Goldman Sachs High Yield Instl NCSRS Certified semi-annual shareholder report (management investment company)

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)


Copies to:
Caroline Kraus		Geoffrey R.T. Kenyon, Esq.
Goldman, Sachs & Co.		Dechert LLP
200 West Street		200 Clarendon Street
New York, New York 10282		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: March 31

Date of reporting period: September 30, 2012

ITEM 1.

REPORTS TO STOCKHOLDERS.

The Semi-Annual Report to Stockholders is filed herewith.

Goldman Sachs Funds

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Semi-Annual Report				September 30, 2012

				Short Duration and Government Fixed Income Funds
				Enhanced Income
				Government Income
				High Quality Floating Rate*
				Inflation Protected Securities
				Short Duration Government
				Short Duration Income

*Effective July 27, 2012, the Goldman Sachs Ultra-Short Duration Government Fund was renamed the Goldman Sachs High Quality Floating Rate Fund.

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Goldman Sachs Short Duration and Government Fixed Income Funds

ENHANCED INCOME

GOVERNMENT INCOME

HIGH QUALITY FLOATING RATE

INFLATION PROTECTED SECURITIES

SHORT DURATION GOVERNMENT

SHORT DURATION INCOME


TABLE OF CONTENTS

Principal Investment Strategies and Risks			1

Investment Process			3

Market Review			4

Portfolio Management Discussions and Performance Summaries			7

Schedules of Investments			34

Financial Statements			70

Financial Highlights			78

Notes to Financial Statements			90

Other Information			115



NOT FDIC-INSURED	May Lose Value	No Bank Guarantee

GOLDMAN SACHS SHORT DURATION AND GOVERNMENT FIXED INCOME FUNDS

Principal Investment Strategies and Risks

This is not a complete list of risks that may affect the Funds. For additional information concerning the risks applicable to the Funds, please see the Funds’ Prospectuses.

The Goldman Sachs Enhanced Income Fund invests primarily in a portfolio of U.S. dollar denominated securities, including non-mortgage U.S. government securities, corporate notes, commercial paper, fixed and floating rate asset-backed securities and foreign securities. The Fund’s investments in fixed income securities are subject to the risks associated with debt securities generally, including credit, liquidity and interest rate risk. Any guarantee on U.S. government securities applies only to the underlying securities of the Fund if held to maturity and not to the value of the Fund’s shares. The Fund may invest in foreign securities, which may be more volatile and less liquid than investments in U.S. securities and will be subject to the risks of adverse economic or political developments. Derivative instruments may involve a high degree of financial risk. These risks include 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; the risk of default by a counterparty; and liquidity risk. At times, the Fund may be unable to sell certain of its investments without a substantial drop in price, if at all.

The Goldman Sachs Government Income Fund invests primarily in U.S. government securities and in repurchase agreements collateralized by such securities. The Fund’s investments in fixed income securities are subject to the risks associated with debt securities generally, including credit, liquidity and interest rate risk. The Fund’s net asset value and yield are not guaranteed by the U.S. government or by its agencies, instrumentalities or sponsored enterprises. Any guarantee on U.S. government securities applies only to the underlying securities of the Fund if held to maturity and not to the value of the Fund’s shares. The Fund’s investments in mortgage-backed securities are also subject to prepayment risk (i.e., the risk that in a declining interest rate environment, issuers may pay principal more quickly than expected, causing the Fund to reinvest proceeds at lower prevailing interest rates). Derivative instruments may involve a high degree of financial risk. These risks include 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; the risk of default by a counterparty; and liquidity risk. At times, the Fund may be unable to sell certain of its investments without a substantial drop in price, if at all.

The Goldman Sachs High Quality Floating Rate Fund invests primarily in high quality floating rate or variable rate obligations, and the Fund considers “high quality” obligations to be (i) those rated AAA or Aaa by a nationally recognized statistical rating organization at the time of purchase (or, if unrated, determined by the Investment Adviser to be of comparable quality), and (ii) U.S. government securities, including mortgage-backed securities, and repurchase agreements collateralized by U.S. government securities. The Fund’s investments in fixed income securities are subject to the risks associated with debt securities generally, including credit, liquidity and interest rate risk. Any guarantee on U.S. government securities applies only to the underlying securities of the Fund if held to maturity and not to the value of the Fund’s shares. The Fund’s investments in mortgage-backed securities are also subject to prepayment risk (i.e., the risk that in a declining interest rate environment, issuers may pay principal more quickly than expected, causing the Fund to reinvest proceeds at lower prevailing interest rates). The Fund’s investments in foreign securities may be more volatile and less liquid than investments in U.S. securities and will be subject to the risks of adverse economic or political developments. Derivative instruments may involve a high degree of financial risk. These risks include 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; the risk of default by a counterparty; and liquidity risk. At times, the Fund may be unable to sell certain of its investments without a substantial drop in price, if at all.

GOLDMAN SACHS SHORT DURATION AND GOVERNMENT FIXED INCOME FUNDS

The Goldman Sachs Inflation Protected Securities Fund invests primarily in inflation protected securities (IPS) of varying maturities issued by the U.S. Treasury and other U.S. and non-U.S. Government agencies and corporations. Fixed income securities are subject to the risks associated with debt securities generally, including credit, liquidity and interest rate risk. IPS are fixed income securities whose interest and principal payments are periodically adjusted according to the rate of inflation. The market value of IPS is not guaranteed, and will fluctuate in response to changes in real interest rates. The market for IPS may be less developed or liquid, and more volatile, than certain other securities markets. If deflation were to occur, IPS would likely decline in price. Any guarantee on U.S. government securities applies only to the underlying securities of the Fund if held to maturity and not to the value of the Fund’s shares.

The Goldman Sachs Short Duration Government Fund invests primarily in U.S. government securities and in repurchase agreements collateralized by such securities. The Fund’s investments in fixed income securities are subject to the risks associated with debt securities generally, including credit, liquidity and interest rate risk. The Fund’s net asset value and yield are not guaranteed by the U.S. government or by its agencies, instrumentalities or sponsored enterprises. Any guarantee on U.S. government securities applies only to the underlying securities of the Fund if held to maturity and not to the value of the Fund’s shares. The Fund’s investments in mortgage-backed securities are also subject to prepayment risk (i.e., the risk that in a declining interest rate environment, issuers may pay principal more quickly than expected, causing the Fund to reinvest proceeds at lower prevailing interest rates). Derivative instruments may involve a high degree of financial risk. These risks include 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; the risk of default by a counterparty; and liquidity risk. At times, the Fund may be unable to sell certain of its investments without a substantial drop in price, if at all.

The Goldman Sachs Short Duration Income Fund invests primarily in U.S. or foreign fixed income securities, including U.S. government securities, corporate debt securities, collateralized loan obligations, agency and privately issued mortgage-backed securities, asset-backed securities, high yield non-investment grade securities, bank loans and emerging countries debt. The Fund’s investments in fixed income securities are subject to the risks associated with debt securities generally, including credit, liquidity, interest rate, call and extension risk. Any guarantee on U.S. government securities applies only to the underlying securities of the Fund if held to maturity and not to the value of the Fund’s shares. The Fund’s investments in mortgage-backed securities are also subject to prepayment risk (i.e., the risk that in a declining interest rate environment, issuers may pay principal more quickly than expected, causing the Fund to reinvest proceeds at lower prevailing interest rates). High yield, lower rated securities involve greater price volatility and present greater risks than higher rated fixed income securities. Indirect loan participations may subject the Fund to greater delays, expenses and risks than direct obligations in the case that a borrower fails to pay scheduled principal and interest. The Fund may invest in foreign and emerging markets securities, which may be more volatile and less liquid than investments in U.S. securities and will be subject to the risks of currency fluctuations and adverse economic and political developments. Derivative instruments may involve a high degree of financial risk. These risks include 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; risks of default by a counterparty; and liquidity risk. At times, the Fund may be unable to sell certain of its investments without a substantial drop in price, if at all. The Fund’s use of derivatives may result in leverage, which can make the Fund more volatile. The Fund’s investments in other investment companies subject it to additional expenses. The Fund may be more sensitive to adverse economic, business or political developments if it invests a substantial portion of its assets in bonds of similar projects or in particular types of municipal securities.

GOLDMAN SACHS SHORT DURATION AND GOVERNMENT FIXED INCOME FUNDS

What Differentiates Goldman Sachs Asset Management’s Fixed Income Investment Process?

At Goldman Sachs Asset Management, L.P. (“GSAM”), the goal of our fixed income investment process is to provide consistent, strong performance by actively managing our portfolios within a research-intensive, risk-managed framework.

A key element of our fixed income investment philosophy is to evaluate the broadest global opportunity set to capture relative value across sectors and instruments. Our globally integrated investment process involves managing dynamically along the risk/return spectrum, as we continue to develop value-added strategies through:

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Assess relative value among securities and sectors

Leverage the vast resources of GSAM in selecting securities for each portfolio

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Team approach to decision making

Manage risk by avoiding significant sector and interest rate bets

Careful management of yield curve strategies — while closely managing portfolio duration

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Fixed Income portfolios that:

Include domestic and global investment options, income opportunities, and access to areas of specialization such as high yield

Capitalize on GSAM’s industry-renowned credit research capabilities

Use a risk-managed framework to seek total return, recognizing the importance of investors’ capital accumulation goals as well as their need for income

MARKET REVIEW

Goldman Sachs Short Duration and Government Fixed Income Funds

Market Review

Fixed income market performance during the six months ended September 30, 2012 (the “Reporting Period”) was strong but volatile, as corporate bonds and other riskier sectors of the market posted solid gains even as government bond yields fell to new lows.

Riskier fixed income assets, i.e., non-U.S. Treasury sectors, began the Reporting Period under pressure, as U.S. economic data softened in April after a strong start to the year 2012. In particular, March payroll data released in early April showed a significant slowing in job gains. In January and February, payrolls had climbed by more than 200,000 jobs per month, but the March report showed a gain of just more than 100,000 jobs. That report set the tone for April fixed income performance, as U.S. Treasury yields declined, and non-U.S. Treasury sectors underperformed. (Remember, there is usually an inverse relationship between bond prices and yield movements, such that bond prices rise when yields decline and vice versa.)

The performance trend continued in May, as the benchmark 10-year U.S. Treasury yield fell to a new low of 1.56%, and non-U.S. Treasury sectors of the fixed income market continued to perform poorly. Economic data was again a key driver of the weakness in riskier assets, as U.S. payrolls added just 69,000 jobs, less than half the expected gain. Concerns about Europe, and the health of the Spanish banking system in particular, also weighed on investors’ risk appetites. Although Spain announced several measures in May to support its banks, Spanish government bond yields spiked on investor worries about the country’s ability to support its banks given its own debt challenges.

June marked a turning point for non-U.S. Treasury sectors, although U.S. Treasury yields continued to decline. Developments in Europe were again a key driver of risk sentiment, as Greece held a presidential election that raised concerns about the country potentially exiting the Eurozone, and Spain finally appealed to the European Union for assistance for its banking system. Continued weakness in U.S. and global economic data also weighed on sentiment. As a result, U.S. Treasury yields continued to decline, but non-U.S. Treasury sectors gained ground during the month as Greece elected a pro-Eurozone administration and the European Union agreed to provide support to Spain’s banking system. Even as government bond yields hit new record lows, investors began moving back into higher-yielding corporate and emerging market bonds.

Non-U.S. Treasury sectors continued to outperform U.S. Treasuries through the remainder of the Reporting Period, largely as a function of the market searching for yield in an environment of extremely low interest rates. In addition, market expectations for more quantitative easing by the U.S. Federal Reserve (the “Fed”) increased in August in light of minutes from the August 1, 2012 Federal Open Market Committee meeting and Fed Chairman Ben Bernanke’s speech at the Fed’s annual conference in Jackson Hole, Wyoming. Overall economic growth in the U.S. remained sluggish, with housing a key exception as the Standard & Poor’s/Case-Shiller Home Price Index data showed the strongest house price gains since the index’s inception.

In September, the Fed exceeded most expectations for additional quantitative easing, with an announcement of open-ended asset purchases, dubbed QE3, and an extension of the likely period of low short-term interest rates from mid-2014 to at least mid-2015. With the Fed holding short-term interest rates at low levels, demand for higher yielding sectors remained strong. As evidence, the high yield corporate bond sector received record investment inflows on a year-to-date basis during September.

MARKET REVIEW

Looking Ahead

Going forward, we believe aggressive central bank action may not provide much of a boost to global economic growth, but we think recent policy measures significantly reduce the downside risks. The Fed has committed to purchase bonds until the U.S. labor market improves substantially, while the European Central Bank has committed to unlimited bond purchases to preserve the euro. These open-ended commitments are a significant departure from previous central bank policies, which focused on specific amounts of bond purchases or liquidity support. We not only doubt these measures will have a significant positive effect on economic growth, but we also worry about the longer-term consequences of further central bank balance sheet expansion. However, in the intermediate term, we think the open-ended nature of the Fed and European Central Bank bond purchases has meaningfully reduced the probability — and the potential severity — of downside economic and market scenarios.

In the U.S., we believe economic growth could see some benefit if there is a reduction in downside scenarios related to Europe and resolution of the uncertainties related to the fiscal cliff and November elections. (The major components of the so-called fiscal cliff include tax increases and spending cuts totaling approximately $576 billion scheduled to take effect on January 1, 2013.) The U.S. corporate sector has continued to stockpile cash and defer hiring and investment as a form of self-insurance against risk and uncertainty. However, the timeline for resolving uncertainties around the fiscal cliff and election is finite in our view. One way or another, within a few months, businesses will have a much better sense of U.S. fiscal policy and the regulatory regime going forward. We think politicians will ultimately defer most of the impact of the fiscal cliff, leaving the U.S. with fiscal restraint¹ of about 1.5% of Gross Domestic Product (“GDP”) in 2013, which is close to the level of fiscal restraint seen at the end of the Reporting Period. We believe the combination of a lower than feared fiscal impact, reduced risk of a crisis in Europe and the Fed’s additional support for the U.S. housing recovery should provide modest upside potential for U.S. economic growth in 2013.

China’s economic slowdown, on the other hand, remains a source of greater uncertainty, in our view, as policymakers attempt to transition the Chinese economy from growth driven by exports and investment to growth driven by domestic consumption. China’s leaders have said economic growth will slow, and policymakers are targeting GDP of 7.5% in their latest five-year plan, which is close to the economy’s growth rate over the first half of 2012. Policymakers appear to be taking a conservative approach to stimulating economic growth and are focusing on measures such as subsidies for energy-efficient appliances rather than large infrastructure projects. China has virtually no track record when it comes to stimulating consumption, thereby raising concerns the economic slowdown could be deeper than targeted. That said, we are cautious about overreacting to the short-term trend in Chinese economic growth given policymakers’ long-term focus and 7.5% GDP growth target. Should economic growth slow more significantly, we would expect additional policy responses.

Fiscal restraint in this context refers to the net dollar amount of tax increase and/or government spending decrease, expressed as a percent of the dollar amount of US GDP, for the purpose of indicating the size of the change in taxes and government spending relative to the size of the economy.

MARKET REVIEW

From an investment perspective, we believe the policy and economic growth backdrop anticipated for the coming months favors U.S. non-Treasury sectors. We think strong economic growth is probably the only scenario that could lead central banks to allow a significant rise in real yields, and we believe strong economic growth is a low probability. As a result, we expect yields on government bonds to generally remain in the range seen at the end of the Reporting Period, and we favor a tactical approach to duration management. We also think U.S. corporate credit valuations were attractive relative to fundamentals at the end of the Reporting Period, due largely to risk premiums for European tail risk. (Here, tail risk simply means the risk or probability of rare events.) Should European risk decline and government bond yields remain low as expected, we think U.S. corporate credit should benefit from investor demand for yield as well as from favorable fundamentals. In emerging markets, we do not see the slowdown in China leading to a boom/bust cycle in emerging countries broadly. We believe emerging market countries with good economic growth and strong balance sheets should continue to perform well.

The economic and market forecasts presented herein have been generated by GSAM for informational purposes as of the date of this presentation. They are based on proprietary models and there can be no assurance that the forecasts will be achieved. Please see additional disclosures at the end of this presentation.

PORTFOLIO RESULTS

Goldman Sachs Enhanced Income Fund

Investment Objective

The Fund seeks to generate return in excess of traditional money market products while maintaining an emphasis on preservation of capital and liquidity.

Portfolio Management Discussion and Analysis

Below, the Goldman Sachs U.S. Fixed Income Investment Management Team discusses the Goldman Sachs Enhanced Income Fund’s (the “Fund”) performance and positioning for the six-month period ended September 30, 2012 (the “Reporting Period”).

How did the Fund perform during the Reporting Period?

During the Reporting Period, the Fund’s Class A, B, Institutional, Administration and IR Shares generated cumulative total returns, without sales charges, of 0.59%, 0.26%, 0.76%, 0.63% and 0.71%, respectively. These returns compare to the 0.14% cumulative total return of the Goldman Sachs Enhanced Income Fund Composite Index (the “Enhanced Income Composite”) during the same period. The Enhanced Income Composite is comprised 50% of the Six-Month U.S. Treasury Bill Index and 50% of the One-Year U.S. Treasury Note Index, which generated cumulative total returns of 0.11% and 0.18%, respectively, over the same time period.

What key factors were responsible for the Fund’s performance during the Reporting Period?

Both top-down and bottom-up strategies had an impact on the Fund’s performance during the Reporting Period. Within our top-down strategies, our duration and yield curve positioning strategy contributed positively to Fund performance. Duration is a measure of the Fund’s sensitivity to changes in interest rates. Yield curve indicates the spectrum of maturities within a particular sector. Our cross-sector strategy generated mixed results, but also contributed positively to the Fund’s results during the Reporting Period overall. Our cross-sector strategy is one in which we invest Fund assets across a variety of fixed income sectors, including some that may not be included in the Fund’s benchmark. Bottom-up individual issue selection amongst corporate bonds, covered bonds and government/agency securities also boosted results.

Which fixed income market sectors most significantly affected Fund performance?

Sector positioning contributed positively to the Fund’s results during the Reporting Period, with allocations to corporate bonds and covered bonds helping most. The positive effect of the Fund’s allocation to covered bonds, which are debt securities backed by cash flows from mortgage loans or public sector loans, was primarily seen late in the Reporting Period, as risk assets, or non-U.S. Treasury sectors, rallied during the third quarter of 2012. Partially offsetting this positive contribution was the detracting effect of an underweighted allocation to U.S. government securities, held during April and May 2012 when interest rates fell significantly on deteriorating economic data, political challenges in Europe and a possibility of a Greek exit from the European Union. An exposure to high quality spread, or non-U.S. Treasury, sectors also detracted from the Fund’s results early in the Reporting Period, as investors were then looking for more safe-haven assets. Developments in Europe in June, supported by additional easing from the European Central Bank and Federal Reserve (the “Fed”), pushed interest rates higher off of their historic lows and sparked a rally in risk assets later in the Reporting Period, and the Fund’s overweighted allocations to corporate bonds, covered bonds, asset-backed securities and agency securities then added value.

Our individual security selection strategies were the primary contributor to the Fund’s relative results during the Reporting Period, especially individual selection of corporate bonds, U.S. government securities and covered bonds. Within the corporate bond sector, a focus on short-dated, high credit quality issuers within the financials industry, added most to relative performance. Among U.S. government securities, a bias toward short-dated securities helped most.

PORTFOLIO RESULTS

Did the Fund’s duration and yield curve positioning strategy help or hurt its results during the Reporting Period?

Tactical management of the Fund’s duration and yield curve positioning helped its results during the Reporting Period. A steeper yield curve bias benefited the Fund’s performance, particularly in September when aggressive quantitative easing by the Fed pushed the inflation premium at the long-term end of the yield curve higher. However, such positive contribution was partially offset by the detracting effect of having a shorter duration than the benchmark index, especially in the five-year segment of the U.S. Treasury yield curve, during the early months of the Reporting Period. Interest rates declined significantly during April and May 2012, with the 10-year U.S. Treasury yield dropping 66 basis points to 1.56%. (A basis point is 1/100th of a percentage point.) We shifted to a long duration position overall relative to the benchmark index in mid-June and extended the duration modestly further by the end of the Reporting Period. The Fund ended the Reporting Period with a longer duration position than the benchmark index. As mentioned earlier, duration is a measure of the Fund’s sensitivity to changes in interest rates. Yield curve indicates the spectrum of maturities within a particular sector.

How did the Fund use derivatives and similar instruments during the Reporting Period?

The Fund used Treasury futures and Eurodollar futures during the Reporting Period for the purpose of managing the duration and term structure of the Fund. (Term structure, most often depicted as a yield curve, refers to the term structure of interest rates, which is the relationship between the yield to maturity and the time to maturity for pure discount bonds.) The Fund employed credit default swaps to manage the credit profile of the Fund.

Were there any notable changes in the Fund’s weightings during the Reporting Period?

The Fund’s exposure to U.S. government-guaranteed obligations, investment grade corporate bonds and covered bonds decreased during the Reporting Period. A corresponding increase in allocation was concentrated in U.S. Treasury securities and asset-backed securities. Additionally, as indicated earlier, we shifted the Fund’s duration positioning during the Reporting Period as market conditions changed. At the start of the Reporting Period, the Fund maintained a shorter duration position than the benchmark index. We maintained that position through mid-June. We subsequently shifted to a longer duration position than the benchmark index, extending duration further by the end of September.

How was the Fund positioned relative to its benchmark index at the end of September 2012?

While the Fund is benchmarked to U.S. Treasuries, it continued to hold a portion of its assets in non-Treasury sectors not represented in the benchmark index. Indeed, the Fund maintained exposures to high quality spread, or non-Treasury, sectors throughout the Reporting Period, most notably quasi-government securities, including agency-issued debentures, as well as asset-backed securities, covered bonds and investment grade corporate bonds. The Fund maintained an underweighted exposure to government bonds at the end of the Reporting Period.

FUND BASICS

Enhanced Income Fund

as of September 30, 2012

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PERFORMANCE REVIEW
April 1, 2012– September 30, 2012	Fund Total Return (based on NAV)¹			Goldman Sachs Enhanced Income Fund Composite Index²			Six-Month U.S. Treasury Bill Index³			One-Year U.S. Treasury Note Index³			30-Day Standardized Subsidized Yield⁴			30-Day Standardized Unsubsidized Yield⁴
Class A		0.59	%		0.14	%		0.11	%		0.18	%		0.04	%		0.04	%
Class B		0.26			0.14			0.11			0.18			-0.52			-0.71
Institutional		0.76			0.14			0.11			0.18			0.38			0.38
Administration		0.63			0.14			0.11			0.18			0.13			0.13
Class IR		0.71			0.14			0.11			0.18			0.29			0.29

The net asset value (NAV) represents the net assets of the class of the Fund (ex-dividend) divided by the total number of shares of the class outstanding. The Fund’s performance assumes the reinvestment of dividends and other distributions. The Fund’s performance does not reflect the deduction of any applicable sales charges.

The Goldman Sachs Enhanced Income Fund Composite Index is an equal weight blend of the Six-Month U.S. Treasury Bill Index and the One-Year U.S. Treasury Note Index.

The Six-Month U.S. Treasury Bill Index and One-Year U.S. Treasury Note Index, as reported by Merrill Lynch, do not reflect any deduction for fees, expenses or taxes. It is not possible to invest directly in an index.

⁴

The returns set forth in the table above 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


STANDARDIZED TOTAL RETURNS⁵
For the period ended 9/30/12	One Year			Five Years			Ten Years			Since Inception			Inception Date
Class A		-0.29	%		1.16	%		1.85	%		2.50	%	8/2/00
Class B		-4.63			0.30			N/A			0.63		6/20/07
Institutional		1.41			1.80			2.36			2.99		8/2/00
Administration		1.27			1.58			2.13			2.77		8/2/00
Class IR		1.32			N/A			N/A			0.60		7/30/10

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The Standardized Total Returns are average annual total returns as of the most recent calendar quarter-end. They assume reinvestment of all distributions at NAV. These returns reflect a maximum initial sales charge of 1.5% for Class A Shares and the assumed contingent deferred sales charge for Class B Shares (5% maximum declining to 0% after six years). 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. Because Institutional Shares, Class IR Shares and Administration Shares do not involve a sales charge, such a charge is not applied to their Standardized 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).


EXPENSE RATIOS⁶
	Net Expense Ratio (Current)			Gross Expense Ratio (Before Waivers)
Class A		0.69	%		0.69	%
Class B		1.44			1.44
Institutional		0.35			0.35
Administration		0.60			0.60
Class IR		0.44			0.44

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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. The Fund’s waivers and/or expense limitations will remain in place through at least July 27, 2013, and prior to such date the investment adviser may not terminate the arrangements without the approval of the Fund’s Board of Trustees. If these arrangements are discontinued in the future, the expense ratios may change without shareholder approval.

FUND BASICS

FUND COMPOSITION⁷

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⁷

The percentage shown for each investment category reflects the value of investments in that category as a percentage of net assets. Short-term investments represent commercial paper and repurchase agreements. Figures in the graph may not sum to 100% due to the exclusion of other assets and liabilities. The graph depicts the Fund’s investments but may not represent the Fund’s market exposure due to the exclusion of certain derivatives, if any, as listed in the Additional Investment Information section of the Schedule of Investments.

⁸

“Agency Debentures” include agency securities offered by companies such as the Federal National Mortgage Association (“FNMA”) and Federal Home Loan Mortgage Corp. (“FHLMC”), which operate under a government charter. While they are required to report to a government regulator, their assets are not explicitly guaranteed by the government and they otherwise operate like any other publicly traded company.

PORTFOLIO RESULTS

Goldman Sachs Government Income Fund

Investment Objective

The Fund seeks a high level of current income, consistent with safety of principal.

Portfolio Management Discussion and Analysis

Below, the Goldman Sachs U.S. Fixed Income Investment Management Team discusses the Goldman Sachs Government Income Fund’s (the “Fund”) performance and positioning for the six-month period ended September 30, 2012 (the “Reporting Period”).

How did the Fund perform during the Reporting Period?

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 2.83%, 2.45%, 2.44%, 3.07%, 2.74%, 2.96% and 2.77%, respectively. These returns compare to the 2.79% cumulative total return of the Fund’s benchmark, the Barclays Government/ Mortgage Index (the “Barclays Index”), during the same time period.

What key factors were responsible for the Fund’s performance during the Reporting Period?

Bottom-up individual issue selection within the collateralized sector contributed most positively to the Fund’s performance during the Reporting Period. Within our top-down strategies, our cross-sector strategy also added value. Our cross-sector strategy is one in which we invest Fund assets across a variety of fixed income sectors, including some that may not be included in the Fund’s benchmark.

The primary detractor from Fund performance was individual issue selection within the government/agency sector.

Which fixed income market sectors most significantly affected Fund performance?

During the Reporting Period, individual issue selection within the collateralized sector contributed most positively, particularly selection of agency mortgage-backed security pass-throughs. (Pass-through mortgages consist of a pool of residential mortgage loans, where homeowners’ monthly payments of principal, interest and prepayments pass from the original bank through a government agency or investment bank to investors.) An emphasis on these securities during the months of May, June, July and early August—with a bias toward lower coupon securities—particularly helped.

Exposure to the agency mortgage-backed securities, non-agency mortgage-backed securities and asset-backed securities market sectors, implemented via our cross-sector strategy, also contributed positively to the Fund’s relative results, as riskier assets, or non-U.S. Treasury sectors, continued their rally from the beginning of 2012.

Security selection within the government/agency sector detracted from the Fund’s relative results during the Reporting Period. Specifically, selection of agency securities and U.S. government-guaranteed debt proved disappointing.

Did the Fund’s duration and yield curve positioning strategy help or hurt its results during the Reporting Period?

The combination of the Fund’s duration and yield curve positioning had a modest positive impact on its results during the Reporting Period. The Fund’s longer U.S. duration than the Barclays Index proved helpful, as U.S. Treasury yields declined. While riskier assets did rally, the Fed implemented a third round of quantitative easing and extended its intention of maintaining low short-term interest rates through at least mid-2015. Amidst these conditions, investors continued to seek the perceived relative safety of U.S. Treasury securities as global concerns persisted. Duration is a measure of the Fund’s sensitivity to changes in interest rates. Yield curve refers to the spectrum of maturities.

PORTFOLIO RESULTS

How did the Fund use derivatives and similar instruments during the Reporting Period?

The Fund used Treasury futures and Eurodollar futures to hedge interest rate exposure, i.e., to manage exposure to fluctuations in interest rates, and to facilitate specific duration, yield curve and country strategies. Interest rate swaps were used to hedge interest rate exposure and express an outright term structure view. (Term structure, most often depicted as a yield curve, refers to the term structure of interest rates, which is the relationship between the yield to maturity and the time to maturity for pure discount bonds.) The Fund employed swaptions (or options on interest rate swap contracts) to hedge and express an outright term structure view.

Were there any notable changes in the Fund’s weightings during the Reporting Period?

We extended the Fund’s duration, moving from a shorter-than-Barclays Index to a longer-than-Barclays Index duration, which proved beneficial as interest rates declined during the Reporting Period. We maintained the Fund’s overweighted exposure to non-agency mortgage-backed securities, which also was a driver of positive performance during the Reporting Period. The Fund also prudently held its substantial overweighting in agency mortgage-backed securities through much of the Reporting Period, as spreads, or the differential in yields between these securities and U.S. Treasuries, tightened considerably. Agency mortgage-backed securities outperformed U.S. Treasuries by 1.15% during the Reporting Period. We believed the Fed would re-enter the market and begin purchasing agency mortgages. Spreads tightened in anticipation of this Fed move, and we began unwinding the Fund’s position before the Fed actually announced its open-ended mortgage purchases. With the Fed’s announcement, agency mortgages’ spreads tightened even more. At the end of the Reporting Period, we had tactically shifted the Fund’s position, such that the Fund held a neutral to slightly overweight position in agency mortgage-backed securities relative to the Barclays Index, as the Fed had driven valuations, in our view, to be excessively rich.

How was the Fund positioned relative to its benchmark index at the end of September 2012?

At the end of September 2012, the Fund had an overweighted allocation relative to the Barclays Index in quasi-government securities, including agency non-government guaranteed securities and government-guaranteed corporate bonds. To a more modest degree, the Fund also had an overweighted allocation relative to the Barclays Index in asset-backed securities. The Fund was significantly underweighted relative to the benchmark index in U.S. government securities. Within the residential mortgage-backed securities sector, the Fund had exposure to agency collateralized mortgage obligations (“CMOs”), which are not a component of the Barclays Index, and was underweighted relative to the Barclays Index in mortgage-backed security pass-throughs. The Fund had a modestly longer duration than that of the Barclays Index at the end of the Reporting Period. The Fund had 23.1% of its net assets invested in short-term investments at the end of the Reporting Period.

FUND BASICS

Government Income Fund

as of September 30, 2012

LOGO


PERFORMANCE REVIEW
April 1, 2012– September 30, 2012	Fund Total Return (based on NAV)¹			Barclays Government/ Mortgage Index²			30-Day Standardized Subsidized Yield³			30-Day Standardized Unsubsidized Yield³
Class A		2.83	%		2.79	%		0.32	%		0.19	%
Class B		2.45			2.79			-0.41			-0.55
Class C		2.44			2.79			-0.40			-0.55
Institutional		3.07			2.79			0.67			0.53
Service		2.74			2.79			0.18			0.04
Class IR		2.96			2.79			0.57			0.44
Class R		2.77			2.79			0.09			-0.05

The Barclays Government/Mortgage Index, an unmanaged index, does not reflect any deduction for fees, expenses or taxes. It is not possible to invest directly in an index.

FUND BASICS


STANDARDIZED TOTAL RETURNS⁴
For the period ended 9/30/12	One Year			Five Years	Ten Years	Since Inception	Inception Date
Class A		-0.42	%	4.57%	3.99%	5.55%	2/10/93
Class B		-2.45		4.19	3.75	5.28	5/1/96
Class C		1.65		4.59	3.62	4.64	8/15/97
Institutional		3.79		5.74	4.78	5.82	8/15/97
Service		3.20		5.20	4.25	5.29	8/15/97
Class IR		3.70		N/A	N/A	5.21	11/30/07
Class R		3.19		N/A	N/A	4.74	11/30/07

⁴

The Standardized Total Returns are average annual total returns as of the most recent calendar quarter-end. They assume reinvestment of all distributions at NAV. These returns reflect a maximum initial sales charge of 3.75% 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. Prior to July 29, 2009, the maximum initial sales charge applicable to Class A Shares of the Fund was 4.5%, which is not reflected in the figures shown. Because Institutional Shares, Service Shares, Class IR and R Shares do not involve a sales charge, such a charge is not applied to their Standardized 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).


EXPENSE RATIOS⁵
	Net Expense Ratio (Current)			Gross Expense Ratio (Before Waivers)
Class A		0.92	%		1.00	%
Class B		1.67			1.75
Class C		1.67			1.75
Institutional		0.58			0.66
Service		1.08			1.16
Class IR		0.67			0.75
Class R		1.17			1.25

⁵

FUND BASICS

FUND COMPOSITION⁶

LOGO

⁶

The percentage shown for each investment category reflects the value of investments in that category as a percentage of net assets. Short-term investments represent repurchase agreements. Figures in the graph may not sum to 100% due to the exclusion of other assets and liabilities. The graph depicts the Fund’s investments but may not represent the Fund’s market exposure due to the exclusion of certain derivatives, if any, as listed in the Additional Investment Information section of the Schedule of Investments.

⁷

“Federal Agencies” are mortgage-backed securities guaranteed by the Government National Mortgage Association (“GNMA”), Federal National Mortgage Association (“FNMA”) and Federal Home Loan Mortgage Corp. (FHLMC). GNMA instruments are backed by the full faith and credit of the U.S. Government.

⁸

“Agency Debentures” include agency securities offered by companies such as FNMA and FHLMC, which operate under a government charter. While they are required to report to a government regulator, their assets are not explicitly guaranteed by the government and they otherwise operate like any other publicly traded company.

PORTFOLIO RESULTS

Goldman Sachs High Quality Floating Rate Fund

Investment Objective

The Fund seeks a high level of current income, consistent with low volatility of principal.

Portfolio Management Discussion and Analysis

Below, the Goldman Sachs U.S. Fixed Income Investment Management Team discusses the Goldman Sachs High Quality Floating Rate Fund’s (the “Fund”) performance and positioning for the six-month period ended September 30, 2012 (the “Reporting Period”).

How did the Fund perform during the Reporting Period?

During the Reporting Period, the Fund’s Class A, Institutional, Service and IR Shares generated cumulative total returns, without sales charges, of 0.22%, 0.50%, 0.25% and 0.45%, respectively. These returns compare to the 0.06% cumulative total return of the Fund’s new benchmark, the BofA ML Three Month U.S. Treasury Bill Index.* To compare, the Fund’s former benchmark, the Goldman Sachs Ultra-Short Duration Government Fund Composite Index (the “Ultra-Short Duration Government Composite Index”), posted a 0.14% cumulative total return during the same period. The Ultra-Short Duration Government Composite Index is comprised 50% of the BofA ML Six-Month U.S. Treasury Bill Index and 50% of the BofA ML One-Year U.S. Treasury Note Index, which generated cumulative total returns of 0.11% and 0.18%, respectively over the same period.

Were there any changes to the Fund during the Reporting Period?

To enhance our ability to protect against rising rates and provide a competitive yield, the Goldman Sachs Ultra Short Duration Government Fund was renamed and repositioned as the Goldman Sachs High Quality Floating Rate Fund effective July 27, 2012. As of that date, the Fund invests primarily in high quality floating rate or variable rate obligations, and the Fund considers “high quality” obligations to be (i) those rated AAA or Aaa by a nationally recognized statistical rating organization at the time of purchase (or, if unrated, determined by the Investment Adviser to be of comparable quality), and (ii) U.S. government securities, including mortgage-backed securities, and repurchase agreements collateralized by U.S. government securities. While certain of the Fund’s investment strategies and policies changed and the Fund’s benchmark index changed, there was no change to the Fund’s investment objective or credit profile.

What key factors were responsible for the Fund’s performance during the Reporting Period?

Both top-down and bottom-up strategies had an impact on the Fund’s performance during the Reporting Period. Within our top-down strategies, our cross-sector strategy was the primary positive contributor to the Fund’s results during the Reporting Period. Our cross-sector strategy is one in which we invest Fund assets across a variety of fixed income sectors, including some that may not be included in the Fund’s benchmark. Our duration and yield curve positioning strategy detracted from Fund performance. Duration is a measure of the Fund’s sensitivity to changes in interest rates. Yield curve indicates the spectrum of maturities within a particular sector. Bottom-up individual issue selection amongst agency mortgage-backed securities and agency debentures detracted from relative performance, mostly offset by the positive contribution made by individual issue selection amongst asset-backed securities and government securities.

Which fixed income market sectors most significantly affected Fund performance?

Effective July 27, 2012, the Fund’s performance benchmark was changed from the Goldman Sachs Ultra-Short Duration Government Fund Composite Index to the BofA ML Three Month U.S. Treasury Bill Index, which the Investment Adviser believes is a more appropriate benchmark against which to measure the Fund’s performance, in light of changes to the Fund’s investment strategies.

PORTFOLIO RESULTS

The Fund’s exposure to asset-backed securities and corporate bonds added value late in the Reporting Period when risk assets, or non-U.S. Treasury sectors, rallied on further government stimulus.

Individual issue selection amongst agency mortgage-backed securities was the greatest detractor from the Fund’s relative results during the Reporting Period. In particular, the Fund’s exposure to agency collateralized mortgage obligations (“CMOs”) had a significant negative impact. On the positive side, this detractor was largely offset by individual issue selection of mortgage-backed security pass-throughs, asset-backed securities backed by student loans, and short-term and intermediate maturity U.S. Treasuries, which boosted the Fund’s relative results.

Did the Fund’s duration and yield curve positioning strategy help or hurt its results during the Reporting Period?

Tactical management of the Fund’s duration and yield curve positioning detracted from its results during the Reporting Period, with the majority of negative return attributable to an underweighted position in long-term maturity U.S. Treasuries held throughout. Long-term U.S. Treasury rates steepened during the Reporting Period, as aggressive quantitative easing by the Fed pushed the inflation premium at the long-term end of the yield curve higher. Also detracting was the Fund’s shorter duration position than the benchmark index in the one-, five-, ten- and 30-year segments of the U.S. Treasury yield curve. Conversely, a longer duration position than the benchmark index in the two-, three- and seven-year segments of the U.S. Treasury yield curve positively impacted the Fund’s performance during the Reporting Period. Overall, we maintained a long duration position relative to the benchmark index within the Fund for the majority of the Reporting Period, having shifted from a shorter duration position than the benchmark index in mid-April. As mentioned earlier, duration is a measure of the Fund’s sensitivity to changes in interest rates. Yield curve indicates the spectrum of maturities within a particular sector.

How did the Fund use derivatives and similar instruments during the Reporting Period?

The Fund used Treasury futures, Eurodollar futures and interest rate swaps during the Reporting Period for the purpose of managing the duration and term structure of the Fund. (Term structure, most often depicted as a yield curve, refers to the term structure of interest rates, which is the relationship between the yield to maturity and the time to maturity for pure discount bonds.) The Fund employed swaptions (or options on interest rate swap contracts) for the purpose of taking modest short volatility positions, that is, positions that pay a modest return when market volatility remains relatively stable.

Were there any notable changes in the Fund’s weightings during the Reporting Period?

Due to the change in the Fund’s strategy effective July 27, 2012, the portfolio’s allocation to adjustable-rate mortgages (“ARMs”), collateralized mortgage obligations (“CMOs”) and asset-backed securities increased significantly during the Reporting Period. A corresponding decrease in allocation was concentrated in U.S. Treasury securities and quasi-government securities. Additionally, as indicated earlier, we shifted the Fund’s duration positioning during the Reporting Period as market conditions changed. At the start of the Reporting Period, the Fund maintained a shorter duration position than the benchmark index. We maintained that position through mid-April. This position then gave way to a longer duration position than the benchmark index in response to deteriorating economic data and fears over escalation of Europe’s sovereign debt crisis. By the end of the September, the Fund held a longer duration position than the benchmark index.

How was the Fund positioned relative to its benchmark index at the end of September 2012?

While the Fund is benchmarked to U.S. Treasuries, it held all of its assets in non-Treasury sectors not represented in the benchmark index at the end of the Reporting Period. Indeed, the Fund maintained exposures to high quality spread, or non-Treasury, sectors throughout the Reporting Period, most notably agency mortgage-backed securities and asset-backed securities. The Fund had no exposure to government bonds and quasi-government securities at the end of the Reporting Period.

FUND BASICS

High Quality Floating Rate Fund

as of September 30, 2012

LOGO


PERFORMANCE REVIEW
April 1, 2012– September 30, 2012	Fund Total Return (based on NAV)¹			BofA ML Three Month U.S. Treasury Bill Index²			Goldman Sachs Ultra- Short Duration Government Fund Composite Index³			30-Day Standardized Subsidized Yield⁴			30-Day Standardized Unsubsidized Yield⁴
Class A		0.22	%		0.06	%		0.14	%		0.13	%		-0.05	%
Institutional		0.50			0.06			0.14			0.47			0.28
Service		0.25			0.06			0.14			-0.02			-0.21
Class IR		0.45			0.06			0.14			0.38			0.20

The BofA ML Three Month U.S. Treasury Bill Index measures total return on cash, including price and interest income, based on short-term government Treasury Bills of about 90-day maturity, as reported by BofA Merrill Lynch, do not reflect any deduction for fees, expenses or taxes. It is not possible to invest directly in an unmanaged index.

The Goldman Sachs Ultra-Short Duration Government Fund Composite Index is an equal blend of the BofA ML Six-Month U.S. Treasury Bill Index and the BofA ML One-Year U.S. Treasury Note Index.

⁴


STANDARDIZED TOTAL RETURNS⁵
For the period ended 9/30/12	One Year			Five Years	Ten Years	Since Inception	Inception Date
Class A		-0.85	%	0.35%	1.57%	3.17%	5/15/95
Institutional		1.07		1.02	2.08	3.84	7/17/91
Service		0.57		0.54	1.60	2.79	3/27/97
Class IR		0.98		N/A	N/A	0.82	11/30/07

⁵

The returns set forth in the tables above 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


EXPENSE RATIOS⁶
	Net Expense Ratio (Current)			Gross Expense Ratio (Before Waivers)
Class A		0.74	%		0.90	%
Institutional		0.40			0.56
Service		0.90			1.06
Class IR		0.49			0.65

⁶

FUND COMPOSITION⁷

LOGO

⁷

The percentage shown for each investment category reflects the value of investments in that category as a percentage of net assets. Short-term investments represent U.S. Treasury Bill and repurchase agreements. Figures in the graph may not sum to 100% due to the exclusion of other assets and liabilities. The graph depicts the Fund’s investments but may not represent the Fund’s market exposure due to the exclusion of certain derivatives, if any, as listed in the Additional Investment Information section of the Schedule of Investments.

⁸

⁹

PORTFOLIO RESULTS

Goldman Sachs Inflation Protected Securities Fund

Investment Objective

The Fund seeks real return consistent with preservation of capital.

Portfolio Management Discussion and Analysis

Below, the Goldman Sachs U.S. Fixed Income Investment Management Team discusses the Goldman Sachs Inflation Protected Securities Fund’s (the “Fund”) performance and positioning for the six-month period ended September 30, 2012 (the “Reporting Period”).

How did the Fund perform during the Reporting Period?

During the Reporting Period, the Fund’s Class A, C, Institutional, IR and R Shares generated cumulative total returns, without sales charges, of 5.39%, 4.99%, 5.56%, 5.52% and 5.16%, respectively. These returns compare to the 5.34% cumulative total return of the Fund’s benchmark, the Barclays U.S. TIPS Index (“Barclays Index”) during the same time period.

What key factors were responsible for the Fund’s performance during the Reporting Period?

Bottom-up individual issue selection of various maturity Treasury inflation protected securities (“TIPS”) was the key positive contributor to the Fund’s performance during the Reporting Period. Our duration strategy also contributed positively to Fund performance. Duration is a measure of the Fund’s sensitivity to changes in interest rates. None of our strategies materially detracted from relative results during the Reporting Period.

Which fixed income market sectors most significantly affected Fund performance?

Individual issue selection of various maturity TIPS contributed most positively to Fund performance during the Reporting Period. Through the Reporting Period, we tactically re-positioned the Fund’s exposure to inflation as market conditions evolved, which added value overall. In addition, our active management around TIPS auctions contributed positively to the Fund’s results during the Reporting Period. We held an overweight bias toward TIPS on the short-term end of the TIPS yield curve versus the long-term end of the TIPS yield curve during the Reporting Period, and these selection strategies boosted the Fund’s results relative to the Barclays Index.

Did the Fund’s duration and yield curve positioning strategy help or hurt its results during the Reporting Period?

