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 811-08361
Goldman Sachs Variable Insurance Trust
(Exact name of registrant as specified in charter)
71 South Wacker Drive, Chicago, Illinois 60606-6303
(Address of principal executive offices) (Zip code)
| Peter V. Bonanno, Esq. | Copies to: | |
| Goldman, Sachs & Co. | Geoffrey R. T. Kenyon, Esq. | |
| 200 West Street | Dechert LLP | |
| New York, New York 10282 | 200 Clarendon Street | |
| 27th Floor Boston, MA 02116-5021 |
||
| (Name and address of agents for service) |
||
Registrant’s telephone number,
including area code: (312) 655-4400
Date of fiscal year end: December 31
Date of reporting period:
June 30, 2011
| ITEM 1. | REPORTS TO STOCKHOLDERS. | |
| The Semi-Annual Reports to Stockholders are filed herewith. |
Goldman
Sachs Variable Insurance Trust
Goldman Sachs Equity Index Fund
Goldman Sachs Government Income
Fund
Goldman Sachs Growth Opportunities
Fund
Semi-Annual
Report
June 30,
2011
|
GOLDMAN
SACHS VARIABLE INSURANCE TRUST FUNDS
Principal
Investment Strategies and Risks
Shares of the
Goldman Sachs Variable Insurance Trust Funds are offered to
separate accounts of participating life insurance companies for
the purpose of funding variable annuity contracts and variable
life insurance policies. Shares of the Funds are not offered
directly to the general public. The variable annuity contracts
and variable life insurance policies are described in the
separate prospectuses issued by participating insurance
companies. You should refer to those prospectuses for
information about surrender charges, mortality and expense risk
fees and other charges that may be assessed by participating
insurance companies under the variable annuity contracts or
variable life insurance policies. Such fees or charges, if any,
may affect the return you realize with respect to your
investments. Ask your representative for more complete
information. Please consider a Fund’s objective, risks and
charges and expenses, and read the Prospectus carefully before
investing. The Prospectus contains this and other information
about a Fund.
GOLDMAN
SACHS VARIABLE INSURANCE TRUST FUNDS
securities and other
derivative investments. 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 the risks
that transactions may not be liquid.
MARKET REVIEW
Goldman
Sachs Variable Insurance Trust Funds
Market Review
Despite significant volatility, the U.S. financial markets
recorded gains during the six months ended June 30, 2011
(the “Reporting Period”).
Equity
Markets
U.S. equities continued their positive momentum from 2010 during
the Reporting Period. Most of the gains, however, were generated
during the first quarter of 2011, as improving trends in labor,
housing, manufacturing and consumer confidence pointed to a
continuation in the economic recovery. A positive trajectory in
corporate earnings and cash flows and strong merger and
acquisition activity further supported U.S. equity market
performance. Indeed, despite great exogenous shocks as a result
of Middle East and North African turmoil, a series of disasters
in Japan, political debate over collective bargaining rights in
Wisconsin and the possible repeal of health care reform in
Washington D.C., the U.S. equity markets rewarded investors with
solid returns during the first quarter of 2011.
The broad U.S. equity markets experienced a much more volatile
second quarter, rising to a three-year high in April before
losing most of their early 2011 gains by mid-June and then
recovering somewhat during the very last week of the Reporting
Period. In early April, commodity prices declined and
expectations ran high for strong corporate profit growth.
However, while home construction rose modestly in May, housing
and employment remained key weak spots in the U.S. economy. In
addition, concerns about Greece’s debt crisis re-surfaced,
the U.S. Congress wrangled over the U.S. debt ceiling, the
Federal Reserve Board’s (the Fed’s) quantitative
easing program was scheduled to expire on June 30, 2011,
the impact of Japan’s natural and nuclear disasters worked
its way through the global supply chain and deadly storms cut a
wide swath of destruction across the midwestern and southern
United States. In turn, the U.S. stock market lost ground.
Toward the end of June, U.S. equities recovered from their May
to mid-June decline on the heels of better than expected U.S.
manufacturing activity, improved automobile sales and a
short-term resolution of the sovereign debt crisis in Greece.
Despite this volatility, all sectors in the
Standard &Poor’s®
500 Index (“S&P 500 Index”) posted gains during
the Reporting Period, with the exception of financials, which
posted a negative return. Health care and energy led the way.
Energy was, not surprisingly, impacted by the price of Brent
crude oil, which peaked at more than $126 per barrel in April on
supply disruption fears in North Africa and the Middle East
before falling in June on weaker U.S. economic data and concerns
about the pace of growth in China’s economy. Still, Brent
crude oil prices ended the Reporting Period at more than $112
per barrel.
While all capitalization segments of the U.S. equity market
advanced during the Reporting Period, mid-cap stocks, as
measured by the Russell
Midcap®
Index, performed best, followed by large-cap and then small-cap
stocks, as measured by the Russell
1000®
Index and the Russell
2000®
Index, respectively, which performed nearly in line with each
other. Large-cap stocks were least successful relative to
small-cap stocks in the information technology sector.
Growth-oriented stocks outpaced value-oriented stocks across the
capitalization spectrum.
Fixed Income
Markets
The U.S. fixed income market, as represented by the Barclays
Capital U.S. Aggregate Bond Index (“Barclays Capital
Index”), returned 2.72% during the Reporting Period.
MARKET REVIEW
For the second consecutive year, U.S. economic growth hit a soft
patch after starting strongly. In turn, U.S. government yields
increased early in the Reporting Period, but reversed direction
on doubts about the economic outlook and on a flight to quality
in response to global events. By the end of the Reporting
Period, many of these economic and systemic concerns began to
ease, and U.S. government yields seemed poised to resume a
rising trend.
During the first quarter of 2011, U.S. economic data, with the
exception of the housing and labor markets, remained relatively
strong. However, risks to the global economy proliferated.
Political unrest emerged in Tunisia, followed by Egypt and the
broader Middle East and North African region. Oil prices peaked
around $126 per barrel on concerns about potential supply
disruptions. In March, Japan was struck by the Tohoku earthquake
and tsunami, leading to a nuclear emergency at the Fukushima
Daiichi plant. In Europe, as policymakers struggled to avert
restructures, Ireland and Portugal joined Greece as recipients
of European Union bailouts. In April, the European Central Bank
delivered its first interest-rate hike since the financial
crisis in response to escalating inflation pressures.
These factors combined to halt the rising trend, which had
persisted since late 2010, in the government bond yields of
major developed nations. In mid-February 2011, the yield on the
10-year U.S.
Treasury note peaked at 3.75% and then started to decline as
risks to economic growth increased. Japan’s disasters added
to the downward pressure on yields, and together with
Europe’s escalating sovereign debt crisis, drove a steady
flight to quality from April through June. U.S. Treasury
security yields declined, and investors sold riskier assets,
including high-grade corporate debt.
Investors generally remained defensive during the second
quarter, but the economic data had begun to shift. Oil prices
started to moderate in April, helped in June by the
International Energy Agency’s (“IEA”) agreement
to release global strategic reserves. Japanese industrial output
improved substantially toward the end of the Reporting Period,
and the subsequent boost in U.S. manufacturing figures suggested
that Japan’s recovery, even at these early stages, was
repairing significant gaps in the global supply chain. These
positive signals caused
10-year U.S.
Treasury yields to rise near the end of June, closing the
Reporting Period at 3.16% — still below 3.29% where
they stood at the beginning of 2011. Risk premiums subsided on
U.S. corporate bond indexes, in line with a fledgling rally in
U.S. equities.
Alongside these modest improvements, there remained widespread
risks to market confidence at the end of the Reporting Period.
U.S. labor markets had yet to show any consistent strength, and
Eurozone policymakers were still working toward a detailed
resolution to the peripheral European nations’ severe debt
and fiscal problems. Moreover, fiscal pressures were mounting in
the U.S., where lawmakers continued to disagree on terms for
raising the country’s debt ceiling ahead of an
August 2, 2011 payment deadline.
Looking Ahead
Equity
Markets
During the remainder of 2011, we believe the most significant
factor for the U.S. equity markets will be fallout from the
completion of the Fed’s second round of quantitative
easing, referred to as QE2. We believe the program has created a
fertile environment for forward-looking stock pickers as the
momentum rally ends and companies begin to trade more in line
with underlying fundamentals. In our view, the Fed’s
actions have led to rising commodity costs, and we believe
certain companies will be challenged to maintain cost structure
without
MARKET REVIEW
sacrificing revenue growth. We believe companies with strong
brands and pricing power will be able to pass along inflationary
pressures and maintain margins throughout the recovery.
Specifically, we believe our portfolios are well positioned due
to our focus on identifying the companies that can provide a
differentiated product or service and those that benefit from
secular tailwinds, which we believe will enable these types of
companies to sustain growth without sacrificing price.
Fixed Income
Markets
In our opinion, economic growth is likely to rebound later in
2011 as economic headwinds reverse. Oil prices have moderated,
and global manufacturing seems poised to rebound as Japan’s
suppliers come back on line. However, we think the policy
outlook in the U.S. has changed significantly compared to 2010.
Deflation no longer appears to be the risk it was, making it
difficult for policymakers to justify additional monetary
stimulus. Additional fiscal stimulus also seems unlikely
considering the deterioration in the U.S. government’s
balance sheet and the growing emphasis on spending cuts in
budget debates. While the Fed has the flexibility to maintain
its accommodative monetary policy and indeed we do not expect it
to raise rates until well into 2012, we believe fiscal policy is
likely to start tightening during the second half of 2011.
Overall, we believe that resilient underlying economic growth
will favor riskier fixed income assets over U.S. government
bonds as 2011 progresses. However, the uncertain economic
environment has prompted us to trim our 2011 U.S. Gross Domestic
Product (“GDP”) forecast to 3.0%, which is still above
consensus. Our 2012 GDP forecast remains at 3.0%. We have
substantially increased our forecasts for U.S. headline
inflation (which includes volatile food and energy cost), given
stronger price pressures and the relatively consistent rise in
the core inflation rate (which excludes volatile food and energy
costs) since late 2010. We now expect headline inflation to
accelerate to 3.0% in 2011 and then subside to 2.2% in 2012,
which is roughly in line with the consensus.
GOLDMAN SACHS
VARIABLE INSURANCE TRUST CORE FIXED INCOME FUND
INVESTMENT
OBJECTIVE
The Fund seeks a total return consisting of capital appreciation
and income that exceeds the total return of the Barclays Capital
U.S. Aggregate Bond Index.
Portfolio
Management Discussion and Analysis
Below, the
Goldman Sachs Fixed Income Investment Management Team discusses
the performance of the Goldman Sachs Variable Insurance
Trust — Goldman Sachs Core Fixed Income Fund (the
“Fund”) and positioning for the six-month period ended
June 30, 2011 (the “Reporting Period”).
How did the
Fund perform during the Reporting Period?
During the Reporting Period, the Fund’s Service Shares
generated a cumulative total return of 2.65%. This return
compares to the 2.72% cumulative total return of the Fund’s
benchmark, the Barclays Capital U.S. Aggregate Bond Index* (the
“Barclays Capital Index”), during the same time period.
What key
factors were responsible for the Fund’s performance during
the Reporting Period?
The Fund’s duration and U.S. yield curve positioning
relative to the Barclays Capital Index detracted from relative
performance. Duration is a measure of the Fund’s
sensitivity to changes in interest rates. Yield curve indicates
a spectrum of maturities.
Both our top-down and
bottom-up
strategies contributed positively to the Fund’s relative
results during the Reporting Period. Within our top-down
strategies, our cross-sector strategy enhanced 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 Barclays Capital Index.
Bottom-up
individual issue selection among investment grade corporate
bonds and collateralized securities also contributed positively
to the Fund’s relative returns during the Reporting Period.
Which fixed
income market sectors most significantly affected Fund
performance?
The Fund’s overweighted exposure to corporate bonds
compared to the Barclays Capital Index added to relative
returns, as credit fundamentals within the sector remained
strong and continued to improve during the Reporting Period.
Also contributing to results was individual issue selection
within the corporate bond sector, especially the Fund’s
bias toward lower quality investment grade credits. In addition,
issue selection within the collateralized sector, particularly
among agency mortgage-backed securities (“MBS”),
non-agency adjustable-rate mortgages (“ARMs”) and
commercial mortgage-backed securities (“CMBS”),
contributed to relative performance.
The Fund’s allocation to non-agency residential
mortgage-backed securities (“RMBS”) detracted from
relative results. These issues declined in sympathy with a broad
risk reduction in the global financial markets as well as
seasonal weakness in U.S. housing fundamentals.
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 relative returns for the Reporting
Period as a whole. In January and early February, the Fund had a
shorter duration position than that of the Barclays Capital
Index, which contributed positively to performance. By the end
of February, we had shifted the Fund to a longer duration
position in the two-, seven- and
30-year
portions of the U.S. yield curve. The Fund maintained a short
duration position in the
10-year part
of the yield curve. In March, we tactically shifted the Fund to
a neutral duration position relative to the Barclays Capital
Index, before moving back to a long duration position in April
in response to concerns about inflation. As worries of inflation
appeared to subside, we reinstated the Fund’s short
duration position compared to the Barclays Capital Index at the
end of April, as we believed the Fed was not planning to raise
interest rates near term. We maintained the Fund’s duration
shorter than the Barclays Capital Index through June. However,
the Fund’s duration and yield curve positioning hurt
performance during the second quarter as yields fell in response
to global economic growth worries, rising oil prices resulting
from the political upheaval across the Middle East and North
Africa and concerns that Japan’s devastating earthquake and
tsunami would disrupt the global supply chain. The yield on the
10-year U.S.
Treasury note ended the Reporting Period at 3.16%, down from
3.29% at the beginning of 2011.
| * | The Barclays Capital U.S. Aggregate Bond Index (formerly known as the Lehman Brothers Aggregate Bond Index) represents an unmanaged diversified portfolio of fixed income securities, including U.S. Treasuries, investment-grade corporate bonds, and mortgage-backed and asset-backed securities. The Index figures do not reflect any deduction for fees, expenses or taxes. It is not possible to invest directly in an unmanaged index. |
GOLDMAN SACHS
VARIABLE INSURANCE TRUST CORE FIXED INCOME FUND
How did the
Fund use derivatives and similar instruments during the
Reporting Period?
As market conditions warranted during the Reporting Period, the
Fund engaged in forward foreign currency exchange contracts to
hedge currency exposure; Treasury futures to hedge interest rate
exposure and facilitate specific duration and yield curve
strategies; and Eurodollar futures to express the Team’s
views on the direction of interest rates and facilitate specific
duration and yield curve strategies. Eurodollar futures are
contracts whose underlying assets are linked to time deposits
denominated in U.S. dollars at banks outside the United
States.
Were there any
notable changes in the Fund’s weightings during the
Reporting Period?
As mentioned earlier, based on our view of interest rates, we
tactically shifted the Fund’s duration position as market
conditions changed during the Reporting Period. In addition, we
increased the Fund’s position in RMBS, favoring Alt-A
mortgages, which are mortgages that fall between prime and
subprime in terms of the credit quality of the underlying
borrowers, and option ARMs, which give borrowers payment
options. We added to the Fund’s overweight to covered bonds
(i.e., debt securities backed by cash flows from
mortgages and public sector loans) and AAA and AA rated
collateralized loan obligations. Toward the end of the Reporting
Period, we increased the Fund’s underweighted position in
government securities. We shifted the Fund to an underweighted
allocation to investment grade corporate debt but maintained its
bias toward lower quality investment grade credits.
How was the
Fund positioned relative to the Barclays Capital Index at the
end of the Reporting Period?
At the end of the Reporting Period, the Fund held a shorter
duration position than the Barclays Capital Index. The Fund was
underweight government securities and investment grade corporate
bonds compared to the Barclays Capital Index. It was overweight
taxable municipal securities issued through the Build America
Bonds (“BAB”) program. The BAB program provided
federal subsidies for taxable bonds issued by state and local
governments. Relative to the Barclays Capital Index, the Fund
was also overweight at the end of Reporting Period in
asset-backed securities, particularly FFELP (“Federal
Family Education Loan Program”) student loans, non-agency
MBS and covered bonds. The Fund also had exposure to high yield
corporate bonds and emerging markets debt, both of which are not
represented in the Barclays Capital Index, at the end of the
Reporting Period.
FUND BASICS
Core Fixed
Income Fund
as of
June 30, 2011
| STANDARDIZED AVERAGE ANNUAL TOTAL RETURNS1 |
| For the period ended 6/30/2011 | One Year | Five Year | Since Inception | Inception Date | ||||||||||||
|
Service
|
4.24 | % | 5.30 | % | 4.64 | % | 1/09/06 | |||||||||
| 1 | The Standardized Average Annual Total Returns are average annual total returns as of the most recent calendar quarter-end. They assume reinvestment of all distributions at net asset value (“NAV”). | |
| Total return figures in the above chart represent past performance and do not indicate future results, which will vary. The investment return and principal value of an investment will fluctuate and, therefore, an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance may be lower or higher than the total return figures in the above chart. Please visit www.goldmansachsfunds.com/vit to obtain the most recent month-end returns. Performance reflects expense limitations in effect. In their absence, performance would be reduced. |
| EXPENSE RATIOS2 |
| Net Expense Ratio (Current) | Gross Expense Ratio (Before Waivers) | |||||||||
|
Service
|
0.69 | % | 0.83 | % | ||||||
| 2 | The expense ratios of the Fund, both current (net of any fee waivers or expense limitations) and before waivers (gross of any fee waivers or expense limitations) are as set forth above. The Fund’s waivers and/or expense limitations will remain in place through at least April 29, 2012, and prior to such date the investment adviser may not terminate the arrangements without the approval of the Fund’s Board of Trustees. The expense ratios set forth above may differ from the expense ratios disclosed in the Financial Highlights in this report. |
FUND BASICS
| FUND COMPOSITION3 |
| 3 | 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 investments in investment companies other than those that are exchange traded. Figures in the above graph may not sum to 100% due to the exclusion of other assets and liabilities. The above graph depicts the Fund’s investments but may not represent the Fund’s market exposure due to the exclusion of derivatives, if any, as listed in the Additional Investment Information section of the Schedule of Investments. | |
| 4 | “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 United States Government. | |
| 5 | “Government Guarantee Obligations” are guaranteed under the Federal Deposit Insurance Corporation’s (“FDIC”) Temporary Liquidity Guarantee Program or a foreign government guarantee program and are backed by the full faith and credit of the United States or the government of a foreign country. The expiration date of the FDIC’s guarantee is the earlier of the maturity date of the debt or June 30, 2012 and the expiration date of a foreign country guarantee is the maturity date of the debt. | |
| 6 | “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. |
GOLDMAN SACHS
VARIABLE INSURANCE TRUST EQUITY INDEX FUND
INVESTMENT
OBJECTIVE
The Fund seeks to achieve investment results that correspond to
the aggregate price and yield performance of a benchmark index
that measures the investment returns of large capitalization
stocks.
Portfolio
Management Discussion and Analysis
Below, SSgA Funds
Management, Inc. (“SSgA”), the Fund’s Subadvisor,
discusses the performance of the Goldman Sachs Variable
Insurance Trust — Goldman Sachs Equity Index Fund (the
“Fund”) and positioning for the six-month period ended
June 30, 2011 (the “Reporting Period”).
How did the
Fund perform during the Reporting Period?
During the Reporting Period, the Fund’s Service Shares
generated a cumulative total return of 5.92%. This return
compares to the 6.02% cumulative total return of the Fund’s
benchmark, the Standard &
Poor’s®
500 Index* (with dividends reinvested) (the “S&P 500
Index”), during the same time period.
During the
Reporting Period, which sectors and which industries in the
S&P 500 Index were the strongest contributors to the
Fund’s performance?
Nine of the ten sectors in the S&P 500 Index advanced
during the Reporting Period. On the basis of impact (which takes
both total returns and weightings into account), the sectors
that made the strongest positive contributions to the S&P
500 Index — and to the Fund — were health
care, energy and industrials. The industries with the strongest
performance on the basis of impact were oil, gas and consumable
fuels; pharmaceuticals; media; information technology services;
and health care providers and services.
Which sectors
and industries in the S&P 500 Index were the weakest
contributors to the Fund’s performance?
During the Reporting Period, financials was the only sector to
post a negative total return in the S&P 500 Index. The
financials sector was also the weakest performer in the S&P
Index on the basis of impact, followed by materials and
telecommunications services. The industries with the weakest
performance on the basis of impact were diversified financial
services, capital markets, internet software and services,
commercial banks and communications equipment.
Which
individual stocks were the top performers, and which were the
greatest detractors?
The largest sector by weighting in the S&P 500 Index at the
end of the Reporting Period was information technology at a
weighting of 17.79%, and it provided one of the Reporting
Period’s top performers and two of its top detractors. The
stocks that made the strongest positive contribution on the
basis of impact were Exxon Mobil, IBM, Pfizer, Chevron and
United Health Group. The weakest performers were Cisco Systems,
Bank of America, Google, Goldman Sachs Group and Citigroup.
How did the
Fund use derivatives and similar instruments during the
Reporting Period?
During the Reporting Period, we did not use derivatives as part
of an active management strategy to add value to the Fund’s
results. However, we used equity index futures, on an
opportunistic basis, to equitize the Fund’s cash holdings.
In other words, we put the Fund’s cash holdings to work by
using them as collateral for the purchase of equity index
futures.
What changes
were made to the makeup of the S&P 500 Index during the
Reporting Period?
Fourteen stocks were removed from the S&P 500 Index during
the Reporting Period. They were RadioShack, Prologis, Massey
Energy, Novell, Genzyme, Qwest Communications International,
Campbell Soup, NYSE Euronext, Regions Financial, Sara Lee,
McAfee, Allegheny Energy, QLogic and Meredith.
There were also fourteen additions to the S&P 500 Index
during the Reporting Period. They were Marathon Petroleum, AMB
Property, Alpha Natural Resources, Chipotle Mexican Grill,
BlackRock, Edwards Lifesciences, Apache, Emerson Electric, Union
Pacific, Visa, Covidien, Joy Global, Noble and Motorola Mobility
Holdings.
| * | The S&P 500 Index is the Standard & Poor’s 500 Composite Index of 500 stocks, an unmanaged index of common stock prices. The Index figures do not reflect any deduction for fees, expenses or taxes. It is not possible to invest directly in an unmanaged index. |
FUND BASICS
Equity Index
Fund
as of
June 30, 2011
| STANDARDIZED AVERAGE ANNUAL TOTAL RETURNS1 |
| For the period ended 6/30/11 | One Year | Five Year | Since Inception | Inception Date | ||||||||||||
|
Service
|
30.30 | % | 2.74 | % | 2.41 | % | 1/09/06 | |||||||||
| 1 | The Standardized Average Annual Total Returns are average annual total returns as of the most recent calendar quarter-end. They assume reinvestment of all distributions at net asset value (“NAV”). | |
| Total return figures in the above chart represent past performance and do not indicate future results, which will vary. The investment return and principal value of an investment will fluctuate and, therefore, an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance may be lower or higher than the total return figures in the above chart. Please visit www.goldmansachsfunds.com/vit 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. |
| EXPENSE RATIOS2 |
| Net Expense Ratio (Current) | Gross Expense Ratio (Before Waivers) | |||||||||
|
Service
|
0.48 | % | 0.71 | % | ||||||
| 2 | The expense ratios of the Fund, both current (net of any fee waivers or expense limitations) and before waivers (gross of any fee waivers or expense limitations) are as set forth above. The Fund’s waivers and/or expense limitations will remain in place through at least April 29, 2012, and prior to such date the investment adviser may not terminate the arrangements without the approval of the Fund’s Board of Trustees. The expense ratios set forth above may differ from the expense ratios disclosed in the Financial Highlights in this report. |
| TOP 10 HOLDINGS AS OF 6/30/113 |
| Holding | % of Net Assets | Line of Business | ||||||
|
Exxon Mobil Corp.
|
3.3 | % | Energy | |||||
|
Apple, Inc.
|
2.6 | Technology Hardware & Equipment | ||||||
|
International Business Machines Corp.
|
1.7 | Software & Services | ||||||
|
Chevron Corp.
|
1.7 | Energy | ||||||
|
General Electric Co.
|
1.7 | Capital Goods | ||||||
|
Microsoft Corp.
|
1.6 | Software & Services | ||||||
|
AT&T, Inc.
|
1.5 | Telecommunication Services | ||||||
|
Johnson & Johnson
|
1.5 | Pharmaceuticals, Biotechnology & Life Sciences | ||||||
|
The Procter & Gamble Co.
|
1.5 | Household & Personal Products | ||||||
|
Pfizer, Inc.
|
1.4 | Pharmaceuticals, Biotechnology & Life Sciences | ||||||
| 3 | The top 10 holdings may not be representative of the Fund’s future investments. |
FUND BASICS
| FUND VS. BENCHMARK SECTOR ALLOCATIONS4 |
As
of June 30, 2011
| 4 | The Fund’s composition may differ over time. The above graph categorizes investments using Global Industry Classification Standard (“GICS”), however, the sector classifications used by the portfolio management team may differ from GICS. Consequently, the Fund’s overall industry sector allocations may differ from percentages contained in the graph above. The percentage shown for each investment category reflects the value of investments in that category as a percentage of market value. Short-term investments represent investments in investment companies other than those that are exchange traded. The above graph depicts the Fund’s investments but may not represent the Fund’s market exposure due to the exclusion of derivatives, if any, as listed in the Additional Investment Information section of the Schedule of Investments. |
GOLDMAN SACHS
VARIABLE INSURANCE TRUST 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 Fixed Income Investment Management Team discusses
the performance of the Goldman Sachs Variable Insurance
Trust — Goldman Sachs Government Income Fund (the
“Fund”) and positioning for the six-month period ended
June 30, 2011 (the “Reporting Period”).
How did the
Fund perform during the Reporting Period?
During the Reporting Period, the Fund’s Service Shares
generated a cumulative total return of 1.82%. This return
compares to the 2.47% cumulative total return of the Fund’s
benchmark, the Barclays Capital Government/Mortgage Index* (the
“Barclays Capital Index”) during the same time period.
What key
factors were responsible for the Fund’s performance during
the Reporting Period?
The Fund’s duration and yield curve positioning detracted
from relative performance during the Reporting Period. Duration
is a measure of the Fund’s sensitivity to changes in
interest rates. Yield curve indicates a spectrum of maturities.
Our top-down and
bottom-up
strategies enhanced relative performance. Within our top-down
strategies, our cross-sector strategy contributed positively.
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 Barclays Capital Index.
Bottom-up
individual issue selection among government and agency
securities also added to the Fund’s results during the
Reporting Period.
Which fixed
income market sectors contributed the most to Fund
performance?
The Fund’s exposure to agency mortgage-backed securities
(“MBS”) added to relative returns, especially in
March, as demand for high-quality spread product increased.
(Spread product refers to securities that typically carry
interest rates higher than Treasuries because of their greater
inherent risk.) Also contributing to the Fund’s performance
was its exposure to asset-backed securities (“ABS”)
and commercial mortgage-backed securities (“CMBS”). In
addition, issue selection among government and agency
securities, specifically Treasury Inflation-Protected Securities
(“TIPS”), enhanced the Fund’s results versus the
Barclays Capital Index.
What sectors
detracted from the Fund’s performance?
The Fund’s allocation to non-agency MBS, which are not
represented in the Barclays Capital Index, detracted from
relative performance. These issues declined amid broad risk
reduction in the global financial markets and in response to
seasonal weakness in U.S. housing fundamentals.
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 relative returns for the Reporting
Period as a whole. In January and early February, the Fund had a
shorter duration position than that of the Barclays Capital
Index, which contributed positively to performance. By the end
of February, we had shifted the Fund to a longer duration
position in the two-, seven- and
30-year
portions of the U.S. yield curve. The Fund maintained a
short-duration position in the
10-year part
of the yield curve. In March, we tactically shifted the Fund to
a neutral duration position relative to the Barclays Capital
Index, before moving back to a long duration position in April
in response to concerns about inflation. As worries of inflation
appeared to subside, we reinstated the Fund’s short
duration position compared to the Barclays Capital Index at the
end of April, as we believed the Fed was not planning to raise
interest rates near term. We maintained the Fund’s duration
shorter than the Barclays Capital Index through June. However,
the Fund’s duration and yield curve positioning hurt
performance during the second quarter as yields fell in response
to global economic growth worries, rising oil prices resulting
from the political upheaval across the Middle East and North
Africa and concerns that Japan’s devastating earthquake and
tsunami would disrupt the global supply chain. The yield on the
10-year U.S.
Treasury note ended the Reporting Period at 3.16%, down from
3.29% at the beginning of 2011.
| * | The Barclays Capital Government/Mortgage Index (formerly the Lehman Brothers 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 unmanaged index. |
GOLDMAN SACHS
VARIABLE INSURANCE TRUST GOVERNMENT INCOME FUND
How did the
Fund use derivatives and similar instruments during the
Reporting Period?
As market conditions warranted during the Reporting Period, the
Fund engaged in Treasury futures to hedge interest rate exposure
and facilitate specific duration and yield curve strategies.
Were there any
notable changes in the Fund’s weightings during the
Reporting Period?
As mentioned earlier, based on our view of interest rates, we
tactically shifted the Fund’s duration position as market
conditions changed during the Reporting Period. In addition, we
reduced the Fund’s underweight in government securities and
increased its overweight in quasi-government securities. We
reduced the Fund’s exposure to residential mortgage-backed
securities (“RMBS”), moving to a more neutral stance
relative to the Barclays Capital Index. Over the course of the
Reporting Period, we shifted the Fund from an overweight to an
underweight in premium mortgage pass-throughs. In our opinion,
their high prices did not reflect the impact of market
technicals resulting from the Treasury selloff or the prepayment
risks that could arise from potential mortgage servicing reforms
or other housing initiatives. 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.
How was the
Fund positioned relative to the Barclays Capital Index at the
end of the Reporting Period?
The Fund held a shorter duration position than the Barclays
Capital Index at the end of the Reporting Period. Relative to
the Barclays Capital Index, the Fund was underweight government
securities and mortgage pass-throughs. It was overweight
quasi-government securities and agency adjustable-rate mortgages
(“ARMs”). We continued to find value in agency
multi-family securities, which offer high credit quality, stable
cash flows, prepayment protections and some yield premium over
single family fixed-rate MBS. At the end of the Reporting
Period, the Fund had modest exposure to ABS and non-agency
mortgages, both of which are not represented in the Barclays
Capital Index. We maintained the Fund’s position in
non-agency mortgages because of the New York Federal
Reserve’s pause in the liquidation of its Maiden Lane II
portfolio, established to facilitate transactions related to its
takeover of select assets of American International Group (AIG).
We believe the pause could ease the supply burden on the market.
We also view the settlement reached between Bank of America and
a group of large investors as a positive step for the
residential mortgage sector. In our opinion, loss-adjusted
yields across the non-agency sector compared favorably with
other high-volatility asset classes. Moreover, recent
S&P/Case-Shiller Home Price Index data supported our view
at the end of the Reporting Period that home prices could rise
during the summer of 2011.
FUND BASICS
Government
Income Fund
as of
June 30, 2011
| STANDARDIZED AVERAGE ANNUAL TOTAL RETURNS1 |
| For the period ended 6/30/11 | One Year | Five Year | Since Inception | Inception Date | ||||||||||||
|
Service
|
2.24 | % | 5.67 | % | 5.07 | % | 1/09/06 | |||||||||
| 1 | The Standardized Average Annual Total Returns are average annual total returns as of the most recent calendar quarter-end. They assume reinvestment of all distributions at net asset value (“NAV”). | |
| Total return figures in the above chart represent past performance and do not indicate future results, which will vary. The investment return and principal value of an investment will fluctuate and, therefore, an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance may be lower or higher than the total return figures in the above chart. Please visit www.goldmansachsfunds.com/vit to obtain the most recent month-end returns. Performance reflects expense limitations in effect. In their absence, performance would be reduced. |
| EXPENSE RATIOS2 |
| Net Expense Ratio (Current) | Gross Expense Ratio (Before Waivers) | |||||||||
|
Service
|
0.85 | % | 1.12 | % | ||||||
| 2 | The expense ratios of the Fund, both current (net of any fee waivers or expense limitations) and before waivers (gross of any fee waivers or expense limitations) are as set forth above. The Fund’s waivers and/or expense limitations will remain in place through at least April 29, 2012, and prior such date the investment adviser may not terminate the arrangements without the approval of the Fund’s Board of Trustees. The expense ratios set forth above may differ from the expense ratios disclosed in the Financial Highlights in this report. |
FUND BASICS
| FUND COMPOSITION3 |
| 3 | 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 investments in investment companies other than those that are exchange traded. Figures in the above graph may not sum to 100% due to the exclusion of other assets and liabilities. The above graph depicts the Fund’s investments but may not represent the Fund’s market exposure due to the exclusion of derivatives, if any, as listed in the Additional Investment Information section of the Schedule of Investments. | |
| 4 | “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 United States Government. | |
| 5 | “Government Guarantee Obligations” are guaranteed under the Federal Deposit Insurance Corporation’s (“FDIC”) Temporary Liquidity Guarantee Program and are 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 June 30, 2012. | |
| 6 | “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. |
GOLDMAN SACHS
VARIABLE INSURANCE TRUST GROWTH OPPORTUNITIES FUND
INVESTMENT
OBJECTIVE
The Fund seeks long-term growth of capital.
Portfolio
Management Discussion and Analysis
Below, the
Goldman Sachs Growth Equity Management Team discusses the
performance of the Goldman Sachs Variable Insurance
Trust — Goldman Sachs Growth Opportunities Fund (the
“Fund”) and positioning for the six-month period ended
June 30, 2011 (the “Reporting Period”).
How did the
Fund perform during the Reporting Period?
During the Reporting Period, the Fund’s Service Shares
generated a cumulative total return of 4.17%. This return
compares to the 9.59% cumulative total return of the Fund’s
benchmark, the Russell
Midcap®
Growth Index* (with dividends reinvested) (the “Russell
Index”), during the same time period.
What key
factors were responsible for the Fund’s performance during
the Reporting Period?
The Fund’s underperformance relative to the Russell Index
was largely the result of security selection.
Which equity
market sectors most significantly affected Fund
performance?
Our
bottom-up
approach focuses on security selection, and as a result, we do
not make active sector-level investment decisions. That said, on
a sector level, security selection in the consumer
discretionary, consumer staples and financials sectors hampered
Fund performance. Also detracting was an overweighted position
in the information technology sector, which lagged the Russell
Index. An underweighted position in the utilities sector, which
outperformed in the Russell Index, further dampened results.
Stock picks in the industrials and information technology
sectors added to the Fund’s relative results. An
underweighted position in the industrials sector, which
underperformed the Russell Index, was also advantageous.
Which
individual stocks detracted significantly from the Fund’s
performance during the Reporting Period?
Office supply retailer Staples, which posted a second straight
quarter of disappointing results, detracted from the Fund’s
relative performance during the Reporting Period. The company
reported earnings below consensus estimates and lowered guidance
for 2011. According to Staples’ management, the company has
been experiencing pressure on its profit margins, an issue that
we consider transitory. Because Staples is aggressively cutting
prices for some of its products in the U.S., we believe the
company may be able to gain market share. In our opinion,
management’s recent actions may pressure competitors to
lower prices, which is likely to have a negative impact on
companies with limited margin flexibility. We believe Staples
may be in a position to gain additional market share if
competitors are weakened and the industry becomes more
consolidated. Although Staples’ share price was under
pressure during the Reporting Period, we believe the company is
dealing with macroeconomic headwinds that are cyclical in nature
and not evidence of structural issues associated with the
company’s business model. In addition to Staples’
retail locations, the company has a significant online business
and is one of the largest online retailers in North America.
Another top detractor during the Reporting Period was Lamar, an
outdoor advertising company. Lamar’s shares declined after
it reported disappointing revenue growth for its fiscal first
quarter. In our view, outdoor advertising is a growing segment
of the media industry. We expect Lamar to benefit from this
trend as the company converts its billboards from static to
digital formats to generate more revenue from its existing
locations and to attract more advertisers to the medium.
A position in Northern Trust hampered the Fund’s relative
returns during the Reporting Period. Its share price fell after
the company reported disappointing fiscal fourth quarter
earnings, pressured by persistently low interest rates. The
company’s private wealth and institutional custody
businesses, however, helped offset weakness in the parts of its
business that have been negatively affected by macro-economic
factors. Northern Trust remains focused on expanding in its core
markets, and given the company’s solid balance sheet and
cash holdings, we believe management is likely to begin
redeploying capital through stock buybacks and dividend
increases.
| * | The Russell Midcap Growth Index is an unmanaged index that measures the performance of those Russell Midcap companies with higher price-to-book ratios and higher forecasted growth values. The Index figures do not reflect any deduction for fees, expenses or taxes. It is not possible to invest directly in an unmanaged index. |
What were some
of the Fund’s best-performing individual
stocks?
Iron Mountain, a leader in records management, data storage and
online backup, contributed to the Fund’s relative
performance during the Reporting Period. Its shares appreciated
after management announced a strategic plan for enhancing
shareholder value. While we continue to believe that Iron
Mountain holds dominant market share position and advantages of
scale, we think the gap between the stock price and the economic
value of Iron Mountain’s business has closed. We took
advantage of the increase in its share price during the
Reporting Period to exit the Fund’s position.
Xilinx, a semiconductor chip company that is a leader in
programmable logic devices (“PLDs”), was another top
contributor during the Reporting Period. Its shares were up
after the company reported strong revenue growth and management
issued a positive outlook. The PLD industry is a duopoly
structure — that is, it is generally dominated by two
companies — with high barriers to entry. In our
opinion, Xilinx is likely to benefit as PLDs take market share
from application-specific integrated circuits
(“ASICs”), an alternative semiconductor chip. We
believe the market for PLDs will continue to expand because they
offer significant benefits over ASICs, including lower
development costs, shorter development time and upgradability.
Sallie Mae, a student loan originator and servicer, enhanced the
Fund’s relative performance during the Reporting Period.
The company reported strong quarterly earnings driven by higher
interest and fee income as well as a lower loan loss provision.
In addition, the company improved its profit margins amid
positive credit trends. During the Reporting Period, Sallie Mae
also completed an unsecured debt deal, which we expect to
improve its liquidity position. In our opinion, Sallie Mae has
strong businesses that are underappreciated by the equity
market. We think the company has the potential to grow earnings
significantly as the credit market continues to normalize.
Did the Fund
make any significant purchases or sales during the Reporting
Period?
During the Reporting Period, we added Pioneer National Resources
to the Fund. In our view, this independent oil and gas
exploration and production company has attractive assets in the
Permian and Eagleford Basins. Although the Permian Basin is
older than other North American oil fields, it has had limited
exposure to newer, unconventional drilling technologies, which
we believe can unlock value in this geography.
The Fund also purchased Urban Outfitters during the Reporting
Period. The specialty retailer operates numerous successful
brands including Urban Outfitters, Anthropologie, Free People
and Terrain. It has been rapidly expanding its retail store base
and has been successful at introducing brands to the global
marketplace. In our opinion, its management has a history of
strong execution, demonstrating disciplined capital allocation
and producing consistent sales growth over a multi-year period.
The Fund eliminated its position in Iron Mountain during the
Reporting Period. As mentioned above, we continue to believe the
company holds dominant market share position and advantages of
scale. However, we think the gap between the stock price and the
economic value of Iron Mountain’s business has closed. We
took advantage of the increase in its share price during the
Reporting Period to exit the Fund’s position.
The Fund also eliminated its position in People’s United
Financial. Our original investment thesis was that People’s
United Financial, a well-capitalized bank, would have the
opportunity to purchase other banks at depressed prices.
Although it made several small acquisitions, we believe the
window of greatest opportunity has closed. Therefore, we decided
to sell the position.
Were there any
notable changes in the Fund’s weightings during the
Reporting Period?
There were no notable changes in the Fund’s weightings
during the Reporting Period.
How did the
Fund use derivatives and similar instruments during the
Reporting Period?
The Fund does not use derivatives within its investment process.
How was the
Fund positioned relative to the Russell Index at the end of the
Reporting Period?
As mentioned, the Fund’s sector positioning relative to the
Russell Index is the result of our stock selection, as we take a
pure
bottom-up,
research-intensive approach to investing. From that perspective,
then, at the end of the Reporting Period, the Fund’s
portfolio was broadly diversified with overweighted positions
compared to the Russell Index in the information technology,
financials, telecommunication services, energy and consumer
discretionary sectors. The Fund had smaller weightings relative
to the Russell Index in the materials, health care, industrials,
consumer staples and utilities sectors at the end of the
Reporting Period.
FUND BASICS
Growth
Opportunities Fund
as of
June 30, 2011
| STANDARDIZED AVERAGE ANNUAL TOTAL RETURNS1 |
| For the period ended 6/30/11 | One Year | Five Year | Since Inception | Inception Date | ||||||||||||
|
Service
|
30.84 | % | 8.38% | 6.71 | % | 1/09/06 | ||||||||||
| 1 | The Standardized Average Annual Total Returns are average annual total returns as of the most recent calendar quarter-end. They assume reinvestment of all distributions at net asset value (“NAV”). | |
| Total return figures in the above chart represent past performance and do not indicate future results, which will vary. The investment return and principal value of an investment will fluctuate and, therefore, an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance may be lower or higher than the total return figures in the above chart. Please visit www.goldmansachsfunds.com/vit 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. |
| EXPENSE RATIOS2 |
| Net Expense Ratio (Current) | Gross Expense Ratio (Before Waivers) | |||||||||
|
Service
|
1.15 | % | 1.43 | % | ||||||
| 2 | The expense ratios of the Fund, both current (net of any fee waivers or expense limitations) and before waivers (gross of any fee waivers or expense limitations) are as set forth above. The Fund’s waivers and/or expense limitations will remain in place through at least April 29, 2012, and prior to such date the investment adviser may not terminate the arrangements without the approval of the Fund’s Board of Trustees. The expense ratios set forth above may differ from the expense ratios disclosed in the Financial Highlights in this report. |
| TOP 10 HOLDINGS AS OF 6/30/113 |
| Holding | % of Net Assets | Line of Business | ||||||
|
Global Payments, Inc.
|
2.6 | % | Software & Services | |||||
|
Xilinx, Inc.
|
2.5 | Semiconductors & Semiconductor Equipment | ||||||
|
Cameron International Corp.
|
2.3 | Energy | ||||||
|
Kennametal, Inc.
|
2.2 | Capital Goods | ||||||
|
SBA Communications Corp. Class A
|
2.2 | Telecommunication Services | ||||||
|
PetSmart, Inc.
|
2.2 | Retailing | ||||||
|
Phillips-Van Heusen Corp.
|
2.2 | Consumer Durables & Apparel | ||||||
|
Bed Bath & Beyond, Inc.
|
2.1 | Retailing | ||||||
|
IntercontinentalExchange, Inc.
|
2.1 | Diversified Financials | ||||||
|
Coinstar, Inc.
|
2.0 | Consumer Services | ||||||
| 3 | The top 10 holdings may not be representative of the Fund’s future investments. |
FUND BASICS
| FUND vs. BENCHMARK SECTOR ALLOCATIONS4 |
As
of June 30, 2011
| 4 | The Fund is actively managed and, as such, its composition may differ over time. The above graph categorizes investments using Global Industry Classification Standard (“GICS”), however, the sector classifications used by the portfolio management team may differ from GICS. Consequently, the Fund’s overall industry sector allocations may differ from percentages contained in the graph above. The percentage shown for each investment category reflects the value of investments in that category as a percentage of market value. Short-term investments represent investments in investment companies other than those that are exchange traded. The above graph depicts the Fund’s investments but may not represent the Fund’s market exposure due to the exclusion of derivatives, if any, as listed in the Additional Investment Information section of the Schedule of Investments. |
GOLDMAN SACHS
VARIABLE INSURANCE TRUST CORE FIXED INCOME FUND
Schedule of
Investments
June 30,
2011 (Unaudited)
|
Principal |
Interest |
Maturity |
||||||||||||
| Amount | Rate | Date | Value | |||||||||||
|
Corporate
Obligations – 22.0%
|
||||||||||||||
|
Banks –
6.4%
|
||||||||||||||
|
Abbey National Treasury Services PLC
|
||||||||||||||
| $ | 175,000 | 2.875 | % | 04/25/14 | $ | 175,154 | ||||||||
| 100,000 | 4.000 | 04/27/16 | 98,887 | |||||||||||
|
Bank of America Corp.
|
||||||||||||||
| 425,000 | 3.625 | 03/17/16 | 425,317 | |||||||||||
| 200,000 | 5.750 | 12/01/17 | 212,569 | |||||||||||
| 375,000 | 5.625 | 07/01/20 | 384,766 | |||||||||||
|
BBVA Bancomer
SA(a)
|
||||||||||||||
| 425,000 | 7.250 | 04/22/20 | 446,371 | |||||||||||
|
Capital One Bank NA
|
||||||||||||||
| 300,000 | 8.800 | 07/15/19 | 368,482 | |||||||||||
|
CBA Capital
Trust II(a)(b)(c)
|
||||||||||||||
| 325,000 | 6.024 | 03/29/49 | 320,255 | |||||||||||
|
Citigroup Capital
XXI(b)(c)
|
||||||||||||||
| 383,000 | 8.300 | 12/21/57 | 390,660 | |||||||||||
|
Citigroup, Inc.
|
||||||||||||||
| 225,000 | 6.375 | 08/12/14 | 249,589 | |||||||||||
| 600,000 | 5.000 | 09/15/14 | 629,610 | |||||||||||
| 155,000 | 6.125 | 11/21/17 | 171,042 | |||||||||||
| 165,000 | 5.375 | 08/09/20 | 172,691 | |||||||||||
|
Fifth Third Bancorp
|
||||||||||||||
| 150,000 | 3.625 | 01/25/16 | 151,371 | |||||||||||
|
HSBC Bank NA
|
||||||||||||||
| 275,000 | 4.875 | 08/24/20 | 272,323 | |||||||||||
|
ING Bank
NV(a)
|
||||||||||||||
| 325,000 | 2.375 | 06/09/14 | 323,494 | |||||||||||
|
JPMorgan Chase Capital XXV Series Y
|
||||||||||||||
| 275,000 | 6.800 | 10/01/37 | 274,026 | |||||||||||
|
Merrill Lynch & Co., Inc.
|
||||||||||||||
| 325,000 | 6.400 | 08/28/17 | 357,771 | |||||||||||
|
Morgan Stanley & Co.
|
||||||||||||||
| 275,000 | 5.750 | 08/31/12 | 289,471 | |||||||||||
| 400,000 | 5.950 | 12/28/17 | 424,099 | |||||||||||
| 300,000 | 6.625 | 04/01/18 | 329,263 | |||||||||||
|
PNC Bank NA
|
||||||||||||||
| 225,000 | 6.875 | 04/01/18 | 259,923 | |||||||||||
|
Regions Financial Corp.
|
||||||||||||||
| 325,000 | 5.750 | 06/15/15 | 319,313 | |||||||||||
|
Resona Bank
Ltd.(a)(b)(c)
|
||||||||||||||
| 650,000 | 5.850 | 09/29/49 | 648,676 | |||||||||||
|
Santander Holdings USA, Inc.
|
||||||||||||||
| 165,000 | 4.625 | 04/19/16 | 165,118 | |||||||||||
|
SunTrust Banks,
Inc.(b)
|
||||||||||||||
| 225,000 | 3.600 | 04/15/16 | 227,888 | |||||||||||
|
The Bear Stearns Companies, LLC
|
||||||||||||||
| 500,000 | 7.250 | 02/01/18 | 592,959 | |||||||||||
|
The Royal Bank of Scotland Group
PLC(a)
|
||||||||||||||
| 425,000 | 4.875 | 08/25/14 | 442,325 | |||||||||||
|
U.S. Bancorp
|
||||||||||||||
| 375,000 | 3.442 | 02/01/16 | 379,525 | |||||||||||
|
Union Bank NA
|
||||||||||||||
| 400,000 | 3.000 | 06/06/16 | 396,251 | |||||||||||
|
Wachovia Bank NA
|
||||||||||||||
| 300,000 | 6.600 | 01/15/38 | 331,511 | |||||||||||
| 10,230,700 | ||||||||||||||
|
Captive
Auto – 0.2%
|
||||||||||||||
|
FUEL
Trust(a)
|
||||||||||||||
| 325,000 | 3.984 | 06/15/16 | 320,936 | |||||||||||
|
Chemicals –
0.4%
|
||||||||||||||
|
The Dow Chemical Co.
|
||||||||||||||
| 500,000 | 7.600 | 05/15/14 | 579,168 | |||||||||||
|
Diversified
Manufacturing – 0.2%
|
||||||||||||||
|
Valmont Industries, Inc.
|
||||||||||||||
| 250,000 | 6.625 | 04/20/20 | 273,411 | |||||||||||
|
Electric –
0.9%
|
||||||||||||||
|
Arizona Public Service Co.
|
||||||||||||||
| 250,000 | 6.375 | 10/15/11 | 254,121 | |||||||||||
|
Ipalco Enterprises,
Inc.(a)
|
||||||||||||||
| 400,000 | 5.000 | 05/01/18 | 396,000 | |||||||||||
|
PPL WEM Holdings
PLC(a)(b)
|
||||||||||||||
| 350,000 | 5.375 | 05/01/21 | 360,944 | |||||||||||
|
Progress Energy, Inc.
|
||||||||||||||
| 350,000 | 7.000 | 10/30/31 | 405,810 | |||||||||||
| 1,416,875 | ||||||||||||||
|
Energy –
2.8%
|
||||||||||||||
|
Anadarko Petroleum Corp.
|
||||||||||||||
| 375,000 | 6.375 | 09/15/17 | 429,438 | |||||||||||
|
BP Capital Markets PLC
|
||||||||||||||
| 225,000 | 3.200 | 03/11/16 | 228,662 | |||||||||||
| 500,000 | 4.500 | 10/01/20 | 510,290 | |||||||||||
|
Dolphin Energy
Ltd.(a)
|
||||||||||||||
| 212,064 | 5.888 | 06/15/19 | 228,561 | |||||||||||
|
Gazprom OAO Via Gaz Capital SA
|
||||||||||||||
| 350,000 | 9.250 | 04/23/19 | 435,313 | |||||||||||
|
Nexen, Inc.
|
||||||||||||||
| 120,000 | 6.400 | 05/15/37 | 119,243 | |||||||||||
| 200,000 | 7.500 | 07/30/39 | 223,973 | |||||||||||
|
Noble Energy, Inc.
|
||||||||||||||
| 250,000 | 6.000 | 03/01/41 | 256,364 | |||||||||||
|
Pemex Project Funding Master Trust
|
||||||||||||||
| 330,000 | 6.625 | 06/15/35 | 345,675 | |||||||||||
|
Petrobras International Finance Co.
|
||||||||||||||
| 170,000 | 5.375 | 01/27/21 | 174,461 | |||||||||||
|
PTTEP Canada International Finance
Ltd.(a)
|
||||||||||||||
| 240,000 | 5.692 | 04/05/21 | 239,208 | |||||||||||
|
Ras Laffan Liquefied Natural Gas Co. Ltd.
