1,080,733 | |
| | 29,400 | | | Fuji Oil Co. Ltd. (Food, Beverage & Tobacco) | | | 408,147 | |
| | 20 | | | Fukuoka REIT Corp. (REIT) | | | 148,469 | |
| | 13,000 | | | Fukuyama Transporting Co. Ltd. (Transportation) | | | 62,825 | |
| | 175,000 | | | Furukawa-Sky Aluminum Corp. (Materials) | | | 502,070 | |
| | 24,700 | | | Furuno Electric Co. Ltd. (Technology Hardware & Equipment) | | | 141,978 | |
| | 17,700 | | | Fuyo General Lease Co. Ltd. (Diversified Financials) | | | 554,489 | |
| | 81 | | | Global One Real Estate Investment Corp. (REIT) | | | 719,969 | |
| | 36,100 | | | Glory Ltd. (Capital Goods) | | | 792,830 | |
| | 56,000 | | | Gunze Ltd. (Consumer Durables & Apparel) | | | 202,849 | |
| | 53,000 | | | H2O Retailing Corp. (Retailing) | | | 385,278 | |
| | 49,000 | | | Hakuto Co. Ltd. (Technology Hardware & Equipment) | | | 510,763 | |
| | 12,400 | | | Heiwa Corp. (Consumer Durables & Apparel) | | | 191,746 | |
| | 68,000 | | | Hitachi Cable Ltd. (Capital Goods) | | | 162,819 | |
| | 63,100 | | | Hitachi Transport System Ltd. (Transportation) | | | 876,833 | |
| | 4,800 | | | Hogy Medical Co. Ltd. (Health Care Equipment & Services) | | | 198,246 | |
| | 5,400 | | | Hokuto Corp. (Food, Beverage & Tobacco) | | | 120,764 | |
| | 3,600 | | | Hoshizaki Electric Co. Ltd. (Capital Goods) | | | 69,983 | |
| | 37,300 | | | Hosiden Corp. (Technology Hardware & Equipment) | | | 373,804 | |
| | 17,900 | | | House Foods Corp. (Food, Beverage & Tobacco) | | | 293,015 | |
| | 42,000 | | | IBJ Leasing Co. Ltd. (Diversified Financials) | | | 1,036,550 | |
| | 33,700 | | | Iida Home Max Co. Ltd. (Real Estate) | | | 290,473 | |
| | 69,200 | | | Inabata & Co. Ltd. (Capital Goods) | | | 397,494 | |
| | 11,000 | | | IT Holdings Corp. (Software & Services) | | | 108,181 | |
| | 23,400 | | | Japan Digital Laboratory Co. Ltd. (Technology Hardware & Equipment) | | | 270,584 | |
| | 2,200 | | | Japan Drilling Co. Ltd. (Energy)(a) | | | 88,897 | |
| | 86 | | | Japan Excellent, Inc. (REIT) | | | 473,885 | |
| | 23,700 | | | Kaga Electronics Co. Ltd. (Technology Hardware & Equipment) | | | 270,312 | |
38 The accompanying notes are an integral part of these financial statements.
GOLDMAN SACHS STRUCTURED INTERNATIONAL SMALL CAP FUND
| | | | | | | | | |
| Shares | | Description | | Value |
| |
Common Stocks – (continued) |
Japan – (continued) |
| | | | | | | | | |
| | 4,600 | | | Kagome Co. Ltd. (Food, Beverage & Tobacco) | | $ | 80,110 | |
| | 76,000 | | | Kaken Pharmaceutical Co. Ltd. (Pharmaceuticals, Biotechnology & Life Sciences) | | | 985,963 | |
| | 11,000 | | | Kanto Natural Gas Development Ltd. (Energy) | | | 66,902 | |
| | 49,500 | | | Kasumi Co. Ltd. (Food & Staples Retailing) | | | 262,578 | |
| | 11,600 | | | Kewpie Corp. (Food, Beverage & Tobacco) | | | 138,947 | |
| | 17,000 | | | Kinki Sharyo Co. Ltd. (Capital Goods) | | | 70,141 | |
| | 8,500 | | | Kissei Pharmaceutical Co. Ltd. (Pharmaceuticals, Biotechnology & Life Sciences) | | | 160,479 | |
| | 26,000 | | | Kitz Corp. (Capital Goods) | | | 135,454 | |
| | 325,000 | | | Kiyo Holdings, Inc. (Banks) | | | 462,565 | |
| | 19,000 | | | Koa Corp. (Technology Hardware & Equipment) | | | 211,970 | |
| | 4,500 | | | Kobayashi Pharmaceutical Co. Ltd. (Household & Personal Products) | | | 211,506 | |
| | 21,100 | | | Kojima Co. Ltd. (Retailing)(a) | | | 126,502 | |
| | 68,300 | | | Komori Corp. (Capital Goods) | | | 650,111 | |
| | 18,100 | | | Kose Corp. (Household & Personal Products) | | | 471,669 | |
| | 126,000 | | | Kurabo Industries Ltd. (Consumer Durables & Apparel) | | | 227,159 | |
| | 63,000 | | | Kureha Corp. (Materials) | | | 315,628 | |
| | 51,000 | | | Kyodo Printing Co. Ltd. (Commercial & Professional Services) | | | 104,984 | |
| | 88,000 | | | Kyorin Co. Ltd. (Pharmaceuticals, Biotechnology & Life Sciences) | | | 1,571,156 | |
| | 26,800 | | | Kyowa Exeo Corp. (Capital Goods) | | | 281,971 | |
| | 31,000 | | | Marudai Food Co. Ltd. (Food, Beverage & Tobacco) | | | 98,428 | |
| | 63,000 | | | Maruzen Showa Unyu Co. Ltd. (Transportation) | | | 200,271 | |
| | 6,600 | | | Matsuya Foods Co. Ltd. (Consumer Services) | | | 121,820 | |
| | 3,000 | | | Melco Holdings, Inc. (Technology Hardware & Equipment) | | | 96,049 | |
| | 133 | | | MID REIT, Inc. (REIT) | | | 414,117 | |
| | 26,900 | | | Ministop Co. Ltd. (Food & Staples Retailing) | | | 435,706 | |
| | 135,000 | | | Mitsubishi Kakoki Kaisha Ltd. (Capital Goods) | | | 322,048 | |
| | 20,600 | | | Mitsubishi Pencil Co. Ltd. (Commercial & Professional Services) | | | 367,172 | |
| | 224,000 | | | Mitsubishi Steel Manufacturing Co. Ltd. (Materials) | | | 755,873 | |
| | 147,000 | | | Mitsui Sugar Co. Ltd. (Food, Beverage & Tobacco) | | | 734,337 | |
| | 28,000 | | | Mochida Pharmaceutical Co. Ltd. (Pharmaceuticals, Biotechnology & Life Sciences) | | | 311,414 | |
| | 31,000 | | | Morinaga & Co. Ltd. (Food, Beverage & Tobacco) | | | 69,791 | |
| | 8,540 | | | Nafco Co. Ltd. (Retailing) | | | 147,560 | |
| | 17,000 | | | Nagase & Co. Ltd. (Capital Goods) | | | 215,357 | |
| | 600 | | | Nakanishi, Inc. (Health Care Equipment & Services) | | | 62,950 | |
| | 102,000 | | | Nakayama Steel Works Ltd. (Materials)* | | | 141,624 | |
| | 112,600 | | | Namura Shipbuilding Co. Ltd. (Capital Goods) | | | 571,504 | |
| | 22,100 | | | NEC Fielding Ltd. (Software & Services) | | | 247,255 | |
| | 50 | | | Net One Systems Co. Ltd. (Software & Services) | | | 90,537 | |
| | 14,500 | | | Nichiha Corp. (Capital Goods) | | | 125,626 | |
| | 37,000 | | | Nichirei Corp. (Food, Beverage & Tobacco) | | | 162,566 | |
| | 20,900 | | | Nihon Kohden Corp. (Health Care Equipment & Services) | | | 443,860 | |
| | 18,000 | | | Nippo Corp. (Capital Goods) | | | 144,895 | |
| | 201,000 | | | Nippon Beet Sugar Manufacturing Co. Ltd. (Food, Beverage & Tobacco) | | | 451,409 | |
| | 44,000 | | | Nippon Flour Mills Co. Ltd. (Food, Beverage & Tobacco) | | | 218,191 | |
| | 40,000 | | | Nippon Konpo Unyu Soko Co. Ltd. (Transportation) | | | 429,479 | |
| | 61,000 | | | Nippon Light Metal Co. Ltd. (Materials) | | | 124,635 | |
| | 21,000 | | | Nippon Seiki Co. Ltd. (Automobiles & Components) | | | 243,487 | |
| | 3,000 | | | Nippon Shinyaku Co. Ltd. (Pharmaceuticals, Biotechnology & Life Sciences) | | | 39,130 | |
| | 70,800 | | | Nippon Signal Co. Ltd. (Capital Goods) | | | 553,144 | |
| | 149,000 | | | Nippon Soda Co. Ltd. (Materials) | | | 654,216 | |
| | 82,000 | | | Nippon Valqua Industries Ltd. (Materials) | | | 239,184 | |
| | 26,700 | | | Nipro Corp. (Health Care Equipment & Services) | | | 544,523 | |
| | 145,000 | | | Nishimatsu Construction Co. Ltd. (Capital Goods) | | | 221,102 | |
| | 50,000 | | | Nissan Shatai Co. Ltd. (Automobiles & Components) | | | 374,628 | |
| | 27,000 | | | Nissin Corp. (Transportation) | | | 70,029 | |
| | 16,700 | | | Nitto Kogyo Corp. (Capital Goods) | | | 172,715 | |
| | 16,700 | | | Noevir Holdings Co. Ltd. (Household & Personal Products)* | | | 184,469 | |
| | 100,000 | | | NOF Corp. (Materials) | | | 438,983 | |
| | 4,700 | | | Noritz Corp. (Capital Goods) | | | 81,933 | |
| | 14,000 | | | Oiles Corp. (Capital Goods) | | | 270,070 | |
| | 20,000 | | | Okuwa Co. Ltd. (Food & Staples Retailing) | | | 206,154 | |
| | 134 | | | Orix JREIT, Inc. (REIT) | | | 731,522 | |
| | 13,500 | | | Osaka Steel Co. Ltd. (Materials) | | | 243,582 | |
| | 92,000 | | | Pacific Metals Co. Ltd. (Materials) | | | 697,016 | |
The accompanying notes are an integral part of these financial statements. 39
GOLDMAN SACHS STRUCTURED INTERNATIONAL SMALL CAP FUND
Schedule of Investments (continued)
April 30, 2011 (Unaudited)
| | | | | | | | | |
| Shares | | Description | | Value |
| |
Common Stocks – (continued) |
Japan – (continued) |
| | | | | | | | | |
| | 2,600 | | | Paramount Bed Co. Ltd. (Health Care Equipment & Services) | | $ | 70,501 | |
| | 15,800 | | | Parco Co. Ltd. (Retailing) | | | 134,900 | |
| | 11,300 | | | Resorttrust, Inc. (Consumer Services) | | | 137,886 | |
| | 19,800 | | | Ricoh Leasing Co. Ltd. (Diversified Financials) | | | 443,709 | |
| | 26,600 | | | Riso Kagaku Corp. (Technology Hardware & Equipment) | | | 500,700 | |
| | 6,000 | | | Rohto Pharmaceutical Co. Ltd. (Pharmaceuticals, Biotechnology & Life Sciences) | | | 61,013 | |
| | 91,000 | | | Ryobi Ltd. (Capital Goods) | | | 352,597 | |
| | 6,100 | | | Saizeriya Co. Ltd. (Consumer Services) | | | 104,017 | |
| | 99,000 | | | Sakai Chemical Industry Co. Ltd. (Materials) | | | 517,911 | |
| | 120,000 | | | San-Ai Oil Co. Ltd. (Energy) | | | 647,974 | |
| | 77,000 | | | Sanden Corp. (Automobiles & Components) | | | 364,580 | |
| | 6,100 | | | Sangetsu Co. Ltd. (Consumer Durables & Apparel) | | | 140,310 | |
| | 110,000 | | | Sanken Electric Co. Ltd. (Semiconductors & Semiconductor Equipment) | | | 589,413 | |
| | 54,000 | | | Sankyu, Inc. (Transportation) | | | 248,165 | |
| | 8,200 | | | Sanoh Industrial Co. Ltd. (Automobiles & Components) | | | 63,775 | |
| | 36,300 | | | Sanshin Electronics Co. Ltd. (Technology Hardware & Equipment) | | | 303,396 | |
| | 10,000 | | | Sanyo Chemical Industries Ltd. (Materials) | | | 81,715 | |
| | 98,000 | | | Sasebo Heavy Industries Co. Ltd. (Capital Goods) | | | 187,544 | |
| | 90,000 | | | Seika Corp. (Capital Goods) | | | 248,517 | |
| | 5,900 | | | Seikagaku Corp. (Pharmaceuticals, Biotechnology & Life Sciences) | | | 68,407 | |
| | 49,000 | | | Seino Holdings Corp. (Transportation) | | | 368,089 | |
| | 14,900 | | | Seiren Co. Ltd. (Consumer Durables & Apparel) | | | 100,150 | |
| | 22,000 | | | Sekisui Jushi Corp. (Capital Goods) | | | 228,758 | |
| | 31,000 | | | Sekisui Plastics Co. Ltd. (Materials) | | | 113,657 | |
| | 40,000 | | | Senko Co. Ltd. (Transportation) | | | 118,940 | |
| | 92,000 | | | Shikibo Ltd. (Consumer Durables & Apparel) | | | 107,519 | |
| | 13,000 | | | Shimachu Co. Ltd. (Retailing) | | | 303,479 | |
| | 51,500 | | | Shinko Shoji Co. Ltd. (Technology Hardware & Equipment) | | | 437,714 | |
| | 81,000 | | | Shinmaywa Industries Ltd. (Capital Goods) | | | 345,674 | |
| | 80,000 | | | Shinsho Corp. (Capital Goods) | | | 209,848 | |
| | 22,000 | | | Shizuoka Gas Co. Ltd. (Utilities) | | | 129,928 | |
| | 35,700 | | | Sintokogio Ltd. (Capital Goods) | | | 357,203 | |
| | 2,943 | | | SKY Perfect JSAT Holdings, Inc. (Media) | | | 1,176,078 | |
| | 33 | | | So-net Entertainment Corp. (Software & Services) | | | 124,242 | |
| | 194 | | | SRI Sports Ltd. (Consumer Durables & Apparel) | | | 211,333 | |
| | 32,600 | | | Star Micronics Co. Ltd. (Technology Hardware & Equipment) | | | 368,058 | |
| | 115,000 | | | Sumitomo Osaka Cement Co. Ltd. (Materials) | | | 312,682 | |
| | 1,730 | | | Sumitomo Real Estate Sales Co. Ltd. (Real Estate) | | | 70,406 | |
| | 40,000 | | | Sumitomo Seika Chemicals Co. Ltd. (Materials) | | | 235,991 | |
| | 31,400 | | | Tachi-S Co. Ltd. Class S (Automobiles & Components) | | | 527,997 | |
| | 64,000 | | | Taihei Kogyo Co. Ltd. (Capital Goods) | | | 290,798 | |
| | 11,000 | | | Takasago International Corp. (Materials) | | | 57,222 | |
| | 37,000 | | | Takiron Co. Ltd. (Materials) | | | 144,746 | |
| | 88,000 | | | The Bank of Nagoya Ltd. (Banks) | | | 279,419 | |
| | 18,400 | | | The Bank of Okinawa Ltd. (Banks) | | | 738,135 | |
| | 11,800 | | | The Chiba Kogyo Bank Ltd. (Banks)* | | | 63,886 | |
| | 122,000 | | | The Keiyo Bank Ltd. (Banks) | | | 600,181 | |
| | 12,000 | | | The Nippon Synthetic Chemical Industry Co. Ltd. (Materials) | | | 76,143 | |
| | 53,000 | | | The Sumitomo Warehouse Co. Ltd. (Transportation) | | | 244,071 | |
| | 190,000 | | | The Toho Bank Ltd. (Banks) | | | 468,086 | |
| | 16,900 | | | The Tokyo Tomin Bank Ltd. (Banks) | | | 225,958 | |
| | 2,500 | | | The Yachiyo Bank Ltd. (Banks) | | | 76,315 | |
| | 9,900 | | | TKC Corp. (Software & Services) | | | 211,217 | |
| | 188,000 | | | Toa Corp. (Capital Goods) | | | 338,403 | |
| | 114,000 | | | Toagosei Co. Ltd. (Materials) | | | 617,395 | |
| | 9,600 | | | Tocalo Co. Ltd. (Capital Goods) | | | 180,880 | |
| | 28,000 | | | Toho Zinc Co. Ltd. (Materials) | | | 152,733 | |
| | 12,100 | | | Tokai Rika Co. Ltd. (Automobiles & Components) | | | 212,024 | |
| | 6,000 | | | Tokai Rubber Industries Ltd. (Automobiles & Components) | | | 73,045 | |
| | 122,000 | | | Tokai Tokyo Financial Holdings, Inc. (Diversified Financials) | | | 365,656 | |
| | 21,400 | | | Tokyo Ohka Kogyo Co. Ltd. (Materials) | | | 452,565 | |
| | 7,300 | | | Tokyu Livable, Inc. (Real Estate) | | | 61,969 | |
| | 155 | | | Tokyu REIT, Inc. (REIT) | | | 1,077,355 | |
| | 40,300 | | | Toppan Forms Co. Ltd. (Commercial & Professional Services) | | | 322,483 | |
| | 46,700 | | | Topre Corp. (Automobiles & Components) | | | 384,942 | |
| | 35,300 | | | Torii Pharmaceutical Co. Ltd. (Pharmaceuticals, Biotechnology & Life Sciences) | | | 724,614 | |
| | 203,000 | | | Toshiba TEC Corp. (Technology Hardware & Equipment) | | | 937,697 | |
| | 62,000 | | | Toyo Ink SC Holdings Co. Ltd. (Materials) | | | 314,006 | |
| | 57,000 | | | Toyo Tire & Rubber Co. Ltd. (Automobiles & Components) | | | 139,379 | |