Active U.S. duration positioning contributed positively, albeit modestly, to the Fund’s performance during the Reporting Period. We generally managed the Fund with a longer U.S. duration position than the Barclays Index, given our concern about the global economic growth slowdown, the potential Greek exit from the Eurozone and uncertainty in the U.S. regarding the November 2012 election and impending fiscal cliff. (The major components of the so-called fiscal cliff include tax increases and spending cuts totaling approximately $576 billion scheduled to take effect on January 1, 2013.) Such positioning added value, as U.S. Treasury yields generally declined during the Reporting Period.

How did the Fund use derivatives and similar instruments during the Reporting Period?

The Fund used Treasury futures and Eurodollar futures to hedge interest rate exposure and to facilitate specific duration and yield curve strategies. Interest rate swaps were used to hedge interest rate exposure and express an outright term structure view. (Term structure, most often depicted as a yield curve, refers to the term structure of interest rates, which is the relationship between the yield to maturity and the time to maturity for pure discount bonds.)

PORTFOLIO RESULTS

Were there any notable changes in the Fund’s weightings during the Reporting Period?

We tactically managed the inflation exposure in the Fund via varying allocations to TIPS throughout the Reporting Period. As already discussed, we maintained the Fund’s duration position longer than that of the Barclays Index throughout the Reporting Period amid the Federal Reserve’s (the “Fed”) commitment to maintain an accommodative monetary policy and given our concerns about the global economic growth slowdown and what we perceived to be elevated levels of financial market risk.

How was the Fund positioned relative to its benchmark index at the end of September 2012?

At the end of September 2012, the Fund had more than 98% of its total net assets invested in TIPS, with the remainder in cash or cash equivalents. The Fund had a modestly longer duration than the benchmark index at the end of the Reporting Period.

FUND BASICS

Inflation Protected Securities Fund

as of September 30, 2012

LOGO


PERFORMANCE REVIEW
April 1, 2012– September 30, 2012	Fund Total Return (based on NAV)¹			Barclays U.S. TIPS Index²			30-Day Standardized Subsidized Yield³			30-Day Standardized Unsubsidized Yield³
Class A		5.39	%		5.34	%		-2.85	%		-2.97	%
Class C		4.99			5.34			-3.68			-3.81
Institutional		5.56			5.34			-2.62			-2.76
Class IR		5.52			5.34			-2.71			-2.84
Class R		5.16			5.34			-3.20			-3.33

The Barclays U.S. TIPS Index represents securities that protect against adverse inflation and provide a minimum level of real return. To be included in this index, bonds must have cash flows linked to an inflation index, be sovereign issues denominated in U.S. currency, and have more than one year to maturity, and, as a portion of the index, total a minimum amount outstanding of 100 million U.S. dollars. It is not possible to invest directly in an index.

The 30-Day Standardized Subsidized Yield of the Fund is calculated by dividing the net investment income per share (as defined by securities industry regulations) earned by the Fund over a 30-day period (ending on the stated month-end date) by the maximum public offering price (“POP”) per share of the Fund on the last day of the period. This number is then annualized. This yield does not necessarily reflect income actually earned and distributed by the Fund and, therefore, may not be correlated with the dividends or other distributions paid to shareholders. The Fund invests in US TIPS bonds and similar inflation protected securities, and the 30-Day Standardized Yield of the Fund, as quoted above, includes the positive or negative income effect on those bonds of changes in the rate of inflation. When inflation factors increase, we expect the Fund’s 30-Day Standardized Yield to be higher than if the effects of inflation were excluded, and when the inflation factors decrease, we expect the Fund’s 30-Day Standardized Yield to be lower than if the effects of inflation were excluded. Relatively small changes in the rate of inflation can have significant positive or negative impacts on the 30-Day Standardized Yield of the Fund. To the extent the Yield shown above includes the positive effect of a rise in inflation, it may not be repeated. The 30-Day Standardized Unsubsidized Yield does not reflect any applicable expense reductions.


STANDARDIZED TOTAL RETURNS⁴
For the period ended 9/30/12	One Year			Five Years	Since Inception	Inception Date
Class A		4.78	%	6.87%	6.98%	8/31/07
Class C		7.03		6.97	7.07	8/31/07
Institutional		9.18		8.14	8.22	8/31/07
Class IR		9.00		N/A	7.17	11/30/07
Class R		8.46		N/A	6.67	11/30/07

⁴

The returns set forth in the tables above 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


EXPENSE RATIOS⁵
	Net Expense Ratio (Current)			Gross Expense Ratio (Before Waivers)
Class A		0.62	%		0.83	%
Class C		1.37			1.58
Institutional		0.28			0.49
Class IR		0.37			0.58
Class R		0.87			1.08

⁵

FUND COMPOSITION⁶

LOGO

⁶

The percentage shown for each investment category reflects the value of investments in that category as a percentage of net assets. Short-term investments represent repurchase agreements. Figures in the graph may not sum to 100% due to the exclusion of other assets and liabilities. The graph depicts the Fund’s investments but may not represent the Fund’s market exposure due to exclusion of certain derivatives, if any, as listed in the Additional Information section of the Schedule of Investments.

⁷

“U.S. Treasury Obligations” percentages are grouped by effective maturity. The weighted average maturity was 9.7 and 9.3 years, respectively, at September 30, 2012 and March 31, 2012.

PORTFOLIO RESULTS

Goldman Sachs Short Duration Government Fund

Investment Objective

The Fund seeks a high level of current income and secondarily, in seeking current income, may also consider the potential for capital appreciation.

Portfolio Management Discussion and Analysis

Below, the Goldman Sachs U.S. Fixed Income Investment Management Team discusses the Goldman Sachs Short Duration Government Fund’s (the “Fund”) performance and positioning for the six-month period ended September 30, 2012 (the “Reporting Period”).

How did the Fund perform during the Reporting Period?

During the Reporting Period, the Fund’s Class A, B, C, Institutional, Service and IR Shares generated cumulative total returns, without sales charges, of 0.51%, 0.30%, 0.33%, 0.59%, 0.43% and 0.64%, respectively. These returns compare to the 0.31% cumulative total return of the Fund’s benchmark, the BofA ML Two-Year U.S. Treasury Note Index, during the same time period. To compare, the Barclays U.S. Government Bond Index (1- 3 Year) returned 0.46% for the Reporting Period.

What key factors were responsible for the Fund’s performance during the Reporting Period?

Both top-down and bottom-up strategies had an impact on the Fund’s performance during the Reporting Period. Within our top-down strategies, our cross-sector and duration and yield curve positioning strategies contributed positively to relative performance. Our cross-sector strategy is one in which we invest Fund assets across a variety of fixed income sectors, including some that may not be included in the Fund’s benchmark. Duration is a measure of the Fund’s sensitivity to changes in interest rates. Yield curve indicates the spectrum of maturities within a particular sector. Bottom-up individual issue selection amongst agency mortgage-backed securities and U.S. government securities contributed positively. However, this was largely offset by the detracting effect of individual issue selection amongst agency debentures and U.S. Treasury inflation protected securities (“TIPS”).

Which fixed income market sectors most significantly affected Fund performance?

Sector positioning was the primary contributor to the Fund’s results during the Reporting Period, with exposures to agency mortgage-backed securities and agency debentures helping most. Agency mortgage-backed securities outperformed duration-neutral U.S. Treasuries, as the Federal Reserve (the “Fed”) made an open-ended commitment to buy $40 billion in mortgage-backed securities per month and also extended its Operation Twist program until year-end 2012. Further, demand for agency mortgage-backed securities was robust, as investors sought high quality spread, or non-U.S. Treasury, products in an exceptionally low interest rate environment. The European Central Bank’s decision to cut its deposit rate to zero served to intensify the hunt for yield, benefiting the performance of agency debentures.

Effective individual selection of mortgage-backed securities, with a focus on pass-throughs, added value during the Reporting Period. (Pass-through mortgages consist of a pool of residential mortgage loans, where homeowners’ monthly payments of principal, interest and prepayments pass from the original bank through a government agency or investment bank to investors.) In addition, effective individual selection of U.S. government securities helped, as we especially sought short-term and intermediate-term securities. These positive contributors were mostly offset by the detracting effect of individual issue selection among U.S. agency debentures and TIPS.

PORTFOLIO RESULTS

Did the Fund’s duration and yield curve positioning strategy help or hurt its results during the Reporting Period?

Tactical management of the Fund’s duration and yield curve positioning had a modestly positive impact on its results during the Reporting Period. A shorter duration than the benchmark index during April 2012 detracted from Fund returns, as interest rates declined during that month. Politics dominated European news in April, as the Dutch government collapsed and markets focused on the broader implications of new leadership in both France and Greece. We shifted to a longer duration than the benchmark index in May and modestly extended duration further by the end of the Reporting Period. We also added a U.S. Treasury yield curve steepening bias to the Fund’s positioning following the Fed’s announcement of a third round of quantitative easing and the European Central Bank’s offering of potentially unlimited government bond purchases on a formal request for aid. The Fund ended the Reporting Period with a long duration position relative to the benchmark index. As mentioned earlier, duration is a measure of the Fund’s sensitivity to changes in interest rates. Yield curve indicates the spectrum of maturities within a particular sector.

How did the Fund use derivatives and similar instruments during the Reporting Period?

Were there any notable changes in the Fund’s weightings during the Reporting Period?

The Fund’s exposure to U.S. government securities decreased during the Reporting Period. A corresponding increase in allocation was concentrated in agency non-government guaranteed securities and agency mortgage-backed securities. Additionally, as indicated earlier, we shifted the Fund’s duration positioning during the Reporting Period as market conditions changed. At the start of the Reporting Period, the Fund maintained a shorter duration position than the benchmark index. We maintained that position through the end of April. We subsequently shifted to a longer duration position than the benchmark index, extending duration further by the end of September.

How was the Fund positioned relative to its benchmark index at the end of September 2012?

While the Fund is benchmarked to U.S. Treasuries, it continued to hold a portion of its assets in non-Treasury sectors not represented in the benchmark index. Indeed, the Fund maintained exposures to high quality spread, or non-Treasury, sectors throughout the Reporting Period, most notably quasi-government securities, including agency-issued debentures, as well as agency mortgage-backed securities. The Fund maintained an underweighted exposure to government bonds at the end of the Reporting Period.

FUND BASICS

Short Duration Government Fund

as of September 30, 2012

LOGO


PERFORMANCE REVIEW
April 1, 2012– September 30, 2012	Fund Total Return (based on NAV)¹			BofA ML Two-Year U.S. Treasury Note Index²			Barclays U.S. Government Bond Index (1-3 Year)³			30-Day Standardized Subsidized Yield⁴			30-Day Standardized Unsubsidized Yield⁴
Class A		0.51	%		0.31	%		0.46	%		0.11	%		0.09	%
Class B		0.30			0.31			0.46			-0.34			-0.65
Class C		0.33			0.31			0.46			-0.27			-0.65
Institutional		0.59			0.31			0.46			0.44			0.43
Service		0.43			0.31			0.46			-0.05			-0.07
Class IR		0.64			0.31			0.46			0.36			0.34

The BofA ML Two-Year U.S. Treasury Note Index, as reported by Bank of America Merrill Lynch, does not reflect any deduction for fees, expenses or taxes. It is not possible to invest directly in an index.

The Barclays U.S. Government Bond Index (1-3 Year) includes fixed income securities issued by the U.S. Treasury (not including inflation-protected securities) and U.S. government agencies and instrumentalities, as well as corporate or dollar-denominated foreign debt guaranteed by the U.S. government, all with maturities between 1 and 3 years. It is not possible to invest directly in an index.

⁴

FUND BASICS


STANDARDIZED TOTAL RETURNS⁵
For the period ended 9/30/12	One Year			Five Years	Ten Years	Since Inception	Inception Date
Class A		-0.45	%	3.18%	2.93%	4.15%	5/1/97
Class B		-1.28		2.97	2.59	3.94	5/1/97
Class C		0.10		2.90	2.41	3.43	8/15/97
Institutional		1.34		3.84	3.45	5.53	8/15/88
Service		0.94		3.33	2.94	4.26	4/10/96
Class IR		1.25		N/A	N/A	3.47	11/30/07

⁵

The Standardized Total Returns are average annual total returns as of the most recent calendar quarter-end. They assume reinvestment of all distributions at NAV. These returns reflect a maximum initial sales charge of 1.5% for Class A Shares, the assumed contingent deferred sales charge for Class B Shares (2% maximum declining to 0% after three years) and the assumed contingent deferred sales charge for Class C Shares (0.65% 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. Prior to July 29, 2009, the maximum initial sales charge applicable to Class A Shares of the Fund was 2.0%, which is not reflected in the figures shown. Because Institutional Shares, Service Shares and Class IR Shares do not involve a sales charge, such a charge is not applied to their Standardized 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).


EXPENSE RATIOS⁶
	Net Expense Ratio (Current)			Gross Expense Ratio (Before Waivers)
Class A		0.84	%	0.87%
Class B		1.44		1.62
Class C		1.24		1.62
Institutional		0.50		0.53
Service		1.00		1.03
Class IR		0.59		0.62

⁶

FUND BASICS


		FUND COMPOSITION⁷

LOGO

⁷

⁸

“Agency Debentures” include agency securities offered by companies such as Federal National Mortgage Association (“FNMA”) and Federal Home Loan Mortgage Corp. (“FHLMC”), which operate under a government charter. While they are required to report to a government regulator, their assets are not explicitly guaranteed by the government and they otherwise operate like any other publicly traded company.

⁹

“Federal Agencies” are mortgage-backed securities guaranteed by the Government National Mortgage Association (“GNMA”), FNMA and FHLMC. GNMA instruments are backed by the full faith and credit of the U.S. Government.

PORTFOLIO RESULTS

Goldman Sachs Short Duration Income Fund

Investment Objective

The Fund seeks total return consisting of income and capital appreciation.

Portfolio Management Discussion and Analysis

Below, the Goldman Sachs Global Liquidity Management Team discusses the Goldman Sachs Short Duration Income Fund’s (the “Fund”) performance and positioning for the six-month period ended September 30, 2012 (the “Reporting Period”).

How did the Fund perform during the Reporting Period?

During the Reporting Period, the Fund’s Class A, C, Institutional, IR and R Shares generated cumulative total returns, without sales charges, of 2.46%, 2.28%, 2.74%, 2.69% and 2.42%, respectively. These returns compare to the 1.98% cumulative total return of the Goldman Sachs Short Duration Income Fund Composite Index (the “Short Duration Income Composite”) during the same period. The Short Duration Income Composite is comprised 50% of the Barclays U.S. Corporate Bonds Index, 1-5 Years and 50% of the Barclays 1-5 Year U.S. Government Index, which generated cumulative total returns of 2.94% and 1.02%, respectively, over the same time period. To compare, the Barclays 1-5 Year U.S. Government/Credit Index generated a cumulative total return of 1.48% during the Reporting Period.

What key factors were responsible for the Fund’s performance during the Reporting Period?

Both top-down and bottom-up strategies had an impact on the Fund’s performance during the Reporting Period. Within our top-down strategies, our cross-sector strategy was the primary positive contributor to the Fund’s results during the Reporting Period. Our cross-sector strategy is one in which we invest Fund assets across a variety of fixed income sectors, including some that may not be included in the Fund’s benchmark. Our duration and yield curve positioning strategy had a modestly negative impact on Fund performance. Duration is a measure of the Fund’s sensitivity to changes in interest rates. Yield curve indicates the spectrum of maturities within a particular sector. Bottom-up individual issue selection amongst corporate bonds, collateralized securities and government bonds contributed positively to the Fund’s results.

Which fixed income market sectors most significantly affected Fund performance?

Sector positioning contributed positively to the Fund’s results during the Reporting Period, with an allocation to agency mortgage-backed securities helping most, as the Federal Reserve (the “Fed”) made an open-ended commitment to buy $40 billion in mortgage-backed securities per month and extended its Operation Twist program until year-end 2012. Further, demand for agency mortgage-backed securities was robust, as investors sought high quality spread, or non-U.S. Treasury, products amidst an exceptionally low interest rate environment.

The Fund’s exposure to corporate bonds added to performance, as credit markets rallied, especially during the third calendar quarter, on a combination of improving U.S. economic data and strong technicals, or supply/demand conditions. The Fund’s exposure to emerging market debt also boosted results, mostly driven by the accommodative policies of central banks across many emerging economies.

Individual issue selection of agency collateralized mortgage obligations (“CMOs”) and mortgage-backed security pass-throughs proved effective as did selection amongst high yield corporate bonds. (Pass-through mortgages consist of a pool of residential mortgage loans, where homeowners’ monthly payments of principal, interest and prepayments pass from the original bank through a government agency or investment bank to investors.)

As we continued to deploy cash from the initial launch of the Fund on February 29, 2012, market transaction costs detracted from the Fund’s relative results.

PORTFOLIO RESULTS

Did the Fund’s duration and yield curve positioning strategy help or hurt its results during the Reporting Period?

Tactical management of the Fund’s duration and yield curve positioning had a modestly negative impact on results during the Reporting Period, with the majority of negative return attributable to an underweighted position in the one-, three- and 20-year segments of the U.S. Treasury yield curve. Long-term U.S. Treasury rates steepened during the Reporting Period, as aggressive quantitative easing by the Fed pushed the inflation premium at the long-term end of the yield curve higher. On the other hand, a longer duration position than the benchmark index in the five- and seven-year segments of the U.S. Treasury yield curve positively impacted the Fund’s performance during the Reporting Period. Furthermore, an overweighted position in intermediate-maturity German bund rates added to the Fund’s performance, as investors sought more safe-haven securities.

Overall, the Fund maintained a shorter duration position than the benchmark index at the start of the Reporting Period. We extended the portfolio’s duration positioning in early May, reverting back to a short to neutral position relative to the benchmark index several times as the Reporting Period progressed. The Fund ended the Reporting Period with a longer duration position than the benchmark index. As mentioned earlier, duration is a measure of the Fund’s sensitivity to changes in interest rates. Yield curve indicates the spectrum of maturities within a particular sector.

How did the Fund use derivatives and similar instruments during the Reporting Period?

The Fund used Treasury futures, Eurodollar futures and interest rate swaps during the Reporting Period for the purpose of managing the duration and term structure of the Fund. (Term structure, most often depicted as a yield curve, refers to the term structure of interest rates, which is the relationship between the yield to maturity and the time to maturity for pure discount bonds.) The Fund employed credit default swaps to manage the credit profile of the Fund. The Fund used forward foreign currency transactions to hedge its exposure to foreign currency exposure and increase total return.

Were there any notable changes in the Fund’s weightings during the Reporting Period?

The Fund’s allocation to domestic sovereign bonds and investment grade corporate bonds decreased during the Reporting Period, as we continued to build the portfolio since its launch on February 29, 2012. A corresponding increase in allocation was concentrated in high yield corporate bonds and agency mortgage-backed security pass-throughs. Additionally, as mentioned earlier, we shifted the Fund’s duration positioning during the Reporting Period as market conditions changed. At the start of the Reporting Period, the Fund maintained a shorter duration position than the benchmark index. We extended the portfolio’s duration positioning in early May, reverting back to a short to neutral position relative to the benchmark index several times as the Reporting Period progressed. The Fund ended the Reporting Period with a longer duration position than the benchmark index.

How was the Fund positioned relative to its benchmark index at the end of September 2012?

While the Fund is benchmarked to an equally-balanced composite of the Barclays U.S. Corporate Bonds Index, 1-5 Years and the Barclays 1-5 Year U.S. Government Bond Index, it held a portion of its assets in non-Treasury sectors not represented in the benchmark index. Indeed, the Fund maintained exposure to high quality spread, or non-Treasury, sectors throughout the Reporting Period, most notably agency mortgage-backed securities, asset-backed securities, high yield corporate bonds and emerging market debt. The Fund had no exposure to government bonds and held only a minimal allocation to quasi-government securities at the end of the Reporting Period.

FUND BASICS

Short Duration Income Fund

as of September 30, 2012

LOGO


PERFORMANCE REVIEW
April 1, 2012– September 30, 2012	Fund Total Return (based on NAV)¹			Short Duration Income Fund Composite Index²			Barclays U.S. Corporate Bonds Index, 1-5 Years³			Barclays 1-5 Year U.S. Government Index⁴			30-Day Standardized Subsidized Yield⁵			30-Day Standardized Unsubsidized Yield⁵
Class A		2.46	%		1.98	%		2.94	%		1.02	%		0.83	%		-1.26	%
Class C		2.28			1.98			2.94			1.02			0.64			-1.07
Institutional		2.74			1.98			2.94			1.02			1.18			-0.90
Class IR		2.69			1.98			2.94			1.02			1.10			-2.42
Class R		2.42			1.98			2.94			1.02			0.57			-1.47

The Short Duration Income Composite Index is comprised of the Barclays U.S. Corporate Bonds Index, 1-5 Years (50%) and the Barclays 1-5 Year U.S. Government Index (50%).

The Barclays U.S. Corporate Bonds Index, 1-5 Years provides a broad based measure of the global investment grade corporate sector with final maturities ranging between one and five years. The corporate sectors include industrial, utility and finance, for U.S. and non-U.S. corporations. It is not possible to invest directly in an index.

⁴

The Barclays 1-5 Year U.S. Government Index provides a broad based measure of securities issued by the U.S. government with final maturities ranging from one to five years. This includes public obligations of the U.S. Treasury, U.S. government agencies, quasi-federal corporations and corporate or foreign debt guaranteed by the U.S. government. It is not possible to invest directly in an index.

⁵


STANDARDIZED TOTAL RETURNS⁶
For the period ended 9/30/12	Since Inception			Inception Date
Class A		0.61	%	2/29/2012
Class C		1.34		2/29/2012
Institutional		2.53		2/29/2012
Class IR		2.47		2/29/2012
Class R		2.16		2/29/2012

⁶

The Standardized Total Returns are cumulative 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 1.5% for Class A Shares and the assumed contingent deferred sales charge for Class C Shares (0.65% if redeemed within 12 months of purchase). Because Institutional Shares, Class IR Shares and Class R Shares do not involve a sales charge, such a charge is not applied to their Standardized Total Returns.

The

returns set forth in the tables above 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


EXPENSE RATIOS⁷
	Net Expense Ratio (Current)			Gross Expense Ratio (Before Waivers)
Class A		0.80	%		6.23	%
Class C		1.20			6.98
Institutional		0.46			5.89
Class IR		0.55			5.98
Class R		1.05			6.48

⁷

FUND COMPOSITION⁸

LOGO

⁸

⁹

“Federal Agencies” are mortgage-backed securities guaranteed by the Government National Mortgage Association (“GNMA”), Federal National Mortgage Association (“FNMA”) and Federal Home Loan Mortgage Corp. (“FHLMC”). GNMA instruments are backed by the full faith and credit of the U.S. Government.

GOLDMAN SACHS ENHANCED INCOME FUND

Schedule of Investments

September 30, 2012 (Unaudited)


Principal Amount		Interest Rate			Maturity Date		Value

	Corporate Obligations – 47.7%
	Banks – 24.0%
	Abbey National Treasury Services PLC
$	1,675,000		2.875	%		04/25/14	$	1,697,741
	ANZ National (International) Ltd.^(a)
	1,700,000		6.200			07/19/13		1,767,067
	Australia & New Zealand Banking Group Ltd.^(a)
	4,100,000		1.198	^(b)		01/10/14		4,122,919
	3,100,000		1.000			10/06/15		3,105,270
	Bank of America Corp.
	925,000		5.625			10/14/16		1,047,454
	Bank of Nova Scotia^(a)
	6,700,000		1.050			03/20/15		6,795,140
	Bank of Scotland PLC^(a)
	1,400,000		5.250			02/21/17		1,589,531
	Bank of Tokyo-Mitsubishi UFJ Ltd.^(a)
	3,600,000		2.600			01/22/13		3,616,297
	BPCE SA^(a)(b)
	1,875,000		2.189			02/07/14		1,888,603
	Caisse centrale Desjardins du Quebec^(a)
	600,000		2.550			03/24/16		637,980
	Canadian Imperial Bank of Commerce^(a)
	2,200,000		2.750			01/27/16		2,354,880
	Capital One Financial Corp.
	3,825,000		2.125			07/15/14		3,901,767
	Citigroup, Inc.
	1,575,000		6.375			08/12/14		1,714,354
	Commonwealth Bank of Australia^(a)(b)
	4,625,000		1.119			03/17/14		4,644,665
	DnB Boligkreditt AS^(a)
	300,000		2.100			10/14/15		311,100
	18,100,000		2.900			03/29/16		19,263,830
	ING Bank NV^(a)
	1,600,000		2.000			09/25/15		1,602,392
	Intesa Sanpaolo New York
	2,700,000		2.375			12/21/12		2,667,924
	JPMorgan Chase & Co.
	3,850,000		1.875			03/20/15		3,926,288
	Mizuho Corporate Bank Ltd.^(a)
	1,475,000		2.550			03/17/17		1,541,372
	Morgan Stanley
	550,000		3.450			11/02/15		563,607
	Nordea Bank AB^(a)(b)
	6,550,000		1.355			01/14/14		6,583,543
	Nordea Eiendomskreditt AS^(a)
	4,000,000		0.880	^(b)		04/07/14		3,995,992
	1,200,000		1.875			04/07/14		1,221,300
	Northern Rock Asset Management PLC^(a)
	1,000,000		5.625			06/22/17		1,123,700
	Rabobank Nederland^(a)
	4,675,000		4.200			05/13/14		4,917,315
	Sparebank 1 Boligkreditt AS^(a)
	6,500,000		1.250			10/25/14		6,542,900
	6,200,000		2.625			05/26/16		6,548,971
	Standard Chartered PLC^(a)
	3,625,000		3.850			04/27/15		3,823,831
	Sumitomo Mitsui Banking Corp.^(a)(b)
	4,550,000		1.403			07/22/14		4,590,409

	Principal Amount		Interest Rate			Maturity Date		Value

	Corporate Obligations – (continued)
	Banks – (continued)
	Swedbank Hypotek AB^(a)(b)
$	1,100,000		0.812	%		03/28/14	$	1,098,346
	Toronto-Dominion Bank^(a)
	3,500,000		1.625			09/14/16		3,618,300
	1,600,000		1.500			03/13/17		1,645,280
	UBS AG
	2,625,000		3.875			01/15/15		2,770,203
	Wells Fargo & Co.
	2,700,000		1.250			02/13/15		2,721,447
	Westpac Banking Corp.
	3,025,000		2.250			11/19/12		3,032,505

								122,994,223

	Consumer Products^(b) – 0.3%
	The Procter & Gamble Co.
	1,550,000		0.362			02/06/14		1,551,189

	Electric^(c) – 2.5%
	Commonwealth Edison Co.
	3,625,000		1.625			01/15/14		3,673,093
	PacifiCorp
	2,675,000		5.450			09/15/13		2,794,016
	Public Service Co. of Colorado
	2,325,000		7.875			10/01/12		2,325,000
	Southern Co.
	875,000		4.150			05/15/14		922,728
	Wisconsin Electric Power Co.
	2,875,000		6.000			04/01/14		3,091,178

								12,806,015

	Energy – 3.5%
	Apache Corp.^(c)
	2,975,000		6.000			09/15/13		3,131,072
	BP Capital Markets PLC
	2,675,000		3.125			10/01/15		2,851,610
	EnCana Corp.^(c)
	625,000		4.750			10/15/13		648,895
	Shell International Finance BV^(c)
	4,475,000		1.875			03/25/13		4,510,151
	Statoil ASA^(c)
	650,000		3.875			04/15/14		682,661
	3,470,000		5.125	^(a)		04/30/14		3,710,641
	Total Capital Canada Ltd.^(c)
	2,425,000		1.625			01/28/14		2,462,919

								17,997,949

	Food and Beverage – 2.4%
	Anheuser-Busch InBev Worldwide, Inc.^(c)
	2,725,000		0.800			07/15/15		2,731,766
	Diageo Finance BV
	3,700,000		5.500			04/01/13		3,795,031
	Kellogg Co.^(c)
	3,200,000		5.125			12/03/12		3,225,475
	Unilever Capital Corp.^(c)
	2,775,000		0.850			08/02/17		2,744,935

								12,497,207


34		The accompanying notes are an integral part of these financial statements.

GOLDMAN SACHS ENHANCED INCOME FUND


	Principal Amount	Interest Rate		Maturity Date		Value

	Corporate Obligations – (continued)
	Health Care Products^(c) – 1.6%
	St. Jude Medical, Inc.
$	3,575,000	2.200	%	09/15/13	$	3,629,760
	Thermo Fisher Scientific, Inc.
	4,575,000	2.150		12/28/12		4,587,984

						8,217,744

	Health Care Services^(c) – 1.0%
	Covidien International Finance SA
	1,625,000	1.875		06/15/13		1,640,888
	2,525,000	2.800		06/15/15		2,628,096
	McKesson Corp.
	950,000	3.250		03/01/16		1,015,640

						5,284,624

	Internet^(c) – 0.1%
	eBay, Inc.
	575,000	1.350		07/15/17		578,184

	Life Insurance – 4.2%
	MassMutual Global Funding II^(a)(b)
	4,250,000	0.864		09/27/13		4,270,910
	Metropolitan Life Global Funding I^(a)
	1,725,000	5.125		04/10/13		1,766,564
	3,437,000	5.125		06/10/14		3,686,024
	Nationwide Life Global Funding I^(a)
	1,175,000	5.450		10/02/12		1,175,000
	Principal Life Global Funding II^(a)
	3,200,000	1.125		09/18/15		3,206,224
	Prudential Financial, Inc.
	1,625,000	2.750		01/14/13		1,635,520
	Sun Life Financial Global Funding LP^(a)(b)
	3,750,000	0.710		10/06/13		3,723,375
	TIAA Global Markets, Inc.^(a)(c)
	1,900,000	5.125		10/10/12		1,901,712

						21,365,329

	Media – Non Cable^(c) – 0.8%
	Reed Elsevier Capital, Inc.
	450,000	7.750		01/15/14		488,548
	Thomson Reuters Corp.
	3,209,000	5.950		07/15/13		3,344,336

						3,832,884

	Noncaptive – Financial – 1.7%
	American Express Credit Corp.
	3,650,000	2.750		09/15/15		3,850,900
	General Electric Capital Corp.^(b)
	4,625,000	1.310		01/07/14		4,639,444
	250,000	0.509		03/20/14		249,380

						8,739,724

	Pharmaceuticals^(c) – 0.3%
	GlaxoSmithKline Capital PLC
	1,350,000	0.750		05/08/15		1,358,069

	Real Estate Investment Trust^(c) – 1.2%
	Simon Property Group LP
	2,475,000	4.200		02/01/15		2,637,371

	Principal Amount	Interest Rate		Maturity Date		Value

	Corporate Obligations – (continued)
	Real Estate Investment Trust^(c) – (continued)
	WEA Finance LLC^(a)
$	1,341,000	5.400	%	10/01/12	$	1,341,000
	WEA Finance LLC/WT Finance Australia Property Ltd.^(a)
	2,025,000	7.500		06/02/14		2,231,297

						6,209,668

	Technology^(c) – 1.4%
	Hewlett-Packard Co.
	3,920,000	6.125		03/01/14		4,182,296
	International Business Machines Corp.
	2,545,000	6.500		10/15/13		2,705,506

						6,887,802

	Tobacco – 0.7%
	Philip Morris International, Inc.
	3,300,000	6.875		03/17/14		3,603,832

	Transportation^(c) – 0.5%
	United Parcel Service, Inc.
	2,275,000	1.125		10/01/17		2,285,451

	Wireless Telecommunications – 1.2%
	ALLTEL Corp.
	1,350,000	6.500		11/01/13		1,433,311
	Vodafone Group PLC^(c)
	4,450,000	5.000		12/16/13		4,688,681

						6,121,992

	Wirelines Telecommunications^(c) – 0.3%
	France Telecom SA
	1,325,000	4.375		07/08/14		1,399,374

	TOTAL CORPORATE OBLIGATIONS
	(Cost $239,177,797)				$	243,731,260


	Agency Debentures – 4.5%
	FHLB
$	4,600,000	0.210	%	01/04/13	$	4,600,354
	FNMA
	14,200,000	0.345	^(b)	05/17/13		14,207,498
	2,400,000	4.125		04/15/14		2,543,321
	1,700,000	0.375		03/16/15		1,701,965

	TOTAL AGENCY DEBENTURES
	(Cost $23,024,007)				$	23,053,138


	Asset-Backed Securities – 12.1%
	Autos – 6.7%
	Ally Auto Receivables Trust Series 2010-4, Class A3
$	3,058,165	0.910	%	11/17/14	$	3,064,578
	CarMax Auto Owner Trust Series 2011-3, Class A2
	5,309,677	0.700		11/17/14		5,316,607
	Ford Credit Floorplan Master Owner Trust Series 2012-4, Class A1
	2,900,000	0.740		09/15/16		2,899,555


The accompanying notes are an integral part of these financial statements.		35

GOLDMAN SACHS ENHANCED INCOME FUNDS

Schedule of Investments (continued)

September 30, 2012 (Unaudited)


	Principal Amount	Interest Rate		Maturity Date		Value

	Asset-Backed Securities – (continued)
	Autos – (continued)
	Ford Credit Floorplan Master Owner Trust Series 2012-4, Class A2^(b)
$	2,800,000	0.569	%	09/15/16	$	2,800,059
	Harley-Davidson Motorcycle Trust Series 2012-1, Class A2
	5,500,000	0.500		08/15/15		5,503,149
	Honda Auto Receivables Owner Trust Series 2009-3, Class A4
	761,471	3.300		09/15/15		764,180
	Huntington Auto Trust Series 2012-1, Class A3
	4,000,000	0.810		09/15/16		4,028,301
	Motor PLC Series 2012-A, Class A1B^(a)(b)
	3,250,000	0.735		02/25/20		3,250,038
	Motor PLC Series 2012-A, Class A1C^(a)
	1,000,000	1.286		02/25/20		1,001,535
	Toyota Auto Receivables Owner Trust Series 2011-B, Class A3
	2,400,000	0.680		06/15/15		2,408,522
	Volkswagen Auto Loan Enhanced Trust Series 2010-1, Class A4
	3,200,000	2.140		08/22/16		3,228,053

						34,264,577

	Home Equity^(b) – 0.0%
	Amresco Residential Securities Mortgage Loan Trust Series 1998-2, Class M1F
	32,264	6.745		06/25/28		30,267
	Centex Home Equity Series 2004-D, Class MV3
	137,626	1.217		09/25/34		11,747
	Morgan Stanley ABS Capital I Series 2004-HE4, Class M3
	54,085	2.467		05/25/34		7,497

						49,511

	Manufactured Housing – 0.0%
	Lehman ABS Manufactured Housing Contract Series 2001-B, Class A3
	53,069	4.350		04/15/40		55,398

	Student Loan – 5.4%
	Access Group, Inc. Series 2002-1, Class A2^(b)
	1,219,807	0.549		09/25/25		1,216,266
	Brazos Higher Education Authority, Inc. Series 2005-3, Class A14^(b)
	539,471	0.479		09/25/23		538,570
	College Loan Corp. Trust Series 2004-1, Class A3^(b)
	1,467,872	0.611		04/25/21		1,465,579
	College Loan Corp. Trust Series 2004-1, Class A4^(b)
	1,050,000	0.641		04/25/24		984,137
	College Loan Corp. Trust Series 2005-1, Class A2^(b)
	7,000,000	0.551		07/25/24		6,914,218
	College Loan Corp. Trust Series 2005-2, Class A2^(b)
	846,610	0.565		10/15/21		845,852
	Education Funding Capital Trust I Series 2004-1, Class A2^(b)
	963,953	0.549		12/15/22		960,898
	Education Loan Asset-Backed Trust Series 2012-1, Class A1^(b)
	2,300,000	0.669		06/25/22		2,300,000
	Educational Services of America, Inc. Series 2010-1, Class A1^(a)(b)
	1,755,105	1.301		07/25/23		1,769,115
	GCO Slims Trust Series 2006-1A Class Note^(a)
	61,889	5.720		03/01/22		60,342

	Principal Amount	Interest Rate		Maturity Date		Value

	Asset-Backed Securities – (continued)
	Student Loan – (continued)
	Northstar Education Finance, Inc. Series 2005-1, Class A1^(b)
$	370,119	0.547	%	10/28/26	$	368,762
	Scholar Funding Trust Series 2012-B, Class A1^(a)(b)
	625,000	0.619		10/28/25		623,345
	SLM Student Loan Trust Series 2007-1, Class A3^(b)
	2,757,437	0.481		07/25/18		2,756,436
	SLM Student Loan Trust Series 2007-2, Class A2^(b)
	2,819,133	0.451		07/25/17		2,811,884
	SLM Student Loan Trust Series 2012-6, Class A1^(b)
	2,200,000	0.380		02/27/17		2,199,788
	Sun Trust Student Loan Trust Series 2006-1A, Class A2^(a)(b)
	1,121,882	0.547		07/28/20		1,121,118
	US Education Loan Trust LLC Series 2006-1, Class A2^(a)(b)
	662,264	0.551		03/01/25		657,800

						27,594,110

	TOTAL ASSET-BACKED SECURITIES
	(Cost $62,053,772)				$	61,963,596


	Foreign Debt Obligations – 2.0%
	Sovereign – 1.2%
	Kommunalbanken AS^(a)
$	1,100,000	1.000	%	09/26/17	$	1,100,769
	Ontario Province of Canada
	4,700,000	1.875		11/19/12		4,709,212

						5,809,981

	Supranational^(b) – 0.8%
	Inter-American Development Bank
	4,100,000	0.884		05/20/14		4,137,765

	TOTAL FOREIGN DEBT OBLIGATIONS
	(Cost $9,935,390)				$	9,947,746


	Government Guarantee Obligations^(d) – 10.0%
	Achmea Hypotheekbank NV^(a)(b)
$	8,200,000	0.792	%	11/03/14	$	8,175,769
	BRFkredit A/S^(a)(b)
	10,800,000	0.705		04/15/13		10,800,756
	Kreditanstalt fuer Wiederaufbau^(b)
	15,800,000	0.231		06/17/13		15,800,964
	Landwirtschaftliche Rentenbank
	2,400,000	4.125		07/15/13		2,471,520
	6,500,000	4.875		01/10/14		6,866,834
	Westpac Banking Corp.^(a)
	7,200,000	1.900		12/14/12		7,220,736

	TOTAL GOVERNMENT GUARANTEE OBLIGATIONS
	(Cost $51,054,124)				$	51,336,579


36		The accompanying notes are an integral part of these financial statements.

GOLDMAN SACHS ENHANCED INCOME FUND


	Principal Amount	Interest Rate		Maturity Date		Value

	U.S. Treasury Obligations – 16.2%
	United States Treasury Inflation Protected Securities
$	479,964	1.625	%	01/15/15	$	514,387
	1,531,296	1.875		07/15/15		1,685,146
	United States Treasury Notes
	58,400,000	0.250	^(e)	01/31/14		58,428,030
	5,300,000	0.250		04/30/14		5,301,325
	9,100,000	0.250		05/31/14		9,102,548
	3,900,000	0.500		07/31/17		3,880,812
	3,900,000	0.625		09/30/17		3,898,947

	TOTAL U.S. TREASURY OBLIGATIONS
	(Cost $82,757,732)				$	82,811,195

	TOTAL INVESTMENTS BEFORE SHORT-TERM INVESTMENT
	(Cost $468,002,822)				$	472,843,514


	Short-term Investment – 1.0%
	Certificate of Deposit – 1.0%
	Dexia Credit Local
$	5,200,000	1.700	%	09/06/13	$	5,202,790
	(Cost $5,200,000)

	TOTAL INVESTMENTS – 93.5%
	(Cost $473,202,822)				$	478,046,304

	OTHER ASSETS IN EXCESS OF LIABILITIES – 6.5%					33,501,871

	NET ASSETS – 100.0%				$	511,548,175


The percentage shown for each investment category reflects the value of investments in that category as a percentage of net assets.
(a)		Exempt from registration under Rule 144A of the Securities Act of 1933. Under procedures approved by the Board of Trustees, such securities have been determined to be liquid by the investment adviser and may be resold, normally to qualified institutional buyers in transactions exempt from registration. Total market value of Rule 144A securities amounts to $161,745,003, which represents approximately 31.6% of net assets as of 09/30/12.
(b)		Variable rate security. Interest rate disclosed is that which is in effect at 09/30/12.
(c)		Security with “Call” features with resetting interest rates. Maturity dates disclosed are the final maturity dates.
(d)		Guaranteed by a foreign government until maturity.
(e)		A portion of this security is segregated as collateral for initial margin requirements on futures transactions.



Investment Abbreviations:
FHLB		—Federal Home Loan Bank
FNMA		—Federal National Mortgage Association

ADDITIONAL INVESTMENT INFORMATION

FUTURES CONTRACTS — At September 30, 2012 the Fund had the following futures contracts:


Type	Number of Contracts Long (Short)			Expiration Date	Current Value			Unrealized Gain (Loss)
Eurodollars		121		December 2012	$	30,153,200		$	20,903
2 Year U.S. Treasury Notes		(205	)	December 2012		(45,208,906	)		(22,331	)
5 Year U.S. Treasury Notes		(87	)	December 2012		(10,843,055	)		(14,186	)
TOTAL								$	(15,614	)


The accompanying notes are an integral part of these financial statements.		37

GOLDMAN SACHS ENHANCED INCOME FUND

Schedule of Investments (continued)

September 30, 2012 (Unaudited)

ADDITIONAL INVESTMENT INFORMATION (continued)

SWAP CONTRACTS — At September 30, 2012, the Fund had the following swap contracts:

CREDIT DEFAULT SWAP CONTRACTS


												Market Value
Counterparty	Referenced Obligation	Notional Amount (000s)		Rates Received (Paid)			Termination Date		Credit Spread at September 30, 2012^(a)			Upfront Payments Made (Received)			Unrealized Gain (Loss)
Protection Sold:

JPMorgan Securities, Inc.	Pacific Gas and Electric Co., 4.80%, 03/01/14	$	4,850		1.000	%		06/20/13		0.193	%	$	(9,075	)	$	39,287

(a)

Credit Spread on the Referenced Obligation, together with the term of the swap contract, are indicators of payment/performance risk. The likelihood of a credit event occurring which would require a fund to make a payment or otherwise be required to perform under the swap contract is generally greater as the credit spread and the term of the swap contract increase.