III(a)
|
||||||||||||||
| 250,000 | 5.500 | 09/30/14 | 270,774 | |||||||||||
|
TNK-BP
Finance SA
|
||||||||||||||
| 140,000 | 7.875 | 03/13/18 | 160,479 | |||||||||||
|
Transocean, Inc.
|
||||||||||||||
| 100,000 | 4.950 | 11/15/15 | 107,056 | |||||||||||
| 325,000 | 6.000 | 03/15/18 | 357,698 | |||||||||||
| 100,000 | 6.500 | 11/15/20 | 111,838 | |||||||||||
|
Weatherford International Ltd.
|
||||||||||||||
| 225,000 | 9.625 | 03/01/19 | 290,436 | |||||||||||
| 4,489,469 | ||||||||||||||
|
Food
& Beverage – 0.7%
|
||||||||||||||
|
Cargill,
Inc.(a)
|
||||||||||||||
| 425,000 | 4.307 | 05/14/21 | 428,313 | |||||||||||
GOLDMAN SACHS
VARIABLE INSURANCE TRUST CORE FIXED INCOME FUND
Schedule of
Investments (continued)
June 30,
2011 (Unaudited)
|
Principal |
Interest |
Maturity |
||||||||||||
| Amount | Rate | Date | Value | |||||||||||
|
Corporate
Obligations – (continued)
|
||||||||||||||
|
Food
& Beverage – (continued)
|
||||||||||||||
|
Kraft Foods, Inc.
|
||||||||||||||
| $ | 275,000 | 6.125 | % | 08/23/18 | $ | 314,260 | ||||||||
| 225,000 | 6.500 | 02/09/40 | 247,529 | |||||||||||
| 990,102 | ||||||||||||||
|
Food
& Drug
Retail(b)(c) –
0.3%
|
||||||||||||||
|
CVS Caremark Corp.
|
||||||||||||||
| 500,000 | 6.302 | 06/01/37 | 484,997 | |||||||||||
|
Healthcare –
0.4%
|
||||||||||||||
|
Boston Scientific Corp.
|
||||||||||||||
| 525,000 | 4.500 | 01/15/15 | 553,012 | |||||||||||
|
Life Technologies Corp.
|
||||||||||||||
| 150,000 | 6.000 | 03/01/20 | 162,539 | |||||||||||
| 715,551 | ||||||||||||||
|
Life
Insurance – 1.1%
|
||||||||||||||
|
Lincoln National Corp.
|
||||||||||||||
| 300,000 | 4.850 | 06/24/21 | 299,337 | |||||||||||
|
MetLife Capital
Trust X(a)(b)(c)
|
||||||||||||||
| 300,000 | 9.250 | 04/08/38 | 366,000 | |||||||||||
|
Prudential Financial, Inc.
|
||||||||||||||
| 575,000 | 3.875 | 01/14/15 | 599,478 | |||||||||||
|
The Northwestern Mutual Life Insurance
Co.(a)
|
||||||||||||||
| 425,000 | 6.063 | 03/30/40 | 447,943 | |||||||||||
| 1,712,758 | ||||||||||||||
|
Media
Cable – 0.3%
|
||||||||||||||
|
DIRECTV Holdings LLC/DIRECTV Financing Co., Inc.
|
||||||||||||||
| 425,000 | 3.500 | 03/01/16 | 436,856 | |||||||||||
|
Media
Non
Cable(a) –
0.5%
|
||||||||||||||
|
NBCUniversal Media LLC
|
||||||||||||||
| 175,000 | 2.875 | 04/01/16 | 175,137 | |||||||||||
| 400,000 | 4.375 | 04/01/21 | 395,813 | |||||||||||
|
News America, Inc.
|
||||||||||||||
| 375,000 | 6.150 | 02/15/41 | 377,112 | |||||||||||
| 948,062 | ||||||||||||||
|
Metals
and
Mining(b) –
0.5%
|
||||||||||||||
|
Freeport-McMoRan Copper & Gold, Inc.
|
||||||||||||||
| 418,000 | 8.375 | 04/01/17 | 456,142 | |||||||||||
|
Teck Resources Ltd.
|
||||||||||||||
| 300,000 | 10.750 | 05/15/19 | 379,125 | |||||||||||
| 835,267 | ||||||||||||||
|
Noncaptive-Financial –
1.6%
|
||||||||||||||
|
Capital One Capital III
|
||||||||||||||
| 125,000 | 7.686 | 08/15/36 | 127,500 | |||||||||||
|
Capital One Capital
IV(b)(c)
|
||||||||||||||
| 350,000 | 6.745 | 02/17/37 | 353,500 | |||||||||||
|
Discover Bank
|
||||||||||||||
| 250,000 | 8.700 | 11/18/19 | 301,031 | |||||||||||
|
General Electric Capital Corp.
|
||||||||||||||
| 825,000 | 5.625 | 05/01/18 | 898,854 | |||||||||||
|
International Lease Finance Corp.
|
||||||||||||||
| 375,000 | 5.750 | 05/15/16 | 369,375 | |||||||||||
|
SLM Corp.
|
||||||||||||||
| AUD | 150,000 | 6.000 | 05/10/12 | 158,909 | ||||||||||
| $ | 325,000 | 6.250 | 01/25/16 | 339,707 | ||||||||||
| 2,548,876 | ||||||||||||||
|
Pipelines –
1.4%
|
||||||||||||||
|
Boardwalk Pipelines LP
|
||||||||||||||
| 550,000 | 5.875 | 11/15/16 | 613,103 | |||||||||||
|
El Paso Pipeline Partners Operating Co. LLC
|
||||||||||||||
| 150,000 | 6.500 | 04/01/20 | 168,000 | |||||||||||
|
Energy Transfer Partners LP
|
||||||||||||||
| 450,000 | 5.950 | 02/01/15 | 498,361 | |||||||||||
|
Enterprise Products Operating LLC
|
||||||||||||||
| 175,000 | 5.000 | 03/01/15 | 190,390 | |||||||||||
|
Tennessee Gas Pipeline Co.
|
||||||||||||||
| 150,000 | 8.000 | 02/01/16 | 180,897 | |||||||||||
| 200,000 | 8.375 | 06/15/32 | 252,838 | |||||||||||
|
TransCanada Pipelines
Ltd.(b)(c)
|
||||||||||||||
| 325,000 | 6.350 | 05/15/67 | 325,000 | |||||||||||
| 2,228,589 | ||||||||||||||
|
Property/Casualty
Insurance –
0.9%
|
||||||||||||||
|
QBE Capital Funding III
Ltd.(a)(b)(c)
|
||||||||||||||
| 250,000 | 7.250 | 05/24/41 | 250,843 | |||||||||||
|
QBE Insurance Group
Ltd.(a)
|
||||||||||||||
| 225,000 | 9.750 | 03/14/14 | 261,775 | |||||||||||
|
Transatlantic Holdings, Inc.
|
||||||||||||||
| 225,000 | 8.000 | 11/30/39 | 244,657 | |||||||||||
|
ZFS Finance USA
Trust IV(a)(b)(c)
|
||||||||||||||
| 675,000 | 5.875 | 05/09/32 | 681,386 | |||||||||||
| 1,438,661 | ||||||||||||||
|
Real
Estate Investment Trusts – 2.1%
|
||||||||||||||
|
Brandywine Operating Partnership
LP(b)
|
||||||||||||||
| 325,000 | 4.950 | 04/15/18 | 329,486 | |||||||||||
|
Developers Diversified Realty Corp.
|
||||||||||||||
| 375,000 | 7.500 | 04/01/17 | 424,688 | |||||||||||
|
Duke Realty LP
|
||||||||||||||
| 350,000 | 5.950 | 02/15/17 | 382,899 | |||||||||||
|
HCP, Inc.
|
||||||||||||||
| 275,000 | 6.000 | 01/30/17 | 302,158 | |||||||||||
| 250,000 | 5.375 | (b) | 02/01/21 | 256,711 | ||||||||||
|
Healthcare Realty Trust, Inc.
|
||||||||||||||
| 350,000 | 5.750 | 01/15/21 | 357,502 | |||||||||||
|
Kilroy Realty LP
|
||||||||||||||
| 275,000 | 5.000 | 11/03/15 | 287,290 | |||||||||||
|
ProLogis LP
|
||||||||||||||
| 100,000 | 2.250 | 04/01/37 | 99,625 | |||||||||||
| 175,000 | 1.875 | (b) | 11/15/37 | 172,375 | ||||||||||
|
Simon Property Group LP
|
||||||||||||||
| 350,000 | 10.350 | 04/01/19 | 482,448 | |||||||||||
|
WEA Finance
LLC(a)
|
||||||||||||||
| 125,000 | 7.500 | 06/02/14 | 144,079 | |||||||||||
| 3,239,261 | ||||||||||||||
GOLDMAN SACHS
VARIABLE INSURANCE TRUST CORE FIXED INCOME FUND
|
Principal |
Interest |
Maturity |
||||||||||||
| Amount | Rate | Date | Value | |||||||||||
|
Corporate
Obligations – (continued)
|
||||||||||||||
|
Retailers –
0.2%
|
||||||||||||||
|
Macy’s Retail Holdings, Inc.
|
||||||||||||||
| $ | 250,000 | 7.450 | % | 07/15/17 | $ | 297,500 | ||||||||
|
Tobacco –
0.1%
|
||||||||||||||
|
Altria Group, Inc.
|
||||||||||||||
| 175,000 | 9.700 | 11/10/18 | 230,059 | |||||||||||
|
Transportation –
0.3%
|
||||||||||||||
|
Transnet
Ltd.(a)
|
||||||||||||||
| 400,000 | 4.500 | 02/10/16 | 412,835 | |||||||||||
|
Wirelines
Telecommunications – 0.7%
|
||||||||||||||
|
AT&T, Inc.
|
||||||||||||||
| 625,000 | 2.950 | 05/15/16 | 632,449 | |||||||||||
|
Qwest Communications International,
Inc.(b)
|
||||||||||||||
| 325,000 | 8.000 | 10/01/15 | 352,300 | |||||||||||
|
Qwest Corp.
|
||||||||||||||
| 150,000 | 8.375 | 05/01/16 | 176,219 | |||||||||||
| 1,160,968 | ||||||||||||||
|
TOTAL
CORPORATE OBLIGATIONS
|
||||||||||||||
|
(Cost
$33,591,229)
|
$ | 34,990,901 | ||||||||||||
|
Mortgage-Backed
Obligations – 58.3%
|
||||||||||||||
|
Adjustable
Rate
Non-Agency(c) –
2.9%
|
||||||||||||||
|
Bear Stearns Adjustable Rate Mortgage
Trust Series 2004-1,
Class 21A1
|
||||||||||||||
| $ | 27,716 | 2.475 | % | 04/25/34 | $ | 24,346 | ||||||||
|
Countrywide Alternative Loan
Trust Series 2005-38,
Class A1
|
||||||||||||||
| 270,220 | 1.778 | 09/25/35 | 170,292 | |||||||||||
|
Countrywide Home Loan Mortgage Pass-Through Trust
Series 2003-52,
Class A1
|
||||||||||||||
| 104,902 | 2.831 | 02/19/34 | 93,677 | |||||||||||
|
Countrywide Home Loan Mortgage Pass-Through Trust
Series 2004-HYB6,
Class A2
|
||||||||||||||
| 20,515 | 3.067 | 11/20/34 | 17,163 | |||||||||||
|
Indymac Index Mortgage Loan
Trust Series 2005-AR15,
Class A1
|
||||||||||||||
| 484,042 | 4.970 | 09/25/35 | 408,254 | |||||||||||
|
Indymac Index Mortgage Loan
Trust Series 2006-AR4,
Class A1A
|
||||||||||||||
| 999,856 | 0.396 | 05/25/46 | 594,186 | |||||||||||
|
J.P. Morgan Mortgage
Trust Series 2007-A1,
Class 2A2
|
||||||||||||||
| 356,201 | 3.078 | 07/25/35 | 314,944 | |||||||||||
|
Lehman XS
Trust Series 2005-7N,
Class 1A1A
|
||||||||||||||
| 396,211 | 0.456 | 12/25/35 | 262,585 | |||||||||||
|
Master Adjustable Rate Mortgages
Trust Series 2006-OA2,
Class 4A1A
|
||||||||||||||
| 661,448 | 1.128 | 12/25/46 | 233,299 | |||||||||||
|
Structured Adjustable Rate Mortgage Loan
Trust Series 2004-12,
Class 3A2
|
||||||||||||||
| 23,091 | 2.561 | 09/25/34 | 19,890 | |||||||||||
|
Structured Adjustable Rate Mortgage Loan
Trust Series 2004-5,
Class 3A1
|
||||||||||||||
| 50,158 | 2.542 | 05/25/34 | 44,412 | |||||||||||
|
Thornburg Mortgage Securities
Trust Series 2006-4,
Class A2B
|
||||||||||||||
| 1,335,079 | 0.314 | 07/25/36 | 1,332,748 | |||||||||||
|
Washington Mutual Mortgage Pass-Through Certificates
Series 2004-AR3,
Class A2
|
||||||||||||||
| 28,750 | 2.577 | 06/25/34 | 27,142 | |||||||||||
|
Washington Mutual Mortgage Pass-Through Certificates
Series 2007-OA2,
Class 1A
|
||||||||||||||
| 618,842 | 0.978 | 03/25/47 | 392,135 | |||||||||||
|
Wells Fargo Mortgage Backed Securities Trust
Series 2006-AR10,
Class 5A3
|
||||||||||||||
| 812,249 | 3.149 | 07/25/36 | 640,281 | |||||||||||
| 4,575,354 | ||||||||||||||
|
Collateralized
Mortgage Obligations – 15.0%
|
||||||||||||||
|
Agency
Multi-Family – 2.8%
|
||||||||||||||
|
FNMA
|
||||||||||||||
| 398,126 | 2.800 | 03/01/18 | 392,604 | |||||||||||
| 1,098,899 | 3.740 | 05/01/18 | 1,139,120 | |||||||||||
| 320,000 | 3.840 | 05/01/18 | 330,294 | |||||||||||
| 800,000 | 4.506 | 06/01/19 | 845,718 | |||||||||||
| 199,267 | 3.416 | 10/01/20 | 195,531 | |||||||||||
| 298,869 | 3.375 | 11/01/20 | 292,209 | |||||||||||
| 199,290 | 3.632 | 12/01/20 | 197,970 | |||||||||||
| 994,949 | 3.763 | 12/01/20 | 998,258 | |||||||||||
|
GNMA
|
||||||||||||||
| 193,941 | 3.950 | 07/15/25 | 200,263 | |||||||||||
| 4,591,967 | ||||||||||||||
|
Covered
Bonds(a) –
8.0%
|
||||||||||||||
|
Bank of Scotland PLC
|
||||||||||||||
| 300,000 | 5.250 | 02/21/17 | 320,781 | |||||||||||
|
Companhia de Financement Foncier
|
||||||||||||||
| 1,900,000 | 2.125 | 04/22/13 | 1,928,337 | |||||||||||
|
DnB NOR Boligkreditt
|
||||||||||||||
| 1,300,000 | 2.100 | 10/14/15 | 1,284,781 | |||||||||||
| 1,100,000 | 2.900 | 03/29/16 | 1,119,642 | |||||||||||
|
ING Bank NV
|
||||||||||||||
| 800,000 | 2.500 | 01/14/16 | 785,959 | |||||||||||
|
Nordea Eiendomskreditt AS
|
||||||||||||||
| 800,000 | 1.875 | 04/07/14 | 808,105 | |||||||||||
|
Sparebank 1 Boligkreditt AS
|
||||||||||||||
| 1,400,000 | 1.250 | 10/25/13 | 1,398,568 | |||||||||||
| 1,200,000 | 2.625 | 05/27/16 | 1,201,519 | |||||||||||
|
Stadshypotek AB
|
||||||||||||||
| 450,000 | 1.450 | 09/30/13 | 452,934 | |||||||||||
|
Swedbank Hypotek
AB(c)
|
||||||||||||||
| 300,000 | 0.696 | 03/28/14 | 301,654 | |||||||||||
|
The Bank of Nova Scotia
|
||||||||||||||
| 2,000,000 | 1.450 | 07/26/13 | 2,022,960 | |||||||||||
|
The Canadian Imperial Bank of Commerce
|
||||||||||||||
| 500,000 | 2.000 | 02/04/13 | 509,386 | |||||||||||
| 400,000 | 2.750 | 01/27/16 | 409,260 | |||||||||||
| 12,543,886 | ||||||||||||||
|
Interest
Only(c)(d)(e) –
0.0%
|
||||||||||||||
|
FNMA REMIC
Series 2004-71,
Class DI
|
||||||||||||||
| 301,246 | 0.000 | 04/25/34 | 3,756 | |||||||||||
GOLDMAN SACHS
VARIABLE INSURANCE TRUST CORE FIXED INCOME FUND
Schedule of
Investments (continued)
June 30,
2011 (Unaudited)
|
Principal |
Interest |
Maturity |
||||||||||||
| Amount | Rate | Date | Value | |||||||||||
|
Mortgage-Backed
Obligations – (continued)
|
||||||||||||||
|
Planned
Amortization Class – 1.0%
|
||||||||||||||
|
FNMA REMIC
Series 2003-92,
Class PD
|
||||||||||||||
| $ | 1,590,707 | 4.500 | % | 03/25/17 | $ | 1,626,873 | ||||||||
|
Regular
Floater(c) –
2.9%
|
||||||||||||||
|
Arkle Master Issuer PLC
Series 2010-2A,
Class 1A1(a)
|
||||||||||||||
| 800,000 | 1.661 | 05/17/60 | 800,517 | |||||||||||
|
Arran Residential Mortgages Funding PLC
Series 2011-1A,
Class A1B(a)
|
||||||||||||||
| 400,000 | 2.624 | 11/19/47 | 579,819 | |||||||||||
|
FHLMC REMIC
Series 2005-3038,
Class XA(d)
|
||||||||||||||
| 7,787 | 0.000 | 09/15/35 | 7,730 | |||||||||||
|
Fosse Master Issuer PLC
Series 2011-1A,
Class A2(a)
|
||||||||||||||
| 750,000 | 1.619 | 10/18/54 | 748,975 | |||||||||||
|
Holmes Master Issuer PLC
Series 2010-1A,
Class A2(a)
|
||||||||||||||
| 300,000 | 1.678 | 10/15/54 | 300,515 | |||||||||||
|
Permanent Master Issuer PLC
Series 2011-1A,
Class 1A3(a)
|
||||||||||||||
| 900,000 | 2.617 | 07/15/42 | 1,303,843 | |||||||||||
|
Silverstone Master Issuer PLC
Series 2010-1A,
Class A1(a)
|
||||||||||||||
| 800,000 | 1.674 | 01/21/55 | 799,998 | |||||||||||
| 4,541,397 | ||||||||||||||
|
Sequential
Fixed Rate – 0.3%
|
||||||||||||||
|
National Credit Union Administration Guaranteed Notes
|
||||||||||||||
| 500,000 | 3.000 | 06/12/19 | 494,250 | |||||||||||
|
TOTAL
COLLATERALIZED MORTGAGE OBLIGATIONS
|
23,802,129 | |||||||||||||
|
Commercial
Mortgage-Backed Securities – 5.6%
|
||||||||||||||
|
Adjustable
Rate
Non-Agency(c) –
0.8%
|
||||||||||||||
|
Wachovia Bank Commercial Mortgage
Trust Series 2006-C25,
Class A5
|
||||||||||||||
| $ | 1,200,000 | 5.860 | % | 05/15/43 | $ | 1,316,851 | ||||||||
|
Sequential
Fixed Rate – 4.3%
|
||||||||||||||
|
CWCapital Cobalt Ltd.
Series 2006-C1,
Class A4
|
||||||||||||||
| 1,052,000 | 5.223 | 08/15/48 | 1,121,866 | |||||||||||
|
GE Capital Commercial Mortgage Corp.
Series 2002-1A,
Class A3
|
||||||||||||||
| 2,385,371 | 6.269 | 12/10/35 | 2,435,575 | |||||||||||
|
LB-UBS Commercial Mortgage
Trust Series 2007-C1,
Class A4
|
||||||||||||||
| 400,000 | 5.424 | 02/15/40 | 430,749 | |||||||||||
|
Morgan Stanley Dean Witter Capital I
Series 2003-TOP9,
Class A2
|
||||||||||||||
| 2,681,024 | 4.740 | 11/13/36 | 2,772,320 | |||||||||||
| 6,760,510 | ||||||||||||||
|
Sequential
Floating
Rate(c) –
0.5%
|
||||||||||||||
|
LB-UBS Commercial Mortgage
Trust Series 2007-C7,
Class A3
|
||||||||||||||
| 800,000 | 5.866 | 09/15/45 | 869,998 | |||||||||||
|
TOTAL
COMMERCIAL MORTGAGE-BACKED SECURITIES
|
8,947,359 | |||||||||||||
|
Federal
Agencies – 34.8%
|
||||||||||||||
|
Adjustable
Rate
FHLMC(c) –
1.7%
|
||||||||||||||
| $ | 1,686,681 | 2.591 | % | 09/01/35 | $ | 1,775,115 | ||||||||
| 778,217 | 4.775 | 10/01/35 | 829,774 | |||||||||||
| 2,604,889 | ||||||||||||||
|
Adjustable
Rate
FNMA(c) –
1.6%
|
||||||||||||||
| 590,073 | 2.077 | 05/01/33 | 614,351 | |||||||||||
| 848,364 | 2.457 | 05/01/35 | 888,626 | |||||||||||
| 1,002,245 | 2.786 | 09/01/35 | 1,058,982 | |||||||||||
| 2,561,959 | ||||||||||||||
|
FHLMC –
2.9%
|
||||||||||||||
| 1,736 | 7.000 | 11/01/11 | 1,761 | |||||||||||
| 996 | 7.000 | 12/01/11 | 1,010 | |||||||||||
| 28,621 | 7.500 | 06/01/15 | 31,355 | |||||||||||
| 56,267 | 7.000 | 07/01/16 | 60,334 | |||||||||||
| 551,809 | 5.500 | 02/01/18 | 598,756 | |||||||||||
| 43,051 | 5.500 | 04/01/18 | 46,714 | |||||||||||
| 16,103 | 4.500 | 09/01/18 | 17,176 | |||||||||||
| 78,230 | 5.500 | 09/01/18 | 84,885 | |||||||||||
| 8,723 | 9.500 | 08/01/19 | 9,766 | |||||||||||
| 663 | 9.500 | 08/01/20 | 744 | |||||||||||
| 142,032 | 6.500 | 10/01/20 | 160,157 | |||||||||||
| 31,738 | 4.500 | 07/01/24 | 33,912 | |||||||||||
| 180,833 | 4.500 | 11/01/24 | 193,336 | |||||||||||
| 41,428 | 4.500 | 12/01/24 | 44,293 | |||||||||||
| 59,942 | 6.000 | 03/01/29 | 66,605 | |||||||||||
| 680 | 6.000 | 04/01/29 | 756 | |||||||||||
| 38,125 | 7.500 | 12/01/29 | 42,978 | |||||||||||
| 354,451 | 7.000 | 05/01/32 | 400,091 | |||||||||||
| 1,126 | 6.000 | 08/01/32 | 1,247 | |||||||||||
| 194,945 | 7.000 | 12/01/32 | 220,046 | |||||||||||
| 36,498 | 5.000 | 12/01/35 | 38,893 | |||||||||||
| 40,677 | 6.000 | 09/01/37 | 45,117 | |||||||||||
| 66,568 | 6.000 | 02/01/38 | 73,844 | |||||||||||
| 162,792 | 6.000 | 07/01/38 | 180,785 | |||||||||||
| 47,728 | 6.000 | 10/01/38 | 53,041 | |||||||||||
| 877,482 | 4.500 | 09/01/39 | 914,398 | |||||||||||
| 89,223 | 4.500 | 10/01/39 | 92,976 | |||||||||||
| 790,456 | 5.500 | 01/01/40 | 854,078 | |||||||||||
| 297,046 | 4.000 | 12/01/40 | 297,267 | |||||||||||
| 4,566,321 | ||||||||||||||
|
FNMA –
23.0%
|
||||||||||||||
| 7,533 | 6.000 | 08/01/13 | 8,198 | |||||||||||
| 77,839 | 7.500 | 08/01/15 | 85,025 | |||||||||||
| 35,936 | 6.000 | 04/01/16 | 39,202 | |||||||||||
| 67,377 | 6.500 | 05/01/16 | 73,474 | |||||||||||
| 99,686 | 6.500 | 09/01/16 | 108,706 | |||||||||||
| 126,841 | 6.500 | 11/01/16 | 138,318 | |||||||||||
| 33,527 | 7.500 | 04/01/17 | 35,857 | |||||||||||
| 480,380 | 5.500 | 02/01/18 | 520,574 | |||||||||||
| 471,895 | 5.000 | 05/01/18 | 506,310 | |||||||||||
| 41,868 | 6.500 | 08/01/18 | 47,438 | |||||||||||
| 200,383 | 7.000 | 08/01/18 | 228,750 | |||||||||||
| 7,745 | 5.000 | 06/01/23 | 8,310 | |||||||||||
| 573,604 | 5.500 | 09/01/23 | 622,475 | |||||||||||
| 116,666 | 5.500 | 10/01/23 | 126,993 | |||||||||||
| 25,083 | 4.500 | 07/01/24 | 26,867 | |||||||||||
| 404,216 | 4.500 | 11/01/24 | 432,954 | |||||||||||
| 144,125 | 4.500 | 12/01/24 | 154,372 | |||||||||||
| 287 | 7.000 | 07/01/25 | 328 | |||||||||||
| 6,358 | 7.000 | 11/01/25 | 7,256 | |||||||||||
GOLDMAN SACHS
VARIABLE INSURANCE TRUST CORE FIXED INCOME FUND
|
Principal |
Interest |
Maturity |
||||||||||||
| Amount | Rate | Date | Value | |||||||||||
|
Mortgage-Backed
Obligations – (continued)
|
||||||||||||||
|
FNMA –
(continued)
|
||||||||||||||
| $ | 40,505 | 9.000 | % | 11/01/25 | $ | 47,873 | ||||||||
| 182,952 | 7.000 | 08/01/26 | 211,006 | |||||||||||
| 1,807 | 7.000 | 08/01/27 | 2,062 | |||||||||||
| 11,268 | 7.000 | 09/01/27 | 12,862 | |||||||||||
| 56,086 | 6.000 | 12/01/27 | 61,666 | |||||||||||
| 455 | 7.000 | 01/01/28 | 520 | |||||||||||
| 331,592 | 6.000 | 02/01/29 | 367,135 | |||||||||||
| 304,362 | 6.000 | 06/01/29 | 336,964 | |||||||||||
| 60,502 | 8.000 | 10/01/29 | 71,086 | |||||||||||
| 21,349 | 7.000 | 12/01/29 | 24,361 | |||||||||||
| 1,535 | 8.500 | 04/01/30 | 1,814 | |||||||||||
| 7,626 | 8.000 | 05/01/30 | 8,689 | |||||||||||
| 419 | 8.500 | 06/01/30 | 496 | |||||||||||
| 23,870 | 7.000 | 05/01/32 | 27,190 | |||||||||||
| 182,861 | 7.000 | 06/01/32 | 207,952 | |||||||||||
| 241,035 | 7.000 | 08/01/32 | 274,109 | |||||||||||
| 48,769 | 8.000 | 08/01/32 | 57,498 | |||||||||||
| 21,667 | 5.000 | 08/01/33 | 23,134 | |||||||||||
| 3,075 | 5.500 | 09/01/33 | 3,344 | |||||||||||
| 4,180 | 5.500 | 02/01/34 | 4,546 | |||||||||||
| 664 | 5.500 | 04/01/34 | 722 | |||||||||||
| 39,718 | 5.500 | 12/01/34 | 43,178 | |||||||||||
| 85,137 | 5.000 | 04/01/35 | 90,811 | |||||||||||
| 250,076 | 6.000 | 04/01/35 | 276,464 | |||||||||||
| 12,340 | 5.000 | 09/01/35 | 13,169 | |||||||||||
| 5,316 | 5.500 | 09/01/35 | 5,775 | |||||||||||
| 578 | 5.500 | 02/01/37 | 628 | |||||||||||
| 943 | 5.500 | 04/01/37 | 1,025 | |||||||||||
| 969 | 5.500 | 05/01/37 | 1,053 | |||||||||||
| 88,364 | 6.000 | 12/01/37 | 98,084 | |||||||||||
| 1,420 | 5.500 | 03/01/38 | 1,544 | |||||||||||
| 41,793 | 6.000 | 05/01/38 | 46,463 | |||||||||||
| 993 | 5.500 | 06/01/38 | 1,079 | |||||||||||
| 37,604 | 6.000 | 06/01/38 | 41,806 | |||||||||||
| 1,406 | 5.500 | 07/01/38 | 1,528 | |||||||||||
| 92,213 | 6.000 | 07/01/38 | 102,529 | |||||||||||
| 1,582 | 5.500 | 08/01/38 | 1,719 | |||||||||||
| 36,825 | 6.000 | 08/01/38 | 40,944 | |||||||||||
| 904 | 5.500 | 09/01/38 | 983 | |||||||||||
| 19,910 | 5.500 | 10/01/38 | 21,639 | |||||||||||
| 47,011 | 6.000 | 10/01/38 | 52,270 | |||||||||||
| 50,883 | 6.000 | 11/01/38 | 56,575 | |||||||||||
| 553 | 5.500 | 12/01/38 | 601 | |||||||||||
| 378,300 | 5.000 | 01/01/39 | 403,746 | |||||||||||
| 67,503 | 4.500 | 08/01/39 | 70,282 | |||||||||||
| 199,414 | 4.500 | 12/01/39 | 207,960 | |||||||||||
| 49,746 | 4.500 | 01/01/40 | 51,864 | |||||||||||
| 93,526 | 3.500 | 12/01/40 | 89,617 | |||||||||||
| 7,886,727 | 3.500 | 02/01/41 | 7,556,942 | |||||||||||
| 996,747 | 3.500 | 03/01/41 | 955,084 | |||||||||||
| 6,000,000 | 3.500 | TBA-15yr | (f) | 6,108,750 | ||||||||||
| 9,000,000 | 4.000 | TBA-30yr | (f) | 9,000,000 | ||||||||||
| 3,000,000 | 4.500 | TBA-30yr | (f) | 3,103,828 | ||||||||||
| 2,000,000 | 5.000 | TBA-30yr | (f) | 2,124,688 | ||||||||||
| 1,000,000 | 6.000 | TBA-30yr | (f) | 1,098,906 | ||||||||||
| 36,587,970 | ||||||||||||||
|
GNMA –
5.6%
|
||||||||||||||
| 1,521 | 7.000 | 03/15/12 | 1,527 | |||||||||||
| 11,405 | 7.000 | 10/15/25 | 13,231 | |||||||||||
| 15,772 | 7.000 | 11/15/25 | 18,296 | |||||||||||
| 2,895 | 7.000 | 02/15/26 | 3,365 | |||||||||||
| 11,418 | 7.000 | 04/15/26 | 13,268 | |||||||||||
| 6,658 | 7.000 | 03/15/27 | 7,604 | |||||||||||
| 107,320 | 7.000 | 11/15/27 | 122,570 | |||||||||||
| 5,239 | 7.000 | 01/15/28 | 5,986 | |||||||||||
| 40,417 | 7.000 | 02/15/28 | 46,183 | |||||||||||
| 15,444 | 7.000 | 03/15/28 | 17,647 | |||||||||||
| 4,091 | 7.000 | 04/15/28 | 4,675 | |||||||||||
| 644 | 7.000 | 05/15/28 | 736 | |||||||||||
| 10,637 | 7.000 | 06/15/28 | 12,154 | |||||||||||
| 22,878 | 7.000 | 07/15/28 | 26,141 | |||||||||||
| 15,154 | 7.000 | 08/15/28 | 17,315 | |||||||||||
| 38,097 | 7.000 | 09/15/28 | 43,531 | |||||||||||
| 4,356 | 7.000 | 11/15/28 | 4,978 | |||||||||||
| 5,135 | 7.500 | 11/15/30 | 5,972 | |||||||||||
| 627 | 7.000 | 12/15/31 | 716 | |||||||||||
| 25,869 | 7.500 | 10/15/32 | 30,587 | |||||||||||
| 665,412 | 6.000 | 08/20/34 | 740,301 | |||||||||||
| 332,386 | 3.500 | 11/15/40 | 323,331 | |||||||||||
| 2,000,000 | 4.500 | TBA-30yr | (f) | 2,110,781 | ||||||||||
| 3,000,000 | 5.000 | TBA-30yr | (f) | 3,249,375 | ||||||||||
| 2,000,000 | 4.500 | TBA-30yr | (f) | 2,104,219 | ||||||||||
| 8,924,489 | ||||||||||||||
|
TOTAL
FEDERAL AGENCIES
|
$ | 55,245,628 | ||||||||||||
|
TOTAL
MORTGAGE-BACKED OBLIGATIONS
|
||||||||||||||
|
(Cost
$92,803,684)
|
$ | 92,570,470 | ||||||||||||
|
Agency
Debenture – 0.6%
|
||||||||||||||
|
Tennessee Valley
Authority(g)
|
||||||||||||||
| $ | 900,000 | 5.375 | % | 04/01/56 | $ | 966,449 | ||||||||
|
(Cost
$895,011)
|
||||||||||||||
|
Asset-Backed
Securities – 2.5%
|
||||||||||||||
|
Home
Equity – 0.2%
|
||||||||||||||
|
GMAC Mortgage Corp. Loan
Trust Series 2007-HE3,
Class 1A1
|
||||||||||||||
| $ | 152,202 | 7.000 | % | 09/25/37 | $ | 110,346 | ||||||||
|
GMAC Mortgage Corp. Loan
Trust Series 2007-HE3,
Class 2A1
|
||||||||||||||
| 195,541 | 7.000 | (b) | 09/25/37 | 136,683 | ||||||||||
| 247,029 | ||||||||||||||
|
Student
Loans(c) –
2.3%
|
||||||||||||||
|
Brazos Higher Education Authority
Series 2011-1,
Class A2
|
||||||||||||||
| 1,000,000 | 1.057 | 02/25/30 | 987,043 | |||||||||||
|
Brazos Higher Education Authority
Series 2011-2,
Class A2
|
||||||||||||||
| 800,000 | 1.097 | 07/25/29 | 791,995 | |||||||||||
|
College Loan Corp.
Trust Series 2006-1,
Class A3
|
||||||||||||||
| 1,000,000 | 0.364 | 10/25/25 | 991,061 | |||||||||||
|
Goal Capital Funding
Trust Series 2010-1,
Class A(a)
|
||||||||||||||
| 276,142 | 0.957 | 08/25/48 | 273,014 | |||||||||||
GOLDMAN SACHS
VARIABLE INSURANCE TRUST CORE FIXED INCOME FUND
Schedule of
Investments (continued)
June 30,
2011 (Unaudited)
|
Principal |
Interest |
Maturity |
||||||||||||
| Amount | Rate | Date | Value | |||||||||||
|
Asset-Backed
Securities – (continued)
|
||||||||||||||
|
Student
Loans(c) –
(continued)
|
||||||||||||||
|
Knowledgeworks Foundation
Series 2010-1,
Class A
|
||||||||||||||
| $ | 282,535 | 1.207 | % | 02/25/42 | $ | 278,682 | ||||||||
|
Nelnet Student Loan
Trust Series 2010-3A,
Class A(a)
|
||||||||||||||
| 364,218 | 1.054 | 07/27/48 | 364,564 | |||||||||||
| 3,686,359 | ||||||||||||||
|
TOTAL
ASSET-BACKED SECURITIES
|
||||||||||||||
|
(Cost
$4,029,099)
|
$ | 3,933,388 | ||||||||||||
|
Foreign Debt
Obligations – 8.0%
|
||||||||||||||
|
Sovereign –
7.6%
|
||||||||||||||
|
Bank Negara Malaysia Monetary
Notes(h)
|
||||||||||||||
| MYR | 2,450,000 | 0.000 | % | 09/22/11 | $ | 805,673 | ||||||||
| 2,450,000 | 0.000 | 09/27/11 | 805,307 | |||||||||||
|
Federal Republic of Brazil
|
||||||||||||||
| $ | 220,000 | 8.250 | 01/20/34 | 302,500 | ||||||||||
| 200,000 | 7.125 | 01/20/37 | 247,000 | |||||||||||
|
Malaysia Government Bond
|
||||||||||||||
| MYR | 1,220,000 | 3.434 | 08/15/14 | 406,303 | ||||||||||
|
State of Qatar
|
||||||||||||||
| $ | 260,000 | 5.150 | 04/09/14 | 282,360 | ||||||||||
| 330,000 | 5.250 | (a) | 01/20/20 | 352,110 | ||||||||||
|
United Kingdom Gilt
|
||||||||||||||
| GBP | 4,200,000 | 4.500 | 03/07/13 | 7,155,079 | ||||||||||
| 1,000,000 | 2.750 | 01/22/15 | 1,665,216 | |||||||||||
| 12,021,548 | ||||||||||||||
|
Supranational –
0.4%
|
||||||||||||||
|
North American Development Bank
|
||||||||||||||
| $ | 600,000 | 4.375 | 02/11/20 | 620,296 | ||||||||||
|
TOTAL
FOREIGN DEBT OBLIGATIONS
|
||||||||||||||
|
(Cost
$12,361,222)
|
$ | 12,641,844 | ||||||||||||
|
Municipal Debt
Obligations – 2.3%
|
||||||||||||||
|
California –
1.1%
|
||||||||||||||
|
California State Various Purpose GO Bonds Series 2009
|
||||||||||||||
| $ | 325,000 | 7.500 | % | 04/01/34 | $ | 367,575 | ||||||||
| 450,000 | 7.550 | 04/01/39 | 514,962 | |||||||||||
|
California State Various Purpose GO Bonds Series 2010
|
||||||||||||||
| 140,000 | 7.950 | 03/01/36 | 152,535 | |||||||||||
| 575,000 | 7.625 | 03/01/40 | 661,946 | |||||||||||
| 1,697,018 | ||||||||||||||
|
Illinois –
0.2%
|
||||||||||||||
|
Illinois State GO Bonds for Build American Bonds
Series 2010-5
|
||||||||||||||
| 275,000 | 7.350 | 07/01/35 | 292,386 | |||||||||||
|
Missouri –
0.5%
|
||||||||||||||
|
Missouri Higher Education Loan Authority RB Asset-Backed
Notes Series 2010
A-1(c)(i)
|
||||||||||||||
| 847,031 | 1.207 | 08/25/11 | 849,043 | |||||||||||
|
New
York – 0.3%
|
||||||||||||||
|
Rensselaer Polytechnic Institute Taxable Bonds Series 2010
|
||||||||||||||
| 475,000 | 5.600 | 09/01/20 | 506,844 | |||||||||||
|
Ohio –
0.1%
|
||||||||||||||
|
American Municipal Power, Inc. RB Build America Bond
Series 2010 E RMKT
|
||||||||||||||
| 250,000 | 6.270 | 02/15/50 | 250,398 | |||||||||||
|
Texas –
0.1%
|
||||||||||||||
|
Dallas Area Rapid Transit Sales Tax RB Senior Lien
Series 2008 B2
|
||||||||||||||
| 100,000 | 5.250 | 12/01/48 | 102,708 | |||||||||||
|
TOTAL
MUNICIPAL DEBT OBLIGATIONS
|
||||||||||||||
|
(Cost
$3,478,234)
|
$ | 3,698,397 | ||||||||||||
|
Government
Guarantee
Obligations(j) –
4.8%
|
||||||||||||||
|
Achmea Hypotheekbank
NV(a)
|
||||||||||||||
| $ | 1,300,000 | 3.200 | % | 11/03/14 | $ | 1,364,483 | ||||||||
|
BRFkredit
AS(a)
|
||||||||||||||
| 1,700,000 | 2.050 | 04/15/13 | 1,736,004 | |||||||||||
|
Commonwealth Bank of
Australia(a)
|
||||||||||||||
| 700,000 | 2.500 | 12/10/12 | 717,823 | |||||||||||
|
FIH Erhvervsbank
A/S(a)
|
||||||||||||||
| 1,400,000 | 1.750 | 12/06/12 | 1,422,974 | |||||||||||
|
Landwirtschaftliche Rentenbank
|
||||||||||||||
| 1,400,000 | 4.125 | 07/15/13 | 1,495,061 | |||||||||||
| 400,000 | 2.125 | 07/15/16 | 400,091 | |||||||||||
|
Swedbank
AB(a)
|
||||||||||||||
| 200,000 | 2.900 | 01/14/13 | 206,944 | |||||||||||
|
Westpac Securities NZ
Ltd.(a)
|
||||||||||||||
| 200,000 | 2.500 | 05/25/12 | 203,231 | |||||||||||
|
TOTAL
GOVERNMENT GUARANTEE OBLIGATIONS
|
||||||||||||||
|
(Cost
$7,346,321)
|
$ | 7,546,611 | ||||||||||||
|
U.S. Treasury
Obligations – 4.0%
|
||||||||||||||
|
United States Treasury Bonds
|
||||||||||||||
| $ | 1,200,000 | 4.250 | % | 11/15/40 | $ | 1,173,132 | ||||||||
|
United States Treasury Inflation-Protected Securities
|
||||||||||||||
| 669,150 | 2.375 | 01/15/27 | 763,039 | |||||||||||
|
United States Treasury Notes
|
||||||||||||||
| 2,300,000 | 1.500 | 06/30/16 | 2,271,871 | |||||||||||
| 2,200,000 | 3.125 | 05/15/21 | 2,193,818 | |||||||||||
|
TOTAL
U.S. TREASURY OBLIGATIONS
|
||||||||||||||
|
(Cost
$6,356,177)
|
$ | 6,401,860 | ||||||||||||
GOLDMAN SACHS
VARIABLE INSURANCE TRUST CORE FIXED INCOME FUND
| Shares | Rate | Value | ||||||||
|
Short-term
Investment(c) –
15.2%
|
||||||||||
|
JPMorgan U.S. Government Money Market Fund – Capital
Shares
|
||||||||||
| 24,126,683 | 0.010 | % | $ | 24,126,683 | ||||||
|
(Cost
$24,126,683)
|
||||||||||
|
TOTAL
INVESTMENTS – 117.7%
|
||||||||||
|
(Cost
$184,987,660)
|
$ | 186,876,603 | ||||||||
|
LIABILITIES
IN EXCESS OF OTHER ASSETS – (17.7)%
|
(28,061,818 | ) | ||||||||
|
NET
ASSETS – 100.0%
|
$ | 158,814,785 | ||||||||
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 31,657,480, which represents approximately 19.9% of net assets as of June 30, 2011. | |
| (b) | Securities 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 June 30, 2011. | |
| (d) | Issued with a zero coupon. Interest rate is contingent upon LIBOR reaching a predetermined level. | |
| (e) | Security with notional or nominal principal amount. The actual effective yield of this security is different than the stated interest rate. | |
| (f) | 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 $28,900,547 which represents approximately 18.2% of net assets as of June 30, 2011. | |
| (g) | All or a portion of this security is segregated as collateral for initial margin requirements or futures transactions. | |
| (h) | Issued with zero coupon. Income is recognized through the accretion of discount. | |
| (i) | Maturity date disclosed is the next interest reset date. | |
| (j) | Guaranteed by a foreign government under maturity. |
|
Investment
Abbreviations:
|
||||
|
FHLMC
|
— | Federal Home Loan Mortgage Corp. | ||
|
FNMA
|
— | Federal National Mortgage Association | ||
|
GNMA
|
— | Government National Mortgage Association | ||
|
GO
|
— | General Obligation | ||
|
LIBOR
|
— | London Interbank Offered Rate | ||
|
RB
|
— | Revenue Bond | ||
|
REMIC
|
— | Real Estate Mortgage Investment Conduit | ||
|
RMKT
|
— | Remarketed | ||
|
Currency
Abbreviations:
|
||||
|
AUD
|
— | Australian Dollar | ||
|
CAD
|
— | Canadian Dollar | ||
|
CHF
|
— | Swiss Franc | ||
|
EUR
|
— | Euro Dollar | ||
|
GBP
|
— | British Pound | ||
|
JPY
|
— | Japanese Yen | ||
|
MYR
|
— | Malaysian Ringgit | ||
|
NOK
|
— | Norwegian Krone | ||
|
NZD
|
— | New Zealand Dollar | ||
|
SEK
|
— | Swedish Krona | ||
|
USD
|
— | United States Dollar | ||
GOLDMAN SACHS
VARIABLE INSURANCE TRUST CORE FIXED INCOME FUND
Schedule of
Investments (continued)
June 30,
2011 (Unaudited)
| ADDITIONAL INVESTMENT INFORMATION |
FORWARD FOREIGN
CURRENCY EXCHANGE CONTRACTS — At
June 30, 2011, the Fund had outstanding forward foreign
currency exchange contracts, both to purchase and sell foreign
currencies:
FORWARD FOREIGN
CURRENCY EXCHANGE CONTRACTS WITH UNREALIZED GAIN
|
Contracts to |
Expiration |
Current |
Unrealized |
|||||||||||
| Counterparty | Buy/Sell | Date | Value | Gain | ||||||||||
|
Barclays Bank PLC
|
USD/JPY | 9/21/11 | $ | 443,252 | $ | 1,872 | ||||||||
|
Citibank NA
|
AUD/USD | 9/21/11 | 415,068 | 2,799 | ||||||||||
| NZD/EUR | 9/21/11 | 216,533 | 2,388 | |||||||||||
| NZD/USD | 9/21/11 | 215,085 | 2,985 | |||||||||||
|
HSBC Bank PLC
|
NOK/USD | 9/21/11 | 366,456 | 3,456 | ||||||||||
|
Royal Bank of Canada
|
CAD/JPY | 9/21/11 | 109,689 | 1,847 | ||||||||||
| CAD/USD | 9/21/11 | 531,457 | 7,530 | |||||||||||
|
Royal Bank of Scotland
|
EUR/CHF | 9/21/11 | 180,866 | 3,462 | ||||||||||
| JPY/GBP | 9/21/11 | 319,576 | 489 | |||||||||||
| SEK/EUR | 9/21/11 | 216,983 | 1,390 | |||||||||||
| USD/CHF | 9/21/11 | 155,341 | 659 | |||||||||||
|
UBS AG
|
CHF/EUR | 9/21/11 | 215,312 | 1,166 | ||||||||||
| EUR/CHF | 9/21/11 | 218,486 | 3,013 | |||||||||||
|
Westpac Banking Corp.
|
AUD/USD | 9/21/11 | 107,243 | 707 | ||||||||||
| NZD/USD | 9/21/11 | 363,297 | 2,812 | |||||||||||
|
TOTAL
|
$ | 36,575 | ||||||||||||
FORWARD FOREIGN
CURRENCY EXCHANGE CONTRACTS WITH UNREALIZED LOSS
|
Contracts to |
Expiration |
Current |
Unrealized |
|||||||||||
| Counterparty | Buy/Sell | Date | Value | Loss | ||||||||||
|
Citibank NA
|
EUR/USD | 9/21/11 | $ | 214,146 | $ | (1,309 | ) | |||||||
| USD/AUD | 9/21/11 | 108,305 | (2,062 | ) | ||||||||||
| USD/EUR | 9/21/11 | 609,157 | (2,158 | ) | ||||||||||
| USD/NZD | 9/21/11 | 220,029 | (5,719 | ) | ||||||||||
|
Deutsche Bank Securities, Inc.
|
USD/EUR | 7/27/11 | 1,976,328 | (28,810 | ) | |||||||||
| USD/GBP | 8/05/11 | 8,862,952 | (33,500 | ) | ||||||||||
|
HSBC Bank PLC
|
USD/SEK | 9/21/11 | 599,237 | (11,507 | ) | |||||||||
|
JPMorgan Chase Bank NA
|
NOK/USD | 9/21/11 | 466,114 | (3,787 | ) | |||||||||
|
Royal Bank of Canada
|
JPY/CAD | 9/21/11 | 106,884 | (1,770 | ) | |||||||||
| USD/CAD | 9/21/11 | 272,380 | (4,380 | ) | ||||||||||
| USD/SEK | 9/21/11 | 109,002 | (2,003 | ) | ||||||||||
|
Royal Bank of Scotland
|
GBP/USD | 9/21/11 | 112,794 | (2,614 | ) | |||||||||
| SEK/USD | 9/21/11 | 376,518 | (10,435 | ) | ||||||||||
| USD/EUR | 9/21/11 | 217,040 | (2,109 | ) | ||||||||||
|
State Street Bank and Trust Co.