40 The accompanying notes are an integral part of these financial statements.
GOLDMAN SACHS STRUCTURED INTERNATIONAL SMALL CAP FUND
| | | | | | | | | |
| Shares | | Description | | Value |
| |
Common Stocks – (continued) |
Japan – (continued) |
| | | | | | | | | |
| | 63,000 | | | Tsubakimoto Chain Co. (Capital Goods) | | $ | 335,197 | |
| | 15,000 | | | Tsukishima Kikai Co. Ltd. (Capital Goods) | | | 137,639 | |
| | 135 | | | TV Asahi Corp. (Media) | | | 207,430 | |
| | 3,800 | | | Unihair Co. Ltd. (Household & Personal Products)* | | | 36,632 | |
| | 28,800 | | | Unipres Corp. (Automobiles & Components) | | | 617,093 | |
| | 471 | | | United Urban Investment Corp. (REIT) | | | 597,717 | |
| | 24,030 | | | Usen Corp. (Media)* | | | 16,785 | |
| | 10,800 | | | Yamatake Corp. (Technology Hardware & Equipment) | | | 276,732 | |
| | 33,000 | | | Yodogawa Steel Works Ltd. (Materials) | | | 139,264 | |
| | 38,500 | | | Yonekyu Corp. (Food, Beverage & Tobacco) | | | 296,037 | |
| | 13,200 | | | Yorozu Corp. (Automobiles & Components)(a) | | | 267,525 | |
| | | | | | | | | |
| | | | | | | | 67,682,443 | |
| |
| |
Liechtenstein – 0.1% |
| | 3,144 | | | Liechtenstein Landesbank AG (Banks)(a) | | | 276,378 | |
| |
| |
Netherlands – 2.2% |
| | 15,228 | | | Accell Group NV (Consumer Durables & Apparel)* | | | 906,511 | |
| | 8,051 | | | Arcadis NV (Capital Goods) | | | 207,777 | |
| | 25,914 | | | Beter Bed Holding NV (Retailing) | | | 820,883 | |
| | 9,237 | | | BinckBank NV (Diversified Financials) | | | 167,031 | |
| | 53,959 | | | Koninklijke BAM Groep NV (Capital Goods) | | | 430,811 | |
| | 6,279 | | | Koninklijke Ten Cate NV (Consumer Durables & Apparel) | | | 290,618 | |
| | 43,886 | | | Mediq NV (Health Care Equipment & Services) | | | 945,904 | |
| | 14,967 | | | Nutreco NV (Food, Beverage & Tobacco) | | | 1,164,802 | |
| | 38,837 | | | TomTom NV (Consumer Durables & Apparel)*(a) | | | 351,272 | |
| | 30,920 | | | VastNed Offices/Industrial NV (REIT) | | | 617,407 | |
| | 13,185 | | | Vastned Retail NV (REIT) | | | 1,010,338 | |
| | | | | | | | | |
| | | | | | | | 6,913,354 | |
| |
| |
New Zealand – 0.4% |
| | 276,957 | | | Air New Zealand Ltd. (Transportation) | | | 249,427 | |
| | 219,503 | | | Goodman Property Trust (REIT) | | | 161,846 | |
| | 12,173 | | | Mainfreight Ltd. (Transportation) | | | 91,540 | |
| | 256,644 | | | New Zealand Oil & Gas Ltd. (Energy) | | | 201,880 | |
| | 223,823 | | | Nuplex Industries Ltd. (Materials) | | | 592,586 | |
| | | | | | | | | |
| | | | | | | | 1,297,279 | |
| |
| |
Norway – 1.4% |
| | 16,062 | | | Aker ASA Class A (Energy)(a) | | | 490,167 | |
| | 21,658 | | | Cermaq ASA (Food, Beverage & Tobacco)* | | | 446,127 | |
| | 11,964 | | | Fred Olsen Energy ASA (Energy) | | | 551,085 | |
| | 25,329 | | | Leroy Seafood Group ASA (Food, Beverage & Tobacco) | | | 822,833 | |
| | 762,961 | | | Marine Harvest ASA (Food, Beverage & Tobacco) | | | 1,007,981 | |
| | 34,300 | | | TGS Nopec Geophysical Co. ASA (Energy) | | | 903,088 | |
| | 15,745 | | | Veidekke ASA (Capital Goods) | | | 159,053 | |
| | | | | | | | | |
| | | | | | | | 4,380,334 | |
| |
| |
Portugal – 0.5% |
| | 284,984 | | | Banco BPI SA (Registered) (Banks)* | | | 512,265 | |
| | 296,012 | | | Mota-Engil SGPS SA (Capital Goods)* | | | 785,703 | |
| | 285,838 | | | Sonae (Capital Goods) | | | 343,203 | |
| | | | | | | | | |
| | | | | | | | 1,641,171 | |
| |
| |
Singapore – 2.3% |
| | 363,000 | | | Allgreen Properties Ltd. (Real Estate) | | | 350,403 | |
| | 34,000 | | | Ascott Residence Trust (REIT) | | | 33,065 | |
| | 90,000 | | | Banyan Tree Holdings Ltd. (Consumer Services)* | | | 69,482 | |
| | 65,000 | | | Biosensors International Group Ltd. (Health Care Equipment & Services)* | | | 71,747 | |
| | 528,000 | | | CapitaCommercial Trust (REIT) | | | 621,981 | |
| | 53,000 | | | CH Offshore Ltd. (Energy) | | | 19,291 | |
| | 42,000 | | | Chemoil Energy Ltd. (Energy)* | | | 14,945 | |
| | 242,000 | | | China Aviation Oil Singapore Corp. Ltd. (Energy) | | | 267,389 | |
| | 193,000 | | | China XLX Fertiliser Ltd. (Materials) | | | 68,018 | |
| | 359,000 | | | CWT Ltd. (Transportation) | | | 382,158 | |
| | 27,000 | | | First Resources Ltd. (Food, Beverage & Tobacco) | | | 30,504 | |
| | 1,364,400 | | | Fortune Real Estate Investment Trust (REIT) | | | 679,715 | |
| | 320,800 | | | Frasers Commercial Trust (REIT) | | | 209,773 | |
| | 392,000 | | | Hi-P International Ltd. (Capital Goods) | | | 390,872 | |
| | 156,000 | | | Ho Bee Investment Ltd. (Real Estate) | | | 189,072 | |
| | 54,000 | | | Hong Leong Asia Ltd. (Capital Goods) | | | 118,878 | |
| | 19,000 | | | Hotel Properties Ltd. (Consumer Services) | | | 37,293 | |
| | 138,000 | | | Indofood Agri Resources Ltd. (Food, Beverage & Tobacco)* | | | 235,197 | |
| | 149,000 | | | Jaya Holdings Ltd. (Capital Goods)* | | | 71,391 | |
| | 120,000 | | | KS Energy Services Ltd. (Capital Goods)* | | | 97,236 | |
| | 375,000 | | | Lippo-Mapletree Indonesia Retail Trust (REIT) | | | 171,614 | |
| | 328,160 | | | Mapletree Logistics Trust (REIT) | | | 242,777 | |
| | 540,000 | | | Metro Holdings Ltd. (Retailing) | | | 384,010 | |
The accompanying notes are an integral part of these financial statements. 41
GOLDMAN SACHS STRUCTURED INTERNATIONAL SMALL CAP FUND
Schedule of Investments (continued)
April 30, 2011 (Unaudited)
| | | | | | | | | |
| Shares | | Description | | Value |
| |
Common Stocks – (continued) |
Singapore – (continued) |
| | | | | | | | | |
| | 36,000 | | | Parkway Life Real Estate Investment Trust (REIT) | | $ | 50,917 | |
| | 85,000 | | | SATS Ltd. (Transportation) | | | 179,386 | |
| | 53,000 | | | Singapore Post Ltd. (Transportation) | | | 50,227 | |
| | 97,000 | | | Stamford Land Corp. Ltd. (Consumer Services) | | | 49,165 | |
| | 167,000 | | | Starhill Global REIT (REIT) | | | 86,683 | |
| | 124,000 | | | Straits Asia Resources Ltd. (Energy) | | | 299,956 | |
| | 188,000 | | | Suntec Real Estate Investment Trust (REIT) | | | 233,703 | |
| | 19,000 | | | Super Group Ltd. (Food, Beverage & Tobacco) | | | 21,460 | |
| | 645,000 | | | Swiber Holdings Ltd. (Energy)* | | | 419,712 | |
| | 196,600 | | | UOB-Kay Hian Holdings Ltd. (Diversified Financials) | | | 302,197 | |
| | 77,000 | | | Venture Corp. Ltd. (Technology Hardware & Equipment) | | | 607,529 | |
| | 12,000 | | | Wheelock Properties Singapore Ltd. (Real Estate)* | | | 18,254 | |
| | 45,000 | | | Yanlord Land Group Ltd. (Real Estate) | | | 53,379 | |
| | | | | | | | | |
| | | | | | | | 7,129,379 | |
| |
| |
South Africa – 0.6% |
| | 357,963 | | | Aquarius Platinum Ltd. (Materials) | | | 1,944,410 | |
| |
| |
Spain – 1.7% |
| | 42,790 | | | Antena 3 de Television SA (Media)(a) | | | 396,640 | |
| | 11,809 | | | Baron de Ley SA (Food, Beverage & Tobacco)* | | | 847,259 | |
| | 36,040 | | | Corp. Financiera Alba SA (Diversified Financials) | | | 2,221,320 | |
| | 28,867 | | | Duro Felguera SA (Capital Goods) | | | 245,300 | |
| | 15,743 | | | Ebro Foods SA (Food, Beverage & Tobacco) | | | 388,428 | |
| | 27,729 | | | Gamesa Corp. Tecnologica SA (Capital Goods)* | | | 260,555 | |
| | 35,897 | | | NH Hoteles SA (Consumer Services)* | | | 302,988 | |
| | 5,312 | | | Obrascon Huarte Lain SA (Capital Goods) | | | 217,615 | |
| | 52,418 | | | Promotora de Informaciones SA Class A (Media)*(a) | | | 148,277 | |
| | 12,502 | | | Vueling Airlines SA (Transportation)* | | | 175,873 | |
| | | | | | | | | |
| | | | | | | | 5,204,255 | |
| |
| |
Sweden – 4.1% |
| | 44,906 | | | Betsson AB (Consumer Services)* | | | 1,011,627 | |
| | 13,755 | | | Castellum AB (Real Estate) | | | 213,232 | |
| | 8,200 | | | D. Carnegie & Co. AB (Diversified Financials)* | | | — | |
| | 80,115 | | | East Capital Explorer AB (Diversified Financials)(a) | | | 1,064,090 | |
| | 86,760 | | | Fabege AB (Real Estate) | | | 996,239 | |
| | 6,820 | | | Haldex AB (Capital Goods)* | | | 120,267 | |
| | 35,347 | | | Hexpol AB (Capital Goods)(a) | | | 915,455 | |
| | 55,357 | | | Industrial & Financial Systems AB Class B (Software & Services) | | | 1,136,007 | |
| | 65,974 | | | Klovern AB (Real Estate) | | | 358,124 | |
| | 185,460 | | | Kungsleden AB (Real Estate)(a) | | | 1,956,701 | |
| | 9,964 | | | Loomis AB Class B (Commercial & Professional Services)* | | | 158,304 | |
| | 31,928 | | | NCC AB Class B (Capital Goods) | | | 853,806 | |
| | 52,789 | | | Oresund Investment AB (Diversified Financials) | | | 965,367 | |
| | 87,253 | | | Saab AB Class B (Capital Goods)(a) | | | 1,971,016 | |
| | 15,543 | | | Wallenstam AB Class B (Real Estate)(a) | | | 506,666 | |
| | 16,742 | | | Wihlborgs Fastigheter AB (Real Estate)(a) | | | 504,195 | |
| | | | | | | | | |
| | | | | | | | 12,731,096 | |
| |
| |
Switzerland – 5.3% |
| | 4,602 | | | Advanced Digital Broadcast Holdings SA (Registered) (Consumer Durables & Apparel) | | | 132,740 | |
| | 2,029 | | | Bobst Group AG (Registered) (Capital Goods)* | | | 98,350 | |
| | 1,320 | | | Burckhardt Compression Holding AG (Capital Goods) | | | 424,350 | |
| | 39,156 | | | Clariant AG (Registered) (Materials)* | | | 812,876 | |
| | 7,521 | | | Coltene Holding AG (Registered) (Health Care Equipment & Services)* | | | 461,837 | |
| | 5,792 | | | Compagnie Financiere Tradition SA (Diversified Financials) | | | 809,541 | |
| | 14,221 | | | Ferrexpo PLC (Materials) | | | 119,167 | |
| | 1,565 | | | Forbo Holding AG (Registered) (Consumer Durables & Apparel)* | | | 1,280,644 | |
| | 696 | | | Georg Fischer AG (Registered) (Capital Goods)* | | | 455,078 | |
| | 815 | | | Gurit Holding AG (Materials)* | | | 635,881 | |
| | 5,624 | | | Helvetia Holding AG (Registered) (Insurance)* | | | 2,640,544 | |
| | 5,385 | | | Inficon Holding AG (Registered) (Technology Hardware & Equipment) | | | 1,269,978 | |
| | 195,223 | | | Informa PLC (Media) | | | 1,362,172 | |
| | 10,035 | | | Kardex AG (Registered) (Capital Goods)* | | | 292,349 | |
| | 102,597 | | | Petroplus Holdings AG (Energy)* | | | 1,537,652 | |
| | 2,608 | | | PSP Swiss Property AG (Registered) (Real Estate)* | | | 237,420 | |
| | 4,972 | | | Schweizerische National-Versicherungs-Gesellschaft (Registered) Class V (Insurance) | | | 213,797 | |
| | 4,116 | | | Sulzer AG (Registered) (Capital Goods) | | | 743,556 | |
| | 291,912 | | | Swisslog Holding AG (Registered) (Capital Goods)* | | | 296,974 | |
| | 17,478 | | | Tecan Group AG (Registered) (Pharmaceuticals, Biotechnology & Life Sciences)* | | | 1,454,816 | |
42 The accompanying notes are an integral part of these financial statements.
GOLDMAN SACHS STRUCTURED INTERNATIONAL SMALL CAP FUND
| | | | | | | | | |
| Shares | | Description | | Value |
| |
Common Stocks – (continued) |
Switzerland – (continued) |
| | | | | | | | | |
| | 1,049 | | | Valora Holding AG (Registered) (Retailing) | | $ | 358,358 | |
| | 272 | | | Zehnder Group AG (Capital Goods) | | | 858,451 | |
| | | | | | | | | |
| | | | | | | | 16,496,531 | |
| |
| |
United Kingdom – 19.4% |
| | 95,802 | | | Afren PLC (Energy)* | | | 256,611 | |
| | 153,188 | | | Amlin PLC (Insurance) | | | 1,071,467 | |
| | 76,818 | | | Anglo Pacific Group PLC (Energy) | | | 406,752 | |
| | 57,132 | | | Ashmore Group PLC (Diversified Financials) | | | 356,968 | |
| | 31,049 | | | Ashtead Group PLC (Capital Goods) | | | 105,122 | |
| | 8,390 | | | ASOS PLC (Retailing)* | | | 324,667 | |
| | 697,624 | | | Barratt Developments PLC (Consumer Durables & Apparel)* | | | 1,305,271 | |
| | 20,548 | | | Bellway PLC (Consumer Durables & Apparel) | | | 243,291 | |
| | 184,072 | | | Berendsen PLC (Commercial & Professional Services) | | | 1,600,519 | |
| | 109,421 | | | Big Yellow Group PLC (REIT) | | | 608,123 | |
| | 349,411 | | | Bodycote PLC (Capital Goods) | | | 2,276,462 | |
| | 46,672 | | | Bovis Homes Group PLC (Consumer Durables & Apparel) | | | 344,032 | |
| | 75,611 | | | Cape PLC (Commercial & Professional Services) | | | 709,433 | |
| | 23,366 | | | Capital & Counties Properties PLC (Real Estate) | | | 65,647 | |
| | 62,208 | | | Collins Stewart PLC (Diversified Financials) | | | 88,063 | |
| | 159,098 | | | Computacenter PLC (Software & Services) | | | 1,225,902 | |
| | 35,767 | | | Cookson Group PLC (Capital Goods)* | | | 429,101 | |
| | 153,073 | | | Dairy Crest Group PLC (Food, Beverage & Tobacco) | | | 1,027,646 | |
| | 19,753 | | | Dechra Pharmaceuticals PLC (Pharmaceuticals, Biotechnology & Life Sciences) | | | 158,373 | |
| | 19,288 | | | Derwent London PLC (REIT) | | | 578,659 | |
| | 17,377 | | | Development Securities PLC (Real Estate) | | | 63,131 | |
| | 258,700 | | | Devro PLC (Food, Beverage & Tobacco) | | | 1,236,726 | |
| | 243,046 | | | Diploma PLC (Technology Hardware & Equipment) | | | 1,493,977 | |
| | 478,355 | | | Domino’s Pizza UK & IRL PLC (Consumer Services) | | | 3,701,366 | |
| | 489,836 | | | Drax Group PLC (Utilities) | | | 3,607,751 | |
| | 588,840 | | | DS Smith PLC (Materials) | | | 2,134,356 | |
| | 16,961 | | | Dunelm Group PLC (Retailing) | | | 129,302 | |
| | 643,975 | | | Elementis PLC (Materials) | | | 1,776,420 | |
| | 51,543 | | | EnQuest PLC (Energy)* | | | 120,353 | |
| | 787,926 | | | F&C Asset Management PLC (Diversified Financials) | | | 1,046,967 | |
| | 65,087 | | | Fenner PLC (Capital Goods) | | | 423,573 | |
| | 353,452 | | | Filtrona PLC (Materials) | | | 2,033,561 | |
| | 192,310 | | | GKN PLC (Automobiles & Components) | | | 717,604 | |
| | 41,357 | | | Great Portland Estates PLC (REIT) | | | 291,386 | |
| | 13,371 | | | Halfords Group PLC (Retailing) | | | 88,364 | |
| | 145,646 | | | Hamworthy PLC (Capital Goods) | | | 1,382,557 | |
| | 29,697 | | | Hargreaves Lansdown PLC (Diversified Financials) | | | 319,948 | |
| | 144,007 | | | Hays PLC (Commercial & Professional Services) | | | 286,843 | |
| | 64,437 | | | Healthcare Locums PLC (Health Care Equipment & Services) | | | 121,086 | |
| | 13,454 | | | Hikma Pharmaceuticals PLC (Pharmaceuticals, Biotechnology & Life Sciences) | | | 176,804 | |
| | 46,351 | | | Howden Joinery Group PLC (Retailing)* | | | 85,739 | |
| | 114,899 | | | Hunting PLC (Energy) | | | 1,555,504 | |
| | 57,486 | | | IMI PLC (Capital Goods) | | | 1,052,044 | |
| | 127,917 | | | Intermediate Capital Group PLC (Diversified Financials) | | | 707,415 | |
| | 162,122 | | | International Personal Finance PLC (Diversified Financials) | | | 998,763 | |
| | 193,387 | | | Interserve PLC (Capital Goods) | | | 907,697 | |
| | 19,396 | | | JKX Oil & Gas PLC (Energy) | | | 99,521 | |
| | 146,662 | | | John Wood Group PLC (Energy) | | | 1,701,761 | |
| | 598,135 | | | Johnston Press PLC (Media)* | | | 79,928 | |
| | 244,192 | | | Laird PLC (Technology Hardware & Equipment) | | | 573,488 | |
| | 390,086 | | | Logica PLC (Software & Services) | | | 881,048 | |
| | 61,315 | | | Mecom Group PLC (Media)* | | | 319,309 | |
| | 209,725 | | | Melrose PLC (Capital Goods) | | | 1,242,721 | |
| | 35,419 | | | Melrose Resources PLC (Energy) | | | 165,358 | |
| | 183,445 | | | Mondi PLC (Materials) | | | 1,823,252 | |
| | 143,650 | | | Morgan Crucible Co. PLC (Capital Goods) | | | 746,533 | |
| | 52,617 | | | Mothercare PLC (Retailing) | | | 369,045 | |
| | 48,747 | | | Persimmon PLC (Consumer Durables & Apparel) | | | 394,340 | |
| | 158,883 | | | Premier Foods PLC (Food, Beverage & Tobacco)* | | | 85,426 | |
| | 302,292 | | | PV Crystalox Solar PLC (Semiconductors & Semiconductor Equipment) | | | 272,664 | |
| | 862,096 | | | QinetiQ Group PLC (Capital Goods)* | | | 1,745,599 | |
| | 37,526 | | | Rightmove PLC (Media) | | | 665,360 | |
| | 76,567 | | | Robert Wiseman Dairies PLC (Food, Beverage & Tobacco) | | | 402,865 | |
| | 48,517 | | | Salamander Energy PLC (Energy)* | | | 244,900 | |
| | 510,949 | | | Senior PLC (Capital Goods) | | | 1,305,503 | |
| | 73,452 | | | Spectris PLC (Technology Hardware & Equipment) | | | 1,820,188 | |
| | 14,658 | | | Sthree PLC (Commercial & Professional Services) | | | 107,414 | |
| | 27,102 | | | SuperGroup PLC (Retailing)* | | | 717,979 | |
| | 367,061 | | | Taylor Wimpey PLC (Consumer Durables & Apparel)* | | | 239,868 | |
The accompanying notes are an integral part of these financial statements. 43
GOLDMAN SACHS STRUCTURED INTERNATIONAL SMALL CAP FUND
Schedule of Investments (continued)
April 30, 2011 (Unaudited)
| | | | | | | | | |
| Shares | | Description | | Value |
| |
Common Stocks – (continued) |
United Kingdom – (continued) |
| | | | | | | | | |
| | 216,557 | | | The Paragon Group of Companies PLC (Banks) | | $ | 626,219 | |
| | 568,243 | | | TT electronics PLC (Technology Hardware & Equipment) | | | 1,694,259 | |
| | 37,644 | | | Tullett Prebon PLC (Diversified Financials) | | | 265,290 | |
| | 26,343 | | | Valiant Petroleum PLC (Energy)* | | | 235,536 | |
| | 9,505 | | | WH Smith PLC (Retailing) | | | 74,869 | |
| | 237,769 | | | William Hill PLC (Consumer Services) | | | 888,886 | |
| | 150,208 | | | Workspace Group PLC (REIT) | | | 72,761 | |
| | 93,952 | | | WSP Group PLC (Commercial & Professional Services) | | | 563,389 | |
| | | | | | | | | |
| | | | | | | | 60,066,625 | |
| |
| |
TOTAL COMMON STOCKS |
(Cost $225,733,600) | | $ | 299,040,610 | |
| |
| |
| | | | | | | | | |
| | | | | | | | | |
Investment Company – 0.1% |
Australia – 0.1% |
| | 242,823 | | | Challenger Infrastructure Fund Class A | | $ | 295,834 | |
(Cost $291,706) | | | | |
| |
| |
| | | | | | | | | |
| | | | | | | | | | | | | |
| | | | | Expiration
| | |
| Units | | Description | | Month | | Value |
| |
Rights* – 0.1% |
Australia – 0.1% |
| | 63,652 | | | Dart Energy Ltd. (Energy) | | | 05/11 | | | $ | 498 | |
| | 293,403 | | | Nexus Energy Ltd. (Energy) | | | 05/11 | | | | 10,035 | |
| | | | | | | | | | | | | |
| | | | | | | | | | | $ | 10,533 | |
| |
| |
Israel – 0.0% |
| | 12,974 | | | Amot Investments Ltd.