38		The accompanying notes are an integral part of these financial statements.

GOLDMAN SACHS GOVERNMENT INCOME FUND

Schedule of Investments

September 30, 2012 (Unaudited)


Principal Amount		Interest Rate			Maturity Date		Value

	Mortgage-Backed Obligations – 43.8%
	Collateralized Mortgage Obligations – 3.4%
	Adjustable Rate Non-Agency^(a) – 0.4%
	Bear Stearns Adjustable Rate Mortgage Trust Series 2003-05, Class 1A1
$	19,547		3.005	%		08/25/33	$	19,348
	Chase Mortgage Finance Corp. Series 2007-A1, Class 3A1
	994,962		2.940			02/25/37		957,922
	Countrywide Home Loan Mortgage Pass-Through Trust Series 2003-37, Class 1A1
	27,801		3.253			08/25/33		24,333
	First Horizon Asset Securities, Inc. Series 2004-AR6, Class 2A1
	41,132		2.625			12/25/34		40,664
	JPMorgan Mortgage Trust Series 2005-A4, Class 2A1
	325,516		3.071			07/25/35		296,916
	MLCC Mortgage Investors, Inc. Series 2004-E, Class A2B
	1,035,092		1.015			11/25/29		922,973
	Sequoia Mortgage Trust Series 2004-09, Class A2
	546,573		1.024			10/20/34		476,509
	Structured Adjustable Rate Mortgage Loan Trust Series 2004-05, Class 1A
	199,576		2.925			05/25/34		177,954
	Washington Mutual Mortgage Pass-Through Certificates Series 2004-AR03, Class A2
	138,591		2.583			06/25/34		136,091

								3,052,710

	Interest Only^(b) – 0.0%
	CS First Boston Mortgage Securities Corp. Series 2003-AR18, Class 2X^(a)
	71,141		0.000			07/25/33		—
	CS First Boston Mortgage Securities Corp. Series 2003-AR20, Class 2X^(a)
	91,061		0.000			08/25/33		—
	FNMA STRIPS Series 151, Class 2
	8,590		9.500			07/25/22		1,517
	Master Adjustable Rate Mortgages Trust Series 2003-2, Class 3AX^(a)
	35,401		0.123			08/25/33		138
	Master Adjustable Rate Mortgages Trust Series 2003-2, Class 4AX^(a)
	15,239		0.320			07/25/33		107

								1,762

	Inverse Floaters^(a) – 0.0%
	GNMA Series 2001-48, Class SA
	33,172		25.770			10/16/31		53,705
	GNMA Series 2001-51, Class SA
	26,017		31.543			10/16/31		44,754
	GNMA Series 2001-51, Class SB
	32,648		25.770			10/16/31		55,573
	GNMA Series 2002-13, Class SB
	112,589		36.537			02/16/32		197,511

								351,543

	Principal Only^(c) – 0.0%
	FNMA REMIC Series G-35, Class N
	9,283		0.000			10/25/21		9,165

	Principal Amount		Interest Rate			Maturity Date		Value

	Mortgage-Backed Obligations – (continued)
	Regular Floater^(a) – 0.4%
	FDIC Structured Sale Guaranteed Notes Series 2010-S1, Class 1A^(d)
$	448,044		0.782	%		02/25/48	$	448,447
	FHLMC REMIC Series 1760, Class ZB
	251,370		1.140			05/15/24		263,687
	NCUA Guaranteed Notes Series 2011-A1
	2,300,000		0.248			06/12/13		2,300,000

								3,012,134

	Sequential Fixed Rate – 2.2%
	FHLMC Multifamily Structured Pass-Through Certificates Series K020, Class A2
	1,300,000		2.373			05/25/22		1,326,222
	FHLMC Multifamily Structured Pass-Through Certificates Series K703, Class A2
	3,300,000		2.699			05/25/18		3,562,429
	FHLMC Multifamily Structured Pass-Through Certificates Series K705, Class A2
	2,500,000		2.303			09/25/18		2,654,351
	FHLMC REMIC Series 2329, Class ZA
	1,489,598		6.500			06/15/31		1,696,788
	FNMA REMIC Series 2001-53, Class GH
	129,148		8.000			09/25/16		138,554
	GNMA Series 2002-42, Class KZ
	4,034,758		6.000			06/16/32		4,591,677
	NCUA Guaranteed Notes Series 2010-R1, Class 2A
	373,988		1.840			10/07/20		380,066
	NCUA Guaranteed Notes Series A4
	3,400,000		3.000			06/12/19		3,672,374

								18,022,461

	Sequential Floating Rate^(a) – 0.1%
	NCUA Guaranteed Notes Series 2010-R1, Class 1A
	962,547		0.678			10/07/20		965,818

	TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS						$	25,415,593

	Commercial Mortgage-Backed Securities – 0.4%
	Sequential Fixed Rate – 0.4%
	FNMA ACES Series 2012-M13, Class A2
$	3,100,000		2.377	%		05/25/22	$	3,157,809

	Federal Agencies – 40.3%
	Adjustable Rate FHLMC^(a) – 0.5%
$	195,616		2.349	%		11/01/32	$	209,381
	1,894,999		2.375			09/01/33		2,025,280
	1,736,107		2.375			08/01/35		1,858,046

								4,092,707

	Adjustable Rate FNMA^(a) – 1.0%
	192,257		2.423			11/01/32		205,675
	375,617		2.404			12/01/32		399,968
	1,734,942		2.166			05/01/33		1,802,577
	50,833		2.333			06/01/33		54,251
	1,545,591		2.396			10/01/33		1,659,423


The accompanying notes are an integral part of these financial statements.		39

GOLDMAN SACHS GOVERNMENT INCOME FUND

Schedule of Investments (continued)

September 30, 2012 (Unaudited)


Principal Amount		Interest Rate			Maturity Date			Value

	Mortgage-Backed Obligations – (continued)
	Adjustable Rate FNMA^(a) – (continued)
$	1,911,696		2.320	%		02/01/35		$	2,042,934
	1,620,805		2.381			09/01/35			1,731,092

									7,895,920

	Adjustable Rate GNMA^(a) – 0.6%
	107,482		1.750			06/20/23			110,994
	49,716		1.625			07/20/23			51,363
	52,994		1.625			08/20/23			54,759
	135,761		1.625			09/20/23			140,308
	39,621		1.625			03/20/24			40,947
	347,507		1.750			04/20/24			359,536
	42,556		1.750			05/20/24			44,034
	285,631		1.750			06/20/24			295,601
	75,971		2.000			06/20/24			79,752
	96,448		1.625			07/20/24			99,857
	100,836		2.000			07/20/24			105,904
	172,526		1.625			08/20/24			178,445
	90,587		2.000			08/20/24			95,165
	84,636		1.625			09/20/24			87,657
	103,333		2.000			11/20/24			108,639
	39,269		2.000			12/20/24			41,295
	56,772		2.500			12/20/24			60,246
	68,448		2.000			01/20/25			71,994
	36,214		2.000			02/20/25			38,103
	122,509		2.000			05/20/25			128,993
	96,444		2.000			07/20/25			101,598
	48,527		1.625			02/20/26			50,360
	2,570		1.625			07/20/26			2,672
	62,974		1.625			01/20/27			65,461
	69,132		2.000			01/20/27			73,131
	49,537		1.625			02/20/27			51,502
	367,634		1.750			04/20/27			382,597
	39,810		1.750			05/20/27			41,370
	39,253		1.750			06/20/27			40,863
	14,945		1.625			11/20/27			15,558
	344		2.000			11/20/27			365
	60,195		1.625			12/20/27			62,674
	118,420		1.625			01/20/28			123,312
	40,227		1.625			02/20/28			41,895
	43,235		1.625			03/20/28			45,034
	225,471		1.625			07/20/29			235,585
	93,799		1.625			08/20/29			98,017
	28,709		1.625			09/20/29			30,005
	115,098		1.625			10/20/29			120,118
	130,357		1.625			11/20/29			136,142
	33,655		1.625			12/20/29			35,152
	41,206		1.625			01/20/30			43,046
	22,241		1.625			02/20/30			23,239
	102,213		1.625			03/20/30			106,792
	126,983		1.750			04/20/30			132,796
	202,286		1.750			05/20/30			211,555
	134,548		2.000			05/20/30			142,781
	30,917		1.750			06/20/30			32,337
	272,128		2.000			07/20/30			288,779
	51,057		2.000			09/20/30			54,181


	Mortgage-Backed Obligations – (continued)
	Adjustable Rate GNMA^(a) – (continued)
$	98,693		1.625	%		10/20/30		$	103,215
	197,479		1.625			03/20/32			206,921

									5,292,645

	FHLMC – 4.6%
	48,822		6.500			12/01/13			49,027
	1,120		6.500			02/01/14			1,140
	714,343		7.500			11/01/14			752,026
	1,600		7.000			02/01/15			1,673
	28,814		8.000			07/01/15			30,591
	21,042		7.000			09/01/17			23,835
	8,896		7.000			10/01/17			10,094
	74,876		5.500			05/01/18			80,562
	798,896		5.500			06/01/18			859,562
	34,065		4.500			09/01/18			36,481
	10,421		10.000			10/01/18			11,628
	206,365		5.000			06/01/19			223,417
	44,533		10.000			07/01/20			52,249
	60,731		10.000			10/01/20			71,164
	97,865		6.500			07/01/21			109,395
	7,475		6.500			08/01/22			8,356
	111,639		9.000			10/01/22			129,266
	456,086		4.500			10/01/23			498,050
	2,648,556		5.000			08/01/24			2,875,427
	342,614		6.500			07/01/28			367,801
	4,947		8.000			07/01/30			5,859
	19,814		7.500			12/01/30			22,782
	95,181		7.000			04/01/31			109,305
	974,249		6.000			05/01/33			1,087,029
	746,077		6.000			10/01/34			828,720
	102,798		5.000			12/01/35			112,495
	309,461		5.500			01/01/36			339,319
	832		5.500			02/01/36			911
	12,297		6.000			06/01/36			13,647
	49,186		4.000			08/01/36			52,796
	142,204		4.000			09/01/36			152,642
	150,244		4.000			10/01/36			161,272
	228,518		4.000			12/01/36			245,290
	8,090,962		6.000			11/01/38			9,009,097
	380,518		4.500			09/01/39			418,540
	9,065		4.500			11/01/40			9,750
	63,466		4.500			03/01/41			68,368
	1,864,944		4.000			11/01/41			2,024,076
	17,000,000		3.000			TBA - 30yr	^(e)		17,921,720

									38,775,362

	FNMA – 32.9%
	8,988		7.000			03/01/14			9,394
	23,963		7.000			03/01/15			25,003
	7,285		8.000			01/01/16			7,822
	148,502		8.000			11/01/16			160,616
	192,517		5.000			08/01/17			209,461
	2,330,999		2.800			03/01/18			2,509,704
	1,964,757		3.740			05/01/18			2,209,087
	1,690,000		3.840			05/01/18			1,895,978
	83,081		4.500			05/01/18			89,510


40		The accompanying notes are an integral part of these financial statements.

GOLDMAN SACHS GOVERNMENT INCOME FUND


Principal Amount		Interest Rate			Maturity Date		Value

	Mortgage-Backed Obligations – (continued)
	FNMA – (continued)
$	177,455		4.500	%		06/01/18	$	191,186
	37,210		4.500			07/01/18		40,089
	52,377		4.500			08/01/18		56,430
	456,975		5.000			09/01/18		495,711
	2,538,797		5.000			10/01/18		2,753,999
	4,400,000		4.506			06/01/19		5,098,077
	130,336		6.500			08/01/19		146,537
	13,693		9.500			08/01/20		13,748
	977,067		3.416			10/01/20		1,084,774
	16,585		9.500			10/01/20		16,657
	684,442		3.632			12/01/20		761,238
	5,192,594		3.763			12/01/20		5,868,475
	2,398,012		4.375			06/01/21		2,793,157
	809,857		5.500			02/01/23		894,627
	1,303,900		5.500			08/01/23		1,440,383
	304,811		6.000			11/01/28		339,944
	16,211		6.500			11/01/28		18,689
	100,000		5.000			03/01/29		109,108
	569		5.500			04/01/29		629
	46,364		7.000			11/01/30		53,904
	122,082		7.000			07/01/31		135,525
	1,585,275		4.000			10/01/31		1,715,683
	609		6.000			03/01/32		680
	10,797,758		5.500			04/01/33		11,986,405
	21,962		6.000			05/01/33		24,523
	7,308,732		5.000			06/01/33		7,980,989
	18,483		5.000			07/01/33		20,381
	2,687,135		5.500			07/01/33		2,922,228
	115,900		5.000			08/01/33		127,458
	107,066		5.000			09/01/33		116,914
	16,927		5.500			09/01/33		18,754
	8,220		5.000			12/01/33		8,976
	9,710		6.000			12/01/33		10,913
	22,011		5.500			02/01/34		24,378
	3,679		5.500			04/01/34		4,083
	18,420		5.500			05/01/34		20,392
	528		5.500			06/01/34		584
	27,721		5.500			08/01/34		30,766
	1,369		5.500			10/01/34		1,519
	194,773		5.500			12/01/34		215,224
	14,156		5.000			04/01/35		15,415
	21,352		5.500			04/01/35		23,551
	691,081		6.000			04/01/35		771,669
	14,826		5.000			05/01/35		16,369
	89,755		5.000			07/01/35		98,156
	23,304		5.500			07/01/35		25,708
	51,227		5.000			08/01/35		55,937
	2,959		5.500			08/01/35		3,272
	1,650		6.000			08/01/35		1,830
	59,787		5.000			09/01/35		65,102
	30,234		5.500			09/01/35		33,338
	15,920		5.000			10/01/35		17,335
	293,871		6.000			10/01/35		328,373
	21,726		5.000			11/01/35		23,658
	279,110		6.000			11/01/35		309,696
	13,081		5.500			12/01/35		14,490

	Principal Amount		Interest Rate			Maturity Date		Value

	Mortgage-Backed Obligations – (continued)
	FNMA – (continued)
$	628,931		5.000	%		02/01/36	$	684,851
	565		5.500			02/01/36		622
	3,099,700		5.000			03/01/36		3,375,304
	167,800		6.000			03/01/36		186,839
	273,943		6.000			04/01/36		305,030
	93,980		4.000			09/01/36		101,113
	23,357		5.000			11/01/36		25,407
	180,752		6.000			01/01/37		199,153
	178,030		4.000			02/01/37		191,542
	2,470		5.500			02/01/37		2,718
	216,827		5.000			03/01/37		235,688
	59,152		5.500			04/01/37		65,138
	483,230		5.000			05/01/37		525,263
	5,093		5.500			05/01/37		5,593
	1,845		5.500			06/01/37		2,026
	196		5.500			08/01/37		215
	1,184,020		7.500			11/01/37		1,368,182
	982		5.500			12/01/37		1,079
	2,516,300		5.000			02/01/38		2,745,496
	2,197		5.500			02/01/38		2,413
	33,489		5.500			03/01/38		36,817
	530,114		5.000			04/01/38		576,086
	83,554		5.500			04/01/38		91,831
	24,680		5.500			05/01/38		27,167
	7,378		5.500			06/01/38		8,110
	9,901		5.500			07/01/38		10,884
	6,682		5.500			08/01/38		7,351
	5,733		5.500			09/01/38		6,306
	100,000		5.000			10/01/38		108,672
	183,564		6.000			11/01/38		202,257
	2,822		5.500			12/01/38		3,105
	8,626,110		5.000			01/01/39		9,374,170
	26,256		5.500			02/01/39		28,972
	69,030		5.000			03/01/39		75,336
	15,174,972		5.000			04/01/39		16,526,574
	34,064		4.500			05/01/39		37,496
	1,000,000		5.000			06/01/39		1,086,984
	1,059,719		4.500			07/01/39		1,144,292
	6,727,328		5.000			07/01/39		7,310,725
	19,555		4.000			08/01/39		21,022
	117,796		4.500			08/01/39		130,105
	1,813,345		4.500			09/01/39		1,958,061
	12,046,285		4.500			11/01/39		13,012,231
	1,398,133		4.500			12/01/39		1,544,401
	693,474		5.000			07/01/40		760,950
	2,603,648		4.500			08/01/40		2,817,298
	1,992,583		4.000			09/01/40		2,149,543
	44,878		4.000			10/01/40		48,288
	5,604,523		4.000			11/01/40		6,119,046
	150,533		4.500			11/01/40		162,886
	1,945,493		4.000			12/01/40		2,093,359
	728,395		4.500			12/01/40		788,166
	36,640		4.000			01/01/41		39,425
	36,031		4.000			02/01/41		38,796
	1,163,577		5.000			02/01/41		1,276,794
	142,914		4.000			03/01/41		153,882


The accompanying notes are an integral part of these financial statements.		41

GOLDMAN SACHS GOVERNMENT INCOME FUND

Schedule of Investments (continued)

September 30, 2012 (Unaudited)


Principal Amount		Interest Rate			Maturity Date			Value

	Mortgage-Backed Obligations – (continued)
	FNMA – (continued)
$	2,636,268		4.500	%		04/01/41		$	2,858,071
	1,391,282		5.000			04/01/41			1,527,535
	948,403		5.000			05/01/41			1,035,028
	140,622		5.000			06/01/41			153,466
	910,675		4.500			07/01/41			990,552
	102,937		4.000			08/01/41			110,837
	2,162,302		4.500			08/01/41			2,344,227
	54,224		4.000			09/01/41			58,386
	2,262,470		4.500			09/01/41			2,460,916
	114,426		4.500			10/01/41			124,054
	6,606,015		5.000			10/01/41			7,258,461
	658,162		4.000			11/01/41			708,672
	1,336,046		4.000			12/01/41			1,438,580
	71,518		4.000			01/01/42			77,477
	20,000,000		2.500			TBA - 15yr	^(e)		21,025,000
	6,000,000		3.000			TBA - 30yr	^(e)		6,333,281
	9,000,000		3.500			TBA - 30yr	^(e)		9,652,500
	55,000,000		5.000			TBA - 30yr	^(e)		59,971,483
	19,000,000		6.000			TBA - 30yr	^(e)		20,981,641

									275,375,438

	GNMA – 0.7%
	133		9.000			08/15/16			146
	700,447		3.950			07/15/25			769,945
	167,429		7.000			12/15/27			200,309
	20,213		6.500			08/15/28			23,817
	298,684		6.000			01/15/29			341,738
	261,503		7.000			10/15/29			308,297
	2,354,685		5.500			12/15/32			2,634,087
	1,374,072		5.500			06/15/34			1,534,722

									5,813,061

	TOTAL FEDERAL AGENCIES							$	337,245,133

	TOTAL MORTGAGE-BACKED OBLIGATIONS
	(Cost $355,357,081)							$	365,818,535


	Agency Debentures – 24.5%
	FFCB
$	9,000,000		4.750	%		11/06/12		$	9,040,131
	FHLB
	6,000,000		0.210			01/04/13			6,000,462
	10,000,000		5.375	^(f)		06/13/14			10,866,267
	2,900,000		5.625			06/11/21			3,800,729
	FHLMC
	13,200,000		1.375			02/25/14			13,408,663
	5,200,000		0.375			02/27/14			5,209,600
	42,300,000		1.000			07/30/14			42,882,141
	32,291,000		1.000			08/20/14			32,709,656
	5,100,000		5.050			01/26/15			5,644,743
	5,400,000		1.000			03/08/17			5,481,669
	300,000		1.000			06/29/17			303,777
	2,400,000		1.000			07/28/17			2,429,525
	3,100,000		1.250			08/01/19			3,103,497

	Principal Amount		Interest Rate			Maturity Date			Value

	Agency Debentures – (continued)
	FHLMC – (continued)
$	6,200,000		1.250	%		10/02/19		$	6,190,142
	4,900,000		2.375			01/13/22			5,142,315
	FNMA
	24,500,000		0.600			11/14/13			24,509,447
	2,200,000		0.750			12/19/14			2,221,229
	5,800,000		0.875			08/28/17			5,829,209
	11,300,000		0.875			10/26/17			11,344,928
	New Valley Generation III
	3,165,924		4.929			01/15/21			3,616,006
	Small Business Administration
	53,597		7.500			04/01/17			57,953
	19,850		6.800			08/01/17			21,619
	101,831		6.300			05/01/18			111,967
	56,229		6.300			06/01/18			61,393
	Tennessee Valley Authority Series B
	4,200,000		4.375			06/15/15			4,655,662

	TOTAL AGENCY DEBENTURES
	(Cost $200,512,097)							$	204,642,730


	Asset-Backed Securities^(a) – 1.5%
	Home Equity – 0.1%
	Bear Stearns Adjustable Rate Mortgage Trust Series 2004-1, Class 21A1
$	63,636		2.722	%		04/25/34		$	60,328
	Citigroup Mortgage Loan Trust, Inc. Series 2004-OPT1, Class A2
	319,115		0.577			10/25/34			315,253

									375,581

	Student Loan – 1.4%
	Access Group, Inc. Series 2005-2, Class A3
	3,350,000		0.614			11/22/24			3,282,961
	Brazos Higher Education Authority, Inc. Series 2005-3, Class A14
	500,938		0.479			09/25/23			500,101
	College Loan Corp. Trust Series 2004-1, Class A4
	1,700,000		0.641			04/25/24			1,593,364
	Education Funding Capital Trust I Series 2004-1, Class A2
	771,163		0.549			12/15/22			768,719
	GCO Education Loan Funding Trust Series 2006-1, Class A11L
	700,000		0.657			05/25/36			606,534
	Northstar Education Finance, Inc. Series 2005-1, Class A1
	317,245		0.547			10/28/26			316,082
	SLM Student Loan Trust Series 2008-5, Class A4
	3,900,000		2.151			07/25/23			4,109,982
	US Education Loan Trust LLC Series 2006-1, Class A2^(d)
	633,470		0.551			03/01/25			629,200

									11,806,943

	TOTAL ASSET-BACKED SECURITIES
	(Cost $12,098,193)							$	12,182,524


42		The accompanying notes are an integral part of these financial statements.

GOLDMAN SACHS GOVERNMENT INCOME FUND


Principal Amount		Interest Rate			Maturity Date		Value

	Government Guarantee Obligations – 10.3%
	Ally Financial, Inc.^(g)
$	9,900,000		1.750	%		10/30/12	$	9,912,187
	20,000,000		2.200			12/19/12		20,088,120
	Citigroup Funding, Inc.^(g)
$	20,700,000		1.875	%		10/22/12	$	20,719,396
	8,000,000		1.875			11/15/12		8,016,272
	General Electric Capital Corp.^(g)
	14,500,000		0.376	^(a)		12/21/12		14,510,266
	4,300,000		2.125			12/21/12		4,318,451
	Israel Government AID Bond^(g)
	1,200,000		5.500			09/18/23		1,586,788
	100,000		5.500			12/04/23		132,327
	Private Export Funding Corp.^(h)
	7,000,000		3.550			04/15/13		7,126,763

	TOTAL GOVERNMENT GUARANTEE OBLIGATIONS
	(Cost $86,208,903)						$	86,410,570


	U.S. Treasury Obligations – 14.8%
	United States Treasury Bonds
$	6,300,000		6.625	%		02/15/27	$	9,813,006
	590,000		5.000			05/15/37		845,222
	5,400,000		4.375			11/15/39		7,141,932
	3,100,000		4.250			11/15/40		4,027,458
	5,000,000		4.375			05/15/41		6,628,900
	3,100,000		3.750			08/15/41		3,708,871
	7,800,000		3.125			02/15/42		8,301,541
	7,150,000		3.000			05/15/42		7,418,411
	2,000,000		2.750			08/15/42		1,967,820
	United States Treasury Inflation Protected Securities
	719,946		1.625			01/15/15		771,580
	2,120,256		1.875			07/15/15		2,333,278
	United States Treasury Notes
	4,000,000		0.750			12/15/13		4,025,920
	4,000,000		0.250			01/31/14		4,001,920
	2,300,000		0.625			05/31/17		2,305,865
	18,200,000		0.625			09/30/17		18,195,086
	6,400,000		2.250			07/31/18		6,928,064
	7,400,000		1.000			08/31/19		7,381,278
	4,200,000		3.625			02/15/20		4,950,413
	6,800,000		1.750			05/15/22		6,896,152
	10,600,000		1.625			08/15/22		10,587,598
	United States Treasury Principal-Only STRIPS^(c)
	6,600,000		0.000			05/15/21		5,831,694

	TOTAL U.S. TREASURY OBLIGATIONS
	(Cost $117,217,884)						$	124,062,009


	Municipal Debt Obligation – 0.3%
	New Jersey – 0.3%
	New Jersey Economic Development Authority Series A (MBIA)
$	2,000,000		7.425	%		02/15/29	$	2,527,580
	(Cost $2,000,000)


	Notional Amount		Exercise Rate			Expiration Date		Value

	Options Purchased – 0.1%
	Interest Rate Swaptions
	Citibank NA Put – OTC – 10 year Interest Rate Swap Strike Price 1.895%
$	6,700,000		1.895	%		02/28/13	$	146,975
	Citibank NA Call – OTC – 10 year Interest Rate Swap Strike Price 1.895%
	6,700,000		1.895			02/28/13		106,027
	Deutsche Bank Securities, Inc. Put – OTC – 10 year Interest Rate Swap Strike Price 2.060%
	6,700,000		2.060			02/19/13		215,714
	Deutsche Bank Securities, Inc. Call – OTC – 10 year Interest Rate Swap Strike Price 2.060%
	6,700,000		2.060			02/19/13		65,181

	TOTAL OPTIONS PURCHASED
	(Cost $598,310)						$	533,897

	TOTAL INVESTMENTS BEFORE SHORT-TERM INVESTMENT
	(Cost $773,992,468)						$	796,177,845


Principal Amount		Interest Rate			Maturity Date		Value
	Short-term Investment⁽ⁱ⁾ – 23.1%
	Repurchase Agreement – 23.1%
	Joint Repurchase Agreement Account II
$	193,500,000		0.245	%		10/01/12	$	193,500,000
	(Cost $193,500,000)

	TOTAL INVESTMENTS – 118.4%
	(Cost $967,492,468)						$	989,677,845

	LIABILITIES IN EXCESS OF OTHER ASSETS – (18.4)%							(153,620,946	)

	NET ASSETS – 100.0%						$	836,056,899


The percentage shown for each investment category reflects the value of investments in that category as a percentage of net assets.
(a)		Variable rate security. Interest rate disclosed is that which is in effect at 09/30/12.
(b)		Security with a notional or nominal principal amount. The actual effective yield of this security is different than the stated interest rate.
(c)		Issued with a zero coupon. Income is recognized through the accretion of discount.
(d)		Exempt from registration under Rule 144A of the Securities Act of 1933. Under procedures approved by the Board of Trustees, such securities have been determined to be liquid by the investment adviser and may be resold, normally to qualified institutional buyers in transactions exempt from registration. Total market value of Rule 144A securities amounts to $1,077,647, which represents approximately 0.1% of net assets as of 09/30/12.


The accompanying notes are an integral part of these financial statements.		43

GOLDMAN SACHS GOVERNMENT INCOME FUND

Schedule of Investments (continued)

September 30, 2012 (Unaudited)


(e)		TBA (To Be Announced) Securities are purchased/sold on a forward commitment basis with an approximate principal amount and no defined maturity date. The actual principal and maturity date will be determined upon settlement when the specific mortgage pools are assigned. Total market value of TBA securities (excluding forward sales contracts, if any) amounts to $135,885,625 which represents approximately 16.3% of net assets as of 09/30/12.
(f)		A portion of this security is segregated as collateral for initial margin requirements on futures transactions.
(g)		Guaranteed under the Federal Deposit Insurance Corporation’s (“FDIC”) Temporary Liquidity Guarantee Program and is backed by the full faith and credit of the United States. The expiration date of the FDIC’s guarantee is the earlier of the maturity date of the debt or December 31, 2012. Total market value of these securities amounts to $79,283,807, which represents approximately 9.5% of net assets as of 09/30/12.
(h)		Guaranteed by the Export/Import bank of the United States. Total market value for this security amounts to $7,126,763, which represents approximately 0.8% of net assets as of September 30,2012.
(i)		Joint repurchase agreement was entered into on September 28, 2012. Additional information appears on page 69.



Investment Abbreviations:
ACES		—Alternative Credit Enhancement Securities
FDIC		—Federal Deposit Insurance Corp.
FFCB		—Federal Farm Credit Bank
FHLB		—Federal Home Loan Bank
FHLMC		—Federal Home Loan Mortgage Corp.
FNMA		—Federal National Mortgage Association
GNMA		—Government National Mortgage Association
LIBOR		—London Interbank Offered Rate
MBIA		—Insured by Municipal Bond Investors Insurance
NCUA		—National Credit Union Administration
OTC		—Over the Counter
REMIC		—Real Estate Mortgage Investment Conduit
STRIPS		—Separate Trading of Registered Interest and Principal of Securities

ADDITIONAL INVESTMENT INFORMATION

FORWARD SALES CONTRACTS — At September 30, 2012, the Fund had the following forward sales contracts:


Description	Interest Rate	Maturity Date^(e)	Settlement Date		Principal Amount			Value
FNMA (Proceeds Receivable: $12,006,758)	5.000%	TBA-30yr		11/10/2012	$	(11,000,000	)	$	(12,000,313	)

FUTURES CONTRACTS — At September 30, 2012, the Fund had the following futures contracts:


Type	Number of Contracts Long (Short)			Expiration Date	Current Value			Unrealized Gain (Loss)
Eurodollars		196		September 2014	$	48,762,350		$	351,618
Eurodollars		(196	)	September 2015		(48,622,700	)		(569,809	)
Ultra Long U.S. Treasury Bonds		(16	)	December 2012		(2,643,500	)		(67,895	)
5 Year U.S. Treasury Notes		1,671		December 2012		208,261,430			600,566
10 Year U.S. Treasury Notes		578		December 2012		77,153,969			419,225
30 Year U.S. Treasury Bonds		7		December 2012		1,045,625			(4,425	)
TOTAL								$	729,280


44		The accompanying notes are an integral part of these financial statements.

GOLDMAN SACHS GOVERNMENT INCOME FUND

ADDITIONAL INVESTMENT INFORMATION – (continued)

SWAP CONTRACTS — At September 30, 2012, the Fund had the following swap contracts:

INTEREST RATE SWAP CONTRACTS


					Rates Exchanged		Market Value
Counterparty	Notional Amount (000s)^(a)		Termination Date		Payments Received	Payments Made	Upfront Payments Made (Received)			Unrealized Gain (Loss)
Bank of America Securities LLC	$	6,000		02/28/17	3 month LIBOR	0.750%	$	(6,753	)	$	(12,676	)
		1,700		07/23/24	2.150%	3 month LIBOR		—			(16,282	)
Barclays Bank PLC		16,600		02/28/17	3 month LIBOR	0.750		(31,225	)		(22,529	)
Citibank NA		5,800		02/28/17	3 month LIBOR	0.750		(5,700	)		(13,081	)
		14,700		12/19/17	3 month LIBOR	1.250		(52,438	)		(246,744	)
		11,300		12/19/19	3 month LIBOR	1.750		(163,854	)		(209,460	)
Credit Suisse First Boston Corp.		4,600		02/28/17	3 month LIBOR	0.750		(4,883	)		(10,013	)
		11,300		12/19/19	3 month LIBOR	1.750		(157,605	)		(215,710	)
		9,400		12/19/42	3 month LIBOR	2.500		(14,694	)		283,369
Deutsche Bank Securities, Inc.		12,400		02/28/17	3 month LIBOR	0.750		(31,464	)		(8,690	)
		2,800		07/28/24	2.060	3 month LIBOR		—			(50,807	)
JPMorgan Securities, Inc.		3,500		02/28/17	3 month LIBOR	0.750		(5,710	)		(5,624	)
Morgan Stanley Capital Services, Inc.		10,500		02/28/17	3 month LIBOR	0.750		(23,359	)		(10,642	)
TOTAL							$	(497,685	)	$	(538,889	)

(a)

Represents forward starting interest rate swaps whose effective dates of commencement of accruals and cash flows occur subsequent to September 30, 2012.

WRITTEN OPTIONS CONTRACTS

INTEREST RATE SWAPTION CONTRACTS — At September 30, 2012, the fund had the following written swaptions:


Counterparty	Description	Notional Amount (000s)		Expiration Date		Strike Price			Market Value			Premiums Received
Bank of America N.A.	Put – OTC – 10 year Interest Rate Swap for the obligation to pay a fixed rate of 1.640% versus the 3 month LIBOR maturing on July 23, 2024	$	6,300		07/21/14		1.640	%	$	(97,991	)	$	(140,490	)
Deutsche Bank Securities Inc.	Put – OTC – 10 year Interest Rate Swap for the obligation to pay a fixed rate of 1.550% versus the 3 month LIBOR maturing on July 28, 2024		7,700		07/24/14		1.550			(100,449	)		(166,320	)
TOTAL		$	14,000						$	(198,440	)	$	(306,810	)

For the six months ended September 30, 2012, the Fund had the following written swaptions activity:


	Notional Amount (000s)		Premiums Received

Contracts Outstanding March 31, 2012	$	—	$	—
Contracts Written		14,000		306,810
Contracts Outstanding September 30, 2012	$	14,000	$	306,810


The accompanying notes are an integral part of these financial statements.		45

GOLDMAN SACHS HIGH QUALITY FLOATING RATE FUND†

Schedule of Investments

September 30, 2012 (Unaudited)


Principal Amount		Interest Rate			Maturity Date		Value

	Corporate Obligations^(a) – 0.6%
	Banks – 0.6%
	Sparebank 1 Boligkreditt AS
$	1,500,000		1.250	%		10/25/13	$	1,509,900
	(Cost $1,511,283)


	Mortgage-Backed Obligations – 67.5%
	Collateralized Mortgage Obligations – 39.5%
	Interest Only^(b) – 0.0%
	FNMA REMIC Series 1990-145, Class B
$	733		1,004.961	%		12/25/20	$	15,853

	Planned Amortization Class – 0.1%
	FHLMC REMIC Series 2113, Class TE
	163,548		6.000			01/15/14		167,424
	FNMA REMIC Series 1993-225, Class WC
	119,196		6.500			12/25/13		122,361

								289,785

	Regular Floater^(c) – 38.8%
	Collateralized Mortgage Securities Corp. Series N, Class 2
	67,482		1.027			08/25/17		67,730
	FDIC Structured Sale Guaranteed Notes Series 2010-S1, Class 1A^(a)
	1,344,133		0.764			02/25/48		1,345,342
	FHLMC REMIC Series 1826, Class F
	71,060		0.650			09/15/21		71,149
	FHLMC REMIC Series 3371, Class FA
	1,929,274		0.821			09/15/37		1,947,375
	FHLMC REMIC Series 3374, Class FT
	2,540,277		0.521			04/15/37		2,547,430
	FHLMC REMIC Series 3545, Class FA
	4,072,027		1.071			06/15/39		4,132,596
	FHLMC REMIC Series 3588, Class CW
	4,223,588		3.510			10/15/37		4,529,692
	FHLMC REMIC Series 4039, Class FA
	6,732,106		0.721			05/15/42		6,757,148
	FNMA REMIC Series 1990-145, Class A
	298,425		1.091			12/25/20		303,213
	FNMA REMIC Series 1997-20, Class F
	612,416		0.630			03/25/27		603,837
	FNMA REMIC Series 1998-66, Class FC
	154,501		0.721			11/17/28		155,735
	FNMA REMIC Series 2010-123, Class FL
	3,864,996		0.647			11/25/40		3,875,978
	FNMA REMIC Series 2011-110, Class FE
	6,781,049		0.617			04/25/41		6,811,839
	FNMA REMIC Series 2012-56, Class FG
	5,762,991		0.717			03/25/39		5,807,692
	FNMA REMIC Series 2012-63, Class FE
	1,356,513		0.617			06/25/38		1,361,708
	FNMA REMIC Series 2012-65, Class FB
	1,354,354		0.737			06/25/42		1,358,590
	GNMA REMIC Series 2001-25, Class AF
	7,584,488		0.659			02/20/41		7,618,480
	GNMA REMIC Series 2011-99, Class DF
	6,505,616		0.621			07/16/41		6,531,952

	Principal Amount		Interest Rate			Maturity Date		Value

	Mortgage-Backed Obligations – (continued)
	Regular Floater^(c) – (continued)
	GNMA REMIC Series 2012-12, Class HF
$	4,539,734		0.619	%		01/20/42	$	4,557,478
	NCUA Guaranteed Notes Series 2010-A1, Class A
	861,789		0.569			12/07/20		862,238
	NCUA Guaranteed Notes Series 2010-R2, Class 1A
	1,500,185		0.598			11/06/17		1,503,233
	NCUA Guaranteed Notes Series 2011-A1
	2,700,000		0.248			06/12/13		2,700,000
	NCUA Guaranteed Notes Series 2011-R1, Class 1A
	1,137,713		0.678			01/08/20		1,142,158
	NCUA Guaranteed Notes Series 2011-R2, Class 1A
	3,237,859		0.628			02/06/20		3,247,345
	NCUA Guaranteed Notes Series 2011-R3, Class 1A
	3,426,228		0.628			03/11/20		3,435,329
	NCUA Guaranteed Notes Series 2011-R4, Class 1A
	4,958,002		0.599			03/06/20		4,969,816
	NCUA Guaranteed Notes Series 2011-R5, Class 1A
	4,659,410		0.599			04/06/20		4,669,785
	NCUA Guaranteed Notes Series 2011-R6, Class 1A
	4,131,789		0.599			05/07/20		4,140,827

								87,055,695

	Sequential Fixed Rate – 0.1%
	NCUA Guaranteed Notes Series 2010-R1, Class 2A
	233,743		1.840			10/07/20		237,541

	Sequential Floating Rate^(c) – 0.5%
	NCUA Guaranteed Notes Series 2010-R1, Class 1A
	962,547		0.678			10/07/20		965,818

	TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS						$	88,564,692

	Federal Agencies – 28.0%
	Adjustable Rate FHLMC^(c) – 8.9%
$	40,980		2.368	%		08/01/16	$	41,620
	66,312		3.288			08/01/18		68,781
	41,126		2.893			11/01/18		42,264
	232,458		2.917			11/01/18		240,896
	16,678		2.838			02/01/19		17,172
	42,019		2.369			03/01/19		42,964
	29,315		3.055			03/01/19		30,370
	39,716		2.519			06/01/19		40,592
	30,098		2.988			07/01/19		31,138
	699,263		3.158			11/01/19		725,782
	520,574		6.876			11/01/19		559,780
	44,061		3.033			01/01/20		45,102
	61,650		2.366			05/01/21		63,398
	36,087		2.394			10/01/26		36,768
	636,872		3.803			08/01/28		681,836
	314,161		2.589			05/01/29		329,134
	39,087		4.182			06/01/29		42,562
	59,598		2.390			04/01/30		61,898
	59,676		4.315			06/01/30		64,981
	160,305		2.723			12/01/30		164,680
	47,522		2.477			02/01/31		49,670
	13,576		2.285			06/01/31		14,440
	3,273,704		2.887			05/01/34		3,523,252


46		The accompanying notes are an integral part of these financial statements.

GOLDMAN SACHS HIGH QUALITY FLOATING RATE FUND†


	Principal Amount	Interest Rate		Maturity Date		Value

	Mortgage-Backed Obligations – (continued)
	Adjustable Rate FHLMC^(c) – (continued)
$	390,098	3.939	%	05/01/35	$	409,771
	3,877,491	2.374		07/01/35		4,151,566
	3,729,202	2.400		04/01/37		3,983,706
	4,384,743	2.372		12/01/37		4,612,158

						20,076,281

	Adjustable Rate FNMA^(c) – 10.4%
	166,696	6.750		04/01/17		176,619
	30,175	4.258		08/01/17		31,507
	105,142	2.741		09/01/17		109,716
	64,298	2.750		09/01/17		67,500
	22,599	2.500		12/01/17		23,056
	21,735	4.875		12/01/17		23,331
	147,323	2.535		03/01/18		150,478
	61,579	2.760		03/01/18		63,460
	666,641	2.531		07/01/18		681,171
	21,274	1.807		10/01/18		21,482
	32,492	2.377		10/01/18		33,235
	81,542	2.691		10/01/18		84,814
	64,341	2.740		10/01/18		66,512
	96,224	2.417		01/01/19		98,408
	304,848	4.008		04/01/19		323,508
	18,151	5.977		04/01/19		19,159
	144,853	2.366		05/01/19		151,201
	669,737	2.427		05/01/19		685,982
	91,049	6.174		07/01/19		97,849
	255,299	4.302		08/01/19		272,758
	243,213	5.790		05/01/20		261,378
	313,166	2.455		06/01/20		320,770
	21,610	6.623		02/01/22		23,237
	75,513	2.573		05/20/22		78,254
	232,041	2.306		02/01/23		238,155
	2,822	6.219		12/01/23		2,895
	395,426	2.375		01/01/24		410,601
	439,602	2.425		03/01/24		456,794
	351,323	2.175		06/20/24		361,414
	20,196	3.736		08/01/24		21,027
	105,036	5.091		01/01/25		112,881
	25,169	3.728		06/01/27		26,356
	17,150	4.250		12/01/27		18,675
	34,485	4.509		01/01/28		37,551
	24,089	2.368		06/01/29		24,978
	18,011	2.440		06/01/29		18,629
	2,869,302	2.400		07/01/33		3,058,607
	848,785	2.492		11/01/34		910,970
	18,142	3.910		05/01/36		19,694
	7,151,549	2.655		08/01/37		7,675,146
	1,697,046	2.950		09/01/37		1,830,683
	120,081	1.548		06/01/40		123,143
	3,907,724	2.344		12/01/40		4,179,683
	10,956	1.348		02/01/41		11,159

						23,404,426

	Principal Amount	Interest Rate		Maturity Date		Value

	Mortgage-Backed Obligations – (continued)
	Adjustable Rate GNMA^(c) – 4.8%
$	1,064,938	1.625	%	02/20/33	$	1,108,862
	433,038	1.750		05/20/33		450,791
	7,124,383	1.625		08/20/34		7,481,522
	1,540,318	1.625		02/20/37		1,616,949

						10,658,124

	FHLMC – 1.8%
	8,773	6.500		03/01/13		8,936
	7,805	6.500		04/01/13		7,837
	9,152	6.500		05/01/13		9,321
	10,266	6.500		06/01/13		10,455
	357,786	8.000		12/01/15		381,120
	337,927	5.500		01/01/20		366,577
	179,057	7.000		04/01/21		207,450
	106,557	7.000		08/01/21		123,500
	1,039,367	7.000		03/01/22		1,200,468
	331,133	7.000		05/01/22		382,470
	1,068,286	7.000		06/01/22		1,233,905
	9,902	4.500		05/01/23		10,650

						3,942,689

	FNMA – 2.1%
	89,544	5.500		01/01/13		90,291
	174,603	8.000		01/01/16		185,297
	409,589	7.000		03/01/17		445,560
	75,151	7.000		05/01/17		81,751
	2,318,521	5.500		03/01/18		2,510,343
	264,900	5.500		04/01/18		286,817
	10,829	5.000		09/01/19		11,766
	4,185	5.000		11/01/19		4,548
	28,300	5.000		01/01/20		30,764
	89,869	7.000		07/01/21		102,293
	171,356	7.000		11/01/21		195,533
	101,101	7.000		12/01/21		115,424
	202,189	7.000		01/01/22		230,856
	40,274	7.000		02/01/22		45,962
	138,802	7.000		01/01/28		161,378
	121,853	6.500		04/01/33		140,665

						4,639,248

	GNMA – 0.0%
	68,159	7.000		04/15/26		81,172

	TOTAL FEDERAL AGENCIES				$	62,801,940

	TOTAL MORTGAGE-BACKED OBLIGATIONS
	(Cost $150,059,743)				$	151,366,632


	Asset-Backed Securities – 35.6%
	Auto^(c) – 6.6%
	Ally Master Owner Trust Series 2010-1, Class A^(a)
$	6,500,000	1.971	%	01/15/15	$	6,527,671
	Ford Credit Floorplan Master Owner Trust Series 2012-1, Class A
	3,500,000	0.691		01/15/16		3,516,517


The accompanying notes are an integral part of these financial statements.		47

GOLDMAN SACHS HIGH QUALITY FLOATING RATE FUND†

Schedule of Investments (continued)

September 30, 2012 (Unaudited)


	Principal Amount	Interest Rate		Maturity Date		Value

	Asset-Backed Securities – (continued)
	Auto^(c) – (continued)
	Ford Credit Floorplan Master Owner Trust Series 2012-4, Class A2
$	3,000,000	0.569	%	09/15/16	$	3,000,063
	Motor PLC Series 12A, Class A1B^(a)
	1,750,000	0.735		02/25/20		1,750,021

						14,794,272

	Collateralized Loan Obligations^(c) – 6.2%
	Black Diamond CLO Ltd. Series 2005-1A, Class A1^(a)
	732,829	0.649		06/20/17		724,031
	Crown Point CLO Ltd. Series 2012-1A, Class A1LA^(a)
	700,000	1.158		11/21/22		668,609
	Gleneagles CLO Ltd. Series 2005-1A, Class A1^(a)
	4,068,113	0.720		11/01/17		3,958,539
	Goldentree Loan Opportunities V Ltd. Series 2007-5A, Class A^(a)
	850,000	1.150		10/18/21		835,368
	Greywolf CLO Ltd. Series 2007-1A, Class A^(a)
	490,916	0.679		02/18/21		469,144
	KKR Financial CLO Ltd. Series 2005-1A, Class A1^(a)
	1,311,170	0.718		04/26/17		1,290,924
	KKR Financial CLO Ltd. Series 2007-AA, Class A^(a)
	1,208,190	1.205		10/15/17		1,199,643
	Liberty CLO Ltd. Series 2005-1A, Class A1C^(a)
	3,671,210	0.695		11/01/17		3,523,525
	Lightpoint CLO Ltd. Series 2005-3A, Class A1A^(a)
	420,910	0.649		09/15/17		413,779
	Westchester CLO Ltd. Series 2007-1X, Class A1A
	814,112	0.670		08/01/22		776,714

						13,860,276

	Credit Card^(a)(c) – 1.9%
	World Financial Network Credit Card Master Trust Series 2006-A, Class A
	4,200,000	0.351		02/15/17		4,184,526

	Home Equity^(a) – 0.3%
	AH Mortgage Advance Trust Series SART-2, Class A1
	800,000	3.270		09/15/43		801,781

	Student Loan^(c) – 20.6%
	Access Group, Inc. Series 2002-1, Class A2
	1,350,501	0.549		09/25/25		1,346,580
	Access Group, Inc. Series 2003-1, Class A2
	994,049	0.629		12/27/16		989,256
	Access Group, Inc. Series 2005-2, Class A3
	2,800,000	0.614		11/22/24		2,743,968
	Brazos Higher Education Authority, Inc. Series 2005-2, Class A10
	4,200,000	0.489		12/26/19		4,165,898
	Brazos Higher Education Authority, Inc. Series 2005-2, Class A9
	1,572,027	0.469		12/26/17		1,570,122
	Brazos Higher Education Authority, Inc. Series 2005-3, Class A14
	3,468,030	0.479		09/25/23		3,462,239
	Brazos Higher Education Authority, Inc. Student Loan Revenue Series 2004 I-A-2
	2,477,590	0.529		06/27/22		2,472,652

	Principal Amount	Interest Rate		Maturity Date		Value

	Asset-Backed Securities – (continued)
	Student Loan^(c) – (continued)
	Brazos Higher Education Authority, Inc. Student Loan Revenue Series 2005 I-A-2
$	1,539,000	0.449	%	12/26/18	$	1,535,768
	College Loan Corp. Trust Series 2004-1, Class A3
	2,268,530	0.611		04/25/21		2,264,986
	College Loan Corp. Trust Series 2004-1, Class A4
	600,000	0.641		04/25/24		562,364
	College Loan Corp. Trust Series 2005-1, Class A2
	5,000,000	0.551		07/25/24		4,938,727
	College Loan Corp. Trust Series 2005-2, Class A2
	260,495	0.565		10/15/21		260,262
	Education Funding Capital Trust I Series 2004-1, Class A2
	1,542,325	0.549		12/15/22		1,537,437
	Education Loan Asset-Backed Trust Series 2012-1, Class A1
	1,150,000	0.669		06/25/22		1,150,000
	Educational Services of America, Inc. Series 2012-1, Class A1^(a)
	3,114,216	1.367		09/25/40		3,153,404
	GCO Education Loan Funding Trust Series 2005-2, Class A6L
	1,500,000	0.577		05/27/24		1,481,578
	Knowledgeworks Foundation Student Loan Series 2010-1, Class A
	468,032	1.377		02/25/42		467,517
	Northstar Education Finance, Inc. Series 2004-1, Class A4
	1,484,444	0.637		04/29/19		1,479,493
	Northstar Education Finance, Inc. Series 2005-1, Class A1
	1,004,609	0.547		10/28/26		1,000,925
	Pennsylvania State Higher Education Assistance Agency Series 2009-2 Class A-1
	1,318,111	1.051		04/25/19		1,308,961
	Scholar Funding Trust Series 2012-B, Class A1^(a)
	300,000	0.619		10/28/25		299,206
	SLM Student Loan Trust Series 2006-8, Class A4
	489,151	0.531		10/25/21		487,823
	SLM Student Loan Trust Series 2008-5, Class A4
	1,250,000	2.151		07/25/23		1,317,302
	SLM Student Loan Trust Series 2012-3, Class A
	4,573,852	0.867		12/26/25		4,607,528
	South Carolina Student Loan Corp. Series 2005, Class A1
	1,623,647	0.518		12/03/18		1,623,371

						46,227,367

	TOTAL ASSET-BACKED SECURITIES
	(Cost $79,685,293)				$	79,868,222


Notional Amount		Exercise Rate			Expiration Date		Value

	Options Purchased – 0.2%
	Interest Rate Swaptions
	Citibank NA Put – OTC – 10 year Interest Rate Swap Strike Price 1.895%
$	5,400,000		1.895	%		02/28/13	$	118,458
	Citibank NA Call – OTC – 10 year Interest Rate Swap Strike Price 1.895%
	5,400,000		1.895			02/28/13		85,455


48		The accompanying notes are an integral part of these financial statements.

GOLDMAN SACHS HIGH QUALITY FLOATING RATE FUND†


	Notional Amount	Exercise Rate		Expiration Date		Value

	Options Purchased – (continued)
	Interest Rate Swaptions – (continued)
	Deutsche Bank AG Put – OTC – 10 year Interest Rate Swap Strike Price 2.060%
$	5,300,000	2.060	%	02/19/13	$	170,639
	Deutsche Bank AG Call – OTC – 10 year Interest Rate Swap Strike Price 2.060%
	5,300,000	2.060		02/19/13		51,561

	TOTAL OPTIONS PURCHASED – 0.2%
	(Cost $477,690)				$	426,113

	TOTAL INVESTMENTS – 103.9%
	(Cost $231,734,009)				$	233,170,867

	LIABILITIES IN EXCESS OF OTHER ASSETS – (3.9)%					(8,841,696	)

	NET ASSETS – 100.0%				$	224,329,171


The percentage shown for each investment category reflects the value of investments in that category as a percentage of net assets.
(a)		Exempt from registration under Rule 144A of the Securities Act of 1933. Under procedures approved by the Board of Trustees, such securities have been determined to be liquid by the investment adviser and may be resold, normally to qualified institutional buyers in transactions exempt from registration. Total market value of Rule 144A securities amounts to $32,655,413, which represents approximately 14.6% of net assets as of September 30, 2012.
(b)		Security with a notional or nominal principal amount. The actual effective yield of this security is different than the stated interest rate.
(c)		Variable rate security. Interest rate disclosed is that which is in effect at September 30, 2012.