|
EUR/CHF | 9/21/11 | 326,844 | (834 | ) | |||||||||
|
UBS AG
|
EUR/USD | 9/21/11 | 245,828 | (2,492 | ) | |||||||||
| USD/AUD | 9/21/11 | 430,033 | (7,327 | ) | ||||||||||
| USD/NOK | 9/21/11 | 354,967 | (10,967 | ) | ||||||||||
|
Westpac Banking Corp.
|
USD/AUD | 9/21/11 | 87,068 | (2,376 | ) | |||||||||
| USD/NZD | 9/21/11 | 498,165 | (6,402 | ) | ||||||||||
|
TOTAL
|
$ | (142,561 | ) | |||||||||||
GOLDMAN SACHS
VARIABLE INSURANCE TRUST CORE FIXED INCOME FUND
| ADDITIONAL INVESTMENT INFORMATION (continued) |
FORWARD SALES
CONTRACTS — At June 30, 2011, the Fund
had the following forward sales contracts:
|
Interest |
Maturity |
Settlement |
Principal |
|||||||||||||||
| Description | Rate | Date(f) | Date | Amount | Value | |||||||||||||
|
FNMA
|
3.500 | % | TBA-30yr | 07/14/11 | $ | (6,000,000 | ) | $ | (5,738,907 | ) | ||||||||
|
FNMA
|
3.500 | TBA-30yr | 08/11/11 | (2,000,000 | ) | (1,907,656 | ) | |||||||||||
|
TOTAL
(Proceeds
Receivable: $7,723,516)
|
$ | (7,646,563 | ) | |||||||||||||||
FUTURES
CONTRACTS — At June 30, 2011, the
following futures contracts were open:
|
Number of |
||||||||||||||
|
Contracts |
Expiration |
Current |
Unrealized |
|||||||||||
| Type | Long (Short) | Date | Value | Gain (Loss) | ||||||||||
|
Eurodollars
|
(7 | ) | March 2012 | $ | (1,741,513 | ) | $ | (12,207 | ) | |||||
|
U.S. Treasury Bonds
|
7 | September 2011 | 861,219 | (637 | ) | |||||||||
|
U.S. Ultra Long Treasury Bonds
|
27 | September 2011 | 3,408,750 | (57,576 | ) | |||||||||
|
2 Year U.S. Treasury Notes
|
54 | September 2011 | 11,844,562 | 21,124 | ||||||||||
|
5 Year U.S. Treasury Notes
|
25 | September 2011 | 2,979,883 | (23,690 | ) | |||||||||
|
10 Year U.S. Treasury Notes
|
62 | September 2011 | 7,584,344 | (44,798 | ) | |||||||||
|
TOTAL
|
$ | (117,784 | ) | |||||||||||
GOLDMAN SACHS
VARIABLE INSURANCE TRUST EQUITY INDEX FUND
Schedule of
Investments
June 30,
2011 (Unaudited)
| Shares | Description | Value | ||||||
|
Common
Stocks – 99.4%
|
||||||||
|
Automobiles
& Components – 0.8%
|
||||||||
| 59,913 | Ford Motor Co.* | $ | 826,200 | |||||
| 3,800 | Harley-Davidson, Inc. | 155,686 | ||||||
| 10,835 | Johnson Controls, Inc. | 451,386 | ||||||
| 3,800 | The Goodyear Tire & Rubber Co.* | 63,726 | ||||||
| 1,496,998 | ||||||||
|
Banks –
2.7%
|
||||||||
| 10,900 | BB&T Corp. | 292,556 | ||||||
| 2,850 | Comerica, Inc. | 98,525 | ||||||
| 14,305 | Fifth Third Bancorp | 182,389 | ||||||
| 4,486 | First Horizon National Corp. | 42,796 | ||||||
| 8,700 | Hudson City Bancorp, Inc. | 71,253 | ||||||
| 12,749 | Huntington Bancshares, Inc. | 83,633 | ||||||
| 14,300 | KeyCorp | 119,119 | ||||||
| 1,916 | M&T Bank Corp. | 168,512 | ||||||
| 8,000 | Marshall & Ilsley Corp. | 63,760 | ||||||
| 6,100 | People’s United Financial, Inc. | 81,984 | ||||||
| 8,257 | PNC Financial Services Group, Inc. | 492,200 | ||||||
| 19,425 | Regions Financial Corp. | 120,435 | ||||||
| 7,900 | SunTrust Banks, Inc. | 203,820 | ||||||
| 30,551 | U.S. Bancorp | 779,356 | ||||||
| 83,967 | Wells Fargo & Co. | 2,356,114 | ||||||
| 2,800 | Zions Bancorporation | 67,228 | ||||||
| 5,223,680 | ||||||||
|
Capital
Goods – 8.6%
|
||||||||
| 11,339 | 3M Co. | 1,075,504 | ||||||
| 10,171 | Caterpillar, Inc. | 1,082,805 | ||||||
| 3,100 | Cummins, Inc. | 320,819 | ||||||
| 8,600 | Danaher Corp. | 455,714 | ||||||
| 6,679 | Deere & Co. | 550,684 | ||||||
| 2,901 | Dover Corp. | 196,688 | ||||||
| 5,400 | Eaton Corp. | 277,830 | ||||||
| 11,996 | Emerson Electric Co. | 674,775 | ||||||
| 4,800 | Fastenal Co. | 172,752 | ||||||
| 900 | Flowserve Corp. | 98,901 | ||||||
| 2,782 | Fluor Corp. | 179,884 | ||||||
| 5,906 | General Dynamics Corp. | 440,115 | ||||||
| 167,747 | General Electric Co. | 3,163,708 | ||||||
| 2,037 | Goodrich Corp. | 194,534 | ||||||
| 12,408 | Honeywell International, Inc. | 739,393 | ||||||
| 7,900 | Illinois Tool Works, Inc. | 446,271 | ||||||
| 5,200 | Ingersoll-Rand PLC | 236,132 | ||||||
| 3,000 | ITT Corp. | 176,790 | ||||||
| 2,100 | Jacobs Engineering Group, Inc.* | 90,825 | ||||||
| 1,700 | Joy Global, Inc. | 161,908 | ||||||
| 1,600 | L-3 Communications Holdings, Inc. | 139,920 | ||||||
| 4,551 | Lockheed Martin Corp. | 368,495 | ||||||
| 5,400 | Masco Corp. | 64,962 | ||||||
| 4,692 | Northrop Grumman Corp. | 325,390 | ||||||
| 5,793 | PACCAR, Inc. | 295,964 | ||||||
| 1,900 | Pall Corp. | 106,837 | ||||||
| 2,548 | Parker Hannifin Corp. | 228,658 | ||||||
| 2,300 | Precision Castparts Corp. | 378,695 | ||||||
| 3,500 | Quanta Services, Inc.* | 70,700 | ||||||
| 5,676 | Raytheon Co. | 282,949 | ||||||
| 2,200 | Rockwell Automation, Inc. | 190,872 | ||||||
| 2,460 | Rockwell Collins, Inc. | 151,757 | ||||||
| 1,500 | Roper Industries, Inc. | 124,950 | ||||||
| 1,003 | Snap-On, Inc. | 62,667 | ||||||
| 2,652 | Stanley Black & Decker, Inc. | 191,077 | ||||||
| 4,500 | Textron, Inc. | 106,245 | ||||||
| 11,667 | The Boeing Co. | 862,541 | ||||||
| 7,500 | Tyco International Ltd. | 370,725 | ||||||
| 14,414 | United Technologies Corp. | 1,275,783 | ||||||
| 933 | W.W. Grainger, Inc. | 143,355 | ||||||
| 16,478,574 | ||||||||
|
Commercial
& Professional Services – 0.6%
|
||||||||
| 1,800 | Avery Dennison Corp. | 69,534 | ||||||
| 2,000 | Cintas Corp. | 66,060 | ||||||
| 800 | Dun & Bradstreet Corp. | 60,432 | ||||||
| 2,050 | Equifax, Inc. | 71,176 | ||||||
| 3,100 | Iron Mountain, Inc. | 105,679 | ||||||
| 3,100 | Pitney Bowes, Inc. | 71,269 | ||||||
| 2,800 | R.R. Donnelley & Sons Co. | 54,908 | ||||||
| 5,010 | Republic Services, Inc. | 154,559 | ||||||
| 2,200 | Robert Half International, Inc. | 59,466 | ||||||
| 1,400 | Stericycle, Inc.* | 124,768 | ||||||
| 7,549 | Waste Management, Inc. | 281,351 | ||||||
| 1,119,202 | ||||||||
|
Consumer
Durables & Apparel – 1.0%
|
||||||||
| 4,600 | Coach, Inc. | 294,078 | ||||||
| 4,700 | D.R. Horton, Inc. | 54,144 | ||||||
| 2,500 | Fortune Brands, Inc. | 159,425 | ||||||
| 1,100 | Harman International Industries, Inc. | 50,127 | ||||||
| 2,221 | Hasbro, Inc. | 97,568 | ||||||
| 2,500 | Leggett & Platt, Inc. | 60,950 | ||||||
| 2,500 | Lennar Corp. Class A | 45,375 | ||||||
| 5,651 | Mattel, Inc. | 155,346 | ||||||
| 4,733 | Newell Rubbermaid, Inc. | 74,687 | ||||||
| 6,059 | NIKE, Inc. Class B | 545,189 | ||||||
| 1,000 | Polo Ralph Lauren Corp. | 132,610 | ||||||
| 5,413 | Pulte Group, Inc.* | 41,464 | ||||||
| 1,400 | VF Corp. | 151,984 | ||||||
| 1,259 | Whirlpool Corp. | 102,382 | ||||||
| 1,965,329 | ||||||||
|
Consumer
Services – 1.9%
|
||||||||
| 1,900 | Apollo Group, Inc. Class A* | 82,992 | ||||||
| 6,900 | Carnival Corp. | 259,647 | ||||||
| 500 | Chipotle Mexican Grill, Inc.* | 154,095 | ||||||
| 2,220 | Darden Restaurants, Inc. | 110,467 | ||||||
| 900 | DeVry, Inc. | 53,217 | ||||||
| 5,100 | H&R Block, Inc. | 81,804 | ||||||
| 4,900 | International Game Technology | 86,142 | ||||||
| 4,563 | Marriott International, Inc. Class A | 161,941 | ||||||
| 16,397 | McDonald’s Corp. | 1,382,595 | ||||||
| 11,856 | Starbucks Corp. | 468,194 | ||||||
| 3,100 | Starwood Hotels & Resorts Worldwide, Inc. | 173,724 | ||||||
| 2,626 | Wyndham Worldwide Corp. | 88,365 | ||||||
GOLDMAN SACHS
VARIABLE INSURANCE TRUST EQUITY INDEX FUND
| Shares | Description | Value | ||||||
|
Common
Stocks – (continued)
|
||||||||
|
Consumer
Services – (continued)
|
||||||||
| 1,200 | Wynn Resorts Ltd. | $ | 172,248 | |||||
| 7,497 | Yum! Brands, Inc. | 414,134 | ||||||
| 3,689,565 | ||||||||
|
Diversified
Financials – 6.9%
|
||||||||
| 16,631 | American Express Co. | 859,823 | ||||||
| 3,880 | Ameriprise Financial, Inc. | 223,798 | ||||||
| 161,192 | Bank of America Corp. | 1,766,664 | ||||||
| 1,500 | BlackRock, Inc. | 287,715 | ||||||
| 7,333 | Capital One Financial Corp. | 378,896 | ||||||
| 46,251 | Citigroup, Inc. | 1,925,892 | ||||||
| 1,039 | CME Group, Inc. | 302,962 | ||||||
| 8,617 | Discover Financial Services | 230,505 | ||||||
| 3,050 | E*Trade Financial Corp.* | 42,090 | ||||||
| 1,656 | Federated Investors, Inc. Class B | 39,479 | ||||||
| 2,330 | Franklin Resources, Inc. | 305,906 | ||||||
| 1,200 | IntercontinentalExchange, Inc.* | 149,652 | ||||||
| 7,300 | Invesco Ltd. | 170,820 | ||||||
| 2,800 | Janus Capital Group, Inc. | 26,432 | ||||||
| 62,867 | JPMorgan Chase & Co. | 2,573,775 | ||||||
| 2,500 | Legg Mason, Inc. | 81,900 | ||||||
| 3,200 | Leucadia National Corp. | 109,120 | ||||||
| 3,100 | Moody’s Corp. | 118,885 | ||||||
| 24,747 | Morgan Stanley | 569,428 | ||||||
| 3,800 | Northern Trust Corp. | 174,648 | ||||||
| 4,100 | NYSE Euronext | 140,507 | ||||||
| 7,871 | SLM Corp. | 132,312 | ||||||
| 8,067 | State Street Corp. | 363,741 | ||||||
| 4,100 | T. Rowe Price Group, Inc. | 247,394 | ||||||
| 19,715 | The Bank of New York Mellon Corp. | 505,098 | ||||||
| 15,742 | The Charles Schwab Corp. | 258,956 | ||||||
| 8,182 | The Goldman Sachs Group, Inc.(a) | 1,088,942 | ||||||
| 2,500 | The NASDAQ OMX Group, Inc.* | 63,250 | ||||||
| 13,138,590 | ||||||||
|
Energy –
12.6%
|
||||||||
| 3,600 | Alpha Natural Resources, Inc.* | 163,584 | ||||||
| 7,865 | Anadarko Petroleum Corp. | 603,717 | ||||||
| 6,116 | Apache Corp. | 754,653 | ||||||
| 6,960 | Baker Hughes, Inc. | 505,018 | ||||||
| 1,700 | Cabot Oil & Gas Corp. | 112,727 | ||||||
| 3,900 | Cameron International Corp.* | 196,131 | ||||||
| 10,517 | Chesapeake Energy Corp. | 312,250 | ||||||
| 31,893 | Chevron Corp. | 3,279,876 | ||||||
| 22,452 | ConocoPhillips | 1,688,166 | ||||||
| 3,500 | Consol Energy, Inc. | 169,680 | ||||||
| 6,200 | Denbury Resources, Inc.* | 124,000 | ||||||
| 6,772 | Devon Energy Corp. | 533,701 | ||||||
| 1,100 | Diamond Offshore Drilling, Inc. | 77,451 | ||||||
| 11,630 | El Paso Corp. | 234,926 | ||||||
| 4,181 | EOG Resources, Inc. | 437,124 | ||||||
| 2,400 | EQT Corp. | 126,048 | ||||||
| 77,960 | Exxon Mobil Corp. | 6,344,385 | ||||||
| 3,746 | FMC Technologies, Inc.* | 167,783 | ||||||
| 14,517 | Halliburton Co. | 740,367 | ||||||
| 1,700 | Helmerich & Payne, Inc. | 112,404 | ||||||
| 4,800 | Hess Corp. | 358,848 | ||||||
| 11,199 | Marathon Oil Corp. | 589,963 | ||||||
| 3,000 | Murphy Oil Corp. | 196,980 | ||||||
| 4,700 | Nabors Industries Ltd.* | 115,808 | ||||||
| 6,618 | National Oilwell Varco, Inc. | 517,594 | ||||||
| 2,100 | Newfield Exploration Co.* | 142,842 | ||||||
| 3,900 | Noble Corp. | 153,699 | ||||||
| 2,800 | Noble Energy, Inc. | 250,964 | ||||||
| 12,895 | Occidental Petroleum Corp. | 1,341,596 | ||||||
| 4,306 | Peabody Energy Corp. | 253,667 | ||||||
| 1,900 | Pioneer Natural Resources Co. | 170,183 | ||||||
| 2,750 | QEP Resources, Inc. | 115,033 | ||||||
| 2,600 | Range Resources Corp. | 144,300 | ||||||
| 1,800 | Rowan Companies, Inc.* | 69,858 | ||||||
| 21,440 | Schlumberger Ltd. | 1,852,416 | ||||||
| 5,500 | Southwestern Energy Co.* | 235,840 | ||||||
| 10,142 | Spectra Energy Corp. | 277,992 | ||||||
| 1,900 | Sunoco, Inc. | 79,249 | ||||||
| 2,200 | Tesoro Corp.* | 50,402 | ||||||
| 9,345 | The Williams Companies, Inc. | 282,686 | ||||||
| 9,013 | Valero Energy Corp. | 230,462 | ||||||
| 24,114,373 | ||||||||
|
Food
& Staples Retailing – 2.3%
|
||||||||
| 6,987 | Costco Wholesale Corp. | 567,624 | ||||||
| 21,664 | CVS Caremark Corp. | 814,133 | ||||||
| 5,800 | Safeway, Inc. | 135,546 | ||||||
| 3,373 | SUPERVALU, Inc. | 31,740 | ||||||
| 9,200 | Sysco Corp. | 286,856 | ||||||
| 9,432 | The Kroger Co. | 233,914 | ||||||
| 14,610 | Walgreen Co. | 620,341 | ||||||
| 30,260 | Wal-Mart Stores, Inc. | 1,608,016 | ||||||
| 2,400 | Whole Foods Market, Inc. | 152,280 | ||||||
| 4,450,450 | ||||||||
|
Food,
Beverage & Tobacco – 6.0%
|
||||||||
| 33,226 | Altria Group, Inc. | 877,499 | ||||||
| 10,233 | Archer-Daniels-Midland Co. | 308,525 | ||||||
| 1,650 | Brown-Forman Corp. Class B | 123,238 | ||||||
| 2,800 | Campbell Soup Co. | 96,740 | ||||||
| 5,150 | Coca-Cola Enterprises, Inc. | 150,277 | ||||||
| 6,600 | ConAgra Foods, Inc. | 170,346 | ||||||
| 2,900 | Constellation Brands, Inc. Class A* | 60,378 | ||||||
| 2,600 | Dean Foods Co.* | 31,902 | ||||||
| 3,600 | Dr. Pepper Snapple Group, Inc. | 150,948 | ||||||
| 10,224 | General Mills, Inc. | 380,537 | ||||||
| 5,068 | H.J. Heinz Co. | 270,023 | ||||||
| 2,100 | Hormel Foods Corp. | 62,601 | ||||||
| 4,000 | Kellogg Co. | 221,280 | ||||||
| 27,757 | Kraft Foods, Inc. Class A | 977,879 | ||||||
| 2,316 | Lorillard, Inc. | 252,143 | ||||||
| 2,200 | McCormick & Co., Inc. | 109,054 | ||||||
| 3,202 | Mead Johnson Nutrition Co. Class A | 216,295 | ||||||
| 2,600 | Molson Coors Brewing Co. Class B | 116,324 | ||||||
| 24,962 | PepsiCo, Inc. | 1,758,074 | ||||||
| 28,175 | Philip Morris International, Inc. | 1,881,245 | ||||||
| 5,490 | Reynolds American, Inc. | 203,404 | ||||||
| 9,100 | Sara Lee Corp. | 172,809 | ||||||
GOLDMAN SACHS
VARIABLE INSURANCE TRUST EQUITY INDEX FUND
Schedule of
Investments (continued)
June 30,
2011 (Unaudited)
| Shares | Description | Value | ||||||
|
Common
Stocks – (continued)
|
||||||||
|
Food,
Beverage & Tobacco – (continued)
|
||||||||
| 36,206 | The Coca-Cola Co. | $ | 2,436,302 | |||||
| 2,400 | The Hershey Co. | 136,440 | ||||||
| 1,934 | The J.M. Smucker Co. | 147,835 | ||||||
| 4,500 | Tyson Foods, Inc. Class A | 87,390 | ||||||
| 11,399,488 | ||||||||
|
Health
Care Equipment & Services – 4.2%
|
||||||||
| 6,089 | Aetna, Inc. | 268,464 | ||||||
| 4,360 | AmerisourceBergen Corp. | 180,504 | ||||||
| 9,110 | Baxter International, Inc. | 543,776 | ||||||
| 3,523 | Becton, Dickinson and Co. | 303,577 | ||||||
| 23,706 | Boston Scientific Corp.* | 163,808 | ||||||
| 1,367 | C. R. Bard, Inc. | 150,179 | ||||||
| 5,532 | Cardinal Health, Inc. | 251,263 | ||||||
| 3,416 | CareFusion Corp.* | 92,813 | ||||||
| 2,200 | Cerner Corp.* | 134,442 | ||||||
| 4,219 | CIGNA Corp. | 216,983 | ||||||
| 2,300 | Coventry Health Care, Inc.* | 83,881 | ||||||
| 7,800 | Covidien PLC | 415,194 | ||||||
| 1,500 | DaVita, Inc.* | 129,915 | ||||||
| 2,200 | DENTSPLY International, Inc. | 83,776 | ||||||
| 1,800 | Edwards Lifesciences Corp.* | 156,924 | ||||||
| 8,474 | Express Scripts, Inc.* | 457,427 | ||||||
| 2,700 | Humana, Inc. | 217,458 | ||||||
| 617 | Intuitive Surgical, Inc.* | 229,592 | ||||||
| 1,600 | Laboratory Corp. of America Holdings* | 154,864 | ||||||
| 3,964 | McKesson Corp. | 331,589 | ||||||
| 6,437 | Medco Health Solutions, Inc.* | 363,819 | ||||||
| 16,882 | Medtronic, Inc. | 650,463 | ||||||
| 1,381 | Patterson Companies, Inc. | 45,421 | ||||||
| 2,400 | Quest Diagnostics, Inc. | 141,840 | ||||||
| 5,080 | St. Jude Medical, Inc. | 242,214 | ||||||
| 5,400 | Stryker Corp. | 316,926 | ||||||
| 8,150 | Tenet Healthcare Corp.* | 50,856 | ||||||
| 17,070 | UnitedHealth Group, Inc. | 880,471 | ||||||
| 1,900 | Varian Medical Systems, Inc.* | 133,038 | ||||||
| 5,817 | WellPoint, Inc. | 458,205 | ||||||
| 3,017 | Zimmer Holdings, Inc.* | 190,674 | ||||||
| 8,040,356 | ||||||||
|
Household
& Personal Products – 2.3%
|
||||||||
| 6,700 | Avon Products, Inc. | 187,600 | ||||||
| 7,748 | Colgate-Palmolive Co. | 677,253 | ||||||
| 6,340 | Kimberly-Clark Corp. | 421,990 | ||||||
| 2,100 | The Clorox Co. | 141,624 | ||||||
| 1,800 | The Estee Lauder Companies, Inc. Class A | 189,342 | ||||||
| 44,187 | The Procter & Gamble Co. | 2,808,968 | ||||||
| 4,426,777 | ||||||||
|
Insurance –
3.8%
|
||||||||
| 5,400 | ACE Ltd. | 355,428 | ||||||
| 7,392 | Aflac, Inc. | 345,059 | ||||||
| 7,041 | American International Group, Inc.* | 206,442 | ||||||
| 5,250 | Aon Corp. | 269,325 | ||||||
| 1,700 | Assurant, Inc. | 61,659 | ||||||
| 27,515 | Berkshire Hathaway, Inc. Class B* | 2,129,386 | ||||||
| 2,668 | Cincinnati Financial Corp. | 77,852 | ||||||
| 7,900 | Genworth Financial, Inc. Class A* | 81,212 | ||||||
| 7,173 | Hartford Financial Services Group, Inc. | 189,152 | ||||||
| 5,158 | Lincoln National Corp. | 146,951 | ||||||
| 5,047 | Loews Corp. | 212,428 | ||||||
| 8,688 | Marsh & McLennan Companies, Inc. | 270,979 | ||||||
| 16,781 | MetLife, Inc. | 736,183 | ||||||
| 5,232 | Principal Financial Group, Inc. | 159,157 | ||||||
| 7,633 | Prudential Financial, Inc. | 485,382 | ||||||
| 8,438 | The Allstate Corp. | 257,612 | ||||||
| 4,749 | The Chubb Corp. | 297,335 | ||||||
| 10,682 | The Progressive Corp. | 228,381 | ||||||
| 6,584 | The Travelers Companies, Inc. | 384,374 | ||||||
| 1,141 | Torchmark Corp. | 73,184 | ||||||
| 4,918 | Unum Group | 125,311 | ||||||
| 4,900 | XL Group PLC | 107,702 | ||||||
| 7,200,494 | ||||||||
|
Materials –
3.6%
|
||||||||
| 3,400 | Air Products & Chemicals, Inc. | 324,972 | ||||||
| 1,100 | Airgas, Inc. | 77,044 | ||||||
| 1,900 | AK Steel Holding Corp. | 29,944 | ||||||
| 16,868 | Alcoa, Inc. | 267,527 | ||||||
| 1,651 | Allegheny Technologies, Inc. | 104,789 | ||||||
| 2,600 | Ball Corp. | 99,996 | ||||||
| 1,600 | Bemis Co., Inc. | 54,048 | ||||||
| 1,090 | CF Industries Holdings, Inc. | 154,420 | ||||||
| 2,094 | Cliffs Natural Resources, Inc. | 193,590 | ||||||
| 14,738 | E.I. du Pont de Nemours & Co. | 796,589 | ||||||
| 1,100 | Eastman Chemical Co. | 112,277 | ||||||
| 3,612 | Ecolab, Inc. | 203,645 | ||||||
| 1,100 | FMC Corp. | 94,622 | ||||||
| 15,036 | Freeport-McMoRan Copper & Gold, Inc. | 795,405 | ||||||
| 1,300 | International Flavors & Fragrances, Inc. | 83,512 | ||||||
| 6,859 | International Paper Co. | 204,535 | ||||||
| 2,798 | MeadWestvaco Corp. | 93,201 | ||||||
| 8,554 | Monsanto Co. | 620,507 | ||||||
| 7,887 | Newmont Mining Corp. | 425,661 | ||||||
| 5,000 | Nucor Corp. | 206,100 | ||||||
| 2,500 | Owens-Illinois, Inc.* | 64,525 | ||||||
| 2,600 | PPG Industries, Inc. | 236,054 | ||||||
| 4,800 | Praxair, Inc. | 520,272 | ||||||
| 2,616 | Sealed Air Corp. | 62,235 | ||||||
| 2,000 | Sigma-Aldrich Corp. | 146,760 | ||||||
| 18,513 | The Dow Chemical Co. | 666,468 | ||||||
| 1,400 | The Sherwin-Williams Co. | 117,418 | ||||||
| 1,500 | Titanium Metals Corp. | 27,480 | ||||||
| 2,220 | United States Steel Corp. | 102,209 | ||||||
| 2,100 | Vulcan Materials Co. | 80,913 | ||||||
| 6,966,718 | ||||||||
|
Media –
3.3%
|
||||||||
| 3,700 | Cablevision Systems Corp. Class A | 133,977 | ||||||
| 10,764 | CBS Corp. Class B | 306,666 | ||||||
| 43,698 | Comcast Corp. Class A | 1,107,307 | ||||||
| 12,139 | DIRECTV Class A* | 616,904 | ||||||
GOLDMAN SACHS
VARIABLE INSURANCE TRUST EQUITY INDEX FUND
| Shares | Description | Value | ||||||
|
Common
Stocks – (continued)
|
||||||||
|
Media –
(continued)
|
||||||||
| 4,500 | Discovery Communications, Inc. Class A* | $ | 184,320 | |||||
| 3,871 | Gannett Co., Inc. | 55,433 | ||||||
| 36,086 | News Corp. Class A | 638,722 | ||||||
| 4,448 | Omnicom Group, Inc. | 214,216 | ||||||
| 1,500 | Scripps Networks Interactive, Inc. Class A | 73,320 | ||||||
| 8,071 | The Interpublic Group of Companies, Inc. | 100,888 | ||||||
| 4,808 | The McGraw-Hill Companies, Inc. | 201,503 | ||||||
| 29,829 | The Walt Disney Co. | 1,164,524 | ||||||
| 83 | The Washington Post Co. Class B | 34,773 | ||||||
| 5,396 | Time Warner Cable, Inc. | 421,104 | ||||||
| 16,871 | Time Warner, Inc. | 613,598 | ||||||
| 9,144 | Viacom, Inc. Class B | 466,344 | ||||||
| 6,333,599 | ||||||||
|
Pharmaceuticals,
Biotechnology & Life Sciences – 7.4%
|
||||||||
| 24,598 | Abbott Laboratories | 1,294,347 | ||||||
| 5,496 | Agilent Technologies, Inc.* | 280,900 | ||||||
| 4,900 | Allergan, Inc. | 407,925 | ||||||
| 14,768 | Amgen, Inc.* | 861,713 | ||||||
| 3,815 | Biogen Idec, Inc.* | 407,900 | ||||||
| 27,026 | Bristol-Myers Squibb Co. | 782,673 | ||||||
| 7,300 | Celgene Corp.* | 440,336 | ||||||
| 1,200 | Cephalon, Inc.* | 95,880 | ||||||
| 16,142 | Eli Lilly & Co. | 605,809 | ||||||
| 4,500 | Forest Laboratories, Inc.* | 177,030 | ||||||
| 12,600 | Gilead Sciences, Inc.* | 521,766 | ||||||
| 2,590 | Hospira, Inc.* | 146,749 | ||||||
| 43,428 | Johnson & Johnson | 2,888,831 | ||||||
| 2,870 | Life Technologies Corp.* | 149,441 | ||||||
| 49,069 | Merck & Co., Inc. | 1,731,645 | ||||||
| 6,900 | Mylan, Inc.* | 170,223 | ||||||
| 1,900 | PerkinElmer, Inc. | 51,129 | ||||||
| 125,473 | Pfizer, Inc. | 2,584,744 | ||||||
| 5,968 | Thermo Fisher Scientific, Inc.* | 384,279 | ||||||
| 1,500 | Waters Corp.* | 143,610 | ||||||
| 1,800 | Watson Pharmaceuticals, Inc.* | 123,714 | ||||||
| 14,250,644 | ||||||||
|
Real
Estate – 1.7%
|
||||||||
| 1,780 | Apartment Investment & Management Co. Class A (REIT) | 45,443 | ||||||
| 1,391 | AvalonBay Communities, Inc. (REIT) | 178,604 | ||||||
| 2,227 | Boston Properties, Inc. (REIT) | 236,418 | ||||||
| 4,500 | CB Richard Ellis Group, Inc. Class A* | 112,995 | ||||||
| 4,500 | Equity Residential (REIT) | 270,000 | ||||||
| 6,100 | HCP, Inc. (REIT) | 223,809 | ||||||
| 2,700 | Health Care REIT, Inc. (REIT) | 141,561 | ||||||
| 11,052 | Host Hotels & Resorts, Inc. (REIT) | 187,331 | ||||||
| 6,300 | Kimco Realty Corp. (REIT) | 117,432 | ||||||
| 2,500 | Plum Creek Timber Co., Inc. (REIT) | 101,350 | ||||||
| 6,799 | ProLogis, Inc. (REIT) | 243,676 | ||||||
| 2,251 | Public Storage (REIT) | 256,637 | ||||||
| 4,707 | Simon Property Group, Inc. (REIT) | 547,095 | ||||||
| 2,600 | Ventas, Inc. (REIT) | 137,046 | ||||||
| 2,622 | Vornado Realty Trust (REIT) | 244,318 | ||||||
| 8,409 | Weyerhaeuser Co. (REIT) | 183,821 | ||||||
| 3,227,536 | ||||||||
|
Retailing –
3.6%
|
||||||||
| 1,377 | Abercrombie & Fitch Co. Class A | 92,149 | ||||||
| 5,638 | Amazon.com, Inc.* | 1,152,915 | ||||||
| 1,072 | AutoNation, Inc.* | 39,246 | ||||||
| 379 | AutoZone, Inc.* | 111,748 | ||||||
| 3,924 | Bed Bath & Beyond, Inc.* | 229,044 | ||||||
| 5,150 | Best Buy Co., Inc. | 161,762 | ||||||
| 1,300 | Big Lots, Inc.* | 43,095 | ||||||
| 3,500 | CarMax, Inc.* | 115,745 | ||||||
| 3,000 | Expedia, Inc. | 86,970 | ||||||
| 1,900 | Family Dollar Stores, Inc. | 99,864 | ||||||
| 2,300 | GameStop Corp. Class A* | 61,341 | ||||||
| 2,540 | Genuine Parts Co. | 138,176 | ||||||
| 25,164 | Home Depot, Inc. | 911,440 | ||||||
| 3,300 | J.C. Penney Co., Inc. | 113,982 | ||||||
| 4,619 | Kohl’s Corp. | 230,996 | ||||||
| 3,900 | Limited Brands, Inc. | 149,955 | ||||||
| 20,536 | Lowe’s Companies, Inc. | 478,694 | ||||||
| 6,734 | Macy’s, Inc. | 196,902 | ||||||
| 700 | Netflix, Inc.* | 183,883 | ||||||
| 2,724 | Nordstrom, Inc. | 127,865 | ||||||
| 2,300 | O’Reilly Automotive, Inc.* | 150,673 | ||||||
| 787 | Priceline.com, Inc.* | 402,889 | ||||||
| 1,878 | Ross Stores, Inc. | 150,465 | ||||||
| 700 | Sears Holdings Corp.* | 50,008 | ||||||
| 11,497 | Staples, Inc. | 181,653 | ||||||
| 10,839 | Target Corp. | 508,457 | ||||||
| 5,950 | The Gap, Inc. | 107,695 | ||||||
| 2,000 | Tiffany & Co. | 157,040 | ||||||
| 6,193 | TJX Companies, Inc. | 325,318 | ||||||
| 2,100 | Urban Outfitters, Inc.* | 59,115 | ||||||
| 6,819,085 | ||||||||
|
Semiconductors
& Semiconductor Equipment – 2.4%
|
||||||||
| 9,100 | Advanced Micro Devices, Inc.* | 63,609 | ||||||
| 4,974 | Altera Corp. | 230,545 | ||||||
| 4,700 | Analog Devices, Inc. | 183,958 | ||||||
| 21,122 | Applied Materials, Inc. | 274,797 | ||||||
| 7,450 | Broadcom Corp. Class A* | 250,618 | ||||||
| 880 | First Solar, Inc.* | 116,397 | ||||||
| 84,080 | Intel Corp. | 1,863,213 | ||||||
| 2,525 | KLA-Tencor Corp. | 102,212 | ||||||
| 3,500 | Linear Technology Corp. | 115,570 | ||||||
| 10,200 | LSI Corp.* | 72,624 | ||||||
| 3,700 | MEMC Electronic Materials, Inc.* | 31,561 | ||||||
| 3,100 | Microchip Technology, Inc. | 117,521 | ||||||
| 13,543 | Micron Technology, Inc.* | 101,302 | ||||||
| 3,800 | National Semiconductor Corp. | 93,518 | ||||||
| 1,465 | Novellus Systems, Inc.* | 52,945 | ||||||
| 9,050 | NVIDIA Corp.* | 144,212 | ||||||
| 2,800 | Teradyne, Inc.* | 41,440 | ||||||
GOLDMAN SACHS
VARIABLE INSURANCE TRUST EQUITY INDEX FUND
Schedule of
Investments (continued)
June 30,
2011 (Unaudited)
| Shares | Description | Value | ||||||
|
Common
Stocks – (continued)
|
||||||||
|
Semiconductors
& Semiconductor Equipment – (continued)
|
||||||||
| 18,628 | Texas Instruments, Inc. | $ | 611,557 | |||||
| 4,100 | Xilinx, Inc. | 149,527 | ||||||
| 4,617,126 | ||||||||
|
Software
& Services – 8.5%
|
||||||||
| 8,115 | Adobe Systems, Inc.* | 255,217 | ||||||
| 3,000 | Akamai Technologies, Inc.* | 94,410 | ||||||
| 3,600 | Autodesk, Inc.* | 138,960 | ||||||
| 7,900 | Automatic Data Processing, Inc. | 416,172 | ||||||
| 2,900 | BMC Software, Inc.* | 158,630 | ||||||
| 6,204 | CA, Inc. | 141,699 | ||||||
| 3,000 | Citrix Systems, Inc.* | 240,000 | ||||||
| 4,835 | Cognizant Technology Solutions Corp. Class A* | 354,599 | ||||||
| 2,500 | Computer Sciences Corp. | 94,900 | ||||||
| 3,500 | Compuware Corp.* | 34,160 | ||||||
| 18,144 | eBay, Inc.* | 585,507 | ||||||
| 5,200 | Electronic Arts, Inc.* | 122,720 | ||||||
| 4,300 | Fidelity National Information Services, Inc. | 132,397 | ||||||
| 2,250 | Fiserv, Inc.* | 140,917 | ||||||
| 3,944 | Google, Inc. Class A* | 1,997,163 | ||||||
| 19,179 | International Business Machines Corp. | 3,290,157 | ||||||
| 4,400 | Intuit, Inc.* | 228,184 | ||||||
| 1,447 | Mastercard, Inc. Class A | 436,039 | ||||||
| 117,500 | Microsoft Corp. | 3,055,000 | ||||||
| 2,100 | Monster Worldwide, Inc.* | 30,786 | ||||||
| 61,937 | Oracle Corp. | 2,038,347 | ||||||
| 5,009 | Paychex, Inc. | 153,876 | ||||||
| 3,155 | Red Hat, Inc.* | 144,814 | ||||||
| 4,933 | SAIC, Inc.* | 82,973 | ||||||
| 1,900 | Salesforce.com, Inc.* | 283,062 | ||||||
| 12,312 | Symantec Corp.* | 242,793 | ||||||
| 2,600 | Teradata Corp.* | 156,520 | ||||||
| 10,219 | The Western Union Co. | 204,687 | ||||||
| 2,800 | Total System Services, Inc. | 52,024 | ||||||
| 2,602 | VeriSign, Inc. | 87,063 | ||||||
| 7,680 | Visa, Inc. Class A | 647,117 | ||||||
| 20,900 | Yahoo!, Inc.* | 314,336 | ||||||
| 16,355,229 | ||||||||
|
Technology
Hardware & Equipment – 6.7%
|
||||||||
| 2,700 | Amphenol Corp. Class A | 145,773 | ||||||
| 14,672 | Apple, Inc.* | 4,924,950 | ||||||
| 86,881 | Cisco Systems, Inc. | 1,356,212 | ||||||
| 25,125 | Corning, Inc. | 456,019 | ||||||
| 25,800 | Dell, Inc.* | 430,086 | ||||||
| 32,872 | EMC Corp.* | 905,624 | ||||||
| 1,300 | F5 Networks, Inc.* | 143,325 | ||||||
| 2,400 | FLIR Systems, Inc. | 80,904 | ||||||
| 2,100 | Harris Corp. | 94,626 | ||||||
| 32,833 | Hewlett-Packard Co. | 1,195,121 | ||||||
| 3,083 | Jabil Circuit, Inc. | 62,277 | ||||||
| 3,425 | JDS Uniphase Corp.* | 57,061 | ||||||
| 8,400 | Juniper Networks, Inc.* | 264,600 | ||||||
| 1,200 | Lexmark International, Inc. Class A* | 35,112 | ||||||
| 2,025 | Molex, Inc. | 52,184 | ||||||
| 4,860 | Motorola Mobility Holdings, Inc.* | 107,114 | ||||||
| 5,354 | Motorola Solutions, Inc.* | 246,498 | ||||||
| 5,811 | NetApp, Inc.* | 306,705 | ||||||
| 26,185 | QUALCOMM, Inc. | 1,487,046 | ||||||
| 3,700 | SanDisk Corp.* | 153,550 | ||||||
| 6,600 | Tellabs, Inc. | 30,426 | ||||||
| 3,800 | Western Digital Corp.* | 138,244 | ||||||
| 21,976 | Xerox Corp. | 228,770 | ||||||
| 12,902,227 | ||||||||
|
Telecommunication
Services – 3.1%
|
||||||||
| 6,240 | American Tower Corp. Class A* | 326,539 | ||||||
| 93,674 | AT&T, Inc. | 2,942,300 | ||||||
| 9,529 | CenturyLink, Inc. | 385,257 | ||||||
| 16,108 | Frontier Communications Corp. | 129,992 | ||||||
| 4,000 | MetroPCS Communications, Inc.* | 68,840 | ||||||
| 47,110 | Sprint Nextel Corp.* | 253,923 | ||||||
| 45,043 | Verizon Communications, Inc. | 1,676,951 | ||||||
| 7,681 | Windstream Corp. | 99,546 | ||||||
| 5,883,348 | ||||||||
|
Transportation –
2.0%
|
||||||||
| 2,630 | C.H. Robinson Worldwide, Inc. | 207,349 | ||||||
| 17,586 | CSX Corp. | 461,105 | ||||||
| 3,400 | Expeditors International of Washington, Inc. | 174,046 | ||||||
| 5,000 | FedEx Corp. | 474,250 | ||||||
| 5,635 | Norfolk Southern Corp. | 422,230 | ||||||
| 800 | Ryder System, Inc. | 45,480 | ||||||
| 12,118 | Southwest Airlines Co. | 138,388 | ||||||
| 7,820 | Union Pacific Corp. | 816,408 | ||||||
| 15,692 | United Parcel Service, Inc. Class B | 1,144,418 | ||||||
| 3,883,674 | ||||||||
|
Utilities –
3.4%
|
||||||||
| 3,977 | Ameren Corp. | 114,697 | ||||||
| 7,691 | American Electric Power Co., Inc. | 289,797 | ||||||
| 6,598 | CenterPoint Energy, Inc. | 127,671 | ||||||
| 4,200 | CMS Energy Corp. | 82,698 | ||||||
| 4,600 | Consolidated Edison, Inc. | 244,904 | ||||||
| 3,277 | Constellation Energy Group, Inc. | 124,395 | ||||||
| 9,147 | Dominion Resources, Inc. | 441,526 | ||||||
| 2,600 | DTE Energy Co. | 130,052 | ||||||
| 21,293 | Duke Energy Corp. | 400,947 | ||||||
| 5,269 | Edison International | 204,174 | ||||||
| 2,875 | Entergy Corp. | 196,305 | ||||||
| 10,481 | Exelon Corp. | 449,006 | ||||||
| 6,578 | FirstEnergy Corp. | 290,419 | ||||||
| 1,131 | Integrys Energy Group, Inc. | 58,631 | ||||||
| 6,646 | NextEra Energy, Inc. | 381,879 | ||||||
| 700 | Nicor, Inc. | 38,318 | ||||||
| 4,500 | NiSource, Inc. | 91,125 | ||||||
| 2,790 | Northeast Utilities | 98,124 | ||||||
| 4,000 | NRG Energy, Inc.* | 98,320 | ||||||
| 1,700 | Oneok, Inc. | 125,817 | ||||||
| 3,600 | Pepco Holdings, Inc. | 70,668 | ||||||
| 6,331 | PG&E Corp. | 266,092 | ||||||
GOLDMAN SACHS
VARIABLE INSURANCE TRUST EQUITY INDEX FUND
| Shares | Description | Value | ||||||
|
Common
Stocks – (continued)
|
||||||||
|
Utilities –
(continued)
|
||||||||
| 1,800 | Pinnacle West Capital Corp. | $ | 80,244 | |||||
| 9,051 | PPL Corp. | 251,889 | ||||||
| 4,677 | Progress Energy, Inc. | 224,543 | ||||||
| 7,942 | Public Service Enterprise Group, Inc. | 259,227 | ||||||
| 1,831 | SCANA Corp. | 72,086 | ||||||
| 3,713 | Sempra Energy | 196,343 | ||||||
| 13,541 | Southern Co. | 546,786 | ||||||
| 3,600 | TECO Energy, Inc. | 68,004 | ||||||
| 10,764 | The AES Corp.* | 137,133 | ||||||
| 3,800 | Wisconsin Energy Corp. | 119,130 | ||||||
| 7,210 | Xcel Energy, Inc. | 175,203 | ||||||
| 6,456,153 | ||||||||
|
TOTAL
COMMON STOCKS
|
||||||||
|
(Cost
$155,428,634)
|
$ | 190,439,215 | ||||||
|
Principal |
Interest |
Maturity |
||||||||||||
| Amount | Rate | Date | Value | |||||||||||
|
U.S. Treasury
Obligation(b)(c) –
0.1%
|
||||||||||||||
|
United States Treasury Bills
|
||||||||||||||
| $ | 45,000 | 0.000 | % | 07/07/11 | $ | 45,000 | ||||||||
| 95,000 | 0.000 | 08/25/11 | 94,997 | |||||||||||
|
TOTAL
U.S. TREASURY OBLIGATIONS
|
||||||||||||||
|
(Cost
$139,996)
|
$ | 139,997 | ||||||||||||
| Shares | Rate | Value | ||||||||
|
Short-term
Investment(d) –
0.1%
|
||||||||||
|
JPMorgan U.S. Government Money Market Fund — Capital
Shares
|
||||||||||
| 249,711 | 0.010 | % | $ | 249,711 | ||||||
|
(Cost
$249,711)
|
||||||||||
|
TOTAL
INVESTMENTS – 99.6%
|
||||||||||
|
(Cost
$155,818,341)
|
$ | 190,828,923 | ||||||||
|
OTHER
ASSETS IN EXCESS OF LIABILITIES – 0.4%
|
726,283 | |||||||||
|
NET
ASSETS – 100.0%
|
$ | 191,555,206 | ||||||||
The percentage shown for each investment category reflects the
value of investments in that category as a percentage of net
assets.
| * | Non-income producing security. | |
| (a) | Represents an affiliated issuer. | |
| (b) | Issued with zero coupon. Income is recognized through the accretion of discount. | |
| (c) | All or a portion of security is segregated as collateral for initial margin requirements on futures transactions. | |
| (d) | Variable rate security. Interest rate disclosed is that which is in effect at June 30, 2011. |
|
Investment
Abbreviation:
|
||||
|
REIT
|
— | Real Estate Investment Trust | ||
| ADDITIONAL INVESTMENT INFORMATION |
FUTURES
CONTRACTS — At June 30, 2011, the
following futures contracts were open:
|
Number of |
||||||||||||||
|
Contracts |
Expiration |
Current |
Unrealized |
|||||||||||
| Type | Long (Short) | Date | Value | Gain (Loss) | ||||||||||
|
S&P 500
E-mini Index
|
20 | September 2011 | $ | 1,315,500 | $ | 48,015 | ||||||||
GOLDMAN SACHS
VARIABLE INSURANCE TRUST GOVERNMENT INCOME FUND
Schedule of
Investments
June 30,
2011 (Unaudited)
|
Principal |
Interest |
Maturity |
||||||||||||
| Amount | Rate | Date | Value | |||||||||||
|
Mortgage-Backed
Obligations – 55.0%
|
||||||||||||||
|
Adjustable
Rate
Non-Agency(a) –
1.2%
|
||||||||||||||
|
First Horizon Alternative Mortgage Securities
Series 2005-AA7,
Class 2A1
|
||||||||||||||
| $ | 426,294 | 2.367 | % | 09/25/35 | $ | 265,067 | ||||||||
|
Harborview Mortgage Loan
Trust Series 2006-6,
Class 3A1A
|
||||||||||||||
| 384,524 | 2.822 | 08/19/36 | 240,172 | |||||||||||
|
J.P. Morgan Mortgage
Trust Series 2007-A1,
Class 2A2
|
||||||||||||||
| 356,201 | 3.078 | 07/25/35 | 314,945 | |||||||||||
| 820,184 | ||||||||||||||
|
Collateralized
Mortgage Obligations – 7.4%
|
||||||||||||||
|
Agency
Multi-Family – 3.1%
|
||||||||||||||
|
FNMA
|
||||||||||||||
| $ | 199,063 | 2.800 | % | 03/01/18 | $ | 196,302 | ||||||||
| 499,499 | 3.740 | 05/01/18 | 517,782 | |||||||||||
| 110,000 | 3.840 | 05/01/18 | 113,539 | |||||||||||
| 400,000 | 4.506 | 06/01/19 | 422,859 | |||||||||||
| 99,633 | 3.416 | 10/01/20 | 97,766 | |||||||||||
| 199,246 | 3.375 | 11/01/20 | 194,806 | |||||||||||
| 99,645 | 3.632 | 12/01/20 | 98,985 | |||||||||||
| 397,980 | 3.763 | 12/01/20 | 399,303 | |||||||||||
|
GNMA
|
||||||||||||||
| 96,970 | 3.950 | 07/15/25 | 100,131 | |||||||||||
| 2,141,473 | ||||||||||||||
|
Interest
Only(a)(b)(c) –
0.0%
|
||||||||||||||
|
FNMA REMIC
Series 2004-47,
Class EI
|
||||||||||||||
| 203,460 | 0.000 | 06/25/34 | 3,322 | |||||||||||
|
FNMA REMIC
Series 2004-62,
Class DI
|
||||||||||||||
| 85,674 | 0.000 | 07/25/33 | 1,021 | |||||||||||
| 4,343 | ||||||||||||||
|
Regular
Floater(a) –
2.7%
|
||||||||||||||
|
National Credit Union Administration Guaranteed Notes
Series 2011-R3,
Class 1A
|
||||||||||||||
| 283,236 | 0.590 | 03/11/20 | 283,701 | |||||||||||
|
National Credit Union Administration Guaranteed Notes
Series 2011-R4,
Class 1A
|
||||||||||||||
| 373,118 | 0.570 | 03/06/20 | 373,380 | |||||||||||
|
National Credit Union Administration Guaranteed Notes
Series 2011-R5,
Class 1A
|
||||||||||||||
| 381,216 | 0.570 | 04/06/20 | 381,499 | |||||||||||
|
National Credit Union Administration Guaranteed Notes
Series 2011-R6,
Class 1A
|
||||||||||||||
| 378,440 | 0.570 | 05/07/20 | 378,735 | |||||||||||
|
National Credit Union Administration Guaranteed Notes
Series A1
|
||||||||||||||
| 400,000 | 0.206 | 06/12/13 | 400,000 | |||||||||||
| 1,817,315 | ||||||||||||||
|
Sequential
Fixed Rate – 1.6%
|
||||||||||||||
|
Banc of America Funding Corp.