(Real Estate) | | | 05/11 | | | | — | |
| |
| |
TOTAL RIGHTS |
(Cost $0) | | $ | 10,533 | |
| |
| |
| | | | | | | | | | | | | |
| | | | | | | | | | | | | |
Warrant* – 0.0% |
France – 0.0% |
| | 13,992 | | | Mersen SA (Capital Goods) | | | 11/12 | | | | — | |
(Cost $0) | | | | |
| |
| |
| | | | | | | | | | | | | |
| | | | | | | | | | | |
| Shares | | Rate | | Value |
| |
Short-term Investment(b) – 1.9% |
| | | | | | | | | | | |
| | | | | | | | | | | |
| JPMorgan U.S. Government Money Market Fund – Capital Shares |
| | 6,023,262 | | | | 0.010% | | | $ | 6,023,262 | |
(Cost $6,023,262) | | | | |
| |
| |
TOTAL INVESTMENTS BEFORE SECURITIES LENDING REINVESTMENT VEHICLE |
(Cost $232,048,568) | | $ | 305,370,239 | |
| |
| |
| | | | | | | | | | | |
| | | | | | | | | | | |
Securities Lending Reinvestment Vehicle(b)(c) – 5.8% |
| Goldman Sachs Financial Square Money Market Fund – FST Shares |
| | 18,024,842 | | | | 0.110% | | | $ | 18,024,842 | |
(Cost $18,024,842) | | | | |
| |
| |
TOTAL INVESTMENTS – 104.5% |
(Cost $250,073,410) | | $ | 323,395,081 | |
| |
| |
LIABILITIES IN EXCESS OF OTHER ASSETS – (4.5)% | | | (13,786,962 | ) |
| |
| |
NET ASSETS – 100.0% | | $ | 309,608,119 | |
| |
| |
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) | | Variable rate security. Interest rate disclosed is that which is in effect at April 30, 2011. |
| |
| (c) | | Represents an affiliated issuer. |
| | | | | |
| |
| |
Investment Abbreviations: |
| IRL | | — | | Ireland |
| REIT | | — | | Real Estate Investment Trust |
| UK | | — | | United Kingdom |
| RSP | | — | | Risparmio Shares |
| |
| |
44 The accompanying notes are an integral part of these financial statements.
GOLDMAN SACHS STRUCTURED INTERNATIONAL SMALL CAP FUND
| |
| ADDITIONAL INVESTMENT INFORMATION | |
FUTURES CONTRACTS — At April 30, 2011, the following futures contracts were open:
| | | | | | | | | | | | | | | |
| | | Number of
| | | | | | |
| | | Contracts
| | Expiration
| | Current
| | Unrealized
|
| Type | | Long (Short) | | Date | | Value | | Gain (Loss) |
| |
| Dow Jones EURO STOXX 50 Index | | | 80 | | | June 2011 | | $ | 3,491,959 | | | $ | 164,182 | |
| FTSE 100 Index | | | 13 | | | June 2011 | | | 1,310,039 | | | | 71,105 | |
| MSCI Singapore Index | | | 3 | | | May 2011 | | | 181,659 | | | | (525 | ) |
| SPI 200 Index | | | 4 | | | June 2011 | | | 527,005 | | | | 22,635 | |
| TSE TOPIX Index | | | 14 | | | June 2011 | | | 1,473,094 | | | | (83,696 | ) |
| |
| |
TOTAL | | | | | | | | | | | | $ | 173,701 | |
| |
| |
The accompanying notes are an integral part of these financial statements. 45
GOLDMAN SACHS STRUCTURED INTERNATIONAL EQUITY FUNDS
Statements of Assets and Liabilities
April 30, 2011 (Unaudited)
| | | | | | | | | | | | | | | |
| | | Structured
| | Structured
| | Structured
| | |
| | | Emerging Markets
| | International
| | International
| | |
| | | Equity Fund | | Equity Fund | | Small Cap Fund | | |
Assets: |
| | | | | | | | | | | | | | | |
Investments in securities of unaffiliated issuers, at value (identified cost $279,059,520, $2,002,037,312 and $232,048,568, respectively)(a) | | $ | 359,354,018 | | | $ | 2,332,767,629 | | | $ | 305,370,239 | | | |
| Investments in affiliated securities lending reinvestment vehicle, at value (identified cost $2,069,825, $297,623,002 and $18,024,842, respectively) | | | 2,069,825 | | | | 297,623,002 | | | | 18,024,842 | | | |
| Cash | | | — | | | | 599 | | | | — | | | |
Foreign currencies, at value (identified cost $532,233, $47,809,389 and $2,768,090, respectively)(b) | | | 541,397 | | | | 48,655,005 | | | | 3,282,532 | | | |
| Receivables: | | | | | | | | | | | | | | |
| Investment securities sold, at value | | | 1,709,676 | | | | 9,746,937 | | | | 2,140,183 | | | |
| Dividends, at value | | | 568,563 | | | | 10,478,466 | | | | 1,492,338 | | | |
| Fund shares sold | | | 155,957 | | | | 1,242,085 | | | | 130,614 | | | |
| Foreign tax reclaims, at value | | | 21,435 | | | | 802,724 | | | | 111,455 | | | |
| Securities lending income | | | 956 | | | | 810,417 | | | | 51,150 | | | |
| Due from custodian | | | — | | | | — | | | | 247,299 | | | |
| Reimbursement from investment adviser | | | — | | | | 214,545 | | | | 54,323 | | | |
| Other assets | | | 1,917 | | | | 321,951 | | | | 3,261 | | | |
| |
| |
Total assets | | | 364,423,744 | | | | 2,702,663,360 | | | | 330,908,236 | | | |
| |
| |
| | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | |
Liabilities: |
| | | | | | | | | | | | | | | |
| Due to custodian | | | 1,711,065 | | | | — | | | | 94,360 | | | |
| Payables: | | | | | | | | | | | | | | |
| Payable upon return of securities loaned | | | 2,069,825 | | | | 297,623,002 | | | | 18,024,842 | | | |
| Amounts owed to affiliates | | | 348,047 | | | | 1,750,494 | | | | 231,856 | | | |
| Fund shares redeemed | | | 210,137 | | | | 3,359,678 | | | | 188,108 | | | |
| Foreign capital gains taxes, at value | | | 17,468 | | | | — | | | | — | | | |
| Investment securities purchased, at value | | | 10,390 | | | | 15,182,762 | | | | 2,566,938 | | | |
| Due to broker — variation margin, at value | | | — | | | | 12,185 | | | | 73,255 | | | |
| Accrued expenses | | | 209,031 | | | | 282,969 | | | | 120,758 | | | |
| |
| |
Total liabilities | | | 4,575,963 | | | | 318,211,090 | | | | 21,300,117 | | | |
| |
| |
| | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | |
Net Assets: |
| | | | | | | | | | | | | | | |
| Paid-in capital | | | 309,780,838 | | | | 3,365,983,069 | | | | 268,497,085 | | | |
| Accumulated undistributed (distributions in excess of) net investment income | | | (472,714 | ) | | | 10,664,914 | | | | (1,586,635 | ) | | |
| Accumulated net realized loss from investment, futures and foreign currency related transactions | | | (29,755,049 | ) | | | (1,325,400,422 | ) | | | (30,894,944 | ) | | |
| Net unrealized gain on investments, futures and translation of assets and liabilities denominated in foreign currencies | | | 80,294,706 | | | | 333,204,709 | | | | 73,592,613 | | | |
| |
| |
NET ASSETS | | $ | 359,847,781 | | | $ | 2,384,452,270 | | | $ | 309,608,119 | | | |
| | | | | | | | | | | | | | | |
| Net Assets: | | | | | | | | | | | | | | |
| Class A | | $ | 39,262,983 | | | $ | 548,194,120 | | | $ | 42,143,060 | | | |
| Class B | | | — | | | | 6,179,627 | | | | — | | | |
| Class C | | | 480,157 | | | | 4,997,702 | | | | 729,264 | | | |
| Institutional | | | 320,103,350 | | | | 1,802,183,201 | | | | 266,650,699 | | | |
| Service | | | — | | | | 22,801,408 | | | | — | | | |
| Class IR | | | 1,291 | | | | 8,447 | | | | 85,096 | | | |
| Class R | | | — | | | | 87,765 | | | | — | | | |
| | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | |
| Total Net Assets | | $ | 359,847,781 | | | $ | 2,384,452,270 | | | $ | 309,608,119 | | | |
| | | | | | | | | | | | | | | |
| Shares outstanding $0.001 par value (unlimited shares authorized): | | | | | | | | | | | | | | |
| Class A | | | 4,027,166 | | | | 48,906,527 | | | | 4,442,031 | | | |
| Class B | | | — | | | | 557,568 | | | | — | | | |
| Class C | | | 49,553 | | | | 450,917 | | | | 77,884 | | | |
| Institutional | | | 32,738,688 | | | | 156,748,999 | | | | 28,096,692 | | | |
| Service | | | — | | | | 2,020,797 | | | | — | | | |
| Class IR | | | 132 | | | | 759 | | | | 8,978 | | | |
| Class R | | | — | | | | 7,898 | | | | — | | | |
| | | | | | | | | | | | | | | |
Net asset value, offering and redemption price per share:(c) | | | | | | | | | | | | | | |
| Class A | | | $9.75 | | | | $11.21 | | | | $9.49 | | | |
| Class B | | | — | | | | 11.08 | | | | — | | | |
| Class C | | | 9.69 | | | | 11.08 | | | | 9.36 | | | |
| Institutional | | | 9.78 | | | | 11.50 | | | | 9.49 | | | |
| Service | | | — | | | | 11.28 | | | | — | | | |
| Class IR | | | 9.78 | | | | 11.13 | | | | 9.48 | | | |
| Class R | | | — | | | | 11.11 | | | | — | | | |
| | | | | | | | | | | | | | | |
| | |
| (a) | | Includes loaned securities having a market value of $2,022,439, $284,922,420 and $17,196,657 for the Structured Emerging Markets Equity, Structured International Equity and Structured International Small Cap Funds, respectively. |
| (b) | | Amounts include cash on deposit with counterparty of $477,491 for the Structured International Small Cap Fund relating to initial margin requirements on future transactions. |
| (c) | | Maximum public offering price per share (NAV per share multiplied by 1.0582) for Class A Shares of the Structured Emerging Markets Equity, Structured International Equity and Structured International Small Cap Funds is $10.32, $11.86 and $10.04, respectively. At redemption, Class B and Class C Shares may be subject to a contingent deferred sales charge, assessed on the amount equal to the lesser of the current NAV or the original purchase price of the shares. |
46 The accompanying notes are an integral part of these financial statements.
GOLDMAN SACHS STRUCTURED INTERNATIONAL EQUITY FUNDS
Statements of Operations
For the Six Months Ended April 30, 2011 (Unaudited)
| | | | | | | | | | | | | |
| | | Structured
| | Structured
| | Structured
|
| | | Emerging Markets
| | International
| | International
|
| | | Equity Fund | | Equity Fund | | Small Cap Fund |
| |
Investment income: |
| | | | | | | | | | | | | |
| Dividends (net of foreign taxes withheld of $112,698, $2,448,136 and $270,187, respectively) | | $ | 2,223,368 | | | $ | 29,956,498 | | | $ | 3,631,130 | |
| Securities lending income — affiliated issuer | | | 5,447 | | | | 1,331,959 | | | | 194,889 | |
| Interest | | | — | | | | 22,982 | | | | 2,747 | |
| |
| |
Total investment income | | | 2,228,815 | | | | 31,311,439 | | | | 3,828,766 | |
| |
| |
| | | | | | | | | | | | | |
| | | | | | | | | | | | | |
Expenses: |
| | | | | | | | | | | | | |
| Management fees | | | 1,895,122 | | | | 8,716,115 | | | | 1,209,138 | |
| Custody and accounting fees | | | 349,982 | | | | 347,272 | | | | 93,797 | |
Transfer Agent fees(a) | | | 112,082 | | | | 820,420 | | | | 85,159 | |
Distribution and Service fees(a) | | | 64,245 | | | | 685,556 | | | | 48,590 | |
| Professional fees | | | 52,173 | | | | 80,130 | | | | 94,159 | |
| Registration fees | | | 40,176 | | | | 79,194 | | | | 39,645 | |
| Trustee fees | | | 8,450 | | | | 11,904 | | | | 8,398 | |
| Printing and mailing costs | | | 11,532 | | | | 100,203 | | | | 28,210 | |
| Service share fees — Service Plan | | | — | | | | 28,226 | | | | — | |
| Service share fees — Shareholder Administration Plan | | | — | | | | 28,226 | | | | — | |
| Other | | | 7,370 | | | | 28,104 | | | | 7,020 | |
| |
| |
Total expenses | | | 2,541,132 | | | | 10,925,350 | | | | 1,614,116 | |
| |
| |
| Less — expense reductions | | | (443,173 | ) | | | (603,394 | ) | | | (249,697 | ) |
| |
| |
Net expenses | | | 2,097,959 | | | | 10,321,956 | | | | 1,364,419 | |
| |
| |
NET INVESTMENT INCOME | | | 130,856 | | | | 20,989,483 | | | | 2,464,347 | |
| |
| |
| | | | | | | | | | | | | |
| | | | | | | | | | | | | |
Realized and unrealized gain (loss) from investment, futures and foreign currency related transactions: |
| | | | | | | | | | | | | |
| Net realized gain (loss) from: | | | | | | | | | | | | |
| Investment transactions — unaffiliated issuers | | | 38,532,348 | | | | 125,743,547 | | | | 22,494,557 | |
| Securities lending reinvestment vehicle transactions — affiliated issuer | | | (1,654 | ) | | | 11,226 | | | | 25,078 | |
| Futures transactions | | | — | | | | 2,461,404 | | | | 188,295 | |
| Foreign currency related transactions | | | (337,956 | ) | | | 1,380,863 | | | | 108,168 | |
| Net change in unrealized gain (loss) on: | | | | | | | | | | | | |
| Investments — unaffiliated issuers (including the effects of a decrease on the foreign capital gains tax liability of $1,183,681, $0 and $0, respectively) | | | (793,446 | ) | | | 104,897,970 | | | | 25,192,752 | |
| Securities lending reinvestment vehicle — affiliated issuer | | | — | | | | (18,474 | ) | | | (29,362 | ) |
| Futures | | | — | | | | 1,129,447 | | | | 131,730 | |
| Translation of asset and liabilities denominated in foreign currencies | | | (9,739 | ) | | | 976,289 | | | | 43,174 | |
| |
| |
Net realized and unrealized gain from investment, futures and foreign currency related transactions | | | 37,389,553 | | | | 236,582,272 | | | | 48,154,392 | |
| |
| |
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS | | $ | 37,520,409 | | | $ | 257,571,755 | | | $ | 50,618,739 | |
| |
| |
| | |
| (a) | | Class specific Distribution and Service, and Transfer Agent fees were as follows: |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | Distribution and Service Fees | | Transfer Agent Fees |
Fund | | Class A | | Class B | | Class C | | Class R | | Class A | | Class B | | Class C | | Institutional | | Service | | Class IR | | Class R |
| Structured Emerging Markets Equity | | $ | 59,198 | | | $ | — | | | $ | 5,047 | | | $ | — | | | $ | 44,991 | | | $ | — | | | $ | 959 | | | $ | 66,131 | | | $ | — | | | $ | 1 | | | $ | — | |
| Structured International Equity | | | 629,737 | | | | 30,993 | | | | 24,447 | | | | 379 | | | | 478,604 | | | | 5,889 | | | | 4,645 | | | | 326,615 | | | | 4,516 | | | | 7 | | | | 144 | |
| Structured International Small Cap | | | 46,541 | | | | — | | | | 2,049 | | | | — | | | | 35,371 | | | | — | | | | 389 | | | | 49,366 | | | | — | | | | 33 | | | | — | |
The accompanying notes are an integral part of these financial statements. 47
GOLDMAN SACHS STRUCTURED INTERNATIONAL EQUITY FUNDS
Statements of Changes in Net Assets
| | | | | | | | | |
| | | Structured Emerging Markets Equity Fund |
| | | For the
| | |
| | | Six Months Ended
| | For the Fiscal
|
| | | April 30, 2011
| | Year Ended
|
| | | (Unaudited) | | October 31, 2010 |
| |
From operations: |
| | | | | | | | | |
| Net investment income | | $ | 130,856 | | | $ | 5,538,188 | |
| Net realized gain from investment, futures and foreign currency related transactions | | | 38,192,738 | | | | 43,819,187 | |
| Net change in unrealized gain (loss) on investments, futures and translation of assets and liabilities denominated in foreign currencies | | | (803,185 | ) | | | 33,971,194 | |
| |
| |
Net increase in net assets resulting from operations | | | 37,520,409 | | | | 83,328,569 | |
| |
| |
| | | | | | | | | |
| | | | | | | | | |
Distributions to shareholders: |
| | | | | | | | | |
| From net investment income | | | | | | | | |
| Class A Shares | | | (421,339 | ) | | | (16,351 | ) |
| Class B Shares | | | — | | | | — | |
| Class C Shares | | | (946 | ) | | | (13,065 | ) |
| Institutional Shares | | | (4,706,466 | ) | | | (5,399,183 | ) |
| Service Shares | | | — | | | | — | |
Class IR Shares(a) | | | (15 | ) | | | — | |
| Class R Shares | | | — | | | | — | |
| |
| |
Total distributions to shareholders | | | (5,128,766 | ) | | | (5,428,599 | ) |
| |
| |
| | | | | | | | | |
| | | | | | | | | |
From capital transactions: |
| | | | | | | | | |
| Proceeds from sales of shares | | | 16,476,168 | | | | 249,504,907 | |
| Reinvestment of distributions | | | 5,113,905 | | | | 5,421,448 | |
| Cost of shares redeemed | | | (111,500,273 | ) | | | (231,539,943 | )(b) |
| |
| |
Net increase (decrease) in net assets resulting from share transactions | | | (89,910,200 | ) | | | 23,386,412 | |
| |
| |
TOTAL INCREASE (DECREASE) | | | (57,518,557 | ) | | | 101,286,382 | |
| |
| |
| | | | | | | | | |
| | | | | | | | | |
Net assets: |
| | | | | | | | | |
| Beginning of period | | | 417,366,338 | | | | 316,079,956 | |
| |
| |
| End of period | | $ | 359,847,781 | | | $ | 417,366,338 | |
| |
| |
Accumulated undistributed (distributions in excess of) net investment income | | $ | (472,714 | ) | | $ | 4,525,196 | |
| |
| �� |
| | |
| (a) | | Commenced operations on August 31, 2010 for Structured Emerging Markets Equity and Structured International Small Cap Funds. |
| (b) | | Net of $1,418, $33,691 and $406 of redemption fees remitted to the Structured Emerging Markets Equity, Structured International Equity and Structured International Small Cap Funds, respectively. |