Investment Abbreviations:
CLO		—Collateralized Loan Obligation
FDIC		—Federal Deposit Insurance Corp.
FHLMC		—Federal Home Loan Mortgage Corp.
FNMA		—Federal National Mortgage Association
GNMA		—Government National Mortgage Association
LIBOR		—London Interbank Offered Rate
NCUA		—National Credit Union Administration
OTC		—Over the Counter
REMIC		—Real Estate Mortgage Investment Conduit
SART		—Servicer Advance Revolving Trust

†

Formerly, Goldman Sachs Ultra-Short Duration Government Fund. Effective July 27, 2012, the Fund changed its name to the Goldman Sachs High Quality Floating Rate Fund

ADDITIONAL INVESTMENT INFORMATION

FUTURES CONTRACTS — At September 30, 2012, the Fund had the following futures contracts:


Type	Number of Contracts Long (Short)			Expiration Date	Current Value			Unrealized Gain (Loss)
Eurodollars		1		December 2012	$	249,200		$	1,498
Eurodollars		1		March 2013		249,187			1,985
Eurodollars		1		June 2013		249,150			2,535
Eurodollars		48		September 2014		11,941,800			91,309
Eurodollars		(48	)	September 2015		(11,907,600	)		(148,500	)
Ultra Long U.S. Treasury Bonds		(19	)	December 2012		(3,139,156	)		(89,717	)
5 Year U.S. Treasury Notes		421		December 2012		52,470,414			121,052
10 Year U.S. Treasury Notes		50		December 2012		6,674,219			46,186
30 Year U.S. Treasury Bonds		21		December 2012		3,136,875			(14,431	)
TOTAL								$	11,917


The accompanying notes are an integral part of these financial statements.		49

GOLDMAN SACHS HIGH QUALITY FLOATING RATE FUND†

Schedule of Investments (continued)

September 30, 2012 (Unaudited)

ADDITIONAL INVESTMENT INFORMATION (continued)

SWAP CONTRACTS — At September 30, 2012, the Fund had the following swap contracts:

INTEREST RATE SWAP CONTRACTS


						Rates Exchanged		Market Value
Counterparty	Notional Amount (000s)			Termination Date		Payments Received	Payments Made	Upfront Payments Made (Received)			Unrealized Gain (Loss)
Bank of America Securities LLC	$	5,100	^(a)		02/28/17	3 month LIBOR	0.750%	$	(5,741	)	$	(10,774	)
		1,400	^(a)		07/23/24	2.150%	3 month LIBOR		—			(13,408	)
Barclays Bank PLC		13,900	^(a)		02/28/17	3 month LIBOR	0.750		(26,079	)		(18,932	)
Citibank NA		4,800	^(a)		02/28/17	3 month LIBOR	0.750		(4,718	)		(10,826	)
		7,800	^(a)		12/19/17	3 month LIBOR	1.250		(27,824	)		(130,925	)
		700	^(a)		12/19/19	1.750	3 month LIBOR		21,172			1,953
		16,600	^(a)		12/19/22	3 month LIBOR	2.000		(55,988	)		(306,199	)
Credit Suisse First Boston Corp.		7,600	^(a)		02/28/17	3 month LIBOR	0.750		(9,332	)		(15,278	)
		10,800	^(a)		12/19/22	2.000	3 month LIBOR		167,270			68,369
		1,600	^(a)		12/19/42	3 month LIBOR	2.500		(2,501	)		48,233
Deutsche Bank Securities, Inc.		6,500	^(a)		02/28/17	3 month LIBOR	0.750		(17,015	)		(4,033	)
JPMorgan Securities, Inc.		119,000			12/31/12	3 month LIBOR	0.943		—			(458,812	)
		3,000	^(a)		02/28/17	3 month LIBOR	0.750		(4,894	)		(4,820	)
Morgan Stanley Capital Services, Inc.		8,800	^(a)		02/28/17	3 month LIBOR	0.750		(19,583	)		(8,913	)
TOTAL								$	14,767		$	(864,365	)

(a)

Represents forward starting interest rate swaps whose effective dates of commencement of accruals and cash flows occur subsequent to September 30, 2012.

WRITTEN OPTIONS CONTRACTS

INTEREST RATE SWAPTION CONTRACTS — At September 30, 2012, the fund had the following written swaptions:


Counterparty	Description	Notional Amount (000s)		Expiration Date	Strike Price	Market Value			Premiums Received
Bank of America N.A.	Put – OTC – 10 year Interest Rate Swap for the obligation to pay a fixed rate of 1.640% versus the 3 month LIBOR maturing on July 23, 2024	$	5,100	07/21/14	1.640%	$	(79,326	)	$	(113,730	)

For the six months ended September 30, 2012, the Fund had the following written swaptions activity:


	Notional Amount (000s)		Premiums Received
Contracts Outstanding March 31, 2012	$	—	$	—
Contracts Written		5,100		113,730
Contracts Outstanding September 30, 2012	$	5,100	$	113,730


50		The accompanying notes are an integral part of these financial statements.

GOLDMAN SACHS INFLATION PROTECTED SECURITIES FUND

Schedule of Investments

September 30, 2012 (Unaudited)


Principal Amount		Interest Rate			Maturity Date		Value

	U.S. Treasury Obligations – 99.0%
	United States Treasury Bonds
$	900,000		3.125	%		11/15/41	$	959,310
	United States Treasury Inflation Protected Securities
	13,856,586		2.000			07/15/14		14,781,098
	1,799,865		1.625			01/15/15		1,928,951
	42,758,496		1.875			07/15/15		47,054,442
	14,294,826		2.500			07/15/16		16,602,154
	5,346,322		0.125			04/15/17		5,759,807
	20,382,565		2.125			01/15/19		25,016,337
	11,267,025		1.875			07/15/19		13,826,780
	21,221,716		1.250			07/15/20		25,363,346
	38,910,167		1.125	^(a)		01/15/21		46,053,685
	16,530,664		2.375			01/15/25		22,453,270
	5,194,665		2.000			01/15/26		6,833,426
	29,312,154		2.375			01/15/27		40,514,966
	11,899,188		3.625			04/15/28		18,919,709
	3,841,740		2.500			01/15/29		5,503,293
	1,533,081		3.875			04/15/29		2,549,943
	11,770,200		2.125			02/15/41		17,309,609
	United States Treasury Notes
	1,600,000		0.625			09/30/17		1,599,568
	1,200,000		1.000			09/30/19		1,195,404

	TOTAL U.S. TREASURY OBLIGATIONS
	(Cost $294,974,583)						$	314,225,098


Notional Amount		Exercise Rate			Expiration Date		Value

	Options Purchased – 0.1%
	Interest Rate Swaptions
	Citibank NA Put – OTC – 10 year Interest Rate Swap Strike Price 1.895%
$	3,800,000		1.895	%		02/28/13	$	83,359
	Citibank NA Call – OTC – 10 year Interest Rate Swap Strike Price 1.895%
	3,800,000		1.895			02/28/13		60,135

	TOTAL OPTIONS PURCHASED
	(Cost $167,200)						$	143,494

	TOTAL INVESTMENTS BEFORE SHORT-TERM INVESTMENT
	(Cost $295,141,783)						$	314,368,592


Principal Amount		Interest Rate			Maturity Date		Value

	Short-term Investment^(b) – 0.5%
	Repurchase Agreement – 0.5%
	Joint Repurchase Agreement Account II
$	1,700,000		0.245	%		10/01/12	$	1,700,000
	(Cost $1,700,000)

	TOTAL INVESTMENTS – 99.6%
	(Cost $296,841,783)						$	316,068,592

	OTHER ASSETS IN EXCESS OF LIABILITIES – 0.4%							1,207,081

	NET ASSETS – 100.0%						$	317,275,673


The percentage shown for each investment category reflects the value of investments in that category as a percentage of net assets.
(a)		All or a portion of security is segregated as collateral for initial margin requirement on futures transactions.
(b)		Joint repurchase agreement was entered into on September 28, 2012. Additional information appears on page 69.



Investment Abbreviations:
LIBOR		—London Interbank Offered Rate
OTC		—Over the Counter


The accompanying notes are an integral part of these financial statements.		51

GOLDMAN SACHS INFLATION PROTECTED SECURITIES FUND

Schedule of Investments (continued)

September 30, 2012 (Unaudited)

ADDITIONAL INVESTMENT INFORMATION

FUTURES CONTRACTS — At September 30, 2012, the Fund had the following futures contracts:


Type	Number of Contracts Long (Short)			Expiration Date	Current Value			Unrealized Gain (Loss)
Eurodollars		37		September 2014	$	9,205,138		$	69,753
Eurodollars		(37	)	September 2015		(9,178,775	)		(113,067	)
Ultra Long U.S. Treasury Bonds		(18	)	December 2012		(2,973,938	)		(89,006	)
5 Year U.S. Treasury Notes		339		December 2012		42,250,524			96,136
10 Year U.S. Treasury Notes		(64	)	December 2012		(8,543,000	)		(30,293	)
30 Year U.S. Treasury Bonds		5		December 2012		746,875			(3,161	)
TOTAL								$	(69,638	)

SWAP CONTRACTS — At September 30, 2012, the Fund had the following swap contracts:

INTEREST RATE SWAP CONTRACTS


					Rates Exchanged		Market Value
Counterparty	Notional Amount (000s)^(a)		Termination Date		Payments Received	Payments Made	Upfront Payments Made (Received)			Unrealized Gain (Loss)
Bank of America Securities LLC	$	3,400		02/28/17	0.750%	3 month LIBOR	$	(3,827	)	$	(7,183	)
Deutsche Bank Securities, Inc.		3,300		02/28/17	0.750	3 month LIBOR		(7,576	)		(3,110	)
Morgan Stanley Capital Services, Inc.		8,100		02/28/17	0.750	3 month LIBOR		(17,241	)		(8,988	)
TOTAL							$	(28,644	)	$	(19,281	)

(a)

Represents forward starting interest rate swaps whose effective dates of commencement of accruals and cash flows occur subsequent to September 30, 2012.


52		The accompanying notes are an integral part of these financial statements.

GOLDMAN SACHS SHORT DURATION GOVERNMENT FUND

Schedule of Investments

September 30, 2012 (Unaudited)


Principal Amount		Interest Rate			Maturity Date		Value

	Mortgage-Backed Obligations – 65.6%
	Collateralized Mortgage Obligations – 16.3%
	Inverse Floaters^(a) – 0.0%
	FNMA REMIC Series 1990-134, Class SC
$	24,774		21.272	%		11/25/20	$	36,284

	IOette^(b) – 0.0%
	FHLMC REMIC Series 1161, Class U
	499		1,172.807			11/15/21		14,145

	Planned Amortization Class – 0.0%
	FHLMC REMIC Series 1556, Class H
	59,986		6.500			08/15/13		60,964

	Regular Floater – 10.5%
	FDIC Structured Sale Guaranteed Notes Series 2010-S1, Class 1A^(a)(c)
	18,369,817		0.764			02/25/48		18,386,342
	FDIC Structured Sale Guaranteed Notes Series 2010-S1, Class 2A^(c)
	12,099,545		3.250			04/25/38		12,476,659
	FNMA REMIC Series 1988-12, Class B^(a)(d)
	70,898		0.000			02/25/18		69,705
	NCUA Guaranteed Notes Series 2010-A1, Class A^(a)
	5,314,363		0.578			12/07/20		5,317,134
	NCUA Guaranteed Notes Series 2010-R2, Class 1A^(a)
	9,563,737		0.598			11/06/17		9,583,164
	NCUA Guaranteed Notes Series 2011-A1^(a)
	17,700,000		0.248			06/12/13		17,700,000
	NCUA Guaranteed Notes Series 2011-R1, Class 1A^(a)
	6,663,749		0.678			01/08/20		6,689,780
	NCUA Guaranteed Notes Series 2011-R2, Class 1A^(a)
	21,693,654		0.628			02/06/20		21,757,210
	NCUA Guaranteed Notes Series 2011-R3, Class 1A^(a)
	23,222,213		0.628			03/11/20		23,283,899
	NCUA Guaranteed Notes Series 2011-R4, Class 1A^(a)
	42,239,605		0.608			03/06/20		42,340,253
	NCUA Guaranteed Notes Series 2011-R5, Class 1A^(a)
	29,045,676		0.608			04/06/20		29,110,349
	NCUA Guaranteed Notes Series 2011-R6, Class 1A^(a)
	25,892,545		0.608			05/07/20		25,949,185

								212,663,680

	Sequential Fixed Rate – 5.4%
	FHLMC Multifamily Structured Pass-Through Certificates Series K703, Class A2
	33,200,000		2.699			05/25/18		35,840,197
	FHLMC Multifamily Structured Pass-Through Certificates Series K705, Class A2
	7,800,000		2.303			09/25/18		8,281,577
	FHLMC Multifamily Structured Pass-Through Certificates Series K707, Class A2
	13,700,000		2.220			12/25/18		14,415,326
	FHLMC REMIC Series 108, Class G
	178,237		8.500			12/15/20		201,625
	FHLMC REMIC Series 1980, Class Z
	966,063		7.000			07/15/27		1,109,858
	FHLMC REMIC Series 2019, Class Z
	1,017,630		6.500			12/15/27		1,155,584
	FHLMC REMIC Series 3003, Class CG
	333,436		5.000			07/15/23		334,249

	Principal Amount		Interest Rate			Maturity Date		Value

	Mortgage-Backed Obligations – (continued)
	Sequential Fixed Rate – (continued)
	FHLMC REMIC Series 3466, Class BA
$	673,183		5.000	%		08/15/35	$	676,052
	FHLMC REMIC Series 3530, Class DB
	11,283,235		4.000			05/15/24		12,313,056
	FNMA REMIC Series 1989-66, Class J
	326,226		7.000			09/25/19		360,026
	FNMA REMIC Series 1990-16, Class E
	192,097		9.000			03/25/20		224,019
	FNMA REMIC Series 2002-91, Class LK
	262,350		4.500			06/25/22		264,298
	GNMA REMIC Series 1995-3, Class DQ
	52,305		8.050			06/16/25		60,675
	NCUA Guaranteed Notes Series 2010-C1, Class A2
	20,000,000		2.900			10/29/20		21,556,250
	NCUA Guaranteed Notes Series 2010-R1, Class 2A
	1,402,457		1.840			10/07/20		1,425,247
	NCUA Guaranteed Notes Series A4
	11,000,000		3.000			06/12/19		11,881,210

								110,099,249

	Sequential Floating Rate^(a) – 0.3%
	FHLMC REMICS Series 4097, Class AF
	922,676		0.621			07/15/39		926,108
	FNMA REMIC Series 1988-12, Class A
	138,014		3.750			02/25/18		145,847
	NCUA Guaranteed Notes Series 2010-R1, Class 1A
	5,912,789		0.678			10/07/20		5,932,883

								7,004,838

	TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS						$	329,879,160

	Commercial Mortgage-Backed Securities – 1.1%
	Sequential Fixed Rate – 1.1%
	FNMA ACES Series 2009-M2, Class A2
$	21,700,000		3.334	%		01/25/19	$	23,263,735

	Federal Agencies – 48.2%
	Adjustable Rate FHLMC^(a) – 0.4%
$	57,966		1.740	%		05/01/18	$	58,605
	67,316		3.374			10/01/25		70,145
	708,742		2.724			11/01/34		753,463
	4,965,511		2.375			06/01/35		5,313,385
	570,701		3.429			05/01/36		613,326
	96,810		2.599			10/01/36		104,056
	159,204		2.777			11/01/36		171,094

								7,084,074

	Adjustable Rate FNMA^(a) – 3.2%
	18,700		1.820			11/01/17		18,869
	156,993		3.252			02/01/18		160,453
	86,954		2.068			06/01/18		89,130
	120,621		5.788			05/01/20		129,630
	62,224		3.020			01/01/23		64,656
	344,558		3.163			02/01/27		357,513
	3,774,473		2.871			08/01/29		3,878,170
	57,007		2.380			07/01/32		60,894
	41,878		2.880			07/01/32		45,006


The accompanying notes are an integral part of these financial statements.		53

GOLDMAN SACHS SHORT DURATION GOVERNMENT FUND

Schedule of Investments (continued)

September 30, 2012 (Unaudited)


Principal Amount		Interest Rate			Maturity Date		Value

	Mortgage-Backed Obligations – (continued)
	Adjustable Rate FNMA^(a) – (continued)
$	234,175		2.427	%		01/01/33	$	250,143
	2,776,997		2.925			05/01/33		2,984,405
	492,392		3.000			08/01/33		524,348
	2,182,482		4.611			08/01/33		2,376,518
	1,972,180		2.413			02/01/34		2,113,711
	592,045		2.695			05/01/34		635,922
	1,181,181		2.825			05/01/34		1,269,401
	1,091,962		2.345			06/01/34		1,171,097
	981,712		2.383			10/01/34		1,053,082
	724,387		2.462			10/01/34		778,491
	1,853,746		2.548			02/01/35		1,991,152
	257,019		2.602			02/01/35		275,369
	414,520		2.778			03/01/35		445,082
	2,391,826		2.805			03/01/35		2,536,479
	2,879,523		2.432			04/01/35		3,048,263
	5,287,106		2.544			04/01/35		5,637,610
	1,866,680		2.845			04/01/35		2,006,098
	846,427		2.525			05/01/35		900,291
	524,873		2.569			05/01/35		560,335
	3,293,295		2.347			08/01/35		3,541,323
	1,787,734		2.257			10/01/35		1,879,214
	3,285,728		2.856			03/01/36		3,531,132
	771,171		2.391			04/01/36		810,292
	2,849,323		3.039			04/01/36		3,037,527
	1,630,348		2.538			06/01/36		1,722,878
	3,039,271		2.881			06/01/36		3,266,268
	2,667,072		2.590			07/01/36		2,822,602
	4,369,140		2.659			09/01/36		4,695,462
	355,471		2.739			11/01/36		382,021
	234,850		2.797			11/01/36		252,390
	3,677,376		2.863			07/01/37		3,952,032
	157,656		2.778			12/01/46		169,431

								65,424,690

	Adjustable Rate GNMA^(a) – 0.6%
	3,507,493		1.750			05/20/34		3,681,067
	1,133,934		1.625			07/20/34		1,190,850
	704,692		1.625			08/20/34		740,080
	5,027,902		1.625			09/20/34		5,277,361
	686,203		1.625			10/20/34		719,639
	1,009,715		1.625			12/20/34		1,059,029

								12,668,026

	FHLMC – 0.1%
	52		7.000			12/01/12		52
	2,051		6.500			01/01/13		2,077
	3,312		6.500			04/01/13		3,326
	15,748		6.500			05/01/13		15,981
	5,133		6.500			06/01/13		5,228
	4,621		6.500			10/01/13		4,750
	29,564		8.500			10/01/15		32,001
	123,801		8.000			12/01/15		131,876
	8,053		7.000			03/01/16		8,570
	1,672,705		5.500			01/01/20		1,814,519
	401,540		7.000			04/01/22		463,806
	9,902		4.500			05/01/23		10,649

	Principal Amount		Interest Rate			Maturity Date		Value

	Mortgage-Backed Obligations – (continued)
	FHLMC – (continued)
$	33,538		7.500	%		01/01/31	$	38,561
	12,297		6.000			06/01/36		13,647

								2,545,043

	FNMA – 43.8%
	37,813		5.500			01/01/13		38,128
	5,159		6.000			01/01/14		5,697
	17,995		6.000			03/01/14		19,872
	6,580		5.500			04/01/14		7,216
	1,862		8.500			09/01/15		1,868
	56,953		8.500			10/01/15		60,930
	8,293		8.500			12/01/15		8,880
	9,000,000		3.660			01/01/18		10,133,247
	5,307		5.500			01/01/18		5,746
	7,575,748		2.800			03/01/18		8,156,539
	6,860,000		3.840			05/01/18		7,696,098
	62,270,947		3.738			06/01/18		70,294,565
	275,891		5.500			07/01/18		298,717
	177,002		5.500			08/01/18		191,646
	332,563		5.500			09/01/18		360,078
	15,800,000		2.960			11/01/18		17,219,372
	50,152		5.500			12/01/18		54,301
	22,700		5.500			01/01/19		24,579
	38,317		5.500			03/01/19		41,488
	7,953		5.500			08/01/19		8,621
	12,362		5.000			09/01/19		13,409
	44,938		7.000			11/01/19		50,453
	4,885,334		3.416			10/01/20		5,423,868
	3,715,545		3.632			12/01/20		4,132,432
	5,844,952		4.375			06/01/21		6,808,084
	42,173,441		4.317			07/01/21		48,861,132
	5,393,886		5.500			09/01/23		5,867,589
	1,105,410		5.500			10/01/23		1,205,156
	8,532		7.000			12/01/24		9,981
	138,328		5.000			06/01/25		151,856
	15,938,909		4.000			08/01/26		17,053,209
	19,954,989		4.000			09/01/26		21,312,865
	1,097,050		5.000			06/01/27		1,204,333
	1,676		7.000			07/01/27		1,826
	2,398		7.000			08/01/27		2,788
	3,461		7.000			10/01/28		4,075
	3,014		7.000			01/01/29		3,504
	147,166		5.000			07/01/29		161,988
	2,654,806		4.500			09/01/29		2,868,577
	1,803		7.000			11/01/29		2,097
	132,621		8.000			02/01/31		158,378
	1,914		7.000			04/01/31		2,267
	16,124,892		4.500			10/01/31		17,602,513
	12,260		7.000			05/01/32		14,224
	11,167		7.000			06/01/32		12,955
	5,295		7.000			08/01/32		6,143
	1,719,784		6.000			03/01/33		1,927,152
	8,609		5.000			04/01/33		9,401
	3,102,578		6.500			04/01/33		3,575,745
	3,416		7.000			04/01/34		3,973
	7,429,122		6.000			04/01/35		8,295,445


54		The accompanying notes are an integral part of these financial statements.

GOLDMAN SACHS SHORT DURATION GOVERNMENT FUND


Principal Amount		Interest Rate			Maturity Date			Value

	Mortgage-Backed Obligations – (continued)
	FNMA – (continued)
$	4,158,233		5.000	%		08/01/35		$	4,527,954
	14,574		5.000			09/01/35			15,870
	1,320		6.000			11/01/35			1,469
	990,911		5.000			12/01/35			1,079,017
	14,189		5.000			07/01/36			15,435
	178,945		5.000			11/01/36			194,654
	6,116,637		5.000			12/01/36			6,660,133
	139,267		5.000			02/01/37			151,381
	1,609,885		5.000			05/01/37			1,749,920
	4,521,526		5.000			06/01/37			4,914,826
	15,049		5.000			07/01/37			16,358
	162,544		5.000			08/01/37			176,683
	95,000		8.500			09/01/37			110,093
	992,755		7.500			10/01/37			1,145,926
	9,098		5.000			01/01/38			9,887
	1,459,427		5.000			02/01/38			1,589,190
	1,076,794		5.000			03/01/38			1,170,174
	4,469,554		5.000			04/01/38			4,857,155
	5,273,198		5.000			05/01/38			5,742,211
	1,622,022		5.000			06/01/38			1,762,684
	1,448,235		5.000			02/01/39			1,580,147
	987,237		5.000			03/01/39			1,091,244
	982,293		5.000			04/01/39			1,072,014
	2,001,928		5.000			05/01/39			2,184,781
	4,041,466		5.000			07/01/39			4,391,943
	23,654		4.500			08/01/39			25,542
	1,019,530		5.000			10/01/39			1,112,652
	16,000		5.000			11/01/39			17,462
	2,000,000		5.000			03/01/40			2,194,603
	1,277,016		5.000			06/01/40			1,401,271
	13,406,696		4.500			08/01/40			14,506,819
	649,972		5.000			08/01/40			713,215
	12,955,723		4.500			11/01/40			14,021,911
	484,824		5.000			02/01/41			531,998
	5,268,794		4.500			04/01/41			5,712,084
	170,248		5.000			04/01/41			187,062
	2,248,160		4.500			05/01/41			2,437,309
	395,168		5.000			05/01/41			431,262
	58,592		5.000			06/01/41			63,944
	18,948,403		4.500			08/01/41			20,569,996
	457,703		4.500			10/01/41			496,212
	2,752,507		5.000			10/01/41			3,024,359
	969,656		4.000			01/01/42			1,044,072
	183,130		5.000			02/01/42			199,704
	203,000,000		5.000			TBA - 30yr	^(e)		221,349,292
	261,000,000		6.000			TBA - 30yr	^(e)		288,221,491

									885,848,415

	Principal Amount		Interest Rate			Maturity Date			Value

	Mortgage-Backed Obligations – (continued)
	GNMA – 0.1%
$	629,222		5.500	%		07/15/20		$	680,735
	278,351		6.000			11/15/38			314,395

									995,130

	TOTAL FEDERAL AGENCIES							$	974,565,378

	TOTAL MORTGAGE-BACKED OBLIGATIONS
	(Cost $1,302,923,873)							$	1,327,708,273


	Agency Debentures – 50.8%
	FHLB
$	12,200,000		2.125	%		06/10/16		$	12,886,421
	FHLMC
	66,000,000		0.181	^(a)		06/03/13			66,000,924
	41,000,000		0.171	^(a)		06/17/13			41,028,044
	34,220,000		5.000			01/30/14			36,382,013
	44,200,000		1.375			02/25/14			44,898,705
	51,300,000		0.375			02/27/14			51,394,710
	132,800,000		1.000			07/30/14			134,627,620
	13,300,000		1.000			08/20/14			13,472,436
	9,700,000		0.500			08/28/15			9,742,220
	72,100,000		3.000			07/31/19			73,659,912
	18,500,000		1.250			10/02/19			18,470,585
	FNMA
	125,200,000		0.345	^(a)		05/17/13			125,266,106
	9,535,000		1.050			10/22/13			9,613,718
	27,000,000		0.600			10/25/13			27,000,270
	103,100,000		0.600			11/14/13			103,139,755
	56,400,000		4.125			04/15/14			59,768,056
	28,400,000		0.000	^(f)		07/05/14			28,054,062
	6,900,000		0.750			12/19/14			6,966,583
	26,100,000		0.375			03/16/15			26,130,161
	7,900,000		0.500			05/27/15			7,930,469
	8,000,000		0.500			07/02/15			8,035,472
	96,700,000		2.375			04/11/16			103,078,158
	18,100,000		1.125			04/27/17			18,462,742
	Small Business Administration
	76,630		7.200			06/01/17			83,985
	203,662		6.300			05/01/18			223,935
	140,573		6.300			06/01/18			153,483

	TOTAL AGENCY DEBENTURES
	(Cost $1,022,113,520)							$	1,026,470,545


	U.S. Treasury Obligations – 3.0%
	United States Treasury Inflation Protected Securities^(g)
$	1,919,856		1.625	%		01/15/15		$	2,057,548
	4,947,264		1.875			07/15/15			5,444,315


The accompanying notes are an integral part of these financial statements.		55

GOLDMAN SACHS SHORT DURATION GOVERNMENT FUND

Schedule of Investments (continued)

September 30, 2012 (Unaudited)


Principal Amount		Interest Rate			Maturity Date		Value

	U.S. Treasury Obligations – (continued)
	United States Treasury Notes
$	30,400,000		0.250	%		05/31/14	$	30,408,512
	22,500,000		1.625			08/15/22		22,473,676

	TOTAL U.S. TREASURY OBLIGATIONS
	(Cost $60,200,409)						$	60,384,051


Notional Amount		Exercise Rate			Expiration Date		Value

	Options Purchased – 0.1%
	Interest Rate Swaptions
	Citibank Securities, Inc. Put – OTC – 10 year Interest Rate Swap Strike Price 1.895%
$	24,000,000		1.895	%		02/28/13	$	526,478
	Citibank Securities, Inc. Call – OTC – 10 year Interest Rate Swap Strike Price 1.895%
	24,000,000		1.895			02/28/13		379,800
	Deutsche Bank Securities, Inc. Put – OTC – 10 year Interest Rate Swap Strike Price 2.060%
	24,100,000		2.060			02/19/13		775,926
	Deutsche Bank Securities, Inc. Call – OTC – 10 year Interest Rate Swap Strike Price 2.060%
	24,100,000		2.060			02/19/13		234,457

	TOTAL OPTIONS PURCHASED – 0.1%
	(Cost $2,147,730)						$	1,916,661

	TOTAL INVESTMENTS BEFORE SHORT-TERM INVESTMENT
	(Cost $2,387,385,532)						$	2,416,479,530


Principal Amount		Interest Rate			Maturity Date		Value

	Short-term Investment^(h) – 5.0%
	Repurchase Agreement – 5.0%
	Joint Repurchase Agreement Account II
$	100,500,000		0.245	%		10/01/12	$	100,500,000
	(Cost $100,500,000)

	TOTAL INVESTMENTS – 124.5%
	(Cost $2,487,885,532)						$	2,516,979,530

	LIABILITIES IN EXCESS OF OTHER ASSETS – (24.5)%							(494,593,477	)

	NET ASSETS – 100.0%						$	2,022,386,053


The percentage shown for each investment category reflects the value of investments in that category as a percentage of net assets.
(a)		Variable rate security. Interest rate disclosed is that which is in effect at 09/30/12.
(b)		Security with a notional or nominal principal amount. The actual effective yield of this security is different than the stated interest rate.
(c)		Exempt from registration under Rule 144A of the Securities Act of 1933. Under procedures approved by the Board of Trustees, such securities have been determined to be liquid by the investment adviser and may be resold, normally to qualified institutional buyers in transactions exempt from registration. Total market value of Rule 144A securities amounts to $30,863,001, which represents approximately 1.5% of net assets as of 09/30/12.
(d)		Issued with zero coupon and interest rate is contingent upon LIBOR reaching a predetermined level.
(e)		TBA (To Be Announced) Securities are purchased on a forward commitment basis with an approximate principal amount and no defined maturity date. The actual principal and maturity date will be determined upon settlement when the specific mortgage pools are assigned. Total market value of TBA securities (excluding forward sales contracts, if any) amounts to $509,570,783 which represents approximately 25.2% of net assets as of 09/30/12.
(f)		Issued with a zero coupon. Income is recognized through the accretion of discount.
(g)		A portion of this security is segregated as collateral for initial margin requirements on futures transactions.
(h)		Joint repurchase agreement was entered into on September 28, 2012. Additional information appears on page 69.



Investment Abbreviations:
ACES		—Alternative Credit Enhancement Securities
FDIC		—Federal Deposit Insurance Corp.
FHLB		—Federal Home Loan Bank
FHLMC		—Federal Home Loan Mortgage Corp.
FNMA		—Federal National Mortgage Association
GNMA		—Government National Mortgage Association
LIBOR		—London Interbank Offered Rate
NCUA		—National Credit Union Administration
OTC		—Over the Counter
REMIC		—Real Estate Mortgage Investment Conduit


56		The accompanying notes are an integral part of these financial statements.

GOLDMAN SACHS SHORT DURATION GOVERNMENT FUND

ADDITIONAL INVESTMENT INFORMATION

FORWARD SALES CONTRACTS — At September 30, 2012, the Fund had the following forward sales contracts:


Description	Interest Rate			Maturity Date^(e)	Settlement Date		Principal Amount			Value
FNMA		4.500	%	TBA-30yr		11/14/12	$	(65,000,000	)	$	(70,334,570	)
FNMA		5.000		TBA-30yr		11/10/12		(13,000,000	)		(14,182,187	)
TOTAL (Proceeds Receivable: $84,411,367)										$	(84,516,757	)

FUTURES CONTRACTS — At September 30, 2012, the Fund had the following futures contracts:


Type	Number of Contracts Long (Short)			Expiration Date	Current Value			Unrealized Gain (Loss)
Eurodollars		249		September 2014	$	61,948,088		$	473,213
Eurodollars		(249	)	September 2015		(61,770,675	)		(769,795	)
Ultra Long U.S. Treasury Bonds		41		December 2012		6,773,969			(91,677	)
2 Year U.S. Treasury Notes		6,634		December 2012		1,463,004,312			692,430
5 Year U.S. Treasury Notes		225		December 2012		28,042,383			55,566
10 Year U.S. Treasury Notes		(476	)	December 2012		(63,538,563	)		(191,895	)
30 Year U.S. Treasury Bonds		4		December 2012		597,500			(2,529	)
TOTAL								$	165,313

SWAP CONTRACTS — At September 30, 2012, the Fund had the following swap contracts:

INTEREST RATE SWAP CONTRACTS


						Rates Exchanged			Market Value
Counterparty	Notional Amount (000s)			Termination Date		Payments Received		Payments Made	Upfront Payments Made (Received)			Unrealized Gain (Loss)
Bank of America Securities LLC	$	31,000			11/02/16		3 month LIBOR	1.780%	$	—		$	(1,695,528	)
		22,100	^(a)		02/28/17		3 month LIBOR	0.750		(24,876	)		(46,688	)
		4,200	^(a)		07/23/24		2.150%	3 month LIBOR		—			(40,226	)
Barclays Bank PLC		70,900	^(a)		02/28/17		3 month LIBOR	0.750		(126,480	)		(103,109	)
		3,100	^(a)		07/21/24		2.160	3 month LIBOR		—			(26,509	)
Citibank NA		21,100	^(a)		02/28/17		3 month LIBOR	0.750		(20,738	)		(47,588	)
		188,000	^(a)		12/19/17		3 month LIBOR	1.250		(1,037,558	)		(2,788,712	)
		15,200	^(a)		12/19/22		3 month LIBOR	2.000		(233,122	)		(98,519	)
Credit Suisse International (London)		33,200	^(a)		02/28/17		3 month LIBOR	0.750		(40,732	)		(66,776	)
		79,100	^(a)		12/19/17		3 month LIBOR	1.250		(624,099	)		(985,784	)
		69,200	^(a)		12/19/19		3 month LIBOR	1.750		(1,467,524	)		(818,615	)
		20,500	^(a)		12/19/22		3 month LIBOR	2.000		(188,682	)		(258,597	)
		400	^(a)		12/19/42		3 month LIBOR	2.500		(625	)		12,058
Deutsche Bank Securities, Inc.		9,300	^(a)		02/28/17		0.750	3 month LIBOR		(21,350	)		(8,764	)
		4,200	^(a)		07/22/24		2.130	3 month LIBOR		—			(47,546	)
		6,800	^(a)		07/28/24		2.060	3 month LIBOR		—			(123,389	)
JPMorgan Securities, Inc.		185,600			12/31/12		3 month LIBOR	0.943		—			(715,593	)
		19,700	^(a)		02/28/17		3 month LIBOR	0.750		(32,139	)		(31,654	)
		197,800	^(a)		02/28/17		0.750	3 month LIBOR		771,807			—
		16,300	^(a)		12/19/27		3 month LIBOR	2.500		(534,435	)		26,079
		17,000	^(a)		12/19/32		3 month LIBOR	2.500		(241,102	)		145,496
Morgan Stanley Capital Services, Inc.		21,500	^(a)		02/28/17		3 month LIBOR	0.750		(49,504	)		(20,117	)
TOTAL									$	(3,871,159	)	$	(7,740,081	)

(a)

Represents forward starting interest rate swaps whose effective dates of commencement of accruals and cash flows occur subsequent to September 30, 2012.