Series 2007-8,
Class 2A1
|
||||||||||||||
| 550,538 | 7.000 | 10/25/37 | 395,752 | |||||||||||
|
National Credit Union Administration Guaranteed Notes
|
||||||||||||||
| 400,000 | 3.000 | 06/12/19 | 395,400 | |||||||||||
|
National Credit Union Administration Guaranteed Notes
Series 2010-C1,
Class APT
|
||||||||||||||
| 294,706 | 2.650 | 10/29/20 | 293,453 | |||||||||||
| 1,084,605 | ||||||||||||||
|
TOTAL
COLLATERALIZED MORTGAGE OBLIGATIONS
|
$ | 5,047,736 | ||||||||||||
|
Federal
Agencies – 46.4%
|
||||||||||||||
|
Adjustable
Rate
FHLMC(a) –
0.9%
|
||||||||||||||
| $ | 421,670 | 2.591 | % | 09/01/35 | $ | 443,779 | ||||||||
| 194,554 | 4.775 | 10/01/35 | 207,443 | |||||||||||
| 651,222 | ||||||||||||||
|
Adjustable
Rate
FNMA(a) –
1.4%
|
||||||||||||||
| 196,691 | 2.077 | 05/01/33 | 204,784 | |||||||||||
| 424,182 | 2.457 | 05/01/35 | 444,312 | |||||||||||
| 281,060 | 2.555 | 12/01/35 | 293,902 | |||||||||||
| 942,998 | ||||||||||||||
|
FHLMC –
1.7%
|
||||||||||||||
| 3,013 | 10.000 | 03/01/21 | 3,355 | |||||||||||
| 4,568 | 6.500 | 06/01/23 | 5,136 | |||||||||||
| 790,456 | 5.500 | 01/01/40 | 854,078 | |||||||||||
| 297,046 | 4.000 | 12/01/40 | 297,268 | |||||||||||
| 1,159,837 | ||||||||||||||
|
FNMA –
34.5%
|
||||||||||||||
| 1,150 | 5.000 | 02/01/14 | 1,204 | |||||||||||
| 62,506 | 5.000 | 03/01/18 | 67,064 | |||||||||||
| 27,488 | 5.000 | 06/01/18 | 29,493 | |||||||||||
| 589,913 | 5.500 | 03/01/19 | 639,722 | |||||||||||
| 10,971 | 8.000 | 09/01/21 | 12,816 | |||||||||||
| 13,058 | 5.000 | 04/01/23 | 14,011 | |||||||||||
| 49,544 | 5.000 | 06/01/23 | 53,160 | |||||||||||
| 701,670 | 5.500 | 05/01/25 | 762,892 | |||||||||||
| 74 | 6.000 | 03/01/32 | 82 | |||||||||||
| 2,622 | 6.000 | 05/01/33 | 2,898 | |||||||||||
| 21,667 | 5.000 | 08/01/33 | 23,134 | |||||||||||
| 1,504 | 6.000 | 12/01/33 | 1,670 | |||||||||||
| 1,071 | 6.000 | 12/01/34 | 1,185 | |||||||||||
| 37,106 | 5.000 | 04/01/35 | 39,579 | |||||||||||
| 2,208 | 6.000 | 04/01/35 | 2,432 | |||||||||||
| 4,600 | 6.000 | 02/01/36 | 5,073 | |||||||||||
| 16,473 | 6.500 | 03/01/36 | 18,653 | |||||||||||
| 90,541 | 4.500 | 09/01/39 | 94,424 | |||||||||||
| 89,007 | 4.500 | 10/01/39 | 92,824 | |||||||||||
| 264,847 | 4.500 | 12/01/39 | 276,207 | |||||||||||
| 996,115 | 3.500 | 01/01/41 | 954,478 | |||||||||||
| 3,988,020 | 3.500 | 02/01/41 | 3,821,291 | |||||||||||
| 1,000,000 | 3.500 | 03/01/41 | 958,168 | |||||||||||
| 2,000,000 | 3.500 | TBA-15yr | (d) | 2,036,250 | ||||||||||
| 5,000,000 | 4.000 | TBA-30yr | (d) | 5,000,000 | ||||||||||
| 3,000,000 | 5.000 | TBA-30yr | (d) | 3,187,031 | ||||||||||
| 5,000,000 | 6.000 | TBA-30yr | (d) | 5,494,531 | ||||||||||
| 23,590,272 | ||||||||||||||
GOLDMAN SACHS
VARIABLE INSURANCE TRUST GOVERNMENT INCOME FUND
|
Principal |
Interest |
Maturity |
||||||||||||
| Amount | Rate | Date | Value | |||||||||||
|
Mortgage-Backed
Obligations – (continued)
|
||||||||||||||
|
GNMA –
7.9%
|
||||||||||||||
| $ | 52,297 | 3.500 | % | 12/15/40 | $ | 50,872 | ||||||||
| 3,000,000 | 4.500 | TBA-30yr | (d) | 3,159,610 | ||||||||||
| 2,000,000 | 5.000 | TBA-30yr | (d) | 2,166,250 | ||||||||||
| 5,376,732 | ||||||||||||||
|
TOTAL
FEDERAL AGENCIES
|
$ | 31,721,061 | ||||||||||||
|
TOTAL
MORTGAGE-BACKED OBLIGATIONS
|
||||||||||||||
|
(Cost
$37,882,592)
|
$ | 37,588,981 | ||||||||||||
|
Agency
Debentures – 7.3%
|
||||||||||||||
|
FFCB
|
||||||||||||||
| $ | 500,000 | 5.400 | % | 06/08/17 | $ | 579,716 | ||||||||
|
FHLB
|
||||||||||||||
| 800,000 | 1.750 | 12/14/12 | 814,739 | |||||||||||
| 300,000 | 5.375 | 05/15/19 | 346,709 | |||||||||||
| 200,000 | 5.625 | 06/11/21 | 233,883 | |||||||||||
|
FHLMC
|
||||||||||||||
| 1,000,000 | 1.375 | 02/25/14 | 1,013,222 | |||||||||||
| 1,500,000 | 4.500 | 04/02/14 | 1,644,574 | |||||||||||
|
Tennessee Valley
Authority(e)
|
||||||||||||||
| 300,000 | 5.375 | 04/01/56 | 322,150 | |||||||||||
|
TOTAL
AGENCY DEBENTURES
|
||||||||||||||
|
(Cost
$4,739,400)
|
$ | 4,954,993 | ||||||||||||
|
Asset-Backed
Securities – 3.2%
|
||||||||||||||
|
Credit
Card(a) –
0.7%
|
||||||||||||||
|
Chase Issuance
Trust Series 2005-A11,
Class A
|
||||||||||||||
| $ | 500,000 | 0.257 | % | 12/15/14 | $ | 499,812 | ||||||||
|
Home
Equity – 0.1%
|
||||||||||||||
|
GMAC Mortgage Corp. Loan
Trust Series 2007-HE3,
Class 1A1
|
||||||||||||||
| 43,486 | 7.000 | 09/25/37 | 31,528 | |||||||||||
|
GMAC Mortgage Corp. Loan
Trust Series 2007-HE3,
Class 2A1
|
||||||||||||||
| 55,869 | 7.000 | 09/25/37 | 39,052 | |||||||||||
| 70,580 | ||||||||||||||
|
Student
Loans(a) –
2.4%
|
||||||||||||||
|
Brazos Higher Education Authority
Series 2005-3,
Class A14
|
||||||||||||||
| 174,053 | 0.357 | 09/25/23 | 172,884 | |||||||||||
|
Brazos Higher Education Authority
Series 2011-1,
Class A2
|
||||||||||||||
| 400,000 | 1.057 | 02/25/30 | 394,817 | |||||||||||
|
Brazos Higher Education Authority
Series 2011-2,
Class A2
|
||||||||||||||
| 400,000 | 1.097 | 07/25/29 | 395,998 | |||||||||||
|
Knowledgeworks Foundation
Series 2010-1,
Class A
|
||||||||||||||
| 282,535 | 1.207 | 02/25/42 | 278,682 | |||||||||||
|
Nelnet Student Loan
Trust Series 2010-3A,
Class A(f)
|
||||||||||||||
| 364,218 | 1.054 | 07/27/48 | 364,564 | |||||||||||
| 1,606,945 | ||||||||||||||
|
TOTAL
ASSET-BACKED SECURITIES
|
||||||||||||||
|
(Cost
$2,117,709)
|
$ | 2,177,337 | ||||||||||||
|
Government
Guarantee
Obligations(g) –
9.2%
|
||||||||||||||
|
Ally Financial, Inc.
|
||||||||||||||
| $ | 1,100,000 | 1.750 | % | 10/30/12 | $ | 1,119,596 | ||||||||
|
Citigroup Funding, Inc.
|
||||||||||||||
| 1,300,000 | 1.875 | 10/22/12 | 1,325,392 | |||||||||||
| 600,000 | 1.875 | 11/15/12 | 612,063 | |||||||||||
|
General Electric Capital Corp.
|
||||||||||||||
| 700,000 | 2.125 | 12/21/12 | 717,297 | |||||||||||
|
Private Export Funding Corp.
|
||||||||||||||
| 2,000,000 | 3.550 | 04/15/13 | 2,103,862 | |||||||||||
|
U.S. Central Federal Credit Union
|
||||||||||||||
| 400,000 | 1.900 | 10/19/12 | 407,799 | |||||||||||
|
TOTAL
GOVERNMENT GUARANTEE OBLIGATIONS
|
||||||||||||||
|
(Cost
$6,179,287)
|
$ | 6,286,009 | ||||||||||||
|
U.S. Treasury
Obligations – 20.0%
|
||||||||||||||
|
United States Treasury
Bill(h)
|
||||||||||||||
| $ | 5,200,000 | 0.000 | % | 09/29/11 | $ | 5,199,675 | ||||||||
|
United States Treasury Bonds
|
||||||||||||||
| 200,000 | 5.000 | 05/15/37 | 222,190 | |||||||||||
| 100,000 | 4.250 | 05/15/39 | 98,134 | |||||||||||
| 100,000 | 4.375 | 11/15/39 | 100,075 | |||||||||||
| 100,000 | 4.375 | 05/15/40 | 99,970 | |||||||||||
| 400,000 | 4.250 | 11/15/40 | 391,044 | |||||||||||
| 500,000 | 4.375 | 05/15/41 | 499,295 | |||||||||||
|
United States Treasury Inflation-Protected Securities
|
||||||||||||||
| 250,174 | 3.000 | 07/15/12 | 261,237 | |||||||||||
| 223,050 | 2.375 | 01/15/27 | 254,346 | |||||||||||
|
United States Treasury Notes
|
||||||||||||||
| 1,800,000 | 1.000 | 04/30/12 | 1,811,898 | |||||||||||
| 1,900,000 | 0.750 | 06/15/14 | 1,897,701 | |||||||||||
| 400,000 | 2.875 | 03/31/18 | 412,064 | |||||||||||
| 1,800,000 | 3.625 | 02/15/21 | 1,876,878 | |||||||||||
| 500,000 | 3.125 | 05/15/21 | 498,595 | |||||||||||
|
TOTAL
U.S. TREASURY OBLIGATIONS
|
||||||||||||||
|
(Cost
$13,630,349)
|
$ | 13,623,102 | ||||||||||||
| Shares | Rate | Value | ||||||||
|
Short-term
Investment(a) –
35.9
|
||||||||||
|
JPMorgan U.S. Government Money Market Fund — Capital
Shares
|
||||||||||
| 24,532,792 | 0.010 | % | $ | 24,532,792 | ||||||
|
(Cost
$24,532,792)
|
||||||||||
|
TOTAL
INVESTMENTS – 130.6%
|
||||||||||
|
(Cost
$89,082,129)
|
$ | 89,163,214 | ||||||||
|
LIABILITIES
IN EXCESS OF OTHER ASSETS – (30.6)%
|
(20,869,654 | ) | ||||||||
|
NET
ASSETS – 100.0%
|
$ | 68,293,560 | ||||||||
GOLDMAN SACHS
VARIABLE INSURANCE TRUST GOVERNMENT INCOME FUND
Schedule of
Investments (continued)
June 30,
2011 (Unaudited)
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 June 30, 2011. | |
| (b) | Issued with a zero coupon. Interest rate is contingent upon LIBOR reaching a predetermined level. | |
| (c) | Security with notional or nominal principal amount. The actual effective yield of this security is different than the stated interest rate. | |
| (d) | 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 $21,043,672 which represents approximately 30.8% of net assets as of June 30, 2011. | |
| (e) | All or a portion of security is segregated as collateral for initial margin requirements on futures transactions. | |
| (f) | 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 $364,564, which represents approximately 0.5% of net assets as of June 30, 2011. | |
| (g) | Guaranteed under the Federal Deposit Insurance Corporation’s (“FDIC”) Temporary Liquidity Guarantee Program and 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 June 30, 2012. | |
| (h) | Issued with zero coupon. Income is recognized through the accretion of discount. |
|
Investment
Abbreviations:
|
||||
|
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 | ||
|
REMIC
|
— | Real Estate Mortgage Investment Conduit | ||
GOLDMAN SACHS
VARIABLE INSURANCE TRUST GOVERNMENT INCOME FUND
| ADDITIONAL INVESTMENT INFORMATION |
FORWARD SALES
CONTRACTS — At June 30, 2011, the Fund
had the following forward sales contracts:
|
Interest |
Maturity |
Settlement |
Principal |
|||||||||||||||
| Description | Rate | Date(d) | Date | Amount | Value | |||||||||||||
|
FNMA
|
3.500 | % | TBA-30yr | 07/14/11 | $ | (3,000,000 | ) | $ | (2,869,453 | ) | ||||||||
|
FNMA
|
3.500 | TBA-30yr | 08/11/11 | (2,000,000 | ) | (1,907,656 | ) | |||||||||||
|
TOTAL
(Proceeds
Receivable: $4,827,031)
|
$ | (4,777,109 | ) | |||||||||||||||
FUTURES
CONTRACTS — At June 30, 2011, the
following futures contracts were open:
|
Number of |
||||||||||||||
|
Contracts |
Expiration |
Current |
Unrealized |
|||||||||||
| Type | Long (Short) | Date | Value | Gain (Loss) | ||||||||||
|
U.S. Treasury Bonds
|
3 | September 2011 | $ | 369,094 | $ | (255 | ) | |||||||
|
U.S. Ultra Long Treasury Bonds
|
12 | September 2011 | 1,515,000 | (19,610 | ) | |||||||||
|
2 Year U.S. Treasury Notes
|
19 | September 2011 | 4,167,531 | 7,580 | ||||||||||
|
5 Year U.S. Treasury Notes
|
27 | September 2011 | 3,218,274 | (24,854 | ) | |||||||||
|
10 Year U.S. Treasury Notes
|
27 | September 2011 | 3,302,859 | (30,568 | ) | |||||||||
|
TOTAL
|
$ | (67,707 | ) | |||||||||||
GOLDMAN SACHS
VARIABLE INSURANCE TRUST GROWTH OPPORTUNITIES FUND
Schedule of
Investments
June 30,
2011 (Unaudited)
| Shares | Description | Value | ||||||
|
Common
Stocks – 97.7%
|
||||||||
|
Banks –
1.0%
|
||||||||
| 51,921 | First Republic Bank* | $ | 1,676,010 | |||||
|
Capital
Goods – 8.0%
|
||||||||
| 50,615 | DigitalGlobe, Inc.* | 1,286,127 | ||||||
| 85,517 | Kennametal, Inc. | 3,609,673 | ||||||
| 107,682 | Quanta Services, Inc.* | 2,175,176 | ||||||
| 37,383 | Raytheon Co. | 1,863,542 | ||||||
| 13,630 | Rockwell Automation, Inc. | 1,182,539 | ||||||
| 34,039 | Roper Industries, Inc. | 2,835,449 | ||||||
| 12,952,506 | ||||||||
|
Commercial
& Professional Services – 2.2%
|
||||||||
| 43,411 | Ritchie Bros Auctioneers, Inc. | 1,193,369 | ||||||
| 68,765 | Verisk Analytics, Inc. Class A* | 2,380,644 | ||||||
| 3,574,013 | ||||||||
|
Consumer
Durables & Apparel – 4.2%
|
||||||||
| 156,861 | Newell Rubbermaid, Inc. | 2,475,267 | ||||||
| 53,454 | Phillips-Van Heusen Corp. | 3,499,633 | ||||||
| 6,398 | Polo Ralph Lauren Corp. | 848,439 | ||||||
| 6,823,339 | ||||||||
|
Consumer
Services – 3.8%
|
||||||||
| 60,157 | Coinstar, Inc.* | 3,280,963 | ||||||
| 32,560 | Darden Restaurants, Inc. | 1,620,185 | ||||||
| 34,729 | Marriott International, Inc. Class A | 1,232,532 | ||||||
| 6,133,680 | ||||||||
|
Diversified
Financials – 9.6%
|
||||||||
| 8,859 | Affiliated Managers Group, Inc.* | 898,746 | ||||||
| 27,177 | IntercontinentalExchange, Inc.* | 3,389,244 | ||||||
| 36,854 | Invesco Ltd. | 862,384 | ||||||
| 60,970 | Lazard Ltd. Class A | 2,261,987 | ||||||
| 59,555 | MSCI, Inc. Class A* | 2,244,032 | ||||||
| 58,539 | Northern Trust Corp. | 2,690,452 | ||||||
| 97,869 | SLM Corp. | 1,645,178 | ||||||
| 82,405 | TD Ameritrade Holding Corp. | 1,607,721 | ||||||
| 15,599,744 | ||||||||
|
Energy –
11.0%
|
||||||||
| 74,937 | Cameron International Corp.* | 3,768,582 | ||||||
| 17,852 | Core Laboratories NV | 1,991,212 | ||||||
| 39,798 | Dril-Quip, Inc.* | 2,699,498 | ||||||
| 65,066 | Petrohawk Energy Corp.* | 1,605,178 | ||||||
| 32,329 | Pioneer Natural Resources Co. | 2,895,709 | ||||||
| 47,842 | Southwestern Energy Co.* | 2,051,465 | ||||||
| 50,031 | Whiting Petroleum Corp.* | 2,847,264 | ||||||
| 17,858,908 | ||||||||
|
Health
Care Equipment & Services – 7.8%
|
||||||||
| 20,448 | C. R. Bard, Inc. | 2,246,417 | ||||||
| 90,632 | CareFusion Corp.* | 2,462,472 | ||||||
| 82,510 | Emdeon, Inc. Class A* | 1,082,531 | ||||||
| 36,047 | Henry Schein, Inc.* | 2,580,605 | ||||||
| 4,149 | Intuitive Surgical, Inc.* | 1,543,884 | ||||||
| 58,226 | St. Jude Medical, Inc. | 2,776,216 | ||||||
| 12,692,125 | ||||||||
|
Household
& Personal Products – 1.9%
|
||||||||
| 109,234 | Avon Products, Inc. | 3,058,552 | ||||||
|
Insurance –
1.4%
|
||||||||
| 74,578 | Principal Financial Group, Inc. | 2,268,663 | ||||||
|
Materials –
2.0%
|
||||||||
| 28,698 | Ecolab, Inc. | 1,617,993 | ||||||
| 58,420 | Nalco Holding Co. | 1,624,660 | ||||||
| 3,242,653 | ||||||||
|
Media –
2.0%
|
||||||||
| 61,511 | Lamar Advertising Co. Class A* | 1,683,556 | ||||||
| 32,332 | Scripps Networks Interactive, Inc. Class A | 1,580,388 | ||||||
| 3,263,944 | ||||||||
|
Real
Estate – 1.6%
|
||||||||
| 102,066 | CB Richard Ellis Group, Inc. Class A* | 2,562,877 | ||||||
|
Retailing –
9.4%
|
||||||||
| 58,977 | Bed Bath & Beyond, Inc.* | 3,442,487 | ||||||
| 46,810 | Dick’s Sporting Goods, Inc.* | 1,799,845 | ||||||
| 57,420 | GameStop Corp. Class A* | 1,531,391 | ||||||
| 79,026 | PetSmart, Inc. | 3,585,410 | ||||||
| 165,482 | Staples, Inc. | 2,614,616 | ||||||
| 79,780 | Urban Outfitters, Inc.* | 2,245,807 | ||||||
| 15,219,556 | ||||||||
|
Semiconductors
& Semiconductor Equipment – 5.6%
|
||||||||
| 42,376 | Altera Corp. | 1,964,128 | ||||||
| 43,782 | Linear Technology Corp. | 1,445,682 | ||||||
| 104,857 | NVIDIA Corp.* | 1,670,896 | ||||||
| 110,148 | Xilinx, Inc. | 4,017,097 | ||||||
| 9,097,803 | ||||||||
|
Software
& Services – 15.0%
|
||||||||
| 30,240 | Citrix Systems, Inc.* | 2,419,200 | ||||||
| 23,482 | Equinix, Inc.* | 2,372,152 | ||||||
| 22,175 | FleetCor Technologies, Inc.* | 657,267 | ||||||
| 103,847 | Genpact Ltd.* | 1,790,322 | ||||||
| 82,701 | Global Payments, Inc. | 4,217,751 | ||||||
| 20,281 | Rackspace Hosting, Inc.* | 866,810 | ||||||
| 104,678 | RealD, Inc.* | 2,448,419 | ||||||
| 101,053 | Renren, Inc. ADR* | 894,319 | ||||||
| 16,192 | Salesforce.com, Inc.* | 2,412,284 | ||||||
| 71,513 | SuccessFactors, Inc.* | 2,102,482 | ||||||
| 103,565 | The Western Union Co. | 2,074,407 | ||||||
| 45,883 | VeriFone Systems, Inc.* | 2,034,911 | ||||||
| 24,290,324 | ||||||||
|
Technology
Hardware & Equipment – 5.8%
|
||||||||
| 58,939 | Amphenol Corp. Class A | 3,182,117 | ||||||
| 35,091 | Dolby Laboratories, Inc. Class A* | 1,489,964 | ||||||
| 65,768 | FLIR Systems, Inc. | 2,217,039 | ||||||
| 47,021 | NetApp, Inc.* | 2,481,768 | ||||||
| 9,370,888 | ||||||||
GOLDMAN SACHS
VARIABLE INSURANCE TRUST GROWTH OPPORTUNITIES FUND
| Shares | Description | Value | ||||||
|
Common
Stocks – (continued)
|
||||||||
|
Telecommunication
Services – 4.8%
|
||||||||
| 45,295 | Crown Castle International Corp.* | $ | 1,847,583 | |||||
| 94,253 | SBA Communications Corp. Class A* | 3,599,522 | ||||||
| 113,947 | tw telecom, inc.* | 2,339,332 | ||||||
| 7,786,437 | ||||||||
|
Transportation –
0.6%
|
||||||||
| 13,297 | C.H. Robinson Worldwide, Inc. | 1,048,335 | ||||||
|
TOTAL
COMMON STOCKS
|
||||||||
|
(Cost
$133,499,865)
|
$ | 158,520,357 | ||||||
| Shares | Rate | Value | ||||||||
|
Short-term
Investment(a) –
2.3%
|
||||||||||
|
JPMorgan U.S. Government Money Market Fund — Capital
Shares
|
||||||||||
| 3,790,358 | 0.010 | % | $ | 3,790,358 | ||||||
|
(Cost
$3,790,358)
|
||||||||||
|
TOTAL
INVESTMENTS – 100.0%
|
||||||||||
|
(Cost
$137,290,223)
|
$ | 162,310,715 | ||||||||
|
LIABILITIES
IN EXCESS OF OTHER ASSETS – 0.0%
|
(28,554 | ) | ||||||||
|
NET
ASSETS – 100.0%
|
$ | 162,282,161 | ||||||||
The percentage shown for each investment category reflects the
value of investments in that category as a percentage of net
assets.
| * | Non-income producing security. | |
| (a) | Variable rate security. Interest rate disclosed is that which is in effect at June 30, 2011. |
|
Investment
Abbreviation:
|
||||
|
ADR
|
— | American Depositary Receipt | ||
GOLDMAN SACHS
VARIABLE INSURANCE TRUST FUNDS
Statements
of Assets and Liabilities
June 30,
2011 (Unaudited)
|
Growth |
||||||||||||||||
|
Core Fixed |
Equity Index |
Government |
Opportunities |
|||||||||||||
| Income Fund | Fund | Income Fund | Fund | |||||||||||||
|
Assets:
|
||||||||||||||||
|
Investments in securities, at value (identified cost
$184,987,660, $155,818,341, $89,082,129 and $137,290,223,
respectively)
|
$ | 186,876,603 | $ | 190,828,923 | $ | 89,163,214 | $ | 162,310,715 | ||||||||
|
Cash
|
1,510 | — | — | — | ||||||||||||
|
Foreign currencies, at value (identified cost $5,652 for the
Core Fixed Income Fund)
|
5,756 | — | — | — | ||||||||||||
|
Receivables:
|
||||||||||||||||
|
Investment securities sold on an extended-delivery basis
|
25,608,985 | — | 14,169,687 | — | ||||||||||||
|
Investment securities sold
|
1,678,531 | 550,299 | 414 | 260,031 | ||||||||||||
|
Interest and dividends, at value
|
1,032,782 | 242,619 | 157,774 | 61,100 | ||||||||||||
|
Fund shares sold
|
92,122 | 84,189 | 138,004 | 65,132 | ||||||||||||
|
Reimbursement from investment adviser
|
41,420 | 26,318 | 35,288 | 32,378 | ||||||||||||
|
Forward foreign currency exchange contracts, at value
|
36,575 | — | — | — | ||||||||||||
|
Due from broker — variation margin, at value
|
— | 11,200 | — | — | ||||||||||||
|
Other assets
|
1,369 | 1,263 | 622 | 1,017 | ||||||||||||
|
Total
assets
|
215,375,653 | 191,744,811 | 103,665,003 | 162,730,373 | ||||||||||||
|
Liabilities:
|
||||||||||||||||
|
Payables:
|
||||||||||||||||
|
Investment securities purchased on an extended-delivery basis
|
46,841,328 | — | 30,426,875 | — | ||||||||||||
|
Forward Sale Contracts, at value (proceeds receivable
$7,723,516, $0, $4,827,031 and $0, respectively)
|
7,646,563 | — | 4,777,109 | — | ||||||||||||
|
Investment securities purchased
|
1,612,509 | — | — | 112,662 | ||||||||||||
|
Forward foreign currency exchange contracts, at value
|
142,561 | — | — | — | ||||||||||||
|
Fund shares redeemed
|
94,733 | 23,559 | 20,206 | 109,688 | ||||||||||||
|
Amounts owed to affiliates
|
88,787 | 87,901 | 46,854 | 152,293 | ||||||||||||
|
Due to broker — variation margin, at value
|
51,248 | — | 30,320 | — | ||||||||||||
|
Accrued expenses
|
83,139 | 78,145 | 70,079 | 73,569 | ||||||||||||
|
Total
liabilities
|
56,560,868 | 189,605 | 35,371,443 | 448,212 | ||||||||||||
|
Net
Assets:
|
||||||||||||||||
|
Paid-in capital
|
170,623,940 | 183,686,964 | 67,370,254 | 137,232,495 | ||||||||||||
|
Accumulated undistributed (distributions in excess of) net
investment income (loss)
|
(59,420 | ) | 1,723,441 | (3,201 | ) | (374,472 | ) | |||||||||
|
Accumulated net realized gain (loss) from investment, futures
and foreign currency related transactions
|
(13,489,192 | ) | (28,913,796 | ) | 863,207 | 403,646 | ||||||||||
|
Net unrealized gain on investments, futures and translation of
assets and liabilities denominated in foreign currencies
|
1,739,457 | 35,058,597 | 63,300 | 25,020,492 | ||||||||||||
|
NET
ASSETS
|
$ | 158,814,785 | $ | 191,555,206 | $ | 68,293,560 | $ | 162,282,161 | ||||||||
|
Total Service Shares of beneficial interest outstanding $0.001
par value (unlimited shares authorized):
|
15,704,512 | 19,475,827 | 6,396,484 | 23,175,720 | ||||||||||||
|
Net asset value, offering and redemption price per share
|
$10.11 | $9.84 | $10.68 | $7.00 | ||||||||||||
GOLDMAN SACHS
VARIABLE INSURANCE TRUST FUNDS
Statements
of Operations
For the
Six Months Ended June 30, 2011 (Unaudited)
|
Growth |
||||||||||||||||
|
Core Fixed |
Equity Index |
Government |
Opportunities |
|||||||||||||
| Income Fund | Fund | Income Fund | Fund | |||||||||||||
|
Investment
income:
|
||||||||||||||||
|
Interest
|
$ | 2,519,250 | $ | — | $ | 658,179 | $ | — | ||||||||
|
Dividends (net of foreign taxes withheld of $2,303 for the
Growth Opportunities Fund)
|
3,029 | 1,929,175 | 2,621 | 530,159 | ||||||||||||
|
Total
investment income
|
2,522,279 | 1,929,175 | 660,800 | 530,159 | ||||||||||||
|
Expenses:
|
||||||||||||||||
|
Management fees
|
325,394 | 292,314 | 188,395 | 777,850 | ||||||||||||
|
Distribution and Service fees
|
203,371 | 243,593 | 87,220 | 194,462 | ||||||||||||
|
Professional fees
|
49,295 | 40,806 | 46,252 | 38,483 | ||||||||||||
|
Custody and accounting fees
|
37,760 | 25,027 | 29,611 | 26,506 | ||||||||||||
|
Printing and mailing costs
|
30,845 | 32,245 | 25,358 | 31,060 | ||||||||||||
|
Transfer Agent fees
|
16,268 | 19,486 | 6,977 | 15,556 | ||||||||||||
|
Trustee fees
|
8,307 | 8,365 | 8,241 | 8,316 | ||||||||||||
|
Other
|
4,955 | 3,868 | 3,527 | 4,715 | ||||||||||||
|
Total
expenses
|
676,195 | 665,704 | 395,581 | 1,096,948 | ||||||||||||
|
Less — expense reductions
|
(127,910 | ) | (194,110 | ) | (111,594 | ) | (176,104 | ) | ||||||||
|
Net
expenses
|
548,285 | 471,594 | 283,987 | 920,844 | ||||||||||||
|
NET
INVESTMENT INCOME (LOSS)
|
1,973,994 | 1,457,581 | 376,813 | (390,685 | ) | |||||||||||
|
Realized and
unrealized gain (loss) from investment, futures and foreign
currency related transactions:
|
||||||||||||||||
|
Net realized gain (loss) from:
|
||||||||||||||||
|
Investment transactions (including commissions recaptured of
$33,261 for the Growth Opportunities Fund)
|
2,523,063 | 3,005,121 | 1,717,387 | 7,481,042 | ||||||||||||
|
Futures transactions
|
(111,782 | ) | 115,198 | (362,654 | ) | — | ||||||||||
|
Forward foreign currency exchange contracts (includes $23,158 of
losses on foreign currency related transactions)
|
(265,349 | ) | — | — | — | |||||||||||
|
Net change in unrealized gain (loss) on:
|
||||||||||||||||
|
Investments
|
(28,787 | ) | 6,599,144 | (632,411 | ) | (856,542 | ) | |||||||||
|
Futures
|
232,900 | 35,156 | 161,242 | — | ||||||||||||
|
Forward foreign currency exchange contracts (includes $274 of
losses on translation of assets and liabilities denominated in
foreign currencies)
|
(75,001 | ) | — | — | — | |||||||||||
|
Net
realized and
unrealized
gain from investment, futures and foreign currency
related transactions
|
2,275,044 | 9,754,619 | 883,564 | 6,624,500 | ||||||||||||
|
NET
INCREASE IN NET ASSETS RESULTING FROM OPERATIONS
|
$ | 4,249,038 | $ | 11,212,200 | $ | 1,260,377 | $ | 6,233,815 | ||||||||
GOLDMAN SACHS
VARIABLE INSURANCE TRUST FUNDS
Statements
of Changes in Net Assets
| Core Fixed Income Fund | ||||||||
|
For the |
||||||||
|
Six Months
Ended |
For the |
|||||||
|
June 30, 2011 |
Fiscal Year
Ended |
|||||||
| (Unaudited) | December 31, 2010 | |||||||
|
From
operations:
|
||||||||
|
Net investment income (loss)
|
$ | 1,973,994 | $ | 5,067,283 | ||||
|
Net realized gain from investment, futures and foreign currency
related transactions
|
2,145,932 | 5,695,098 | ||||||
|
Net change in unrealized gain (loss) on investments, futures and
translation of assets and liabilities denominated in foreign
currencies
|
129,112 | 2,132,947 | ||||||
|
Net
increase in net assets resulting from operations
|
4,249,038 | 12,895,328 | ||||||
|
Distributions to
shareholders:
|
||||||||
|
From net investment income
|
(2,442,779 | ) | (5,464,354 | ) | ||||
|
From net realized gains
|
— | — | ||||||
|
Total
distributions to shareholders
|
(2,442,779 | ) | (5,464,354 | ) | ||||
|
From share
transactions:
|
||||||||
|
Proceeds from sales of shares
|
4,470,079 | 14,587,352 | ||||||
|
Reinvestment of distributions
|
2,442,779 | 5,464,354 | ||||||
|
Cost of shares redeemed
|
(20,624,683 | ) | (39,940,402 | ) | ||||
|
Net
decrease in net assets resulting from share
transactions
|
(13,711,825 | ) | (19,888,696 | ) | ||||
|
TOTAL
INCREASE (DECREASE)
|
(11,905,566 | ) | (12,457,722 | ) | ||||
|
Net
assets:
|
||||||||
|
Beginning of period
|
170,720,351 | 183,178,073 | ||||||
|
End of period
|
$ | 158,814,785 | $ | 170,720,351 | ||||
|
Accumulated
undistributed (distributions in excess of) net investment income
(loss)
|
$ | (59,420 | ) | $ | 409,365 | |||
|
Summary of share
transactions:
|
||||||||
|
Shares sold
|
441,889 | 1,456,328 | ||||||
|
Shares issued on reinvestment of distributions
|
243,656 | 549,659 | ||||||
|
Shares redeemed
|
(2,045,368 | ) | (3,991,289 | ) | ||||
|
NET
INCREASE (DECREASE)
|
(1,359,823 | ) | (1,985,302 | ) | ||||
GOLDMAN SACHS
VARIABLE INSURANCE TRUST FUNDS
| Equity Index Fund | Government Income Fund | Growth Opportunities Fund | ||||||||||||||||||||
|
For the |
For the |
For the |
||||||||||||||||||||
|
Six Months
Ended |
For the |
Six Months
Ended |
For the |
Six Months
Ended |
For the |
|||||||||||||||||
|
June 30, 2011 |
Fiscal Year
Ended |
June 30, 2011 |
Fiscal Year
Ended |
June 30, 2011 |
Fiscal Year
Ended |
|||||||||||||||||
| (Unaudited) | December 31, 2010 | (Unaudited) | December 31, 2010 | (Unaudited) | December 31, 2010 | |||||||||||||||||
| $ | 1,457,581 | $ | 2,867,686 | $ | 376,813 | $ | 1,174,322 | $ | (390,685 | ) | $ | (712,464 | ) | |||||||||
| 3,120,319 | 3,039,130 | 1,354,733 | 2,243,162 | 7,481,042 | 16,003,733 | |||||||||||||||||
|
6,634,300 |
19,814,112 | (471,169 | ) | 337,789 | (856,542 | ) | 8,130,062 | |||||||||||||||
| 11,212,200 | 25,720,928 | 1,260,377 | 3,755,273 | 6,233,815 | 23,421,331 | |||||||||||||||||
| — | (2,986,451 | ) | (468,085 | ) | (1,312,896 | ) | — | — | ||||||||||||||
| — | — | — | (523,731 | ) | — | — | ||||||||||||||||
| — | (2,986,451 | ) | (468,085 | ) | (1,836,627 | ) | — | — | ||||||||||||||
| 13,100,098 | 4,058,717 | 7,272,370 | 16,983,366 | 22,301,861 | 19,089,330 | |||||||||||||||||
| — | 2,986,451 | 468,085 | 1,836,627 | — | — | |||||||||||||||||
| (26,631,092 | ) | (34,493,149 | ) | (12,550,424 | ) | (23,187,620 | ) | (12,157,180 | ) | (24,317,063 | ) | |||||||||||
| (13,530,994 | ) | (27,447,981 | ) | (4,809,969 | ) | (4,367,627 | ) | 10,144,681 | (5,227,733 | ) | ||||||||||||
| (2,318,794 | ) | (4,713,504 | ) | (4,017,677 | ) | (2,448,981 | ) | 16,378,496 | 18,193,598 | |||||||||||||
| 193,874,000 | 198,587,504 | 72,311,237 | 74,760,218 | 145,903,665 | 127,710,067 | |||||||||||||||||
| $ | 191,555,206 | $ | 193,874,000 | $ | 68,293,560 | $ | 72,311,237 | $ | 162,282,161 | $ | 145,903,665 | |||||||||||
| $ | 1,723,441 | $ | 265,860 | $ | (3,201 | ) | $ | 88,071 | $ | (374,472 | ) | $ | 16,213 | |||||||||
| 238,533 | 481,675 | 685,472 | 1,598,199 | 3,195,217 | 3,177,035 | |||||||||||||||||
| — | 322,163 | 44,245 | 174,144 | — | — | |||||||||||||||||
| (1,628,690 | ) | (4,084,097 | ) | (1,183,519 | ) | (2,183,890 | ) | (1,733,520 | ) | (4,134,939 | ) | |||||||||||
| (1,390,157 | ) | (3,280,259 | ) | (453,802 | ) | (411,547 | ) | 1,461,697 | (957,904 | ) | ||||||||||||
GOLDMAN SACHS
VARIABLE INSURANCE TRUST CORE FIXED INCOME FUND
Financial
Highlights
Selected
Data for a Share Outstanding Throughout Each Period
|
Income (loss)
from |
||||||||||||||||||||||||||||||||||||||||||||||||||||||
| investment operations | ||||||||||||||||||||||||||||||||||||||||||||||||||||||
|
Net |
Distributions |
Ratio of |
Ratio of |
Portfolio |
Portfolio |
|||||||||||||||||||||||||||||||||||||||||||||||||
|
Net asset |
realized |
to
shareholders |
Net asset |
Net assets, |
Ratio of |
total |
net investment |
turnover rate |
turnover rate |
|||||||||||||||||||||||||||||||||||||||||||||
|
value, |
Net |
and |
Total from |
from net |
value, |
end of |
net expenses |
expenses |
income |
(including the |
(excluding the |
|||||||||||||||||||||||||||||||||||||||||||
|
beginning |
investment |
unrealized |
investment |
investment |
end of |
Total |
period |
to average |
to average |
to average |
effect of
mortgage |
effect of
mortgage |
||||||||||||||||||||||||||||||||||||||||||
| Year | of period | income(a) | gain (loss) | operations | income | period | return(b) | (in 000s) | net assets | net assets | net assets | dollar rolls) | dollar rolls) | |||||||||||||||||||||||||||||||||||||||||
|
FOR THE SIX
MONTHS ENDED JUNE 30, (UNAUDITED)
|
||||||||||||||||||||||||||||||||||||||||||||||||||||||
|
2011
|
$ | 10.00 | $ | 0.12 | $ | 0.14 | $ | 0.26 | $ | (0.15 | ) | $ | 10.11 | 2.65 | % | $ | 158,815 | 0.67 | %(c) | 0.83 | %(c) | 2.43 | %(c) | 301 | % | 216 | % | |||||||||||||||||||||||||||
|
FOR THE FISCAL
YEARS ENDED DECEMBER 31,
|
||||||||||||||||||||||||||||||||||||||||||||||||||||||
|
2010
|
9.62 | 0.28 | 0.41 | 0.69 | (0.31 | ) | 10.00 | 7.18 | 170,720 | 0.67 | 0.81 | 2.80 | 399 | 307 | ||||||||||||||||||||||||||||||||||||||||
|
2009
|
8.81 | 0.39 | 0.87 | 1.26 | (0.45 | ) | 9.62 | 14.68 | 183,178 | 0.67 | 0.79 | 4.29 | 187 | 159 | ||||||||||||||||||||||||||||||||||||||||
|
2008
|
10.13 | 0.47 | (1.31 | ) | (0.84 | ) | (0.48 | ) | 8.81 | (8.56 | ) | 182,978 | 0.67 | 0.77 | 4.92 | 140 | 105 | |||||||||||||||||||||||||||||||||||||
|
2007
|
9.94 | 0.48 | 0.17 | 0.65 | (0.46 | ) | 10.13 | 6.81 | 264,389 | 0.54 | (d) | 0.76 | (d) | 4.82 | (d) | 123 | 92 | |||||||||||||||||||||||||||||||||||||
|
2006(e)
|
9.98 | 0.44 | (0.03 | )(f) | 0.41 | (0.45 | ) | 9.94 | 4.23 | (g) | 285,768 | 0.54 | 0.78 | 4.49 | 265 | 259 | ||||||||||||||||||||||||||||||||||||||
| (a) | Calculated based on the average shares outstanding methodology. | |
| (b) | Assumes investment at the net asset value at the beginning of the period, reinvestment of all distributions and a complete redemption of the investment at the net asset value at the end of the period. The Goldman Sachs Core Fixed Income Fund first began operations as the Allmerica Select Investment Grade Fund (the “Predecessor AIT Fund”) of the Allmerica Investment Trust. On January 9, 2006, the Predecessor AIT Fund was reorganized as a new portfolio of the Goldman Sachs Variable Insurance Trust. Performance prior to January 9, 2006 is that of the Predecessor AIT Fund. The Predecessor AIT Fund was considered the accounting survivor of the reorganization and as such, the historical total return information of the Predecessor AIT Fund is provided. | |
| (c) | Annualized. | |
| (d) | Includes non-recurring expense for a special shareholder meeting which amounted to approximately 0.02% of average net assets. | |
| (e) | The Predecessor AIT Fund was the accounting survivor of the reorganization and as such, the financial highlights reflect the financial information of the Predecessor AIT Fund through January 8, 2006. In connection with such reorganization, the Goldman Sachs Core Fixed Income Fund issued Service Shares to the former shareholders of the Predecessor AIT Fund at $10.00 per share. Historical per-share amounts prior to the Fund reorganization have been adjusted to reflect the conversion ratio utilized for the reorganization. | |
| (f) | Reflects an increase of $0.04 due to payments received for class action settlements received this year. | |
| (g) | Total return reflects the impact of payments received for class action settlements received this year. Excluding such payment, the total return would have been 3.81%. |
46
GOLDMAN SACHS
VARIABLE INSURANCE TRUST EQUITY INDEX FUND
Financial
Highlights
Selected
Data for a Share Outstanding Throughout Each Period
|
Income (loss)
from |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
| investment operations | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
|
Net |
Distributions to shareholders |
Ratio of |
Ratio of |
|||||||||||||||||||||||||||||||||||||||||||||||||||||||
|
Net asset |
realized |
From |
Net asset |
Net assets, |
Ratio of |
total |
net investment |
|||||||||||||||||||||||||||||||||||||||||||||||||||
|
value, |
Net |
and |
Total from |
From net |
net |
value, |
end of |
net expenses |
expenses |
income |
Portfolio |
|||||||||||||||||||||||||||||||||||||||||||||||
|
beginning |
investment |
unrealized |
investment |
investment |
realized |
Total |
end of |
Total |
period |
to average |
to average |
to average |
turnover |
|||||||||||||||||||||||||||||||||||||||||||||
| Year | of period | income(a) | gain (loss) | operations | income | gains | distributions | period | return(b) | (in 000s) | net assets | net assets | net assets | rate | ||||||||||||||||||||||||||||||||||||||||||||
|
FOR THE SIX
MONTHS ENDED JUNE 30, (UNAUDITED)
|
||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
|
2011
|
$ | 9.29 | $ | 0.07 | $ | 0.48 | $ | 0.55 | $ | — | $ | — | $ | — | $ | 9.84 | 5.92 | % | $ | 191,555 | 0.48 | %(c) | 0.68 | %(c) | 1.50 | %(c) | 1 | % | ||||||||||||||||||||||||||||||
|
FOR THE FISCAL
YEARS ENDED DECEMBER 31,
|
||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
|
2010
|
8.22 | 0.13 | 1.08 | 1.21 | (0.14 | ) | — | (0.14 | ) | 9.29 | 14.92 | 193,874 | 0.51 | 0.71 | 1.52 | 4 | ||||||||||||||||||||||||||||||||||||||||||
|
2009
|
6.61 | 0.14 | 1.62 | 1.76 | (0.15 | ) | — | (0.15 | ) | 8.22 | 26.28 | 198,588 | 0.59 | 0.68 | 1.97 | 5 | ||||||||||||||||||||||||||||||||||||||||||
|
2008
|
11.42 | 0.17 | (4.46 | ) | (4.29 | ) | (0.18 | ) | (0.34 | ) | (0.52 | ) | 6.61 | (37.18 | ) | 187,383 | 0.60 | 0.69 | 1.81 | 4 | ||||||||||||||||||||||||||||||||||||||
|
2007
|
11.04 | 0.18 | 0.41 | 0.59 | (0.21 | ) | — | (0.21 | ) | 11.42 | 5.32 | 364,288 | 0.41 | (d) | 0.68 | (d) | 1.57 | (d) | 8 | |||||||||||||||||||||||||||||||||||||||
|
2006(e)
|
9.71 | 0.16 | 1.34 | 1.50 | (0.17 | ) | — | (0.17 | ) | 11.04 | 15.49 | (f) | 438,471 | 0.41 | 0.67 | 1.53 | 4 | |||||||||||||||||||||||||||||||||||||||||
| (a) | Calculated based on the average shares outstanding methodology. | |
| (b) | Assumes investment at the net asset value at the beginning of the period, reinvestment of all distributions and a complete redemption of the investment at the net asset value at the end of the period. The Goldman Sachs Equity Index Fund first began operations as the Allmerica Equity Index Fund (the “Predecessor AIT Fund”) of the Allmerica Investment Trust. On January 9, 2006, the Predecessor AIT Fund was reorganized as a new portfolio of the Goldman Sachs Variable Insurance Trust. Performance prior to January 9, 2006 is that of the Predecessor AIT Fund. The Predecessor AIT Fund was considered the accounting survivor of the reorganization and as such, the historical total return information of the Predecessor AIT Fund is provided. | |
| (c) | Annualized. | |
| (d) | Includes non-recurring expense for a special shareholder meeting which amounted to approximately 0.02% of average net assets. | |
| (e) | The Predecessor AIT Fund was the accounting survivor of the reorganization and as such, the financial highlights reflect the financial information of the Predecessor AIT Fund through January 8, 2006. In connection with such reorganization, the Goldman Sachs Equity Index Fund issued Service Shares to the former shareholders of the Predecessor AIT Fund at $10.00 per share. Historical per-share amounts prior to the Fund reorganization have been adjusted to reflect the conversion ratio utilized for the reorganization. | |
| (f) | Total return reflects the impact of a payment from previous investment manager of a merged fund to compensate for possible adverse effects of trading activity of certain contract holders of the merged fund prior to January 9, 2006 received this year. Excluding such payments, the total return would have been 15.39%. |
47
GOLDMAN SACHS
VARIABLE INSURANCE TRUST GOVERNMENT INCOME FUND
Financial
Highlights
Selected
Data for a Share Outstanding Throughout Each Period
|
Income (loss)
from |
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| investment operations | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
|
Net |
Distributions to shareholders |
Ratio of |
Ratio of |
Portfolio |
Portfolio |
|||||||||||||||||||||||||||||||||||||||||||||||||||||||||
|
Net asset |
realized |
From |
Net asset |
Net assets, |
Ratio of |
total |
net investment |
turnover rate |
turnover rate |
|||||||||||||||||||||||||||||||||||||||||||||||||||||
|
value, |
Net |
and |
Total from |
From net |
net |
value, |
end of |
net expenses |
expenses |
income |
(including the |
(excluding the |
||||||||||||||||||||||||||||||||||||||||||||||||||
|
beginning |
investment |
unrealized |
investment |
investment |
realized |
Total |
end of |
Total |
period |
to average |
to average |
to average |
effect of
mortgage |
effect of
mortgage |
||||||||||||||||||||||||||||||||||||||||||||||||
| Year | of period | income(a) | gain (loss) | operations | income | gains | distributions | period | return(b) | (in 000s) | net assets | net assets | net assets | dollar rolls) | dollar rolls) | |||||||||||||||||||||||||||||||||||||||||||||||
|
FOR THE SIX
MONTHS ENDED JUNE 30, (UNAUDITED)
|
||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
|
2011
|
$ | 10.56 | $ | 0.06 | $ | 0.13 | $ | 0.19 | $ | (0.07 | ) | $ | — | $ | (0.07 | ) | $ | 10.68 | 1.82 | % | $ | 68,294 | 0.81 | %(c) | 1.13 | %(c) | 1.08 | %(c) | 482 | % | 312 | % | ||||||||||||||||||||||||||||||
|
FOR THE FISCAL
YEARS ENDED DECEMBER 31,
|
||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
|
2010
|
10.29 | 0.17 | 0.37 | 0.54 | (0.19 | ) | (0.08 | ) | (0.27 | ) | 10.56 | 5.19 | 72,311 | 0.81 | 1.08 | 1.56 | 614 | 416 | ||||||||||||||||||||||||||||||||||||||||||||
|
2009
|
10.14 | 0.31 | 0.33 | 0.64 | (0.36 | ) | (0.13 | ) | (0.49 | ) | 10.29 | 6.44 | 74,760 | 0.81 | 1.05 | 3.01 | 287 | 231 | ||||||||||||||||||||||||||||||||||||||||||||
|
2008
|
10.27 | 0.42 | (0.11 | ) | 0.31 | (0.44 | ) | — | (0.44 | ) | 10.14 | 3.14 | 87,050 | 0.81 | 1.04 | 4.12 | 244 | 184 | ||||||||||||||||||||||||||||||||||||||||||||
|
2007
|
9.96 | 0.42 | 0.29 | 0.71 | (0.40 | ) | — | (0.40 | ) | 10.27 | 7.34 | 85,978 | 0.67 | (d) | 1.03 | (d) | 4.19 | (d) | 217 | 146 | ||||||||||||||||||||||||||||||||||||||||||
|
2006(e)
|
9.98 | 0.39 | 0.01 | 0.40 | (0.42 | ) | — | (0.42 | ) | 9.96 | 4.05 | 87,063 | 0.68 | 1.02 | 3.96 | 523 | 447 | |||||||||||||||||||||||||||||||||||||||||||||
| (a) | Calculated based on the average shares outstanding methodology. | |
| (b) | Assumes investment at the net asset value at the beginning of the period, reinvestment of all distributions and a complete redemption of the investment at the net asset value at the end of the period. The Goldman Sachs Government Income Fund first began operations as the Allmerica Government Bond Fund (the “Predecessor AIT Fund”) of the Allmerica Investment Trust. On January 9, 2006, the Predecessor AIT Fund was reorganized as a new portfolio of the Goldman Sachs Variable Insurance Trust. Performance prior to January 9, 2006 is that of the Predecessor AIT Fund. The Predecessor AIT Fund was considered the accounting survivor of the reorganization and as such, the historical total return information of the Predecessor AIT Fund is provided. | |
| (c) | Annualized. | |
| (d) | Includes non-recurring expense for a special shareholder meeting which amounted to approximately 0.03% of average net assets. | |
| (e) | The Predecessor AIT Fund was the accounting survivor of the reorganization and as such, the financial highlights reflect the financial information of the Predecessor AIT Fund through January 8, 2006. In connection with such reorganization, the Goldman Sachs Government Income Fund issued Service Shares to the former shareholders of the Predecessor AIT Fund at $10.00 per share. Historical per-share amounts prior to the Fund reorganization have been adjusted to reflect the conversion ratio utilized for the reorganization. |
48
GOLDMAN SACHS
VARIABLE INSURANCE TRUST GROWTH OPPORTUNITIES FUND
Financial
Highlights
Selected
Data for a Share Outstanding Throughout Each Period
|
Income (loss)
from |
||||||||||||||||||||||||||||||||||||||||||||||||||
| investment operations | ||||||||||||||||||||||||||||||||||||||||||||||||||
|
Net |
Distributions |
Ratio of |
Ratio of |
|||||||||||||||||||||||||||||||||||||||||||||||
|
Net asset |
realized |
to
shareholders |
Net asset |
Net assets, |
Ratio of |
total |
net investment |
|||||||||||||||||||||||||||||||||||||||||||
|
value, |
Net |
and |
Total from |
from net |
value, |
end of |
net expenses |
expenses |
loss |
Portfolio |
||||||||||||||||||||||||||||||||||||||||
|
beginning |
investment |
unrealized |
investment |
realized |
end of |
Total |
period |
to average |
to average |
to average |
turnover |
|||||||||||||||||||||||||||||||||||||||
| Year | of period | loss(a) | gain (loss) | operations | gains | period | return(b) | (in 000s) | net assets | net assets | net assets | rate | ||||||||||||||||||||||||||||||||||||||
|
FOR THE SIX
MONTHS ENDED JUNE 30, (UNAUDITED)
|
||||||||||||||||||||||||||||||||||||||||||||||||||
|
2011
|
$ | 6.72 | $ | (0.02 | ) | $ | 0.30 | $ | 0.28 | $ | — | $ | 7.00 | 4.17 | % | $ | 162,282 | 1.18 | %(c) | 1.41 | %(c) | (0.50 | )%(c) | 23 | % | |||||||||||||||||||||||||
|
FOR THE FISCAL
YEARS ENDED DECEMBER 31,
|
||||||||||||||||||||||||||||||||||||||||||||||||||
|
2010
|
5.63 | (0.03 | ) | 1.12 | 1.09 | — | 6.72 | 19.36 | 145,904 | 1.18 | 1.43 | (0.56 | ) | 57 | ||||||||||||||||||||||||||||||||||||
|
2009
|
3.55 | (0.02 | ) | 2.10 | 2.08 | — | 5.63 | 58.59 | 127,710 | 1.18 | 1.43 | (0.50 | ) | 71 | ||||||||||||||||||||||||||||||||||||
|
2008
|
6.20 | (0.02 | ) | (2.52 | ) | (2.54 | ) | (0.11 | ) | 3.55 | (40.72 | ) | 95,237 | 1.18 | 1.37 | (0.32 | ) | 78 | ||||||||||||||||||||||||||||||||
|
2007
|
6.07 | (0.03 | ) | 1.22 | 1.19 | (1.06 | ) | 6.20 | 19.37 | 200,146 | 1.14 | (d) | 1.38 | (d) | (0.48 | )(d) | 73 | |||||||||||||||||||||||||||||||||
|
2006(e)
|
9.69 | (0.06 | ) | 0.68 | 0.62 | (4.24 | ) | 6.07 | 5.74 | 215,251 | 1.15 | 1.37 | (0.60 | ) | 82 | |||||||||||||||||||||||||||||||||||
| (a) | Calculated based on the average shares outstanding methodology. | |
| (b) | Assumes investment at the net asset value at the beginning of the year, reinvestment of all distributions, and a complete redemption of the investment at the net asset value at the end of the period. The Goldman Sachs Growth Opportunities Fund first began operations as the Allmerica Select Capital Appreciation Fund (the “Predecessor AIT Fund”) of the Allmerica Investment Trust. On January 9, 2006, the Predecessor AIT Fund was reorganized as a new portfolio of the Goldman Sachs Variable Insurance Trust. Performance prior to January 9, 2006 is that of the Predecessor AIT Fund. The Predecessor AIT Fund was considered the accounting survivor of the reorganization and as such, the historical total return information of the Predecessor AIT Fund is provided. | |
| (c) | Annualized. | |
| (d) | Includes non-recurring expense for a special shareholder meeting which amounted to approximately 0.02% of average net assets. | |
| (e) | The Predecessor AIT Fund was the accounting survivor of the reorganization and as such, the financial highlights reflect the financial information of the Predecessor AIT Fund through January 8, 2006. In connection with such reorganization, the Goldman Sachs Growth Opportunities Fund issued Service Shares to the former shareholders of the Predecessor AIT Fund at $10.00 per share. Historical per-share amounts prior to the Fund reorganization have been adjusted to reflect the conversion ratio utilized for the reorganization. |
49
GOLDMAN SACHS
VARIABLE INSURANCE TRUST FUNDS
Notes to
Financial Statements
June 30,
2011 (Unaudited)
| 1. ORGANIZATION |
Goldman Sachs Variable Insurance Trust (the “Trust” or
“VIT”) 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 Trust includes the Goldman Sachs Core Fixed Income Fund,
Goldman Sachs Equity Index Fund, Goldman Sachs Government Income
Fund and Goldman Sachs Growth Opportunities Fund (collectively,
the “Funds” or individually a “Fund”). The
Funds are diversified portfolios under the Act offering one
class of shares — Service Shares.