48 The accompanying notes are an integral part of these financial statements.
GOLDMAN SACHS STRUCTURED INTERNATIONAL EQUITY FUNDS
| | | | | | | | | | | | | | | | | |
| Structured International Equity Fund | | Structured International Small Cap Fund | | |
For the
| | | | For the
| | | | |
Six Months Ended
| | For the Fiscal
| | Six Months Ended
| | For the Fiscal
| | |
April 30, 2011
| | Year Ended
| | April 30, 2011
| | Year Ended
| | |
| (Unaudited) | | October 31, 2010 | | (Unaudited) | | October 31, 2010 | | |
| |
| |
| | | | | | | | | | | | | | | | | |
| $ | 20,989,483 | | | $ | 47,361,490 | | | $ | 2,464,347 | | | $ | 5,392,436 | | | |
| | 129,597,040 | | | | 129,937,192 | | | | 22,816,098 | | | | 15,285,836 | | | |
| |
106,985,232 | | | | 14,443,663 | | | | 25,338,294 | | | | 25,047,053 | | | |
| |
| |
| | 257,571,755 | | | | 191,742,345 | | | | 50,618,739 | | | | 45,725,325 | | | |
| |
| |
| | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | |
| |
| | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | |
| | (10,415,892 | ) | | | (14,388,772 | ) | | | (979,815 | ) | | | (821,629 | ) | | |
| | (80,045 | ) | | | (115,271 | ) | | | — | | | | — | | | |
| | (62,677 | ) | | | (81,955 | ) | | | (4,949 | ) | | | (974 | ) | | |
| | (41,363,992 | ) | | | (43,806,526 | ) | | | (7,713,278 | ) | | | (5,170,331 | ) | | |
| | (426,025 | ) | | | (656,238 | ) | | | — | | | | — | | | |
| | (174 | ) | | | (171 | ) | | | (38 | ) | | | — | | | |
| | (4,837 | ) | | | (3,438 | ) | | | — | | | | — | | | |
| |
| |
| | (52,353,642 | ) | | | (59,052,371 | ) | | | (8,698,080 | ) | | | (5,992,934 | ) | | |
| |
| |
| | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | |
| |
| | | | | | | | | | | | | | | | | |
| | 342,277,644 | | | | 811,833,070 | | | | 18,202,103 | | | | 52,942,647 | | | |
| | 49,349,848 | | | | 54,890,842 | | | | 8,679,577 | | | | 5,880,185 | | | |
| | (596,905,782 | ) | | | (1,084,743,743 | )(b) | | | (29,827,102 | ) | | | (72,049,383 | )(b) | | |
| |
| |
| | (205,278,290 | ) | | | (218,019,831 | ) | | | (2,945,422 | ) | | | (13,226,551 | ) | | |
| |
| |
| | (60,177 | ) | | | (85,329,857 | ) | | | 38,975,237 | | | | 26,505,840 | | | |
| |
| |
| | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | |
| |
| | | | | | | | | | | | | | | | | |
| | 2,384,512,447 | | | | 2,469,842,304 | | | | 270,632,882 | | | | 244,127,042 | | | |
| |
| |
| $ | 2,384,452,270 | | | $ | 2,384,512,447 | | | $ | 309,608,119 | | | $ | 270,632,882 | | | |
| |
| |
| $ | 10,664,914 | | | $ | 42,029,073 | | | $ | (1,586,635 | ) | | $ | 4,647,098 | | | |
| |
| |
The accompanying notes are an integral part of these financial statements. 49
GOLDMAN SACHS STRUCTURED EMERGING MARKETS EQUITY FUND
Financial Highlights
Selected Data for a Share Outstanding Throughout Each Period
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | Income (loss) from
| | Distributions to
| | |
| | |
| | investment operations | | shareholders | | |
| | |
| |
| | | | | |
| | | | | | |
| | | Net asset
| | Net
| | | | | |
| | | | | | |
| | | value,
| | investment
| | Net realized
| | Total from
| | From net
| | From net
| | | | |
| | | beginning
| | income
| | and unrealized
| | investment
| | investment
| | realized
| | Total
| | |
| Year - Share Class | | of period | | (loss)(a) | | gain (loss) | | operations | | income | | gains | | distributions | | |
| |
FOR THE SIX MONTHS ENDED APRIL 30, (UNAUDITED) |
| 2011 - A | | $ | 8.91 | | | $ | (0.01 | ) | | $ | 0.92 | | | $ | 0.91 | | | $ | (0.07 | ) | | $ | — | | | $ | (0.07 | ) | | |
| 2011 - C | | | 8.82 | | | | (0.05 | ) | | | 0.93 | | | | 0.88 | | | | (0.01 | ) | | | — | | | | (0.01 | ) | | |
| 2011 - Institutional | | | 8.96 | | | | 0.01 | | | | 0.93 | | | | 0.94 | | | | (0.12 | ) | | | — | | | | (0.12 | ) | | |
| 2011 - IR | | | 8.98 | | | | — | (c) | | | 0.92 | | | | 0.92 | | | | (0.12 | ) | | | — | | | | (0.12 | ) | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
FOR THE FISCAL YEARS ENDED OCTOBER 31, |
| 2010 - A | | | 7.14 | | | | 0.08 | | | | 1.76 | | | | 1.84 | | | | (0.07 | ) | | | — | | | | (0.07 | ) | | |
| 2010 - C | | | 7.11 | | | | — | (c) | | | 1.77 | | | | 1.77 | | | | (0.06 | ) | | | — | | | | (0.06 | ) | | |
| 2010 - Institutional | | | 7.17 | | | | 0.10 | | | | 1.79 | | | | 1.89 | | | | (0.10 | ) | | | — | | | | (0.10 | ) | | |
| 2010 - IR (Commenced August 31, 2010) | | | 7.67 | | | | 0.01 | | | | 1.30 | | | | 1.31 | | | | — | | | | — | | | | — | | | |
| |
|
| 2009 - A | | | 4.45 | | | | 0.12 | (e) | | | 2.61 | | | | 2.73 | | | | (0.04 | ) | | | — | | | | (0.04 | ) | | |
| 2009 - C | | | 4.41 | | | | 0.07 | (e) | | | 2.64 | | | | 2.71 | | | | (0.01 | ) | | | — | | | | (0.01 | ) | | |
| 2009 - Institutional | | | 4.47 | | | | 0.13 | (e) | | | 2.62 | | | | 2.75 | | | | (0.05 | ) | | | — | | | | (0.05 | ) | | |
| |
|
| 2008 - A | | | 11.04 | | | | 0.15 | (f) | | | (6.64 | ) | | | (6.49 | ) | | | (0.05 | ) | | | (0.05 | ) | | | (0.10 | ) | | |
| 2008 - C | | | 11.03 | | | | 0.10 | (f) | | | (6.63 | ) | | | (6.53 | ) | | | (0.04 | ) | | | (0.05 | ) | | | (0.09 | ) | | |
| 2008 - Institutional | | | 11.04 | | | | 0.18 | (f) | | | (6.65 | ) | | | (6.47 | ) | | | (0.05 | ) | | | (0.05 | ) | | | (0.10 | ) | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
FOR THE PERIOD ENDED OCTOBER 31, |
| 2007 - A (Commenced October 5, 2007) | | | 10.00 | | | | 0.01 | | | | 1.03 | | | | 1.04 | | | | — | | | | — | | | | — | | | |
| 2007 - C (Commenced October 5, 2007) | | | 10.00 | | | | — | (c) | | | 1.03 | | | | 1.03 | | | | — | | | | — | | | | — | | | |
| 2007 - Institutional (Commenced October 5, 2007) | | | 10.00 | | | | — | (c) | | | 1.04 | | | | 1.04 | | | | — | | | | — | | | | — | | | |
| |
|
| | |
| (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 a sales or redemption charge was 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) | | Amount is less than $0.005 per share. |
| (d) | | Annualized. |
| (e) | | Reflects income recognized from non-recurring special dividends which amounted to $0.02 per share and 0.34% of average net assets. |
| (f) | | Reflects income recognized from non-recurring special dividends which amounted to $0.02 per share and 0.26% of average net assets. |
50 The accompanying notes are an integral part of these financial statements.
GOLDMAN SACHS STRUCTURED EMERGING MARKETS EQUITY FUND
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | |
| | | | |
| | | | | | | | | | | Ratio of
| | | | |
| | | | | Net assets,
| | Ratio of
| | Ratio of
| | net investment
| | | | |
Net asset
| | | | end of
| | net expenses
| | total expenses
| | income (loss)
| | Portfolio
| | |
value, end
| | Total
| | period
| | to average
| | to average
| | to average
| | turnover
| | |
| of period | | return(b) | | (in 000s) | | net assets | | net assets | | net assets | | rate | | |
| |
| |
| $ | 9.75 | | | | 10.32 | % | | $ | 39,263 | | | | 1.45 | %(d) | | | 1.68 | %(d) | | | (0.27 | )%(d) | | | 68 | % | | |
| | 9.69 | | | | 9.94 | | | | 480 | | | | 2.20 | (d) | | | 2.43 | (d) | | | (1.07 | )(d) | | | 68 | | | |
| | 9.78 | | | | 10.58 | | | | 320,103 | | | | 1.05 | (d) | | | 1.28 | (d) | | | 0.12 | (d) | | | 68 | | | |
| | 9.78 | | | | 10.29 | | | | 1 | | | | 1.20 | (d) | | | 1.43 | (d) | | | 0.05 | (d) | | | 68 | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| |
| | 8.91 | | | | 25.91 | | | | 52,030 | | | | 1.45 | | | | 1.70 | | | | 0.99 | | | | 214 | | | |
| | 8.82 | | | | 25.07 | | | | 1,282 | | | | 2.20 | | | | 2.45 | | | | 0.04 | | | | 214 | | | |
| | 8.96 | | | | 26.56 | | | | 364,053 | | | | 1.05 | | | | 1.30 | | | | 1.25 | | | | 214 | | | |
| | 8.98 | | | | 17.08 | | | | 1 | | | | 1.20 | (d) | | | 1.45 | (d) | | | 0.51 | (d) | | | 214 | | | |
| |
|
| | 7.14 | | | | 61.83 | | | | 2,694 | | | | 1.45 | | | | 1.76 | | | | 2.04 | (e) | | | 182 | | | |
| | 7.11 | | | | 61.28 | | | | 1,426 | | | | 2.20 | | | | 2.51 | | | | 1.13 | (e) | | | 182 | | | |
| | 7.17 | | | | 62.25 | | | | 311,960 | | | | 1.05 | | | | 1.36 | | | | 2.38 | (e) | | | 182 | | | |
| |
|
| | 4.45 | | | | (59.22 | ) | | | 345 | | | | 1.45 | | | | 1.89 | | | | 1.92 | (f) | | | 190 | | | |
| | 4.41 | | | | (59.48 | ) | | | 43 | | | | 2.20 | | | | 2.64 | | | | 1.24 | (f) | | | 190 | | | |
| | 4.47 | | | | (59.01 | ) | | | 156,248 | | | | 1.05 | | | | 1.49 | | | | 2.28 | (f) | | | 190 | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| |
| | 11.04 | | | | 10.40 | | | | 157 | | | | 1.45 | (d) | | | 2.79 | (d) | | | 0.77 | (d) | | | 16 | | | |
| | 11.03 | | | | 10.30 | | | | 11 | | | | 2.20 | (d) | | | 3.54 | (d) | | | (0.60 | )(d) | | | 16 | | | |
| | 11.04 | | | | 10.40 | | | | 97,302 | | | | 1.05 | (d) | | | 2.39 | (d) | | | 0.58 | (d) | | | 16 | | | |
| |
|
The accompanying notes are an integral part of these financial statements. 51
GOLDMAN SACHS STRUCTURED INTERNATIONAL 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
| | From net
| | | | |
| | | beginning
| | investment
| | and unrealized
| | investment
| | investment
| | realized
| | Total
| | |
| Year - Share Class | | of period | | income(a) | | gain (loss) | | operations | | income | | gains | | distributions | | |
| |
FOR THE SIX MONTHS ENDED APRIL 30, (UNAUDITED) |
| 2011 - A | | $ | 10.21 | | | $ | 0.08 | | | $ | 1.13 | | | $ | 1.21 | | | $ | (0.21 | ) | | $ | — | | | $ | (0.21 | ) | | |
| 2011 - B | | | 10.06 | | | | 0.04 | | | | 1.11 | | | | 1.15 | | | | (0.13 | ) | | | — | | | | (0.13 | ) | | |
| 2011 - C | | | 10.06 | | | | 0.04 | | | | 1.11 | | | | 1.15 | | | | (0.13 | ) | | | — | | | | (0.13 | ) | | |
| 2011 - Institutional | | | 10.49 | | | | 0.11 | | | | 1.15 | | | | 1.26 | | | | (0.25 | ) | | | — | | | | (0.25 | ) | | |
| 2011 - Service | | | 10.27 | | | | 0.08 | | | | 1.12 | | | | 1.20 | | | | (0.19 | ) | | | — | | | | (0.19 | ) | | |
| 2011 - IR | | | 10.15 | | | | 0.10 | | | | 1.11 | | | | 1.21 | | | | (0.23 | ) | | | — | | | | (0.23 | ) | | |
| 2011 - R | | | 10.12 | | | | 0.05 | | | | 1.14 | | | | 1.19 | | | | (0.20 | ) | | | — | | | | (0.20 | ) | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
FOR THE FISCAL YEARS ENDED OCTOBER 31, |
| 2010 - A | | | 9.61 | | | | 0.18 | | | | 0.63 | | | | 0.81 | | | | (0.21 | ) | | | — | | | | (0.21 | ) | | |
| 2010 - B | | | 9.47 | | | | 0.11 | | | | 0.62 | | | | 0.73 | | | | (0.14 | ) | | | — | | | | (0.14 | ) | | |
| 2010 - C | | | 9.47 | | | | 0.10 | | | | 0.63 | | | | 0.73 | | | | (0.14 | ) | | | — | | | | (0.14 | ) | | |
| 2010 - Institutional | | | 9.86 | | | | 0.22 | | | | 0.66 | | | | 0.88 | | | | (0.25 | ) | | | — | | | | (0.25 | ) | | |
| 2010 - Service | | | 9.67 | | | | 0.16 | | | | 0.65 | | | | 0.81 | | | | (0.21 | ) | | | — | | | | (0.21 | ) | | |
| 2010 - IR | | | 9.56 | | | | 0.20 | | | | 0.63 | | | | 0.83 | | | | (0.24 | ) | | | — | | | | (0.24 | ) | | |
| 2010 - R | | | 9.55 | | | | 0.15 | | | | 0.63 | | | | 0.78 | | | | (0.21 | ) | | | — | | | | (0.21 | ) | | |
|
| 2009 - A | | | 8.06 | | | | 0.17 | | | | 1.77 | | | | 1.94 | | | | (0.39 | ) | | | — | | | | (0.39 | ) | | |
| 2009 - B | | | 7.91 | | | | 0.12 | | | | 1.73 | | | | 1.85 | | | | (0.29 | ) | | | — | | | | (0.29 | ) | | |
| 2009 - C | | | 7.90 | | | | 0.12 | | | | 1.74 | | | | 1.86 | | | | (0.29 | ) | | | — | | | | (0.29 | ) | | |
| 2009 - Institutional | | | 8.29 | | | | 0.21 | | | | 1.81 | | | | 2.02 | | | | (0.45 | ) | | | — | | | | (0.45 | ) | | |
| 2009 - Service | | | 8.08 | | | | 0.16 | | | | 1.79 | | | | 1.95 | | | | (0.36 | ) | | | — | | | | (0.36 | ) | | |
| 2009 - IR | | | 8.04 | | | | 0.20 | | | | 1.75 | | | | 1.95 | | | | (0.43 | ) | | | — | | | | (0.43 | ) | | |
| 2009 - R | | | 8.01 | | | | 0.08 | | | | 1.84 | | | | 1.92 | | | | (0.38 | ) | | | — | | | | (0.38 | ) | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
FOR THE PERIOD SEPTEMBER 1, 2008 TO OCTOBER 31, 2008* |
| 2008 - A | | | 11.79 | | | | 0.03 | | | | (3.76 | ) | | | (3.73 | ) | | | — | | | | — | | | | — | | | |
| 2008 - B | | | 11.58 | | | | 0.02 | | | | (3.69 | ) | | | (3.67 | ) | | | — | | | | — | | | | — | | | |
| 2008 - C | | | 11.56 | | | | 0.02 | | | | (3.68 | ) | | | (3.66 | ) | | | — | | | | — | | | | — | | | |
| 2008 - Institutional | | | 12.11 | | | | 0.04 | | | | (3.86 | ) | | | (3.82 | ) | | | — | | | | — | | | | — | | | |
| 2008 - Service | | | 11.81 | | | | 0.03 | | | | (3.76 | ) | | | (3.73 | ) | | | — | | | | — | | | | — | | | |
| 2008 - IR | | | 11.75 | | | | 0.03 | | | | (3.74 | ) | | | (3.71 | ) | | | — | | | | — | | | | — | | | |
| 2008 - R | | | 11.72 | | | | 0.03 | | | | (3.74 | ) | | | (3.71 | ) | | | — | | | | — | | | | — | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
FOR THE FISCAL YEARS ENDED AUGUST 31, |
| 2008 - A | | | 15.90 | | | | 0.52 | | | | (2.77 | ) | | | (2.25 | ) | | | (0.48 | ) | | | (1.38 | ) | | | (1.86 | ) | | |
| 2008 - B | | | 15.67 | | | | 0.41 | | | | (2.73 | ) | | | (2.32 | ) | | | (0.39 | ) | | | (1.38 | ) | | | (1.77 | ) | | |
| 2008 - C | | | 15.64 | | | | 0.41 | | | | (2.73 | ) | | | (2.32 | ) | | | (0.38 | ) | | | (1.38 | ) | | | (1.76 | ) | | |
| 2008 - Institutional | | | 16.28 | | | | 0.59 | | | | (2.84 | ) | | | (2.25 | ) | | | (0.54 | ) | | | (1.38 | ) | | | (1.92 | ) | | |
| 2008 - Service | | | 15.93 | | | | 0.49 | | | | (2.76 | ) | | | (2.27 | ) | | | (0.47 | ) | | | (1.38 | ) | | | (1.85 | ) | | |
| 2008 - IR (Commenced November 30, 2007) | | | 16.57 | | | | 0.30 | | | | (3.19 | ) | | | (2.89 | ) | | | (0.55 | ) | | | (1.38 | ) | | | (1.93 | ) | | |
| 2008 - R (Commenced November 30, 2007) | | | 16.57 | | | | 0.25 | | | | (3.18 | ) | | | (2.93 | ) | | | (0.54 | ) | | | (1.38 | ) | | | (1.92 | ) | | |
|
| 2007 - A | | | 14.29 | | | | 0.30 | | | | 2.33 | | | | 2.63 | | | | (0.17 | ) | | | (0.85 | ) | | | (1.02 | ) | | |
| 2007 - B | | | 14.09 | | | | 0.15 | | | | 2.34 | | | | 2.49 | | | | (0.06 | ) | | | (0.85 | ) | | | (0.91 | ) | | |
| 2007 - C | | | 14.09 | | | | 0.15 | | | | 2.33 | | | | 2.48 | | | | (0.08 | ) | | | (0.85 | ) | | | (0.93 | ) | | |
| 2007 - Institutional | | | 14.59 | | | | 0.38 | | | | 2.38 | | | | 2.76 | | | | (0.22 | ) | | | (0.85 | ) | | | (1.07 | ) | | |
| 2007 - Service | | | 14.31 | | | | 0.26 | | | | 2.37 | | | | 2.63 | | | | (0.16 | ) | | | (0.85 | ) | | | (1.01 | ) | | |
|
| 2006 - A | | | 11.70 | | | | 0.21 | | | | 2.57 | | | | 2.78 | | | | (0.11 | ) | | | (0.08 | ) | | | (0.19 | ) | | |
| 2006 - B | | | 11.53 | | | | 0.08 | | | | 2.57 | | | | 2.65 | | | | (0.01 | ) | | | (0.08 | ) | | | (0.09 | ) | | |
| 2006 - C | | | 11.54 | | | | 0.09 | | | | 2.56 | | | | 2.65 | | | | (0.02 | ) | | | (0.08 | ) | | | (0.10 | ) | | |
| 2006 - Institutional | | | 11.93 | | | | 0.27 | | | | 2.61 | | | | 2.88 | | | | (0.14 | ) | | | (0.08 | ) | | | (0.22 | ) | | |
| 2006 - Service | | | 11.73 | | | | 0.18 | | | | 2.59 | | | | 2.77 | | | | (0.11 | ) | | | (0.08 | ) | | | (0.19 | ) | | |
| |
|
| | |
| * | | The Fund changed its fiscal year end from August 31 to October 31. |
| (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 a sales or redemption charge was 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. |