The accompanying notes are an integral part of these financial statements.		57

GOLDMAN SACHS SHORT DURATION GOVERNMENT FUND

Schedule of Investments (continued)

September 30, 2012 (Unaudited)

ADDITIONAL INVESTMENT INFORMATION (continued)

WRITTEN OPTIONS CONTRACTS

INTEREST RATE SWAPTION CONTRACTS — For the six months ended September 30, 2012, the Fund had the following written swaptions:


Counterparty	Description	Notional Amount (000s)		Expiration Date		Strike Price			Market Value			Premiums Received
Bank of America N.A.	Put – OTC – 10 year Interest Rate Swap for the obligation to pay a fixed rate of 1.640% versus the 3 month LIBOR maturing on July 23, 2024	$	15,400		07/21/14		1.640	%	$	(239,533	)	$	(343,420	)
Barclays Bank PLC	Put – OTC – 10 year Interest Rate Swap for the obligation to pay a fixed rate of 1.650% versus the 3 month LIBOR maturing on July 21, 2024		11,500		07/17/14		1.650			(181,838	)		(258,750	)
	Put – OTC – 10 year Interest Rate Swap for the obligation to pay a fixed rate of 1.620% versus the 3 month LIBOR maturing on July 22, 2024		15,400		07/18/14		1.620			(231,000	)		(346,500	)
Deutsche Bank Securities Inc.	Put – OTC – 10 year Interest Rate Swap for the obligation to pay a fixed rate of 1.550% versus the 3 month LIBOR maturing on July 28, 2024		18,800		07/24/14		1.550			(245,252	)		(406,080	)
TOTAL		$	61,100						$	(897,623	)	$	(1,354,750	)

For the six months ended September 30, 2012, the Fund had the following written swaptions activity:


	Notional Amount (000s)		Premiums Received
Contracts Outstanding March 31, 2012	$	—	$	—
Contracts Written		61,000		1,354,750
Contracts Outstanding September 30, 2012	$	61,000	$	1,354,750


58		The accompanying notes are an integral part of these financial statements.

GOLDMAN SACHS SHORT DURATION INCOME FUND

Schedule of Investments

September 30, 2012 (Unaudited)


Principal Amount		Interest Rate			Maturity Date		Value

	Corporate Obligations – 46.6%
	Automotive – 0.4%
	Ford Motor Credit Co. LLC
$	125,000		8.000	%		12/15/16	$	150,625

	Banks – 14.3%
	ANZ Capital Trust II^(a)(b)
	150,000		5.360			12/31/49		152,625
	Australia & New Zealand Banking Group Ltd.^(a)
	300,000		1.000			10/06/15		300,510
	Bank of America Corp.
	800,000		3.625			03/17/16		846,549
	BNP Paribas Capital Trust VI^(b)(c)
EUR	75,000		5.868			01/16/49		93,555
	Capital One Financial Corp.
$	225,000		2.125			07/15/14		229,516
	Citigroup, Inc.
	695,000		4.750			05/19/15		748,233
	Cooperatieve Centrale Raiffeisen – Boerenleenbank BA^(a)
	100,000		3.200			03/11/15		104,723
	Credit Suisse New York
	325,000		5.500			05/01/14		347,701
	HSBC Capital Funding LP^(a)(b)(c)
	100,000		4.610			06/27/49		99,300
	ING Bank NV^(a)
	200,000		2.000			09/25/15		200,299
	JPMorgan Chase & Co.
	500,000		3.450			03/01/16		532,687
	Morgan Stanley
	675,000		3.800			04/29/16		694,786
	Resona Preferred Global Securities Ltd.^(a)(b)(c)
	100,000		7.191			07/30/49		107,622
	Royal Bank of Scotland Group PLC
	75,000		2.550			09/18/15		75,943
	Santander Holdings USA, Inc.^(b)
	50,000		3.000			09/24/15		50,222
	Sparebank 1 Boligkreditt AS^(a)
	200,000		1.250			10/25/14		201,320
	Wells Fargo & Co.
	325,000		2.625			12/15/16		342,832

								5,128,423

	Chemicals^(b) – 1.4%
	Ecolab, Inc.
	275,000		2.375			12/08/14		283,820
	Huntsman International LLC
EUR	100,000		5.500			06/30/16		100,500
	The Dow Chemical Co.
$	100,000		2.500			02/15/16		104,012

								488,332

	Consumer Products – Household & Leisure^(b) – 0.6%
	Spectrum Brands, Inc.
	200,000		9.500			06/15/18		225,500

	Electric^(b) – 0.3%
	Commonwealth Edison Co.
	100,000		1.625			01/15/14		101,327

Principal Amount		Interest Rate			Maturity Date		Value

	Corporate Obligations – (continued)
	Energy – 4.0%
	Anadarko Petroleum Corp.^(b)
$	150,000		6.375	%		09/15/17	$	180,573
	Banco de Bogota SA^(b)
	200,000		5.000			01/15/17		211,038
	BP Capital Markets PLC
	275,000		3.200			03/11/16		293,883
	Gaz Capital SA for Gazprom
	100,000		9.250			04/23/19		130,000
	Noble Holding International Ltd.^(b)
	100,000		2.500			03/15/17		102,852
	Petrobras International Finance Co.^(b)
	200,000		2.875			02/06/15		205,342
	Transocean, Inc.^(b)
	200,000		5.050			12/15/16		222,936
	Weatherford International Ltd.^(b)
	100,000		5.150			03/15/13		101,803

								1,448,427

	Energy – Exploration & Production^(b) – 0.6%
	Range Resources Corp.
	200,000		8.000			05/15/19		221,000

	Food & Beverage – 1.8%
	Anheuser-Busch InBev Worldwide, Inc.^(b)
	125,000		3.625			04/15/15		133,989
	Diageo Capital PLC^(b)
	25,000		1.500			05/11/17		25,391
	Kraft Foods, Inc.
	100,000		4.125			02/09/16		109,995
	Pernod-Ricard SA^(a)(b)
	150,000		2.950			01/15/17		155,139
	SABMiller Holdings, Inc.^(a)(b)
	200,000		2.450			01/15/17		209,192

								633,706

	Gaming^(b) – 0.8%
	MGM Resorts International
	250,000		9.000			03/15/20		278,750

	Health Care^(b) – 0.2%
	Coventry Health Care, Inc.
	51,000		6.300			08/15/14		55,314

	Health Care Products^(b) – 0.4%
	Life Technologies Corp.
	150,000		4.400			03/01/15		159,144

	Health Care Services^(b) – 1.6%
	Express Scripts Holding Co.
	50,000		6.250			06/15/14		54,436
	175,000		3.125			05/15/16		184,794
	Tenet Healthcare Corp.
	200,000		10.000			05/01/18		230,000
	UnitedHealth Group Inc.
	100,000		1.875			11/15/16		102,379

								571,609


The accompanying notes are an integral part of these financial statements.		59

GOLDMAN SACHS SHORT DURATION INCOME FUND

Schedule of Investments (continued)

September 30, 2012 (Unaudited)


Principal Amount		Interest Rate			Maturity Date		Value

	Corporate Obligations – (continued)
	Household & Leisure^(b) – 0.3%
	Prestige Brands, Inc.
$	100,000		8.250	%		04/01/18	$	110,250

	Life Insurance – 1.3%
	American International Group, Inc.^(b)
	45,000		4.875			09/15/16		49,751
	MetLife, Inc.
	125,000		2.375	^(b)		02/06/14		127,649
	150,000		1.756			12/15/17		151,486
	Prudential Financial, Inc.
	125,000		5.100			09/20/14		135,072

								463,958

	Media – Cable^(b) – 3.9%
	CCO Holdings LLC/CCO Holdings Capital Corp.
	500,000		7.250			10/30/17		545,000
	COX Communications, Inc.
	100,000		4.625			06/01/13		102,768
	100,000		5.500			10/01/15		113,077
	DIRECTV Holdings LLC/DIRECTV Financing Co., Inc.
	60,000		4.750			10/01/14		64,519
	125,000		3.500			03/01/16		133,164
	DISH DBS Corp.
	200,000		6.625			10/01/14		216,500
	Virgin Media Finance PLC
	200,000		9.500			08/15/16		221,000

								1,396,028

	Media – Non Cable – 1.2%
	NBCUniversal Media LLC^(b)
	100,000		2.100			04/01/14		102,176
	News America, Inc.
	200,000		5.300			12/15/14		218,757
	WPP Finance UK^(b)
	100,000		8.000			09/15/14		111,983

								432,916

	Noncaptive – Financial – 0.7%
	General Electric Capital Corp.
	150,000		2.150			01/09/15		154,344
	SLM Corp.
	100,000		5.000			10/01/13		103,629

								257,973

	Packaging^(b) – 0.3%
	Ball Corp.
	100,000		7.125			09/01/16		108,500

	Pharmaceuticals^(b) – 0.9%
	GlaxoSmithKline Capital, Inc.
	100,000		4.375			04/15/14		105,997
	Novartis Capital Corp.
	100,000		2.900			04/24/15		105,817
	Roche Holdings, Inc.^(a)
	75,000		5.000			03/01/14		79,531
	Watson Pharmaceuticals, Inc.
	25,000		1.875			10/01/17		25,268

								316,613

	Principal Amount		Interest Rate			Maturity Date		Value

	Corporate Obligations – (continued)
	Pipelines^(b) – 2.6%
	Energy Transfer Partners LP
$	100,000		5.950	%		02/01/15	$	109,742
	Enterprise Products Operating LLC
	100,000		3.200			02/01/16		105,404
	100,000		7.034	^(c)		01/15/68		112,250
	ONEOK Partners LP
	100,000		3.250			02/01/16		105,106
	Southern Union Co.^(c)
	100,000		3.462			11/01/66		80,000
	Targa Resources Partners LP
	300,000		8.250			07/01/16		312,750
	TransCanada PipeLines Ltd.^(c)
	100,000		6.350			05/15/67		106,500

								931,752

	Real Estate Investment Trust^(b) – 2.5%
	ERP Operating LP
	300,000		5.250			09/15/14		324,690
	HCP, Inc.
	100,000		3.750			02/01/16		106,178
	Health Care REIT, Inc.
	125,000		6.000			11/15/13		131,464
	Kilroy Realty LP
	100,000		5.000			11/03/15		108,911
	Simon Property Group LP
	100,000		6.100			05/01/16		115,501
	WEA Finance LLC^(a)
	100,000		5.750			09/02/15		110,988

								897,732

	Retailers – 0.3%
	Wal-Mart Stores, Inc.
	75,000		5.375			04/05/17		89,144

	Retailers – Food & Drug^(b) – 0.3%
	Rite Aid Corp.
	100,000		9.750			06/12/16		109,500

	Technology^(b) – 1.2%
	Fidelity National Information Services, Inc.
	100,000		7.625			07/15/17		109,500
	Hewlett-Packard Co.
	150,000		3.000			09/15/16		154,691
	International Business Machines Corp.
	125,000		2.000			01/05/16		129,080
	Texas Instruments, Inc.
	50,000		2.375			05/16/16		52,752

								446,023

	Technology – Hardware^(b) – 0.2%
	Tech Data Corp.
	75,000		3.750			09/21/17		75,574

	Tobacco – 0.4%
	Philip Morris International, Inc.
	150,000		1.125			08/21/17		149,605


60		The accompanying notes are an integral part of these financial statements.

GOLDMAN SACHS SHORT DURATION INCOME FUND


Principal Amount		Interest Rate			Maturity Date			Value

	Corporate Obligations – (continued)
	Transportation^(b) – 0.3%
	CSX Corp.
$	100,000		6.250	%		04/01/15		$	113,303

	Wireless Telecommunications^(b) – 0.7%
	Deutsche Telekom International Finance BV
	125,000		5.875			08/20/13			130,575
	Verizon Communications, Inc.
	125,000		3.000			04/01/16			134,112

									264,687

	Wirelines Telecommunications^(b) – 3.1%
	AT&T, Inc.
	100,000		2.400			08/15/16			105,380
	Frontier Communications Corp.
	300,000		7.875			04/15/15			335,250
	PAETEC Holding Corp.
	500,000		9.875			12/01/18			572,500
	Telefonica Emisiones SAU
	100,000		4.949			01/15/15			102,000

									1,115,130

	TOTAL CORPORATE OBLIGATIONS
	(Cost $16,621,675)							$	16,740,845


	Mortgage-Backed Obligations – 29.1%
	Collateralized Mortgage Obligations – 4.0%
	Planned Amortization Class – 0.6%
	FNMA REMIC Series 2012-108, Class TE
$	200,000		3.500	%		10/25/42		$	211,323

	Sequential Fixed Rate – 1.7%
	FHLMC Multifamily Structured Pass-Through Certificates Series K501, Class A1
	97,790		1.337			06/25/16			99,454
	FHLMC Multifamily Structured Pass-Through Certificates Series K501, Class A2
	200,000		1.655			11/25/16			206,595
	FHLMC Multifamily Structured Pass-Through Certificates Series K707, Class A2
	100,000		2.220			12/25/18			105,221
	FHLMC Multifamily Structured Pass-Through Certificates Series K710, Class A2
	200,000		1.883			05/25/19			205,973

									617,243

	Sequential Floating Rate^(c) – 1.7%
	Darrowby PLC Series 2012-1, Class A
GBP	95,703		2.399			02/20/44			159,538
	Granite Mortgages PLC Series 2004-3, Class 2A1
$	189,365		0.659			09/20/44			186,335
	Permanent Master Issuer PLC Series 2011-2X, Class 1A2
	250,000		2.005			07/15/42			255,800

									601,673

	TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS							$	1,430,239

Principal Amount		Interest Rate			Maturity Date			Value

	Mortgage-Backed Obligations – (continued)
	Commercial Mortgage-Backed Securities^(c) – 0.7%
	Sequential Fixed Rate – 0.3%
	FNMA ACES Series 12-M9, Class ASQ2
$	100,000		1.513	%		12/25/17		$	102,293

	Sequential Floating Rate – 0.4%
	JP Morgan Chase Commercial Mortgage Securities Corp. Series 2005-CB11, Class A4
	150,000		5.335			08/12/37			165,037

	Federal Agencies – 24.4%
	FNMA – 24.4%
	123,919		5.000			12/01/35			134,937
	147,450		5.000			05/01/37			160,276
	107,227		5.000			02/01/39			117,021
	1,621,205		5.000			04/01/39			1,769,282
	29,678		4.000			11/01/40			31,934
	5,000,000		5.000			TBA-30yr	^(d)		5,451,953
	1,000,000		6.000			TBA-30yr	^(d)		1,104,297

	TOTAL FEDERAL AGENCIES							$	8,769,700

	TOTAL MORTGAGE-BACKED OBLIGATIONS
	(Cost $10,438,380)							$	10,467,269


	Asset-Backed Securities – 10.3%
	Auto – 2.1%
	Motor PLC Series 2012-A, Class A1B^(a)(c)
$	250,000		0.735	%		02/25/20		$	250,003
	Toyota Auto Receivables Owner Trust Series 2011-B, Class A3
	250,000		0.680			06/15/15			250,888
	Volkswagen Auto Loan Enhanced Trust Series 2010-1, Class A4
	250,000		2.140			08/22/16			252,191

									753,082

	Collateralized Loan Obligations^(c) – 3.4%
	Black Diamond CLO Ltd. Series 2005-1A, Class A1^(a)
	119,353		0.649			06/20/17			117,920
	Black Diamond CLO Ltd. Series 2006-1A, Class AD^(a)
	250,000		0.697			04/29/19			238,016
	Crown Point CLO Ltd. Series 2012-1A, Class A1LA^(a)
	100,000		1.158			11/21/22			95,516
	Grayson CLO Ltd. Series 2006-1A, Class A1A^(a)
	227,144		0.690			11/01/21			214,243
	KKR Financial CLO Ltd. Series 2007-AA, Class A^(a)
	362,457		1.205			10/15/17			359,893
	Westchester CLO Ltd. Series 2007-1X, Class A1A
	203,528		0.670			08/01/22			194,178

									1,219,766

	Student Loan^(c) – 4.8%
	Brazos Higher Education Authority, Inc. Series 2005-3, Class A14
	346,803		0.479			09/25/23			346,224


The accompanying notes are an integral part of these financial statements.		61

GOLDMAN SACHS SHORT DURATION INCOME FUND

Schedule of Investments (continued)

September 30, 2012 (Unaudited)


Principal Amount		Interest Rate			Maturity Date		Value

	Asset-Backed Securities – (continued)
	Student Loan^(c) – (continued)
	College Loan Corp. Trust Series 2004-1, Class A4
$	100,000		0.641	%		04/25/24	$	93,727
	Education Loan Asset-Backed Trust Series 2012-1, Class A1
	150,000		0.669			06/25/22		150,000
	Educational Services of America, Inc. Series 2012-1, Class A1^(a)
	222,444		1.367			09/25/40		225,243
	Nelnet Student Loan Corp. Series 2004-2A, Class A4
	187,937		0.567			08/26/19		187,660
	SLM Student Loan Trust Series 2006-8, Class A4
	244,576		0.531			10/25/21		243,912
	SLM Student Loan Trust Series 2006-9, Class A4
	241,170		0.521			10/25/22		240,172
	SLM Student Loan Trust Series 2012-2, Class A
	224,162		0.917			01/25/29		226,356

								1,713,294

	TOTAL ASSET-BACKED SECURITIES
	(Cost $3,665,485)						$	3,686,142


	Foreign Debt Obligations – 3.8%
	Sovereign – 3.8%
	Kommunalbanken AS^(a)
$	100,000		1.000	%		09/26/17	$	100,070
	Republic of Argentina^(e)
	40,000		0.000			12/15/35		5,260
EUR	569,000		0.000			12/15/35		87,743
	Republic of Colombia
$	100,000		7.375			03/18/19		132,250
	Republic of Indonesia
	100,000		11.625			03/04/19		152,875
	Republic of Panama
	190,000		7.250			03/15/15		217,265
	Republic of Venezuela
	100,000		7.750			10/13/19		86,750
	Russian Federation^(a)
	200,000		3.250			04/04/17		210,500
	United Mexican States
MXN	1,113,000		0.000	^(e)		10/04/12		86,447
$	260,000		5.875			01/15/14		275,600

	TOTAL FOREIGN DEBT OBLIGATIONS
	(Cost $1,323,310)						$	1,354,760


	Municipal Debt Obligations^(c) – 1.1%
	Florida – 0.5%
	Florida Hurricane Catastrophe Fund Finance Corp. RB Floating Rate Notes Series 2007 A
$	200,000		1.001	%		10/15/12	$	200,010

	Principal Amount		Interest Rate			Maturity Date		Value

	Municipal Debt Obligations – (continued)
	Massachusetts – 0.6%
	Massachusetts State GO Bonds Series 2010 A
$	200,000		0.710	%		02/01/14	$	200,478

	TOTAL MUNICIPAL DEBT OBLIGATIONS
	(Cost $400,065)						$	400,488

	TOTAL INVESTMENTS BEFORE SHORT-TERM INVESTMENT
	(Cost $32,448,915)						$	32,649,504


	Short-term Investments – 26.2%
	Certificates of Deposit – 0.8%
	Dexia Credit Local
$	300,000		1.700	%		09/06/13	$	300,161

	Repurchase Agreement^(f) – 25.4%
	Joint Repurchase Agreement Account II
	9,100,000		0.245			10/01/12		9,100,000

	TOTAL SHORT-TERM INVESTMENTS – 26.2%
	(Cost $9,400,000)						$	9,400,161

	TOTAL INVESTMENTS – 117.1%
	(Cost $41,848,915)						$	42,049,665

	LIABILITIES IN EXCESS OF OTHER ASSETS – (17.1)%							(6,149,502	)

	NET ASSETS – 100.0%						$	35,900,163


The percentage shown for each investment category reflects the value of investments in that category as a percentage of net assets.
(a)		Exempt from registration under Rule 144A of the Securities Act of 1933. Under procedures approved by the Board of Trustees, such securities have been determined to be liquid by the investment adviser and may be resold, normally to qualified institutional buyers in transactions exempt from registration. Total market value of Rule 144A securities amounts to $3,532,653, which represents approximately 9.8% of net assets as of September 30, 2012.
(b)		Security with “Call” features with resetting interest rates. Maturity dates disclosed are the final maturity dates.
(c)		Variable rate security. Interest rate disclosed is that which is in effect at September 30, 2012.
(d)		TBA (To Be Announced) Securities are purchased on a forward commitment basis with an approximate principal amount and no defined maturity date. The actual principal and maturity date will be determined upon settlement when the specific mortgage pools are assigned. Total market value of TBA securities (excluding forward sales contracts, if any) amounts to $6,556,250, which represents approximately 18.3% of net assets as of September 30, 2012.
(e)		Issued with a zero coupon. Income is recognized through the accretion of discount.
(f)		Joint repurchase agreement was entered into on September 28, 2012. Additional information appears on page 69.


62		The accompanying notes are an integral part of these financial statements.

GOLDMAN SACHS SHORT DURATION INCOME FUND



Currency Abbreviations:
AUD		—Australian Dollar
BRL		—Brazilian Real
CAD		—Canadian Dollar
CHF		—Swiss Franc
CLP		—Chilean Peso
CZK		—Czech Koruna
EUR		—Euro
GBP		—British Pound
HUF		—Hungarian Forint
ILS		—Israeli Shekel
INR		—Indian Rupee
JPY		—Japanese Yen
KRW		—South Korean Won
MXN		—Mexican Peso
MYR		—Malaysian Ringgit
NOK		—Norwegian Krone
NZD		—New Zealand Dollar
PHP		—Philippine Peso
PLN		—Polish Zloty
RUB		—Russian Ruble
SEK		—Swedish Krona
SGD		—Singapore Dollar
TRY		—Turkish Lira
TWD		—Taiwan Dollar
ZAR		—South African Rand


Investment Abbreviations:
ACES		—Alternative Credit Enhancement Securities
CLO		—Collateralized Loan Obligation
FHLMC		—Federal Home Loan Mortgage Corp.
FNMA		—Federal National Mortgage Association
GO		—General Obligation
LIBOR		—London Interbank Offered Rate
RB		—Revenue Bond
REIT		—Real Estate Investment Trust
REMIC		—Real Estate Mortgage Investment Conduit


The accompanying notes are an integral part of these financial statements.		63

GOLDMAN SACHS SHORT DURATION INCOME FUND

Schedule of Investments (continued)

September 30, 2012 (Unaudited)

ADDITIONAL INVESTMENT INFORMATION

FORWARD SALES CONTRACTS — At September 30, 2012, the Fund had the following forward sales contracts:


Description	Interest Rate	Maturity Date^(d)		Settlement Date		Principal Amount			Value

FNMA (Proceeds Receivable: $1,091,523)	5.000%		TBA-30yr		11/10/12	$	(1,000,000	)	$	(1,090,938	)

FORWARD FOREIGN CURRENCY EXCHANGE CONTRACTS — At September 30, 2012, the Fund had the following forward foreign currency exchange contracts:

FORWARD FOREIGN CURRENCY EXCHANGE CONTRACTS WITH UNREALIZED GAIN


Counterparty	Contracts to Buy/Sell	Settlement Date		Current Value		Unrealized Gain
Barclays Bank PLC	BRL/USD		10/19/12	$	30,091	$	91
	RUB/USD		10/22/12		30,033		33
	MYR/USD		10/30/12		47,593		232
	CAD/USD		12/19/12		67,604		183
	PLN/EUR		12/19/12		14,148		42
	USD/CHF		12/19/12		81,472		528
	USD/GBP		12/19/12		7,265		16
	USD/HUF		12/19/12		34,802		831
	USD/JPY		12/19/12		35,918		82
	USD/PLN		12/19/12		34,938		695
	USD/TWD		10/18/12		23,989		11
	USD/ZAR		12/19/12		65,954		467
BNP Paribas SA	NZD/USD		12/19/12		24,731		81
Citibank NA	RUB/USD		10/22/12		15,022		22
	SGD/USD		12/19/12		36,057		57
	USD/EUR		12/19/12		24,437		86
Credit Suisse International (London)	MXN/USD		12/19/12		48,500		500
	RUB/USD		10/09/12		24,783		783
	TRY/USD		12/19/12		42,907		148
	USD/EUR		10/12/12		120,857		393
	USD/EUR		12/19/12		29,582		33
	USD/TRY		12/19/12		29,944		56
Deustche Bank AG (London)	EUR/HUF		12/19/12		14,057		91
	HUF/PLN		12/19/12		14,845		7
	INR/USD		10/04/12		12,672		672
	INR/USD		10/18/12		74,594		829
	JPY/USD		12/19/12		15,219		219
	KRW/USD		10/05/12		36,580		580
	MYR/USD		10/19/12		85,593		59
	MYR/USD		10/30/12		10,181		5
	NZD/USD		12/19/12		19,903		764
	USD/EUR		12/19/12		83,601		1,035
	USD/GBP		12/19/12		25,670		136
	USD/JPY		12/19/12		167,349		720
	USD/MXN		12/19/12		14,937		63
HSBC Bank PLC	GBP/EUR		12/19/12		29,582		505
	HUF/EUR		12/19/12		11,576		186
	INR/USD		10/18/12		126,957		2,616
	KRW/USD		10/05/12		37,004		453
	MXN/JPY		12/19/12		9,203		46
	NOK/USD		12/19/12		43,109		109


64		The accompanying notes are an integral part of these financial statements.

GOLDMAN SACHS SHORT DURATION INCOME FUND

ADDITIONAL INVESTMENT INFORMATION (continued)

FORWARD FOREIGN CURRENCY EXCHANGE CONTRACTS WITH UNREALIZED GAIN (continued)


Counterparty	Contracts to Buy/Sell	Settlement Date		Current Value		Unrealized Gain
HSBC Bank PLC (continued)	SEK/EUR		12/19/12	$	59,164	$	1,230
	USD/MXN		12/19/12		14,997		3
	USD/TRY		12/19/12		23,882		118
JPMorgan Securities, Inc.	EUR/USD		12/19/12		15,434		5
	HUF/EUR		12/19/12		11,576		170
	INR/USD		10/10/12		72,892		4,115
	INR/USD		11/06/12		61,779		334
	TRY/USD		12/19/12		38,359		83
	USD/EUR		12/19/12		23,151		519
	USD/GBP		11/14/12		160,522		539
Morgan Stanley & Co.	USD/EUR		12/19/12		29,582		214
Royal Bank of Canada	BRL/USD		10/05/12		12,155		155
	USD/AUD		12/19/12		292,236		2,199
	USD/CAD		12/19/12		74,744		256
State Street Bank	INR/USD		10/04/12		49,527		2,565
	INR/USD		10/10/12		100,862		5,214
	INR/USD		10/18/12		50,661		1,661
	MXN/USD		12/19/12		40,450		633
	USD/MXN		12/19/12		29,939		61
Westpac Banking Corp.	USD/AUD		12/19/12		122,762		901
TOTAL						$	35,440

FORWARD FOREIGN CURRENCY EXCHANGE CONTRACTS WITH UNREALIZED LOSS


Counterparty	Contracts to Buy/Sell	Settlement Date		Current Value			Unrealized Loss
Barclays Bank PLC	EUR/SEK		12/19/12	$	73,065		$	(1,039	)
	EUR/CHF		12/19/12		24,541			(104	)
	EUR/HUF		12/19/12		15,474			(40	)
	GBP/USD		12/19/12		7,265			(32	)
	USD/GBP		12/19/12		24,217			(67	)
	USD/JPY		12/19/12		95,625			(625	)
	USD/NZD		12/19/12		4,711			(165	)
	USD/PLN		12/19/12		30,229			(229	)
	USD/TWD		10/18/12		30,069			(69	)
	ZAR/USD		12/19/12		14,836			(164	)
Citibank NA	DKK/EUR		12/19/12		26,922			(20	)
	EUR/USD		12/19/12		115,756			(2,388	)
	JPY/USD		12/19/12		14,975			(25	)
	PHP/USD		10/15/12		23,996			(4	)
	RUB/USD		10/17/12		183,394	��		(1,004	)
	SGD/USD		12/19/12		24,176			(108	)
	USD/INR		10/18/12		15,135			(135	)
	USD/KRW		10/05/12		48,965			(965	)
	USD/RUB		10/09/12		12,652			(238	)
	USD/AUD		12/19/12		146,283			(257	)
	USD/JPY		12/19/12		40,384			(449	)
	USD/SGD		12/19/12		114,706			(1,706	)
Credit Suisse International (London)	CLP/USD		10/04/12		24,458			(111	)
	RUB/USD		10/17/12		80,378			(880	)
	EUR/CHF		12/19/12		24,454			(17	)


The accompanying notes are an integral part of these financial statements.		65

GOLDMAN SACHS SHORT DURATION INCOME FUND

Schedule of Investments (continued)

September 30, 2012 (Unaudited)

ADDITIONAL INVESTMENT INFORMATION (continued)

FORWARD FOREIGN CURRENCY EXCHANGE CONTRACTS WITH UNREALIZED LOSS (continued)


Counterparty	Contracts to Buy/Sell	Settlement Date		Current Value		Unrealized Loss
Credit Suisse International (London) (continued)	EUR/USD		12/19/12	$	29,582	$	(487	)
	USD/CHF		12/19/12		68,527		(811	)
	USD/CZK		12/19/12		84,272		(908	)
	USD/JPY		12/19/12		30,180		(180	)
	USD/KRW		10/05/12		24,619		(619	)
	USD/TRY		12/19/12		60,183		(183	)
Deutsche Bank AG (London)	EUR/CHF		12/19/12		83,924		(323	)
	EUR/USD		12/19/12		142,055		(454	)
	GBP/USD		12/19/12		24,217		(116	)
	ILS/USD		12/19/12		48,927		(73	)
	JPY/USD		12/19/12		44,845		(155	)
	MYR/USD		10/19/12		48,790		(210	)
	PHP/USD		10/15/12		14,958		(42	)
	USD/GBP		12/19/12		24,217		(69	)
	USD/INR		10/18/12		61,128		(1,430	)
	USD/MXN		11/26/12		84,478		(351	)
	USD/TWD		10/18/12		30,142		(142	)
HSBC Bank PLC	CZK/EUR		12/19/12		14,148		(27	)
	EUR/SEK		12/19/12		54,392		(373	)
	EUR/HUF		12/19/12		81,834		(296	)
	PHP/USD		10/17/12		48,517		(483	)
	USD/CLP		10/04/12		24,458		(458	)
	USD/NOK		12/19/12		59,128		(365	)
	USD/SEK		12/19/12		103,424		(809	)
	USD/TWD		10/18/12		30,099		(99	)
JPMorgan Securities, Inc.	BRL/USD		10/19/12		12,154		(19	)
	MXN/USD		12/19/12		141,185		(1,341	)
	TRY/USD		12/19/12		121,826		(174	)
	USD/GBP		10/02/12		160,543		(3,778	)
	USD/INR		10/04/12		62,199		(535	)
Royal Bank of Canada	BRL/USD		10/17/12		47,941		(59	)
	MXN/USD		12/19/12		78,097		(295	)
	USD/CAD		12/19/12		30,013		(13	)
	USD/GBP		12/19/12		118,034		(663	)
	USD/PLN		12/19/12		57,198		(1,749	)
	ZAR/USD		12/19/12		29,488		(512	)
State Street Bank	CHF/USD		12/19/12		51,339		(661	)
	EUR/HUF		12/19/12		11,633		(57	)
	GBP/USD		12/19/12		39,994		(232	)
	MXN/USD		12/19/12		111,485		(515	)
	USD/GBP		12/19/12		14,530		(3	)
	USD/INR		10/18/12		30,841		(841	)
	ZAR/USD		12/19/12		21,630		(189	)
Westpac Banking Corp.	AUD/USD		12/19/12		28,845		(158	)
	USD/AUD		12/19/12		78,292		(730	)
TOTAL						$	(32,828	)


66		The accompanying notes are an integral part of these financial statements.

GOLDMAN SACHS SHORT DURATION INCOME FUND

ADDITIONAL INVESTMENT INFORMATION (continued)

FUTURES CONTRACTS — At September 30, 2012, the Fund had the following futures contracts:


Type	Number of Contracts Long (Short)			Expiration Date	Current Value			Unrealized Gain (Loss)
German Euro-Schatz Futures		(3	)	December 2012	$	(426,842	)	$	(198	)
Ultra Long U.S. Treasury Bonds		(1	)	December 2012		(165,219	)		(4,243	)
5 Year German Euro-Bobl		10		December 2012		1,615,179			6,857
10 Year German Euro-Bund		(1	)	December 2012		(182,181	)		(2,392	)
2 Year U.S. Treasury Notes		15		December 2012		3,307,969			1,055
5 Year U.S. Treasury Notes		134		December 2012		16,700,797			42,787
10 Year U.S. Treasury Notes		(2	)	December 2012		(266,969	)		(855	)
30 Year U.S. Treasury Bonds		2		December 2012		298,750			(1,264	)
TOTAL								$	41,747

SWAP CONTRACTS — At September 30, 2012, the Fund had the following swap contracts:

INTEREST RATE SWAP CONTRACTS


							Rates Exchanged		Market Value
Counterparty		Notional Amount (000s)			Termination Date		Payments Received	Payments Made	Upfront Payments Made (Received)			Unrealized Gain (Loss)
Deutsche Bank Securities, Inc.	BRL		1,130			01/02/14	7.770%	1 month Brazilian Interbank Deposit Average	$	—		$	456
			2,040			01/02/14	7.740	1 month Brazilian Interbank Deposit Average		—			522
	$		8,300	^(a)		02/28/17	0.750	3 month LIBOR		(19,054	)		(7,823	)
TOTAL									$	(19,054	)	$	(6,845	)

(a)

Represents forward starting interest rate swaps whose effective dates of commencement of accruals and cash flows occur subsequent to September 30, 2012.


The accompanying notes are an integral part of these financial statements.		67

GOLDMAN SACHS SHORT DURATION INCOME FUND

Schedule of Investments (continued)

September 30, 2012 (Unaudited)

ADDITIONAL INVESTMENT INFORMATION (continued)

CREDIT DEFAULT SWAP CONTRACTS


												Market Value
Swap Counterparty	Referenced Obligation	Notional Amount (000s)		Rates (Paid) Received by Fund			Termination Date		Credit Spread at September 30, 2012^(a)			Upfront Payments Made (Received)			Unrealized Gain (Loss)
Protection Sold:

Deutsche Bank Securities, Inc.	CDX North America Investment Grade Index 18	$	198		5.000	%		06/20/17		4.868	%	$	(9,031	)	$	10,384

(a)

Credit spread on the Referenced Obligation, together with the term of the swap contract, are indicators of payment/performance risk. The likelihood of a credit event occurring which would require a fund to make a payment or otherwise be required to perform under the swap contract is generally greater as the credit spread and the term of the swap contract increase.


68		The accompanying notes are an integral part of these financial statements.

GOLDMAN SACHS SHORT DURATION AND GOVERNMENT FIXED INCOME FUNDS

Schedule of Investments

September 30, 2012 (Unaudited)

ADDITIONAL INVESTMENT INFORMATION

JOINT REPURCHASE AGREEMENT ACCOUNT II — At September 30, 2012, certain Funds had undivided interests in the Joint Repurchase Agreement Account II, with a maturity date of October 1, 2012, as follows:


Fund	Principal Amount		Maturity Value		Collateral Allocation Value
Government Income	$	193,500,000	$	193,503,951	$	198,088,909
Inflation Protected Securities		1,700,000		1,700,035		1,740,316
Short Duration Government		100,500,000		100,502,052		102,883,387
Short Duration Income		9,100,000		9,100,186		9,315,809

REPURCHASE AGREEMENTS — At September 30, 2012, the Principal Amounts of certain Funds’ interest in the Joint Repurchase Agreement Account II were as follows:


Counterparty	Interest Rate			Government Income		Inflation Protected Securities		Short Duration Government		Short Duration Income
BNP Paribas Securities Co.		0.250	%	$	21,715,297	$	190,780	$	11,278,488	$	1,021,236
Credit Suisse Securities LLC		0.200			7,795,235		68,485		4,048,688		366,598
Deutsche Bank Securities, Inc.		0.250			36,481,699		320,511		18,947,859		1,715,677
JPMorgan Securities LLC		0.250			71,827,520		631,043		37,305,766		3,377,935
Wells Fargo Securities LLC		0.240			55,680,249		489,181		28,919,199		2,618,554
TOTAL				$	193,500,000	$	1,700,000	$	100,500,000	$	9,100,000

At September 30, 2012, the Joint Repurchase Agreement Account II was fully collateralized by:


Issuer	Interest Rates			Maturity Dates
Federal Home Loan Mortgage Corp.		2.500 to 5.500	%		08/01/22 to 09/01/42
Federal National Mortgage Association		2.500 to 8.500			06/01/14 to 07/01/51
Government National Mortgage Association		2.500 to 4.500			04/15/27 to 09/20/42
U.S. Treasury Notes		0.375 to 4.875			10/15/12 to 05/15/19


The accompanying notes are an integral part of these financial statements.		69

GOLDMAN SACHS SHORT DURATION AND GOVERNMENT FIXED INCOME FUNDS

Statements of Assets and Liabilities

September 30, 2012 (Unaudited)


	Enhanced Income Fund
Assets:
Investments, at value (cost $473,202,822, $773,992,468, $231,734,009, $295,141,783, $2,387,385,532 and $32,748,915)	$	478,046,304
Repurchase agreement, at value which equals cost		—
Cash		14,869,345
Foreign currencies, at value (cost $6,256 for Short Duration Income Fund)		—
Receivables:
Investments sold		21,120,466
Investments sold on an extended settlement basis		—
Interest		2,222,523
Fund shares sold		477,346
Unrealized gain on swap contracts		39,287
Unrealized gain on forward foreign currency exchange contracts		—
Futures-variation margin		—
Reimbursement from investment adviser		—
Due from broker — upfront payment		—
Collateral on certain derivative contracts^(b)		—
Upfront payments made on swap contracts		—
Deferred offering costs		—
Other assets		1,276
Total assets		516,776,547

Liabilities:
Due to custodian		—
Payables:
Investments purchased		4,129,169
Investments purchased on an extended settlement basis		—
Fund shares redeemed		822,666
Amounts owed to affiliates		148,710
Income distribution		26,027
Futures — variation margin		9,479
Collateral on certain derivative contracts		—
Forward sale contracts, at value (proceeds receivable $0, $12,006,758, $0, $0, $84,411,367 and $1,091,523)		—
Written option contracts, at value (premium received $0, $306,810, $113,730, $0, $1,354,750 and $0)		—
Unrealized loss on swap contracts		—
Unrealized loss on forward foreign currency exchange contracts		—
Due to broker — upfront payment		—
Upfront payments received on swap contracts		9,075
Accrued expenses and other liabilities		83,246
Total liabilities		5,228,372

Net Assets:
Paid-in capital		527,480,906
Undistributed (distributions in excess of) net investment income		716,162
Accumulated net realized gain (loss)		(21,516,048	)
Net unrealized gain		4,867,155
NET ASSETS	$	511,548,175
Net Assets:
Class A	$	83,635,902
Class B		274,863
Class C		—
Institutional		424,770,386
Administration		1,122,353
Service		—
Class IR		1,744,671
Class R		—
Total Net Assets	$	511,548,175
Shares Outstanding $0.001 par value (unlimited shares authorized):
Class A		8,798,466
Class B		28,958
Class C		—
Institutional		44,739,088
Administration		117,812
Service		—
Class IR		183,809
Class R		—
Net asset value, offering and redemption price per share^(c)
Class A		$9.51
Class B		9.49
Class C		—
Institutional		9.49
Administration		9.53
Service		—
Class IR		9.49
Class R		—

(a)

Formerly, Goldman Sachs Ultra-Short Duration Government Fund. Effective July 27, 2012, the Fund changed its name to the Goldman Sachs High Quality Floating Rate Fund.

(b)

Includes segregated cash of $230,000 for High Quality Floating Rate Fund relating to initial margin requirements on futures transactions.

(c)

Maximum public offering price per share for Class A shares of the Enhanced Income, Government Income, High Quality Floating Rate, Inflation Protected Securities, Short Duration Government and Short Duration Income Funds is $9.65, $16.32, $8.90, $12.11, $10.49 and $10.30, respectively. At redemption, Class B and Class C Shares may be subject to a contingent deferred sales charge, assessed on the amount equal to the lesser of the current net asset value or the original purchase price of the shares.


70		The accompanying notes are an integral part of these financial statements.

GOLDMAN SACHS SHORT DURATION AND GOVERNMENT FIXED INCOME FUNDS


Government Income Fund		High Quality Floating Rate Fund^(a)			Inflation Protected Securities Fund			Short Duration Government Fund		Short Duration Income Fund

$	796,177,845	$	233,170,867		$	314,368,592		$	2,416,479,530	$	32,949,665
	193,500,000		—			1,700,000			100,500,000		9,100,000
	146,181		—			67,679			253,921		150,071
	—		—			—			—		6,256

	11,265,858		13,569,306			3,902,777			36,891,575		499,481
	353,664,805		7,622,500			—			623,814,354		18,239,648
	2,751,617		296,944			1,141,708			5,747,341		232,501
	1,837,895		39,047			501,412			39,140,236		325,000
	283,369		118,555			—			183,633		11,362
	—		—			—			—		35,440
	45,383		14,089			12,278			564,036		4,990
	93,122		20,294			1,939			—		55,779
	17,460		12,194			—			—		—
	522,658		630,000			—			10,629,959		—
	—		188,442			—			771,807		—
	—		—			—			—		68,685
	1,953		4,206			739			6,062		—
	1,360,308,146		255,686,444			321,697,124			3,234,982,454		61,678,878


	—		3,246,421			—			—		—

	30,452,508		3,093,537			2,793,891			25,834,524		630,278
	475,957,578		8,302,702			—			1,057,038,650		23,896,850
	3,474,016		14,678,444			1,359,844			29,320,474		1,747
	540,303		92,536			113,038			1,058,983		15,243
	133,538		17,882			26,854			109,088		7
	—		—			—			—		—
	—		600,000			—			240,000		—
	12,000,313		—			—			84,516,757		1,090,938
	198,440		79,326			—			897,623		—
	822,258		982,920			19,281			7,923,714		7,823
	—		—			—			—		32,828
	—		—			—			771,807		—
	497,685		173,675			28,644			4,642,967		28,085
	174,608		89,830			79,899			241,814		74,916
	524,251,247		31,357,273			4,421,451			1,212,596,401		25,778,715


	789,915,650		264,580,472			295,268,969			1,992,211,629		35,446,616
	86,712		259,642			(1,444,039	)		5,115,390		(7,727	)
	23,563,954		(41,129,757	)		4,312,853			3,188,067		212,614
	22,490,583		618,814			19,137,890			21,870,967		248,660
$	836,056,899	$	224,329,171		$	317,275,673		$	2,022,386,053	$	35,900,163

	$367,607,825	$	70,622,602		$	109,494,128		$	662,460,463	$	15,522,718
	10,330,315		—			—			389,458		—
	30,532,402		—			21,953,638			82,246,597		11,565
	314,886,303		151,347,349			179,544,029			1,185,271,024		20,295,793
	—		—			—			—		—
	87,932,513		171,158			—			61,700,962		—
	1,819,699		2,188,062			4,447,067			30,317,549		59,875
	22,947,842		—			1,836,811			—		10,212
	$836,056,899	$	224,329,171		$	317,275,673		$	2,022,386,053	$	35,900,163

	23,394,470		8,049,694			9,391,975			64,152,312		1,528,650
	657,414		—			—			37,856		—
	1,943,145		—			1,876,797			8,018,151		1,138
	20,072,603		17,247,844			15,347,110			115,156,538		1,996,324
	—		—			—			—		—
	5,610,135		19,409			—			6,002,808		—
	115,882		249,614			381,227			2,934,154		5,890
	1,462,110		—			157,197			—		1,005

	$15.71		$8.77			$11.66			$10.33		$10.15
	15.71		—			—			10.29		—
	15.71		—			11.70			10.26		10.16
	15.69		8.77			11.70			10.29		10.17
	—		—			—			—		—
	15.67		8.82			—			10.28		—
	15.70		8.77			11.67			10.33		10.16
	15.70		—			11.68			—		10.17


The accompanying notes are an integral part of these financial statements.		71

GOLDMAN SACHS SHORT DURATION AND GOVERNMENT FIXED INCOME FUNDS

Statements of Operations

For the Six Months Ended September 30, 2012 (Unaudited)


	Enhanced Income Fund
Investment income:
Interest	$	3,681,578

Expenses:
Management fees		651,504
Transfer Agent fees^(c)		150,115
Distribution and Service fees^(c)		126,589
Custody and accounting fees		74,286
Registration fees		26,665
Professional fees		25,875
Printing and mailing costs		16,268
Trustee fees		8,052
Administration share fees		1,748
Service Share fees — Shareholder Administration Plan		—
Service Share fees — Service Plan		—
Amortization of offering costs		—
Other		5,688
Total expenses		1,086,790
Less — expense reductions		(85,420	)
Net expenses		1,001,370
NET INVESTMENT INCOME		2,680,208

Realized and unrealized gain (loss):
Net realized gain (loss) from:
Investments		724,200
Futures contracts		(2,587,757	)
Swap contracts		36,902
Forward foreign currency exchange contracts		—
Foreign currency transactions		—
Net change in unrealized gain (loss) on:
Investments		1,218,798
Futures contracts		1,653,661
Written options		—
Swap contracts		1,307
Forward foreign currency exchange contracts		—
Foreign currency transactions		—
Net realized and unrealized gain (loss)		1,047,111
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS	$	3,727,319

(a)

Formerly, Goldman Sachs Ultra-Short Duration Government Fund. Effective July 27, 2012, the Fund changed its name to the Goldman Sachs High Quality Floating Rate Fund.

(b)

Commenced operations on February 29, 2012.

(c)

Class specific Distribution and Service, and Transfer Agent fees were as follows:


	Distribution and Service Fees								Transfer Agent Fees
Fund	Class A		Class B		Class C		Class R		Class A		Class B		Class C		Institutional		Administration		Service		Class IR		Class R
Enhanced Income	$	124,555	$	2,034	$	—	$	—	$	64,769	$	264	$	—	$	83,572	$	280	$	—	$	1,230	$	—
Government Income		475,831		57,730		158,437		54,855		247,432		7,505		20,597		55,051		—		17,493		1,369		14,262
High Quality Floating Rate^(a)		99,987		—		—		—		51,993		—		—		38,766		—		63		889		—
Inflation Protected Securities		146,989		—		113,633		4,158		76,434		—		14,773		33,597		—		—		1,964		1,081
Short Duration Government		885,126		2,272		443,073		—		460,266		296		57,599		243,688		—		13,161		19,959		—
Short Duration Income		10,699		—		567		26		5,564		—		74		2,790		—		—		8		7


72		The accompanying notes are an integral part of these financial statements.

GOLDMAN SACHS SHORT DURATION AND GOVERNMENT FIXED INCOME FUNDS


Government Income Fund			High Quality Floating Rate Fund^(a)			Inflation Protected Securities Fund			Short Duration Government Fund			Short Duration Income Fund^(b)

$	7,379,083		$	1,822,200		$	2,494,252		$	13,771,891		$	208,039


	2,188,798			551,003			516,430			4,992,300			45,290
	363,709			91,711			127,849			794,969			8,443
	746,853			99,987			264,780			1,330,471			11,292
	117,235			73,221			32,612			133,241			22,859
	52,218			35,824			45,844			12,755			16,441
	49,581			64,576			44,661			46,618			62,255
	101,943			24,308			22,499			75,372			20,267
	8,279			7,784			7,829			15,583			7,276
	—			—			—			—			—
	109,331			391			—			82,258			—
	109,331			391			—			82,258			—
	—			—			—			—			113,049
	16,904			8,771			9,194			35,193			4,700
	3,864,182			957,967			1,071,698			7,601,018			311,872
	(370,617	)		(265,110	)		(297,249	)		(978,986	)		(245,529	)
	3,493,565			692,857			774,449			6,622,032			66,343
	3,885,518			1,129,343			1,719,803			7,149,859			141,696



	9,697,511			3,410,602			6,830,621			11,248,522			215,728
	3,857,937			(743,988	)		343,631			(4,013,004	)		5,562
	(755,830	)		(1,751,264	)		30,145			(9,793,277	)		2,862
	—			—			—			—			(5,654	)
	—			—			—			—			2,468

	5,181,927			(1,113,330	)		7,505,316			11,764,341			239,868
	1,610,751			20,220			(193,398	)		1,199,448			23,425
	108,370			34,404			—			457,127			—
	(680,572	)		35,415			(27,143	)		(5,973,177	)		3,539
	—			—			—			—			939
	—			—			—			—			(573	)
	19,020,094			(107,941	)		14,489,172			4,889,980			488,164
$	22,905,612		$	1,021,402		$	16,208,975		$	12,039,839		$	629,860


The accompanying notes are an integral part of these financial statements.		73

GOLDMAN SACHS SHORT DURATION AND GOVERNMENT FIXED INCOME FUNDS

Statements of Changes in Net Assets


	Enhanced Income Fund
	For the Six Months Ended September 30, 2012 (Unaudited)			For the Fiscal Year Ended March 31, 2012
From operations:
Net investment income	$	2,680,208		$	8,120,027
Net realized gain (loss)		(1,826,655	)		(8,211,874	)
Net change in unrealized gain (loss)		2,873,766			(1,193,835	)
Net increase (decrease) in net assets resulting from operations		3,727,319			(1,285,682	)

Distributions to shareholders:
From net investment income
Class A Shares		(380,858	)		(1,792,169	)
Class B Shares		(226	)		(1,525	)
Class C Shares		—			—
Institutional Shares		(2,261,698	)		(6,459,840	)
Administration Shares		(6,117	)		(25,026	)
Service Shares		—			—
Class IR Shares		(9,572	)		(24,400	)
Class R Shares		—			—
From net realized gains
Class A Shares		—			—
Class B Shares		—			—
Class C Shares		—			—
Institutional Shares		—			—
Service Shares		—			—
Class IR Shares		—			—
Class R Shares		—			—
Total distributions to shareholders		(2,658,471	)		(8,302,960	)

From share transactions:
Proceeds from sales of shares		231,299,250			360,036,258
Reinvestment of distributions		2,455,707			7,340,591
Cost of shares redeemed		(233,360,883	)		(655,224,524	)
Net increase (decrease) in net assets resulting from share transactions		394,074			(287,847,675	)
TOTAL INCREASE (DECREASE)		1,462,922			(297,436,317	)

Net assets:
Beginning of period		510,085,253			807,521,570
End of period	$	511,548,175		$	510,085,253
Undistributed net investment income	$	716,162		$	694,425

(a)

Formerly, Goldman Sachs Ultra-Short Duration Government Fund. Effective July 27, 2012, the Fund changed its name to the Goldman Sachs High Quality Floating Rate Fund.