Goldman Sachs Asset Management, L.P. (“GSAM”), an
affiliate of Goldman, Sachs & Co. (“Goldman
Sachs”), serves as investment adviser to each Fund pursuant
to management agreements (the “Agreements”) with the
Trust.
| 2. SIGNIFICANT ACCOUNTING POLICIES |
The following is a summary of the significant accounting
policies consistently followed by the Funds. The preparation of
financial statements in conformity with accounting principles
generally accepted in the United States of America
(“GAAP”) requires management to make estimates and
assumptions that may affect the amounts and disclosures in the
financial statements. Actual results could differ from those
estimates and assumptions.
A. Investment
Valuation — The investment valuation policy
of the Funds is to value investments at market value.
Investments in equity securities and investment companies traded
on a United States (“U.S.”) securities exchange or the
NASDAQ system are valued daily at their last sale price or
official closing price on the principal exchange or system on
which they are traded. If no sale occurs, such securities and
investment companies are valued at the last bid price for long
positions and at the last ask price for short positions. Debt
securities for which market quotations are readily available are
valued on the basis of quotations furnished by an independent
pricing service approved by the trustees or provided by
securities dealers. The pricing services may use valuation
models or matrix pricing, which consider: (i) yield or
price with respect to bonds that are considered comparable in
characteristics such as rating, interest rate and maturity date
or (ii) quotations from securities dealers to determine
current value. If accurate quotations are not readily available,
or if GSAM believes that such quotations do not accurately
reflect fair value, the fair value of the Funds’
investments may be determined based on yield equivalents, a
pricing matrix or other sources, under valuation procedures
established by the trustees. Unlisted equity securities for
which market quotations are available are valued at the last
sale price on the valuation date, or if no sale occurs, at the
last bid price. In the absence of market quotations, broker
quotes will be utilized or the security will be fair valued.
Investments in investment companies (other than those that are
exchange traded) are valued at the net asset value per share
(“NAV”) of the investment company on the valuation
date. Short-term debt obligations that mature in sixty days or
less and that do not exhibit signs of credit deterioration are
valued at amortized cost, which approximates market value.
GSAM, consistent with its procedures and applicable regulatory
guidance, may make an adjustment to the previous closing prices
of either domestic or foreign securities in light of significant
events to reflect what it believes to be the fair value of the
securities at the time of determining the Funds’ NAV.
Significant events that could affect a large number of
securities in a particular market may include, but are not
limited to: situations relating to one or more single issuers in
a market sector; significant fluctuations in U.S. or foreign
markets; market dislocations; market disruptions or market
closings; equipment failures; natural or man-made disasters or
acts of God; armed conflicts; government actions or other
developments; as well as the same or similar events which may
affect specific issuers or the securities markets even though
not tied directly to the securities markets. Other significant
events that could relate to a single issuer may include, but are
not limited to: corporate actions such as reorganizations,
mergers and buy-outs; corporate announcements, including those
relating to earnings, products and regulatory news; significant
litigation; low trading volume; and trading limits or
suspensions.
B. Security
and Fund Share Transactions, and Investment
Income — Security and Fund share
transactions are reflected for financial reporting purposes as
of the trade date, which may cause the NAV as stated in the
accompanying financial statements to be different than the NAV
applied to Fund share transactions. Realized gains and losses on
sales of portfolio securities are calculated using the
identified cost basis. Dividend income is recognized on the
ex-dividend
date, net of foreign withholding taxes, if any, which are
reduced by any amounts reclaimable by the Funds, where
applicable. Certain dividends from foreign securities
GOLDMAN SACHS
VARIABLE INSURANCE TRUST FUNDS
| 2. SIGNIFICANT ACCOUNTING POLICIES (continued) |
will be recorded when the Fund is informed of the dividend, if
such information is obtained subsequent to the
ex-dividend
date. Interest income is recorded on the basis of interest
accrued, premium amortized and discount accreted. In addition,
it is the Funds’ policy to accrue for foreign capital gains
taxes, if applicable, on certain foreign securities held by the
Funds. An estimated foreign capital gains tax is recorded daily
on net unrealized gains on these securities and is payable upon
the sale of such securities when a gain is realized.
Investment income and unrealized and realized gains or losses
are allocated daily to each class of shares of the respective
Fund based upon the relative proportion of net assets of each
class.
In addition, distributions received from the Funds’
investments in U.S. real estate investment trusts
(“REITs”) often include a “return of
capital”, which is recorded by the Funds as a reduction of
the cost basis of the securities held. The Internal Revenue Code
of 1986, as amended (the “Code”) requires a REIT to
distribute at least 95% of its taxable income to investors. In
many cases, however, because of “non-cash” expenses
such as property depreciation, a REIT’s cash flow will
exceed its taxable income. The REIT may distribute this excess
cash to offer a more competitive yield. This portion of the
Funds’ distributions is deemed a return of capital and is
generally not taxable to shareholders.
C. Commission
Recapture — The Growth Opportunities Fund
may direct portfolio trades, subject to obtaining best
execution, to various brokers who have agreed to rebate a
portion of the commissions generated. Such rebates are made
directly to the Fund as cash payments and are included in net
realized gain (loss) from investments on the Statements of
Operations.
D. Expenses —
Expenses incurred by the Funds, which may not
specifically relate to the Funds, may be shared with other
registered investment companies having management agreements
with GSAM or its affiliates, as appropriate. These expenses are
allocated to the Funds on a straight-line
and/or
pro-rata basis depending upon the nature of the expenses and are
accrued daily.
Non-class
specific expenses are allocated daily to each share class of the
respective Fund based upon the relative proportion of net assets
of each class. Class specific expenses, where applicable, are
borne by the respective share classes and include Distribution
and Service and Transfer Agent.
E. Federal
Taxes and Distributions to Shareholders —
It is each Fund’s policy to comply with the
requirements of the Code, applicable to regulated investment
companies (mutual funds) and to distribute each year
substantially all of its investment company taxable income and
capital gains to its shareholders. Accordingly, the Funds are
not required to make any provisions for the payment of federal
income tax. Distributions to shareholders are recorded on the
ex-dividend
date. Income and capital gains distributions, if any, are
declared and paid according to the following schedule:
|
Income
Distributions |
Capital Gains
Distributions |
|||||||
| Fund | Declared/Paid | Declared/Paid | ||||||
|
Core Fixed Income and Government Income
|
Quarterly | Annually | ||||||
|
Equity Index and Growth Opportunities
|
Annually | Annually | ||||||
Net capital losses are carried forward to future fiscal years
and may be used to the extent allowed by the Code to offset any
future capital gains. Utilization of capital loss carryforwards
will reduce the requirement of future capital gains
distributions.
The characterization of distributions to shareholders for
financial reporting purposes is determined in accordance with
federal income tax rules, which may differ from GAAP. The source
of each Fund’s distributions may be shown in the
accompanying financial statements as either from net investment
income, net realized gain or capital. Certain components of the
Funds’ net assets on the Statements of Assets and
Liabilities reflect permanent GAAP/tax differences based on the
appropriate tax character.
F. Foreign
Currency Translations — The books and
records of the Funds are maintained in U.S. dollars. Amounts
denominated in foreign currencies are translated into U.S.
dollars on the following basis: (i) investment valuations,
foreign currency and other assets and liabilities initially
expressed in foreign currencies are converted into U.S. dollars
based upon 4:00 p.m. Eastern Time exchange rates; and
(ii) purchases and sales of foreign investments, income and
expenses are converted into U.S. dollars based upon currency
exchange rates prevailing on the respective dates of such
transactions as of 4:00 p.m. Eastern Time.
GOLDMAN SACHS
VARIABLE INSURANCE TRUST FUNDS
Notes to
Financial
Statements (continued)
June 30,
2011 (Unaudited)
| 2. SIGNIFICANT ACCOUNTING POLICIES (continued) |
Net realized and unrealized gain (loss) on foreign currency
transactions represents: (i) foreign exchange gains and
losses from the sale and holdings of foreign currencies;
(ii) currency gains and losses between trade date and
settlement date on investment security transactions and forward
foreign currency exchange contracts; and (iii) gains and
losses from the difference between amounts of dividends,
interest and foreign withholding taxes recorded and the amounts
actually received. The effect of changes in foreign currency
exchange rates on securities and derivative instruments is
included with the net realized and change in unrealized gain
(loss) on investments on the Statements of Operations, however,
the effect of changes in foreign currency exchange rates on
fixed income securities sold during the period is included with
the net realized gain (loss) on foreign currency related
transactions. Changes in the value of other assets and
liabilities as a result of fluctuations in foreign exchange
rates are included as an increase or decrease to net change in
unrealized gain (loss) on translation of assets and liabilities
denominated in foreign currencies.
G. Forward
Foreign Currency Exchange Contracts — All
forward foreign currency exchange contracts are marked to market
daily at the applicable forward rate. Unrealized gains or losses
on forward foreign currency exchange contracts are recorded by
the Funds on a daily basis and realized gains or losses are
recorded on the settlement date of a contract.
Risks may arise upon entering into these contracts from the
potential inability of counterparties to meet the terms of their
contracts and from unanticipated movements in the value of a
foreign currency relative to the U.S. dollar.
The contractual amounts of forward foreign currency exchange
contracts do not necessarily represent the amounts potentially
subject to risk. The measurement of the risks associated with
these instruments is meaningful only when all related and
offsetting transactions are considered. The Funds must set aside
liquid assets, or engage in other appropriate measures to cover
their obligations under these contracts.
H. Futures
Contracts — Futures contracts are valued at
the last settlement price, or in the absence of a sale, the last
bid price, at the end of each day on the board of trade or
exchange upon which they are traded. Upon entering into a
futures contract, the Funds deposit cash or securities in an
account on behalf of the broker in an amount sufficient to meet
the initial margin requirement. Subsequent payments are made or
received by the Funds equal to the daily change in the contract
value and are recorded as variation margin receivable or payable
with a corresponding offset in unrealized gains or losses. The
Funds recognize a realized gain or loss when a contract is
closed or expires.
The use of futures contracts involves, to varying degrees,
elements of market and counterparty risk which may exceed the
amounts recognized in the Statements of Assets and Liabilities.
Futures contracts may be illiquid, and exchanges may limit
fluctuations in futures contract prices during a single day.
Changes in the value of a futures contract may not directly
correlate with changes in the value of the underlying
securities. These risks may decrease the effectiveness of the
Funds’ strategies and potentially result in a loss. The
Funds must set aside liquid assets, or engage in other
appropriate measures, to cover their obligations under these
contracts.
I. Mortgage-Backed
and Asset-Backed Securities — The Core
Fixed Income, Government Income and Growth Opportunities Funds
may invest in mortgage-backed
and/or
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 property. These securities may include mortgage
pass-through securities, collateralized mortgage obligations,
real estate mortgage investment conduit pass-through or
participation certificates and stripped mortgage-backed
securities. Asset-backed securities include securities whose
principal and interest payments are collateralized by pools of
assets such as auto loans, credit card receivables, leases,
installment contracts and personal property.
Asset-backed securities also include home equity line of credit
loans and other second-lien mortgages.
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
these securities may also fluctuate in response to the
market’s perception of the creditworthiness of the issuers.
Early repayment of principal on mortgage-backed or asset-backed
securities may expose a Fund to the risk of earning a lower rate
of return upon reinvestment of principal. 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
GOLDMAN SACHS
VARIABLE INSURANCE TRUST FUNDS
| 2. SIGNIFICANT ACCOUNTING POLICIES (continued) |
claim on collateral. In addition, while mortgage-backed and
asset-backed securities may be supported by some form of
government or private guarantee
and/or
insurance, there is no assurance that private guarantors or
insurers, if any, will meet their obligations.
Stripped mortgage-backed securities are usually structured with
two different classes: one that receives substantially all of
the interest payments (the 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 (the 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. Payments received for PO’s are treated as
a proportionate reduction to the cost basis of the securities
and excess amounts are recorded as gains.
J. Mortgage
Dollar Rolls — The Core Fixed Income and
Government Income Funds may enter into mortgage dollar rolls
(“dollar rolls”) in which the Funds sell securities in
the current month for delivery and simultaneously contracts with
the same counterparty to repurchase similar (same type, coupon
and maturity) but not identical securities on a specified future
date. The Funds treat dollar rolls as two separate transactions:
one involving the purchase of a security and a separate
transaction involving a sale.
During the settlement period between sale and repurchase, the
Funds will not be entitled to accrue interest and principal
payments on the securities sold. Dollar roll transactions
involve the risk that the market value of the securities sold by
the Funds may decline below the repurchase price of those
securities. In the event the buyer of the securities in a dollar
roll transaction files for bankruptcy or becomes insolvent, the
Funds’ use of proceeds from the transaction may be
restricted pending a determination by, or with respect to, the
other counterparty.
K. Treasury
Inflation-Protected Securities — The Funds
may invest in treasury inflation protected securities
(“TIPS”), including structured bonds 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 adjustments to principal due to
inflation/deflation are reflected as increases/decreases to
interest income with a corresponding adjustment to cost. Such
adjustments may have a significant impact on the Funds’
distributions and may result in a return of capital to
shareholders. The repayment of the original bond principal upon
maturity is guaranteed by the full faith and credit of the U.S.
Government.
L. When-Issued
Securities and Forward Commitments — The
Funds may purchase when-issued securities, including TBA
(“To Be Announced”) securities that have been
authorized, but not yet issued in the market. When issued
securities are purchased in order to secure what is considered
to be an advantageous price or yield to the Fund at the time of
entering into the transaction. A forward commitment involves
entering into a contract to purchase or sell securities,
typically on an extended delivery 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. When purchasing a security on
a when-issued basis or entering into a forward commitment, the
Funds must “set aside” liquid assets, or engage in
other appropriate measures to “cover” their
obligations under these contracts.
| 3. FAIR VALUE OF INVESTMENTS |
The fair value of a financial instrument is the amount that
would be received to sell an asset or paid to transfer a
liability in an orderly transaction between market participants
at the measurement date (i.e., the exit price). GAAP establishes
a fair value hierarchy that prioritizes the inputs to valuation
techniques used to measure fair value. The hierarchy gives the
highest priority to
GOLDMAN SACHS
VARIABLE INSURANCE TRUST FUNDS
Notes to
Financial
Statements (continued)
June 30,
2011 (Unaudited)
| 3. FAIR VALUE OF INVESTMENTS (continued) |
unadjusted quoted prices in active markets for identical assets
or liabilities (Level 1 measurements) and the lowest
priority to unobservable inputs (Level 3 measurements). The
three levels of the fair value hierarchy are described below:
Level 1 — Unadjusted quoted prices in active
markets that are accessible at the measurement date for
identical, unrestricted assets or liabilities;
Level 2 — Quoted prices in markets that are not
active or financial instruments for which significant inputs are
observable (including, but not limited to, quoted prices for
similar securities, interest rates, foreign exchange rates,
volatility and credit spreads), either directly or indirectly;
Level 3 — Prices or valuations that require
significant unobservable inputs (including GSAM’s
assumptions in determining fair value measurement).
The following is a summary of the Funds’ investments and
derivatives categorized in the fair value hierarchy as of
June 30, 2011:
| CORE FIXED INCOME | ||||||||||||
| Investment Type | Level 1 | Level 2 | Level 3 | |||||||||
|
Assets
|
||||||||||||
|
Fixed Income
|
||||||||||||
|
Corporate Obligations
|
$ | — | $ | 34,990,901 | $ | — | ||||||
|
Mortgage-Backed Obligations
|
— | 92,570,470 | — | |||||||||
|
U.S. Treasury Obligations
and/or Other
U.S. Government Agencies
|
7,368,309 | — | — | |||||||||
|
Asset-Backed Securities
|
— | 3,933,388 | — | |||||||||
|
Foreign Debt Obligations
|
— | 12,641,844 | — | |||||||||
|
Municipal Debt Obligations
|
— | 3,698,397 | — | |||||||||
|
Government Guarantee Obligations
|
— | 7,546,611 | — | |||||||||
|
Short-term Investment
|
24,126,683 | — | — | |||||||||
|
Total
|
$ | 31,494,992 | $ | 155,381,611 | $ | — | ||||||
|
Liabilities
|
||||||||||||
|
Fixed Income
|
||||||||||||
|
Mortgage-Backed Obligations — Forward Sales Contracts
|
$ | — | $ | (7,646,563 | ) | $ | — | |||||
| Derivative Type | ||||||||||||
|
Assets(a)
|
||||||||||||
|
Futures Contracts
|
$ | 21,124 | $ | — | $ | — | ||||||
|
Forward Foreign Currency Exchange Contracts
|
— | 36,575 | — | |||||||||
|
Liabilities(a)
|
||||||||||||
|
Futures Contracts
|
$ | (138,908 | ) | $ | — | $ | — | |||||
|
Forward Foreign Currency Exchange Contracts
|
— | (142,561 | ) | $ | — | |||||||
GOLDMAN SACHS
VARIABLE INSURANCE TRUST FUNDS
| 3. FAIR VALUE OF INVESTMENTS (continued) |
| EQUITY INDEX | ||||||||||||
| Investment Type | Level 1 | Level 2 | Level 3 | |||||||||
|
Assets
|
||||||||||||
|
Common Stock
and/or Other
Equity Investments
|
$ | 190,439,215 | $ | — | $ | — | ||||||
|
U.S. Treasury Obligations
and/or Other
U.S. Government Agencies
|
139,997 | — | — | |||||||||
|
Short-term Investment
|
249,711 | — | — | |||||||||
|
Total
|
$ | 190,828,923 | $ | — | $ | — | ||||||
| Derivative Type | ||||||||||||
|
Assets(a)
|
||||||||||||
|
Futures Contracts
|
$ | 48,015 | $ | — | $ | — | ||||||
| GOVERNMENT INCOME | ||||||||||||
| Investment Type | Level 1 | Level 2 | Level 3 | |||||||||
|
Assets
|
||||||||||||
|
Fixed Income
|
||||||||||||
|
Mortgage-Backed Obligations
|
$ | — | $ | 37,588,981 | $ | — | ||||||
|
U.S. Treasury Obligations
and/or Other
U.S. Government Agencies
|
13,945,252 | 4,632,843 | — | |||||||||
|
Asset-Backed Securities
|
— | 2,177,337 | — | |||||||||
|
Government Guarantee Obligations
|
— | 6,286,009 | — | |||||||||
|
Short-term Investment
|
24,532,792 | — | — | |||||||||
|
Total
|
$ | 38,478,044 | $ | 50,685,170 | $ | — | ||||||
|
Liabilities
|
||||||||||||
|
Fixed Income
|
||||||||||||
|
Mortgage-Backed Obligations — Forward Sales Contracts
|
$ | — | $ | (4,777,109 | ) | $ | — | |||||
| Derivative Type | ||||||||||||
|
Assets(a)
|
||||||||||||
|
Futures Contracts
|
$ | 7,580 | $ | — | $ | — | ||||||
|
Liabilities(a)
|
||||||||||||
|
Futures Contracts
|
$ | (75,287 | ) | $ | — | $ | — | |||||
| GROWTH OPPORTUNITIES | ||||||||||||
| Investment Type | Level 1 | Level 2 | Level 3 | |||||||||
|
Assets
|
||||||||||||
|
Common Stock
and/or Other
Equity Investments
|
$ | 158,520,357 | $ | — | $ | — | ||||||
|
Short-term Investment
|
3,790,358 | — | — | |||||||||
|
Total
|
$ | 162,310,715 | $ | — | $ | — | ||||||
| (a) | Amount shown represents unrealized gain (loss) at period end. |
GOLDMAN SACHS
VARIABLE INSURANCE TRUST FUNDS
Notes to
Financial
Statements (continued)
June 30,
2011 (Unaudited)
| 4. INVESTMENTS IN DERIVATIVES |
The Funds may make investments in derivative instruments,
including, but not limited to options, futures, swaps, swaptions
and other derivatives relating to foreign currency transactions.
A derivative is an instrument whose value is derived from
underlying assets, indices, reference rates or a combination of
these factors. Derivative instruments may be privately
negotiated contracts (often referred to as over the counter
(“OTC”) derivatives) or they may be listed and traded
on an exchange. Derivative contracts may involve future
commitments to purchase or sell financial instruments or
commodities at specified terms on a specified date, or to
exchange interest payment streams or currencies based on a
notional or contractual amount. Derivative instruments may
involve a high degree of financial risk. The use of derivatives
also involves the risk of loss if the investment adviser is
incorrect in its expectation of the timing or level of
fluctuations in securities prices, interest rates or currency
prices. Investments in derivative instruments also include the
risk of default by the counterparty, the risk that the
investment may not be liquid and the risk that a small movement
in the price of the underlying security or benchmark may result
in a disproportionately large movement, unfavorable or
favorable, in the price of the derivative instrument.
During the six months ended June 30, 2011, the Core Fixed
Income, Government Income and Equity Index Funds entered into
certain derivative contract types. These instruments were used
to meet the Funds’ investment objectives and to obtain
and/or
manage exposure related to the risks below. The following tables
set forth, by certain risk types, the gross value of these
derivative contracts for trading activities as of June 30,
2011. 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.
| Core Fixed Income | |||||||||||||||
|
Statements of
Assets |
Statements of
Assets |
||||||||||||||
|
and
Liabilities |
and
Liabilities |
||||||||||||||
| Risk | Location | Assets | Location | Liabilities | |||||||||||
|
Interest rate
|
Due from broker — variation margin, at value | $ | 21,124 | (a) | Due to broker — variation margin, at value | $ | (138,908 | )(a) | |||||||
|
Currency
|
Receivables for forward foreign currency exchange contracts, at value | 36,575 | Payables for forward foreign currency exchange contracts, at value | (142,561 | ) | ||||||||||
|
Total
|
$ | 57,699 | $ | (281,469 | ) | ||||||||||
|
Statements of
Assets |
Statements of
Assets |
||||||||||||||||
| Fund | Risk | and Liabilities Location | Assets(a) | and Liabilities Location | Liabilities(a) | ||||||||||||
|
Equity Index
|
Equity | Due from broker — variation margin, at value | $ | 48,015 | — | $ | — | ||||||||||
|
Government Income
|
Interest Rate | Due from broker — variation margin, at value | 7,580 | Due to broker — variation margin, at value | (75,287 | ) | |||||||||||
| (a) | Includes unrealized gain (loss) on futures contracts described in the Additional Investment Information sections of the Schedules of Investments. Only current day’s variation margin is reported within the Statements of Assets and Liabilities. |
The following tables set forth, by certain risk types, the
Funds’ gains (losses) related to these derivatives and
their indicative volumes for the six months ended June 30,
2011. These gains (losses) should be considered in the context
that these derivative contracts may have been executed to
economically hedge certain securities, and accordingly, certain
gains (losses) on such
GOLDMAN SACHS
VARIABLE INSURANCE TRUST FUNDS
| 4. INVESTMENTS IN DERIVATIVES (continued) |
derivative contracts may offset certain (losses) gains
attributable to securities. These gains (losses) are included in
“Net realized gain (loss)” or “Net change in
unrealized gain (loss)” on the Statements of Operations:
| Core Fixed Income | |||||||||||||||
|
Net Change in |
Average |
||||||||||||||
|
Net Realized |
Unrealized |
Number of |
|||||||||||||
| Risk | Statements of Operations Location | Gain (Loss) | Gain (Loss) | Contracts(a) | |||||||||||
|
Interest rate
|
Net realized gain (loss) from futures transactions/Net change in unrealized gain (loss) on futures | $ | (111,782 | ) | $ | 232,900 | 213 | ||||||||
|
Currency
|
Net realized gain (loss) from foreign currency related transactions/Net change in unrealized gain (loss) on translation of assets and liabilities denominated in foreign currencies | (242,191 | ) | (75,275 | ) | 150 | |||||||||
|
Total
|
$ | (353,973 | ) | $ | 157,625 | 363 | |||||||||
The following table represents gains (losses) which are included
in “Net realized gain (loss) from future transactions”
and “Net change in unrealized gain (loss) on futures”
in the Statements of Operations.
|
Net |
Net Change in |
Average |
|||||||||||||
|
Realized |
Unrealized |
Number of |
|||||||||||||
| Risk | Fund | Gain (Loss) | Gain (Loss) | Contracts(a) | |||||||||||
|
Equity
|
Equity Index | $ | 115,198 | $ | 35,156 | 22 | |||||||||
|
Interest rate
|
Government Income | (362,654 | ) | 161,242 | 104 | ||||||||||
| (a) | Average number of contracts is based on the average of month end balances for the six months ended June 30, 2011. |
| 5. AGREEMENTS AND AFFILIATED TRANSACTIONS |
A. Management
Agreements — Under the Agreements, GSAM
manages the Funds, subject to the general supervision of the
trustees.
As compensation for the services rendered pursuant to the
Agreements, the assumption of the expenses related thereto and
administration of the Funds’ business affairs, including
providing facilities, GSAM is entitled to a management fee,
accrued daily and paid monthly, equal to an annual percentage
rate of each Fund’s average daily net assets.
For the six months ended June 30, 2011, contractual and
effective net management fees with GSAM were at the following
rates:
| Contractual Management Rate |
Effective Net |
|||||||||||||||||||||||||||
|
First |
Next |
Next |
Next |
Over |
Effective |
Management |
||||||||||||||||||||||
| Fund | $1 billion | $1 billion | $3 billion | $3 billion | $8 billion | Rate | Rate | |||||||||||||||||||||
|
Core Fixed Income
|
0.40 | % | 0.36 | % | 0.34 | % | 0.33 | % | 0.32 | % | 0.40 | % | 0.40 | % | ||||||||||||||
|
Government Income
|
0.54 | 0.49 | 0.47 | 0.46 | 0.45 | 0.54 | 0.54 | |||||||||||||||||||||
|
Growth Opportunities
|
1.00 | 1.00 | 0.90 | 0.86 | 0.84 | 1.00 | 1.00 | * | ||||||||||||||||||||
| * | Effective June 30, 2011, GSAM agreed to waive a portion of its management fee in order to achieve an effective net management rate of 0.97% through at least April 29, 2012. Prior to such date GSAM may not terminate the arrangement without the approval of the trustees. |
GOLDMAN SACHS
VARIABLE INSURANCE TRUST FUNDS
Notes to
Financial
Statements (continued)
June 30,
2011 (Unaudited)
| 5. AGREEMENTS AND AFFILIATED TRANSACTIONS (continued) |
The Agreement for the Equity Index Fund provides for a
contractual management fee at an annual rate equal to 0.30% of
the Fund’s average daily net assets. For the six months
ended June 30, 2011, GSAM has agreed to waive a portion of
its management fee in order to achieve the following effective
annual rates which will remain in effect through at least
April 29, 2012 and prior to such date GSAM may not
terminate the arrangement without the approval of the trustees:
| Management Rate | ||||||||||
| $0 – $400 million | Over $400 million | Effective Rate | ||||||||
| 0.21 | % | 0.20 | % | 0.21 | % | |||||
As authorized by the Agreement, GSAM has entered into a
Sub-advisory
Agreement with SSgA which serves as the
sub-adviser
to the Equity Index Fund and provides the
day-to-day
advice regarding the Fund’s portfolio transactions. As
compensation for its services, SSgA is entitled to a fee,
accrued daily and paid monthly by GSAM, at the following annual
rates of the Fund’s average daily net assets: 0.03% on the
first $50 million, 0.02% on the next $200 million,
0.01% on the next $750 million and 0.008% over
$1 billion. The effective
Sub-advisory
fee was 0.02% for the six months ended June 30, 2011.
B. Distribution
and Service Plan — The Trust, on behalf of
the Service Shares of the Funds, has adopted a Distribution and
Service Plan (the “Plan”). Under the Plan, Goldman
Sachs, which serves as distributor, is entitled to a fee accrued
daily and paid monthly for distribution services, which may then
be paid by Goldman Sachs to authorized dealers, equal to, on an
annual basis, 0.25% of the Fund’s average daily net assets
attributable to Service Shares. For the Growth Opportunities
Fund, Goldman Sachs has agreed to waive distribution and
services fees so as not to exceed an annual rate of 0.16% of
average daily net assets of the Fund. This distribution and
service fee waiver will remain in place through at least
April 29, 2012, and prior to such date Goldman Sachs may
not terminate the arrangement without the approval of the
trustees.
C. Transfer
Agency Agreement — Goldman Sachs also
serves as the transfer agent of the Funds for a fee pursuant to
a Transfer Agency Agreement. The fees charged for such transfer
agency services are accrued daily and paid monthly at an annual
rate of 0.02% of the average daily net assets of the Funds.
D. Other
Expense Agreements and Affiliated Transactions —
GSAM has agreed to limit certain “Other
Expense” of the Funds (excluding management fees,
distribution and service fees, transfer agent fees and expenses,
taxes, interest, brokerage fees and litigation, indemnification,
shareholder meetings and other extraordinary expenses, exclusive
of any custody and transfer agent fee credit reductions) to the
extent such expenses exceed, on an annual basis, 0.004% 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. These Other
Expense reimbursements will remain in place through at least
April 29, 2012, and prior to such date GSAM may not
terminate the arrangements without the approval of the trustees.
For the six months ended June 30, 2011, these expense
reductions, including any fee waivers and Other Expense
reimbursements, were as follows (in thousands):
|
Management |
Distribution
and |
Other |
Total |
|||||||||||||
|
Fee |
Service Fee |
Expense |
Expense |
|||||||||||||
| Fund | Waiver | Waiver | Reimbursement | Reductions | ||||||||||||
|
Core Fixed Income
|
$ | — | $ | — | $ | 128 | $ | 128 | ||||||||
|
Equity Index
|
88 | — | 106 | 194 | ||||||||||||
|
Government Income
|
— | — | 112 | 112 | ||||||||||||
|
Growth Opportunities
|
— | * | 70 | 106 | 176 | |||||||||||
| * | Amount is less than $500. |
GOLDMAN SACHS
VARIABLE INSURANCE TRUST FUNDS
| 5. AGREEMENTS AND AFFILIATED TRANSACTIONS (continued) |
As of June 30, 2011, the amounts owed to affiliates of the
Funds were as follows (in thousands):
|
Distribution |
Transfer |
|||||||||||||||
|
Management |
and Service |
Agent |
||||||||||||||
| Fund | Fees | Fees | Fees | Total | ||||||||||||
|
Core Fixed Income
|
$ | 53 | $ | 33 | $ | 3 | $ | 89 | ||||||||
|
Equity Index
|
46 | 39 | 3 | 88 | ||||||||||||
|
Government Income
|
31 | 15 | 1 | 47 | ||||||||||||
|
Growth Opportunities
|
129 | 21 | 2 | 152 | ||||||||||||
E. Line of
Credit Facility — As of June 30, 2011,
the Funds participated in a $580,000,000 committed, unsecured
revolving line of credit facility (the “facility”)
together with other funds of the Trust and registered investment
companies having management agreements with GSAM or its
affiliates. Pursuant to the terms of the facility, the Funds and
other borrowers could increase the credit amount by an
additional $340,000,000, for a total of up to $920,000,000. This
facility is to be used solely for temporary or emergency
purposes. The interest rate on borrowings is based on the
federal funds rate. The facility also requires a fee to be paid
by the Funds based on the amount of the commitment that has not
been utilized. For the six months ended June 30, 2011, the
Funds did not have any borrowings under the facility.
| 6. PORTFOLIO SECURITIES TRANSACTIONS |
The cost of purchases and proceeds from sales and maturities of
long-term securities for the six months ended June 30,
2011, were as follows:
|
Sales and |
||||||||||||||||
|
Purchases |
Sales and |
Maturities |
||||||||||||||
|
Purchases of
U.S. |
(Excluding
U.S. |
Maturities of
U.S. |
(Excluding
U.S. |
|||||||||||||
|
Government and |
Government and |
Government and |
Government and |
|||||||||||||
| Fund | Agency Obligations | Agency Obligations) | Agency Obligations | Agency Obligations) | ||||||||||||
|
Core Fixed Income
|
$ | 458,663,319 | $ | 33,426,012 | $ | 473,374,407 | $ | 34,571,650 | ||||||||
|
Equity Index
|
— | 2,180,877 | — | 14,441,786 | ||||||||||||
|
Government Income
|
308,809,062 | 3,593,930 | 320,343,811 | 272,458 | ||||||||||||
|
Growth Opportunities
|
— | 46,558,515 | — | 34,897,793 | ||||||||||||
GOLDMAN SACHS
VARIABLE INSURANCE TRUST FUNDS
Notes to
Financial
Statements (continued)
June 30,
2011 (Unaudited)
| 7. TAX INFORMATION |
As of the Funds’ most recent fiscal year end,
December 31, 2010, the Funds’ capital loss
carryforwards on a tax-basis were as follows:
|
Core Fixed |
Equity |
Government |
Growth |
|||||||||||||
| Income | Index | Income | Opportunities | |||||||||||||
|
Capital loss carryforward:
(1)
|
||||||||||||||||
|
Expiring 2011
|
— | (8,097,717 | ) | — | — | |||||||||||
|
Expiring 2012
|
— | (2,961,297 | ) | — | — | |||||||||||
|
Expiring 2014
|
(4,813,823 | ) | — | — | — | |||||||||||
|
Expiring 2017
|
(5,634,986 | ) | (4,133,732 | ) | — | (5,903,029 | ) | |||||||||
|
Expiring 2018
|
(4,488,774 | ) | — | — | — | |||||||||||
|
Total capital loss carryforward
|
$ | (14,937,583 | ) | $ | (15,192,746 | ) | $ | — | $ | (5,903,029 | ) | |||||
| (1) | Expiration occurs on December 31 of the year indicated. |
As of June 30, 2011, the Funds’ aggregate security
unrealized gains and losses based on cost for U.S. federal
income tax purposes were as follows:
|
Core Fixed |
Equity |
Government |
Growth |
|||||||||||||
| Income | Index | Income | Opportunities | |||||||||||||
|
Tax cost
|
$ | 184,987,660 | $ | 172,607,606 | $ | 89,100,626 | $ | 138,448,377 | ||||||||
|
Gross unrealized gain
|
4,182,364 | 57,367,307 | 733,566 | 29,912,700 | ||||||||||||
|
Gross unrealized loss
|
(2,293,421 | ) | (39,145,990 | ) | (670,978 | ) | (6,050,362 | ) | ||||||||
|
Net unrealized security gain
|
$ | 1,888,943 | $ | 18,221,317 | 62,588 | 23,862,338 | ||||||||||
The difference between GAAP-basis and tax-basis unrealized gains
(losses), as of the most recent fiscal year end, is attributable
primarily to wash sales, net mark to market gains (losses) on
regulated futures and forward foreign currency exchange
contracts and differences related to the tax treatment of
underlying fun investments.
GSAM has reviewed the Funds’ tax positions for all open tax
years (the current and prior three years, as applicable) and has
concluded that no provision for income tax is required in the
Funds’ financial statements. Such open tax years remain
subject to examination and adjustment by tax authorities.
Under the recently enacted Regulated Investment Company
Modernization Act of 2010, the Funds will be permitted to carry
forward capital losses incurred in taxable years beginning after
December 22, 2010 for an unlimited period. However, any
losses incurred during those future taxable years will be
required to be utilized prior to the losses incurred in
pre-enactment taxable years. As a result of this ordering rule,
pre-enactment capital loss carryforwards may be more likely to
expire unused. Additionally, post-enactment capital losses that
are carried forward will retain their character as either
short-term or long-term capital losses rather than being
considered all short-term as under previous law.
| 8. OTHER RISKS |
Funds’
Shareholder Concentration Risk — Certain
participating insurance companies, accounts, or Goldman Sachs
affiliates may from time to time own (beneficially or of record)
or control a significant percentage of the Funds’ shares.
Redemptions by these entities of their holdings in the Funds may
impact the Funds’ liquidity and NAV. These redemptions may
also force the Funds to sell securities.
Liquidity
Risk — The Funds may make investments that
may be illiquid or that may become less liquid in response to
market developments or adverse investor perceptions. Liquidity
risk may also refer to the risk that a Fund will not be able to
pay
GOLDMAN SACHS
VARIABLE INSURANCE TRUST FUNDS
| 8. OTHER RISKS (continued) |
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.
| 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.
| 10. 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.
GOLDMAN SACHS
VARIABLE INSURANCE TRUST FUND
Statement
Regarding Basis for Approval of Management Agreements
(Unaudited)
Background
The Goldman Sachs Core Fixed Income, Goldman Sachs Government
Income, Goldman Sachs Growth Opportunities and Goldman Sachs
Equity Index Funds (the “Funds”) are investment
portfolios of Goldman Sachs Variable Insurance 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 and the
sub-advisory
agreement (the
“Sub-Advisory
Agreement”, and together with the Management Agreements,
the “Agreements”) between the Investment Adviser and
SSgA Funds Management, Inc. (the
“Sub-Adviser”)
on behalf of the Equity Index Fund.
The Agreements were most recently approved for continuation
until June 30, 2012 by the Board of Trustees, including
those Trustees who are not parties to the 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
15-16, 2011
(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 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, 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; |
| (b) | information on the investment performance of the Funds, including 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, (for Growth Opportunities and Core Fixed Income Funds) comparable institutional composites managed by the Investment Adviser, 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 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; |
GOLDMAN SACHS
VARIABLE INSURANCE TRUST FUND
Statement
Regarding Basis for Approval of Management Agreements
(Unaudited) (continued)
| (f) | the undertakings of the Investment Adviser to waive certain fees (with respect to the Equity Index Fund and Growth Opportunities Fund) and reimburse certain expenses of each of the Funds that exceed specified levels; the undertaking of Goldman, Sachs & Co. (“Goldman Sachs”), the Funds’ distributor, to waive a portion of the distribution and service fees paid by the Growth Opportunities Fund; 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 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 brokerage (in the case of the Growth Opportunities and Equity Index Funds (the “Equity Funds”)), 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 commissions paid by the Equity Funds, an update on the Investment Adviser’s soft dollars practices (in the case of the Growth Opportunities Fund) and other information regarding portfolio trading and how the Investment Adviser carries out its duty to seek best execution; | |
| (l) | the manner in which portfolio manager compensation is determined, and the number and types of accounts managed by the portfolio managers; | |
| (m) | the nature and quality of the services provided to the Funds by their unaffiliated service providers (including the Equity Index Fund’s Sub-Adviser), 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. 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 (including, with respect to the Equity Index Fund, the
Investment Adviser’s oversight of the
Sub-Adviser),
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 various portfolio management teams,
including the portfolio management team managing the Core Fixed
Income and Government Income Funds (the “Fixed Income
Funds”), that had occurred in recent periods, the potential
benefit to the Funds of recent increases in headcount at the
Investment Adviser and the ongoing recruitment efforts aimed at
bringing high quality investment talent to the Investment
Adviser. The Independent Trustees concluded that the Investment
Adviser had committed 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.
GOLDMAN SACHS
VARIABLE INSURANCE TRUST FUND
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 Funds to their peers using rankings and ratings compiled by
the Outside Data Provider as of December 31, 2010, and
updated performance information prepared by the Investment
Adviser using the peer groups identified by the Outside Data
provider. The information on each Fund’s investment
performance was provided for the one-, three- and five-year
periods ending on the applicable dates. The Trustees also
reviewed each Fund’s investment performance over time on a
year-by-year
basis relative to its performance benchmark. In addition, they
considered the investment performance trends of the Funds over
time, and reviewed the investment performance of each Fund in
light of its investment objective and policies and market
conditions (and credit and duration parameters in the case of
the Fixed Income Funds). The Trustees also received information
comparing the Growth Opportunities and Core Fixed Income
Funds’ performance to that of a comparable institutional
composite managed by the Investment Adviser. The Trustees
considered whether each Fund had operated within its investment
policies and had complied with its investment limitations.
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 for the one-year period
ended May 31, 2011, the Core Fixed Income Fund had
outperformed its benchmark index, but had ranked in the bottom
half of its peer group. They also noted that the Government
Income Fund ranked in the bottom half of its peer group and had
underperformed its benchmark index for the one-year period ended
May 31, 2011. The Independent Trustees observed that both
of the Fixed Income Funds had performance for multiple time
periods that was in the bottom half of their respective peer
groups, and that they had communicated their concerns to the
Investment Adviser’s senior management. The Independent
Trustees also noted that they had received assurances from the
Investment Adviser’s senior management that measures would
continue to be taken to address the Fixed Income Funds’
performance.
The Independent Trustees noted that for the one-year period
ended May 31, 2011, the Growth Opportunities Fund ranked in
the bottom half of its peer group, and had underperformed its
benchmark index during that period. The Independent Trustees
also noted that the Growth Opportunities Fund had ranked in the
top half of its peer group for the three- and five-year periods
ended May 31, 2011. The Independent Trustees observed that
they had communicated their concerns regarding the recent
performance of the Growth Opportunities Fund to the Investment
Adviser’s senior management and had received assurances
that measures would be taken to address the Fund’s
performance.
The Independent Trustees noted that for the one-, three- and
five-year periods ended May 31, 2011, the Equity Index Fund
ranked in the top half of its peer group. They also noted that
the Equity Index Fund had underperformed its benchmark index for
the one-year period ended May 31, 2011 by an amount less
than Fund expenses.
Costs of
Services Provided and Competitive Information
The Trustees considered the contractual fee rates payable by
each Fund under its respective Management Agreement and payable
by the Investment Adviser under the
Sub-Advisory
Agreement. In this regard, the Trustees considered information
on the services rendered by the Investment Adviser to the Funds,
which included both advisory and administrative services that
were directed to the needs and operations of the Funds as
registered mutual funds.
In particular, the Trustees reviewed analyses prepared by the
Outside Data Provider regarding the expense rankings of the
Funds. The analyses provided a comparison of the Funds’
management fees and breakpoints (as applicable) to those of
relevant peer groups and category universes; an expense analysis
which compared each Fund’s expenses to a peer group and a
category universe; and a five-year history comparing each
Fund’s expenses to the peer and category medians. The
analyses also compared each Fund’s transfer agency fees,
custody and accounting fees, distribution fees, other expenses
and fee waivers/reimbursements to those of other funds in the
peer group and the peer group median. 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 limit the Funds’ “other
expenses” ratios (excluding certain expenses) to certain
specified levels and to waive a portion of the contractual
management fees paid by the Equity Index Fund and Growth
Opportunities Fund, as well as Goldman Sachs’ undertaking
to waive a portion of the distribution and service fees paid by
the Growth Opportunities Fund’s Service Shares. 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
GOLDMAN SACHS
VARIABLE INSURANCE TRUST FUND
Statement
Regarding Basis for Approval of Management Agreements
(Unaudited) (continued)
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.