52 The accompanying notes are an integral part of these financial statements.
GOLDMAN SACHS STRUCTURED INTERNATIONAL EQUITY FUND
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | |
| | | | |
| | | | | | | | | | | Ratio of
| | | | |
| | | | | Net assets,
| | Ratio of
| | Ratio of
| | net investment
| | | | |
Net asset
| | | | end of
| | net expenses
| | total expenses
| | income
| | Portfolio
| | |
value, end
| | Total
| | period
| | to average
| | to average
| | to average
| | turnover
| | |
| of period | | return(b) | | (in 000s) | | net assets | | net assets | | net assets | | rate | | |
| |
| |
| $ | 11.21 | | | | 12.01 | % | | $ | 548,194 | | | | 1.25 | %(c) | | | 1.31 | %(c) | | | 1.61 | %(c) | | | 51 | % | | |
| | 11.08 | | | | 11.52 | | | | 6,180 | | | | 2.00 | (c) | | | 2.06 | (c) | | | 0.83 | (c) | | | 51 | | | |
| | 11.08 | | | | 11.55 | | | | 4,998 | | | | 2.00 | (c) | | | 2.06 | (c) | | | 0.87 | (c) | | | 51 | | | |
| | 11.50 | | | | 12.24 | | | | 1,802,183 | | | | 0.85 | (c) | | | 0.91 | (c) | | | 2.05 | (c) | | | 51 | | | |
| | 11.28 | | | | 11.91 | | | | 22,801 | | | | 1.35 | (c) | | | 1.41 | (c) | | | 1.53 | (c) | | | 51 | | | |
| | 11.13 | | | | 12.20 | | | | 8 | | | | 1.00 | (c) | | | 1.06 | (c) | | | 1.91 | (c) | | | 51 | | | |
| | 11.11 | | | | 11.99 | | | | 88 | | | | 1.50 | (c) | | | 1.56 | (c) | | | 0.93 | (c) | | | 51 | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| |
| | 10.21 | | | | 8.59 | | | | 530,086 | | | | 1.25 | | | | 1.29 | | | | 1.89 | | | | 111 | | | |
| | 10.06 | | | | 7.83 | | | | 6,563 | | | | 2.00 | | | | 2.04 | | | | 1.13 | | | | 111 | | | |
| | 10.06 | | | | 7.78 | | | | 5,023 | | | | 2.00 | | | | 2.04 | | | | 1.12 | | | | 111 | | | |
| | 10.49 | | | | 9.05 | | | | 1,819,375 | | | | 0.85 | | | | 0.89 | | | | 2.24 | | | | 111 | | | |
| | 10.27 | | | | 8.49 | | | | 23,267 | | | | 1.35 | | | | 1.39 | | | | 1.68 | | | | 111 | | | |
| | 10.15 | | | | 8.77 | | | | 8 | | | | 1.00 | | | | 1.04 | | | | 2.13 | | | | 111 | | | |
| | 10.12 | | | | 8.30 | | | | 192 | | | | 1.50 | | | | 1.54 | | | | 1.59 | | | | 111 | | | |
|
| | 9.61 | | | | 25.56 | | | | 656,289 | | | | 1.25 | | | | 1.32 | | | | 2.17 | | | | 167 | | | |
| | 9.47 | | | | 24.49 | | | | 7,620 | | | | 2.00 | | | | 2.07 | | | | 1.50 | | | | 167 | | | |
| | 9.47 | | | | 24.68 | | | | 5,622 | | | | 2.00 | | | | 2.07 | | | | 1.52 | | | | 167 | | | |
| | 9.86 | | | | 26.03 | | | | 1,770,267 | | | | 0.85 | | | | 0.92 | | | | 2.55 | | | | 167 | | | |
| | 9.67 | | | | 25.46 | | | | 29,882 | | | | 1.35 | | | | 1.42 | | | | 1.96 | | | | 167 | | | |
| | 9.56 | | | | 25.94 | | | | 7 | | | | 1.00 | | | | 1.07 | | | | 2.51 | | | | 167 | | | |
| | 9.55 | | | | 25.32 | | | | 155 | | | | 1.50 | | | | 1.57 | | | | 0.95 | | | | 167 | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| |
| | 8.06 | | | | (31.64 | ) | | | 623,459 | | | | 1.20 | (c) | | | 1.28 | (c) | | | 1.76 | (c) | | | 25 | | | |
| | 7.91 | | | | (31.69 | ) | | | 8,149 | | | | 1.95 | (c) | | | 2.03 | (c) | | | 1.00 | (c) | | | 25 | | | |
| | 7.90 | | | | (31.66 | ) | | | 6,116 | | | | 1.95 | (c) | | | 2.03 | (c) | | | 1.00 | (c) | | | 25 | | | |
| | 8.29 | | | | (31.54 | ) | | | 1,560,672 | | | | 0.80 | (c) | | | 0.88 | (c) | | | 2.20 | (c) | | | 25 | | | |
| | 8.08 | | | | (31.58 | ) | | | 22,994 | | | | 1.30 | (c) | | | 1.38 | (c) | | | 1.68 | (c) | | | 25 | | | |
| | 8.04 | | | | (31.57 | ) | | | 5 | | | | 0.95 | (c) | | | 1.03 | (c) | | | 1.98 | (c) | | | 25 | | | |
| | 8.01 | | | | (31.66 | ) | | | 5 | | | | 1.45 | (c) | | | 1.53 | (c) | | | 1.47 | (c) | | | 25 | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| |
| | 11.79 | | | | (16.33 | ) | | | 1,031,252 | | | | 1.20 | | | | 1.25 | | | | 3.70 | | | | 161 | | | |
| | 11.58 | | | | (16.99 | ) | | | 13,280 | | | | 1.95 | | | | 2.00 | | | | 2.93 | | | | 161 | | | |
| | 11.56 | | | | (16.99 | ) | | | 9,875 | | | | 1.95 | | | | 2.00 | | | | 2.97 | | | | 161 | | | |
| | 12.11 | | | | (15.99 | ) | | | 2,676,502 | | | | 0.80 | | | | 0.85 | | | | 4.13 | | | | 161 | | | |
| | 11.81 | | | | (16.50 | ) | | | 49,411 | | | | 1.30 | | | | 1.35 | | | | 3.54 | | | | 161 | | | |
| | 11.75 | | | | (19.67 | ) | | | 8 | | | | 0.95 | (c) | | | 1.00 | (c) | | | 3.02 | (c) | | | 161 | | | |
| | 11.72 | | | | (19.92 | ) | | | 8 | | | | 1.45 | (c) | | | 1.50 | (c) | | | 2.55 | (c) | | | 161 | | | |
|
| | 15.90 | | | | 19.12 | | | | 1,495,073 | | | | 1.22 | | | | 1.26 | | | | 1.96 | | | | 56 | | | |
| | 15.67 | | | | 18.28 | | | | 19,124 | | | | 1.97 | | | | 2.01 | | | | 0.98 | | | | 56 | | | |
| | 15.64 | | | | 18.21 | | | | 13,961 | | | | 1.97 | | | | 2.01 | | | | 0.98 | | | | 56 | | | |
| | 16.28 | | | | 19.63 | | | | 3,255,644 | | | | 0.82 | | | | 0.86 | | | | 2.38 | | | | 56 | | | |
| | 15.93 | | | | 19.11 | | | | 55,340 | | | | 1.32 | | | | 1.36 | | | | 1.67 | | | | 56 | | | |
|
| | 14.29 | | | | 24.02 | | | | 739,861 | | | | 1.26 | | | | 1.35 | | | | 1.63 | | | | 59 | | | |
| | 14.09 | | | | 23.18 | | | | 10,306 | | | | 2.02 | | | | 2.11 | | | | 0.64 | | | | 59 | | | |
| | 14.09 | | | | 23.10 | | | | 7,110 | | | | 2.02 | | | | 2.11 | | | | 0.67 | | | | 59 | | | |
| | 14.59 | | | | 24.52 | | | | 1,661,909 | | | | 0.86 | | | | 0.95 | | | | 2.01 | | | | 59 | | | |
| | 14.31 | | | | 23.87 | | | | 40,369 | | | | 1.37 | | | | 1.46 | | | | 1.38 | | | | 59 | | | |
| |
|
The accompanying notes are an integral part of these financial statements. 53
GOLDMAN SACHS STRUCTURED INTERNATIONAL SMALL CAP 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
| | |
| | | beginning
| | investment
| | and unrealized
| | investment
| | investment
| | |
| Year - Share Class | | of period | | income (loss)(a) | | gain (loss) | | operations | | income | | |
| |
FOR THE SIX MONTHS ENDED APRIL 30, (UNAUDITED) |
| 2011 - A | | $ | 8.20 | | | $ | 0.06 | | | $ | 1.47 | | | $ | 1.53 | | | $ | (0.24 | ) | | |
| 2011 - C | | | 8.08 | | | | 0.06 | | | | 1.41 | | | | 1.47 | | | | (0.19 | ) | | |
| 2011 - Institutional | | | 8.21 | | | | 0.08 | | | | 1.47 | | | | 1.55 | | | | (0.27 | ) | | |
| 2011 - IR | | | 8.21 | | | | 0.16 | | | | 1.38 | | | | 1.54 | | | | (0.27 | ) | | |
| | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | |
FOR THE FISCAL YEARS ENDED OCTOBER 31, |
| 2010 - A | | | 7.03 | | | | 0.12 | (d) | | | 1.21 | | | | 1.33 | | | | (0.16 | ) | | |
| 2010 - C | | | 6.95 | | | | 0.09 | (d) | | | 1.17 | | | | 1.26 | | | | (0.13 | ) | | |
| 2010 - Institutional | | | 7.04 | | | | 0.16 | (d) | | | 1.19 | | | | 1.35 | | | | (0.18 | ) | | |
| 2010 - IR (Commenced August 31, 2010) | | | 7.00 | | | | 0.03 | (d) | | | 1.18 | | | | 1.21 | | | | — | | | |
| |
|
| 2009 - A | | | 4.94 | | | | 0.09 | | | | 2.19 | | | | 2.28 | | | | (0.19 | ) | | |
| 2009 - C | | | 4.91 | | | | 0.06 | | | | 2.17 | | | | 2.23 | | | | (0.19 | ) | | |
| 2009 - Institutional | | | 4.96 | | | | 0.12 | | | | 2.19 | | | | 2.31 | | | | (0.23 | ) | | |
| |
|
| 2008 - A | | | 10.46 | | | | 0.20 | (e) | | | (5.69 | ) | | | (5.49 | ) | | | (0.03 | ) | | |
| 2008 - C | | | 10.46 | | | | 0.13 | (e) | | | (5.68 | ) | | | (5.55 | ) | | | — | (f) | | |
| 2008 - Institutional | | | 10.47 | | | | 0.23 | (e) | | | (5.71 | ) | | | (5.48 | ) | | | (0.03 | ) | | |
| | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | |
FOR THE PERIOD ENDED OCTOBER 31, |
| 2007 - A (Commenced September 28, 2007) | | | 10.00 | | | | (0.01 | ) | | | 0.47 | | | | 0.46 | | | | — | | | |
| 2007 - C (Commenced September 28, 2007) | | | 10.00 | | | | (0.01 | ) | | | 0.47 | | | | 0.46 | | | | — | | | |
| 2007 - Institutional (Commenced September 28, 2007) | | | 10.00 | | | | — | (f) | | | 0.47 | | | | 0.47 | | | | — | | | |
| |
|
| | |
| (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 a sales or redemption charge was 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) | | Reflects income recognized from non-recurring special dividends which amounted to $0.01 per share and 0.19% of average net assets. |
| (e) | | Reflects income recognized from non-recurring special dividends which amounted to $0.02 per share and 0.20% of average net assets. |
| (f) | | Amount is less than $0.005 per share. |
54 The accompanying notes are an integral part of these financial statements.
GOLDMAN SACHS STRUCTURED INTERNATIONAL SMALL CAP FUND
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | |
| | | | |
| | | | | | | | | | | Ratio of
| | | | |
| | | | | Net assets,
| | Ratio of
| | Ratio of
| | net investment
| | | | |
Net asset
| | | | end of
| | net expenses
| | total expenses
| | income (loss)
| | Portfolio
| | |
value, end
| | Total
| | period
| | to average
| | to average
| | to average
| | turnover
| | |
| of period | | return(b) | | (in 000s) | | net assets | | net assets | | net assets | | rate | | |
| |
| |
| $ | 9.49 | | | | 19.01 | % | | $ | 42,143 | | | | 1.30 | %(c) | | | 1.48 | %(c) | | | 1.44 | %(c) | | | 32 | % | | |
| | 9.36 | | | | 18.48 | | | | 729 | | | | 2.05 | (c) | | | 2.23 | (c) | | | 1.45 | (c) | | | 32 | | | |
| | 9.49 | | | | 19.33 | | | | 266,651 | | | | 0.90 | (c) | | | 1.08 | (c) | | | 1.78 | (c) | | | 32 | | | |
| | 9.48 | | | | 19.16 | | | | 85 | | | | 1.05 | (c) | | | 1.23 | (c) | | | 3.55 | (c) | | | 32 | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| |
| | 8.20 | | | | 19.36 | | | | 34,154 | | | | 1.30 | | | | 1.50 | | | | 1.71 | (d) | | | 113 | | | |
| | 8.08 | | | | 18.50 | | | | 213 | | | | 2.05 | | | | 2.25 | | | | 1.24 | (d) | | | 113 | | | |
| | 8.21 | | | | 19.67 | | | | 236,265 | | | | 0.90 | | | | 1.10 | | | | 2.18 | (d) | | | 113 | | | |
| | 8.21 | | | | 17.29 | | | | 1 | | | | 1.05 | (c) | | | 1.25 | (c) | | | 2.49 | (c)(d) | | | 113 | | | |
| |
|
| | 7.03 | | | | 48.17 | | | | 36,310 | | | | 1.30 | | | | 1.74 | | | | 1.62 | | | | 209 | | | |
| | 6.95 | | | | 47.36 | | | | 40 | | | | 2.05 | | | | 2.49 | | | | 1.16 | | | | 209 | | | |
| | 7.04 | | | | 48.80 | | | | 207,776 | | | | 0.90 | | | | 1.34 | | | | 1.99 | | | | 209 | | | |
| |
|
| | 4.94 | | | | (52.55 | ) | | | 18,763 | | | | 1.30 | | | | 1.70 | | | | 2.39 | (e) | | | 117 | | | |
| | 4.91 | | | | (52.94 | ) | | | 21 | | | | 2.05 | | | | 2.45 | | | | 1.70 | (e) | | | 117 | | | |
| | 4.96 | | | | (52.37 | ) | | | 67,625 | | | | 0.90 | | | | 1.30 | | | | 2.83 | (e) | | | 117 | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| |
| | 10.46 | | | | 4.60 | | | | 43,572 | | | | 1.30 | (c) | | | 1.90 | (c) | | | (0.58 | )(c) | | | 4 | | | |
| | 10.46 | | | | 4.60 | | | | 10 | | | | 2.05 | (c) | | | 2.65 | (c) | | | (1.06 | )(c) | | | 4 | | | |
| | 10.47 | | | | 4.70 | | | | 143,817 | | | | 0.90 | (c) | | | 1.50 | (c) | | | 0.09 | (c) | | | 4 | | | |
| |
|
The accompanying notes are an integral part of these financial statements. 55
GOLDMAN SACHS STRUCTURED INTERNATIONAL EQUITY FUNDS
Notes to Financial Statements
April 30, 2011 (Unaudited)
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:
| | | | | |
| | | | | Diversified/
|
| Fund | | Share Classes Offered* | | Non-Diversified |
| |
| Structured Emerging Markets Equity and Structured International Small Cap | | A, C, Institutional and IR | | Diversified |
| |
| |
| Structured International Equity | | A, B, C, Institutional, Service, IR and R | | Diversified |
| |
| |
| | |
| * | | Class B Shares are generally no longer available for purchase by current or prospective investors. |
Class A Shares are sold with a front-end sales charge of up to 5.50%. Class B Shares were 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 are sold with a contingent deferred sales charge of 1.00%, which is imposed on redemptions made within 12 months of purchase. Institutional, Service, Class IR and Class R Shares are not subject to a sales charge.