74		The accompanying notes are an integral part of these financial statements.

GOLDMAN SACHS SHORT DURATION AND GOVERNMENT FIXED INCOME FUNDS


Government Income Fund						High Quality Floating Rate Fund^(a)
For the Six Months Ended September 30, 2012 (Unaudited)			For the Fiscal Year Ended March 31, 2012			For the Six Months Ended September 30, 2012 (Unaudited)			For the Fiscal Year Ended March 31, 2012

$	3,885,518		$	9,810,846		$	1,129,343		$	2,853,946
	12,799,618			39,227,721			915,350			(3,394,194	)
	6,220,476			3,705,240			(1,023,291	)		(48,620	)
	22,905,612			52,743,807			1,021,402			(588,868	)



	(2,303,735	)		(5,120,138	)		(174,059	)		(245,344	)
	(26,889	)		(69,255	)		—			—
	(72,346	)		(150,082	)		—			—
	(2,090,075	)		(3,975,947	)		(754,759	)		(1,530,652	)
	—			—			—			—
	(458,179	)		(1,007,114	)		(532	)		(798	)
	(14,756	)		(15,696	)		(4,449	)		(3,661	)
	(104,109	)		(164,769	)		—			—

	—			(8,861,023	)		—			—
	—			(307,313	)		—			—
	—			(693,760	)		—			—
	—			(5,146,024	)		—			—
	—			(2,204,050	)		—			—
	—			(27,828	)		—			—
	—			(401,308	)		—			—
	(5,070,089	)		(28,144,307	)		(933,799	)		(1,780,455	)


	188,701,716			332,308,933			34,243,649			163,330,885
	4,099,625			22,914,512			747,377			1,269,217
	(168,371,567	)		(458,448,811	)		(110,643,135	)		(277,140,579	)
	24,429,774			(103,225,366	)		(75,652,109	)		(112,540,477	)
	42,265,297			(78,625,866	)		(75,564,506	)		(114,909,800	)


	793,791,602			872,417,468			299,893,677			414,803,477
$	836,056,899		$	793,791,602		$	224,329,171		$	299,893,677
$	86,712		$	1,271,283		$	259,642		$	64,098


The accompanying notes are an integral part of these financial statements.		75

GOLDMAN SACHS SHORT DURATION AND GOVERNMENT FIXED INCOME FUNDS

Statements of Changes in Net Assets (continued)


	Inflation Protected Securities Fund
	For the Six Months Ended September 30, 2012 (Unaudited)			For the Fiscal Year Ended March 31, 2012
From operations:
Net investment income	$	1,719,803		$	4,747,552
Net realized gain (loss)		7,204,397			13,564,864
Net change in unrealized gain (loss)		7,284,775			9,942,691
Net increase (decrease) in net assets resulting from operations		16,208,975			28,255,107

Distributions to shareholders:
From net investment income
Class A Shares		(1,029,101	)		(2,478,500	)
Class B Shares		—			—
Class C Shares		(112,256	)		(468,608	)
Institutional Shares		(1,749,281	)		(3,727,032	)
Service Shares		—			—
Class IR Shares		(30,554	)		(12,811	)
Class R Shares		(12,608	)		(31,098	)
From net realized gains
Class A Shares		—			(7,853,145	)
Class C Shares		—			(1,730,710	)
Institutional Shares		—			(9,396,683	)
Service Shares		—			—
Class IR Shares		—			(170,273	)
Class R Shares		—			(85,385	)
Total distributions to shareholders		(2,933,800	)		(25,954,245	)

From share transactions:
Proceeds from sales of shares		58,692,779			205,588,498
Reinvestment of distributions		2,625,960			22,781,478
Cost of shares redeemed		(65,643,651	)		(133,424,118	)
Net increase (decrease) in net assets resulting from share transactions		(4,324,912	)		94,945,858
TOTAL INCREASE (DECREASE)		8,950,263			97,246,720

Net assets:
Beginning of period		308,325,410			211,078,690
End of period	$	317,275,673		$	308,325,410
Undistributed (distributions in excess of) net investment income	$	(1,444,039	)	$	(230,042	)

(a)

Commenced operations on February 29, 2012.


76		The accompanying notes are an integral part of these financial statements.

GOLDMAN SACHS SHORT DURATION AND GOVERNMENT FIXED INCOME FUNDS


Short Duration Government Fund						Short Duration Income Fund^(a)
For the Six Months Ended September 30, 2012 (Unaudited)			For the Fiscal Year Ended March 31, 2012			For the Six Months Ended September 30, 2012 (Unaudited)			For the Period Ended March 31, 2012

$	7,149,859		$	18,424,514		$	141,696		$	10,147
	(2,557,759	)		26,728,359			220,966			(8,052	)
	7,447,739			(13,627,898	)		267,198			(18,538	)
	12,039,839			31,524,975			629,860			(16,443	)



	(1,566,814	)		(3,665,592	)		(48,622	)		(337	)
	(36	)		(163	)		—			—
	(33,286	)		(51,682	)		(479	)		(2	)
	(4,767,033	)		(10,837,614	)		(100,551	)		(9,789	)
	(93,401	)		(216,604	)		—			—
	(106,462	)		(180,431	)		(76	)		(8	)
	—			—			(41	)		(5	)

	—			(149,257	)		—			—
	—			(111	)		—			—
	—			(17,475	)		—			—
	—			(245,384	)		—			—
	—			(12,585	)		—			—
	—			(7,450	)		—			—
	(6,567,032	)		(15,384,348	)		(149,769	)		(10,141	)


	355,384,579			1,284,918,598			24,358,294			12,915,887
	5,866,452			13,009,593			149,610			10,134
	(619,269,315	)		(1,830,414,905	)		(1,987,198	)		(71	)
	(258,018,284	)		(532,486,714	)		22,520,706			12,925,950
	(252,545,477	)		(516,346,087	)		23,000,797			12,899,366


	2,274,931,530			2,791,277,617			12,899,366			—
$	2,022,386,053		$	2,274,931,530		$	35,900,163		$	12,899,366
$	5,115,390		$	4,532,563		$	(7,727	)	$	346


The accompanying notes are an integral part of these financial statements.		77

GOLDMAN SACHS ENHANCED INCOME FUND

Financial Highlights

Selected Data for a Share Outstanding Throughout Each Period


			Income (loss) from investment operations
Year - Share Class	Net asset value, beginning of period		Net investment income^(a)		Net realized and unrealized gain (loss)			Total from investment operations			Distributions to shareholders from net investment income
FOR THE SIX MONTHS ENDED SEPTEMBER 30, (UNAUDITED)
2012 - A	$	9.49	$	0.04	$	0.02		$	0.06		$	(0.04	)
2012 - B		9.47		0.01		0.01			0.02			—	^(d)
2012 - Institutional		9.47		0.05		0.02			0.07			(0.05	)
2012 - Administration		9.51		0.04		0.02			0.06			(0.04	)
2012 - IR		9.47		0.05		0.02			0.07			(0.05	)

FOR THE FISCAL YEARS ENDED MARCH 31,
2012 - A		9.60		0.09		(0.11	)		(0.02	)		(0.09	)
2012 - B		9.58		0.02		(0.11	)		(0.09	)		(0.02	)
2012 - Institutional		9.59		0.12		(0.11	)		0.01			(0.13	)
2012 - Administration		9.62		0.10		(0.11	)		(0.01	)		(0.10	)
2012 - IR		9.58		0.11		(0.10	)		0.01			(0.12	)
2011 - A		9.67		0.10		(0.07	)		0.03			(0.10	)
2011 - B		9.66		0.03		(0.08	)		(0.05	)		(0.03	)
2011 - Institutional		9.66		0.13		(0.07	)		0.06			(0.13	)
2011 - Administration		9.69		0.11		(0.07	)		0.04			(0.11	)
2011 - IR (Commenced July 30, 2010)		9.62		0.09		(0.04	)		0.05			(0.09	)
2010 - A		9.51		0.12		0.19			0.31			(0.15	)
2010 - B		9.50		0.07		0.17			0.24			(0.08	)
2010 - Institutional		9.50		0.16		0.18			0.34			(0.18	)
2010 - Administration		9.53		0.14		0.18			0.32			(0.16	)
2009 - A		9.67		0.28		(0.12	)		0.16			(0.32	)
2009 - B		9.65		0.21		(0.11	)		0.10			(0.25	)
2009 - Institutional		9.66		0.31		(0.11	)		0.20			(0.36	)
2009 - Administration		9.68		0.29		(0.11	)		0.18			(0.33	)

FOR THE PERIOD NOVEMBER 1, 2007 TO MARCH 31, 2008*
2008 - A		9.72		0.16		(0.04	)		0.12			(0.17	)
2008 - B		9.70		0.13		(0.04	)		0.09			(0.14	)
2008 - Institutional		9.70		0.17		(0.03	)		0.14			(0.18	)
2008 - Administration		9.72		0.17		(0.04	)		0.13			(0.17	)

FOR THE FISCAL YEAR ENDED OCTOBER 31,
2007 - A		9.73		0.43		—			0.43			(0.44	)
2007 - B (Commenced June 20, 2007)		9.74		0.13		(0.02	)		0.11			(0.15	)
2007 - Institutional		9.72		0.47		(0.01	)		0.46			(0.48	)
2007 - Administration		9.71		0.44		0.02			0.46			(0.45	)

The Fund changed its fiscal year end from October 31 to March 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 dividends and distributions, a complete redemption of the investment at the net asset value at the end of the period and no sales or redemption charges. Total 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)

The Fund’s portfolio turnover rate is calculated in accordance with regulatory requirements, without regard to transactions involving short term investments and certain derivatives. If such transactions were included, the Fund’s portfolio turnover rate may be higher.

(d)

Amount is less than $0.005 per share.

(e)

Annualized.


78		The accompanying notes are an integral part of these financial statements.

GOLDMAN SACHS ENHANCED INCOME FUND



Net asset value, end of period		Total return^(b)			Net assets, end of period (in 000s)		Ratio of net expenses to average net assets			Ratio of total expenses to average net assets			Ratio of net investment income to average net assets			Portfolio turnover rate^(c)

$	9.51		0.59	%	$	83,636		0.66	%^(e)		0.69	%^(e)		0.77	%^(e)		50	%
	9.49		0.26			275		1.31	^(e)		1.44	^(e)		0.12	^(e)		50
	9.49		0.76			424,770		0.32	^(e)		0.35	^(e)		1.09	^(e)		50
	9.53		0.63			1,122		0.57	^(e)		0.60	^(e)		0.88	^(e)		50
	9.49		0.71			1,745		0.41	^(e)		0.44	^(e)		1.02	^(e)		50


	9.49		(0.19	)		110,136		0.64			0.69			0.94			86
	9.47		(0.93	)		476		1.39			1.44			0.19			86
	9.47		0.05			395,751		0.30			0.35			1.28			86
	9.51		(0.09	)		1,682		0.55			0.60			1.03			86
	9.47		0.06			2,040		0.39			0.44			1.17			86
	9.60		0.29			225,355		0.63			0.68			1.01			71
	9.58		(0.56	)		929		1.38			1.43			0.26			71
	9.59		0.63			578,458		0.29			0.34			1.35			71
	9.62		0.38			2,779		0.54			0.59			1.11			71
	9.58		0.53			1		0.38	^(e)		0.43	^(e)		1.39	^(e)		71
	9.67		3.26			371,906		0.63			0.68			1.25			66
	9.66		2.49			1,393		1.38			1.43			0.75			66
	9.66		3.62			847,623		0.29			0.34			1.64			66
	9.69		3.35			2,814		0.54			0.59			1.45			66
	9.51		1.73			48,001		0.59			0.78			2.94			180
	9.50		1.08			2,218		1.34			1.53			2.21			180
	9.50		2.07			222,638		0.25			0.44			3.30			180
	9.53		1.92			295		0.50			0.69			3.04			180


	9.67		1.32			40,286		0.58	^(e)		0.76	^(e)		3.90	^(e)		8
	9.65		0.91			3,501		1.33	^(e)		1.51	^(e)		3.16	^(e)		8
	9.66		1.47			228,300		0.24	^(e)		0.42	^(e)		4.26	^(e)		8
	9.68		1.36			266		0.49	^(e)		0.67	^(e)		4.29	^(e)		8


	9.72		4.43			40,505		0.61			0.79			4.46			87
	9.70		1.16			5,230		1.36	^(e)		1.54	^(e)		3.87	^(e)		87
	9.70		4.82			236,210		0.25			0.43			4.82			87
	9.72		4.88			254		0.50			0.68			4.40			87


The accompanying notes are an integral part of these financial statements.		79

GOLDMAN SACHS GOVERNMENT INCOME FUND

Financial Highlights

Selected Data for a Share Outstanding Throughout Each Period


			Income from investment operations						Distributions to shareholders
Year - Share Class	Net asset value, beginning of period		Net investment income^(a)		Net realized and unrealized gain		Total from investment operations		From net investment income			From net realized gains			Total distributions
FOR THE SIX MONTHS ENDED SEPTEMBER 30, (UNAUDITED)
2012 - A	$	15.37	$	0.07	$	0.36	$	0.43	$	(0.09	)	$	—		$	(0.09	)
2012 - B		15.37		0.01		0.37		0.38		(0.04	)		—			(0.04	)
2012 - C		15.37		0.01		0.37		0.38		(0.04	)		—			(0.04	)
2012 - Institutional		15.34		0.10		0.37		0.47		(0.12	)		—			(0.12	)
2012 - Service		15.33		0.06		0.36		0.42		(0.08	)		—			(0.08	)
2012 - IR		15.36		0.09		0.36		0.45		(0.11	)		—			(0.11	)
2012 - R		15.35		0.05		0.37		0.42		(0.07	)		—			(0.07	)

FOR THE FISCAL YEARS ENDED MARCH 31,
2012 - A		14.95		0.18		0.76		0.94		(0.18	)		(0.34	)		(0.52	)
2012 - B		14.95		0.06		0.77		0.83		(0.07	)		(0.34	)		(0.41	)
2012 - C		14.95		0.06		0.77		0.83		(0.07	)		(0.34	)		(0.41	)
2012 - Institutional		14.92		0.23		0.77		1.00		(0.24	)		(0.34	)		(0.58	)
2012 - Service		14.91		0.15		0.77		0.92		(0.16	)		(0.34	)		(0.50	)
2012 - IR		14.94		0.21		0.77		0.98		(0.22	)		(0.34	)		(0.56	)
2012 - R		14.93		0.13		0.78		0.91		(0.15	)		(0.34	)		(0.49	)
2011 - A		15.18		0.24		0.30		0.54		(0.23	)		(0.54	)		(0.77	)
2011 - B		15.18		0.12		0.31		0.43		(0.12	)		(0.54	)		(0.66	)
2011 - C		15.18		0.12		0.31		0.43		(0.12	)		(0.54	)		(0.66	)
2011 - Institutional		15.16		0.29		0.30		0.59		(0.29	)		(0.54	)		(0.83	)
2011 - Service		15.15		0.21		0.30		0.51		(0.21	)		(0.54	)		(0.75	)
2011 - IR		15.18		0.27		0.30		0.57		(0.27	)		(0.54	)		(0.81	)
2011 - R		15.17		0.19		0.31		0.50		(0.20	)		(0.54	)		(0.74	)
2010 - A		15.14		0.42		0.25		0.67		(0.39	)		(0.24	)		(0.63	)
2010 - B		15.14		0.31		0.24		0.55		(0.27	)		(0.24	)		(0.51	)
2010 - C		15.14		0.30		0.25		0.55		(0.27	)		(0.24	)		(0.51	)
2010 - Institutional		15.12		0.47		0.25		0.72		(0.44	)		(0.24	)		(0.68	)
2010 - Service		15.11		0.39		0.25		0.64		(0.36	)		(0.24	)		(0.60	)
2010 - IR		15.14		0.41		0.30		0.71		(0.43	)		(0.24	)		(0.67	)
2010 - R		15.14		0.33		0.30		0.63		(0.36	)		(0.24	)		(0.60	)
2009 - A		15.07		0.57		0.16		0.73		(0.60	)		(0.06	)		(0.66	)
2009 - B		15.07		0.46		0.15		0.61		(0.48	)		(0.06	)		(0.54	)
2009 - C		15.07		0.46		0.15		0.61		(0.48	)		(0.06	)		(0.54	)
2009 - Institutional		15.05		0.62		0.16		0.78		(0.65	)		(0.06	)		(0.71	)
2009 - Service		15.04		0.54		0.16		0.70		(0.57	)		(0.06	)		(0.63	)
2009 - IR		15.08		0.60		0.15		0.75		(0.63	)		(0.06	)		(0.69	)
2009 - R		15.08		0.52		0.17		0.69		(0.57	)		(0.06	)		(0.63	)

FOR THE PERIOD NOVEMBER 1, 2007 TO MARCH 31, 2008*
2008 - A		14.79		0.26		0.28		0.54		(0.26	)		—			(0.26	)
2008 - B		14.79		0.22		0.27		0.49		(0.21	)		—			(0.21	)
2008 - C		14.78		0.21		0.29		0.50		(0.21	)		—			(0.21	)
2008 - Institutional		14.77		0.28		0.28		0.56		(0.28	)		—			(0.28	)
2008 - Service		14.76		0.25		0.28		0.53		(0.25	)		—			(0.25	)
2008 - IR (Commenced November 30, 2007)		15.02		0.22		0.06		0.28		(0.22	)		—			(0.22	)
2008 - R (Commenced November 30, 2007)		15.02		0.20		0.06		0.26		(0.20	)		—			(0.20	)

FOR THE FISCAL YEAR ENDED OCTOBER 31,
2007 - A		14.64		0.60		0.13		0.73		(0.58	)		—			(0.58	)
2007 - B		14.64		0.50		0.12		0.62		(0.47	)		—			(0.47	)
2007 - C		14.63		0.49		0.13		0.62		(0.47	)		—			(0.47	)
2007 - Institutional		14.63		0.65		0.13		0.78		(0.64	)		—			(0.64	)
2007 - Service		14.61		0.58		0.13		0.71		(0.56	)		—			(0.56	)

The Fund changed its fiscal year end from October 31 to March 31.

(a)

Calculated based on the average shares outstanding methodology.

(b)

(c)

(d)

Annualized.


80		The accompanying notes are an integral part of these financial statements.

GOLDMAN SACHS GOVERNMENT INCOME FUND



Net asset value, end of period		Total return^(b)			Net assets, end of period (in 000s)		Ratio of net expenses to average net assets			Ratio of total expenses to average net assets			Ratio of net investment income to average net assets			Portfolio turnover rate^(c)

$	15.71		2.83	%	$	367,608		0.91	%^(d)		1.00	%^(d)		0.92	%^(d)		495	%
	15.71		2.45			10,330		1.66	^(d)		1.75	^(d)		0.17	^(d)		495
	15.71		2.44			30,532		1.66	^(d)		1.75	^(d)		0.16	^(d)		495
	15.69		3.07			314,886		0.57	^(d)		0.66	^(d)		1.23	^(d)		495
	15.67		2.75			87,933		1.07	^(d)		1.16	^(d)		0.76	^(d)		495
	15.70		2.96			1,820		0.66	^(d)		0.75	^(d)		1.14	^(d)		495
	15.70		2.77			22,948		1.16	^(d)		1.25	^(d)		0.66	^(d)		495


	15.37		6.32			396,439		0.92			1.00			1.14			763
	15.37		5.53			12,109		1.67			1.75			0.39			763
	15.37		5.53			32,148		1.67			1.75			0.38			763
	15.34		6.69			241,382		0.58			0.66			1.48			763
	15.33		6.17			89,677		1.08			1.16			0.97			763
	15.36		6.59			1,669		0.67			0.75			1.35			763
	15.35		6.07			20,368		1.17			1.25			0.87			763
	14.95		3.63			442,915		0.92			0.99			1.53			545
	14.95		2.86			17,358		1.67			1.74			0.79			545
	14.95		2.86			33,279		1.67			1.74			0.78			545
	14.92		3.92			266,217		0.58			0.65			1.86			545
	14.91		3.40			98,072		1.08			1.15			1.36			545
	14.94		3.89			663		0.67			0.74			1.74			545
	14.93		3.31			13,913		1.17			1.24			1.24			545
	15.18		4.48			513,457		0.92			1.00			2.74			366
	15.18		3.70			29,438		1.67			1.75			2.02			366
	15.18		3.68			39,255		1.67			1.75			1.99			366
	15.16		4.84			253,997		0.58			0.66			3.06			366
	15.15		4.32			100,242		1.08			1.16			2.56			366
	15.18		4.67			239		0.67			0.75			2.68			366
	15.17		4.22			5,106		1.17			1.25			2.21			366
	15.14		5.00			574,520		0.92			0.98			3.84			386
	15.14		4.22			45,916		1.67			1.73			3.10			386
	15.14		4.19			42,004		1.67			1.73			3.07			386
	15.12		5.37			245,475		0.58			0.64			4.21			386
	15.11		4.85			90,132		1.08			1.14			3.66			386
	15.14		5.19			11		0.67			0.73			4.06			386
	15.14		4.85			43		1.17			1.23			3.55			386


	15.07		3.63			512,301		0.90	^(d)		0.99	^(d)		4.20	^(d)		161
	15.07		3.31			50,078		1.65	^(d)		1.74	^(d)		3.46	^(d)		161
	15.07		3.37			30,010		1.65	^(d)		1.74	^(d)		3.44	^(d)		161
	15.05		3.79			300,342		0.56	^(d)		0.65	^(d)		4.56	^(d)		161
	15.04		3.57			59,449		1.06	^(d)		1.15	^(d)		4.03	^(d)		161
	15.08		1.85			10		0.66	^(d)		0.78	^(d)		4.24	^(d)		161
	15.08		1.65			10		1.16	^(d)		1.28	^(d)		3.86	^(d)		161


	14.79		5.13			434,917		0.94			1.02			4.11			141
	14.79		4.34			49,393		1.69			1.77			3.44			141
	14.78		4.35			22,078		1.69			1.77			3.37			141
	14.77		5.45			323,764		0.58			0.66			4.49			141
	14.76		5.00			45,154		1.08			1.16			3.99			141


The accompanying notes are an integral part of these financial statements.		81

GOLDMAN SACHS HIGH QUALITY FLOATING RATE FUND†

Financial Highlights

Selected Data for a Share Outstanding Throughout Each Period


				Income (loss) from investment operations
	Year - Share Class	Net asset value, beginning of period		Net investment income^(a)		Net realized and unrealized gain (loss)			Total from investment operations			Distributions to shareholders from net investment income
FOR THE SIX MONTHS ENDED SEPTEMBER 30, (UNAUDITED)
	2012 - A	$	8.77	$	0.03	$	(0.01	)	$	0.02		$	(0.02	)
	2012 - Institutional		8.77		0.04		(0.01	)		0.03			(0.03	)
	2012 - Service		8.81		0.02		—			0.02			(0.01	)
	2012 - IR		8.76		0.03		0.01			0.04			(0.03	)

FOR THE FISCAL YEARS ENDED MARCH 31,
	2012 - A		8.81		0.05		(0.07	)		(0.02	)		(0.02	)
	2012 - Institutional		8.82		0.08		(0.08	)		—			(0.05	)
	2012 - Service		8.86		0.04		(0.08	)		(0.04	)		(0.01	)
	2012 - IR		8.81		0.07		(0.08	)		(0.01	)		(0.04	)
	2011 - A		8.86		0.06		(0.06	)		—			(0.05	)^(e)
	2011 - Institutional		8.86		0.09		(0.05	)		0.04			(0.08	)^(e)
	2011 - Service		8.90		0.04		(0.04	)		—			(0.04	)^(e)
	2011 - IR		8.85		0.08		(0.05	)		0.03			(0.07	)^(e)
	2010 - A		8.77		0.10		0.16			0.26			(0.17	)^(e)
	2010 - Institutional		8.77		0.13		0.16			0.29			(0.20	)^(e)
	2010 - Service		8.81		0.11		0.13			0.24			(0.15	)^(e)
	2010 - IR		8.76		0.10		0.18			0.28			(0.19	)^(e)
	2009 - A		9.14		0.30		(0.32	)		(0.02	)		(0.35	)
	2009 - Institutional		9.14		0.34		(0.33	)		0.01			(0.38	)
	2009 - Service		9.18		0.29		(0.33	)		(0.04	)		(0.33	)
	2009 - IR		9.14		0.34		(0.35	)		(0.01	)		(0.37	)

FOR THE PERIOD NOVEMBER 1, 2007 TO MARCH 31, 2008*
	2008 - A		9.28		0.15		(0.12	)		0.03			(0.17	)
	2008 - Institutional		9.28		0.16		(0.12	)		0.04			(0.18	)
	2008 - Service		9.32		0.15		(0.13	)		0.02			(0.16	)
	2008 - IR (Commenced November 30, 2007)		9.26		0.12		(0.10	)		0.02			(0.14	)

FOR THE FISCAL YEAR ENDED OCTOBER 31,
	2007 - A		9.27		0.36		0.10			0.46			(0.45	)
	2007 - Institutional		9.27		0.39		0.10			0.49			(0.48	)
	2007 - Service		9.31		0.35		0.09			0.44			(0.43	)

†

Formerly, Goldman Sachs Ultra-Short Duration Government Fund. Effective July 27, 2012, the Fund changed its name to the Goldman Sachs High Quality Floating Rate Fund.

The Fund changed its fiscal year end from October 31 to March 31.

(a)

Calculated based on the average shares outstanding methodology.

(b)

(c)

(d)

Annualized.

(e)

Includes a return of capital amounting to less than $0.005 per share.


82		The accompanying notes are an integral part of these financial statements.

GOLDMAN SACHS HIGH QUALITY FLOATING RATE FUND†



Net asset value, end of period		Total return^(b)			Net assets, end of period (in 000s)		Ratio of net expenses to average net assets			Ratio of total expenses to average net assets			Ratio of net investment income to average net assets			Portfolio turnover rate^(c)

$	8.77		0.22	%	$	70,623		0.74	%^(d)		0.93	%^(d)		0.58	%^(d)		205	%
	8.77		0.50			151,347		0.40	^(d)		0.59	^(d)		0.92	^(d)		205
	8.82		0.25			171		0.89	^(d)		1.09	^(d)		0.50	^(d)		205
	8.77		0.45			2,188		0.49	^(d)		0.68	^(d)		0.77	^(d)		205


	8.77		(0.21	)		85,905		0.75			0.90			0.53			178
	8.77		0.01			212,611		0.41			0.56			0.87			178
	8.81		(0.44	)		448		0.86			1.06			0.41			178
	8.76		(0.08	)		930		0.50			0.65			0.79			178
	8.81		0.00			118,804		0.82			0.87			0.65			175
	8.82		0.45			293,924		0.48			0.53			1.00			175
	8.86		(0.05	)		924		0.98			1.03			0.49			175
	8.81		0.36			1,151		0.57			0.62			0.93			175
	8.86		2.96			303,400		0.83			0.87			1.14			111
	8.86		3.31			487,133		0.49			0.53			1.45			111
	8.90		2.78			2,702		0.99			1.03			1.29			111
	8.85		3.22			451		0.58			0.62			1.19			111
	8.77		(0.26	)		97,936		0.83			0.90			3.39			163
	8.77		0.07			141,806		0.49			0.56			3.74			163
	8.81		(0.42	)		2,919		0.99			1.06			3.22			163
	8.76		(0.13	)		10		0.58			0.65			3.81			163


	9.14		0.31			90,398		0.81	^(d)		0.87	^(d)		3.94	^(d)		28
	9.14		0.46			422,242		0.47	^(d)		0.53	^(d)		4.26	^(d)		28
	9.18		0.25			3,620		0.98	^(d)		1.04	^(d)		3.81	^(d)		28
	9.14		0.20			10		0.57	^(d)		0.60	^(d)		3.93	^(d)		28


	9.28		5.02			106,648		0.85			0.89			3.86			94
	9.28		5.41			406,895		0.49			0.53			4.22			94
	9.32		4.86			3,590		0.99			1.02			3.68			94


The accompanying notes are an integral part of these financial statements.		83

GOLDMAN SACHS INFLATION PROTECTED SECURITIES FUND

Financial Highlights

Selected Data for a Share Outstanding Throughout Each Period


			Income (loss) from investment operations									Distributions to shareholders
Year - Share Class	Net asset value, beginning of period		Net investment income (loss)			Net realized and unrealized gain (loss)			Total from investment operations			From net investment income			From net realized gains			From capital			Total distributions
FOR THE SIX MONTHS ENDED SEPTEMBER 30, (UNAUDITED)
2012 - A	$	11.16	$	0.06	^(c)	$	0.54		$	0.60		$	(0.10	)	$	—		$	—		$	(0.10	)
2012 - C		11.20		0.02	^(c)		0.54			0.56			(0.06	)		—			—			(0.06	)
2012 - Institutional		11.20		0.07	^(c)		0.55			0.62			(0.12	)		—			—			(0.12	)
2012 - IR		11.17		0.02	^(c)		0.60			0.62			(0.12	)		—			—			(0.12	)
2012 - R		11.19		0.03	^(c)		0.55			0.58			(0.09	)		—			—			(0.09	)

FOR THE FISCAL YEARS ENDED MARCH 31,
2012 - A		10.95		0.19	^(c)		1.11			1.30			(0.30	)		(0.79	)		—			(1.09	)
2012 - C		10.99		0.13	^(c)		1.09			1.22			(0.22	)		(0.79	)		—			(1.01	)
2012 - Institutional		10.99		0.23	^(c)		1.11			1.34			(0.34	)		(0.79	)		—			(1.13	)
2012 - IR		10.97		0.02	^(c)		1.30			1.32			(0.33	)		(0.79	)		—			(1.12	)
2012 - R		10.98		0.18	^(c)		1.09			1.27			(0.27	)		(0.79	)		—			(1.06	)
2011 - A		10.89		0.19	^(c)		0.61			0.80			(0.17	)		(0.57	)		—			(0.74	)
2011 - C		10.93		0.11	^(c)		0.61			0.72			(0.09	)		(0.57	)		—			(0.66	)
2011 - Institutional		10.93		0.22	^(c)		0.62			0.84			(0.21	)		(0.57	)		—			(0.78	)
2011 - IR		10.91		0.22	^(c)		0.61			0.83			(0.20	)		(0.57	)		—			(0.77	)
2011 - R		10.91		0.17	^(c)		0.61			0.78			(0.14	)		(0.57	)		—			(0.71	)
2010 - A		10.51		0.31	^(c)		0.29			0.60			(0.22	)		—			—			(0.22	)
2010 - C		10.54		0.21	^(c)		0.32			0.53			(0.14	)		—			—			(0.14	)
2010 - Institutional		10.54		0.33	^(c)		0.32			0.65			(0.26	)		—			—			(0.26	)
2010 - IR		10.53		0.23	^(c)		0.40			0.63			(0.25	)		—			—			(0.25	)
2010 - R		10.53		0.20	^(c)		0.37			0.57			(0.19	)		—			—			(0.19	)
2009 - A		11.07		0.04			(0.35	)		(0.31	)		(0.09	)		(0.02	)		(0.14	)		(0.25	)
2009 - C		11.11		(0.06	)		(0.34	)		(0.40	)		(0.06	)		(0.02	)		(0.09	)		(0.17	)
2009 - Institutional		11.11		0.01			(0.29	)		(0.28	)		(0.11	)		(0.02	)		(0.16	)		(0.29	)
2009 - IR		11.09		0.15			(0.43	)		(0.28	)		(0.11	)		(0.02	)		(0.15	)		(0.28	)
2009 - R		11.09		0.11			(0.44	)		(0.33	)		(0.08	)		(0.02	)		(0.13	)		(0.23	)

FOR THE PERIOD ENDED MARCH 31,
2008 - A (Commenced August 31, 2007)		10.00		0.27	^(c)		0.93			1.20			(0.13	)		—			—			(0.13	)
2008 - C (Commenced August 31, 2007)		10.00		0.29	^(c)		0.91			1.20			(0.09	)		—			—			(0.09	)
2008 - Institutional (Commenced August 31, 2007)		10.00		0.24	^(c)		1.02			1.26			(0.15	)		—			—			(0.15	)
2008 - IR (Commenced November 30, 2007)		10.56		0.17	^(c)		0.46			0.63			(0.10	)		—			—			(0.10	)
2008 - R (Commenced November 30, 2007)		10.56		0.16	^(c)		0.45			0.61			(0.08	)		—			—			(0.08	)

(a)

(b)

(c)

Calculated based on the average shares outstanding methodology.

(d)

Annualized.


84		The accompanying notes are an integral part of these financial statements.

GOLDMAN SACHS INFLATION PROTECTED SECURITIES FUND



Net asset value, end of period		Total return^(a)			Net assets, end of period (in 000s)		Ratio of net expenses to average net assets			Ratio of total expenses to average net assets			Ratio of net investment income (loss) to average net assets			Portfolio turnover rate^(b)

$	11.66		5.39	%	$	109,494		0.62	%^(d)		0.81	%^(d)		1.06	%^(d)		118	%
	11.70		4.99			21,954		1.37	^(d)		1.56	^(d)		0.32	^(d)		118
	11.70		5.56			179,544		0.28	^(d)		0.47	^(d)		1.25	^(d)		118
	11.67		5.52			4,447		0.37	^(d)		0.56	^(d)		0.33	^(d)		118
	11.68		5.16			1,837		0.87	^(d)		1.06	^(d)		0.54	^(d)		118


	11.16		11.99			123,135		0.63			0.83			1.63			194
	11.20		11.24			24,312		1.28			1.58			1.17			194
	11.20		12.34			159,075		0.29			0.49			2.05			194
	11.17		12.16			393		0.38			0.58			0.21			194
	11.19		11.70			1,411		0.88			1.08			1.61			194
	10.95		7.53			79,215		0.67			0.83			1.71			211
	10.99		6.72			22,111		1.42			1.58			0.96			211
	10.99		7.88			108,491		0.33			0.49			1.99			211
	10.97		7.80			116		0.42			0.58			1.93			211
	10.98		7.36			1,145		0.92			1.08			1.50			211
	10.89		5.76			83,263		0.67			0.91			2.88			82
	10.93		5.05			21,962		1.42			1.66			1.91			82
	10.93		6.20			133,980		0.33			0.57			3.05			82
	10.91		6.01			125		0.42			0.66			2.15			82
	10.91		5.49			361		0.92			1.16			1.86			82
	10.51		(2.68	)		45,855		0.67			1.19			0.41			44
	10.54		(3.49	)		6,890		1.42			1.94			(0.57	)		44
	10.54		(2.33	)		46,706		0.33			0.85			(0.25	)		44
	10.53		(2.45	)		10		0.42			0.94			1.44			44
	10.53		(2.90	)		11		0.92			1.44			1.01			44


	11.07		12.09			20,155		0.67	^(d)		4.22	^(d)		4.37	^(d)		1
	11.11		12.02			3,031		1.42	^(d)		4.97	^(d)		4.61	^(d)		1
	11.11		12.62			11,765		0.32	^(d)		3.87	^(d)		3.95	^(d)		1
	11.09		5.98			11		0.42	^(d)		4.68	^(d)		4.80	^(d)		1
	11.09		5.81			11		0.92	^(d)		5.18	^(d)		4.31	^(d)		1


The accompanying notes are an integral part of these financial statements.		85

GOLDMAN SACHS SHORT DURATION GOVERNMENT FUND

Financial Highlights

Selected Data for a Share Outstanding Throughout Each Period


					Income (loss) from investment operations							Distributions to shareholders
	Year - Share Class		Net asset value, beginning of period		Net investment income^(a)			Net realized and unrealized gain		Total from investment operations		From net investment income			From net realized gains			Total distributions
FOR THE SIX MONTHS ENDED SEPTEMBER 30, (UNAUDITED)
	2012 - A		$	10.30	$	0.03		$	0.02	$	0.05	$	(0.02	)	$	—		$	(0.02	)
	2012 - B			10.26		—	^(e)		0.03		0.03		—	^(e)		—			—	^(e)
	2012 - C			10.23		0.01			0.02		0.03		—	^(e)		—			—	^(e)
	2012 - Institutional			10.27		0.04			0.02		0.06		(0.04	)		—			(0.04	)
	2012 - Service			10.25		0.02			0.02		0.04		(0.01	)		—			(0.01	)
	2012 - IR			10.30		0.04			0.03		0.07		(0.04	)		—			(0.04	)

FOR THE FISCAL YEARS ENDED MARCH 31,
	2012 - A			10.23		0.05			0.06		0.11		(0.04	)		—	^(e)		(0.04	)
	2012 - B			10.20		0.02			0.04		0.06		—	^(e)		—	^(e)		—	^(e)
	2012 - C			10.17		0.02			0.05		0.07		(0.01	)		—	^(e)		(0.01	)
	2012 - Institutional			10.20		0.09			0.06		0.15		(0.08	)		—	^(e)		(0.08	)
	2012 - Service			10.19		0.04			0.05		0.09		(0.03	)		—	^(e)		(0.03	)
	2012 - IR			10.24		0.08			0.05		0.13		(0.07	)		—	^(e)		(0.07	)
	2011 - A			10.37		0.06			0.06		0.12		(0.06	)		(0.20	)		(0.26	)
	2011 - B			10.33		0.01			0.06		0.07		—	^(e)		(0.20	)		(0.20	)
	2011 - C			10.30		0.01			0.07		0.08		(0.01	)		(0.20	)		(0.21	)
	2011 - Institutional			10.33		0.10			0.06		0.16		(0.09	)		(0.20	)		(0.29	)
	2011 - Service			10.32		0.05			0.06		0.11		(0.04	)		(0.20	)		(0.24	)
	2011 - IR			10.37		0.09			0.06		0.15		(0.08	)		(0.20	)		(0.28	)
	2010 - A			10.36		0.16			0.19		0.35		(0.17	)		(0.17	)		(0.34	)
	2010 - B			10.32		0.11			0.17		0.28		(0.10	)		(0.17	)		(0.27	)
	2010 - C			10.30		0.08			0.18		0.26		(0.09	)		(0.17	)		(0.26	)
	2010 - Institutional			10.33		0.19			0.18		0.37		(0.20	)		(0.17	)		(0.37	)
	2010 - Service			10.31		0.14			0.19		0.33		(0.15	)		(0.17	)		(0.32	)
	2010 - IR			10.36		0.16			0.21		0.37		(0.19	)		(0.17	)		(0.36	)
	2009 - A			10.14		0.27			0.31		0.58		(0.31	)		(0.05	)		(0.36	)
	2009 - B			10.10		0.22			0.30		0.52		(0.25	)		(0.05	)		(0.30	)
	2009 - C			10.07		0.19			0.33		0.52		(0.24	)		(0.05	)		(0.29	)
	2009 - Institutional			10.11		0.31			0.31		0.62		(0.35	)		(0.05	)		(0.40	)
	2009 - Service			10.09		0.25			0.32		0.57		(0.30	)		(0.05	)		(0.35	)
	2009 - IR			10.14		0.30			0.31		0.61		(0.34	)		(0.05	)		(0.39	)

	FOR THE PERIOD NOVEMBER 1, 2007 TO MARCH 31, 2008*
	2008 - A			9.79		0.17			0.34		0.51		(0.16	)		—			(0.16	)
	2008 - B			9.76		0.15			0.32		0.47		(0.13	)		—			(0.13	)
	2008 - C			9.73		0.14			0.33		0.47		(0.13	)		—			(0.13	)
	2008 - Institutional			9.77		0.18			0.33		0.51		(0.17	)		—			(0.17	)
	2008 - Service			9.75		0.16			0.33		0.49		(0.15	)		—			(0.15	)
	2008 - IR (Commenced November 30, 2007)			9.91		0.15			0.21		0.36		(0.13	)		—			(0.13	)

	FOR THE FISCAL YEAR ENDED OCTOBER 31,
	2007 - A			9.67		0.37			0.12		0.49		(0.37	)		—			(0.37	)
	2007 - B			9.64		0.32			0.11		0.43		(0.31	)		—			(0.31	)
	2007 - C			9.61		0.30			0.11		0.41		(0.29	)		—			(0.29	)
	2007 - Institutional	��		9.64		0.41			0.12		0.53		(0.40	)		—			(0.40	)
	2007 - Service			9.63		0.36			0.11		0.47		(0.35	)		—			(0.35	)

The Fund changed its fiscal year end from October 31 to March 31.

(a)

Calculated based on the average shares outstanding methodology.

(b)

(c)

(d)

Annualized.

(e)

Amount is less than $0.005 per share.


86		The accompanying notes are an integral part of these financial statements.

GOLDMAN SACHS SHORT DURATION GOVERNMENT FUND



Net asset value, end of period		Total return^(b)			Net assets, end of period (in 000s)		Ratio of net expenses to average net assets			Ratio of total expenses to average net assets			Ratio of net investment income to average net assets			Portfolio turnover rate^(c)

$	10.33		0.51	%	$	662,460		0.80	%^(d)		0.88	%^(d)		0.50	%^(d)		366	%
	10.29		0.30			389		1.24	^(d)		1.63	^(d)		0.07	^(d)		366
	10.26		0.33			82,247		1.18	^(d)		1.63	^(d)		0.13	^(d)		366
	10.29		0.59			1,185,271		0.46	^(d)		0.54	^(d)		0.84	^(d)		366
	10.28		0.43			61,701		0.96	^(d)		1.04	^(d)		0.34	^(d)		366
	10.33		0.64			30,318		0.55	^(d)		0.63	^(d)		0.75	^(d)		366


	10.30		1.10			808,034		0.79			0.87			0.53			359
	10.26		0.62			491		1.18			1.62			0.15			359
	10.23		0.65			95,446		1.15			1.62			0.18			359
	10.27		1.45			1,265,479		0.45			0.53			0.87			359
	10.25		0.84			69,463		0.95			1.03			0.39			359
	10.30		1.25			36,019		0.54			0.62			0.77			359
	10.23		1.11			1,013,335		0.82			0.87			0.61			312
	10.20		0.69			1,033		1.35			1.62			0.09			312
	10.17		0.74			126,533		1.31			1.62			0.12			312
	10.20		1.56			1,512,908		0.48			0.53			0.95			312
	10.19		1.05			128,073		0.98			1.03			0.45			312
	10.24		1.46			9,395		0.57			0.62			0.85			312
	10.37		3.38			1,503,139		0.84			0.88			1.53			175
	10.33		2.78			3,797		1.44			1.63			1.05			175
	10.30		2.53			179,424		1.59			1.63			0.80			175
	10.33		3.64			1,921,023		0.50			0.54			1.84			175
	10.32		3.23			190,628		1.00			1.04			1.31			175
	10.37		3.64			3,366		0.59			0.63			1.54			175
	10.36		5.90			933,942		0.86			0.91			2.63			308
	10.32		5.29			5,698		1.46			1.66			2.01			308
	10.30		5.25			122,944		1.61			1.66			1.84			308
	10.33		6.28			850,831		0.52			0.57			3.11			308
	10.31		5.76			85,020		1.02			1.07			2.43			308
	10.36		6.16			62		0.61			0.66			2.99			308


	10.14		5.23			393,830		0.88	^(d)		0.94	^(d)		4.11	^(d)		61
	10.10		4.88			7,975		1.48	^(d)		1.69	^(d)		3.52	^(d)		61
	10.07		4.83			40,967		1.63	^(d)		1.69	^(d)		3.36	^(d)		61
	10.11		5.29			761,654		0.53	^(d)		0.59	^(d)		4.44	^(d)		61
	10.09		5.08			8,429		1.03	^(d)		1.09	^(d)		3.96	^(d)		61
	10.14		3.67			10		0.63	^(d)		0.69	^(d)		4.30	^(d)		61


	9.79		5.25			303,073		0.90			0.97			3.85			102
	9.76		4.65			9,263		1.50			1.71			3.26			102
	9.73		4.51			29,944		1.65			1.72			3.10			102
	9.77		5.77			630,240		0.54			0.61			4.23			102
	9.75		5.14			8,141		1.04			1.10			3.68			102


The accompanying notes are an integral part of these financial statements.		87

GOLDMAN SACHS SHORT DURATION INCOME FUND

Financial Highlights

Selected Data for a Share Outstanding Throughout Each Period


			Income (loss) from investment operations
Year - Share Class	Net asset value, beginning of period		Net investment income^(a)			Net realized and unrealized gain (loss)			Total from investment operations			Distributions to shareholders from net investment income
FOR THE SIX MONTHS ENDED SEPTEMBER 30, (UNAUDITED)
2012 - A	$	9.96	$	0.05		$	0.19		$	0.24		$	(0.05	)
2012 - C		9.97		0.04			0.19			0.23			(0.04	)
2012 - Institutional		9.97		0.07			0.20			0.27			(0.07	)
2012 - IR		9.97		0.06			0.20			0.26			(0.07	)
2012 - R		9.97		0.04			0.20			0.24			(0.04	)

FOR THE PERIOD ENDED MARCH 31,
2012 - A (Commenced February 29, 2012)		10.00		0.01			(0.04	)		(0.03	)		(0.01	)
2012 - C (Commenced February 29, 2012)		10.00		—	^(e)		(0.03	)		(0.03	)		—	^(e)
2012 - Institutional (Commenced February 29, 2012)		10.00		0.01			(0.03	)		(0.02	)		(0.01	)
2012 - IR (Commenced February 29, 2012)		10.00		0.01			(0.03	)		(0.02	)		(0.01	)
2012 - R (Commenced February 29, 2012)		10.00		—	^(e)		(0.02	)		(0.02	)		(0.01	)

(a)

Calculated based on the average shares outstanding methodology.

(b)

(c)

Annualized.

(d)

(e)

Amount is less than $0.005 per share.