Profitability
The Trustees reviewed the Investment Adviser’s revenues and
pre-tax profit margins with respect to the Trust and each of the
Funds. In this regard the 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
were provided for 2010 and 2009, 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 and (as
applicable) the rationale for the Funds’ breakpoint
structure. The Trustees also considered the breakpoints in the
fee rate payable under the Management Agreement for the Core
Fixed Income, Government Income and Growth Opportunities Funds
at the following annual percentage rates of the average daily
net assets of the Funds:
|
Core Fixed |
Government |
Growth |
||||||||||
|
Income |
Income |
Opportunities |
||||||||||
| Fund | Fund | Fund | ||||||||||
|
First $1 billion
|
0.40 | % | 0.54 | % | 1.00 | % | ||||||
|
Next $1 billion
|
0.36 | 0.49 | 1.00 | |||||||||
|
Next $3 billion
|
0.34 | 0.47 | 0.90 | |||||||||
|
Next $3 billion
|
0.33 | 0.46 | 0.86 | |||||||||
|
Over $8 billion
|
0.32 | 0.45 | 0.84 | |||||||||
The Trustees noted that the breakpoints at the $5 and
$8 billion asset levels had been proposed by the Investment
Adviser and approved by the Trustees in 2008 to further share
potential economies of scale, if any, with the Funds and their
shareholders as assets under management reach those asset
levels. 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 group;
and the Investment Adviser’s undertakings to limit fees
(with respect to the Growth Opportunities Fund) and “other
expenses” ratios (excluding certain expenses) (with respect
to all of the Funds) to certain amounts. Upon reviewing these
matters at the Annual Meeting, the Trustees concluded that the
fee breakpoints represented a means of assuring that benefits of
scalability would be passed along to shareholders at the
specified asset levels.
With respect to the Equity Index Fund, the Trustees noted that
while its Management Agreement did not have breakpoints, the
Investment Adviser had agreed to waive fees in order to achieve
the following effective annual rates: 0.21% on the first
$400 million of average daily net assets and 0.20% of
average daily net assets in excess of $400 million. The
Trustees considered the amounts of assets in the Fund; the
Fund’s 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; and information comparing
the contractual fee rate charged by the Investment Adviser with
fee rates charged by other, unaffiliated investment managers to
other variable annuity equity index funds. The Trustees noted
that, in relation to the Investment Adviser’s management
fee waiver mentioned above, the fees actually paid by the Fund
were reduced by the Investment Adviser’s undertaking to
limit the “other expenses” ratio (excluding certain
expenses) to a certain amount.
GOLDMAN SACHS
VARIABLE INSURANCE TRUST FUND
Statement
Regarding Basis for Approval of Management Agreements
(Unaudited) (continued)
The Trustees also considered and approved the following
breakpoints in the contractual fee rate (paid by the Investment
Adviser) in the
Sub-Advisory
Agreement:
|
Equity Index
Fund |
||||
| (Sub-Advisory Fee) | ||||
|
First $50 million
|
0.03 | % | ||
|
Next $200 million
|
0.02 | |||
|
Next $750 million
|
0.01 | |||
|
Over $1 billion
|
0.008 | |||
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) brokerage and
futures commissions earned by Goldman Sachs for executing
securities transactions (on behalf of the Equity Funds) and
futures transactions (on behalf of all of the Funds);
(c) research received by the Investment Adviser from
broker-dealers in exchange for executing certain transactions
(on behalf of the Growth Opportunities Fund); (d) trading
efficiencies resulting from aggregation of orders of the Funds
with those for other funds or accounts managed by the Investment
Adviser; (e) the Investment Adviser’s ability to
leverage the infrastructure designed to service the Funds on
behalf of its other clients; (f) the Investment
Adviser’s ability to cross-market other products and
services to Fund shareholders; (g) Goldman Sachs’
retention of certain fees as Fund Distributor; (h) 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 (i) 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 the fall-out benefits.
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 advantages gained from the Investment
Adviser’s knowledge and experience gained from managing
other accounts and products; (f) the Investment
Adviser’s ability to hire and retain qualified personnel to
provide services to the Funds because of the reputation of the
Goldman Sachs organization; (g) the Funds’ access,
through the Investment Adviser, to certain firmwide resources
(e.g., proprietary databases); and (h) the
Funds’ access to certain affiliated distribution channels.
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.
Approval
of
Sub-Advisory
Agreement
The Trustees concluded that the
Sub-Advisory
Agreement with respect to the Equity Index Fund should be
continued and approved. In reaching this determination, they
relied on the information provided by the Investment Adviser and
the
Sub-Adviser.
The Trustees noted that the Fund commenced operations in January
2006, and reviewed the Fund’s operations and investment
performance since then. The Trustees reviewed the respective
services provided to the Fund by the Investment Adviser under
its Management Agreement and by the
Sub-Adviser
under its
Sub-Advisory
Agreement. They considered the
Sub-Adviser’s
strong record in tracking the performance of the Fund’s
benchmark, in accordance with the investment objective of the
Fund. They also considered the
Sub-Adviser’s
experience in index investing and its compliance policies and
procedures and code of ethics. They considered the contractual
management fee rate received by the
Sub-Adviser
(along with the breakpoints in the fee schedule) and noted that
the compensation paid to the
Sub-Adviser
was paid by the Investment Adviser, not by the Fund, and that
the retention of the
Sub-Adviser
does not increase the fees incurred by the Fund for advisory
services. After deliberation and consideration of the
information provided, the Trustees unanimously concluded that
the
sub-advisory
fee to be paid by the Investment Adviser to the
Sub-Adviser
with respect to the Equity Index Fund was reasonable in light of
the services provided by the
Sub-Adviser
and the Fund’s current and reasonably foreseeable asset
levels; that the
Sub-Adviser’s
continued management would likely benefit the Equity Index Fund
and its shareholders; and that the
Sub-Advisory
Agreement should be approved and continued until June 30,
2012.
GOLDMAN SACHS
VARIABLE INSURANCE TRUST FUND
Statement
Regarding Basis for Approval of Management Agreements
(Unaudited) (continued)
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, 2012.
GOLDMAN SACHS
VARIABLE INSURANCE TRUST FUNDS
Fund Expenses —
Six Month Period Ended June 30, 2011 (Unaudited)
As a shareholder of the Service Shares of the Funds, you incur
ongoing costs, including management fees; distribution and
service (12b-1) fees; and other Fund expenses. This example is
intended to help you understand your ongoing costs (in dollars)
of investing in the Funds and to compare these costs with the
ongoing costs of investing in other mutual funds.
The example is based on an investment of $1,000 invested at the
beginning of the period and held for the entire period from
January 1, 2011 through June 30, 2011.
Actual Expenses — The first line under each
share class in the table below provides information about actual
account values and actual expenses. You may use the information
in this line, together with the amount you invested, to estimate
the expenses that you paid over the period. Simply divide your
account value by $1,000 (for example, an $8,600 account value
divided by $1,000 = 8.6), then multiply the result by the number
in the first line under the heading “Expenses Paid” to
estimate the expenses you paid on your account during this
period.
Hypothetical Example for Comparison
Purposes — The second line under each share
class in the table below provides information about hypothetical
account values and hypothetical expenses based on the
Funds’ actual net expense ratio and an assumed rate of
return of 5% per year before expenses, which is not the
Funds’ actual return. The hypothetical account values and
expenses may not be used to estimate the actual ending account
balance or expenses you paid for the period. You may use this
information to compare the ongoing costs of investing in the
Funds and other funds. To do so, compare this 5% hypothetical
example with the 5% hypothetical examples that appear in the
shareholder reports of the other funds.
Please note that the expenses shown in the table are meant to
highlight your ongoing costs only. As a shareholder of the
Funds, you do not incur any transaction costs, such as sales
charges (loads), redemption fees, or exchange fees, but
shareholders of other funds may incur such costs. 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 whose shareholders may incur transaction costs.
| Core Fixed Income Fund | Equity Index Fund | Government Income Fund | Growth Opportunities Fund | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||
|
Beginning |
Ending |
Expenses |
Beginning |
Ending |
Expenses |
Beginning |
Ending |
Expenses |
Beginning |
Ending |
Expenses |
|||||||||||||||||||||||||||||||||||||||||||||||||
|
Account |
Account |
Paid for the |
Account |
Account |
Paid for the |
Account |
Account |
Paid for the |
Account |
Account |
Paid for the |
|||||||||||||||||||||||||||||||||||||||||||||||||
|
Value |
Value |
6 Months Ended |
Value |
Value |
6 Months Ended |
Value |
Value |
6 Months Ended |
Value |
Value |
6 Months Ended |
|||||||||||||||||||||||||||||||||||||||||||||||||
| 1/01/11 | 6/30/11 | 6/30/11* | 1/01/11 | 6/30/11 | 6/30/11* | 1/01/11 | 6/30/11 | 6/30/11* | 1/01/11 | 6/30/11 | 6/30/11* | |||||||||||||||||||||||||||||||||||||||||||||||||
|
Actual
|
$ | 1,000 | $ | 1,026.50 | $ | 3.37 | $ | 1,000 | $ | 1,059.20 | $ | 2.45 | $ | 1,000 | $ | 1,018.20 | $ | 4.05 | $ | 1,000 | $ | 1,041.70 | $ | 5.97 | ||||||||||||||||||||||||||||||||||||
|
Hypothetical 5% return
|
1,000 | 1,021.47 | + | 3.36 | 1,000 | 1,022.41 | + | 2.41 | 1,000 | 1,020.78 | + | 4.06 | 1,000 | 1,018.94 | + | 5.91 | ||||||||||||||||||||||||||||||||||||||||||||
| * | Expenses 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 June 30, 2011. Expenses are calculated by multiplying the annualized net expense ratio by the average account value for the period; then multiplying the result by the number of days in the most recent fiscal half year; and then dividing that result by the number of days in the fiscal year. The annualized net expense ratios for the period were as follows: |
| Fund | Service | |||
|
Core Fixed Income
|
0.67 | % | ||
|
Equity Index
|
0.48 | |||
|
Government Income
|
0.81 | |||
|
Growth Opportunities
|
1.18 | |||
| + | 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. |
68
|
TRUSTEES
|
OFFICERS | |
|
Ashok N. Bakhru,
Chairman
|
James A. McNamara, President | |
|
Donald C. Burke
|
George F. Travers, Principal Financial Officer | |
|
John P. Coblentz, Jr.
|
Peter V. Bonanno, Secretary | |
|
Diana M. Daniels
|
Scott M. McHugh, Treasurer | |
|
Joseph P. LaRusso
|
||
|
James A. McNamara
|
||
|
Jessica Palmer
|
||
|
Alan A. Shuch
|
||
|
Richard P. Strubel
|
|
GOLDMAN, SACHS & CO. Distributor and Transfer Agent |
||
|
GOLDMAN SACHS ASSET MANAGEMENT, L.P. Investment Adviser |
||
| 200 West Street, New York, New York 10282 | ||
| Visit our website at www.goldmansachsfunds.com/vit to obtain the most recent month-end returns. | ||
| The reports concerning the Funds included in this shareholder report may contain certain forward-looking statements about the factors that may affect the performance of the Funds in the future. These statements are based on Fund management’s predictions and expectations concerning certain future events and their expected impact on the Funds, such as performance of the economy as a whole and of specific industry sectors, changes in the levels of interest rates, the impact of developing world events, and other factors that may influence the future performance of the Funds. Management believes these forward-looking statements to be reasonable, although they are inherently uncertain and difficult to predict. Actual events may cause adjustments in portfolio management strategies from those currently expected to be employed. | ||
| A description of the policies and procedures that the Funds use to determine how to vote proxies relating to portfolio securities and information regarding how the Funds 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 1-800-621-2550; and (ii) on the Securities and Exchange Commission (“SEC”) website 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 website at http://www.sec.gov within 60 days after the Funds’ first and third fiscal quarters. When available, the Funds’ Forms N-Q may be reviewed and copied at the SEC’s Public Reference Room in Washington, D.C. and information on the operation of the Public Reference Room may also be obtained by calling 1-800-SEC-0330. Forms N-Q may be obtained upon request and without charge by calling 1-800-621-2550. | ||
| Holdings and allocations shown may not be representative of current or future investments. Holdings and allocations may not include the Funds’ entire investment portfolio, which may change at any time. Fund holdings should not be relied on in making investment decisions and should not be construed as research or investment advice regarding particular securities. | ||
| 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. | ||
| The Global Industry Classification Standard (“GICS”) was developed by and is the exclusive property and a service mark of Morgan Stanley Capital International Inc. (“MSCI”) and Standard & Poor’s, a division of The McGraw-Hill Companies, Inc. (“S&P”) and is licensed for use by Goldman Sachs. Neither MSCI, S&P nor any other party involved in making or compiling the GICS or any GICS classifications makes any express or implied warranties or representations with respect to such standard or classification (or the results to be obtained by the use thereof), and all such parties hereby expressly disclaim all warranties of originality, accuracy, completeness, merchantability or fitness for a particular purpose with respect to any of such standard or classification. Without limiting any of the foregoing, in no event shall MSCI, S&P, any of their affiliates or any third party involved in making or compiling the GICS or any GICS classifications have any liability for any direct, indirect, special, punitive, consequential or any other damages (including lost profits) even if notified of the possibility of such damages. | ||
| The portfolio risk management process includes an effort to monitor and manage risk, but does not imply low risk. | ||
| Shares of the Goldman Sachs VIT Funds are offered to separate accounts of participating life insurance companies for the purpose of funding variable annuity contracts and variable life insurance policies. Shares of the Fund are not offered directly to the general public. The variable annuity contracts and variable life insurance policies are described in the separate prospectuses issued by participating insurance companies. You should refer to those prospectuses for information about surrender charges, mortality and expense risk fees and other charges that may be assessed by participating insurance companies under the variable annuity contracts or variable life insurance policies. Such fees or charges, if any, may affect the return you may realize with respect to your investments. Ask your representative for more complete information. Please consider a fund’s objectives, risks and charges and expenses, and read the prospectus carefully before investing. The prospectus contains this and other information about the Fund. | ||
| 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 1-800-621-2550. | ||
| Toll Free (in U.S.): 800-292-4726 | ||
| This report is prepared for the general information of contract owners and is not an offer of shares of the Goldman Sachs Variable Insurance Trust Funds. | ||
| © 2011 Goldman Sachs. All rights reserved. | ||
| VITSVCSAR11/57755.MF.MED.TMPL/8/2011 | ||
Goldman
Sachs Variable Insurance Trust
Goldman Sachs
Large Cap Value Fund
Semi-Annual
Report
June 30,
2011
|
|
GOLDMAN SACHS
VARIABLE INSURANCE TRUST LARGE CAP VALUE FUND
Principal
Investment Strategies and Risks
Shares of the
Goldman Sachs Variable Insurance Trust — Goldman Sachs
Large Cap Value Fund are offered to separate accounts of
participating life insurance companies for the purpose of
funding variable annuity contracts and variable life insurance
policies. Shares of the Fund are not offered directly to the
general public. The variable annuity contracts and variable life
insurance policies are described in the separate prospectuses
issued by participating insurance companies. You should refer to
those prospectuses for information about surrender charges,
mortality and expense risk fees and other charges that may be
assessed by participating insurance companies under the variable
annuity contracts or variable life insurance policies. Such fees
or charges, if any, may affect the return you realize with
respect to your investments. Ask your representative for more
complete information. Please consider the Fund’s objective,
risks and charges and expenses, and read the Prospectus
carefully before investing. The Prospectus contains this and
other information about the Fund.
The Goldman Sachs
Large Cap Value Fund
invests
primarily in large-capitalization U.S. equity investments. The
Fund’s equity investments will be subject to market risk,
which means that the value of the securities in which it invests
may go up or down in response to the prospects of individual
companies, particular industry sectors and/or general economic
conditions. The Fund may also invest in fixed income securities,
which are subject to the risks associated with debt securities,
including credit, liquidity and interest rate risk. The Fund may
invest in foreign securities, including emerging country
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 sudden economic or political
developments.
GOLDMAN SACHS
VARIABLE INSURANCE TRUST LARGE CAP VALUE FUND
INVESTMENT
OBJECTIVE
The Fund seeks long-term capital appreciation.
Portfolio
Management Discussion and Analysis
Below, the
Goldman Sachs Value Portfolio Management Team discusses the
performance of the Goldman Sachs Variable Insurance
Trust — Goldman Sachs Large Cap Value Fund (the
“Fund”) and positioning for the six-month period ended
June 30, 2011 (the “Reporting Period”).
How did the
Fund perform during the Reporting Period?
During the Reporting Period, the Fund’s Institutional and
Service Shares generated cumulative total returns of 3.42% and
3.23%, respectively. These returns compare to the 5.92%
cumulative total return of the Fund’s benchmark, the
Russell
1000®
Value Index* (with dividends reinvested) (the “Russell
Index”) during the same time period.
What economic
and market factors most influenced the equity markets as a whole
during the Reporting Period?
U.S. equities continued their positive momentum from 2010 during
the Reporting Period. However, most of the gains were generated
during the first quarter of 2011, as improving trends in labor,
housing, manufacturing and consumer confidence pointed to a
continuation in the economic recovery. A positive trajectory in
corporate earnings and cash flows and strong merger and
acquisition activity further supported U.S. equity market
performance. Indeed, despite great exogenous shocks in the
Middle East and North African turmoil, a series of disasters in
Japan, political debate over collective bargaining rights in
Wisconsin and the possible repeal of health care reform in
Washington D.C., the U.S. equity markets rewarded investors with
solid returns during the first quarter of 2011.
The broad U.S. equity markets experienced a much more volatile
second quarter, rising to a three-year high in April before
losing most of its early 2011 gains by mid-June and then
recovering somewhat in the very last week of the Reporting
Period. In early April, commodity prices declined and
expectations ran high for strong corporate profit growth.
However, while home construction rose modestly in May, housing
and employment remained key weak spots in the U.S. economy.
Concerns about Greece’s debt crisis also re-surfaced, the
U.S. Congress wrangled over the U.S. debt ceiling, the Federal
Reserve Board’s quantitative easing program was scheduled
to expire on June 30, 2011, the impact of Japan’s
natural and nuclear disasters worked its way through the global
supply chain and deadly storms cut a wide swath of destruction
across the midwestern and southern United States. In turn, the
U.S. stock market felt pressured and lost ground. Toward the end
of June, U.S. equity markets recovered from their May to
mid-June decline on the heels of better than expected U.S.
manufacturing activity, improved automobile sales and a
short-term resolution of the sovereign debt crisis in Greece.
Despite this volatility, all sectors posted gains during the
Reporting Period, with the exception of financials, which posted
a negative return. Health care and energy led the way. Energy
was, not surprisingly, impacted by the price of Brent crude oil,
which peaked at more than $126 per barrel in April on supply
disruption fears in North Africa and the Middle East before
falling in June on weaker U.S. economic data and concerns about
the pace of growth in China’s economy. Still, Brent crude
oil prices ended the Reporting Period at more than $112 per
barrel.
While all capitalization segments of the U.S. equity market
advanced during the Reporting Period, mid-cap stocks, as
measured by the Russell
Midcap®
Index, performed best, followed by large-cap and then small-cap
stocks, as measured by the Russell
1000®
Index and the Russell
2000®
Index, respectively, which performed nearly in line with each
other. Large-cap stocks were least successful relative to
small-cap stocks in the information technology sector.
Growth-oriented stocks outpaced value-oriented stocks across the
capitalization spectrum.
What key
factors were responsible for the Fund’s performance during
the Reporting Period?
Stock selection overall detracted most from the Fund’s
performance relative to the Russell Index during the Reporting
Period.
| * | The Russell 1000 Value Index is an unmanaged market capitalization weighted index of the 1000 largest U.S. companies with lower-price-to-book ratios and lower forecasted growth values. The Index figures do not include any deduction for fees, expenses or taxes. It is not possible to invest directly in an unmanaged index. |
GOLDMAN SACHS
VARIABLE INSURANCE TRUST LARGE CAP VALUE FUND
Which equity
market sectors most significantly affected Fund
performance?
Effective stock selection in the consumer discretionary,
financials and telecommunication services sectors helped the
Fund’s performance most relative to the Russell Index.
Detracting from the Fund’s relative results most was stock
selection within, and having underweighted positions in the
strongly-performing energy, health care and utilities sectors.
What were some
of the Fund’s best-performing individual
stocks?
The Fund benefited most relative to the Russell Index from
positions in two media companies within the consumer
discretionary sector — DISH Network and
CBS — as well as from a position in the health care
sector — WellPoint.
DISH Network is a broadcast satellite subscription television
service provider. The company’s churn — or the
number of customers who switch to a competitor —
materially dropped following reports of its quarterly results,
which surprised the market to the upside. DISH Network also
benefited from a court ruling favoring the company when it
served as a defendant in TIVO’s patent infringement case.
These factors, combined with an attractive valuation, drove DISH
Network’s shares higher during the Reporting Period.
Multimedia giant CBS was also a top contributor to the
Fund’s results during the Reporting Period. CBS saw its
shares advance when the company demonstrated new avenues for
profitable growth and reported a significant increase in
advertisement pricing.
WellPoint, a health benefits company, was a strong performer
during the Reporting Period for a few reasons. First,
WellPoint’s margins grew, benefiting from lower health care
utilization compared to the rest of the industry. This, combined
with strong, accretive share repurchases and previously
depressed valuations, pushed its share price higher.
Additionally, investors appeared to become increasingly
comfortable with the PPACA (Patient Protection and Affordable
Care Act, aka heath care reform). Finally, during the Reporting
Period, WellPoint instituted its first dividend.
Which stocks
detracted significantly from the Fund’s performance during
the Reporting Period?
Detracting most from the Fund’s results relative to its
benchmark index were positions in leading web-based search
engine Google of the information technology sector, diversified
banking institution Bank of America of the financials sector and
independent oil and gas exploration and production company Devon
Energy of the energy sector.
Shares of Google declined during the Reporting Period due
primarily to near-term fears over margin pressures from
accelerated spending, decelerating search volume growth and
potentially increased competition from social media. However, we
maintained the Fund’s position in Google, as we believe the
company will continue to dominate its industry. We also believe
that Google has the additional catalyst of its mobile/Android
operating system, which has gained share on smartphones and
provided new opportunities for revenues.
Bank of America saw its shares decline during the Reporting
Period, as the institution was negatively impacted by
uncertainty surrounding mortgage litigation, capital level
requirements and debit interchange fees. Still, with its U.S.
footprint of nearly 6,000 branches, we continued to believe that
Bank of America is on a path to recovery as the economy
stabilizes and as the consumer bounces back. We also held the
position because we believe that the company’s earnings
should accelerate over the next couple of years through the
myriad cross-selling opportunities and synergies it has
resulting from its acquisitions of Countrywide, a top mortgage
company, and Merrill Lynch, a leading broker.
Devon Energy, a new position for the Fund, was a top detractor
during the Reporting Period, as it was affected by a combination
of weaker oil prices and weather-related events that together
caused concerns regarding the company’s near-term
production levels. More specifically, shares of Devon Energy
were hurt by the news that one of its processing plants that had
been hit by a tornado would be out of commission longer than
anticipated. However, we maintained our long-term favorable view
of the company, which we believe has a strong asset base that
should provide solid organic production growth over the next few
years.
How did the
Fund use derivatives and similar instruments during the
Reporting Period?
During the Reporting Period, we did not use derivatives as part
of an active management strategy.
Did the Fund
make any significant purchases or sales during the Reporting
Period?
As already indicated, we initiated a Fund position in Devon
Energy, one of the largest independent oil and gas exploration
and production companies in the world, during the Reporting
Period. In our view, Devon Energy’s asset base, which is
principally located in North America, should provide solid
organic production growth over the next several years. We
further believe that geopolitical uncertainty abroad could
increase the value of North American assets generally. Devon
Energy’s investment grade balance sheet, strong cash flow
generation and asset sales are, in our view, supporting a major
share buyback.
GOLDMAN SACHS
VARIABLE INSURANCE TRUST LARGE CAP VALUE FUND
We established a Fund position in energy utility company PPL
during the Reporting Period. In our view, PPL’s shift into
more regulated businesses should allow the company to generate a
more predictable earnings stream and to mitigate the impact of
secularly low power prices. In addition, we believe that PPL
should benefit from reduced supply in power markets, as old
plants close and environmental regulations become stricter.
True to our sell discipline, we sold out of certain stocks that
approached their price targets as they appreciated during the
Reporting Period. For example, we sold the Fund’s positions
in mining company Freeport-McMoRan Copper & Gold and
agricultural company Archer Daniels Midland, taking profits in
each. Freeport-McMoRan Copper & Gold is highly levered
to copper prices, and as a result, its shares rose on strength
of the underlying commodity during the Reporting Period. We
exited the Fund’s position in Archer Daniels Midland as the
company executed on its strategy, posted solid earnings and
consequently saw its share price rise.
We also eliminated the Fund’s position in diversified
consumer products company Newell Rubbermaid during the Reporting
Period and redeployed the proceeds into another stock within the
consumer discretionary sector that we believed had higher
potential upside.
Were there any
notable changes in the Fund’s weightings during the
Reporting Period?
In constructing the Fund’s portfolio, we focus on picking
stocks rather than on making industry or sector bets. We seek to
outpace the benchmark index by overweighting stocks that we
expect to outperform and underweighting those that we think may
lag. Consequently, changes in the Fund’s sector weights are
generally the direct result of individual stock selection or of
stock appreciation or depreciation. That said, during the
Reporting Period, the Fund’s exposure to consumer staples,
energy and telecommunication services increased compared to the
Russell Index. The Fund’s allocations compared to the
benchmark index in consumer discretionary, information
technology and materials decreased.
How was the
Fund positioned relative to its benchmark index at the end of
the Reporting Period?
As of June 30, 2011, the Fund had modestly overweighted
positions relative to the Russell Index in the consumer staples,
consumer discretionary, financials and industrials sectors. On
the same date, the Fund had modestly underweighted positions
compared to the Russell Index in energy, health care,
information technology, telecommunication services and utilities
and was rather neutrally weighted to the Russell Index in
materials.
What is the
Fund’s tactical view and strategy for the months
ahead?
At the end of the Reporting Period, we remained cautiously
optimistic on the U.S. equity market, despite macroeconomic,
geopolitical and regulatory uncertainty persisting. In our view,
valuations remained compelling, especially after the pullback
during the second quarter of 2011, as many companies were
trading at depressed levels. Companies generally continued to
exhibit strong fundamentals, with cash rich balance sheets. We
also continued to expect that management teams will be focused
in the months ahead on returning value to shareholders through
mergers and acquisitions, share buybacks, new or increased
dividends and deleveraging of balance sheets, providing further
catalyst for growth.
Given this backdrop, we believe the coming months should be
fertile ground for forward-looking stock pickers. We anticipate
that stock correlations may well decline and that companies will
likely begin to trade more in line with underlying fundamentals.
We maintain our discipline as we seek companies with strong or
improving fundamentals, led by quality management teams that are
smart allocators of capital and remain focused on creating
shareholder value. As always, deep research resources, a
forward-looking investment process and truly actively managed
portfolios are keys, in our view, to both preserving capital and
outperforming the market over the long term.
FUND BASICS
Large Cap
Value Fund
as of
June 30, 2011
| STANDARDIZED AVERAGE ANNUAL TOTAL RETURNS1 |
| For the period ended 6/30/11 | One Year | Five Years | Ten Years | Since Inception | Inception Date | |||||||||||||||
|
Institutional
|
25.40 | % | 0.90 | % | 3.81 | % | 2.80 | % | 1/12/98 | |||||||||||
|
Service
|
24.97 | N/A | N/A | −4.06 | 7/24/07 | |||||||||||||||
| 1 | The Standardized Average Annual Total Returns are average annual total returns as of the most recent calendar quarter-end. They assume reinvestment of all distributions at net asset value (“NAV”). | |
| Total return figures in the above chart represent past performance and do not indicate future results, which will vary. The investment return and principal value of an investment will fluctuate and, therefore, an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance may be lower or higher than the total return figures in the above chart. Please visit www.goldmansachsfunds.com/vit to obtain the most recent month-end returns. Performance reflects expense limitations in effect. In their absence, performance would be reduced. |
| EXPENSE RATIOS2 |
| Net Expense Ratio (Current) | Gross Expense Ratio (Before Waivers) | |||||||||
|
Institutional
|
0.78 | % | 0.80 | % | ||||||
|
Service
|
1.03 | 1.05 | ||||||||
| 2 | The expense ratios of the Fund, both current (net of any fee waivers or expense limitations) and before waivers (gross of any fee waivers or expense limitations) are as set forth above. The Fund’s waivers and/or expense limitations will remain in place through at least April 29, 2012, and prior to such date the investment adviser may not terminate the arrangements without the approval of the Fund’s Board of Trustees. The expense ratios set forth above may differ from the expense ratios disclosed in the Financial Highlights in this report. |
| TOP TEN HOLDINGS AS OF 6/30/113 |
| Holding | % of Net Assets | Line of Business | ||||||
|
JPMorgan Chase & Co.
|
4.7 | % | Diversified Financials | |||||
|
General Electric Co.
|
4.0 | Capital Goods | ||||||
|
Merck & Co., Inc.
|
3.4 | Pharmaceuticals, Biotechnology & Life Sciences | ||||||
|
Bank of America Corp.
|
3.1 | Diversified Financials | ||||||
|
U.S. Bancorp
|
2.8 | Banks | ||||||
|
Devon Energy Corp.
|
2.8 | Energy | ||||||
|
Sprint Nextel Corp.
|
2.8 | Telecommunication Services | ||||||
|
Comcast Corp. Class A
|
2.7 | Media | ||||||
|
WellPoint, Inc.
|
2.6 | Health Care Equipment & Services | ||||||
|
Prudential Financial, Inc.
|
2.6 | Insurance | ||||||
| 3 | The top 10 holdings may not be representative of the Fund’s future investments. |
FUND BASICS
| FUND vs. BENCHMARK SECTOR ALLOCATIONS4 |
As
of June 30, 2011
| 4 | The Fund is actively managed and, as such, its composition may differ over time. The above graph categorizes investments using Global Industry Classification Standard (“GICS”), however, the sector classifications used by the portfolio management team may differ from GICS. Consequently, the Fund’s overall industry sector allocations may differ from percentages contained in the graph above. The percentage shown for each investment category reflects the value of investments in that category as a percentage of market value. Short-term investments represent investments in investment companies other than those that are exchange traded. The above graph depicts the Fund’s investments but may not represent the Fund’s market exposure due to the exclusion of derivatives, if any, as listed in the Additional Investment Information section of the Schedule of Investments. |
GOLDMAN SACHS
VARIABLE INSURANCE TRUST LARGE CAP VALUE FUND
Schedule of
Investments
June 30,
2011 (Unaudited)
| Shares | Description | Value | ||||||
|
Common
Stocks – 100.5%
|
||||||||
|
Automobiles
& Components – 3.4%
|
||||||||
| 937,834 | Ford Motor Co.* | $ | 12,932,731 | |||||
| 355,055 | General Motors Co.* | 10,779,469 | ||||||
| 482,877 | Johnson Controls, Inc. | 20,116,656 | ||||||
| 43,828,856 | ||||||||
|
Banks – 6.4%
|
||||||||
| 364,174 | PNC Financial Services Group, Inc. | 21,708,412 | ||||||
| 913,347 | SunTrust Banks, Inc. | 23,564,353 | ||||||
| 1,424,902 | U.S. Bancorp | 36,349,250 | ||||||
| 81,622,015 | ||||||||
|
Capital
Goods – 10.0%
|
||||||||
| 112,638 | Emerson Electric Co. | 6,335,888 | ||||||
| 2,718,494 | General Electric Co. | 51,270,797 | ||||||
| 461,433 | Honeywell International, Inc. | 27,496,792 | ||||||
| 216,828 | Illinois Tool Works, Inc. | 12,248,614 | ||||||
| 418,669 | The Boeing Co. | 30,952,199 | ||||||
| 128,304,290 | ||||||||
|
Diversified
Financials – 13.1%
|
||||||||
| 167,733 | Ameriprise Financial, Inc. | 9,674,839 | ||||||
| 3,623,638 | Bank of America Corp. | 39,715,072 | ||||||
| 120,596 | Franklin Resources, Inc. | 15,833,049 | ||||||
| 527,807 | Invesco Ltd. | 12,350,684 | ||||||
| 1,457,438 | JPMorgan Chase & Co. | 59,667,512 | ||||||
| 1,083,774 | SLM Corp. | 18,218,241 | ||||||
| 279,146 | State Street Corp. | 12,586,693 | ||||||
| 168,046,090 | ||||||||
|
Energy – 10.7%
|
||||||||
| 140,017 | Baker Hughes, Inc. | 10,159,634 | ||||||
| 161,733 | Cameron International Corp.* | 8,133,553 | ||||||
| 404,422 | ConocoPhillips | 30,408,490 | ||||||
| 455,901 | Devon Energy Corp. | 35,929,558 | ||||||
| 177,523 | Newfield Exploration Co.* | 12,075,114 | ||||||
| 284,411 | Occidental Petroleum Corp. | 29,590,120 | ||||||
| 122,433 | Schlumberger Ltd. | 10,578,211 | ||||||
| 136,874,680 | ||||||||
|
Food
& Staples Retailing – 1.8%
|
||||||||
| 626,015 | CVS Caremark Corp. | 23,525,644 | ||||||
|
Food,
Beverage & Tobacco – 7.0%
|
||||||||
| 227,922 | Coca-Cola Enterprises, Inc. | 6,650,764 | ||||||
| 171,275 | ConAgra Foods, Inc. | 4,420,608 | ||||||
| 725,678 | General Mills, Inc. | 27,009,735 | ||||||
| 352,238 | PepsiCo, Inc. | 24,808,122 | ||||||
| 794,490 | Unilever NV | 26,098,997 | ||||||
| 88,988,226 | ||||||||
|
Health
Care Equipment & Services – 3.9%
|
||||||||
| 2,398,261 | Boston Scientific Corp.* | 16,571,984 | ||||||
| 418,968 | WellPoint, Inc. | 33,002,109 | ||||||
| 49,574,093 | ||||||||
|
Insurance – 8.9%
|
||||||||
| 187,199 | Aflac, Inc. | 8,738,449 | ||||||
| 165,896 | Everest Re Group Ltd. | 13,561,998 | ||||||
| 607,744 | Hartford Financial Services Group, Inc. | 16,026,209 | ||||||
| 353,830 | Marsh & McLennan Companies, Inc. | 11,035,958 | ||||||
| 518,135 | Prudential Financial, Inc. | 32,948,205 | ||||||
| 511,401 | The Allstate Corp. | 15,613,073 | ||||||
| 282,330 | The Travelers Companies, Inc. | 16,482,425 | ||||||
| 114,406,317 | ||||||||
|
Materials – 2.9%
|
||||||||
| 93,049 | Cliffs Natural Resources, Inc. | 8,602,380 | ||||||
| 334,853 | Huntsman Corp. | 6,311,979 | ||||||
| 408,068 | LyondellBasell Industries NV Class A | 15,718,779 | ||||||
| 179,754 | The Dow Chemical Co. | 6,471,144 | ||||||
| 37,104,282 | ||||||||
|
Media – 6.0%
|
||||||||
| 605,669 | CBS Corp. Class B | 17,255,510 | ||||||
| 1,343,073 | Comcast Corp. Class A | 34,033,470 | ||||||
| 827,708 | DISH Network Corp. Class A* | 25,385,804 | ||||||
| 76,674,784 | ||||||||
|
Pharmaceuticals,
Biotechnology & Life
Sciences – 7.5%
|
||||||||
| 344,403 | Celgene Corp.* | 20,774,389 | ||||||
| 1,234,855 | Merck & Co., Inc. | 43,578,033 | ||||||
| 652,181 | Teva Pharmaceutical Industries Ltd. ADR | 31,448,168 | ||||||
| 95,800,590 | ||||||||
|
Retailing – 0.8%
|
||||||||
| 616,955 | Liberty Media Corp. — Interactive Class A* | 10,346,335 | ||||||
|
Semiconductors
& Semiconductor Equipment – 1.6%
|
||||||||
| 160,918 | Maxim Integrated Products, Inc. | 4,113,064 | ||||||
| 378,515 | NVIDIA Corp.* | 6,031,636 | ||||||
| 320,161 | Texas Instruments, Inc. | 10,510,886 | ||||||
| 20,655,586 | ||||||||
|
Software
& Services – 4.9%
|
||||||||
| 611,435 | Adobe Systems, Inc.* | 19,229,630 | ||||||
| 44,810 | Google, Inc. Class A* | 22,690,888 | ||||||
| 821,400 | Microsoft Corp. | 21,356,400 | ||||||
| 63,276,918 | ||||||||
|
Technology
Hardware & Equipment – 1.8%
|
||||||||
| 817,092 | EMC Corp.* | 22,510,885 | ||||||
|
Telecommunication
Services – 4.0%
|
||||||||
| 397,171 | CenturyLink, Inc. | 16,057,623 | ||||||
| 6,588,222 | Sprint Nextel Corp.* | 35,510,517 | ||||||
| 51,568,140 | ||||||||
|
Utilities – 5.8%
|
||||||||
| 554,297 | American Electric Power Co., Inc. | 20,885,911 | ||||||
| 199,436 | Entergy Corp. | 13,617,490 | ||||||
GOLDMAN SACHS
VARIABLE INSURANCE TRUST LARGE CAP VALUE FUND
Schedule of
Investments (continued)
June 30,
2011 (Unaudited)
| Shares | Description | Value | ||||||
|
Common
Stocks – (continued)
|
||||||||
|
Utilities –
(continued)
|
||||||||
| 473,069 | PG&E Corp. | $ | 19,883,090 | |||||
| 735,785 | PPL Corp. | 20,476,897 | ||||||
| 74,863,388 | ||||||||
|
TOTAL
COMMON STOCKS
|
||||||||
|
(Cost
$1,180,761,483)
|
$ | 1,287,971,119 | ||||||
| Shares | Rate | Value | ||||||||
|
Short-term
Investment(a) – 2.7%
|
||||||||||
|
JPMorgan U.S. Government Money Market Fund — Capital
Shares
|
||||||||||
| 34,943,449 | 0.010 | % | $ | 34,943,449 | ||||||
|
(Cost
$34,943,449)
|
||||||||||
|
TOTAL
INVESTMENTS – 103.2%
|
||||||||||
|
(Cost
$1,215,704,932)
|
$ | 1,322,914,568 | ||||||||
|
LIABILITIES
IN EXCESS OF OTHER ASSETS – (3.2)%
|
(41,326,899 | ) | ||||||||
|
NET
ASSETS – 100.0%
|
$ | 1,281,587,669 | ||||||||
The percentage shown for each investment category reflects the
value of investments in that category as a percentage of net
assets.
| * | Non-income producing security. | |
| (a) | Variable rate security. Interest rate disclosed is that which is in effect at June 30, 2011. |
|
Investment
Abbreviation:
|
||||
|
ADR
|
— | American Depositary Receipt | ||
GOLDMAN SACHS
VARIABLE INSURANCE TRUST LARGE CAP VALUE FUND
Statement of
Assets and Liabilities
June 30,
2011 (Unaudited)
|
Assets:
|
||||
|
Investments in securities, at value (identified cost
$1,215,704,932)
|
$ | 1,322,914,568 | ||
|
Receivables:
|
||||
|
Fund shares sold
|
7,178,137 | |||
|
Investment securities sold
|
2,890,216 | |||
|
Dividends
|
2,214,098 | |||
|
Other assets
|
6,732 | |||
|
Total
assets
|
1,335,203,751 | |||
|
Liabilities:
|
||||
|
Payables:
|
||||
|
Fund shares redeemed
|
49,365,657 | |||
|
Investment securities purchased
|
3,160,330 | |||
|
Amounts owed to affiliates
|
959,744 | |||
|
Accrued expenses
|
130,351 | |||
|
Total
liabilities
|
53,616,082 | |||
|
Net
Assets:
|
||||
|
Paid-in capital
|
1,220,485,017 | |||
|
Accumulated undistributed net investment income
|
6,986,346 | |||
|
Accumulated net realized loss from investment transactions
|
(53,093,330 | ) | ||
|
Net unrealized gain on investments
|
107,209,636 | |||
|
NET
ASSETS
|
$ | 1,281,587,669 | ||
|
Net Assets:
|
||||
|
Institutional
|
$ | 480,749,158 | ||
|
Service
|
800,838,511 | |||
|
Total Net Assets
|
$ | 1,281,587,669 | ||
|
Shares of beneficial interest outstanding $0.001 par value
(unlimited shares authorized):
|
||||
|
Institutional
|
45,414,031 | |||
|
Service
|
75,813,101 | |||
|
Net asset value, offering and redemption price per share:
|
||||
|
Institutional
|
$10.59 | |||
|
Service
|
10.56 | |||
GOLDMAN SACHS
VARIABLE INSURANCE TRUST LARGE CAP VALUE FUND
Statement of
Operations
For the
Six Months Ended June 30, 2011 (Unaudited)
|
Investment
income:
|
||||
|
Dividends
|
$ | 11,104,921 | ||
|
Expenses:
|
||||
|
Management fees
|
4,646,023 | |||
|
Distribution and Service fees — Service Class
|
944,320 | |||
|
Transfer Agent
fees(a)
|
126,428 | |||
|
Printing and mailing costs
|
75,585 | |||
|
Custody and accounting fees
|
46,363 | |||
|
Professional fees
|
44,866 | |||
|
Trustee fees
|
9,688 | |||
|
Registration fees
|
609 | |||
|
Other
|
21,221 | |||
|
Total
expenses
|
5,915,103 | |||
|
Less — expense reductions
|
(558 | ) | ||
|
Net
expenses
|
5,914,545 | |||
|
NET
INVESTMENT INCOME
|
5,190,376 | |||
|
Realized and
unrealized gain (loss) from investment transactions:
|
||||
|
Net realized gain from investment transactions (including
commissions recaptured of $111,271)
|
57,726,448 | |||
|
Net change in unrealized loss on investments
|
(23,978,528 | ) | ||
|
Net
realized and unrealized gain from investment
transactions
|
33,747,920 | |||
|
NET
INCREASE IN NET ASSETS RESULTING FROM OPERATIONS
|
$ | 38,938,296 | ||
| (a) | Institutional and Service Shares had Transfer Agent fees of $50,888 and $75,540, respectively. |
GOLDMAN SACHS
VARIABLE INSURANCE TRUST LARGE CAP VALUE FUND
Statements
of Changes in Net Assets
|
For the |
For the |
|||||||
|
Six Months
Ended |
Fiscal Year
Ended |
|||||||
| June 30, 2011 (Unaudited) | December 31, 2010 | |||||||
|
From
operations:
|
||||||||
|
Net investment income
|
$ | 5,190,376 | $ | 8,805,701 | ||||
|
Net realized gain from investment transactions
|
57,726,448 | 61,357,865 | ||||||
|
Net change in unrealized gain (loss) on investments
|
(23,978,528 | ) | 51,676,161 | |||||
|
Net
increase in net assets resulting from operations
|
38,938,296 | 121,839,727 | ||||||
|
Distributions to
shareholders:
|
||||||||
|
From net investment income
|
||||||||
|
Institutional Shares
|
— | (3,935,813 | ) | |||||
|
Service Shares
|
— | (3,969,754 | ) | |||||
|
Total
distributions to shareholders
|
— | (7,905,567 | ) | |||||
|
From share
transactions:
|
||||||||
|
Proceeds from sales of shares
|
204,771,705 | 355,441,232 | ||||||
|
Reinvestment of distributions
|
— | 7,905,567 | ||||||
|
Cost of shares redeemed
|
(141,507,996 | ) | (176,911,161 | ) | ||||
|
Net
increase in net assets resulting from share
transactions
|
63,263,709 | 186,435,638 | ||||||
|
TOTAL
INCREASE
|
102,202,005 | 300,369,798 | ||||||
|
Net
assets:
|
||||||||
|
Beginning of period
|
1,179,385,664 | 879,015,866 | ||||||
|
End of period
|
$ | 1,281,587,669 | $ | 1,179,385,664 | ||||
|
Accumulated
undistributed net investment income
|
$ | 6,986,346 | $ | 1,795,970 | ||||
GOLDMAN SACHS
VARIABLE INSURANCE TRUST LARGE CAP VALUE FUND
Financial
Highlights
Selected
Data for a Share Outstanding Throughout Each Period
|
Income (loss)
from |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
| investment operations | Distributions to shareholders | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||
|
Net |
Ratio of |
Ratio of |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||
|
Net asset |
realized |
From |
Net asset |
Net assets, |
Ratio of |
total |
net investment |
|||||||||||||||||||||||||||||||||||||||||||||||||||
|
value, |
Net |
and |
Total from |
From net |
net |
value, |
end of |
net expenses |
expenses |
income |
Portfolio |
|||||||||||||||||||||||||||||||||||||||||||||||
|
beginning |
investment |
unrealized |
investment |
investment |
realized |
Total |
end of |
Total |
period |
to average |
to average |
to average |
turnover |
|||||||||||||||||||||||||||||||||||||||||||||
| Year - Share Class | of period | income(a) | gain (loss) | operations | income | gains | distributions | period | return(b) | (in 000s) | net assets | net assets | net assets | rate | ||||||||||||||||||||||||||||||||||||||||||||
|
FOR THE SIX
MONTHS ENDED JUNE 30, (UNAUDITED)
|
||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
|
2011 - Institutional
|
$ | 10.24 | $ | 0.05 | $ | 0.30 | $ | 0.35 | $ | — | $ | — | $ | — | $ | 10.59 | 3.42 | % | $ | 480,749 | 0.79 | %(c) | 0.79 | %(c) | 0.96 | %(c) | 32 | % | ||||||||||||||||||||||||||||||
|
2011 - Service
|
10.23 | 0.04 | 0.29 | 0.33 | — | — | — | 10.56 | 3.23 | 800,839 | 1.04 | (c) | 1.04 | (c) | 0.73 | (c) | 32 | |||||||||||||||||||||||||||||||||||||||||
|
FOR THE FISCAL
YEARS ENDED DECEMBER 31,
|
||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
|
2010 - Institutional
|
9.28 | 0.10 | 0.94 | 1.04 | (0.08 | ) | — | (0.08 | ) | 10.24 | 11.20 | 507,146 | 0.80 | 0.80 | 1.02 | 95 | ||||||||||||||||||||||||||||||||||||||||||
|
2010 - Service
|
9.28 | 0.07 | 0.94 | 1.01 | (0.06 | ) | — | (0.06 | ) | 10.23 | 10.89 | 672,239 | 1.05 | 1.05 | 0.78 | 95 | ||||||||||||||||||||||||||||||||||||||||||
|
2009 - Institutional
|
7.97 | 0.18 | (d) | 1.28 | 1.46 | (0.15 | ) | — | (0.15 | ) | 9.28 | 18.32 | 487,962 | 0.81 | 0.81 | 2.18 | (d) | 84 | ||||||||||||||||||||||||||||||||||||||||
|
2009 - Service
|
7.98 | 0.16 | (d) | 1.28 | 1.44 | (0.14 | ) | — | (0.14 | ) | 9.28 | 17.87 | 391,053 | 1.06 | 1.06 | 1.92 | (d) | 84 | ||||||||||||||||||||||||||||||||||||||||
|
2008 - Institutional
|
12.53 | 0.25 | (4.59 | ) | (4.34 | ) | (0.22 | ) | — | (e) | (0.22 | ) | 7.97 | (34.45 | ) | 389,838 | 0.81 | 0.81 | 2.36 | 69 | ||||||||||||||||||||||||||||||||||||||
|
2008 - Service
|
12.52 | 0.19 | (4.51 | ) | (4.32 | ) | (0.22 | ) | — | (e) | (0.22 | ) | 7.98 | (34.32 | ) | 67,200 | 1.06 | 1.06 | 2.15 | 69 | ||||||||||||||||||||||||||||||||||||||
|
2007 - Institutional
|
13.91 | 0.25 | (0.03 | ) | 0.22 | (0.26 | ) | (1.34 | ) | (1.60 | ) | 12.53 | 1.49 | 571,883 | 0.85 | 0.85 | 1.75 | 79 | ||||||||||||||||||||||||||||||||||||||||
|
2007 - Service (Commenced July 24, 2007)
|
14.71 | 0.15 | (0.74 | ) | (0.59 | ) | (0.26 | ) | (1.34 | ) | (1.60 | ) | 12.52 | (4.02 | ) | 90 | 0.94 | (c) | 1.09 | (c) | 3.11 | (c) | 79 | |||||||||||||||||||||||||||||||||||
|
2006 - Institutional
|
11.97 | 0.28 | 2.43 | 2.71 | (0.23 | ) | (0.54 | ) | (0.77 | ) | 13.91 | 22.63 | 432,016 | 0.86 | 0.87 | 2.15 | 52 | |||||||||||||||||||||||||||||||||||||||||
| (a) | Calculated based on the average shares outstanding methodology. | |
| (b) | Assumes investment at the net asset value at the beginning of the period, reinvestment of all distributions, and a complete redemption of the investment at the net asset value at the end of the period. Total returns for periods less than one full year are not annualized. | |
| (c) | Annualized. | |
| (d) | Reflects income recognized from non-recurring special dividends which amounted to $0.02 per share and 0.24% of average net assets. | |
| (e) | Amount is less than $0.005 per share. |
12
GOLDMAN SACHS
VARIABLE INSURANCE TRUST LARGE CAP VALUE FUND
Notes to
Financial Statements
June 30,
2011 (Unaudited)
| 1. ORGANIZATION |
Goldman Sachs Variable Insurance Trust (the “Trust” or
“VIT”) 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 Trust includes the Goldman Sachs Large Cap Value Fund (the
“Fund”). The Fund is a diversified portfolio under the
Act offering two classes of shares — Institutional and
Service.
Goldman Sachs Asset Management, L.P. (“GSAM”), an
affiliate of Goldman, Sachs & Co. (“Goldman
Sachs”), serves as investment adviser to the Fund pursuant
to a management agreement (the “Agreement”) with the
Trust.
| 2. SIGNIFICANT ACCOUNTING POLICIES |
The following is a summary of the significant accounting
policies consistently followed by the Fund. The preparation of
financial statements in conformity with accounting principles
generally accepted in the United States of America
(“GAAP”) requires management to make estimates and
assumptions that may affect the amounts and disclosures in the
financial statements. Actual results could differ from those
estimates and assumptions.