Goldman Sachs Asset Management, L.P. (“GSAM”), an affiliate of Goldman, Sachs & Co. (“Goldman Sachs”), serves as investment adviser to each Fund pursuant to a management agreement (the “Agreement”) with the Trust.
| |
| 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 in 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 and investment companies traded on certain foreign securities exchanges 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 fair value 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, the NASDAQ system, or those located on certain foreign exchanges including, but not limited to the Americas, 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: (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 securities 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 the valuation date, or if no sale occurs, at the last bid price. In the absence of market quotations, broker quotes will
GOLDMAN SACHS STRUCTURED INTERNATIONAL EQUITY FUNDS
| |
| 2. SIGNIFICANT ACCOUNTING POLICIES (continued) | |
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”) of the investment company 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 Fund Share Transactions, and Investment Income — Security and Fund 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 NAV applied to Fund share transactions. 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. Certain dividends from foreign securities will be recorded when the Fund is informed of the dividend, if such information is obtained subsequent to the ex-dividend date. 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. 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.
Investment income 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.
C. Expenses — Expenses incurred by the Funds, which may not specifically relate to the Funds, may be shared with other registered investment companies having management agreements with GSAM or its affiliates, as appropriate. These expenses are allocated to the Funds on a straight-line and/or pro-rata basis depending upon the nature of the expenses and are accrued daily. Non-class specific expenses are allocated daily to each share class of the respective Fund based upon the relative proportion of net assets of each class. Class specific expenses, where applicable, are borne by the respective share classes and include Distribution and Service, Transfer Agent, and Service fees.
D. Redemption Fees — Prior to October 1, 2010, all classes of the Funds charged a 2% redemption fee on the redemption of shares (including by exchange) held for 30 calendar days or less. For this purpose, the Funds used a first-in first-out method so that shares held longest were treated as being redeemed first and shares held shortest were treated as being redeemed last. Redemption fees were reimbursed to a Fund and were reflected as a reduction in share redemptions. Redemption fees were credited to Paid-in capital and were allocated to each share class of a Fund on a pro-rata basis at the time of payment. Effective October 1, 2010, the redemption fee for each Fund was eliminated.
GOLDMAN SACHS STRUCTURED INTERNATIONAL EQUITY FUNDS
Notes to Financial Statements (continued)
April 30, 2011 (Unaudited)
| |
| 2. SIGNIFICANT ACCOUNTING POLICIES (continued) | |
E. Federal Taxes and Distributions to Shareholders — It is each Fund’s policy to comply with the requirements of the Internal Revenue Code of 1986, as amended (the “Code”), applicable to regulated investment companies (mutual funds) and to distribute each year substantially all of its investment company taxable income and capital gains to its shareholders. Accordingly, the Funds are not required to make any provisions for the payment of federal income tax. Distributions to shareholders are recorded on the ex-dividend date. Income and capital gains distributions, if any, are declared and paid 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. Certain components of the Funds’ net assets on the Statements of Assets and Liabilities reflect permanent GAAP/tax differences based on the appropriate tax character.
F. Foreign Currency Translations — The books and records of the Funds are maintained in U.S. dollars. Amounts denominated in foreign currencies are translated into U.S. dollars on the following basis: (i) investment valuations, foreign currency and other assets and liabilities initially expressed in foreign currencies are converted 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 foreign currency 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 securities and derivative instruments is included with the net realized and change in unrealized gain (loss) on investments on the Statements of Operations, however, the effect of changes in foreign currency exchange rates on fixed income securities sold during the period is included with the net realized gain (loss) on foreign currency related transactions. Changes in the value of other assets and liabilities as a result of fluctuations in foreign exchange rates are included as an increase or decrease to net change in unrealized gain (loss) on translation of assets and liabilities denominated in foreign currencies.
G. Futures Contracts — 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.
GOLDMAN SACHS STRUCTURED INTERNATIONAL EQUITY FUNDS
| |
| 3. 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 (i.e., the exit price). 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 significant inputs are observable (including, but not limited to, quoted prices for similar securities, interest rates, foreign exchange rates, volatility and credit spreads), either directly or indirectly;
Level 3 — Prices or valuations that require significant unobservable inputs (including GSAM’s assumptions in determining fair value measurement).
The following is a summary of the Funds’ investments and derivatives categorized in the fair value hierarchy as of April 30, 2011:
| | | | | | | | | | | | | |
STRUCTURED EMERGING MARKETS EQUITY
| | | | | | |
| Investment Type | | Level 1 | | Level 2 | | Level 3 |
| |
Assets | | | | | | | | | | | | |
Common Stock and/or Other Equity Investments | | $ | 99,002,369 | | | $ | 260,351,649 | (a) | | $ | — | |
| Securities Lending Reinvestment Vehicle | | | 2,069,825 | | | | — | | | | — | |
| |
| |
Total | | $ | 101,072,194 | | | $ | 260,351,649 | | | $ | — | |
| |
| |
STRUCTURED INTERNATIONAL EQUITY
| | | | | | |
| Investment Type | | Level 1 | | Level 2 | | Level 3 |
| |
Assets | | | | | | | | | | | | |
Common Stock and/or Other Equity Investments | | $ | 87,953,101 | | | $ | 2,226,351,395 | (a) | | $ | — | |
| Short-term Investment | | | 18,463,133 | | | | — | | | | — | |
| Securities Lending Reinvestment Vehicle | | | 297,623,002 | | | | — | | | | — | |
| |
| |
Total | | $ | 404,039,236 | | | $ | 2,226,351,395 | | | $ | — | |
| |
| |
| Derivative Type | | | | | | |
| |
Assets | | | | | | | | | | | | |
Futures Contracts(b) | | $ | 1,137,790 | | | $ | — | | | $ | — | |
| |
| |
Liabilities | | | | | | | | | | | | |
Futures Contracts(b) | | $ | (98,190 | ) | | $ | — | | | $ | — | |
| |
| |
GOLDMAN SACHS STRUCTURED INTERNATIONAL EQUITY FUNDS
Notes to Financial Statements (continued)
April 30, 2011 (Unaudited)
| |
| 3. FAIR VALUE OF INVESTMENTS (continued) | |
| | | | | | | | | | | | | |
STRUCTURED INTERNATIONAL SMALL CAP
| | | | | | |
| Investment Type | | Level 1 | | Level 2 | | Level 3 |
| |
Assets | | | | | | | | | | | | |
Common Stock and/or Other Equity Investments | | $ | — | | | $ | 299,346,977 | (a) | | $ | — | |
| Short-term Investment | | | 6,023,262 | | | | — | | | | — | |
| Securities Lending Reinvestment Vehicle | | | 18,024,842 | | | | — | | | | — | |
| |
| |
Total | | $ | 24,048,104 | | | $ | 299,346,977 | | | $ | — | |
| |
| |
| Derivative Type | | | | | | |
| |
Assets | | | | | | | | | | | | |
Futures Contracts(b) | | $ | 257,922 | | | $ | — | | | $ | — | |
| |
| |
Liabilities | | | | | | | | | | | | |
Futures Contracts(b) | | $ | (84,221 | ) | | $ | — | | | $ | — | |
| |
| |
| | |
| (a) | | To adjust for the time difference between local market close and the calculation of net asset value, the Funds utilize fair value model prices for international equities provided by an independent fair value service resulting in a Level 2 classification. |
| (b) | | Amount shown represents unrealized gain (loss) at period end. |
GOLDMAN SACHS STRUCTURED INTERNATIONAL EQUITY FUNDS
| |
| 4. INVESTMENTS IN DERIVATIVES | |
The Funds may make investments in derivative instruments, including, but not limited to options, futures, swaps, swaptions 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.
During the six months ended April 30, 2011, the Structured International Equity and Structured International Small Cap Funds entered into futures contracts. These instruments were used to meet the Funds’ investment objectives and to obtain and/or manage exposure related to the risks below. The following table sets forth, by certain risk types, the gross value of these derivative contracts for trading activities as of April 30, 2011. The values in the table below exclude the effects of cash collateral received or posted pursuant to these derivative contracts, and therefore are not representative of the Funds’ net exposure.
| | | | | | | | | | | | | | | | |
| |
| | | | | Statements of Assets
| | | | | Statements of Assets
| | |
| | | | | and Liabilities
| | | | | and Liabilities
| | |
| Fund | | Risk | | Location | | Assets(a) | | | Location | | Liabilities(a) |
| Structured International Equity | | Equity | | Due from broker — variation margin, at value | | $ | 1,137,790 | | | | Due to broker —
variation margin, at value | | $ | (98,190 | ) |
| | | | | | | | | | | | | | | | |
| Structured International Small Cap | | Equity | | Due from broker — variation margin, at value | | | 257,922 | | | | Due to broker —
variation margin, at value | | | (84,221 | ) |
| | | | | | | | | | | | | | | | |
| | |
| (a) | | Includes unrealized gain (loss) on futures contracts described in the Additional Investment Information sections of the Schedules of Investments. Only current day’s variation margin is reported within the Statements of Assets and Liabilities. |
The following table sets forth, by certain risk types, the Funds’ gains (losses) related to these derivatives and their indicative volumes for the six months ended April 30, 2011. These gains (losses) should be considered in the context that these derivative contracts may have been executed to economically hedge certain securities, and accordingly, certain gains (losses) on such derivative contracts may offset certain (losses) gains attributable to securities. These gains (losses) are included in “Net realized gain (loss)” or “Net change in unrealized gain (loss)” on the Statements of Operations:
| | | | | | | | | | | | | | | | | | |
| |
| | | | | | | Net
| | Net Change in
| | | Average
|
| | | | | | | Realized
| | Unrealized
| | | Number of
|
| Fund | | Risk | | Statements of Operations Location | | Gain (Loss) | | Gain (Loss) | | | Contracts(a) |
| Structured International Equity | | Equity | | Net realized gain (loss) from futures transactions/Net change in unrealized gain (loss) on futures | | $ | 2,461,404 | | | $ | 1,129,447 | | | | | 719 | |
| | | | | | | | | | | | | | | | | | |
| Structured International Small Cap | | Equity | | Net realized gain (loss) from futures transactions/Net change in unrealized gain (loss) on futures | | | 188,295 | | | | 131,730 | | | | | 98 | |
| | | | | | | | | | | | | | | | | | |
| | |
| (a) | | Average number of contracts is based on the average of month end balances for the six months ended April 30, 2011. |
GOLDMAN SACHS STRUCTURED INTERNATIONAL EQUITY FUNDS
Notes to Financial Statements (continued)
April 30, 2011 (Unaudited)
| |
| 5. AGREEMENTS AND AFFILIATED TRANSACTIONS | |
A. Management Agreements — Under the Agreements, GSAM manages the Funds, subject to the general supervision of the trustees.
As compensation for the services rendered pursuant to the Agreements, the assumption of the expenses related thereto and administration of the Funds’ business affairs, including providing facilities, GSAM is entitled to a management fee, accrued daily and paid monthly, equal to an annual percentage rate of each Fund’s average daily net assets.
For the six months ended April 30, 2011, contractual management fees with GSAM were at the following rates:
| | | | | | | | | | | | | | | | | | | | | | | | | |
| | | Contractual Management Rate |
| | | First
| | Next
| | Next
| | Next
| | Over
| | Effective
|
| Fund | | $1 billion | | $1 billion | | $3 billion | | $3 billion | | $8 billion | | Rate |
| |
| Structured Emerging Markets Equity | | | 1.00 | % | | | 1.00 | % | | | 0.90 | % | | | 0.86 | % | | | 0.84 | % | | | 1.00 | % |
| |
| |
| Structured International Equity | | | 0.85 | | | | 0.77 | | | | 0.73 | | | | 0.72 | | | | 0.71 | | | | 0.80 | |
| |
| |
| Structured International Small Cap | | | 0.85 | | | | 0.85 | | | | 0.77 | | | | 0.73 | | | | 0.72 | | | | 0.85 | |
| |
| |
B. Distribution and Service Plans — The Trust, on behalf of each Fund, has adopted Distribution and Service Plans (the “Plans”). Under the Plans, Goldman Sachs, which serves as distributor, (the “Distributor”), is entitled to a fee accrued daily and paid monthly for distribution services and personal and account maintenance services, which may then be paid by Goldman Sachs to authorized dealers, 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 Distribution Plan to compensate service organizations for personal and account maintenance services and expenses as long as such total compensation does not exceed the maximum cap on “service fees” imposed by the Financial Industry Regulatory Authority. |
C. Distribution Agreement — Goldman Sachs, as Distributor of the shares of the Funds pursuant to a Distribution Agreement, may retain a portion of the Class A front end sales charge and Class B and Class C contingent deferred sales charges. During the six months ended April 30, 2011, Goldman Sachs advised that it retained the following approximate amounts:
| | | | | | | | | | | | | |
| | | Front End
| | Contingent Deferred
|
| | | Sales Charge | | Sales Charge |
| Fund | | Class A | | Class B | | Class C |
| |
| Structured Emerging Markets Equity | | $ | 3,500 | | | | N/A | | | $ | — | |
| |
| |
| Structured International Equity | | | 24,400 | | | $ | — | | | | — | |
| |
| |
| Structured International Small Cap | | | 2,100 | | | | N/A | | | | 100 | |
| |
| |
GOLDMAN SACHS STRUCTURED INTERNATIONAL EQUITY FUNDS
| |
| 5. AGREEMENTS AND AFFILIATED TRANSACTIONS (continued) | |
D. Service Plan and Shareholder Administration Plan — The Trust, on behalf of each Fund that offers Service Shares, has adopted a Service Plan and a Shareholder Administration Plan. These plans allow for service organizations to provide varying levels of personal and account maintenance 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 which is accrued daily and paid monthly at an annual rate as follows: 0.25% (0.50% in aggregate) of the average daily net assets of the Service Shares.
E. Transfer Agency Agreement — Goldman Sachs also serves as the transfer agent of the Funds for a fee pursuant to a Transfer Agency Agreement. The fees charged for such transfer agency services are accrued daily and paid 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.
F. Other Expense Agreements and Affiliated Transactions — GSAM has agreed to limit certain “Other Expense” of the Funds (excluding management fees, distribution and service fees, transfer agent fees and expenses, service fees and shareholder administration fees (as applicable), 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 Other Expense reimbursements, if any, are accrued daily and paid monthly. In addition, the Funds are not obligated to reimburse GSAM for prior fiscal year expense reimbursements, if any. The Other Expense limitation as an annual percentage rate of average daily net assets for the Structured Emerging Markets Equity, Structured International Equity and Structured International Small Cap Funds are 0.014%, 0.004% and 0.014%, respectively. These Other Expense reimbursements will remain in place through at least February 28, 2012, and prior to such date GSAM may not terminate the arrangements without the approval of the trustees. In addition, the Funds have entered into certain offset arrangements with the custodian and the transfer agent, which may result in a reduction of the Funds’ expenses.
For the six months ended April 30, 2011, these expense reductions, including Other Expense reimbursements, were as follows (in thousands):
| | | | | |
| | | Other
|
| | | Expense
|
| Fund | | Reimbursement |
| |
| Structured Emerging Markets Equity | | $ | 443 | |
| |
| |
| Structured International Equity | | | 603 | |
| |
| |
| Structured International Small Cap | | | 250 | |
| |
| |
As of April 30, 2011, the amounts owed to affiliates of the Funds were as follows (in thousands):
| | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | Over
| | |
| | | Management
| | Distribution and
| | Transfer
| | Reimbursement of
| | |
| Fund | | Fees | | Service Fees | | Agent Fees | | Other Expenses | | Total |
| |
| Structured Emerging Markets Equity | | $ | 298 | | | $ | 10 | | | $ | 17 | | | $ | 23 | | | $ | 348 | |
| |
| |
| Structured International Equity | | | 1,492 | | | | 121 | | | | 137 | | | | — | | | | 1,750 | |
| |
| |
| Structured International Small Cap | | | 208 | | | | 9 | | | | 15 | | | | — | | | | 232 | |
| |
| |
GOLDMAN SACHS STRUCTURED INTERNATIONAL EQUITY FUNDS
Notes to Financial Statements (continued)
April 30, 2011 (Unaudited)
| |
| 5. AGREEMENTS AND AFFILIATED TRANSACTIONS (continued) | |
G. Line of Credit Facility — As of April 30, 2011, the Funds participated in a $580,000,000 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 could increase the credit amount by an additional $340,000,000, for a total of up to $920,000,000. This facility is to be used solely for temporary or emergency purposes. The interest rate on borrowings is based on the federal funds rate. The 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 April 30, 2011, the Funds did not have any borrowings under the facility.
H. Other Transactions with Affiliates — For the six months ended April 30, 2011, Goldman Sachs earned approximately $57,600 in brokerage commissions from portfolio transactions, including futures transactions executed with Goldman Sachs as the Futures Commission Merchant, on behalf of the Structured International Equity Fund.