88		The accompanying notes are an integral part of these financial statements.

GOLDMAN SACHS SHORT DURATION INCOME FUND



Net asset value, end of period		Total return^(b)			Net assets, end of period (in 000s)		Ratio of net expenses to average net assets^(c)			Ratio of total expenses to average net assets^(c)			Ratio of net investment income to average net assets^(c)			Portfolio turnover rate^(d)

$	10.15		2.46	%	$	15,523		0.79	%		2.44	%		1.04	%		657	%
	10.16		2.28			12		1.16			3.19			0.81			657
	10.17		2.74			20,296		0.45			2.10			1.37			657
	10.16		2.69			60		0.54			2.19			1.24			657
	10.17		2.42			10		1.04			2.69			0.74			657


	9.96		(0.34	)		1,747		0.79			6.26			0.79			29
	9.97		(0.28	)		10		1.19			7.01			0.38			29
	9.97		(0.21	)		11,122		0.45			5.92			1.11			29
	9.97		(0.22	)		10		0.54			6.01			0.97			29
	9.97		(0.25	)		10		1.04			6.51			0.50			29


The accompanying notes are an integral part of these financial statements.		89

GOLDMAN SACHS SHORT DURATION AND GOVERNMENT FIXED INCOME FUNDS

Notes to Financial Statements

September 30, 2012 (Unaudited)

1. ORGANIZATION

Goldman Sachs Trust (the “Trust”) is a Delaware statutory trust registered under the Investment Company Act of 1940, as amended (the “Act”), as an open-end management investment company. The following table lists those series of the Trust that are included in this report (collectively, the “Funds” or individually a “Fund”), along with their corresponding share classes and respective diversification status under the Act:


Fund	Share Classes Offered*	Diversified/ Non-diversified
Enhanced Income	A, B, Institutional, Administration and IR	Diversified
Government Income	A, B, C, Institutional, Service, IR and R	Diversified
High Quality Floating Rate†	A, Institutional, Service and IR	Diversified
Inflation Protected Securities	A, C, Institutional, IR and R	Diversified
Short Duration Government	A, B, C, Institutional, Service and IR	Diversified
Short Duration Income (Commenced February 29, 2012)	A, C, Institutional, IR and R	Diversified

Class B Shares are generally no longer available for purchase by current or prospective investors.

†

Formerly, Goldman Sachs Ultra-Short Duration Government Fund. Effective July 27, 2012, the Fund changed its name to the Goldman Sachs High Quality Floating Rate Fund.

Class A Shares of the Enhanced Income, Government Income, High Quality Floating Rate, Inflation Protected Securities, Short Duration Government and Short Duration Income Funds are sold with a front-end sales charge of up to 1.50%, 3.75%, 1.50%, 3.75%, 1.50% and 1.50%, respectively. Class B Shares were sold with a contingent deferred sales charge (“CDSC”) that declines from 5.00% to zero, (2.00% to zero for Short Duration Government Fund), depending upon the period of time the shares are held. Class C Shares are sold with a CDSC of 1.00% (0.65% for Short Duration Government and Short Duration Income Funds), which is imposed on redemptions made within 12 months of purchase. Institutional, Administration, 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 the Funds pursuant to a management agreement (each, an “Agreement”) with the Trust.

2. SIGNIFICANT ACCOUNTING POLICIES

The financial statements have been prepared in accordance with accounting principles generally accepted in the United States of America (“GAAP”) and require management to make estimates and assumptions that may affect the reported amounts and disclosures. Actual results may differ from those estimates and assumptions.

A. Investment Valuation — The Funds’ valuation policy is to value investments at fair value.

B. Investment Income and Investments — Investment income includes interest income and dividend income, net of any foreign withholding taxes, less any amounts reclaimable. Interest income is accrued daily and adjusted for amortization of premiums and accretion of discounts. Dividend income is recognized on ex-dividend date or, for certain foreign securities, as soon as such information is obtained subsequent to the ex-dividend date. Investment transactions are reflected on trade date. Realized gains and losses are calculated using identified cost. Investment transactions are recorded on the following business day for daily net asset value (“NAV”) calculations. Any foreign capital gains tax is accrued daily based upon net unrealized gains, and is payable upon sale of such investments.

For derivatives contracts, realized gains and losses are recorded upon settlement of the contract. Upfront payments on swaps are recorded as deferred realized gains or losses and are recognized over the contract’s term/event with the exception of forward starting interest rate swaps whose realized gain or losses are recognized from the effective start date. For securities with paydown provisions, principal payments received are treated as a proportionate reduction to the cost basis of the securities and excess

GOLDMAN SACHS SHORT DURATION AND GOVERNMENT FIXED INCOME FUNDS

2. SIGNIFICANT ACCOUNTING POLICIES (continued)

amounts are recorded as gains. For treasury inflation protected securities (“TIPS”), adjustments to principal due to inflation/deflation are reflected as increases/decreases to interest income with a corresponding adjustment to cost.

C. Class Allocations and Expenses — Investment income, realized and unrealized gain (loss), and non-class specific expenses of each Fund are allocated daily based upon the 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 and Shareholder Administration fees. Non-class specific expenses directly incurred by a Fund are charged to that Fund, while such expenses incurred by the Trust are allocated across the respective Funds on a straight-line and/or pro-rata basis depending upon the nature of the expenses.

D. Offering Costs — Offering costs paid in connection with the offering of shares of the Short Duration Income Fund are being amortized on a straight-line basis over 12 months from the date of commencement of operations.

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 distributions, if any, are declared daily and paid monthly, 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.

3. INVESTMENTS AND FAIR VALUE MEASUREMENTS

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 levels used for classifying investments are not necessarily an indication of the risk associated with investing in these investments. 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 investments, 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).

A. Level 1 and Level 2 Fair Value Investments — The valuation techniques and significant inputs used in determining the fair values for investments classified as Level 1 and Level 2 are as follows:

Debt Securities — Debt securities, for which market quotations are readily available, are valued daily on the basis of quotations supplied by dealers or an independent pricing service approved by the trustees. 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

GOLDMAN SACHS SHORT DURATION AND GOVERNMENT FIXED INCOME FUNDS

Notes to Financial Statements (continued)

September 30, 2012 (Unaudited)

3. INVESTMENTS AND FAIR VALUE MEASUREMENTS (continued)

rating, interest rate and maturity date or (ii) quotations from securities dealers to determine current value. 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 fair value. With the exception of treasury securities, which are generally classified as Level 1, these investments are generally classified as Level 2 of the fair value hierarchy.

i. Mortgage-Backed and Asset-Backed Securities — Mortgage-backed securities represent direct or indirect participations in, or are collateralized by and payable from, mortgage loans secured by residential and/or commercial real estate property. Asset-backed securities include securities whose principal and interest payments are collateralized by pools of assets. The value of certain mortgage-backed and asset-backed securities (including adjustable rate mortgage loans) may be particularly sensitive to changes in prevailing interest rates. The value of the securities may also fluctuate in response to the market’s perception of the creditworthiness of the issuers.

Asset-backed securities may present credit risks that are not presented by mortgage-backed securities because they generally do not have the benefit of a security interest in collateral that is comparable to mortgage assets. Some asset-backed securities may only have a subordinated claim on collateral.

Stripped mortgage-backed securities are usually structured with two different classes: one that receives substantially all interest payments (interest-only, or “IO” and/or the high coupon rate with relatively low principal amount, or “IOette”), and the other that receives substantially all of the principal payments (principal-only, or “PO”) from a pool of mortgage loans. Little to no principal will be received at the maturity of an IO; as a result, periodic adjustments are recorded to reduce the cost of the security through maturity. These adjustments are included in interest income.

ii. Mortgage Dollar Rolls — Mortgage dollar rolls are transactions whereby the Funds sell mortgage backed securities and simultaneously contract with the same counterparty to repurchase similar securities on a specified future date. During the settlement period, the Funds will not be entitled to accrue interest and principal payments on the securities sold.

iii. Treasury Inflation Protected Securities — TIPS are treasury securities in which the principal amount is adjusted daily to keep pace with inflation, as measured by the U.S. Consumer Pricing Index for Urban Consumers. The repayment of the original bond principal upon maturity is guaranteed by the full faith and credit of the U.S. Government.

iv. When-Issued Securities and Forward Commitments — When-issued securities, including TBA (“To Be Announced”) securities, are securities that are authorized, but not yet issued in the market and purchased in order to secure what is considered to be an advantageous price or yield to the Fund. A forward commitment involves entering into a contract to purchase or sell securities, typically on an extended settlement basis, for a fixed price at a future date. The purchase of securities on a when-issued or forward commitment basis involves a risk of loss if the value of the security to be purchased declines before the settlement date. Conversely, the sale of securities on a forward commitment basis involves the risk that the value of the securities sold may increase before the settlement date. Although the Funds will generally purchase securities on a when-issued or forward commitment basis with the intention of acquiring the securities for their portfolios, the Funds may dispose of when-issued securities or forward commitments prior to settlement which may result in a realized gain or loss.

Equity Securities — Equity securities and investment companies traded on a U.S. securities exchange or 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. If no sale occurs, equity securities and exchange traded investment companies are valued at the last bid price for long positions and at the last ask price for short positions. Investments in investment companies (other than those that are exchange traded) are valued at the NAV on the valuation date. To the extent these investments are actively traded, they are classified as Level 1 of the fair value hierarchy.

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. Securities 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 and consistent with applicable regulatory guidance. The independent fair value service takes into account multiple factors including, but not limited to, movements in the securities markets, certain depositary receipts, futures contracts and foreign currency exchange rates

GOLDMAN SACHS SHORT DURATION AND GOVERNMENT FIXED INCOME FUNDS

3. INVESTMENTS AND FAIR VALUE MEASUREMENTS (continued)

that have occurred subsequent to the close of the foreign securities exchange. Investments applying these valuation adjustments are classified as Level 2 of the fair value hierarchy.

Derivative Contracts — A derivative is an instrument whose value is derived from underlying assets, indices, reference rates or a combination of these factors.

Exchange-traded derivatives, including futures contracts, typically fall within Level 1 of the fair value hierarchy. Over-the-counter (“OTC”) derivatives are valued using market transactions and other market evidence, including market-based inputs to models, calibration to market-clearing transactions, broker or dealer quotations or other alternative pricing. Where models are used, the selection of a particular model to value an OTC derivative depends upon the contractual terms of, and specific risks inherent in, the instrument, as well as the availability of pricing information in the market. Valuation models require a variety of inputs, including contractual terms, market prices, yield curves, credit curves, measures of volatility, voluntary and involuntary prepayment rates, loss severity rates and correlations of such inputs. For OTC derivatives that trade in liquid markets, model inputs can generally be verified and model selection does not involve significant management judgment. OTC derivatives are classified within Level 2 of the fair value hierarchy when significant inputs are corroborated by market evidence.

i. Forward Foreign Currency Exchange Contracts — In a forward foreign currency contract, the Funds agree to receive or deliver a fixed quantity of one currency for another, at a pre-determined price at a future date. All forward foreign currency exchange contracts are marked to market daily at the applicable forward rate.

ii. Futures Contracts — Futures contracts are contracts to buy or sell a standardized quantity of a specified commodity or security and are valued based on exchanged settlement prices or independent market quotes. Futures contracts are valued at the last settlement price, or in the absence of a sale, the last bid price for long positions and at the last ask price for short positions, 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 gains or losses.

iii. Options — When the Funds write call or put options, an amount equal to the premium received is recorded as a liability and is subsequently marked-to-market to reflect the current market value of the option written. Swaptions are options on swap contracts. Options on a futures contract may be written with premiums to be determined on a future date. The premiums for these options are based upon implied volatility parameters at specified terms.

Upon the purchase of a call option or a put option by the Funds, the premium paid is recorded as an investment and subsequently marked-to-market to reflect the current market value of the option. Certain options may be purchased with premiums to be determined on a future date. The premiums for these options are based upon implied voluntary parameters at specified terms.

iv. Swap Contracts — Swaps are marked to market daily using pricing vendor quotations, counterparty prices or model prices, and the change in value, if any, is recorded as an unrealized gain or loss.

An interest rate swap is an agreement that obligates two parties to exchange a series of cash flows at specified intervals, based upon or calculated by reference to changes in specified prices, rates or indices for a specified amount of an underlying asset or notional principal amount. The payment flows are usually netted against each other, with the difference being paid by one party to the other.

A credit default swap is an agreement that involves one party making a stream of payments to another party in exchange for the right to receive protection on a reference security or obligation. A Fund may use credit default swaps to provide a measure of protection against defaults of the reference security or obligation or to take a short position with respect to the likelihood of default. A Fund’s investment in credit default swaps may involve greater risks than if the Fund had invested in the referenced obligation directly. Credit events are contract specific but may include bankruptcy, failure to pay, restructuring and obligation acceleration. If a Fund buys protection through a credit default swap and no credit event occurs, its payments are limited to the periodic payments previously made to the counterparty. Upon the occurrence of a specified credit event, a

GOLDMAN SACHS SHORT DURATION AND GOVERNMENT FIXED INCOME FUNDS

Notes to Financial Statements (continued)

September 30, 2012 (Unaudited)

3. INVESTMENTS AND FAIR VALUE MEASUREMENTS (continued)

Fund, as a buyer of credit protection, is entitled to receive an amount equal to the notional amount of the swap and deliver to the seller the defaulted reference obligation in a physically settled trade. A Fund may also receive a net settlement amount in the form of cash or securities equal to the notional amount of the swap reduced by the recovery value of the reference obligation in cash settled trade.

As a seller of protection, a Fund generally receives a payment stream throughout the term of the swap, provided that there is no credit event. In addition, if the Fund sells protection through a credit default swap, the Fund could suffer a loss because the value of the referenced obligation may be less than the premium payments received. Upon the occurrence of a specified credit event, a Fund, as a seller of credit protection, may be required to take possession of the defaulted reference obligation and pay the buyer an amount equal to the notional amount of the swap in a physically settled trade. A Fund may also pay a net settlement amount in the form of cash or securities equal to the notional amount of the swap reduced by the recovery value of the reference obligation in cash settled trade. Recovery values are at times established through the credit event auction process in which market participants are ensured that a transparent price has been set for the defaulted security or obligation. In addition, a Fund is entitled to a return of any assets, which have been pledged as collateral to the counterparty.

The maximum potential amount of future payments (undiscounted) that the Funds as sellers of protection could be required to make under a credit default swap would be an amount equal to the notional amount of the agreement. These potential amounts would be partially offset by any recovery values of the respective referenced obligations or net amounts received from a settlement of a credit default swap for the same reference security or obligation where the Funds bought credit protection.

Short Term Investments — Short-term investments having a maturity of 60 days or less are generally valued at amortized cost which approximates fair market value. These investments are classified as Level 2 of the fair value hierarchy.

i. Repurchase Agreements — Repurchase agreements involve the purchase of securities subject to the seller’s agreement to repurchase the securities at a mutually agreed upon date and price. During the term of a repurchase agreement, the value of the underlying securities held as collateral on behalf of the Funds, including accrued interest is required to exceed the value of the repurchase agreement, including accrued interest. The underlying securities for all repurchase agreements are held at the Funds’ custodian or designated sub-custodians under tri-party repurchase agreements.

Pursuant to exemptive relief granted by the Securities and Exchange Commission (“SEC”) and terms and conditions contained therein, the Funds, together with other registered investment companies having management agreements with GSAM or its affiliates, may transfer uninvested cash into joint accounts, the daily aggregate balance of which is invested in one or more repurchase agreements. Under these joint accounts, the Funds maintain pro rata credit exposure to the underlying repurchase agreements’ counterparties. With the exception of certain transaction fees, the Funds are not subject to any expenses in relation to these investments.

B. Level 3 Fair Value Investments — The valuation techniques and significant inputs used in determining the fair values for investments classified as Level 3 are as follows:

To the extent that the aforementioned significant inputs are unobservable, or if 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 under valuation procedures approved by the trustees. GSAM, consistent with its procedures and applicable regulatory guidance, may make an adjustment to the most recent valuation 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 a Fund’s NAV. Significant events which could affect a large number of securities in a particular market may include, but are not limited to: significant fluctuations in U.S. or foreign markets; market dislocations; market disruptions; or unscheduled market closings. Significant events which could also affect a single issuer, may include, but are not limited to: corporate actions such as reorganizations, mergers and buy-outs; ratings downgrades; and bankruptcies.

GOLDMAN SACHS SHORT DURATION AND GOVERNMENT FIXED INCOME FUNDS

3. INVESTMENTS AND FAIR VALUE MEASUREMENTS (continued)

C. Fair Value Hierarchy — The following is a summary of the Funds’ investments and derivatives classified in the fair value hierarchy as of September 30, 2012:



ENHANCED INCOME

Investment Type	Level 1			Level 2			Level 3
Assets
Fixed Income
Corporate Obligations	$	—		$	243,731,260		$	—
U.S. Treasury Obligations and/or Other U.S. Government Agencies		82,811,195			23,053,138			—
Asset-Backed Securities		—			61,903,254			60,342
Foreign Debt Obligations		4,709,212			5,238,534			—
Government Guarantee Obligations		—			51,336,579			—
Short-term Investments		—			5,202,790			—
Total	$	87,520,407		$	390,465,555		$	60,342

Derivative Type
Assets^(a)
Futures Contracts	$	20,903		$	—		$	—
Credit Default Swap Contracts		—			39,287			—
Total	$	20,903		$	39,287		$	—
Liabilities^(a)
Futures Contracts	$	(36,517	)	$	—		$	—

GOVERNMENT INCOME

Investment Type	Level 1			Level 2			Level 3
Assets
Fixed Income
Mortgage-Backed Obligations	$	—		$	365,818,535		$	—
U.S. Treasury Obligations and/or Other U.S. Government Agencies		124,062,009			204,642,730			—
Asset-Backed Securities		—			12,182,524			—
Government Guarantee Obligations		—			86,410,570			—
Municipal Debt Obligations		—			2,527,580			—
Short-term Investments		—			193,500,000			—
Total	$	124,062,009		$	865,081,939		$	—
Liabilities
Fixed Income
Mortgage-Backed Obligations — Forward Sales Contracts	$	—		$	(12,000,313	)	$	—

GOLDMAN SACHS SHORT DURATION AND GOVERNMENT FIXED INCOME FUNDS

Notes to Financial Statements (continued)

September 30, 2012 (Unaudited)

3. INVESTMENTS AND FAIR VALUE MEASUREMENTS (continued)



GOVERNMENT INCOME (continued)

Derivative Type	Level 1			Level 2			Level 3
Assets
Options Purchased	$	—		$	533,897		$	—
Futures Contracts^(a)		1,371,409			—			—
Interest Rate Swap Contracts^(a)		—			283,369			—
Total	$	1,371,409		$	817,266		$	—
Liabilities
Futures Contracts^(a)	$	(642,129	)	$	—		$	—
Interest Rate Swap Contracts^(a)		—			(822,258	)		—
Written Options Contracts		—			(198,440	)		—
Total	$	(642,129	)	$	(1,020,698	)	$	—

HIGH QUALITY FLOATING RATE

Investment Type	Level 1			Level 2			Level 3
Assets
Fixed Income
Corporate Obligations	$	—		$	1,509,900		$	—
Mortgage-Backed Obligations		—			151,366,632			—
Asset-Backed Securities		—			79,199,613			668,609
Total	$	—		$	232,076,145		$	668,609

Derivative Type
Assets
Options Purchased	$	—		$	426,113		$	—
Futures Contracts^(a)		264,565			—			—
Interest Rate Swap Contracts^(a)		—			118,555			—
Total	$	264,565		$	544,668		$	—
Liabilities
Futures Contracts^(a)	$	(252,648	)	$	—		$	—
Interest Rate Swap Contracts^(a)		—			(982,920	)		—
Written Options Contracts		—			(79,326	)		—
Total	$	(252,648	)	$	(1,062,246	)	$	—

GOLDMAN SACHS SHORT DURATION AND GOVERNMENT FIXED INCOME FUNDS

3. INVESTMENTS AND FAIR VALUE MEASUREMENTS (continued)



INFLATION PROTECTED SECURITIES

Investment Type	Level 1			Level 2			Level 3
Assets
Fixed Income
U.S. Treasury Obligations	$	314,225,098		$	—		$	—
Short-term Investments		—			1,700,000			—
Total	$	314,225,098		$	1,700,000		$	—

Derivative Type
Assets
Options Purchased	$	—		$	143,494		$	—
Futures Contracts^(a)		165,889			—			—
Total	$	165,889		$	143,494		$	—
Liabilities^(a)
Futures Contracts	$	(235,527	)	$	—		$	—
Interest Rate Swap Contracts		—			(19,281	)		—
Total	$	(235,527	)	$	(19,281	)	$	—

SHORT DURATION GOVERNMENT

Investment Type	Level 1			Level 2			Level 3
Assets
Fixed Income
Mortgage-Backed Obligations	$	—		$	1,327,708,273		$	—
U.S. Treasury Obligations and/or Other U.S. Government Agencies		60,384,051			1,026,470,545			—
Short-term Investments		—			100,500,000			—
Total	$	60,384,051		$	2,454,678,818		$	—
Liabilities
Fixed Income
Mortgage-Backed Obligations — Forward Sales Contracts	$	—		$	(84,516,757	)	$	—

GOLDMAN SACHS SHORT DURATION AND GOVERNMENT FIXED INCOME FUNDS

Notes to Financial Statements (continued)

September 30, 2012 (Unaudited)

3. INVESTMENTS AND FAIR VALUE MEASUREMENTS (continued)



SHORT DURATION GOVERNMENT (continued)

Derivative Type	Level 1			Level 2			Level 3
Assets
Options Purchased	$	—		$	1,916,661		$	—
Futures Contracts^(a)		1,221,209			—			—
Interest Rate Swap Contracts^(a)		—			183,633			—
Total	$	1,221,209		$	2,100,294		$	—
Liabilities
Futures Contracts^(a)	$	(1,055,896	)	$	—		$	—
Interest Rate Swap Contracts^(a)		—			(7,923,714	)		—
Written Options Contracts		—			(897,623	)		—
Total	$	(1,055,896	)	$	(8,821,337	)	$	—

SHORT DURATION INCOME

Investment Type	Level 1			Level 2			Level 3
Assets
Fixed Income
Corporate Obligations	$	—		$	16,740,845		$	—
Mortgage-Backed Obligations		—			10,467,269			—
Asset-Backed Securities		—			3,590,626			95,516
Foreign Debt Obligations		—			1,354,760			—
Municipal Debt Obligations		—			400,488			—
Short-term Investments		—			9,400,161			—
Total	$	—		$	41,954,149		$	95,516
Liabilities
Fixed Income
Mortgage-Backed Obligations — Forward Sales Contracts	$	—		$	(1,090,938	)	$	—

GOLDMAN SACHS SHORT DURATION AND GOVERNMENT FIXED INCOME FUNDS

3. INVESTMENTS AND FAIR VALUE MEASUREMENTS (continued)



SHORT DURATION INCOME (continued)

Derivative Type	Level 1			Level 2			Level 3
Assets^(a)
Forward Foreign Currency Exchange Contracts	$	—		$	35,440		$	—
Futures Contracts		50,699			—			—
Interest Rate Swap Contracts		—			978			—
Credit Default Swap Contracts		—			10,384			—
Total	$	50,669		$	46,802		$	—
Liabilities^(a)
Forward Foreign Currency Exchange Contracts	$	—		$	(32,828	)	$	—
Futures Contracts		(8,952	)		—			—
Interest Rate Swap Contracts		—			(7,823	)		—
Total	$	(8,952	)	$	(40,651	)	$	—

(a)

Amount shown represents unrealized gain (loss) at period end.


4. INVESTMENTS IN DERIVATIVES

The following tables set forth, by certain risk types, the gross value of these derivative contracts as of September 30, 2012. These instruments were used to meet the Funds’ investment objectives and to obtain and/or manage exposure related to the risks below. The values in the tables 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.

Enhanced Income

Risk

Statements of Assets
and Liabilities

Assets

Statements of Assets
and Liabilities

Liabilities

Interest rate

Unrealized gain on futures variation margin

20,903

^(a)

Unrealized loss on futures variation

margin

(36,517)

^(a)

Credit

Receivable for unrealized gain on swap contracts

39,287

—

Total

60,190

(36,517)

Government Income

Risk

Statements of Assets
and Liabilities

Assets

Statements of Assets
and Liabilities

Liabilities

Interest rate

Receivable for unrealized gain on swap contracts; Unrealized gain on futures variation margin; Investments, at value

2,188,675

^(a)

Payable for unrealized loss on swap contracts; Unrealized loss on futures variation margin; Options written, at value

(1,662,827)

^(a)(b)

GOLDMAN SACHS SHORT DURATION AND GOVERNMENT FIXED INCOME FUNDS

Notes to Financial Statements (continued)

September 30, 2012 (Unaudited)

4. INVESTMENTS IN DERIVATIVES (continued)

High Quality Floating Rate

Risk

Statements of Assets
and Liabilities

Assets

Statements of Assets
and Liabilities

Liabilities

Interest rate

Receivable for unrealized gain on swap contracts; Unrealized gain on futures variation margin; Investments, at value

809,233

^(a)

Payable for unrealized loss on swap contracts; Unrealized loss on futures variation margin; Options written, at value

(1,314,894)

^(a)(b)

Inflation Protected Securities

Risk

Statements of Assets
and Liabilities

Assets

Statements of Assets
and Liabilities

Liabilities

Interest rate

Unrealized gain on futures variation margin; Investments, at value

309,383

^(a)

Payable for unrealized loss on swap contracts; Unrealized loss on futures variation margin

(254,808)

^(a)(b)

Short Duration Government

Risk

Statements of Assets
and Liabilities

Assets

Statements of Assets
and Liabilities

Liabilities

Interest rate

Receivable for unrealized gain on swap contracts; Unrealized gain on futures variation margin; Investments, at value

3,321,503

^(a)

Payable for unrealized loss on swap contracts; Unrealized loss on futures variation margin; Options written, at value

(9,877,233)

^(a)(b)

Short Duration Income

Risk

Statements of Assets
and Liabilities

Assets

Statements of Assets
and Liabilities

Liabilities

Interest rate

Receivable for unrealized gain on swap contracts; Unrealized gain on futures variation margin;

51,677

^(a)

Payable for unrealized loss on swap contracts; Unrealized loss on futures variation margin

(16,775)

^(a)(b)

Credit

Receivable for unrealized gain on swap contracts

10,384

—

Currency

Receivable for forward foreign currency exchange contracts

35,440

Payable for forward foreign currency exchange contracts

(32,828)

Total

97,501

(49,603)

(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.

(b)

Aggregate of amounts include $822,258, $982,920, $19,281, $7,923,714 and $7,823 for Government Income, High Quality Floating Rate, Inflation Protected Securities, Short Duration Government and Short Duration Income Funds, respectively, which represent the payments to be made pursuant to bilateral agreements should counterparties exercise their “right to terminate” provisions based on, among others, the Funds’ performance, their failure to pay on its obligations or failure to pledge collateral. Such amounts do not include incremental charges directly associated with the close-out of the agreements. They also do not reflect the fair value of any assets pledged as collateral which, through the daily margining process, substantially offsets the aforementioned amounts and for which the Funds are entitled to a full return.

100

GOLDMAN SACHS SHORT DURATION AND GOVERNMENT FIXED INCOME FUNDS

4. INVESTMENTS IN DERIVATIVES (continued)

The following tables set forth, by certain risk types, the Funds’ gains (losses) related to these derivatives and their indicative volumes for the six months ended September 30, 2012. These gains (losses) should be considered in the context that these derivative contracts may have been executed to economically hedge certain investments, and accordingly, certain gains (losses) on such derivative contracts may offset certain (losses) gains attributable to investments. These gains (losses) are included in “Net realized gain (loss)” or “Net change in unrealized gain (loss)” on the Statements of Operations:



Enhanced Income
Risk	Statements of Operations	Net Realized Gain (Loss)			Net Change in Unrealized Gain (Loss)			Average Number of Contracts^(a)
Interest rate	Net realized gain (loss) from futures contracts/Net change in unrealized gain (loss) on futures contracts	$	(2,587,757	)	$	1,653,661			987
Credit	Net realized gain (loss) from swap contracts/Net change in unrealized gain (loss) on swap contracts		36,902			1,307			1
Total		$	(2,550,855	)	$	1,654,968			988

Government Income
Risk	Statements of Operations	Net Realized Gain (Loss)			Net Change in Unrealized Gain (Loss)			Average Number of Contracts^(a)
Interest rate	Net realized gain (loss) from investments, futures contracts, swap contracts/Net change in unrealized gain (loss) on investments, futures contracts, swap contracts and written options	$	2,952,410		$	1,060,992			2,639

High Quality Floating Rate
Risk	Statements of Operations	Net Realized Gain (Loss)			Net Change in Unrealized Gain (Loss)			Average Number of Contracts^(a)
Interest rate	Net realized gain (loss) from investments, futures contracts, swap contracts and written options/Net change in unrealized gain (loss) on investments, futures contracts, swap contracts and written options	$	(2,590,888	)	$	92,921			630

Inflation Protected Securities
Risk	Statements of Operations	Net Realized Gain (Loss)			Net Change in Unrealized Gain (Loss)			Average Number of Contracts^(a)
Interest rate	Net realized gain (loss) from investments, futures contracts, and swap contracts/Net change in unrealized gain (loss) on investments, futures contracts and swap contracts	$	288,902		$	(195,319	)		442

Short Duration Government
Risk	Statements of Operations	Net Realized Gain (Loss)			Net Change in Unrealized Gain (Loss)			Average Number of Contracts^(a)
Interest rate	Net realized gain (loss) from investments, futures contracts, swap contracts, written options/Net change in unrealized gain (loss) on investments, futures contracts, swap contracts and written options	$	(14,457,142	)	$	(4,169,858	)		8,962

101

GOLDMAN SACHS SHORT DURATION AND GOVERNMENT FIXED INCOME FUNDS

Notes to Financial Statements (continued)

September 30, 2012 (Unaudited)

4. INVESTMENTS IN DERIVATIVES (continued)



Short Duration Income
Risk	Statements of Operations	Net Realized Gain (Loss)			Net Change in Unrealized Gain (Loss)		Average Number of Contracts^(a)
Interest rate	Net realized gain (loss) from futures contracts/Net unrealized gain (loss) on futures contracts, swap contracts	$	5,562		$	16,580		74
Credit	Net realized gain (loss) from swap contracts/Net change in unrealized gain (loss) on swap contracts		2,862			10,384		1
Currency	Net realized gain (loss) from foreign currency related transactions/Net unrealized gain (loss) on foreign currency related transactions		(5,654	)		939		251
Total		$	2,770		$	27,903		326

(a)

Average number of contracts is based on the average of month end balances for the six months ended September 30, 2012.

5. AGREEMENTS AND AFFILIATED TRANSACTIONS

A. Management Agreement — Under the Agreement, GSAM manages the Funds, subject to the general supervision of the trustees.

As compensation for the services rendered pursuant to the Agreement, the assumption of the expenses related thereto and 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 September 30, 2012, contractual and effective net management fees with GSAM were at the following rates:


	Contractual Management Fee Rate
Fund	First $1 billion			Next $1 billion			Next $3 billion			Next $3 billion			Over $8 billion			Effective Rate			Effective Net Management Fee Rate
Enhanced Income		0.25	%		0.23	%		0.22	%		0.22	%		0.22	%		0.25	%		0.23	%¹
Government Income		0.54			0.49			0.47			0.46			0.45			0.54			0.53	²
High Quality Floating Rate		0.40			0.36			0.34			0.33			0.32			0.40			0.31	²
Inflation Protected Securities		0.33			0.30			0.28			0.27			0.26			0.33			0.20	²
Short Duration Government		0.50			0.45			0.43			0.42			0.41			0.47			0.42	³
Short Duration Income		0.40			0.36			0.34			0.33			0.32			0.40			0.40

Effective July 30, 2012, the management fee waiver on the Enhanced Income Fund was discontinued. Prior to such date, the effective net management fee waiver was 0.05%.

GSAM has agreed to waive a portion of its management fee in order to achieve an effective net management rate of 0.53%, 0.31% and 0.20% for the Government Income, High Quality Floating Rate and Inflation Protected Securities Funds, respectively, as an annual percentage rate of the average daily net assets of the Funds through at least July 27, 2013. Prior to such date GSAM may not terminate the arrangement without the approval of the trustees.

GSAM has voluntarily agreed to waive a portion of its management fee equal on an annualized basis to 0.05% as an annual percentage rate of the Fund’s average daily net assets. This management fee is temporary and may be modified at any time at the option of GSAM, without shareholder approval.

102

GOLDMAN SACHS SHORT DURATION AND GOVERNMENT FIXED INCOME FUNDS

5. AGREEMENTS AND AFFILIATED TRANSACTIONS (continued)

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.

Goldman Sachs has agreed to waive a portion of the distribution and service fees applicable to the Short Duration Government Fund’s Class B shares in an amount equal to a minimum of 0.15% as an annual percentage rate of the average daily net assets. Goldman Sachs has also agreed to waive a portion of the distribution and service fees applicable to the Short Duration Government Fund’s and Short Duration Income Fund’s Class C Shares in an amount equal to a minimum of 0.35% as an annual percentage rate of the average daily net assets. These arrangements will remain in place through at least July 27, 2013 for Short Duration Government and Short Duration Income Funds. Prior to such date Goldman Sachs may not terminate the arrangement without the approval of the trustees.

For the six months ended September 30, 2012, Goldman Sachs waived a portion of the distribution and service fees equal to 0.10% of the average daily net assets attributable to Class B shares of the Enhanced Income Fund, 0.32% and 0.38% of the average daily net assets attributable to the Class B and Class C shares of the Short Duration Government Fund and 0.38% of the average daily net assets attributable to the Class C shares of the Short Duration Income Fund.

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 CDSC. During the six months ended September 30, 2012, Goldman Sachs advised that it retained the following approximate amounts:


	Front End Sales Charge		Contingent Deferred Sales Charge
Fund	Class A		Class B		Class C
Enhanced Income	$	200	$	—		N/A
Government Income		4,700		—	$	—	*
High Quality Floating Rate		200		N/A		N/A
Inflation Protected Securities		7,000		N/A		—	*
Short Duration Government		2,500		—		—	*
Short Duration Income		—		N/A		—

Amount is less than $50.

103

GOLDMAN SACHS SHORT DURATION AND GOVERNMENT FIXED INCOME FUNDS

Notes to Financial Statements (continued)

September 30, 2012 (Unaudited)

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. In addition, the Trust, on behalf of the Enhanced Income Fund, has adopted an Administration Plan for Administration Shares. These plans allow 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 of 0.25% (0.50% in aggregate) of the average daily net assets of the Service Shares.

For the six months ended September 30, 2012, Goldman Sachs waived a portion of the service fees equal to 0.01% of the average daily net assets attributable to the Service Shares of the High Quality Floating Rate Fund.

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 annual rates as follows: 0.13% of the average daily net assets of Class A, Class B, Class C, Class IR and Class R Shares and 0.04% of the average daily net assets of Institutional, Administration 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, acquired fund fees and expenses, transfer agent fees and expenses, service fees and shareholder administration fees (as applicable), Administration Share fees (as applicable), taxes, interest, brokerage fees and litigation, indemnification, shareholder meeting 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 limitations for Enhanced Income, Government Income, High Quality Floating Rate, Inflation Protected Securities, Short Duration Government and Short Duration Income Funds as an annual percentage rate of average daily net assets are 0.064%, 0.004%, 0.054%, 0.044%, 0.004% and 0.014%, respectively. This Other Expense reimbursement will remain in place through at least July 27, 2013. 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 September 30, 2012, these expense reductions, including any fee waivers and Other Expense reimbursements, were as follows (in thousands):


	Fee Waivers
Fund	Management Fees		Class B Distribution and Service Fees			Class C Distribution and Service Fees			Service Class Fees			Custody Fee Credits			Other Expense Reimbursements		Total Expense Reductions
Enhanced Income	$	85	$	—	*		N/A			N/A		$	—	*	$	—	$	85
Government Income		41		—		$	—		$	—			—	*		330		371
High Quality Floating Rate		124		N/A			N/A			—	*		1			140		265
Inflation Protected Securities		203		N/A			—			N/A			—	*		94		297
Short Duration Government		528		—	*		169			—			6			276		979
Short Duration Income		—		N/A			—	*		N/A			—	*		246		246

Amount is less than $500.

104

GOLDMAN SACHS SHORT DURATION AND GOVERNMENT FIXED INCOME FUNDS

5. AGREEMENTS AND AFFILIATED TRANSACTIONS (continued)

As of September 30, 2012, the amounts owed to affiliates of the Funds were as follows (in thousands):


	Management Fees		Distribution and Service Fees		Transfer Agent Fees		Total
Enhanced Income	$	107	$	18	$	24	$	149
Government Income		362		119		59		540
High Quality Floating Rate		64		15		14		93
Inflation Protected Securities		52		41		20		113
Short Duration Government		756		179		124		1,059
Short Duration Income		10		3		2		15

G. Line of Credit Facility — As of September 30, 2012, the Funds participated in a $630,000,000 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 (“Other Borrowers”). 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 $970,000,000. 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 September 30, 2012, the Funds did not have any borrowings under the facility. Prior to May 8, 2012, the amount available through the facility was $580,000,000.

H. Other Transactions with Affiliates — For the six months ended September 30, 2012, Goldman Sachs earned approximately $9,600, $28,100, $8,000, $5,400, $115,000, and $1,000 in brokerage commissions from portfolio transactions, including futures transactions executed with Goldman Sachs as the Futures Commission Merchant on behalf of Enhanced Income, Government Income, High Quality Floating Rate, Inflation Protected Securities, Short Duration Government and Short Duration Income Funds, respectively.

As of September 30, 2012, the Goldman Sachs Group, Inc. was the beneficial owner of 5% or more of outstanding Class C, Institutional, Service, Class IR and Class R Shares of the following fund:


Fund	Class C			Institutional Class			Class IR			Class R
Short Duration Income		88	%		50	%		17	%		100	%

105

GOLDMAN SACHS SHORT DURATION AND GOVERNMENT FIXED INCOME FUNDS

Notes to Financial Statements (continued)

September 30, 2012 (Unaudited)

6. PORTFOLIO SECURITIES TRANSACTIONS

The cost of purchases and proceeds from sales and maturities of long-term securities for the six months ended September 30, 2012, were as follows:


Fund	Purchases of U.S. Government and Agency Obligations		Purchases (Excluding U.S. Government and Agency Obligations)		Sales and Maturities of U.S. Government and Agency Obligations		Sales and Maturities (Excluding U.S. Government and Agency Obligations)
Enhanced Income	$	152,090,736	$	89,855,312	$	120,274,286	$	131,881,509
Government Income		4,404,226,668		6,585,963		4,460,627,461		40,514,760
High Quality Floating Rate		559,443,372		43,635,241		621,058,927		89,285,774
Inflation Protected Securities		360,974,325		—		368,650,678		—
Short Duration Government		9,101,594,611		9,080,395		8,875,788,509		139,732,184
Short Duration Income		159,898,781		16,476,143		156,010,789		1,429,896

7. TAX INFORMATION

As of the Funds’ most recent fiscal year end, March 31, 2012, the Funds’ capital loss carryforwards and certain timing differences, on a tax basis were as follows:


	Enhanced Income			Government Income			High Quality Floating Rate			Inflation Protected Securities			Short Duration Government			Short Duration Income
Capital loss carryforwards:⁽¹⁾
Expiring 2013	$	(352,397	)	$	—		$	(7,818,636	)	$	—		$	—		$	—
Expiring 2014		(320,682	)		—			(2,842,873	)		—			—			—
Expiring 2015		(987,433	)		—			(4,261,952	)		—			—			—
Expiring 2016		(2,472,185	)		—			—			—			—			—
Expiring 2018		(1,658,767	)		—			(21,924,176	)		—			—			—
Expiring 2019		(9,056,394	)		—			(2,415,726	)		—			—			—
Perpetual Short-Term		(2,846,058	)		—			—			—			—			—
Perpetual Long-Term		(3,569,847	)		—			(2,725,060	)		—			—			—
Total capital loss carryforwards	$	(21,263,763	)	$	—		$	(41,988,423	)	$	—		$	—		$	—
Timing differences (Income Distributions Payable, Post-October and Straddle Loss Deferrals)	$	(157,720	)	$	(3,745,397	)	$	(110,929	)	$	(5,412,122	)	$	(683,923	)	$	—

(1)

Except for perpetual capital loss carryforwards, expiration occurs on March 31 of the year indicated.

106

GOLDMAN SACHS SHORT DURATION AND GOVERNMENT FIXED INCOME FUNDS

7. TAX INFORMATION (continued)

As of September 30, 2012, the Funds’ aggregate security unrealized gains and losses based on cost for U.S. federal income tax purposes were as follows:


	Enhanced Income			Government Income			High Quality Floating Rate			Inflation Protected Securities			Short Duration Government			Short Duration Income
Tax Cost	$	473,271,668		$	966,440,411		$	231,106,479		$	297,216,854		$	2,481,440,352		$	41,849,716
Gross unrealized gain		5,225,703			24,162,085			2,652,878			19,314,251			37,094,840			246,539
Gross unrealized loss		(451,067	)		(924,651	)		(588,490	)		(462,513	)		(1,555,662	)		(46,590	)
Net unrealized security gain	$	4,774,636		$	23,237,434		$	2,064,388		$	18,851,738		$	35,539,178		$	199,949

The difference between GAAP-basis and tax-basis unrealized gains (losses) is attributable primarily to wash sales, net mark-to-market gains (losses) on regulated futures contracts and foreign currency contracts, and differences related to the tax treatment of inflation protected securities, swap transactions, premium amortization and the accretion of market discount.

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.

8. OTHER RISKS

The Funds’ risks include, but are not limited to, the following:

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.

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.

9. INDEMNIFICATIONS

Under the Trust’s organizational documents, its trustees, officers, employees and agents are indemnified, to the extent permitted by the Act, against certain liabilities that may arise out of performance of their duties to the Funds. Additionally, in the course of business, the Funds enter into contracts that contain a variety of indemnification clauses. The Funds’ maximum exposure under these arrangements is unknown, as this would involve future claims that may be made against the Funds that have not yet occurred. However, GSAM believes the risk of loss under these arrangements to be remote.

107

GOLDMAN SACHS SHORT DURATION AND GOVERNMENT FIXED INCOME FUNDS

Notes to Financial Statements (continued)

September 30, 2012 (Unaudited)

10. OTHER MATTERS

Other — On February 8, 2012, the Commodity Futures Trading Commission (CFTC) adopted amendments to several of its rules relating to commodity pool operators, including Rule 4.5. The Funds currently rely on Rule 4.5’s exclusion from CFTC regulation for regulated investment companies. GSAM is currently evaluating the amendments and their impact, if any, on the Funds’ financial statements.

11. SUBSEQUENT EVENTS

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.

108

GOLDMAN SACHS SHORT DURATION AND GOVERNMENT FIXED INCOME FUNDS

12. SUMMARY OF SHARE TRANSACTIONS

Share activity is as follows:


	Enhanced Income Fund

	For the Six Months Ended September 30, 2012 (Unaudited)						For the Fiscal Year Ended March 31, 2012

	Shares			Dollars			Shares			Dollars

Class A Shares
Shares sold		1,347,585		$	12,783,811			8,429,169		$	80,441,213
Reinvestment of distributions		37,916			359,636			175,366			1,668,251
Shares converted from Class B^(a)		10,223			97,125			28,534			271,009
Shares redeemed		(4,207,561	)		(39,913,141	)		(20,508,985	)		(194,751,596	)
		(2,811,837	)		(26,672,569	)		(11,875,916	)		(112,371,123	)
Class B Shares
Shares sold		1			7			3			28
Reinvestment of distributions		20			195			134			1,274
Shares converted to Class A^(a)		(10,242	)		(97,125	)		(28,583	)		(271,009	)
Shares redeemed		(11,121	)		(105,333	)		(18,236	)		(173,216	)
		(21,342	)		(202,256	)		(46,682	)		(442,923	)
Institutional Shares
Shares sold		23,061,219			218,392,506			28,766,612			273,385,851
Reinvestment of distributions		219,986			2,084,439			593,038			5,635,455
Shares redeemed		(20,311,419	)		(192,347,678	)		(47,934,529	)		(455,049,701	)
		2,969,786			28,129,267			(18,574,879	)		(176,028,395	)
Administration Shares
Shares sold		1,167			11,096			151,985			1,455,717
Reinvestment of distributions		197			1,865			1,176			11,211
Shares redeemed		(60,540	)		(574,894	)		(265,094	)		(2,530,998	)
		(59,176	)		(561,933	)		(111,933	)		(1,064,070	)
Class IR Shares
Shares sold		11,809			111,830			500,051			4,753,449
Reinvestment of distributions		1,010			9,572			2,579			24,400
Shares redeemed		(44,333	)		(419,837	)		(287,412	)		(2,719,013	)
		(31,514	)		(298,435	)		215,218			2,058,836
NET INCREASE (DECREASE)		45,917		$	394,074			(30,394,192	)	$	(287,847,675	)

(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.