A. Investment
Valuation — The investment valuation policy
of the Fund is to value investments at market value. Investments
in equity securities and investment companies traded on a United
States (“U.S.”) securities exchange or the NASDAQ
system are valued daily at their last sale price or official
closing price on the principal exchange or system on which they
are traded. If no sale occurs, such securities and investment
companies are valued at the last bid price for long positions
and at the last ask price for short positions. Debt securities
for which market quotations are readily available are valued on
the basis of quotations furnished by an independent pricing
service approved by the trustees or provided by securities
dealers. The pricing services may use valuation models or matrix
pricing, which consider: (i) yield or price with respect to
bonds that are considered comparable in characteristics such as
rating, interest rate and maturity date or (ii) quotations
from securities dealers to determine current value. If accurate
quotations are not readily available, or if GSAM believes that
such quotations do not accurately reflect fair value, the fair
value of the Fund’s investments may be determined based on
yield equivalents, a pricing matrix or other sources, under
valuation procedures established by the trustees. Unlisted
equity securities for which market quotations are available are
valued at the last sale price on the valuation date, or if no
sale occurs, at the last bid price. In the absence of market
quotations, broker quotes will be utilized or the security will
be fair valued. Investments in investment companies (other than
those that are exchange traded) are valued at the net asset
value per share (“NAV”) of the investment company on
the valuation date. Short-term debt obligations that mature in
sixty days or less and that do not exhibit signs of credit
deterioration are valued at amortized cost, which approximates
market value.
GSAM, consistent with its procedures and applicable regulatory
guidance, may make an adjustment to the previous closing prices
of either domestic or foreign securities in light of significant
events to reflect what it believes to be the fair value of the
securities at the time of determining the Fund’s NAV.
Significant events that could affect a large number of
securities in a particular market may include, but are not
limited to: situations relating to one or more single issuers in
a market sector; significant fluctuations in U.S. or foreign
markets; market dislocations; market disruptions or market
closings; equipment failures; natural or man-made disasters or
acts of God; armed conflicts; government actions or other
developments; as well as the same or similar events which may
affect specific issuers or the securities markets even though
not tied directly to the securities markets. Other significant
events that could relate to a single issuer may include, but are
not limited to: corporate actions such as reorganizations,
mergers and buy-outs; corporate announcements, including those
relating to earnings, products and regulatory news; significant
litigation; low trading volume; and trading limits or
suspensions.
B. Security
and Fund Share Transactions, and Investment
Income — Security and Fund share
transactions are reflected for financial reporting purposes as
of the trade date, which may cause the NAV as stated in the
accompanying financial statements to be different than the NAV
applied to Fund share transactions. Realized gains and losses on
sales of portfolio securities are calculated using the
identified cost basis. Dividend income is recognized on the
ex-dividend
date, net of foreign withholding taxes, if any, which are
reduced by any amounts reclaimable by the Fund, where
applicable. Certain dividends from foreign securities will be
recorded when the Fund is informed of the dividend, if such
information is obtained subsequent to the
ex-dividend
date.
GOLDMAN SACHS
VARIABLE INSURANCE TRUST LARGE CAP VALUE FUND
Notes to
Financial
Statements (continued)
June 30,
2011 (Unaudited)
| 2. SIGNIFICANT ACCOUNTING POLICIES (continued) |
Interest income is recorded on the basis of interest accrued,
premium amortized and discount accreted. In addition, it is the
Fund’s policy to accrue for foreign capital gains taxes, if
applicable, on certain foreign securities held by the Fund. An
estimated foreign capital gains tax is recorded daily on net
unrealized gains on these securities and is payable upon the
sale of such securities when a gain is realized.
Investment income and unrealized and realized gains or losses
are allocated daily to each class of shares of the Fund based
upon the relative proportion of net assets of each class.
In addition, distributions received from the Fund’s
investments in the U.S. real estate investment trusts
(“REITs”) often include a “return of
capital”, which is recorded by the Fund as a reduction of
the cost basis of the securities held. The Internal Revenue Code
of 1986, as amended (the “Code”) requires a REIT to
distribute at least 95% of its taxable income to investors. In
many cases, however, because of “non-cash” expenses
such as property depreciation, a REIT’s cash flow will
exceed its taxable income. The REIT may distribute this excess
cash to offer a more competitive yield. This portion of the
Fund’s distributions is deemed a return of capital and is
generally not taxable to shareholders.
C. Expenses —
Expenses incurred by the Fund, which may not
specifically relate to the Fund, may be shared with other
registered investment companies having management agreements
with GSAM or its affiliates, as appropriate. These expenses are
allocated to the Fund on a straight-line
and/or
pro-rata basis depending upon the nature of the expenses and are
accrued daily.
Non-class
specific expenses are allocated daily to each share class of the
respective Fund based upon the relative proportion of net assets
of each class. Class specific expenses, where applicable, are
borne by the respective share classes and include Distribution
and Service and Transfer Agent fees.
D. Federal
Taxes and Distributions to Shareholders —
It is the Fund’s policy to comply with the
requirements of the Code, applicable to regulated investment
companies (mutual funds) and to distribute each year
substantially all of its investment company taxable income and
capital gains to its shareholders. Accordingly, the Fund is not
required to make any provisions for the payment of federal
income tax. Distributions to shareholders are recorded on the
ex-dividend
date. Income and capital gains distributions, if any, are
declared and paid annually.
Net capital losses are carried forward to future fiscal years
and may be used to the extent allowed by the Code to offset any
future capital gains. Utilization of capital loss carryforwards
will reduce the requirement of future capital gains
distributions.
The characterization of distributions to shareholders for
financial reporting purposes is determined in accordance with
federal income tax rules, which may differ from GAAP. The source
of the 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
Fund’s net assets on the Statement of Assets and
Liabilities reflect permanent GAAP/tax differences based on the
appropriate tax character.
E. Commission
Recapture — The Fund may direct portfolio
trades, subject to obtaining best execution, to various brokers
who have agreed to rebate a portion of the commissions
generated. Such rebates are made directly to the Fund as cash
payments and are included in net realized gain (loss) from
investments on the Statement of Operations.
| 3. FAIR VALUE OF INVESTMENTS |
The fair value of a financial instrument is the amount that
would be received to sell an asset or paid to transfer a
liability in an orderly transaction between market participants
at the measurement date (i.e., the exit price). GAAP establishes
a fair value hierarchy that prioritizes the inputs to valuation
techniques used to measure fair value. The hierarchy gives the
highest priority to unadjusted quoted prices in active markets
for identical assets or liabilities (Level 1 measurements)
and the lowest priority to unobservable inputs (Level 3
measurements). The three levels of the fair value hierarchy are
described below:
Level 1 — Unadjusted quoted prices in active
markets that are accessible at the measurement date for
identical, unrestricted assets or liabilities;
GOLDMAN SACHS
VARIABLE INSURANCE TRUST LARGE CAP VALUE FUND
| 3. FAIR VALUE OF INVESTMENTS (continued) |
Level 2 — Quoted prices in markets that are not
active or financial instruments for which significant inputs are
observable (including, but not limited to, quoted prices for
similar securities, interest rates, foreign exchange rates,
volatility and credit spreads), either directly or indirectly;
Level 3 — Prices or valuations that require
significant unobservable inputs (including GSAM’s
assumptions in determining fair value measurement).
The following is a summary of the Fund’s investments
categorized in the fair value hierarchy as of June 30, 2011:
| Investment Type | Level 1 | Level 2 | Level 3 | |||||||||
|
Assets
|
||||||||||||
|
Common Stock
and/or Other
Equity Investments
|
$ | 1,287,971,119 | $ | — | $ | — | ||||||
|
Short-term Investment
|
34,943,449 | — | — | |||||||||
|
Total
|
$ | 1,322,914,568 | $ | — | $ | — | ||||||
| 4. AGREEMENTS AND AFFILIATED TRANSACTIONS |
A. Management
Agreement — Under the Agreement, GSAM
manages the Fund, 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 Fund’s business affairs, including
providing facilities, GSAM is entitled to a management fee,
accrued daily and paid monthly, equal to an annual percentage
rate of the Fund’s average daily net assets.
For the six months ended June 30, 2011, contractual and
effective net management fees with GSAM were at the following
rates:
| Contractual Management Rate |
Effective Net |
|||||||||||||||||||||||
|
First |
Next |
Next |
Next |
Over |
Effective |
Management |
||||||||||||||||||
| $1 billion | $1 billion | $3 billion | $3 billion | $8 billion | Rate | Rate | ||||||||||||||||||
|
0.75%
|
0.68 | % | 0.65 | % | 0.64 | % | 0.63 | % | 0.73 | % | 0.73 | %* | ||||||||||||
| * | Effective June 30, 2011, GSAM agreed to waive a portion of its management fee in order to achieve an effective net management rate of 0.73% through at least April 29, 2012. Prior to such date GSAM may not terminate the arrangement without the approval of the trustees. For the six months ended June 30, 2011, GSAM waived approximately $600 of the Fund’s management fee. |
B. Distribution
and Service Plan — The Trust, on behalf of
the Service Shares of the Fund, has adopted a Distribution and
Service Plan (the “Plan”). Under the Plan, Goldman
Sachs, which serves as distributor, is entitled to a fee accrued
daily and paid monthly for distribution services, which may then
be paid by Goldman Sachs to authorized dealers, equal to, on an
annual basis, 0.25% of the Fund’s average daily net assets
attributable to Service Shares.
C. Transfer
Agency Agreement — Goldman Sachs also
serves as the transfer agent of the Fund for a fee pursuant to a
Transfer Agency Agreement. The fees charged for such transfer
agency services are accrued daily and paid monthly at an annual
rate of 0.02% of the average daily net assets for Institutional
and Service Shares.
D. Other
Expense Agreements and Affiliated Transactions —
GSAM has agreed to limit certain “Other
Expense” of the Fund (excluding management fees,
distribution and service fees, transfer agent fees and expenses,
taxes, interest, brokerage fees and litigation, indemnification,
shareholder meetings and other extraordinary expenses, exclusive
of any custody and transfer agent fee credit reductions) to the
extent such expenses exceed, on an annual basis, 0.114% of the
average daily net assets of the Fund. Such Other Expense
reimbursements, if any, are accrued daily and paid monthly. In
addition, the Fund is not obligated to reimburse GSAM for prior
fiscal year expense reimbursements, if any. These Other Expense
reimbursements will remain in place
GOLDMAN SACHS
VARIABLE INSURANCE TRUST LARGE CAP VALUE FUND
Notes to
Financial
Statements (continued)
June 30,
2011 (Unaudited)
| 4. AGREEMENTS AND AFFILIATED TRANSACTIONS (continued) |
through at least April 29, 2012, and prior to such date
GSAM may not terminate the arrangements without the approval of
the trustees. For the six months ended June 30, 2011, GSAM
did not make any reimbursements to the Fund.
As of June 30, 2011, the amounts owed to affiliates were
approximately $774,600, $164,000 and $21,100 for management,
distribution and service, and transfer agent fees, respectively.
E. Line of
Credit Facility — As of June 30, 2011,
the Fund participated in a $580,000,000 committed, unsecured
revolving line of credit facility (the “facility”)
together with other funds of the Trust and registered investment
companies having management agreements with GSAM or its
affiliates. Pursuant to the terms of the facility, the Fund and
other borrowers could increase the credit amount by an
additional $340,000,000, for a total of up to $920,000,000. This
facility is to be used solely for temporary or emergency
purposes. The interest rate on borrowings is based on the
federal funds rate. The facility also requires a fee to be paid
by the Fund based on the amount of the commitment that has not
been utilized. For the six months ended June 30, 2011, the
Fund did not have any borrowings under the facility.
F. Other
Transactions with Affiliates — For the six
months ended June 30, 2011, Goldman Sachs earned
approximately $14,500 in brokerage commissions from portfolio
transactions on behalf of the Fund.
| 5. PORTFOLIO SECURITIES TRANSACTIONS |
The cost of purchases and proceeds from sales and maturities of
long-term securities for the six months ended June 30,
2011, were $493,693,691 and $400,988,669, respectively.
| 6. TAX INFORMATION |
As of the Fund’s most recent fiscal year end,
December 31, 2010, the Fund’s capital loss
carryforwards on a tax-basis were as follows:
|
Capital loss
carryforward:(1)
|
||||
|
Expiring 2016
|
$ | (1,262,514 | ) | |
|
Expiring 2017
|
(99,804,144 | ) | ||
|
Total capital loss carryforward
|
$ | (101,066,658 | ) | |
| (1) | Expiration occurs on December 31 of the year indicated. |
As of June 30, 2011, the Fund’s aggregate security
unrealized gains and losses based on cost for U.S. federal
income tax purposes were as follows:
|
Tax cost
|
$ | 1,225,458,052 | ||
|
Gross unrealized gain
|
137,259,315 | |||
|
Gross unrealized loss
|
(39,802,799 | ) | ||
|
Net unrealized security gain
|
$ | 97,456,516 | ||
The difference between GAAP-basis and tax-basis unrealized gains
(losses), as of the most recent fiscal year end, is attributable
primarily to wash sales.
GSAM has reviewed the Fund’s 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
Fund’s financial statements. Such open tax years remain
subject to examination and adjustment by tax authorities.
GOLDMAN SACHS
VARIABLE INSURANCE TRUST LARGE CAP VALUE FUND
| 6. TAX INFORMATION (continued) |
Under the recently enacted Regulated Investment Company
Modernization Act of 2010, the Fund will be permitted to carry
forward capital losses incurred in taxable years beginning after
December 22, 2010 for an unlimited period. However, any
losses incurred during those future taxable years will be
required to be utilized prior to the losses incurred in
pre-enactment taxable years. As a result of this ordering rule,
pre-enactment capital loss carryforwards may be more likely to
expire unused. Additionally, post-enactment capital losses that
are carried forward will retain their character as either
short-term or long-term capital losses rather than being
considered all short-term as under previous law.
| 7. OTHER RISKS |
Fund’s
Shareholder Concentration Risk — Certain
participating insurance companies, accounts, or Goldman Sachs
affiliates may from time to time own (beneficially or of record)
or control a significant percentage of the Fund’s shares.
Redemptions by these entities of their holdings in the Fund may
impact the Fund’s liquidity and NAV. These redemptions may
also force the Fund to sell securities.
Liquidity
Risk — The Fund 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 Fund trades financial instruments and enters into financial
transactions where risk of potential loss exists due to changes
in the market (market risk). Additionally, the Fund 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 Fund has
unsettled or open transaction defaults.
| 8. 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 Fund. Additionally, in
the course of business, the Fund enters into contracts that
contain a variety of indemnification clauses. The Fund’s
maximum exposure under these arrangements is unknown, as this
would involve future claims that may be made against the Fund
that have not yet occurred. However, GSAM believes the risk of
loss under these arrangements to be remote.
| 9. 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.
GOLDMAN SACHS
VARIABLE INSURANCE TRUST LARGE CAP VALUE FUND
Notes to
Financial
Statements (continued)
June 30,
2011 (Unaudited)
| 10. SUMMARY OF SHARE TRANSACTIONS |
Share activity is as follows:
|
For the Six
Months Ended |
||||||||||||||||
|
June 30, 2011 |
For the Fiscal
Year Ended |
|||||||||||||||
| (Unaudited) | December 31, 2010 | |||||||||||||||
| Shares | Dollars | Shares | Dollars | |||||||||||||
|
Institutional
Shares
|
||||||||||||||||
|
Shares sold
|
2,340,368 | $ | 24,834,651 | 7,156,994 | $ | 65,134,638 | ||||||||||
|
Reinvestment of distributions
|
— | — | 386,622 | 3,935,813 | ||||||||||||
|
Shares redeemed
|
(6,461,000 | ) | (68,717,099 | ) | (10,612,256 | ) | (100,508,688 | ) | ||||||||
| (4,120,632 | ) | (43,882,448 | ) | (3,068,640 | ) | (31,438,237 | ) | |||||||||
|
Service
Shares
|
||||||||||||||||
|
Shares sold
|
16,966,248 | 179,937,054 | 31,182,290 | 290,306,594 | ||||||||||||
|
Reinvestment of distributions
|
— | — | 390,340 | 3,969,754 | ||||||||||||
|
Shares redeemed
|
(6,867,628 | ) | (72,790,897 | ) | (8,012,106 | ) | (76,402,473 | ) | ||||||||
| 10,098,620 | 107,146,157 | 23,560,524 | 217,873,875 | |||||||||||||
|
NET
INCREASE
|
5,977,988 | $ | 63,263,709 | 20,491,884 | $ | 186,435,638 | ||||||||||
GOLDMAN SACHS
VARIABLE INSURANCE TRUST LARGE CAP VALUE FUND
Statement
Regarding Basis for Approval of Management Agreement
(Unaudited)
Background
The Goldman Sachs Large Cap Value Fund (the “Fund”) is
an investment portfolio of Goldman Sachs Variable Insurance
Trust (the “Trust”). The Board of Trustees oversees
the management of the Trust and reviews the investment
performance and expenses of the Fund 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 agreement (the
“Management Agreement”) with Goldman Sachs Asset
Management, L.P. (the “Investment Adviser”) on behalf
of the Fund.
The Management Agreement was most recently approved for
continuation until June 30, 2012 by the Board of Trustees,
including those Trustees who are not parties to the Management
Agreement or “interested persons” (as defined in the
Investment Company Act of 1940, as amended) of any party thereto
(the “Independent Trustees”), at a meeting held on
June 15-16,
2011 (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 Agreement was 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
Agreement, including:
| (a) | the nature and quality of the advisory, administrative and other services provided to the Fund 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, 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; |
| (b) | information on the investment performance of the Fund, including 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”), its benchmark performance index, a comparable institutional composite managed by the Investment Adviser, and general investment outlooks in the markets in which the Fund invests; | |
| (c) | the terms of the Management Agreement and agreements with affiliated service providers entered into by the Trust on behalf of the Fund; | |
| (d) | expense information for the Fund, including: |
| (i) | the relative management fee and expense level of the Fund as compared to those of comparable funds managed by other advisers, as provided by the Outside Data Provider; | |
| (ii) | the Fund’s 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 Fund, 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 Fund; | |
| (f) | the undertakings of the Investment Adviser to waive certain fees and reimburse certain expenses of the Fund that exceed a specified level, and a summary of contractual fee reductions made by the Investment Adviser and its affiliates over the past several years with respect to the Fund; |
GOLDMAN SACHS
VARIABLE INSURANCE TRUST LARGE CAP VALUE FUND
Statement
Regarding Basis for Approval of Management Agreement
(Unaudited) (continued)
| (g) | information relating to the profitability of the Management Agreement and the transfer agency and distribution and service arrangements of the Fund and the Trust as a whole to the Investment Adviser and its affiliates; | |
| (h) | whether the 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 Fund, including the fees received by the Investment Adviser’s affiliates from the Fund for transfer agency, portfolio brokerage, distribution and other services; | |
| (j) | a summary of potential benefits derived by the Fund as a result of its relationship with the Investment Adviser; | |
| (k) | information regarding commissions paid by the Fund, an update on the Investment Adviser’s soft dollars practices, other information regarding portfolio trading and how the Investment Adviser carries out its duty to seek best execution; | |
| (l) | the manner in which portfolio manager compensation is determined, and the number and types of accounts managed by the portfolio managers; | |
| (m) | the nature and quality of the services provided to the Fund by its 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 Agreement; 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 Fund’s compliance program; and compliance reports. |
The Trustees also received an overview of the Fund’s
distribution arrangements. They received information regarding
the Fund’s assets, share purchase and redemption activity
and the payment of
Rule 12b-1
distribution and service fees by the Fund’s Service 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 Fund and other mutual fund
portfolios for which the Board of Trustees has responsibility.
In evaluating the Management Agreement 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 Fund.
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
Agreement
As part of their review, the Trustees considered the nature,
extent and quality of the services provided by the Investment
Adviser. In this regard, the Trustees considered both the
investment advisory services, and the other, non-advisory
services, that are provided to the Fund by the Investment
Adviser and its affiliates. The Trustees noted the transition in
the leadership and changes in personnel of various portfolio
management teams that had occurred in recent periods, the
potential benefit to the Fund of recent increases in headcount
at the Investment Adviser and the ongoing recruitment efforts
aimed at bringing high quality investment talent to the
Investment Adviser. The Independent Trustees concluded that the
Investment Adviser had committed substantial financial and
operational resources to the Fund 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 Fund and the Investment Adviser.
GOLDMAN SACHS
VARIABLE INSURANCE TRUST LARGE CAP VALUE FUND
Statement
Regarding Basis for Approval of Management Agreement
(Unaudited) (continued)
Investment
Performance
The Trustees also considered the investment performance of the
Fund and the Investment Adviser. In this regard, they compared
the Fund to its peers using the performance rankings and ratings
compiled by the Outside Data Provider as of December 31,
2010, and updated performance information prepared by the
Investment Adviser using the peer group identified by the
Outside Data provider. The information on the Fund’s
investment performance was provided for the one-, three-, five-
and ten-year periods ending on the applicable dates. The
Trustees also reviewed the Fund’s investment performance
over time on a
year-by-year
basis relative to its performance benchmark. In addition, they
considered the investment performance trends of the Fund over
time, and reviewed the investment performance of the Fund in
light of its investment objective and policies, and market
conditions. The Trustees also received information comparing the
Fund’s performance to that of a comparable institutional
composite managed by the Investment Adviser. The Trustees
considered whether the Fund had operated within its investment
policies and had complied with its investment limitations.
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
Fund’s risk profile, and how the Investment Adviser’s
approach to risk monitoring and management influences portfolio
management.
The Independent Trustees observed that the Fund had
underperformed its benchmark index and had placed in the fourth
quartile of its peer group for the one-year period ended
May 31, 2011. The Independent Trustees also noted that the
Fund had ranked in the top half of its peer group for the
ten-year period ended May 31, 2011. The Independent
Trustees noted that they had communicated concerns regarding the
performance of the Fund to GSAM senior management and had
received assurances that measures would continue to be taken to
address the Fund’s performance.
Costs of
Services Provided and Competitive Information
The Trustees considered the contractual fee rates payable by the
Fund under the Management Agreement. In this regard, the
Trustees considered information on the services rendered by the
Investment Adviser to the Fund, which included both advisory and
administrative services that were directed to the needs and
operations of the Fund as a registered mutual fund.
In particular, the Trustees reviewed analyses prepared by the
Outside Data Provider regarding the expense rankings of the
Fund. The analyses provided a comparison of the Fund’s
management fees and breakpoints to those of a relevant peer
group and category universe; an expense analysis which compared
the Fund’s expenses to a peer group and a category
universe; and a four-year history comparing the
Fund’s expenses to the peer and category medians. The
analyses also compared the Fund’s transfer agency fees,
custody and accounting fees, distribution fees, other expenses
and fee waivers/reimbursements to those of other funds in the
peer group and the peer group median. 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 Fund.
In addition, the Trustees considered the Investment
Adviser’s undertakings to waive a portion of its management
fee and limit the Fund’s “other expenses” ratio
(excluding certain expenses) to a certain specified level. 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 Fund, comparative fee information for services provided by
the Investment Adviser to those accounts, and information that
indicated that services provided to the Fund 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 Fund under the terms of the
Management Agreement.
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.
GOLDMAN SACHS
VARIABLE INSURANCE TRUST LARGE CAP VALUE FUND
Statement
Regarding Basis for Approval of Management Agreement
(Unaudited) (continued)
Profitability
The Trustees reviewed the Investment Adviser’s revenues and
pre-tax profit margins with respect to the Trust and the Fund.
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 the Fund were provided for
2010 and 2009, 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 and the
rationale for the Fund’s breakpoint structure. The Trustees
also considered the breakpoints in the fee rate payable under
the Management Agreement for the Fund at the following annual
percentage rates of the average daily net assets of the Fund:
|
First $1 billion
|
0.75 | % | ||
|
Next $1 billion
|
0.68 | |||
|
Next $3 billion
|
0.65 | |||
|
Next $3 billion
|
0.64 | |||
|
Over $8 billion
|
0.63 |
The Trustees noted that the breakpoints at the $5 and
$8 billion asset levels had been proposed by the Investment
Adviser and approved by the Trustees in 2008 to further share
potential economies of scale, if any, with the Fund and its
shareholders as assets under management reach those asset
levels. The Trustees considered the amounts of assets in the
Fund; the Fund’s recent share purchase and redemption
activity; the information provided by the Investment Adviser
relating to the costs of the services provided by the Investment
Adviser and its affiliates and their realized profits;
information comparing fee rates charged by the Investment
Adviser with fee rates charged to other funds in the peer group;
and the Investment Adviser’s undertakings to limit the
Fund’s fees and “other expenses” ratio (excluding
certain expenses) to certain amounts. Upon reviewing these
matters at the Annual Meeting, the Trustees concluded that the
fee breakpoints represented a means of assuring that benefits of
scalability would be passed along to shareholders at the
specified asset levels.
Other
Benefits to the Investment Adviser and Its Affiliates
The Trustees also considered the other benefits derived by the
Investment Adviser and its affiliates from their relationship
with the Fund as stated above, including: (a) transfer
agency fees received by Goldman, Sachs & Co.
(“Goldman Sachs”); (b) brokerage and futures
commissions earned by Goldman Sachs for executing securities and
futures transactions on behalf of the Fund; (c) research
received by the Investment Adviser from broker-dealers in
exchange for executing certain transactions on behalf of the
Fund; (d) trading efficiencies resulting from aggregation
of orders of the Fund with those for other funds or accounts
managed by the Investment Adviser; (e) the Investment
Adviser’s ability to leverage the infrastructure designed
to service the Fund on behalf of its other clients; (f) the
Investment Adviser’s ability to cross-market other products
and services to Fund shareholders; (g) Goldman Sachs’
retention of certain fees as Fund Distributor; (h) 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 Fund; and (i) the possibility
that the working relationship between the Investment Adviser and
the Fund’s 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 the fall-out benefits.
GOLDMAN SACHS
VARIABLE INSURANCE TRUST LARGE CAP VALUE FUND
Statement
Regarding Basis for Approval of Management Agreement
(Unaudited) (continued)
Other
Benefits to the Fund and Its Shareholders
The Trustees also noted that the Fund receives certain potential
benefits as a result of its relationship with the Investment
Adviser, including: (a) trading efficiencies resulting from
aggregation of orders of the Fund 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 advantages gained from the Investment
Adviser’s knowledge and experience gained from managing
other accounts and products; (f) the Investment
Adviser’s ability to hire and retain qualified personnel to
provide services to the Fund because of the reputation of the
Goldman Sachs organization; (g) the Fund’s access,
through the Investment Adviser, to certain firmwide resources
(e.g., proprietary databases); and (h) the Fund’s
access to certain affiliated distribution channels. The Trustees
noted the competitive nature of the mutual fund marketplace, and
noted further that many of the Fund’s shareholders invested
in the Fund in part because of the Fund’s 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
Agreement, 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 the
Fund were reasonable in light of the services provided to it by
the Investment Adviser, the Investment Adviser’s costs and
the Fund’s current and reasonably foreseeable asset levels.
The Trustees unanimously concluded that the Investment
Adviser’s continued management likely would benefit the
Fund and its shareholders and that the Management Agreement
should be approved and continued with respect to the Fund until
June 30, 2012.
GOLDMAN SACHS
VARIABLE INSURANCE TRUST LARGE CAP VALUE FUND
Fund Expenses —
Six Month Period Ended June 30, 2011 (Unaudited)
As a shareholder of Institutional or Service Shares of the Fund,
you incur ongoing costs, including management fees; distribution
and service (12b-1) fees (with respect to Service Shares); and
other Fund expenses. This example is intended to help you
understand your ongoing costs (in dollars) of investing in the
Institutional Shares and Service Shares of the Fund and to
compare these costs with the ongoing costs of investing in other
mutual funds.
The example is based on an investment of $1,000 invested at the
beginning of the period and held for the entire period from
January 1, 2011 through June 30, 2011.
Actual Expenses — The first line under each
share class in the table below provides information about actual
account values and actual expenses. You may use the information
in this line, together with the amount you invested, to estimate
the expenses that you paid over the period. Simply divide your
account value by $1,000 (for example, an $8,600 account value
divided by $1,000=8.6), then multiply the result by the number
in the first line under the heading entitled “Expenses
Paid” to estimate the expenses you paid on your account
during this period.
Hypothetical Example for Comparison Purposes —
The second line under each share class in the table below
provides information about hypothetical account values and
hypothetical expenses based on the Fund’s actual net
expense ratio and an assumed rate of return of 5% per year
before expenses, which is not the Fund’s 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 Fund 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. As a shareholder of the Fund,
you do not incur any transaction costs, such as sales charges
(loads), redemption fees, or exchange fees, but shareholders of
other funds may incur such costs. 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
whose shareholders may incur transaction costs.
|
Expenses Paid |
|||||||||||||||
|
for the |
|||||||||||||||
|
Beginning |
Ending |
6 Months |
|||||||||||||
|
Account Value |
Account Value |
Ended |
|||||||||||||
| Share Class | 1/01/11 | 6/30/11 | 6/30/11* | ||||||||||||
|
Institutional
|
|||||||||||||||
|
Actual
|
$ | 1,000 | $ | 1,034.20 | $ | 3.98 | |||||||||
|
Hypothetical 5% return
|
1,000 | 1,020.88 | + | 3.96 | |||||||||||
|
Service
|
|||||||||||||||
|
Actual
|
1,000 | 1,032.30 | 5.24 | ||||||||||||
|
Hypothetical 5% return
|
1,000 | 1,019.64 | + | 5.21 | |||||||||||
| * | Expenses for each share class are calculated using the 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 June 30, 2011. Expenses are calculated by multiplying the annualized net expense ratio by the average account value for the period; then multiplying the result by the number of days in the most recent fiscal half year; and then dividing that result by the number of days in the fiscal year. The annualized net expense ratios for the period were 0.79% and 1.04% for Institutional and Service Shares, respectively. | |
| + | 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. |
|
TRUSTEES
|
OFFICERS | |
|
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 |
James A. McNamara,
President George F. Travers, Principal Financial Officer Peter V. Bonanno, Secretary Scott M. McHugh, Treasurer |
|
|
GOLDMAN, SACHS & CO. Distributor and Transfer Agent |
||
|
GOLDMAN SACHS ASSET MANAGEMENT, L.P. Investment Adviser 200 West Street, New York New York 10282 |
||
| Visit our website at www.goldmansachsfunds.com/vit to obtain the most recent month-end returns. | ||
| The reports concerning the Fund included in this shareholder report may contain certain forward-looking statements about the factors that may affect the performance of the Fund in the future. These statements are based on Fund management’s predictions and expectations concerning certain future events and their expected impact on the Fund, 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 Fund. 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 Fund uses to determine how to vote proxies relating to portfolio securities and information regarding how the 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 1-800-621-2550; and (ii) on the Securities and Exchange Commission (“SEC”) website at http://www.sec.gov. | ||
| The Fund files its complete schedule of portfolio holdings with the SEC for the first and third quarters of each fiscal year on Form N-Q. The Fund’s Form N-Q is available on the SEC’s website at http://www.sec.gov within 60 days after the Fund’s first and third fiscal quarters. When available, the Fund’s Forms N-Q may be reviewed and copied at the SEC’s Public Reference Room in Washington, D.C. and information on the operation of the Public Reference Room may also be obtained by calling 1-800-SEC-0330. Forms N-Q may be obtained upon request and without charge by calling 1-800-621-2550. | ||
| Holdings and allocations shown may not be representative of current or future investments. Holdings and allocations may not include the Fund’s entire investment portfolio, which may change at any time. Fund holdings should not be relied on in making investment decisions and should not be construed as research or investment advice regarding particular securities. | ||
| 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. | ||
| The Global Industry Classification Standard (“GICS”) was developed by and is the exclusive property and a service mark of Morgan Stanley Capital International Inc. (“MSCI”) and Standard & Poor’s, a division of The McGraw-Hill Companies, Inc. (“S&P”) and is licensed for use by Goldman Sachs. Neither MSCI, S&P nor any other party involved in making or compiling the GICS or any GICS classifications makes any express or implied warranties or representations with respect to such standard or classification (or the results to be obtained by the use thereof), and all such parties hereby expressly disclaim all warranties of originality, accuracy, completeness, merchantability or fitness for a particular purpose with respect to any of such standard or classification. Without limiting any of the foregoing, in no event shall MSCI, S&P, any of their affiliates or any third party involved in making or compiling the GICS or any GICS classifications have any liability for any direct, indirect, special, punitive, consequential or any other damages (including lost profits) even if notified of the possibility of such damages. | ||
| The portfolio risk management process includes an effort to monitor and manage risk, but does not imply low risk. | ||
| Shares of the Goldman Sachs VIT Funds are offered to separate accounts of participating life insurance companies for the purpose of funding variable annuity contracts and variable life insurance policies. Shares of the Fund are not offered directly to the general public. The variable annuity contracts and variable life insurance policies are described in the separate prospectuses issued by participating insurance companies. You should refer to those prospectuses for information about surrender charges, mortality and expense risk fees and other charges that may be assessed by participating insurance companies under the variable annuity contracts or variable life insurance policies. Such fees or charges, if any, may affect the return you may realize with respect to your investments. Ask your representative for more complete information. Please consider a fund’s objectives, risks and charges and expenses, and read the prospectus carefully before investing. The prospectus contains this and other information about the Fund. | ||
| 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 1-800-621-2550. | ||
| Toll Free (in U.S.): 800-292-4726 | ||
| This report is prepared for the general information of contract owners and is not an offer of shares of the Goldman Sachs Variable Insurance Trust: Goldman Sachs Large Cap Value Fund. | ||
| © 2011 Goldman Sachs. All rights reserved. | ||
| VITLCVSAR11/57740.MF.MED.TMPL/8/2011 | ||
Goldman
Sachs Variable Insurance Trust
Strategic Growth Fund
Semi-Annual
Report
June 30,
2011
|
|
GOLDMAN
SACHS VARIABLE INSURANCE TRUST STRATEGIC GROWTH FUND
Principal
Investment Strategies and Risks
Shares of the
Goldman Sachs Variable Insurance Trust — Goldman Sachs
Strategic Growth Fund are offered to separate accounts of
participating life insurance companies for the purpose of
funding variable annuity contracts and variable life insurance
policies. Shares of the Fund are not offered directly to the
general public. The variable annuity contracts and variable life
insurance policies are described in the separate prospectuses
issued by participating insurance companies. You should refer to
those prospectuses for information about surrender charges,
mortality and expense risk fees and other charges that may be
assessed by participating insurance companies under the variable
annuity contracts or variable life insurance policies. Such fees
or charges, if any, may affect the return you realize with
respect to your investments. Ask your representative for more
complete information. Please consider the Fund’s objective,
risks and charges and expenses, and read the Prospectus
carefully before investing. The Prospectus contains this and
other information about the Fund.
GOLDMAN SACHS
VARIABLE INSURANCE TRUST STRATEGIC GROWTH FUND
INVESTMENT
OBJECTIVE
The Fund seeks long-term growth of capital.
Portfolio
Management Discussion and Analysis
Below, the
Goldman Sachs Growth Portfolio Management Team discusses the
performance of the Goldman Sachs Variable Insurance
Trust — Goldman Sachs Strategic Growth Fund (the
“Fund”) and positioning for the six-month period ended
June 30, 2011 (the “Reporting Period”).
How did the
Fund perform during the Reporting Period?
During the Reporting Period, the Fund’s Institutional and
Service Shares generated cumulative total returns of 3.58% and
3.42%, respectively. These returns compare to the 6.83%
cumulative total return of the Fund’s benchmark, the
Russell
1000®
Growth Index* (with dividends reinvested) (the “Russell
Index”), during the same time period.
What economic
and market factors most influenced the equity markets as a whole
during the Reporting Period?
U.S. equities continued their positive momentum from 2010 during
the Reporting Period. However, most of the gains were generated
during the first quarter of 2011, as improving trends in labor,
housing, manufacturing and consumer confidence pointed to a
continuation in the economic recovery. A positive trajectory in
corporate earnings and cash flows and strong merger and
acquisition activity further supported U.S. equity market
performance. Indeed, despite great exogenous shocks in Middle
East and North African turmoil, a series of disasters in Japan,
political debate over collective bargaining rights in Wisconsin
and the possible repeal of health care reform in Washington
D.C., the U.S. equity markets rewarded investors with solid
returns during the first quarter of 2011.
The broad U.S. equity markets experienced a much more volatile
second quarter, rising to a three-year high in April before
losing most of its early 2011 gains by mid-June and then
recovering somewhat in the very last week of the Reporting
Period. In early April, commodity prices declined and
expectations ran high for strong corporate profit growth.
However, while home construction rose modestly in May, housing
and employment remained key weak spots in the U.S. economy.
Concerns about Greece’s debt crisis also re-surfaced, the
U.S. Congress wrangled over the U.S. debt ceiling, the Federal
Reserve Board’s quantitative easing program was scheduled
to expire on June 30, 2011, the impact of Japan’s
natural and nuclear disasters worked its way through the global
supply chain and deadly storms cut a wide swath of destruction
across the midwestern and southern United States. In turn, the
U.S. stock market felt pressured and lost ground. Toward the end
of June, U.S. equity markets recovered from their May to
mid-June decline on the heels of better than expected U.S.
manufacturing activity, improved automobile sales and a
short-term resolution of the sovereign debt crisis in Greece.
Despite this volatility, all sectors posted gains during the
Reporting Period, with the exception of financials, which posted
a negative return. Health care and energy led the way. Energy
was, not surprisingly, impacted by the price of Brent crude oil,
which peaked at more than $126 per barrel in April on supply
disruption fears in North Africa and the Middle East before
falling in June on weaker U.S. economic data and concerns about
the pace of growth in China’s economy. Still, Brent crude
oil prices ended the Reporting Period at more than $112 per
barrel.
While all capitalization segments of the U.S. equity market
advanced during the Reporting Period, mid-cap stocks, as
measured by the Russell
Midcap®
Index, performed best, followed by large-cap and then small-cap
stocks, as measured by the Russell
1000®
Index and the Russell
2000®
Index, respectively, which performed nearly in line with each
other. Large-cap stocks were least successful relative to
small-cap stocks in the information technology sector.
Growth-oriented stocks outpaced value-oriented stocks across the
capitalization spectrum.
What key
factors were responsible for the Fund’s performance during
the Reporting Period?
Stock selection overall detracted most from the Fund’s
performance relative to the Russell Index during the Reporting
Period.
| * | The Russell 1000 Growth Index is an unmanaged market capitalization weighted index of the 1000 largest U.S. companies with higher price-to-book ratios and higher forecasted growth values. The Index figures do not include any deduction for fees, expenses or taxes. It is not possible to invest directly in an unmanaged index. |
GOLDMAN SACHS
VARIABLE INSURANCE TRUST STRATEGIC GROWTH FUND
Which equity
market sectors most significantly affected Fund
performance?
Effective stock selection in the information technology sector,
an underweighted position in the lagging materials sector and an
overweighted exposure to the strongly performing health care
sector helped the Fund’s performance most relative to the
Russell Index during the Reporting Period. Detracting from the
Fund’s relative results most during the Reporting Period
was stock selection in the consumer discretionary, financials
and telecommunication services sectors, where company-specific
issues weighed on certain holdings.
What were some
of the Fund’s best-performing individual
stocks?
The Fund benefited relative to the Russell Index from positions
in MasterCard, a global payment services company; Xilinx, a
semiconductor chip company; and Biogen Idec, a biomedical
company.
MasterCard’s shares rose after the Federal Reserve Board
(the “Fed”) announced its final decision on debit
interchange rates (i.e. charges on debit card transactions) as
part of the Durbin amendment, which was more favorable for the
company than the market had anticipated. At the end of the
Reporting Period, we believed that the company’s large
payment network and robust global footprint would allow it to
benefit from the secular growth in cashless payments over the
long term.
A position in Xilinx, a leader in programmable logic devices
(PLDs), also contributed to the Fund’s relative
performance. Shares of Xilinx rose after the company reported
solid earnings growth and raised guidance for the next quarter.
The PLD industry is a duopoly structure with high barriers to
entry. As such, in our view, Xilinx should benefit from the
long-term secular trends of PLDs taking share from
application-specific integrated circuits (ASICs), an alternative
semiconductor chip. We believe the addressable market for PLDs
will likely continue to expand as they offer significant
benefits over ASICs, such as lower development costs, shorter
development time and upgradability.
Shares of Biogen Idec rose during the Reporting Period after the
company reported strong earnings as well as positive results
from a late-stage clinical trial of its experimental multiple
sclerosis drug. We decided to exit the Fund’s position in
the company, as we believed our long-term thesis had played out,
and, in our view, the stock price reflected the value of the
company’s drug pipeline at the time of sale.
Which stocks
detracted significantly from the Fund’s performance during
the Reporting Period?
Detracting most from the Fund’s results relative to its
benchmark index were positions in office supply retailer
Staples, derivatives exchange operator CME Group and fiduciary
bank Northern Trust.
Shares of Staples declined during the Reporting Period after the
company reported its second consecutive quarter of disappointing
results. The company reported earnings that were below consensus
estimates and lowered guidance for 2011. Staples’
management indicated that the company has been facing margin
pressure, an issue that we view as transitory. Indeed, at the
end of the Reporting Period, we maintained the Fund’s
position in Staples because we believe the company is
aggressively pricing some of its products in the U.S., which may
enable it to gain market share. It is also our belief that
recent actions taken by Staples’ management may pressure
competitors to lower their prices, which should, in our view,
have the greatest impact on companies that have limited margin
flexibility. In short, we believe Staples may be in a position
to gain market share going forward if competitors are weakened
and the industry becomes more consolidated.
CME Group, the world’s largest futures and options
exchange, detracted from the Fund’s relative performance
during the Reporting Period due to uncertainty over volumes
following the end of QE2, the Fed’s asset purchasing
initiative referred to as quantitative easing. Despite these
near-term headwinds, we believed at the end of the Reporting
Period that CME Group will likely benefit from the migration of
over-the-counter (OTC) derivatives markets to exchanges.
Furthermore, we believe CME Group’s interest rate OTC
clearing platform may well be a long-term growth driver for the
company as it meets its customers’ demand for more
transparency and less counterparty risk.
During the Reporting Period, shares of Northern Trust declined,
as the company continued to be pressured by persistently low
interest rates. Still, we maintained the Fund’s position in
the fiduciary bank at the end of the Reporting Period, as
Northern Trust, in our view, remains focused on expanding its
business in core markets. Also, given the company’s solid
balance sheet and cash position, we believe that Northern
Trust’s management should begin to redeploy capital through
stock buybacks and dividend increases.
How did the
Fund use derivatives and similar investments during the
Reporting Period?
During the Reporting Period, we did not use derivatives as part
of an active management strategy. However, we used futures
contracts, on an opportunistic basis, to ensure the portfolio
remained almost fully exposed to equities following cash inflows
or stock sales.
GOLDMAN SACHS
VARIABLE INSURANCE TRUST STRATEGIC GROWTH FUND
Did the Fund
make any significant purchases or sales during the Reporting
Period?
We initiated a Fund position in American Express, a high quality
global franchise with a strong brand name synonymous with credit
cards and travel-related services. In our view, the stock was
attractively valued at the time of purchase, as it was trading
at a discount to its longer-term average multiple. Despite solid
operating results, the stock had been pressured by uncertainty
around the impact of financial regulation. We believed these
conditions created an attractive entry point, as, in our view,
American Express’ business prospects are still quite strong
with high leverage to a turnaround in corporate hiring.
We established a Fund position in Emerson Electric, a leading
diversified global manufacturing and technology company that
designs and supplies products and services to industrial,
commercial and consumer markets. The company holds dominant
market share in many of its business areas and has exposure to
growth opportunities within its automation and energy segments
and emerging markets. In our view, the company’s position
as a market leader is further enhanced by innovative research
and development programs and its global low-cost footprint.
Finally, in our view, Emerson Electric has an excellent
management team with a history of strong execution, which may
provide opportunities for expanding margins and potentially
returning capital to shareholders.
We exited the Fund’s position in semiconductor company
Broadcom, as we had become concerned that it was falling behind
competitors in key technology areas that would affect its
placement in upcoming product launches. While we maintained our
belief that Broadcom has a strong management team and the
resources required to regain its competitive position, our
concerns led us to sell out of the Fund’s position.
We also eliminated the Fund’s position in Internet data
networking products supplier Cisco Systems during the Reporting
Period. The company continued to face competitive pressures in
its switching business and, as a result, experienced a decline
in margins. While we expect Cisco Systems to continue to be a
leader in its markets over the long term, we believed there were
other opportunities for investment with more attractive
risk/return profiles.
Were there any
notable changes in the Fund’s weightings during the
Reporting Period?
In constructing the Fund’s portfolio, we focus on picking
stocks rather than on making industry or sector bets. We seek to
outpace the benchmark index by overweighting stocks that we
expect to outperform and underweighting those that we think may
lag. Consequently, changes in the Fund’s sector weights are
generally the direct result of individual stock selection or of
stock appreciation or depreciation. That said, during the
Reporting Period, the Fund’s exposure to financials,
industrials and information technology increased compared to the
Russell Index. The Fund’s exposure compared to the
benchmark index in consumer staples and health care decreased.
How was the
Fund positioned relative to its benchmark index at the end of
the Reporting Period?
As of June, 30 2011, the Fund had overweighted positions
relative to the Russell Index in the financials, information
technology and telecommunication services sectors. On the same
date, the Fund had underweighted positions compared to the
Russell Index in consumer staples, energy, industrials and
materials and was rather neutrally weighted to the Russell Index
in consumer discretionary, health care and utilities.
What is the
Fund’s tactical view and strategy for the months
ahead?
At the end of the Reporting Period, we believe the most
significant factor for the U.S. equity markets during the
remainder of the year should likely be the fallout from the
scheduled completion of the Fed’s second round of
quantitative easing at the end of June 2011. We believe the
program has created a fertile environment for forward-looking
stock pickers, as the momentum rally appears to have ended and
we expect companies to begin to trade more in line with
underlying fundamentals. In our view, the Fed’s actions
have led to rising commodity costs and, in turn, we believe
certain companies will be challenged to maintain cost structure
without sacrificing revenue growth. We believe companies with
strong brands and pricing power should best be able to pass
along inflationary pressures and maintain margins throughout the
economic recovery.
Given this view, we believe the Fund was well positioned at the
end of the Reporting Period. We intend going forward to maintain
our focus on seeking to identify those companies that can
provide a differentiated product or service and those that may
benefit from secular tailwinds. Such factors, we believe, should
enable these companies to sustain growth without sacrificing
price. As always, deep research resources, a forward-looking
investment process and truly actively managed portfolios are
keys, in our view, to both preserving capital and outperforming
the market over the long term.