As of April 30, 2011, the following Fund of Funds Portfolios were beneficial owners of 5% or more of total outstanding shares of the following Funds:
| | | | | | | | | | | | | | | | | |
| | | Goldman Sachs
| | Goldman Sachs
| | Goldman Sachs
| | Goldman Sachs
|
| | | Balanced Strategy
| | Growth and Income
| | Growth Strategy
| | Equity Growth
|
| Fund | | Portfolio | | Strategy Portfolio | | Portfolio | | Strategy Portfolio |
| |
| Structured Emerging Markets Equity | | | 5 | % | | | 15 | % | | | 15 | % | | | 7 | % |
| |
| |
| Structured International Equity | | | 6 | | | | 19 | | | | 20 | | | | 9 | |
| |
| |
| Structured International Small Cap | | | 8 | | | | 19 | | | | 16 | | | | 7 | |
| |
| |
As of April 30, 2011, the Goldman Sachs Group, Inc. was the beneficial owner of approximately 100% and 100% of the Class IR Shares of the Structured Emerging Markets Equity and Structured International Equity Funds, respectively.
| |
| 6. PORTFOLIO SECURITIES TRANSACTIONS | |
The cost of purchases and proceeds from sales and maturities of long-term securities for the six months ended April 30, 2011, were as follows:
| | | | | | | | | |
| | | | | Sales and
|
| Fund | | Purchases | | Maturities |
| |
| Structured Emerging Markets Equity | | $ | 255,460,495 | | | $ | 349,303,410 | |
| |
| |
| Structured International Equity | | | 1,101,743,102 | | | | 1,354,928,839 | |
| |
| |
| Structured International Small Cap | | | 90,560,668 | | | | 102,268,219 | |
| |
| |
GOLDMAN SACHS STRUCTURED INTERNATIONAL EQUITY FUNDS
Pursuant to exemptive relief granted by the Securities and Exchange Commission (“SEC”) and the terms and conditions contained therein, the Funds may lend their securities through a securities lending agent, 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 a 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 at a time when the collateral is insufficient to cover the cost of repurchasing securities on loan.
Effective December 29, 2010, the Funds invest the cash collateral received in connection with securities lending transactions in the Goldman Sachs Financial Square Money Market Fund (“Money Market Fund”), a separate series of the Trust. The Money Market Fund, deemed an affiliate of the Trust, is registered under the Act as an open end investment company, is subject to Rule 2a-7 under the Act, and is managed by GSAM, for which GSAM may receive an investment advisory fee of up to 0.205% on an annualized basis of the average daily net assets of the Money Market Fund. Prior to December 29, 2010, the Funds invested 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, was exempt from registration under Section 3(c)(7) of the Act and managed by GSAM, for which GSAM received 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 invested primarily in short-term investments, but was not a “money market fund” subject to the requirements of Rule 2a-7 of the Act.
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 April 30, 2011, are reported under Investment Income on the Statements of Operations. The table below details securities lending activity with affiliates of Goldman Sachs:
| | | | | | | | | | | | | |
| | | For the Six Months Ended April 30, 2011 | | Amounts Payable to
|
| | | Earnings of GSAL
| | Amounts Received
| | Goldman Sachs
|
| | | Relating to
| | by the Funds
| | Upon Return of
|
| | | Securities
| | from Lending to
| | Securities Loaned as of
|
| Fund | | Loaned | | Goldman Sachs | | April 30, 2011 |
| |
| Structured Emerging Markets Equity | | $ | 606 | | | $ | 2,959 | | | $ | 505,675 | |
| |
| |
| Structured International Equity | | | 161,767 | | | | 29,089 | | | | 16,036,500 | |
| |
| |
| Structured International Small Cap | | | 21,701 | | | | 25,123 | | | | 924,100 | |
| |
| |
The following table provides information about the Funds’ investment in the Money Market Fund for the six months ended April 30, 2011 (in thousands):
| | | | | | | | | | | | | | | | | | | | | |
| | | Number of
| | | | | | | | |
| | | Shares Held
| | | | | | Number of
| | Value at
|
| | | Beginning
| | Shares
| | Shares
| | Shares Held End
| | End of
|
| Fund | | of Period | | Bought | | Sold | | of Period | | Period |
| |
| Structured Emerging Markets Equity | | | — | | | | 41,443 | | | | (39,373 | ) | | | 2,070 | | | $ | 2,070 | |
| |
| |
| Structured International Equity | | | — | | | | 505,725 | | | | (208,102 | ) | | | 297,623 | | | | 297,623 | |
| |
| |
| Structured International Small Cap | | | — | | | | 34,556 | | | | (16,531 | ) | | | 18,025 | | | | 18,025 | |
| |
| |
GOLDMAN SACHS STRUCTURED INTERNATIONAL EQUITY FUNDS
Notes to Financial Statements (continued)
April 30, 2011 (Unaudited)
| |
| 7. SECURITIES LENDING (continued) | |
The following table provides information about the Funds’ investment in the Enhanced Portfolio II for the six months ended April 30, 2011 (in thousands):
| | | | | | | | | | | | | | | | | | | | | |
| | | Number of
| | | | | | | | |
| | | Shares Held
| | | | | | Number of
| | Value at
|
| | | Beginning
| | Shares
| | Shares
| | Shares Held End
| | End of
|
| Fund | | of Period | | Bought | | Sold | | of Period | | Period |
| |
| Structured Emerging Markets Equity | | | 616 | | | | 11,152 | | | | (11,768 | ) | | | — | | | $ | — | |
| |
| |
| Structured International Equity | | | 24,192 | | | | 95,083 | | | | (119,275 | ) | | | — | | | | — | |
| |
| |
| Structured International Small Cap | | | 9,930 | | | | 7,640 | | | | (17,570 | ) | | | — | | | | — | |
| |
| |
As of the Funds’ most recent fiscal year end, October 31, 2010, the Funds’ capital loss carryforwards on a tax-basis were as follows:
| | | | | | | | | | | | | |
| | | Structured
| | Structured
| | Structured
|
| | | Emerging Markets
| | International
| | International
|
| | | Equity | | Equity | | Small Cap |
| |
Capital loss carryforward(1) | | | | | | | | | | | | |
| Expiring 2016 | | $ | (16,937,495 | ) | | $ | (455,956,512 | ) | | $ | (30,936,068 | ) |
| Expiring 2017 | | | (44,674,289 | ) | | | (940,883,655 | ) | | | (21,285,839 | ) |
| |
| |
| Total capital loss carryforward | | $ | (61,611,784 | ) | | $ | (1,396,840,167 | ) | | $ | (52,221,907 | ) |
| |
| |
| | |
| (1) | | Expiration occurs on October 31 of the year indicated. |
As of April 30, 2011, the Funds’ aggregate security unrealized gains and losses based on cost for U.S. federal income tax purposes were as follows:
| | | | | | | | | | | | | |
| | | Structured
| | Structured
| | Structured
|
| | | Emerging Markets
| | International
| | International
|
| | | Equity | | Equity | | Small Cap |
| |
| Tax cost | | $ | 287,663,734 | | | $ | 2,362,435,383 | | | $ | 255,137,851 | |
| |
| |
| Gross unrealized gain | | | 83,619,782 | | | | 363,035,273 | | | | 78,207,323 | |
| Gross unrealized loss | | | (9,859,673 | ) | | | (95,080,025 | ) | | | (9,950,093 | ) |
| |
| |
| Net unrealized security gain | | $ | 73,760,109 | | | $ | 267,955,248 | | | $ | 68,257,230 | |
| |
| |
GOLDMAN SACHS STRUCTURED INTERNATIONAL EQUITY FUNDS
| |
| 8. TAX INFORMATION (continued) | |
The difference between GAAP-basis and tax-basis unrealized gains (losses) is attributable primarily to wash sales, and differences related to the tax treatment of passive foreign investment company investments and securities on loan.
GSAM has reviewed the Funds’ tax positions for all open tax years (the current and prior three years, as applicable) and has concluded that no provision for income tax is required in the Funds’ financial statements. Such open tax years remain subject to examination and adjustment by tax authorities.
Under the recently enacted Regulated Investment Company Modernization Act of 2010, the Funds will be permitted to carry forward capital losses incurred in taxable years beginning after December 22, 2010 for an unlimited period. However, any losses incurred during those future taxable years will be required to be utilized prior to the losses incurred in pre-enactment taxable years. As a result of this ordering rule, pre-enactment capital loss carryforwards may be more likely to expire unused. Additionally, post-enactment capital losses that are carried forward will retain their character as either short-term or long-term capital losses rather than being considered all short-term as under previous law.
Foreign Custody Risk — A Fund that invests in foreign securities may hold such securities and foreign currency with foreign banks, agents, and securities depositories appointed by the Fund’s custodian (each a “Foreign Custodian”). 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. 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.
Funds’ Shareholder Concentration Risk — Certain funds, accounts, individuals or Goldman Sachs affiliates may from time to time own (beneficially or of record) or control a significant percentage of the Funds’ shares. Redemptions by these entities of their holdings in the Funds may impact the Funds’ liquidity and NAV. These redemptions may also force the Funds to sell securities.
Liquidity Risk — The Funds may make investments that may be illiquid or that may become less liquid in response to market developments or adverse investor perceptions. Liquidity risk may also refer to the risk that a Fund will not be able to pay redemption proceeds within the allowable time period because of unusual market conditions, an unusually high volume of redemption requests, or other reasons. To meet redemption requests, a Fund may be forced to sell investments at an unfavorable time and/or under unfavorable conditions.
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 transaction defaults.
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.
GOLDMAN SACHS STRUCTURED INTERNATIONAL EQUITY FUNDS
Notes to Financial Statements (continued)
April 30, 2011 (Unaudited)
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 made against the Funds that have not yet occurred. However, GSAM believes the risk of loss under these arrangements to be remote.
Subsequent events after the balance sheet date have been evaluated through the date the financial statements were issued. GSAM has concluded that there is no impact requiring adjustment or disclosure in the financial statements.
GOLDMAN SACHS STRUCTURED INTERNATIONAL EQUITY FUNDS
| |
| 12. SUMMARY OF SHARE TRANSACTIONS | |
Share activity is as follows:
| | | | | | | | | | | | | | | | | |
| | | Structured Emerging Markets Equity Fund |
| | | For the Six Months Ended
| | |
| | | April 30, 2011
| | For the Fiscal Year Ended
|
| | | (Unaudited) | | October 31, 2010 |
| | | Shares | | Dollars | | Shares | | Dollars |
| |
Class A Shares | | | | | | | | | | | | | | | | |
| Shares sold | | | 561,054 | | | $ | 5,107,255 | | | | 11,327,999 | | | $ | 91,162,685 | |
| Reinvestment of distributions | | | 46,464 | | | | 420,501 | | | | 2,073 | | | | 16,168 | |
| Shares redeemed | | | (2,421,733 | ) | | | (22,554,707 | ) | | | (5,866,141 | ) | | | (46,837,170 | ) |
| |
| |
| | | | (1,814,215 | ) | | | (17,026,951 | ) | | | 5,463,931 | | | | 44,341,683 | |
| |
| |
Class C Shares | | | | | | | | | | | | | | | | |
| Shares sold | | | 6,268 | | | | 57,284 | | | | 14,845 | | | | 116,072 | |
| Reinvestment of distributions | | | 36 | | | | 324 | | | | 808 | | | | 6,276 | |
| Shares redeemed | | | (102,041 | ) | | | (909,404 | ) | | | (70,770 | ) | | | (538,020 | ) |
| |
| |
| | | | (95,737 | ) | | | (851,796 | ) | | | (55,117 | ) | | | (415,672 | ) |
| |
| |
Institutional Shares | | | | | | | | | | | | | | | | |
| Shares sold | | | 1,242,552 | | | | 11,311,629 | | | | 20,317,640 | | | | 158,225,150 | |
| Reinvestment of distributions | | | 517,427 | | | | 4,693,065 | | | | 690,410 | | | | 5,399,004 | |
| Shares redeemed | | | (9,662,892 | ) | | | (88,036,162 | ) | | | (23,847,433 | ) | | | (184,164,753 | ) |
| |
| |
| | | | (7,902,913 | ) | | | (72,031,468 | ) | | | (2,839,383 | ) | | | (20,540,599 | ) |
| |
| |
Class IR Shares(a) | | | | | | | | | | | | | | | | |
| Shares sold | | | — | | | | — | | | | 130 | | | | 1,000 | |
| Reinvestment of distributions | | | 2 | | | | 15 | | | | — | | | | — | |
| |
| |
| | | | 2 | | | | 15 | | | | 130 | | | | 1,000 | |
| |
| |
NET INCREASE (DECREASE) | | | (9,812,863 | ) | | $ | (89,910,200 | ) | | | 2,569,561 | | | $ | 23,386,412 | |
| |
| |
| | |
| (a) | | Commenced operations on August 31, 2010. |
GOLDMAN SACHS STRUCTURED INTERNATIONAL EQUITY FUNDS
Notes to Financial Statements (continued)
April 30, 2011 (Unaudited)
| |
| 12. SUMMARY OF SHARE TRANSACTIONS (continued) | |
Share activity is as follows:
| | | | | | | | | | | | | | | | | |
| | | Structured International Equity Fund |
| | | For the Six Months Ended
| | |
| | | April 30, 2011
| | For the Fiscal Year Ended
|
| | | (Unaudited) | | October 31, 2010 |
| | | Shares | | Dollars | | Shares | | Dollars |
| |
Class A Shares | | | | | | | | | | | | | | | | |
| Shares sold | | | 8,027,064 | | | $ | 85,404,578 | | | | 18,182,878 | | | $ | 176,641,298 | |
Shares converted from Class B(a) | | | 9,618 | | | | 96,518 | | | | 28,849 | | | | 270,068 | |
| Reinvestment of distributions | | | 964,449 | | | | 9,808,446 | | | | 1,284,421 | | | | 12,458,885 | |
| Shares redeemed | | | (12,021,244 | ) | | | (125,837,613 | ) | | | (35,862,234 | ) | | | (341,328,780 | ) |
| |
| |
| | | | (3,020,113 | ) | | | (30,528,071 | ) | | | (16,366,086 | ) | | | (151,958,529 | ) |
| |
| |
Class B Shares | | | | | | | | | | | | | | | | |
| Shares sold | | | 13,851 | | | | 142,470 | | | | 37,289 | | | | 358,831 | |
Shares converted to Class A(a) | | | (9,705 | ) | | | (96,518 | ) | | | (29,180 | ) | | | (270,068 | ) |
| Reinvestment of distributions | | | 7,550 | | | | 76,184 | | | | 11,526 | | | | 110,766 | |
| Shares redeemed | | | (106,767 | ) | | | (1,096,715 | ) | | | (171,534 | ) | | | (1,598,714 | ) |
| |
| |
| | | | (95,071 | ) | | | (974,579 | ) | | | (151,899 | ) | | | (1,399,185 | ) |
| |
| |
Class C Shares | | | | | | | | | | | | | | | | |
| Shares sold | | | 14,801 | | | | 153,763 | | | | 45,815 | | | | 436,480 | |
| Reinvestment of distributions | | | 5,055 | | | | 51,002 | | | | 6,889 | | | | 66,270 | |
| Shares redeemed | | | (68,285 | ) | | | (705,467 | ) | | | (147,026 | ) | | | (1,380,407 | ) |
| |
| |
| | | | (48,429 | ) | | | (500,702 | ) | | | (94,322 | ) | | | (877,657 | ) |
| |
| |
Institutional Shares | | | | | | | | | | | | | | | | |
| Shares sold | | | 23,642,852 | | | | 254,174,488 | | | | 64,702,851 | | | | 627,486,099 | |
| Reinvestment of distributions | | | 3,764,641 | | | | 39,227,558 | | | | 4,226,939 | | | | 41,973,509 | |
| Shares redeemed | | | (44,138,332 | ) | | | (463,976,357 | ) | | | (74,970,951 | ) | | | (725,548,538 | ) |
| |
| |
| | | | (16,730,839 | ) | | | (170,574,311 | ) | | | (6,041,161 | ) | | | (56,088,930 | ) |
| |
| |
Service Shares | | | | | | | | | | | | | | | | |
| Shares sold | | | 216,180 | | | | 2,285,692 | | | | 711,996 | | | | 6,886,587 | |
| Reinvestment of distributions | | | 17,739 | | | | 181,647 | | | | 28,464 | | | | 277,803 | |
| Shares redeemed | | | (478,843 | ) | | | (5,050,667 | ) | | | (1,565,155 | ) | | | (14,884,985 | ) |
| |
| |
| | | | (244,924 | ) | | | (2,583,328 | ) | | | (824,695 | ) | | | (7,720,595 | ) |
| |
| |
Class IR Shares | | | | | | | | | | | | | | | | |
| Shares sold | | | — | | | | — | | | | 3 | | | | 26 | |
| Reinvestment of distributions | | | 17 | | | | 174 | | | | 18 | | | | 171 | |
| Shares redeemed | | | — | | | | — | | | | (3 | ) | | | (24 | ) |
| |
| |
| | | | 17 | | | | 174 | | | | 18 | | | | 173 | |
| |
| |
Class R Shares | | | | | | | | | | | | | | | | |
| Shares sold | | | 11,262 | | | | 116,653 | | | | 2,656 | | | | 23,749 | |
| Reinvestment of distributions | | | 480 | | | | 4,837 | | | | 357 | | | | 3,438 | |
| Shares redeemed | | | (22,818 | ) | | | (238,963 | ) | | | (236 | ) | | | (2,295 | ) |
| |
| |
| | | | (11,076 | ) | | | (117,473 | ) | | | 2,777 | | | | 24,892 | |
| |
| |
NET DECREASE | | | (20,150,435 | ) | | $ | (205,278,290 | ) | | | (23,475,368 | ) | | $ | (218,019,831 | ) |
| |
| |
| | |
| (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 INTERNATIONAL EQUITY FUNDS
| |
| 12. SUMMARY OF SHARE TRANSACTIONS (continued) | |
Share activity is as follows:
| | | | | | | | | | | | | | | | | |
| | | Structured International Small Cap Fund |
| | | For the Six Months Ended
| | |
| | | April 30, 2011
| | For the Fiscal Year Ended
|
| | | (Unaudited) | | October 31, 2010 |
| | | Shares | | Dollars | | Shares | | Dollars |
| |
Class A Shares | | | | | | | | | | | | | | | | |
| Shares sold | | | 886,416 | | | $ | 7,792,402 | | | | 1,122,338 | | | $ | 8,189,624 | |
| Reinvestment of distributions | | | 114,710 | | | | 964,710 | | | | 117,322 | | | | 811,868 | |
| Shares redeemed | | | (726,382 | ) | | | (6,341,019 | ) | | | (2,235,926 | ) | | | (16,149,624 | ) |
| |
| |
| | | | 274,744 | | | | 2,416,093 | | | | (996,266 | ) | | | (7,148,132 | ) |
| |
| |
Class C Shares | | | | | | | | | | | | | | | | |
| Shares sold | | | 59,576 | | | | 526,399 | | | | 28,010 | | | | 200,029 | |
| Reinvestment of distributions | | | 508 | | | | 4,225 | | | | 74 | | | | 505 | |
| Shares redeemed | | | (8,602 | ) | | | (75,060 | ) | | | (7,471 | ) | | | (52,653 | ) |
| |
| |
| | | | 51,482 | | | | 455,564 | | | | 20,613 | | | | 147,881 | |
| |
| |
Institutional Shares | | | | | | | | | | | | | | | | |
| Shares sold | | | 1,112,546 | | | | 9,805,802 | | | | 6,326,392 | | | | 44,551,994 | |
| Reinvestment of distributions | | | 917,929 | | | | 7,710,604 | | | | 733,403 | | | | 5,067,812 | |
| Shares redeemed | | | (2,696,987 | ) | | | (23,411,023 | ) | | | (7,797,953 | ) | | | (55,847,106 | ) |
| |
| |
| | | | (666,512 | ) | | | (5,894,617 | ) | | | (738,158 | ) | | | (6,227,300 | ) |
| |
| |
Class IR Shares(a) | | | | | | | | | | | | | | | | |
| Shares sold | | | 8,830 | | | | 77,500 | | | | 143 | | | | 1,000 | |
| Reinvestment of distributions | | | 5 | | | | 38 | | | | — | | | | — | |
| |
| |
| | | | 8,835 | | | | 77,538 | | | | 143 | | | | 1,000 | |
| |
| |
NET DECREASE | | | (331,451 | ) | | $ | (2,945,422 | ) | | | (1,713,668 | ) | | $ | (13,226,551 | ) |
| |
| |
| | |
| (a) | | Commenced operations on August 31, 2010. |
GOLDMAN SACHS STRUCTURED INTERNATIONAL EQUITY FUNDS
Fund Expenses — Six Month Period Ended April 30, 2011 (Unaudited)
As a shareholder of Class A, Class B, Class C, Institutional, Service, Class IR or Class R Shares of a Fund you incur two types of costs: (1) transaction costs, including sales charges on purchase payments (with respect to Class A Shares) and contingent deferred sales charges on redemptions (with respect to Class B and Class C Shares), and (2) ongoing costs, including management fees; distribution and service (12b-1) fees (with respect to Class A, Class B, Class C and Class R 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, Service, Class IR or Class R 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 November 1, 2010 through April 30, 2011.