109

GOLDMAN SACHS SHORT DURATION AND GOVERNMENT FIXED INCOME FUNDS

Notes to Financial Statements (continued)

September 30, 2012 (Unaudited)

12. SUMMARY OF SHARE TRANSACTIONS (continued)

Share activity is as follows:


	Government Income Fund

	For the Six Months Ended September 30, 2012 (Unaudited)						For the Fiscal Year Ended March 31, 2012

	Shares			Dollars			Shares			Dollars

Class A Shares
Shares sold		2,547,709		$	39,751,860			8,615,857		$	133,101,236
Reinvestment of distributions		132,123			2,063,751			799,473			12,319,251
Shares converted from Class B^(a)		26,992			421,515			135,799			2,090,244
Shares redeemed		(5,108,563	)		(79,636,184	)		(13,386,289	)		(206,021,816	)
		(2,401,739	)		(37,399,058	)		(3,835,160	)		(58,511,085	)
Class B Shares
Shares sold		23,590			367,401			144,496			2,237,029
Reinvestment of distributions		1,411			21,986			20,102			309,648
Shares converted to Class A^(a)		(26,992	)		(421,515	)		(135,799	)		(2,090,244	)
Shares redeemed		(128,499	)		(2,006,623	)		(402,177	)		(6,174,441	)
		(130,490	)		(2,038,751	)		(373,378	)		(5,718,008	)
Class C Shares
Shares sold		257,022			4,004,989			751,404			11,613,084
Reinvestment of distributions		3,500			54,565			40,473			623,524
Shares redeemed		(409,326	)		(6,379,779	)		(926,393	)		(14,208,849	)
		(148,804	)		(2,320,225	)		(134,516	)		(1,972,241	)
Institutional Shares
Shares sold		7,987,950			124,508,272			8,898,646			136,524,936
Reinvestment of distributions		95,283			1,487,219			428,891			6,599,400
Shares redeemed		(3,743,890	)		(58,319,730	)		(11,432,867	)		(176,286,916	)
		4,339,343			67,675,761			(2,105,330	)		(33,162,580	)
Service Shares
Shares sold		889,341			13,862,048			2,533,550			39,200,159
Reinvestment of distributions		22,675			353,244			159,635			2,453,781
Shares redeemed		(1,151,968	)		(17,919,313	)		(3,420,316	)		(52,593,519	)
		(239,952	)		(3,704,021	)		(727,131	)		(10,939,579	)
Class IR Shares
Shares sold		86,319			1,351,745			80,709			1,251,366
Reinvestment of distributions		944			14,755			2,823			43,524
Shares redeemed		(80,048	)		(1,252,206	)		(19,231	)		(298,165	)
		7,215			114,294			64,301			996,725
Class R Shares
Shares sold		312,006			4,855,401			544,571			8,381,123
Reinvestment of distributions		6,673			104,105			36,729			565,384
Shares redeemed		(183,496	)		(2,857,732	)		(186,261	)		(2,865,105	)
		135,183			2,101,774			395,039			6,081,402
NET INCREASE (DECREASE)		1,560,756		$	24,429,774			(6,716,175	)	$	(103,225,366	)

(a)

110

GOLDMAN SACHS SHORT DURATION AND GOVERNMENT FIXED INCOME FUNDS

12. SUMMARY OF SHARE TRANSACTIONS (continued)

Share activity is as follows:


	High Quality Floating Rate Fund^(a)

	For the Six Months Ended September 30, 2012 (Unaudited)						For the Fiscal Year Ended March 31, 2012

	Shares			Dollars			Shares			Dollars

Class A Shares
Shares sold		1,478,120		$	12,927,861			7,247,868		$	63,621,275
Reinvestment of distributions		18,395			161,041			25,921			227,233
Shares redeemed		(3,244,535	)		(28,411,476	)		(10,953,976	)		(96,102,133	)
		(1,748,020	)		(15,322,574	)		(3,680,187	)		(32,253,625	)
Institutional Shares
Shares sold		2,254,769			19,729,793			11,272,574			98,930,807
Reinvestment of distributions		66,377			581,367			118,287			1,037,559
Shares redeemed		(9,315,851	)		(81,619,441	)		(20,473,420	)		(179,568,546	)
		(6,994,705	)		(61,308,281	)		(9,082,559	)		(79,600,180	)
Service Shares
Shares sold		224			1,973			2,261			19,939
Reinvestment of distributions		59			520			87			764
Shares redeemed		(31,691	)		(278,418	)		(55,790	)		(491,190	)
		(31,408	)		(275,925	)		(53,442	)		(470,487	)
Class IR Shares
Shares sold		181,084			1,584,022			86,546			758,864
Reinvestment of distributions		509			4,449			418			3,661
Shares redeemed		(38,188	)		(333,800	)		(111,399	)		(978,710	)
		143,405			1,254,671			(24,435	)		(216,185	)
NET DECREASE		(8,630,728	)	$	(75,652,109	)		(12,840,623	)	$	(112,540,477	)

(a)

Formerly known as Goldman Sachs Ultra-Short Duration Government Fund. Effective July 27, 2012, the Fund changed its name to the Goldman Sachs High Quality Floating Rate Fund.

111

GOLDMAN SACHS SHORT DURATION AND GOVERNMENT FIXED INCOME FUNDS

Notes to Financial Statements (continued)

September 30, 2012 (Unaudited)

12. SUMMARY OF SHARE TRANSACTIONS (continued)

Share activity is as follows:


	Inflation Protected Securities Fund

	For the Six Months Ended September 30, 2012 (Unaudited)						For the Fiscal Year Ended March 31, 2012

	Shares			Dollars			Shares			Dollars

Class A Shares
Shares sold		2,090,155		$	24,107,776			8,459,060		$	97,217,003
Reinvestment of distributions		85,622			990,286			862,847			9,661,381
Shares redeemed		(3,814,704	)		(43,736,473	)		(5,523,827	)		(63,283,577	)
		(1,638,927	)		(18,638,411	)		3,798,080			43,594,807
Class C Shares
Shares sold		156,869			1,812,222			952,079			10,899,837
Reinvestment of distributions		7,205			83,696			117,346			1,316,371
Shares redeemed		(457,904	)		(5,258,875	)		(911,224	)		(10,368,501	)
		(293,830	)		(3,362,957	)		158,201			1,847,707
Institutional Shares
Shares sold		2,324,509			26,950,229			8,194,745			94,166,957
Reinvestment of distributions		130,007			1,508,840			1,022,642			11,505,098
Shares redeemed		(1,308,326	)		(15,097,311	)		(4,890,767	)		(56,744,577	)
		1,146,190			13,361,758			4,326,620			48,927,478
Class IR Shares
Shares sold		450,800			5,172,693			223,482			2,588,316
Reinvestment of distributions		2,636			30,553			16,313			182,259
Shares redeemed		(107,405	)		(1,247,646	)		(215,135	)		(2,433,385	)
		346,031			3,955,600			24,660			337,190
Class R Shares
Shares sold		56,274			649,859			62,678			716,385
Reinvestment of distributions		1,085			12,585			10,367			116,369
Shares redeemed		(26,260	)		(303,346	)		(51,306	)		(594,078	)
		31,099			359,098			21,739			238,676
NET INCREASE (DECREASE)		(409,437	)	$	(4,324,912	)		8,329,300		$	94,945,858

112

GOLDMAN SACHS SHORT DURATION AND GOVERNMENT FIXED INCOME FUNDS

12. SUMMARY OF SHARE TRANSACTIONS (continued)

Share activity is as follows:


	Short Duration Government Fund

	For the Six Months Ended September 30, 2012 (Unaudited)						For the Fiscal Year Ended March 31, 2012

	Shares			Dollars			Shares			Dollars

Class A Shares
Shares sold		11,453,022		$	118,022,658			36,619,021		$	376,296,790
Reinvestment of distributions		141,848			1,462,128			334,226			3,435,497
Shares converted from Class B^(a)		362			3,739			3,645			37,452
Shares redeemed		(25,904,567	)		(266,875,252	)		(57,503,050	)		(591,029,107	)
		(14,309,335	)		(147,386,727	)		(20,546,158	)		(211,259,368	)
Class B Shares
Shares sold		—			—			2			22
Reinvestment of distributions		4			36			22			228
Shares converted to Class A^(a)		(364	)		(3,739	)		(3,659	)		(37,452	)
Shares redeemed		(9,614	)		(98,732	)		(49,833	)		(510,729	)
		(9,974	)		(102,435	)		(53,468	)		(547,931	)
Class C Shares
Shares sold		307,063			3,143,399			1,817,829			18,562,941
Reinvestment of distributions		2,314			23,684			4,672			47,665
Shares redeemed		(1,620,838	)		(16,592,544	)		(4,938,344	)		(50,422,502	)
		(1,311,461	)		(13,425,461	)		(3,115,843	)		(31,811,896	)
Institutional Shares
Shares sold		21,955,559			225,440,377			80,953,973			829,714,176
Reinvestment of distributions		408,090			4,191,556			892,936			9,149,548
Shares redeemed		(30,485,465	)		(313,021,629	)		(106,872,813	)		(1,094,993,778	)
		(8,121,816	)		(83,389,696	)		(25,025,904	)		(256,130,054	)
Service Shares
Shares sold		278,626			2,856,668			949,254			9,714,157
Reinvestment of distributions		8,098			83,068			18,909			193,402
Shares redeemed		(1,059,937	)		(10,871,537	)		(6,764,372	)		(69,168,267	)
		(773,213	)		(7,931,801	)		(5,796,209	)		(59,260,708	)
Class IR Shares
Shares sold		574,278			5,921,477			4,920,960			50,630,507
Reinvestment of distributions		10,278			105,980			17,817			183,253
Shares redeemed		(1,145,810	)		(11,809,621	)		(2,360,901	)		(24,290,517	)
		(561,254	)		(5,782,164	)		2,577,876			26,523,243
NET DECREASE		(25,087,053	)	$	(258,018,284	)		(51,959,706	)	$	(532,486,714	)

(a)

113

GOLDMAN SACHS SHORT DURATION AND GOVERNMENT FIXED INCOME FUNDS

Notes to Financial Statements (continued)

September 30, 2012 (Unaudited)

12. SUMMARY OF SHARE TRANSACTIONS (continued)

Share activity is as follows:


	Short Duration Income Fund^(a)

	For the Six Months Ended September 30, 2012 (Unaudited)						For the Period Ended March 31, 2012

	Shares			Dollars			Shares			Dollars

Class A Shares
Shares sold		1,476,609		$	14,815,337			175,392		$	1,745,031
Reinvestment of distributions		4,828			48,617			34			337
Shares redeemed		(128,211	)		(1,283,856	)		(2	)		(26	)
		1,353,226			13,580,098			175,424			1,745,342
Class C Shares
Shares sold		66,295			666,757			1,001			10,011
Reinvestment of distributions		32			324			—			—
Shares redeemed		(66,189	)		(667,330	)		(1	)		(10	)
		138			(249	)		1,000			10,001
Institutional Shares
Shares sold		874,212			8,826,600			1,114,759			11,140,820
Reinvestment of distributions		9,982			100,551			982			9,789
Shares redeemed		(3,609	)		(36,012	)		(2	)		(15	)
		880,585			8,891,139			1,115,739			11,150,594
Class IR Shares
Shares sold		4,882			49,600			1,001			10,010
Reinvestment of distributions		7			77			1			8
Shares redeemed		—			—			(1	)		(10	)
		4,889			49,677			1,001			10,008
Class R Shares
Shares sold		—			—			1,001			10,015
Reinvestment of distributions		5			41			—			—
Shares redeemed		—			—			(1	)		(10	)
		5			41			1,000			10,005
NET INCREASE		2,238,843		$	22,520,706			1,294,164		$	12,925,950

(a)

Commenced operations on February 29, 2012.

114

GOLDMAN SACHS SHORT DURATION AND GOVERNMENT FIXED INCOME FUNDS

Fund Expenses — Six Month Period Ended September 30, 2012 (Unaudited)

As a shareholder of Class A, Class B, Class C, Institutional, Administration, 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), 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, Administration, 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 April 1, 2012 through September 30, 2012.

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 ratios 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, 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.


	Enhanced Income Fund							Government Income Fund							High Quality Floating Rate Fund^(a)
Share Class	Beginning Account Value 4/1/12		Ending Account Value 9/30/12			Expenses Paid for the 6 months ended 9/30/12*		Beginning Account Value 4/1/12		Ending Account Value 9/30/12			Expenses Paid for the 6 months ended 9/30/12*		Beginning Account Value 4/1/12		Ending Account Value 9/30/12			Expenses Paid for the 6 months ended 9/30/12*
Class A
Actual	$	1,000.00	$	1,005.90		$	3.32	$	1,000.00	$	1,028.30		$	4.63	$	1,000.00	$	1,002.20		$	3.71
Hypothetical 5% return		1,000.00		1,021.76	+		3.35		1,000.00		1,020.51	+		4.61		1,000.00		1,021.36	+		3.75
Class B
Actual		1,000.00		1,002.60			6.58		1,000.00		1,024.50			8.42		N/A		N/A			N/A
Hypothetical 5% return		1,000.00		1,018.50	+		6.63		1,000.00		1,016.75	+		8.39		N/A		N/A			N/A
Class C
Actual		N/A		N/A			N/A		1,000.00		1,024.40			8.42		N/A		N/A			N/A
Hypothetical 5% return		N/A		N/A			N/A		1,000.00		1,016.75	+		8.39		N/A		N/A			N/A
Institutional
Actual		1,000.00		1,007.60			1.61		1,000.00		1,029.60			2.90		1,000.00		1,005.00			2.01
Hypothetical 5% return		1,000.00		1,023.46	+		1.62		1,000.00		1,022.21	+		2.89		1,000.00		1,023.06	+		2.03
Administration
Actual		1,000.00		1,006.30			2.87		N/A		N/A			N/A		N/A		N/A			N/A
Hypothetical 5% return		1,000.00		1,022.21	+		2.89		N/A		N/A			N/A		N/A		N/A			N/A
Service
Actual		N/A		N/A			N/A		1,000.00		1,027.50			5.44		1,000.00		1,002.50			4.52
Hypothetical 5% return		N/A		N/A			N/A		1,000.00		1,019.70	+		5.42		1,000.00		1,020.56	+		4.56
Class IR
Actual		1,000.00		1,007.10			2.06		1,000.00		1,029.60			3.36		1,000.00		1,004.50			2.46
Hypothetical 5% return		1,000.00		1,023.01	+		2.08		1,000.00		1,021.76	+		3.35		1,000.00		1,022.61	+		2.48
Class R
Actual		N/A		N/A			N/A		1,000.00		1,027.70			5.90		N/A		N/A			N/A
Hypothetical 5% return		N/A		N/A			N/A		1,000.00		1,019.25	+		5.87		N/A		N/A			N/A

115

GOLDMAN SACHS SHORT DURATION AND GOVERNMENT FIXED INCOME FUNDS

Fund Expenses — Six Month Period Ended September 30, 2012 (Unaudited) (continued)


	Inflation Protected Securities Fund							Short Duration Government Fund							Short Duration Income Fund
Share Class	Beginning Account Value 4/1/12		Ending Account Value 9/30/12			Expenses Paid for the 6 months ended 9/30/12*		Beginning Account Value 4/1/12		Ending Account Value 9/30/12			Expenses Paid for the 6 months ended 9/30/12*		Beginning Account Value 4/1/12		Ending Account Value 9/30/12			Expenses Paid for the 6 months ended 9/30/12*
Class A
Actual	$	1,000.00	$	1,053.90		$	3.19	$	1,000.00	$	1,005.10		$	4.02	$	1,000.00	$	1,024.60		$	4.01
Hypothetical 5% return		1,000.00		1,021.96	+		3.14		1,000.00		1,021.06	+		4.05		1,000.00		1,021.11	+		4.00
Class B
Actual		N/A		N/A			N/A		1,000.00		1,003.00			6.23		N/A		N/A			N/A
Hypothetical 5% return		N/A		N/A			N/A		1,000.00		1,018.85	+		6.28		N/A		N/A			N/A
Class C
Actual		1,000.00		1,049.90			7.04		1,000.00		1,003.30			5.93		1,000.00		1,022.80			5.88
Hypothetical 5% return		1,000.00		1,018.20	+		6.93		1,000.00		1,019.15	+		5.97		1,000.00		1,019.25	+		5.87
Institutional
Actual		1,000.00		1,055.60			1.44		1,000.00		1,005.90			2.31		1,000.00		1,027.40			2.29
Hypothetical 5% return		1,000.00		1,023.66	+		1.42		1,000.00		1,022.76	+		2.33		1,000.00		1,022.81	+		2.28
Service
Actual		N/A		N/A			N/A		1,000.00		1,004.30			4.82		N/A		N/A			N/A
Hypothetical 5% return		N/A		N/A			N/A		1,000.00		1,020.26	+		4.86		N/A		N/A			N/A
Class IR
Actual		1,000.00		1,055.20			1.91		1,000.00		1,006.40			2.77		1,000.00		1,026.90			2.74
Hypothetical 5% return		1,000.00		1,023.21	+		1.88		1,000.00		1,022.31	+		2.79		1,000.00		1,022.36	+		2.74
Class R
Actual		1,000.00		1,051.60			4.47		N/A		N/A			N/A		1,000.00		1,024.20			5.28
Hypothetical 5% return		1,000.00		1,020.71	+		4.41		N/A		N/A			N/A		1,000.00		1,019.85	+		5.27

(a)

Formerly, Goldman Sachs Ultra-Short Duration Government Fund. Effective July 27, 2012, the Fund changed its name to the Goldman Sachs High Quality Floating Rate Fund.

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 September 30, 2012. 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			Administration			Service			Class IR			Class R
Enhanced Income		0.66	%		1.31	%		N/A			0.32	%		0.57	%		N/A			0.41	%		N/A
Government Income		0.91			1.66			1.66	%		0.57			N/A			1.07	%		0.66			1.16	%
High Quality Floating Rate		0.74			N/A			N/A			0.40			N/A			0.90			0.49			N/A
Inflation Protected Securities		0.62			N/A			1.37			0.28			N/A			N/A			0.37			0.87
Short Duration Government		0.80			1.24			1.18			0.46			N/A			0.96			0.55			N/A
Short Duration Income		0.79			N/A			1.16			0.45			N/A			N/A			0.54			1.04

Hypothetical expenses are based on each Fund’s actual annualized net expense ratios and an assumed rate of return of 5% per year before expenses.

116

GOLDMAN SACHS SHORT DURATION AND GOVERNMENT FIXED INCOME FUNDS

Statement Regarding Basis for Approval of Management Agreements (Unaudited)

Background

The Goldman Sachs Enhanced Income, Goldman Sachs Government Income, Goldman Sachs Inflation Protected Securities, Goldman Sachs Short Duration Government, Goldman Sachs Short Duration Income and Goldman Sachs High Quality Floating Rate (formerly, Goldman Sachs Ultra-Short Duration Government Fund) Funds (the “Funds”) are investment portfolios of Goldman Sachs Trust (the “Trust”). The Board of Trustees oversees the management of the Trust and reviews the investment performance and expenses of the Funds at regularly scheduled meetings held during the year. In addition, the Board of Trustees determines annually whether to approve the continuance of the Trust’s investment management agreements (the “Management Agreements”) with Goldman Sachs Asset Management, L.P. (the “Investment Adviser”) on behalf of the Funds.

The Management Agreements were most recently approved for continuation until June 30, 2013 by the Board of Trustees, including those Trustees who are not parties to the Management Agreements or “interested persons” (as defined in the Investment Company Act of 1940, as amended) of any party thereto (the “Independent Trustees”), at a meeting held on June 13, 2012 (the “Annual Meeting”).

The review process undertaken by the Trustees spans the course of the year and culminates with the Annual Meeting. To assist the Trustees in their deliberations, the Trustees have established a Contract Review Committee (the “Committee”), comprised of the Independent Trustees. The Committee held three meetings over the course of the year since the Management Agreements were last approved. At those Committee meetings, regularly scheduled Board meetings and/or the Annual Meeting, the Board, or the Independent Trustees, as applicable, considered matters relating to the Management Agreements, including:

(a)

the nature and quality of the advisory, administrative and other services provided to the Funds by the Investment Adviser and its affiliates, including information about:

(i)

the structure, staff and capabilities of the Investment Adviser and its portfolio management teams;

(ii)

the groups within the Investment Adviser and its affiliates that support the portfolio management teams or provide other types of necessary services, including fund services groups (e.g., accounting and financial reporting, tax, shareholder services and operations), controls and risk management groups (e.g., legal, compliance, valuation oversight, credit risk management, internal audit, compliance testing, market risk analysis, finance and strategy and central funding), sales and distribution support groups and others (e.g., information technology and training);

(iii)

trends in headcount;

(iv)

the Investment Adviser’s financial resources and ability to hire and retain talented personnel and strengthen its operations; and

(v)

the parent company’s support of the Investment Adviser and its mutual fund business, as expressed by the firm’s senior management;

117

GOLDMAN SACHS SHORT DURATION AND GOVERNMENT FIXED INCOME FUNDS

Statement Regarding Basis for Approval of Management Agreements (Unaudited) (continued)

(b)

information on the investment performance of the Funds, including, with respect to each Fund (except for the Short Duration Income Fund, which commenced operations in 2012), comparisons to the performance of similar mutual funds, as provided by a third party mutual fund data provider engaged as part of the contract review process (the “Outside Data Provider”), benchmark performance indices, and comparable institutional composites managed by the Investment Adviser (in the case of the Enhanced Income, Inflation Protected Securities and Short Duration Government Funds), and general investment outlooks in the markets in which the Funds invest;

(c)

the terms of the Management Agreements and agreements with affiliated service providers entered into by the Trust on behalf of the Funds;

(d)

expense information for the Funds, including:

(i)

the relative management fee and expense levels of the Funds as compared to those of comparable funds managed by other advisers, as provided by the Outside Data Provider;

(ii)

each Fund’s (with the exception of the Short Duration Income Fund) expense trends over time; and

(iii)

to the extent the Investment Adviser manages institutional accounts or collective investment vehicles having investment objectives and policies similar to those of the Funds, comparative information on the advisory fees charged and services provided to those accounts by the Investment Adviser;

(e)

with respect to the extensive investment performance and expense comparison data provided by the Outside Data Provider, its processes in producing that data for the Funds;

(f)

the undertakings of the Investment Adviser to waive a portion of its management fee (with respect to each Fund other than the Enhanced Income Fund) and limit certain expenses of each of the Funds that exceed specified levels; the undertakings of Goldman, Sachs & Co. (“Goldman Sachs”), the Funds’ affiliated distributor, to waive a portion of the distribution and service fees paid by the Short Duration Government Fund’s Class B and Class C Shares and the Short Duration Income Fund’s Class C Shares; and a summary of contractual fee reductions made by the Investment Adviser and its affiliates over the past several years with respect to the Funds;

(g)

information relating to the profitability of the Management Agreements and the transfer agency and distribution and service arrangements of each of the Funds (with the exception of the Short Duration Income Fund) and the Trust as a whole to the Investment Adviser and its affiliates;

(h)

whether each Fund’s existing management fee schedule adequately addressed any economies of scale;

(i)

a summary of the “fall-out” benefits derived by the Investment Adviser and its affiliates from their relationships with the Funds, including the fees received by the Investment Adviser’s affiliates from the Funds for transfer agency, portfolio trading, distribution and other services;

(j)

a summary of potential benefits derived by the Funds as a result of their relationship with the Investment Adviser;

(k)

information regarding portfolio trading and how the Investment Adviser carries out its duty to seek best execution;

(l)

portfolio manager ownership of Fund shares; the manner in which portfolio manager compensation is determined; and the number and types of accounts managed by the portfolio managers;

118

GOLDMAN SACHS SHORT DURATION AND GOVERNMENT FIXED INCOME FUNDS

Statement Regarding Basis for Approval of Management Agreements (Unaudited) (continued)

(m)

the nature and quality of the services provided to the Funds by their unaffiliated service providers, and the Investment Adviser’s general oversight and evaluation (including reports on due diligence) of those service providers as part of the administration services provided under the Management Agreements; and

(n)

the Investment Adviser’s processes and policies addressing various types of potential conflicts of interest; its approach to risk management; the annual review of the effectiveness of the Funds’ compliance program; and compliance reports.

The Trustees also received an overview of the Funds’ distribution arrangements. They received information regarding the Funds’ assets, share purchase and redemption activity and the payment of Rule 12b-1 distribution and service fees by the Funds and the payment of non-Rule 12b-1 shareholder service and/or administration fees by those Funds offering Service or Administration Shares. Information was also provided to the Trustees relating to revenue sharing payments made by and services provided by the Investment Adviser and its affiliates to intermediaries that promote the sale, distribution and/or servicing of Fund shares.

The presentations made at the Board and Committee meetings and at the Annual Meeting encompassed the Funds and other mutual fund portfolios for which the Board of Trustees has responsibility. In evaluating the Management Agreements at the Annual Meeting, the Trustees relied upon their knowledge, resulting from their meetings and other interactions throughout the year, of the Investment Adviser, its affiliates, their services and the Funds. In conjunction with these meetings, the Trustees received written materials and oral presentations on the topics covered, and were advised by their independent legal counsel regarding their responsibilities and other regulatory requirements related to the approval and continuation of mutual fund investment management agreements under applicable law. In addition, the Investment Adviser and its affiliates provided the Independent Trustees with a written response to a formal request for information sent on behalf of the Independent Trustees by their independent legal counsel. During the course of their deliberations, the Independent Trustees met in executive sessions with their independent legal counsel, without representatives of the Investment Adviser or its affiliates present. The Independent Trustees also discussed the broad range of other investment choices that are available to Fund investors, including the availability of comparable funds managed by other advisers.

Nature, Extent and Quality of the Services Provided Under the Management Agreements

As part of their review, the Trustees considered the nature, extent and quality of the services provided by the Investment Adviser. In this regard, the Trustees considered both the investment advisory services, and the other, non-advisory services, that are provided to the Funds by the Investment Adviser and its affiliates. The Trustees noted the transition in the leadership and changes in personnel of the Investment Adviser’s various portfolio management teams that had occurred in recent periods, and the potential benefit to the Funds of the ongoing recruitment efforts aimed at bringing high quality investment talent to the Investment Adviser. The Independent Trustees concluded that the Investment Adviser continued to commit substantial financial and operational resources to the Funds and expressed confidence that the Investment Adviser would continue to do so in the future. The Trustees also observed that the Investment Adviser had made significant commitments to address regulatory compliance requirements applicable to the Funds and the Investment Adviser.

119

GOLDMAN SACHS SHORT DURATION AND GOVERNMENT FIXED INCOME FUNDS

Statement Regarding Basis for Approval of Management Agreements (Unaudited) (continued)

Investment Performance

The Trustees also considered the investment performance of the Funds and the Investment Adviser. In this regard, they compared the investment performance of each Fund (except for the Short Duration Income Fund, which commenced operations in 2012) to its peers using rankings and ratings compiled by the Outside Data Provider as of December 31, 2011, and updated performance information for each Fund prepared by the Investment Adviser using the peer groups identified by the Outside Data Provider as of March 31, 2012. The information on each Fund’s investment performance was provided for the one-, three-, five- and ten-year periods ending on the applicable dates, to the extent that each Fund had been in existence for those periods. The Trustees also reviewed the investment performance of each Fund (with the exception of the Short Duration Income Fund) over time on a year-by-year basis relative to its performance benchmark. In addition, they considered the investment performance trends of the Funds (except for the Short Duration Income Fund) over time, and reviewed the investment performance of each Fund in light of its investment objective and policies, market conditions and credit and duration parameters. The Trustees also received information comparing the Enhanced Income, Inflation Protected Securities and Short Duration Government Funds’ performance to that of comparable institutional composites managed by the Investment Adviser.

In addition, the Trustees considered materials prepared and presentations made by the Investment Adviser’s senior management and portfolio management personnel, in which Fund performance was assessed. The Trustees also considered the Investment Adviser’s periodic reports with respect to the Funds’ risk profiles, and how the Investment Adviser’s approach to risk monitoring and management influences portfolio management.

The Independent Trustees noted that the Enhanced Income and High Quality Floating Rate Funds had placed in the bottom half of their respective peer groups during the one-, three-, five-, and ten-year periods, outperformed their respective benchmark indexes for the three-year period, and underperformed their respective benchmark indexes for the one-, five-, and ten-year periods ended March 31, 2012. They also noted that the Trustees had recently approved a proposal to rename and modify the investment policies of the High Quality Floating Rate Fund (formerly, the Ultra-Short Duration Government Fund). They noted that the Government Income Fund had placed in the top half of its peer group for the ten-year period, the bottom half of its peer group for the one-, three-, and five-year periods, outperformed its benchmark index for the three-year period, and underperformed its benchmark index for the one-, five-, and ten-year periods ended March 31, 2012. The Independent Trustees noted that the Inflation Protected Securities Fund had placed in the top half of its peer group during the one- and three-year periods and underperformed its benchmark index during the one- and three-year periods ended March 31, 2012. They further noted that the Short Duration Government Fund had placed in the top half of its peer group during the five- and ten-year periods, in the bottom half of its peer group during the one- and three-year periods, outperformed its benchmark index during the three-, five-, and ten-year periods, and underperformed its benchmark index during the one-year period ended March 31, 2012. They noted the addition of certain key hires to the Fixed Income Team in 2011, and that the Fixed Income Team had adjusted its investment process and scenario analysis in 2011 in an effort to provide stronger investment performance.

The Trustees noted that the Short Duration Income Fund had launched on February 29, 2012 and did not yet have a meaningful performance history.

120

GOLDMAN SACHS SHORT DURATION AND GOVERNMENT FIXED INCOME FUNDS

Statement Regarding Basis for Approval of Management Agreements (Unaudited) (continued)

Costs of Services Provided and Competitive Information

The Trustees considered the contractual fee rates payable by each Fund under its respective Management Agreement. In this regard, the Trustees considered information on the services rendered by the Investment Adviser to the Funds, which included both advisory and administrative services that were directed to the needs and operations of the Funds as registered mutual funds.

In particular, the Trustees reviewed analyses prepared by the Outside Data Provider regarding the expense rankings of the Funds (estimates were provided for the Short Duration Income Fund). The analyses provided a comparison of the Funds’ management fees and breakpoints to those of relevant peer groups and category universes; an expense analysis which compared each Fund’s overall net and gross expenses to a peer group and a category universe; and a five-year history (four- and one-year, in the case of the Inflation Protected Securities and Short Duration Income Funds, respectively), comparing each Fund’s net expenses to the peer and category medians. The analyses also compared each Fund’s transfer agency, custody and distribution fees, other expenses and fee waivers/reimbursements to those of other funds in the peer group and the peer group and category medians. The Trustees concluded that the comparisons provided by the Outside Data Provider were useful in evaluating the reasonableness of the management fees and total expenses paid by the Funds.

In addition, the Trustees considered the Investment Adviser’s undertakings to waive a portion of its management fee (with respect to each Fund other than the Enhanced Income Fund) and limit certain expenses of each of the Funds that exceed specified levels, and Goldman Sachs’s undertakings to waive a portion of the distribution and service fees paid by the Short Duration Government Fund’s Class B and Class C Shares and the Short Duration Income Fund’s Class C Shares. The Trustees also noted that a change was being made to the existing fee waiver arrangement for the Enhanced Income Fund that would have the effect of increasing total Fund expenses, with such change taking effect in connection with the Fund’s next annual registration statement update. They also considered, to the extent that the Investment Adviser manages institutional accounts or collective investment vehicles having investment objectives and policies similar to those of the Funds, comparative fee information for services provided by the Investment Adviser to those accounts, and information that indicated that services provided to the Funds differed in various significant respects from the services provided to institutional accounts, which generally operated under less stringent legal and regulatory structures, required fewer services from the Investment Adviser to a smaller number of client contact points, were less time-intensive and paid lower fees. By contrast, the Trustees noted that the Investment Adviser provides substantial administrative services to the Funds under the terms of the Management Agreements.

In addition, the Trustees noted that shareholders are able to redeem their Fund shares at any time if they believe that the Fund fees and expenses are too high or if they are dissatisfied with the performance of the Fund.

121

GOLDMAN SACHS SHORT DURATION AND GOVERNMENT FIXED INCOME FUNDS

Statement Regarding Basis for Approval of Management Agreements (Unaudited) (continued)

Profitability

The Trustees reviewed the Investment Adviser’s revenues and pre-tax profit margins with respect to the Trust and each of the Funds (with the exception of the Short Duration Income Fund, which commenced operations in 2012). In this regard the Trustees noted that they had received, among other things, profitability analyses and summaries, revenue and expense schedules by Fund and by function (i.e., investment management, transfer agency and distribution and service) and the Investment Adviser’s expense allocation methodology. They observed that the profitability and expense figures are substantially similar to those used by the Investment Adviser for many internal purposes, including compensation decisions among various business groups, and are thus subject to a vigorous internal debate about how certain revenue and expenses should be allocated. The Trustees also reviewed the report of the internal audit group within the Goldman Sachs organization, which included an assessment of the reasonableness and consistency of the Investment Adviser’s expense allocation methodology and an evaluation of the accuracy of the Investment Adviser’s profitability analysis calculations. Profitability data for the Trust and each Fund (with the exception of the Short Duration Income Fund) were provided for 2011 and 2010, and the Trustees considered this information in relation to the Investment Adviser’s overall profitability. The Trustees considered the Investment Adviser’s revenues and pre-tax profit margins both in absolute terms and in comparison to information on the reported pre-tax profit margins earned by certain other asset management firms.

Economies of Scale

The Trustees considered the information that had been provided regarding the Investment Adviser’s profitability. The Trustees also considered the breakpoints in the fee rate payable under the Management Agreements for each of the Funds at the following annual percentage rates of the average daily net assets of the Funds:


Average Daily Net Assets	Enhanced Income Fund			Government Income Fund			High Quality Floating Rate Fund			Inflation Protected Securities Fund			Short Duration Government Fund			Short Duration Income Fund
First $1 billion		0.25	%		0.54	%		0.40	%		0.33	%		0.50	%		0.40	%
Next $1 billion		0.23			0.49			0.36			0.30			0.45			0.36
Next $3 billion		0.22			0.47			0.34			0.28			0.43			0.34
Next $3 billion		0.22			0.46			0.33			0.27			0.42			0.33
Over $8 billion		0.22			0.45			0.32			0.26			0.41			0.32

122

GOLDMAN SACHS SHORT DURATION AND GOVERNMENT FIXED INCOME FUNDS

Statement Regarding Basis for Approval of Management Agreements (Unaudited) (continued)

The Trustees noted that the breakpoints were meant to share potential economies of scale, if any, with the Funds and their shareholders as assets under management reach those asset levels. The Trustees considered the amounts of assets in the Funds; the Funds’ recent share purchase and redemption activity; the information provided by the Investment Adviser relating to the costs of the services provided by the Investment Adviser and its affiliates and their realized profits; information comparing fee rates charged by the Investment Adviser with fee rates charged to other funds in the peer groups; and the Investment Adviser’s undertakings to waive a portion of its management fee (with respect to each Fund other than the Enhanced Income Fund) and limit certain expenses of each of the Funds that exceed specified levels. Upon reviewing these matters at the Annual Meeting, the Trustees concluded that the fee breakpoints represented a means of assuring that benefits of scalability, if any, would be passed along to shareholders at the specified asset levels. They also noted that the Investment Adviser had passed along savings to shareholders of the Short Duration Government Fund, which had asset levels above at least the first breakpoint during the prior fiscal year.

Other Benefits to the Investment Adviser and Its Affiliates

The Trustees also considered the other benefits derived by the Investment Adviser and its affiliates from their relationship with the Funds as stated above, including: (a) transfer agency fees received by Goldman Sachs; (b) futures commissions earned by Goldman Sachs for executing futures transactions on behalf of the Funds; (c) trading efficiencies resulting from aggregation of orders of the Funds with those for other funds or accounts managed by the Investment Adviser; (d) the Investment Adviser’s ability to leverage the infrastructure designed to service the Funds on behalf of its other clients; (e) the Investment Adviser’s ability to cross-market other products and services to Fund shareholders; (f) Goldman Sachs’ retention of certain fees as Fund Distributor; (g) the Investment Adviser’s ability to negotiate better pricing with custodians on behalf of its other clients, as a result of the relationship with the Funds; and (h) the possibility that the working relationship between the Investment Adviser and the Funds’ third party service providers may cause those service providers to be open to doing business with other areas of Goldman Sachs. In the course of considering the foregoing, the Independent Trustees requested and received further information quantifying certain of these fall-out benefits.

123

GOLDMAN SACHS SHORT DURATION AND GOVERNMENT FIXED INCOME FUNDS

Statement Regarding Basis for Approval of Management Agreements (Unaudited) (continued)

Other Benefits to the Funds and Their Shareholders

The Trustees also noted that the Funds receive certain potential benefits as a result of their relationship with the Investment Adviser, including: (a) trading efficiencies resulting from aggregation of orders of the Funds with those of other funds or accounts managed by the Investment Adviser; (b) improved servicing and pricing from vendors because of the volume of business generated by the Investment Adviser and its affiliates; (c) improved servicing from broker-dealers because of the volume of business generated by the Investment Adviser and its affiliates; (d) the Investment Adviser’s ability to negotiate favorable terms with derivatives counterparties as a result of the size and reputation of the Goldman Sachs organization; (e) the Investment Adviser’s knowledge and experience gained from managing other accounts and products; (f) the Investment Adviser’s ability to hire and retain qualified personnel to provide services to the Funds because of the reputation of the Goldman Sachs organization; (g) the Funds’ access, through the Investment Adviser, to certain firmwide resources (e.g., proprietary risk management systems and databases), subject to certain restrictions; and (h) the Funds’ access to certain affiliated distribution channels. The Trustees noted the competitive nature of the mutual fund marketplace, and noted further that many of the Funds’ shareholders invested in the Funds in part because of the Funds’ relationship with the Investment Adviser and that those shareholders have a general expectation that the relationship will continue.

Conclusion

In connection with their consideration of the Management Agreements, the Trustees gave weight to each of the factors described above, but did not identify any particular factor as controlling their decision. After deliberation and consideration of all of the information provided, including the factors described above, the Trustees concluded, in the exercise of their business judgment, that the management fees paid by each of the Funds were reasonable in light of the services provided to it by the Investment Adviser, the Investment Adviser’s costs and each Fund’s current and reasonably foreseeable asset levels. The Trustees unanimously concluded that the Investment Adviser’s continued management likely would benefit each Fund and its shareholders and that the Management Agreements should be approved and continued with respect to each applicable Fund until June 30, 2013.

124

FUNDS PROFILE

Goldman Sachs Funds

LOGO

Goldman Sachs is a premier financial services firm, known since 1869 for creating thoughtful and customized investment solutions in complex global markets.

Today, the Investment Management Division of Goldman Sachs serves a diverse set of clients worldwide, including private institutions, public entities and individuals. With approximately $735.5 billion in assets under management as of September 30, 2012, Goldman Sachs Asset Management (“GSAM”) has portfolio management teams located around the world and our investment professionals bring firsthand knowledge of local markets to every investment decision. GSAM’s assets under management includes assets managed by Goldman Sachs Asset Management, LP and its Investment Advisory Affiliates.

OVERVIEW OF GOLDMAN SACHS FUNDS

LOGO

Money Market¹

Financial Square Funds^SM

Financial Square Tax-Exempt Funds

Financial Square Federal Fund

Financial Square Government Fund

Financial Square Money Market Fund

Financial Square Prime Obligations Fund

Financial Square Treasury Instruments Fund

Financial Square Treasury Obligations Fund

Fixed Income

Short Duration and Government

Enhanced Income Fund

High Quality Floating Rate Fund²

Short Duration Government Fund

Short Duration Income Fund

Government Income Fund

Inflation Protected Securities Fund

Multi-Sector

Core Fixed Income Fund

Core Plus Fixed Income Fund

Global Income Fund

Strategic Income Fund

Municipal and Tax-Free

High Yield Municipal Fund

Municipal Income Fund

Short Duration Tax-Free Fund

Single Sector

Investment Grade Credit Fund

U.S. Mortgages Fund

High Yield Fund

High Yield Floating Rate Fund

Emerging Markets Debt Fund

Local Emerging Markets Debt Fund

Corporate Credit

Credit Strategies Fund

Fundamental Equity

Growth and Income Fund

Small Cap Value Fund

Mid Cap Value Fund

Large Cap Value Fund

Capital Growth Fund

Strategic Growth Fund

Focused Growth Fund

Small/Mid Cap Growth Fund

Flexible Cap Growth Fund

Concentrated Growth Fund

Technology Tollkeeper Fund

Growth Opportunities Fund

Rising Dividend Growth Fund

U.S. Equity Fund

Income Builder Fund³

Structured Equity

Structured Small Cap Equity Fund

Structured U.S. Equity Fund

Structured Small Cap Growth Fund

Structured Large Cap Growth Fund

Structured Large Cap Value Fund

Structured Small Cap Value Fund

Structured Tax-Managed Equity Fund

Structured International Tax-Managed Equity Fund

U.S. Equity Dividend and Premium Fund

International Equity Dividend and Premium Fund

Structured International Small Cap Fund

Structured International Equity Fund

Structured Emerging Markets Equity Fund

Fundamental Equity International⁴

Strategic International Equity Fund

Concentrated International Equity Fund

International Small Cap Fund

Asia Equity Fund

Emerging Markets Equity Fund

BRIC Fund (Brazil, Russia, India, China)

N-11 Equity Fund

Brazil Equity Fund

China Equity Fund

Korea Equity Fund

India Equity Fund

Select Satellite⁵

Real Estate Securities Fund

International Real Estate Securities Fund

Commodity Strategy Fund

Dynamic Allocation Fund

Absolute Return Tracker Fund

Managed Futures Strategy Fund

Retirement Portfolio Completion Fund

Total Portfolio Solutions⁵

Balanced Strategy Portfolio

Growth and Income Strategy Portfolio

Growth Strategy Portfolio

Equity Growth Strategy Portfolio

Income Strategies Portfolio

Satellite Strategies Portfolio

Retirement Strategies Portfolios⁶

Enhanced Dividend Global Equity Portfolio

Tax Advantaged Global Equity Portfolio

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.

Effective at the close of business on July 27, 2012, the Goldman Sachs Ultra-Short Duration Government Fund was renamed the Goldman Sachs High Quality Floating Rate Fund.

Effective at the close of business on June 29, 2012, the Goldman Sachs Balanced Fund was renamed the Goldman Sachs Income Builder Fund.

⁴

Since October 18, 2012, shares of the Goldman Sachs Brazil Equity, India Equity and Korea Equity Funds (each, a “Fund,” and collectively, the “Funds”) have not been available for purchase by investors. Each Fund will be liquidated pursuant to a Board-approved Plan of Liquidation on or about November 30, 2012 (the “Liquidation Date”). At any time prior to the Liquidation Date, shareholders may redeem their shares of the Funds and receive the net asset value thereof in cash or in kind, as provided in the Prospectus.

⁵

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.

⁶

Since July 28, 2012, shares of each of the Goldman Sachs Retirement Strategy Portfolios (the “Portfolios”) have not been available for purchase except to participants within certain Retirement Plans (as defined in the Prospectus). As of the close of business on December 6, 2012, shares of the Portfolios will no longer be available for purchase by any investors.

Financial Square Funds^SMis a registered service mark 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 Caroline Kraus, Secretary Scott M. McHugh, Treasurer

GOLDMAN, SACHS & CO. Distributor and Transfer Agent		GOLDMAN SACHS ASSET MANAGEMENT, L.P. Investment Adviser

Visit our Web site 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 (“SEC”) web site at http://www.sec.gov.

The Funds file their complete schedule of portfolio holdings with the SEC for the first and third quarters of each fiscal year on Form N-Q. The Funds’ Forms N-Q are available on the SEC’s web site at http://www.sec.gov within 60 days after the Funds’ first and third fiscal quarters. 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 be obtained by calling 1-800-SEC-0330. Forms N-Q may be obtained upon request and without charge by calling 1-800-526-7384 (for Retail Shareholders) or 1-800-621-2550 (for Institutional Shareholders).

The portfolio risk management process includes an effort to monitor and manage risk, but does not imply low risk.

Economic and market forecasts presented herein reflect our judgment as of the date of this presentation and are subject to change without notice. These forecasts do not take into account the specific investment objectives, restrictions, tax and financial situation or other needs of any specific client. Actual data will vary and may not be reflected here. These forecasts are subject to high levels of uncertainty that may affect actual performance. Accordingly, these forecasts should be viewed as merely representative of a broad range of possible outcomes. These forecasts are estimated, based on assumptions, and are subject to significant revision and may change materially as economic and market conditions change. Goldman Sachs has no obligation to provide updates or changes to these forecasts. Case studies and examples are for illustrative purposes only.

Holdings and allocations shown are as of September 30, 2012 and may not be representative of future investments. Fund holdings should not be relied on in making investment decisions and should not be construed as research or investment advice regarding particular securities.

This material is not authorized for distribution to prospective investors unless preceded or accompanied by a current Prospectus 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).

ITEM 2.

CODE OF ETHICS.

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.

ITEM 12.

EXHIBITS.


(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:				November 19, 2012

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:				November 19, 2012

By:				/s/ George F. Travers
				George F. Travers
				Principal Financial Officer
				Goldman Sachs Trust

Date:				November 16, 2012

Goldman Sachs High Yield Instl (GSHIX) N-CSRSCertified semi-annual shareholder report (management investment company)