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 net 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.
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | Structured Emerging Markets Equity Fund | | | Structured International Equity Fund | | | Structured International Small Cap Fund |
| | | | Beginning
| | | Ending
| | | Expenses
| | | Beginning
| | | | | | Expenses
| | | Beginning
| | | Ending
| | | Expenses
|
| | | | Account
| | | Account
| | | Paid for the
| | | Account
| | | Ending
| | | Paid for the
| | | Account
| | | Account
| | | Paid for the
|
| | | | Value
| | | Value
| | | 6 Months Ended
| | | Value
| | | Account Value
| | | 6 Months Ended
| | | Value
| | | Value
| | | 6 Months Ended
|
| Share Class | | | 11/01/10 | | | 4/30/11 | | | 4/30/11* | | | 11/01/10 | | | 4/30/11 | | | 4/30/11* | | | 11/01/10 | | | 4/30/11 | | | 4/30/11* |
Class A | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| Actual | | | $ | 1,000 | | | | $ | 1,103.20 | | | | $ | 7.56 | | | | $ | 1,000 | | | | $ | 1,120.10 | | | | $ | 6.57 | | | | $ | 1,000 | | | | $ | 1,190.10 | | | | $ | 7.06 | |
| Hypothetical 5% return | | | | 1,000 | | | | | 1,017.60 | + | | | | 7.25 | | | | | 1,000 | | | | | 1,018.60 | + | | | | 6.26 | | | | | 1,000 | | | | | 1,018.35 | + | | | | 6.51 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Class B | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| Actual | | | | N/A | | | | | N/A | | | | | N/A | | | | | 1,000 | | | | | 1,115.20 | | | | | 10.49 | | | | | N/A | | | | | N/A | | | | | N/A | |
| Hypothetical 5% return | | | | N/A | | | | | N/A | | | | | N/A | | | | | 1,000 | | | | | 1,014.88 | + | | | | 9.99 | | | | | N/A | | | | | N/A | | | | | N/A | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Class C | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| Actual | | | | 1,000 | | | | | 1,099.40 | | | | | 11.45 | | | | | 1,000 | | | | | 1,115.50 | | | | | 10.49 | | | | | 1,000 | | | | | 1,184.80 | | | | | 11.11 | |
| Hypothetical 5% return | | | | 1,000 | | | | | 1,013.88 | + | | | | 10.99 | | | | | 1,000 | | | | | 1,014.88 | + | | | | 9.99 | | | | | 1,000 | | | | | 1,014.63 | + | | | | 10.24 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Institutional | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| Actual | | | | 1,000 | | | | | 1,105.80 | | | | | 5.48 | | | | | 1,000 | | | | | 1,122.40 | | | | | 4.47 | | | | | 1,000 | | | | | 1,193.30 | | | | | 4.89 | |
| Hypothetical 5% return | | | | 1,000 | | | | | 1,019.59 | + | | | | 5.26 | | | | | 1,000 | | | | | 1,020.58 | + | | | | 4.26 | | | | | 1,000 | | | | | 1,020.33 | + | | | | 4.51 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Service | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| Actual | | | | N/A | | | | | N/A | | | | | N/A | | | | | 1,000 | | | | | 1,119.10 | | | | | 7.09 | | | | | N/A | | | | | N/A | | | | | N/A | |
| Hypothetical 5% return | | | | N/A | | | | | N/A | | | | | N/A | | | | | 1,000 | | | | | 1,018.10 | + | | | | 6.76 | | | | | N/A | | | | | N/A | | | | | N/A | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Class IR | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| Actual | | | | 1,000 | | | | | 1,102.90 | | | | | 6.26 | | | | | 1,000 | | | | | 1,122.00 | | | | | 5.26 | | | | | 1,000 | | | | | 1,191.60 | | | | | 5.71 | |
| Hypothetical 5% return | | | | 1,000 | | | | | 1,018.84 | + | | | | 6.01 | | | | | 1,000 | | | | | 1,019.84 | + | | | | 5.01 | | | | | 1,000 | | | | | 1,019.59 | + | | | | 5.26 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Class R | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| Actual | | | | N/A | | | | | N/A | | | | | N/A | | | | | 1,000 | | | | | 1,119.90 | | | | | 7.88 | | | | | N/A | | | | | N/A | | | | | N/A | |
| Hypothetical 5% return | | | | N/A | | | | | N/A | | | | | N/A | | | | | 1,000 | | | | | 1,017.36 | + | | | | 7.50 | | | | | N/A | | | | | N/A | | | | | N/A | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | |
| * | | Expenses for each share class are calculated using each Fund’s annualized net expense ratio for each class, which represents the ongoing expenses as a percentage of net assets for the six months ended April 30, 2011. 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 | | Class IR | | Class R |
| |
| Structured Emerging Markets Equity | | | 1.45 | % | | | N/A | | | | 2.20 | % | | | 1.05 | % | | | N/A | | | | 1.20 | % | | | N/A | |
| Structured International Equity | | | 1.25 | | | | 2.00 | % | | | 2.00 | | | | 0.85 | | | | 1.35 | % | | | 1.00 | | | | 1.50 | % |
| Structured International Small Cap | | | 1.30 | | | | N/A | | | | 2.05 | | | | 0.90 | | | | N/A | | | | 1.05 | | | | N/A | |
| |
| |
| | |
| + | | Hypothetical expenses are based on each Fund’s actual annualized net expense rations and an assumed rate of return of 5% per year before taxes. |
72
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 Divisionof 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 $714.6 billion in assets under management as of March 31, 2011 — our investment professionals bring firsthand knowledge of local markets to every investment decision. Goldman Sachs Asset Management ranks in the top 10 asset management firms worldwide, based on assets under management.1
| |
| OVERVIEW OF GOLDMAN SACHS FUNDS | |
| | | | | |
Money Market2
Financial Square Fundssm
n Financial Square Tax-Exempt Funds
n Financial Square Federal Fund
n Financial Square Government Fund
n Financial Square Money Market Fund
n Financial Square Prime Obligations Fund
n Financial Square Treasury Instruments Fund
n Financial Square Treasury Obligations Fund
Fixed Income
Short Duration and Government
n Enhanced Income Fund
n Ultra-Short Duration Govt. Fund
n Short Duration Government Fund
n Government Income Fund
n Inflation Protected Securities Fund
Multi-Sector
n Core Fixed Income Fund
n Core Plus Fixed Income Fund
n Global Income Fund
n Strategic Income Fund
Municipal and Tax-Free
n High Yield Municipal Fund
n Municipal Income Fund
n Short Duration Tax-Free Fund
Single Sector
n Investment Grade Credit Fund
n U.S. Mortgages Fund
n High Yield Fund
n High Yield Floating Rate Fund | | n Emerging Markets Debt Fund
n Local Emerging Markets Debt Fund
Corporate Credit
n Credit Strategies Fund
Fundamental Equity
n Growth and Income Fund
n Small Cap Value Fund
n Mid Cap Value Fund
n Large Cap Value Fund
n Capital Growth Fund
n Strategic Growth Fund
n Small/Mid Cap Growth Fund
n Flexible Cap Growth Fund3
n Concentrated Growth Fund
n Technology Tollkeeper Fundsm
n Growth Opportunities Fund
n U.S. Equity Fund
Structured Equity
n Balanced Fund
n Structured Small Cap Equity Fund
n Structured U.S. Equity Fund
n Structured Small Cap Growth Fund
n Structured Large Cap Growth Fund
n Structured Large Cap Value Fund
n Structured Small Cap Value Fund
n Structured Tax-Managed Equity Fund
n Structured International Tax-Managed Equity Fund
n U.S. Equity Dividend and Premium Fund
n International Equity Dividend and Premium Fund | | n Structured International Small Cap Fund
n Structured International Equity Fund
n Structured Emerging Markets Equity Fund
Fundamental Equity International
n Strategic International Equity Fund
n Concentrated International Equity Fund
n International Small Cap Fund
n Asia Equity Fund
n Emerging Markets Equity Fund
n BRIC Fund (Brazil, Russia, India, China)
n N-11 Equity Fund
n Brazil Equity Fund
n China Equity Fund
n Korea Equity Fund
Select Satellite4
n Real Estate Securities Fund
n International Real Estate Securities Fund
n Commodity Strategy Fund
n Dynamic Allocation Fund
n Absolute Return Tracker Fund
Total Portfolio Solutions4
n Balanced Strategy Portfolio
n Growth and Income Strategy Portfolio
n Growth Strategy Portfolio
n Equity Growth Strategy Portfolio
n Income Strategies Portfolio
n Satellite Strategies Portfolio
n Retirement Strategies Portfolios
n Enhanced Dividend Global Equity Portfolio
n Tax Advantaged Global Equity Portfolio |
Firmwide assets under management includes assets managed by GSAM and its Investment Advisory Affiliates.
| |
| 1 | Ranking for Goldman Sachs Group, Inc., includes Goldman Sachs Asset Management, Private Wealth Management and Merchant Banking 2009 year-end assets. Ranked 9th in total assets worldwide. Pensions&Investments, June 2010. |
| 2 | An investment in a money market fund is neither insured nor guaranteed by the Federal Deposit Insurance Corporation (“FDIC”) 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. |
| 3 | Effective March 31, 2011, the Goldman Sachs All Cap Growth Fund was renamed the Goldman Sachs Flexible Cap Growth Fund. |
| 4 | Individual Funds within the Total Portfolio Solutions and Select Satellite 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 Total Portfolio Solutions or Select Satellite category. |
The Goldman Sachs Technology Tollkeeper Fundsm and Financial Square Fundssm are registered service marks of Goldman, Sachs & Co.
| | | |
TRUSTEES
Ashok N. Bakhru, Chairman
Donald C. Burke
John P. Coblentz, Jr.
Diana M. Daniels
Joseph P. LoRusso
James A. McNamara
Jessica Palmer
Alan A. Shuch
Richard P. Strubel | | OFFICERS
James A. McNamara, President
George F. Travers, Principal Financial Officer
Peter V. Bonanno, Secretary
Scott M. McHugh, Treasurer |
| | | |
GOLDMAN, SACHS & CO.
Distributor and Transfer Agent | | GOLDMAN SACHS ASSET MANAGEMENT, L.P.
Investment Adviser |
Visit our Website at www.goldmansachsfunds.com to obtain the most recent month-end returns.
Goldman Sachs Asset Management, L.P. 200 West Street, New York, New York 10282
The reports concerning the Funds included in this shareholder report may contain certain forward-looking statements about the factors that may affect the performance of the Funds in the future. These statements are based on Fund management’s predictions and expectations concerning certain future events and their expected impact on the Funds, such as performance of the economy as a whole and of specific industry sectors, changes in the levels of interest rates, the impact of developing world events, and other factors that may influence the future performance of the Funds. Management believes these forward-looking statements to be reasonable, although they are inherently uncertain and difficult to predict. Actual events may cause adjustments in portfolio management strategies from those currently expected to be employed.
A description of the policies and procedures that the Funds use to determine how to vote proxies relating to portfolio securities and information regarding how a Fund voted proxies relating to portfolio securities during the most recent 12-month period ended June 30 is available (I) without charge, upon request by calling 1-800-526-7384 (for Retail Shareholders) or 1-800-621-2550 (for Institutional Shareholders); and (II) on the Securities and Exchange Commission Web site at http://www.sec.gov.
The Funds file their complete schedule of portfolio holdings with the Securities and Exchange Commission (“SEC”) for the first and third quarters of each fiscal year on Form N-Q. The Funds’ 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, Form N-Q may be obtained upon request and without charge by calling 1-800-526-7384 (for Retail Shareholders) or 1-800-621-2550 (for Institutional Shareholders).
Holdings and allocations shown are unaudited, and 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.
The Global Industry Classification Standard (GICS) was developed by and is the exclusive property and a service mark of Morgan Stanley Capital International Inc. (MSCI) and Standard & Poor’s, a division of The McGraw-Hill Companies, Inc. (S&P) and is licensed for use by Goldman Sachs. Neither MSCI, S&P nor any other party involved in making or compiling the GICS or any GICS classifications makes any express or implied warranties or representations with respect to such standard or classification (or the results to be obtained by the use thereof), and all such parties hereby expressly disclaim all warranties of originality, accuracy, completeness, merchantability or fitness for a particular purpose with respect to any of such standard or classification. Without limiting any of the foregoing, in no event shall MSCI, S&P, any of their affiliates or any third party involved in making or compiling the GICS or any GICS classifications have any liability for any direct, indirect, special, punitive, consequential or any other damages (including lost profits) even if notified of the possibility of such damages.
The portfolio risk management process includes an effort to monitor and manage risk, but does not imply low risk.
This material is not authorized for distribution to prospective investors unless preceded or accompanied by a current Prospectus or summary prospectus, if applicable. Investors should consider a Fund’s objective, risks, and charges and expenses, and read the summary prospectus, if available, and/or the Prospectus carefully before investing or sending money. The summary prospectus, if available, and the Prospectus contain this and other information about a Fund and may be obtained from your authorized dealer or from Goldman, Sachs & Co. by calling (retail – 1-800-526-7384) (institutional – 1-800-621-2550).
© 2011 Goldman Sachs. All rights reserved. 54354.MF.MED.TMPL / 6 / 2011 STINTSAR11 / 33K
| | | |
| | | The information required by this Item is only required in an annual report on this Form N-CSR. |
| | | |
| 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. |
| | | |
| | | Not applicable. |
| | | |
| ITEM 6. | | SCHEDULE OF INVESTMENTS. |
| | | |
| | | Schedule of Investments is included as part of the Report to Stockholders filed under Item 1. |
| | | |
| ITEM 7. | | DISCLOSURE OF PROXY VOTING POLICIES AND PROCEDURES FOR CLOSED-END MANAGEMENT INVESTMENT COMPANIES. |
| | | |
| | | Not applicable. |
| | | |
| ITEM 8. | | PORTFOLIO MANAGERS OF CLOSED-END MANAGEMENT INVESTMENT COMPANIES. |
| | | |
| | | Not applicable. |
| | | |
| ITEM 9. | | PURCHASES OF EQUITY SECURITIES BY CLOSED-END MANAGEMENT INVESTMENT COMPANY AND AFFILIATED PURCHASERS. |
| | | |
| | | Not applicable. |
| | | |
| ITEM 10. | | SUBMISSION OF MATTERS TO A VOTE OF SECURITY HOLDERS.
There have been no material changes to the procedures by which shareholders may recommend nominees to the registrant’s board of trustees. |
| | | |
| | | |
| ITEM 11. | | CONTROLS AND PROCEDURES. |
| | | |
| | (a) | | The registrant’s principal executive and principal financial officers, or persons performing similar functions have concluded that the registrant’s disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940, as amended (the “1940 Act”)) are effective as of a date within 90 days of the filing of this report that includes the disclosure required by this paragraph, based on the evaluation of these controls and procedures required by Rule 30a-3(b) under the 1940 Act and 15d-15(b) under the Securities Exchange Act of 1934, as amended. |
| | | |
| | (b) | | There were no changes in the registrant’s internal control over financial reporting (as defined in Rule 30a-3(d) under the 1940 Act) that occurred during the registrant’s second fiscal quarter of the period covered by this report that have materially affected, or are reasonably likely to materially affect, the registrant’s internal control over financial reporting. |
| | | |
| | (a)(1) | | The information required by this Item is only required in connection with an annual report on this Form N-CSR. |
| |
| | (a)(2) | | Exhibit 99.CERT | Certifications pursuant to Section 302 of the Sarbanes-Oxley Act of 2002 filed herewith. |
| | | |
| | (b) | | Exhibit 99.906CERT | Certifications pursuant to Section 906 of the Sarbanes-Oxley Act of 2002 filed herewith. |
SIGNATURES
| | | | Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized. |
| | | | | | | |
| | | | | Goldman Sachs Trust | | |
| | | | | | | |
| By: | | | | /s/ James A. McNamara | | |
| | | | |
| | |
| | | | | James A. McNamara | | |
| | | | | President/Principal Executive Officer | | |
| | | | | Goldman Sachs Trust | | |
| | | | | | | |
| Date: | | | | June 19, 2011 | | |
| | | | Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated. |
| | | | | | | |
| By: | | | | /s/ James A. McNamara | | |
| | | | |
| | |
| | | | | James A. McNamara | | |
| | | | | President/Principal Executive Officer | | |
| | | | | Goldman Sachs Trust | | |
| | | | | | | |
| Date: | | | | June 19, 2011 | | |
| | | | | | | |
| By: | | | | /s/ George F. Travers | | |
| | | | |
| | |
| | | | | George F. Travers | | |
| | | | | Principal Financial Officer | | |
| | | | | Goldman Sachs Trust | | |
| | | | | | | |
| Date: | | | | June 19, 2011 | | |