FUND BASICS
Strategic
Growth Fund
as of
June 30, 2011
| STANDARDIZED AVERAGE ANNUAL TOTAL RETURNS1 |
| For the period ended 6/30/11 | One Year | Five Years | Ten Years | Since Inception | Inception Date | |||||||||||||||
|
Institutional
|
25.54 | % | 3.48 | % | 1.34 | % | 2.63 | % | 4/30/98 | |||||||||||
|
Service
|
25.20 | 3.28 | N/A | 2.26 | 1/09/06 | |||||||||||||||
| 1 | The Standardized Average Annual Total Returns are average annual total returns as of the most recent calendar quarter-end. They assume reinvestment of all distributions at net asset value (“NAV”). | |
| Total return figures in the above chart represent past performance and do not indicate future results, which will vary. The investment return and principal value of an investment will fluctuate and, therefore, an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance may be lower or higher than the total return figures in the above chart. Please visit www.goldmansachsfunds.com/vit to obtain the most recent month-end returns. Performance reflects expense limitations in effect. In their absence, performance would be reduced. |
| EXPENSE RATIOS2 |
| Net Expense Ratio (Current) | Gross Expense Ratio (Before Waivers) | |||||||||
|
Institutional
|
0.82 | % | 0.86 | % | ||||||
|
Service
|
1.07 | % | 1.11 | |||||||
| 2 | The expense ratios of the Fund, both current (net of any fee waivers or expense limitations) and before waivers (gross of any fee waivers or expense limitations) are as set forth above. The Fund’s waivers and/or expense limitations will remain in place through at least April 29, 2012, and prior to such date the investment adviser may not terminate the arrangements without the approval of the Fund’s Board of Trustees. The expense ratios set forth above may differ from the expense ratios disclosed in the Financial Highlights in this report. |
| TOP TEN HOLDINGS AS OF 6/30/113 |
| Holding | % of Net Assets | Line of Business | ||||||
|
Apple, Inc.
|
5.1 | % | Technology Hardware & Equipment | |||||
|
QUALCOMM, Inc.
|
4.6 | Technology Hardware & Equipment | ||||||
|
Schlumberger Ltd.
|
4.5 | Energy | ||||||
|
PepsiCo, Inc.
|
3.6 | Food, Beverage & Tobacco | ||||||
|
Oracle Corp.
|
3.0 | Software & Services | ||||||
|
Google, Inc. Class A
|
3.0 | Software & Services | ||||||
|
Xilinx, Inc.
|
3.0 | Semiconductors & Semiconductor Equipment | ||||||
|
American Tower Corp. Class A
|
2.9 | Telecommunication Services | ||||||
|
Lowe’s Companies, Inc.
|
2.6 | Retailing | ||||||
|
Costco Wholesale Corp.
|
2.6 | Food & Staples Retailing | ||||||
| 3 | The top 10 holdings may not be representative of the Fund’s future investments. |
FUND BASICS
| FUND vs. BENCHMARK SECTOR ALLOCATIONS4 |
As
of June 30, 2011
| 4 | The Fund is actively managed and, as such, its composition may differ over time. The above graph categorizes investments using Global Industry Classification Standard (“GICS”), however, the sector classifications used by the portfolio management team may differ from GICS. Consequently, the Fund’s overall industry sector allocations may differ from percentages contained in the graph above. The percentage shown for each investment category reflects the value of investments in that category as a percentage of market value. Short-term investments represent investments in investment companies other than those that are exchange traded. The above graph depicts the Fund’s investments but may not represent the Fund’s market exposure due to the exclusion of derivatives, if any, as listed in the Additional Investment Information section of the Schedule of Investments. |
GOLDMAN SACHS
VARIABLE INSURANCE TRUST STRATEGIC GROWTH FUND
Schedule of
Investments
June 30,
2011 (Unaudited)
| Shares | Description | Value | ||||||
|
Common
Stocks – 97.1%
|
||||||||
|
Capital
Goods – 3.9%
|
||||||||
| 92,500 | Danaher Corp. | $ | 4,901,575 | |||||
| 90,166 | Emerson Electric Co. | 5,071,838 | ||||||
| 91,337 | Raytheon Co. | 4,553,149 | ||||||
| 14,526,562 | ||||||||
|
Consumer
Durables & Apparel – 2.2%
|
||||||||
| 93,207 | NIKE, Inc. Class B | 8,386,766 | ||||||
|
Consumer
Services – 2.3%
|
||||||||
| 52,952 | Marriott International, Inc. Class A | 1,879,267 | ||||||
| 58,279 | McDonald’s Corp. | 4,914,085 | ||||||
| 36,300 | Yum! Brands, Inc. | 2,005,212 | ||||||
| 8,798,564 | ||||||||
|
Diversified
Financials – 7.8%
|
||||||||
| 138,458 | American Express Co. | 7,158,279 | ||||||
| 24,708 | CME Group, Inc. | 7,204,606 | ||||||
| 14,396 | IntercontinentalExchange, Inc.* | 1,795,325 | ||||||
| 163,506 | Morgan Stanley | 3,762,273 | ||||||
| 112,800 | Northern Trust Corp. | 5,184,288 | ||||||
| 260,430 | The Charles Schwab Corp. | 4,284,073 | ||||||
| 29,388,844 | ||||||||
|
Energy –
11.1%
|
||||||||
| 59,061 | Cameron International Corp.* | 2,970,177 | ||||||
| 49,443 | Devon Energy Corp. | 3,896,603 | ||||||
| 138,155 | Halliburton Co. | 7,045,905 | ||||||
| 27,937 | National Oilwell Varco, Inc. | 2,184,953 | ||||||
| 40,146 | Occidental Petroleum Corp. | 4,176,790 | ||||||
| 194,622 | Schlumberger Ltd. | 16,815,341 | ||||||
| 108,134 | Southwestern Energy Co.* | 4,636,786 | ||||||
| 41,726,555 | ||||||||
|
Food
& Staples Retailing – 2.6%
|
||||||||
| 120,346 | Costco Wholesale Corp. | 9,776,909 | ||||||
|
Food,
Beverage & Tobacco – 4.7%
|
||||||||
| 190,500 | PepsiCo, Inc. | 13,416,915 | ||||||
| 60,700 | The Coca-Cola Co. | 4,084,503 | ||||||
| 17,501,418 | ||||||||
|
Health
Care Equipment & Services – 3.1%
|
||||||||
| 68,583 | Baxter International, Inc. | 4,093,719 | ||||||
| 157,534 | St. Jude Medical, Inc. | 7,511,221 | ||||||
| 11,604,940 | ||||||||
|
Household
& Personal Products – 2.8%
|
||||||||
| 244,458 | Avon Products, Inc. | 6,844,824 | ||||||
| 58,380 | The Procter & Gamble Co. | 3,711,217 | ||||||
| 10,556,041 | ||||||||
|
Materials –
3.3%
|
||||||||
| 53,493 | Ecolab, Inc. | 3,015,935 | ||||||
| 85,269 | Praxair, Inc. | 9,242,307 | ||||||
| 12,258,242 | ||||||||
|
Media –
1.6%
|
||||||||
| 121,574 | Viacom, Inc. Class B | 6,200,274 | ||||||
|
Pharmaceuticals,
Biotechnology & Life Sciences – 8.1%
|
||||||||
| 63,019 | Amgen, Inc.* | 3,677,159 | ||||||
| 105,753 | Gilead Sciences, Inc.* | 4,379,232 | ||||||
| 109,404 | Johnson & Johnson | 7,277,554 | ||||||
| 54,212 | Merck & Co., Inc. | 1,913,141 | ||||||
| 85,991 | Teva Pharmaceutical Industries Ltd. ADR | 4,146,486 | ||||||
| 141,080 | Thermo Fisher Scientific, Inc.* | 9,084,141 | ||||||
| 30,477,713 | ||||||||
|
Real
Estate* –
0.5%
|
||||||||
| 75,218 | CB Richard Ellis Group, Inc. Class A | 1,888,724 | ||||||
|
Retailing –
8.1%
|
||||||||
| 105,200 | Bed Bath & Beyond, Inc.* | 6,140,524 | ||||||
| 422,774 | Lowe’s Companies, Inc. | 9,854,862 | ||||||
| 476,032 | Staples, Inc. | 7,521,306 | ||||||
| 91,297 | Target Corp. | 4,282,742 | ||||||
| 93,943 | Urban Outfitters, Inc.* | 2,644,495 | ||||||
| 30,443,929 | ||||||||
|
Semiconductors
& Semiconductor Equipment – 3.5%
|
||||||||
| 118,760 | NVIDIA Corp.* | 1,892,441 | ||||||
| 309,760 | Xilinx, Inc. | 11,296,947 | ||||||
| 13,189,388 | ||||||||
|
Software
& Services – 13.8%
|
||||||||
| 34,468 | Equinix, Inc.* | 3,481,957 | ||||||
| 22,487 | Google, Inc. Class A* | 11,386,967 | ||||||
| 31,965 | Mastercard, Inc. Class A | 9,632,333 | ||||||
| 332,847 | Microsoft Corp. | 8,654,022 | ||||||
| 346,400 | Oracle Corp. | 11,400,024 | ||||||
| 20,903 | Salesforce.com, Inc.* | 3,114,129 | ||||||
| 218,791 | The Western Union Co. | 4,382,384 | ||||||
| 52,051,816 | ||||||||
|
Technology
Hardware & Equipment – 12.9%
|
||||||||
| 86,871 | Amphenol Corp. Class A | 4,690,165 | ||||||
| 56,600 | Apple, Inc.* | 18,998,922 | ||||||
| 136,981 | NetApp, Inc.* | 7,229,857 | ||||||
| 306,868 | QUALCOMM, Inc. | 17,427,034 | ||||||
| 48,345,978 | ||||||||
|
Telecommunication
Services* –
4.8%
|
||||||||
| 210,121 | American Tower Corp. Class A | 10,995,632 | ||||||
| 173,668 | Crown Castle International Corp. | 7,083,918 | ||||||
| 18,079,550 | ||||||||
|
TOTAL
COMMON STOCKS
|
||||||||
|
(Cost
$302,735,017)
|
$ | 365,202,213 | ||||||
GOLDMAN SACHS
VARIABLE INSURANCE TRUST STRATEGIC GROWTH FUND
Schedule of
Investments (continued)
June 30,
2011 (Unaudited)
| Shares | Rate | Value | ||||||||
|
Short-term
Investment(a) –
2.7%
|
||||||||||
|
JPMorgan U.S. Government Money Market Fund — Capital
Shares
|
||||||||||
| 10,055,413 | 0.010 | % | $ | 10,055,413 | ||||||
|
(Cost
$10,055,413)
|
||||||||||
|
TOTAL
INVESTMENTS – 99.8%
|
||||||||||
|
(Cost
$312,790,430)
|
$ | 375,257,626 | ||||||||
|
OTHER
ASSETS IN EXCESS OF LIABILITIES – 0.2%
|
749,464 | |||||||||
|
NET
ASSETS – 100.0%
|
$ | 376,007,090 | ||||||||
The percentage shown for each investment category reflects the
value of investments in that category as a percentage of net
assets.
| * | Non-income producing security. | |
| (a) | Variable rate security. Interest rate disclosed is that which is in effect at June 30, 2011. |
|
Investment
Abbreviation:
|
||||
|
ADR
|
— | American Depositary Receipt | ||
GOLDMAN SACHS
VARIABLE INSURANCE TRUST STRATEGIC GROWTH FUND
Statement of
Assets and Liabilities
June 30,
2011 (Unaudited)
|
Assets:
|
||||
|
Investments in securities, at value (identified cost
$312,790,430)
|
$ | 375,257,626 | ||
|
Receivables:
|
||||
|
Investment securities sold
|
990,441 | |||
|
Dividends
|
350,047 | |||
|
Fund shares sold
|
89,234 | |||
|
Other assets
|
2,156 | |||
|
Total
assets
|
376,689,504 | |||
|
Liabilities:
|
||||
|
Payables:
|
||||
|
Amounts owed to affiliates
|
282,430 | |||
|
Fund shares redeemed
|
276,538 | |||
|
Accrued expenses
|
123,446 | |||
|
Total
liabilities
|
682,414 | |||
|
Net
Assets:
|
||||
|
Paid-in capital
|
381,583,759 | |||
|
Accumulated undistributed net investment income
|
692,023 | |||
|
Accumulated net realized loss from investment transactions
|
(68,735,888 | ) | ||
|
Net unrealized gain on investments
|
62,467,196 | |||
|
NET
ASSETS
|
$ | 376,007,090 | ||
|
Net Assets:
|
||||
|
Institutional
|
$ | 117,749,345 | ||
|
Service
|
258,257,745 | |||
|
Total Net Assets
|
$ | 376,007,090 | ||
|
Shares of beneficial interest outstanding $0.001 par value
(unlimited shares authorized):
|
||||
|
Institutional
|
9,465,552 | |||
|
Service
|
20,810,816 | |||
|
Net asset value, offering and redemption price per share:
|
||||
|
Institutional
|
$12.44 | |||
|
Service
|
12.41 | |||
GOLDMAN SACHS
VARIABLE INSURANCE TRUST STRATEGIC GROWTH FUND
Statement of
Operations
For the
Six Months Ended June 30, 2011 (Unaudited)
|
Investment
income:
|
||||
|
Dividends
|
$ | 2,375,110 | ||
|
Expenses:
|
||||
|
Management fees
|
1,368,630 | |||
|
Distribution and Service fees — Service Class
|
308,463 | |||
|
Printing and mailing costs
|
55,008 | |||
|
Professional fees
|
39,729 | |||
|
Transfer Agent
fees(a)
|
36,494 | |||
|
Custody and accounting fees
|
22,043 | |||
|
Trustee fees
|
7,886 | |||
|
Registration fees
|
615 | |||
|
Other
|
9,439 | |||
|
Total
expenses
|
1,848,307 | |||
|
Less — expense reductions
|
(411 | ) | ||
|
Net
expenses
|
1,847,896 | |||
|
NET
INVESTMENT INCOME
|
527,214 | |||
|
Realized and
unrealized gain from investment transactions:
|
||||
|
Net realized gain from:
|
||||
|
Investment transactions (including commissions recaptured of
$10,105)
|
3,820,648 | |||
|
Net change in unrealized gain on:
|
||||
|
Investments
|
8,140,124 | |||
|
Net
realized and unrealized gain from investment
transactions
|
11,960,772 | |||
|
NET
INCREASE IN NET ASSETS RESULTING FROM OPERATIONS
|
$ | 12,487,986 | ||
| (a) | Institutional and Service Shares had Transfer Agent fees of $11,819 and $24,675, respectively. |
GOLDMAN SACHS
VARIABLE INSURANCE TRUST STRATEGIC GROWTH FUND
Statements
of Changes in Net Assets
|
For the |
||||||||
|
Six Months
Ended |
For the |
|||||||
|
June 30, 2011 |
Fiscal Year
Ended |
|||||||
| (Unaudited) | December 31, 2010 | |||||||
|
From
operations:
|
||||||||
|
Net investment income
|
$ | 527,214 | $ | 1,088,321 | ||||
|
Net realized gain from investment transactions
|
3,820,648 | 21,832,558 | ||||||
|
Net change in unrealized gain on investments
|
8,140,124 | 11,387,154 | ||||||
|
Net
increase in net assets resulting from operations
|
12,487,986 | 34,308,033 | ||||||
|
Distributions to
shareholders:
|
||||||||
|
From net investment income
|
||||||||
|
Institutional Shares
|
— | (490,173 | ) | |||||
|
Service Shares
|
— | (435,824 | ) | |||||
|
Total
distributions to shareholders
|
— | (925,997 | ) | |||||
|
From share
transactions:
|
||||||||
|
Proceeds from sales of shares
|
30,450,840 | 37,422,641 | ||||||
|
Reinvestment of distributions
|
— | 925,997 | ||||||
|
Cost of shares redeemed
|
(25,311,949 | ) | (58,517,681 | ) | ||||
|
Net
increase (decrease) in net assets resulting from share
transactions
|
5,138,891 | (20,169,043 | ) | |||||
|
TOTAL
INCREASE
|
17,626,877 | 13,212,993 | ||||||
|
Net
assets:
|
||||||||
|
Beginning of period
|
358,380,213 | 345,167,220 | ||||||
|
End of period
|
$ | 376,007,090 | $ | 358,380,213 | ||||
|
Accumulated
undistributed net investment income
|
$ | 692,023 | $ | 164,809 | ||||
GOLDMAN SACHS
VARIABLE INSURANCE TRUST STRATEGIC GROWTH FUND
Financial
Highlights
Selected
Data for a Share Outstanding Throughout Each Period
|
Income (loss)
from |
||||||||||||||||||||||||||||||||||||||||||||||||||
| investment operations | ||||||||||||||||||||||||||||||||||||||||||||||||||
|
Net |
Distributions |
Ratio of |
Ratio of |
|||||||||||||||||||||||||||||||||||||||||||||||
|
Net asset |
realized |
to
shareholders |
Net asset |
Net assets, |
Ratio of |
total |
net investment |
|||||||||||||||||||||||||||||||||||||||||||
|
value, |
Net |
and |
Total from |
from net |
value, |
end of |
net expenses |
expenses |
income (loss) |
Portfolio |
||||||||||||||||||||||||||||||||||||||||
|
beginning |
investment |
unrealized |
investment |
investment |
end of |
Total |
period |
to average |
to average |
to average |
turnover |
|||||||||||||||||||||||||||||||||||||||
| Year - Share Class | of period | income (loss)(a) | gain (loss) | operations | income | period | return(b) | (in 000s) | net assets | net assets | net assets | rate | ||||||||||||||||||||||||||||||||||||||
|
FOR THE SIX
MONTHS ENDED JUNE 30, (UNAUDITED)
|
||||||||||||||||||||||||||||||||||||||||||||||||||
|
2011 - Institutional
|
$ | 12.01 | $ | 0.03 | $ | 0.40 | $ | 0.43 | $ | — | $ | 12.44 | 3.58 | % | $ | 117,749 | 0.84 | %(c) | 0.84 | %(c) | 0.45 | %(c) | 15 | % | ||||||||||||||||||||||||||
|
2011 - Service
|
12.00 | 0.01 | 0.40 | 0.41 | — | 12.41 | 3.42 | 258,258 | 1.09 | (c) | 1.09 | (c) | 0.21 | (c) | 15 | |||||||||||||||||||||||||||||||||||
|
FOR THE FISCAL
YEARS ENDED DECEMBER 31,
|
||||||||||||||||||||||||||||||||||||||||||||||||||
|
2010 - Institutional
|
10.89 | 0.05 | 1.12 | 1.17 | (0.05 | ) | 12.01 | 10.74 | 120,027 | 0.86 | 0.86 | 0.49 | 38 | |||||||||||||||||||||||||||||||||||||
|
2010 - Service
|
10.88 | 0.03 | 1.11 | 1.14 | (0.02 | ) | 12.00 | 10.50 | 238,353 | 1.11 | 1.11 | 0.24 | 38 | |||||||||||||||||||||||||||||||||||||
|
2009 - Institutional
|
7.40 | 0.03 | 3.50 | 3.53 | (0.04 | )(d) | 10.89 | 47.75 | 125,258 | 0.85 | 0.85 | 0.35 | 64 | |||||||||||||||||||||||||||||||||||||
|
2009 - Service
|
7.39 | 0.01 | 3.50 | 3.51 | (0.02 | )(d) | 10.88 | 47.50 | 219,909 | 1.10 | 1.10 | 0.10 | 64 | |||||||||||||||||||||||||||||||||||||
|
2008 - Institutional
|
12.73 | 0.02 | (5.34 | ) | (5.32 | ) | (0.01 | ) | 7.40 | (41.67 | ) | 95,218 | 0.81 | 0.81 | 0.20 | 44 | ||||||||||||||||||||||||||||||||||
|
2008 - Service
|
12.73 | (0.01 | ) | (5.33 | ) | (5.34 | ) | — | 7.39 | (41.86 | ) | 167,930 | 1.06 | 1.06 | (0.05 | ) | 44 | |||||||||||||||||||||||||||||||||
|
2007 - Institutional
|
11.58 | 0.02 | (e) | 1.15 | 1.17 | (0.02 | ) | 12.73 | 10.13 | 172,418 | 0.86 | (f) | 0.86 | (f) | 0.18 | (e)(f) | 53 | |||||||||||||||||||||||||||||||||
|
2007 - Service
|
11.58 | 0.01 | (e) | 1.15 | 1.16 | (0.01 | ) | 12.73 | 10.01 | 343,100 | 0.96 | (f) | 1.11 | (f) | 0.08 | (e)(f) | 53 | |||||||||||||||||||||||||||||||||
|
2006 - Institutional
|
10.68 | 0.01 | 0.90 | 0.91 | (0.01 | ) | 11.58 | 8.56 | 165,877 | 0.84 | 0.85 | 0.12 | 70 | |||||||||||||||||||||||||||||||||||||
|
2006 - Service (Commenced January 9, 2006)
|
11.03 | — | (g) | 0.55 | 0.55 | — | (g) | 11.58 | 5.01 | 386,526 | 0.94 | (c) | 1.10 | (c) | 0.03 | (c) | 70 | |||||||||||||||||||||||||||||||||
| (a) | Calculated based on the average shares outstanding methodology. | |
| (b) | Assumes investment at the net asset value at the beginning of the period, reinvestment of all distributions and a complete redemption of the investment at the net asset value at the end of the period. Total returns for periods less than one full year are not annualized. | |
| (c) | Annualized. | |
| (d) | Includes a return of capital amounting to less than $0.005 per share. | |
| (e) | Reflects income recognized from non-recurring special dividends which amounted to $0.01 per share and 0.09% of average net assets. | |
| (f) | Includes non-recurring expense for a special shareholder proxy meeting which amounted to approximately 0.02% of average net assets. | |
| (g) | Amount is less than $0.005 per share. |
12
GOLDMAN SACHS
VARIABLE INSURANCE TRUST STRATEGIC GROWTH FUND
Notes to
Financial Statements
June 30,
2011 (Unaudited)
| 1. ORGANIZATION |
Goldman Sachs Variable Insurance Trust (the “Trust” or
“VIT”) 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 Trust includes the Goldman Sachs Strategic Growth Fund (the
“Fund”). The Fund is a diversified portfolio under the
Act offering two classes of shares — Institutional and
Service.
Goldman Sachs Asset Management, L.P. (“GSAM”), an
affiliate of Goldman, Sachs & Co. (“Goldman
Sachs”), serves as investment adviser to the Fund pursuant
to a management agreement (the “Agreement”) with the
Trust.
| 2. SIGNIFICANT ACCOUNTING POLICIES |
The following is a summary of the significant accounting
policies consistently followed by the Fund. The preparation of
financial statements in conformity with accounting principles
generally accepted in the United States of America
(“GAAP”) requires management to make estimates and
assumptions that may affect the amounts and disclosures in the
financial statements. Actual results could differ from those
estimates and assumptions.
A. Investment
Valuation — The investment valuation policy
of the Fund is to value investments at market value. Investments
in equity securities and investment companies traded on a United
States (“U.S.”) securities exchange or the NASDAQ
system are valued daily at their last sale price or official
closing price on the principal exchange or system on which they
are traded. If no sale occurs, such securities and investment
companies are valued at the last bid price for long positions
and at the last ask price for short positions. Debt securities
for which market quotations are readily available are valued on
the basis of quotations furnished by an independent pricing
service approved by the trustees or provided by securities
dealers. The pricing services may use valuation models or matrix
pricing, which consider: (i) yield or price with respect to
bonds that are considered comparable in characteristics such as
rating, interest rate and maturity date or (ii) quotations
from securities dealers to determine current value. If accurate
quotations are not readily available, or if GSAM believes that
such quotations do not accurately reflect fair value, the fair
value of the Fund’s investments may be determined based on
yield equivalents, a pricing matrix or other sources, under
valuation procedures established by the trustees. Unlisted
equity securities for which market quotations are available are
valued at the last sale price on the valuation date, or if no
sale occurs, at the last bid price. In the absence of market
quotations, broker quotes will be utilized or the security will
be fair valued. Investments in investment companies (other than
those that are exchange traded) are valued at the net asset
value per share (“NAV”) of the investment company on
the valuation date. Short-term debt obligations that mature in
sixty days or less and that do not exhibit signs of credit
deterioration are valued at amortized cost, which approximates
market value.
GSAM, consistent with its procedures and applicable regulatory
guidance, may make an adjustment to the previous closing prices
of either domestic or foreign securities in light of significant
events to reflect what it believes to be the fair value of the
securities at the time of determining the Fund’s NAV.
Significant events that could affect a large number of
securities in a particular market may include, but are not
limited to: situations relating to one or more single issuers in
a market sector; significant fluctuations in U.S. or foreign
markets; market dislocations; market disruptions or market
closings; equipment failures; natural or man-made disasters or
acts of God; armed conflicts; government actions or other
developments; as well as the same or similar events which may
affect specific issuers or the securities markets even though
not tied directly to the securities markets. Other significant
events that could relate to a single issuer may include, but are
not limited to: corporate actions such as reorganizations,
mergers and buy-outs; corporate announcements, including those
relating to earnings, products and regulatory news; significant
litigation; low trading volume; and trading limits or
suspensions.
B. Security
and Fund Share Transactions, and Investment
Income — Security and Fund share
transactions are reflected for financial reporting purposes as
of the trade date, which may cause the NAV as stated in the
accompanying financial statements to be different than the NAV
applied to Fund share transactions. Realized gains and losses on
sales of portfolio securities are calculated using the
identified cost basis. Dividend income is recognized on the
ex-dividend
date, net of foreign withholding taxes, if any, which are
reduced by any amounts reclaimable by the Fund, where
applicable. Certain dividends from foreign securities will be
recorded when the Fund is informed of the dividend, if such
information is obtained subsequent to the
ex-dividend
date.
GOLDMAN SACHS
VARIABLE INSURANCE TRUST STRATEGIC GROWTH FUND
Notes to
Financial
Statements (continued)
June 30,
2011 (Unaudited)
| 2. SIGNIFICANT ACCOUNTING POLICIES (continued) |
Interest income is recorded on the basis of interest accrued,
premium amortized and discount accreted. In addition, it is the
Fund’s policy to accrue for foreign capital gains taxes, if
applicable, on certain foreign securities held by the Fund. An
estimated foreign capital gains tax is recorded daily on net
unrealized gains on these securities and is payable upon the
sale of such securities when a gain is realized.
Investment income and unrealized and realized gains or losses
are allocated daily to each class of shares of the Fund based
upon the relative proportion of net assets of each class.
C. Expenses —
Expenses incurred by the Fund, which may not
specifically relate to the Fund, may be shared with other
registered investment companies having management agreements
with GSAM or its affiliates, as appropriate. These expenses are
allocated to the Fund on a straight-line
and/or
pro-rata basis depending upon the nature of the expenses and are
accrued daily.
Non-class
specific expenses are allocated daily to each share class of the
respective Fund based upon the relative proportion of net assets
of each class. Class specific expenses, where applicable, are
borne by the respective share classes and include Distribution
and Service, and Transfer Agent fees.
D. Federal
Taxes and Distributions to Shareholders —
It is the 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 Fund is not
required to make any provisions for the payment of federal
income tax. Distributions to shareholders are recorded on the
ex-dividend
date. Income and capital gains distributions, if any, are
declared and paid annually.
Net capital losses are carried forward to future fiscal years
and may be used to the extent allowed by the Code to offset any
future capital gains. Utilization of capital loss carryforwards
will reduce the requirement of future capital gains
distributions.
The characterization of distributions to shareholders for
financial reporting purposes is determined in accordance with
federal income tax rules, which may differ from GAAP. The source
of the 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
Fund’s net assets on the Statement of Assets and
Liabilities reflect permanent GAAP/tax differences based on the
appropriate tax character.
E. Commission
Recapture — The Fund may direct portfolio
trades, subject to obtaining best execution, to various brokers
who have agreed to rebate a portion of the commissions
generated. Such rebates are made directly to the Fund as cash
payments and are included in net realized gain (loss) from
investments on the Statement of Operations.
| 3. FAIR VALUE OF INVESTMENTS |
The fair value of a financial instrument is the amount that
would be received to sell an asset or paid to transfer a
liability in an orderly transaction between market participants
at the measurement date (i.e., the exit price). GAAP establishes
a fair value hierarchy that prioritizes the inputs to valuation
techniques used to measure fair value. The hierarchy gives the
highest priority to unadjusted quoted prices in active markets
for identical assets or liabilities (Level 1 measurements)
and the lowest priority to unobservable inputs (Level 3
measurements). The three levels of the fair value hierarchy are
described below:
Level 1 — Unadjusted quoted prices in active
markets that are accessible at the measurement date for
identical, unrestricted assets or liabilities;
Level 2 — Quoted prices in markets that are not
active or financial instruments for which significant inputs are
observable (including, but not limited to, quoted prices for
similar securities, interest rates, foreign exchange rates,
volatility and credit spreads), either directly or indirectly;
Level 3 — Prices or valuations that require
significant unobservable inputs (including GSAM’s
assumptions in determining fair value measurement).
GOLDMAN SACHS
VARIABLE INSURANCE TRUST STRATEGIC GROWTH FUND
| 3. FAIR VALUE OF INVESTMENTS (continued) |
The following is a summary of the Fund’s investments
categorized in the fair value hierarchy as of June 30, 2011:
| Investment Type | Level 1 | Level 2 | Level 3 | |||||||||
|
Assets
|
||||||||||||
|
Common Stock
and/or Other
Equity Investments
|
$ | 365,202,213 | $ | — | $ | — | ||||||
|
Short-term Investment
|
10,055,413 | — | — | |||||||||
|
Total
|
$ | 375,257,626 | $ | — | $ | — | ||||||
| 4. AGREEMENTS AND AFFILIATED TRANSACTIONS |
A. Management
Agreement — Under the Agreement, GSAM
manages the Fund, 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 Fund’s business affairs, including
providing facilities, GSAM is entitled to a management fee,
accrued daily and paid monthly, equal to an annual percentage
rate of the Fund’s average daily net assets.
For the six months ended June 30, 2011, contractual and
effective net management fees with GSAM were at the following
rates:
| Contractual Management Rate | ||||||||||||||||||||||||
|
First |
Next |
Next |
Next |
Over |
Effective |
Effective Net |
||||||||||||||||||
| $1 billion | $1 billion | $3 billion | $3 billion | $8 billion | Rate | Management Rate | ||||||||||||||||||
|
0.75%
|
0.68 | % | 0.65 | % | 0.64 | % | 0.63 | % | 0.75 | % | 0.75 | %* | ||||||||||||
| * | Effective June 30, 2011, GSAM agreed to waive a portion of its management fee in order to achieve an effective net management rate of 0.71% through at least April 29, 2012. Prior to such date GSAM may not terminate the arrangement without the approval of the trustees. For the six months ended June 30, 2011, GSAM waived approximately $400 of the Fund’s management fee. |
B. Distribution
and Service Plan — The Trust, on behalf of
the Service Shares of the Fund, has adopted a Distribution and
Service Plan (the “Plan”). Under the Plan, Goldman
Sachs, which serves as distributor, is entitled to a fee accrued
daily and paid monthly for distribution services, which may then
be paid by Goldman Sachs to authorized dealers, equal to, on an
annual basis, 0.25% of the Fund’s average daily net assets
attributable to Service Shares.
C. Transfer
Agency Agreement — Goldman Sachs also
serves as the transfer agent of the Fund for a fee pursuant to a
Transfer Agency Agreement. The fees charged for such transfer
agency services are accrued daily and paid monthly at an annual
rate of 0.02% of the average daily net assets for Institutional
and Service Shares.
D. Other
Expense Agreements and Affiliated Transactions —
GSAM has agreed to limit certain “Other
Expense” of the Fund (excluding management fees,
distribution and service fees, transfer agent fees and expenses,
taxes, interest, brokerage fees and litigation, indemnification,
shareholder meetings and other extraordinary expenses, exclusive
of any custody and transfer agent fee credit reductions) to the
extent such expenses exceed, on an annual basis, 0.114% of the
average daily net assets of the Fund. Such Other Expense
reimbursements, if any, are accrued daily and paid monthly. In
addition, the Fund is not obligated to reimburse GSAM for prior
fiscal year expense reimbursements, if any. These Other Expense
reimbursements will remain in place through at least
April 29, 2012, and prior to such date GSAM may not
terminate the arrangements without the approval of the trustees.
For the six months ended June 30, 2011, GSAM did not make
any reimbursements to the Fund.
As of June 30, 2011, the amounts owed to affiliates were
approximately $225,000, $51,400 and $6,000 for management,
distribution and service, and transfer agent fees, respectively.
E. Line of
Credit Facility — As of June 30, 2011,
the Fund participated in a $580,000,000 committed, unsecured
revolving line of credit facility (the “facility”)
together with other funds of the Trust and registered investment
companies having management
GOLDMAN SACHS
VARIABLE INSURANCE TRUST STRATEGIC GROWTH FUND
Notes to
Financial
Statements (continued)
June 30,
2011 (Unaudited)
| 4. AGREEMENTS AND AFFILIATED TRANSACTIONS (continued) |
agreements with GSAM or its affiliates. Pursuant to the terms of
the facility, the Fund and other borrowers could increase the
credit amount by an additional $340,000,000, for a total of up
to $920,000,000. This facility is to be used solely for
temporary or emergency purposes. The interest rate on borrowings
is based on the federal funds rate. The facility also requires a
fee to be paid by the Fund based on the amount of the commitment
that has not been utilized. For the six months ended
June 30, 2011, the Fund did not have any borrowings under
the facility.
| 5. PORTFOLIO SECURITIES TRANSACTIONS |
The cost of purchases and proceeds from sales and maturities of
long-term securities for the six months ended June 30,
2011, were $57,691,573 and $53,832,577, respectively.
| 6. TAX INFORMATION |
As of the Fund’s most recent fiscal year end,
December 31, 2010, the Fund’s capital loss
carryforwards on a tax-basis were as follows:
|
Capital loss
carryforward:(1)
|
||||
|
Expiring 2011
|
$ | (1,064,803 | ) | |
|
Expiring 2016
|
(23,475,963 | ) | ||
|
Expiring 2017
|
(43,614,413 | ) | ||
|
Total capital loss carryforward
|
$ | (68,155,179 | ) | |
| (1) | Expiration occurs on December 31 of the year indicated. |
As of June 30, 2011, the Fund’s aggregate security
unrealized gains and losses based on cost for U.S. federal
income tax purposes were as follows:
|
Tax cost
|
$ | 317,191,787 | ||
|
Gross unrealized gain
|
70,360,526 | |||
|
Gross unrealized loss
|
(12,294,687 | ) | ||
|
Net unrealized security gain
|
$ | 58,065,839 | ||
The difference between GAAP-basis and tax-basis unrealized gains
(losses), as of the most recent fiscal year end, is attributable
primarily to wash sales.
GSAM has reviewed the Fund’s 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
Fund’s financial statements. Such open tax years remain
subject to examination and adjustment by tax authorities.
Under the recently enacted Regulated Investment Company
Modernization Act of 2010, the Fund will be permitted to carry
forward capital losses incurred in taxable years beginning after
December 22, 2010 for an unlimited period. However, any
losses incurred during those future taxable years will be
required to be utilized prior to the losses incurred in
pre-enactment taxable years. As a result of this ordering rule,
pre-enactment capital loss carryforwards may be more likely to
expire unused. Additionally, post-enactment capital losses that
are carried forward will retain their character as either
short-term or long-term capital losses rather than being
considered all short-term as under previous law.
GOLDMAN SACHS
VARIABLE INSURANCE TRUST STRATEGIC GROWTH FUND
| 7. OTHER RISKS |
Fund’s
Shareholder Concentration Risk — Certain
participating insurance companies, accounts, or Goldman Sachs
affiliates may from time to time own (beneficially or of record)
or control a significant percentage of the Fund’s shares.
Redemptions by these entities of their holdings in the Fund may
impact the Fund’s liquidity and NAV. These redemptions may
also force the Fund to sell securities.
Liquidity
Risk — The Fund 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 Fund trades financial instruments and enters into financial
transactions where risk of potential loss exists due to changes
in the market (market risk). Additionally, the Fund 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 Fund has
unsettled or open transaction defaults.
| 8. 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 Fund. Additionally, in
the course of business, the Fund enters into contracts that
contain a variety of indemnification clauses. The Fund’s
maximum exposure under these arrangements is unknown, as this
would involve future claims that may be made against the Fund
that have not yet occurred. However, GSAM believes the risk of
loss under these arrangements to be remote.
| 9. 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.
GOLDMAN SACHS
VARIABLE INSURANCE TRUST STRATEGIC GROWTH FUND
Notes to
Financial
Statements (continued)
June 30,
2011 (Unaudited)
| 10. SUMMARY OF SHARE TRANSACTIONS |
Share activity is as follows:
|
For the Six
Months Ended |
||||||||||||||||
|
June 30, 2011 |
For the Fiscal
Year Ended |
|||||||||||||||
| (Unaudited) | December 31, 2010 | |||||||||||||||
| Shares | Dollars | Shares | Dollars | |||||||||||||
|
Institutional
Shares
|
||||||||||||||||
|
Shares sold
|
307,680 | $ | 3,785,477 | 589,735 | $ | 6,437,104 | ||||||||||
|
Reinvestment of distributions
|
— | — | 40,882 | 490,173 | ||||||||||||
|
Shares redeemed
|
(833,910 | ) | (10,226,388 | ) | (2,141,448 | ) | (23,457,107 | ) | ||||||||
| (526,230 | ) | (6,440,911 | ) | (1,510,831 | ) | (16,529,830 | ) | |||||||||
|
Service
Shares
|
||||||||||||||||
|
Shares sold
|
2,179,173 | 26,665,363 | 2,823,030 | 30,985,537 | ||||||||||||
|
Reinvestment of distributions
|
— | — | 36,379 | 435,824 | ||||||||||||
|
Shares redeemed
|
(1,233,931 | ) | (15,085,561 | ) | (3,207,332 | ) | (35,060,574 | ) | ||||||||
| 945,242 | 11,579,802 | (347,923 | ) | (3,639,213 | ) | |||||||||||
|
NET
INCREASE (DECREASE)
|
419,012 | $ | 5,138,891 | (1,858,754 | ) | $ | (20,169,043 | ) | ||||||||
GOLDMAN SACHS
VARIABLE INSURANCE TRUST STRATEGIC GROWTH FUND
Statement
Regarding Basis for Approval of Management Agreement
(Unaudited)
Background
The Goldman Sachs Strategic Growth Fund (the “Fund”)
is an investment portfolio of Goldman Sachs Variable Insurance
Trust (the “Trust”). The Board of Trustees oversees
the management of the Trust and reviews the investment
performance and expenses of the Fund 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 agreement (the
“Management Agreement”) with Goldman Sachs Asset
Management, L.P. (the “Investment Adviser”) on behalf
of the Fund.
The Management Agreement was most recently approved for
continuation until June 30, 2012 by the Board of Trustees,
including those Trustees who are not parties to the Management
Agreement or “interested persons” (as defined in the
Investment Company Act of 1940, as amended) of any party thereto
(the “Independent Trustees”), at a meeting held on
June 15-16,
2011 (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 Agreement was 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
Agreement, including:
| (a) | the nature and quality of the advisory, administrative and other services provided to the Fund 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, 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; |
| (b) | information on the investment performance of the Fund, including 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”), its benchmark performance index, a comparable institutional composite managed by the Investment Adviser, and general investment outlooks in the markets in which the Fund invests; | |
| (c) | the terms of the Management Agreement and agreements with affiliated service providers entered into by the Trust on behalf of the Fund; | |
| (d) | expense information for the Fund, including: |
| (i) | the relative management fee and expense level of the Fund as compared to those of comparable funds managed by other advisers, as provided by the Outside Data Provider; | |
| (ii) | the Fund’s 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 Fund, 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 Fund; | |
| (f) | the undertakings of the Investment Adviser to waive certain fees and reimburse certain expenses of the Fund that exceed a specified level, and a summary of contractual fee reductions made by the Investment Adviser and its affiliates over the past several years with respect to the Fund; | |
| (g) | information relating to the profitability of the Management Agreement and the transfer agency and distribution and service arrangements of the Fund and the Trust as a whole to the Investment Adviser and its affiliates; | |
| (h) | whether the 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 Fund, including the fees received by the Investment Adviser’s affiliates from the Fund for transfer agency, portfolio brokerage, distribution and other services; | |
| (j) | a summary of potential benefits derived by the Fund as a result of its relationship with the Investment Adviser; |
GOLDMAN SACHS
VARIABLE INSURANCE TRUST STRATEGIC GROWTH FUND
Statement
Regarding Basis for Approval of Management Agreement
(Unaudited) (continued)
| (k) | information regarding commissions paid by the Fund, an update on the Investment Adviser’s soft dollars practices, other information regarding portfolio trading and how the Investment Adviser carries out its duty to seek best execution; | |
| (l) | the manner in which portfolio manager compensation is determined, and the number and types of accounts managed by the portfolio managers; | |
| (m) | the nature and quality of the services provided to the Fund by its 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 Agreement; 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 Fund’s compliance program; and compliance reports. |
The Trustees also received an overview of the Fund’s
distribution arrangements. They received information regarding
the Fund’s assets, share purchase and redemption activity
and the payment of
Rule 12b-1
distribution and service fees by the Fund’s Service 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 Fund and other mutual fund
portfolios for which the Board of Trustees has responsibility.
In evaluating the Management Agreement 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 Fund.
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
Agreement
As part of their review, the Trustees considered the nature,
extent and quality of the services provided by the Investment
Adviser. In this regard, the Trustees considered both the
investment advisory services, and the other, non-advisory
services, that are provided to the Fund by the Investment
Adviser and its affiliates. The Trustees noted the transition in
the leadership and changes in personnel of various portfolio
management teams that had occurred in recent periods, the
potential benefit to the Fund of recent increases in headcount
at the Investment Adviser and the ongoing recruitment efforts
aimed at bringing high quality investment talent to the
Investment Adviser. The Independent Trustees concluded that the
Investment Adviser had committed substantial financial and
operational resources to the Fund 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 Fund and the Investment Adviser.
Investment
Performance
The Trustees also considered the investment performance of the
Fund and the Investment Adviser. In this regard, they compared
the Fund to its peers using performance rankings and ratings
compiled by the Outside Data Provider as of December 31,
2010, and updated performance information prepared by the
Investment Adviser using the peer groups identified by the
Outside Data provider. The information on each Fund’s
investment performance was provided for the one-, three-, five-
and ten-year periods ending on the applicable dates. The
Trustees also reviewed the Fund’s investment performance
over time on a
year-by-year
basis relative to its performance benchmark. In addition, they
considered the investment performance trends of the Fund over
time, and reviewed the investment performance of the Fund in
light of its investment objective and policies, and market
conditions. The Trustees also received information comparing the
Fund’s performance to that of a comparable institutional
composite managed by the Investment Adviser. The Trustees
considered whether the Fund had operated within its investment
policies and had complied with its investment limitations.
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
Fund’s risk profile, and how the Investment Adviser’s
approach to risk monitoring and management influences portfolio
management.
GOLDMAN SACHS
VARIABLE INSURANCE TRUST STRATEGIC GROWTH FUND
Statement
Regarding Basis for Approval of Management Agreement
(Unaudited) (continued)
The Independent Trustees noted that for the one-year period
ended May 31, 2011, the Fund ranked in the bottom half of
its peer group. They also noted that the Fund had underperformed
its benchmark index during that period. The Independent Trustees
observed that they had communicated their concerns regarding the
performance of the Fund to GSAM senior management and had
received assurances that measures would continue to be taken to
address the Fund’s performance.
Costs of
Services Provided and Competitive Information
The Trustees considered the contractual fee rates payable by the
Fund under the Management Agreement. In this regard, the
Trustees considered information on the services rendered by the
Investment Adviser to the Fund, which included both advisory and
administrative services that were directed to the needs and
operations of the Fund as a registered mutual fund.
In particular, the Trustees reviewed analyses prepared by the
Outside Data Provider regarding the expense rankings of the
Fund. The analyses provided a comparison of the Fund’s
management fees and breakpoints to those of a relevant peer
group and category universe; an expense analysis which compared
the Fund’s expenses to a peer group and a category
universe; and a five-year history comparing the Fund’s
expenses to the peer and category medians. The analyses also
compared the Fund’s transfer agency fees, custody and
accounting fees, distribution fees, other expenses and fee
waivers/reimbursements to those of other funds in the peer group
and the peer group median. 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 Fund.
In addition, the Trustees considered the Investment
Adviser’s undertakings to waive a portion of its management
fee and limit the Fund’s “other expenses” ratio
(excluding certain expenses) to a certain specified level. 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 Fund, comparative fee information for services provided by
the Investment Adviser to those accounts, and information that
indicated that services provided to the Fund 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 Fund under the terms of the
Management Agreement.
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.
Profitability
The Trustees reviewed the Investment Adviser’s revenues and
pre-tax profit margins with respect to the Trust and the Fund.
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 the Fund were
provided for 2010 and 2009, 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 and the
rationale for the Fund’s breakpoint structure. The Trustees
also considered the breakpoints in the fee rate payable under
the Management Agreement for the Fund at the following annual
percentage rates of the average daily net assets of the Fund:
|
First $1 billion
|
0.75 | % | ||
|
Next $1 billion
|
0.68 | |||
|
Next $3 billion
|
0.65 | |||
|
Next $3 billion
|
0.64 | |||
|
Over $8 billion
|
0.63 |
GOLDMAN SACHS
VARIABLE INSURANCE TRUST STRATEGIC GROWTH FUND
Statement
Regarding Basis for Approval of Management Agreement
(Unaudited) (continued)
The Trustees noted that the breakpoints at the $5 and
$8 billion asset levels had been proposed by the Investment
Adviser and approved by the Trustees in 2008 to further share
potential economies of scale, if any, with the Fund and its
shareholders as assets under management reach those asset
levels. The Trustees considered the amounts of assets in the
Fund; the Fund’s recent share purchase and redemption
activity; the information provided by the Investment Adviser
relating to the costs of the services provided by the Investment
Adviser and its affiliates and their realized profits;
information comparing fee rates charged by the Investment
Adviser with fee rates charged to other funds in the peer group;
and the Investment Adviser’s undertakings to limit the
Fund’s fees and “other expenses” ratio (excluding
certain expenses) to certain amounts. Upon reviewing these
matters at the Annual Meeting, the Trustees concluded that the
fee breakpoints represented a means of assuring that benefits of
scalability would be passed along to shareholders at the
specified asset levels.
Other
Benefits to the Investment Adviser and Its Affiliates
The Trustees also considered the other benefits derived by the
Investment Adviser and its affiliates from their relationship
with the Fund as stated above, including: (a) transfer
agency fees received by Goldman, Sachs & Co.
(“Goldman Sachs”); (b) brokerage and futures
commissions earned by Goldman Sachs for executing securities and
futures transactions on behalf of the Fund; (c) research
received by the Investment Adviser from broker-dealers in
exchange for executing certain transactions on behalf of the
Fund; (d) trading efficiencies resulting from aggregation
of orders of the Fund with those for other funds or accounts
managed by the Investment Adviser; (e) the Investment
Adviser’s ability to leverage the infrastructure designed
to service the Fund on behalf of its other clients; (f) the
Investment Adviser’s ability to cross-market other products
and services to Fund shareholders; (g) Goldman Sachs’
retention of certain fees as Fund Distributor; (h) 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 Fund; and (i) the possibility
that the working relationship between the Investment Adviser and
the Fund’s 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 the fall-out benefits.
Other
Benefits to the Fund and Its Shareholders
The Trustees also noted that the Fund receives certain potential
benefits as a result of its relationship with the Investment
Adviser, including: (a) trading efficiencies resulting from
aggregation of orders of the Fund 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 advantages gained from the Investment
Adviser’s knowledge and experience gained from managing
other accounts and products; (f) the Investment
Adviser’s ability to hire and retain qualified personnel to
provide services to the Fund because of the reputation of the
Goldman Sachs organization; (g) the Fund’s access,
through the Investment Adviser, to certain firmwide resources
(e.g., proprietary databases); and (h) the
Fund’s access to certain affiliated distribution channels.
The Trustees noted the competitive nature of the mutual fund
marketplace, and noted further that many of the Fund’s
shareholders invested in the Fund in part because of the
Fund’s relationship with the Investment Adviser and that
those shareholders have a general expectation that the
relationship will continue.
GOLDMAN SACHS
VARIABLE INSURANCE TRUST STRATEGIC GROWTH FUND
Statement
Regarding Basis for Approval of Management Agreement
(Unaudited) (continued)
Conclusion
In connection with their consideration of the Management
Agreement, 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 the
Fund were reasonable in light of the services provided to it by
the Investment Adviser, the Investment Adviser’s costs and
the Fund’s current and reasonably foreseeable asset levels.
The Trustees unanimously concluded that the Investment
Adviser’s continued management likely would benefit the
Fund and its shareholders and that the Management Agreement
should be approved and continued with respect to the Fund until
June 30, 2012.
GOLDMAN SACHS
VARIABLE INSURANCE TRUST STRATEGIC GROWTH FUND
Fund Expenses —
Six Month Period Ended June 30, 2011 (Unaudited)
As a shareholder of Institutional or Service Shares of the Fund,
you incur ongoing costs, including management fees, distribution
and service (12b-1) fees (with respect to Service Shares) and
other Fund expenses. This example is intended to help you
understand your ongoing costs (in dollars) of investing in the
Institutional Shares and Service Shares of the Fund and to
compare these costs with the ongoing costs of investing in other
mutual funds.
The example is based on an investment of $1,000 invested at the
beginning of the period and held for the entire period from
January 1, 2011 through June 30, 2011.
Actual Expenses — The first line under each
share class in the table below provides information about actual
account values and actual expenses. You may use the information
in this line, together with the amount you invested, to estimate
the expenses that you paid over the period. Simply divide your
account value by $1,000 (for example, an $8,600 account value
divided by $1,000=8.6), then multiply the result by the number
in the first line under the heading entitled “Expenses
Paid” to estimate the expenses you paid on your account
during this period.
Hypothetical Example for Comparison Purposes —
The second line under each share class in the table below
provides information about hypothetical account values and
hypothetical expenses based on the Fund’s actual net
expense ratio and an assumed rate of return of 5% per year
before expenses, which is not the Fund’s 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 Fund 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. As a shareholder of the Fund,
you do not incur any transaction costs, such as sales charges
(loads), redemption fees, or exchange fees, but shareholders of
other funds may incur such costs. 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
whose shareholders may incur transaction costs.
|
Expenses Paid |
|||||||||||||||
|
for the |
|||||||||||||||
|
Beginning |
Ending |
6 Months |
|||||||||||||
|
Account Value |
Account Value |
Ended |
|||||||||||||
| Share Class | 1/01/11 | 6/30/11 | 6/30/11* | ||||||||||||
|
Institutional
|
|||||||||||||||
|
Actual
|
$ | 1,000 | $ | 1,035.80 | $ | 4.24 | |||||||||
|
Hypothetical 5% return
|
1,000 | 1,020.63 | + | 4.21 | |||||||||||
|
Service
|
|||||||||||||||
|
Actual
|
1,000 | 1,034.20 | 5.50 | ||||||||||||
|
Hypothetical 5% return
|
1,000 | 1,019.39 | + | 5.46 | |||||||||||
| * | Expenses for each share class are calculated using the 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 June 30, 2011. Expenses are calculated by multiplying the annualized net expense ratio by the average account value for the period; then multiplying the result by the number of days in the most recent fiscal half year; and then dividing that result by the number of days in the fiscal year. The annualized net expense ratios for the period were 0.84% and 1.09% for Institutional and Service Shares, respectively. | |
| + | Hypothetical expenses are based on the Fund’s actual annualized net expense ratios and an assumed rate of return of 5% per year before expenses. |
|
TRUSTEES
|
OFFICERS | |
|
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 |
James A. McNamara,
President George F. Travers, Principal Financial Officer Peter V. Bonanno, Secretary Scott M. McHugh, Treasurer |
|
|
GOLDMAN, SACHS & CO. Distributor and Transfer Agent |
||
|
GOLDMAN SACHS ASSET MANAGEMENT, L.P. Investment Adviser 200 West Street, New York New York 10282 |
||
| Visit our website at www.goldmansachsfunds.com/vit to obtain the most recent month-end returns. | ||
| The reports concerning the Fund included in this shareholder report may contain certain forward-looking statements about the factors that may affect the performance of the Fund in the future. These statements are based on Fund management’s predictions and expectations concerning certain future events and their expected impact on the Fund, 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 Fund. 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 Fund uses to determine how to vote proxies relating to portfolio securities and information regarding how the 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 1-800-621-2550; and (ii) on the Securities and Exchange Commission (“SEC”) website at http://www.sec.gov. | ||
| The Fund files its complete schedule of portfolio holdings with the SEC for the first and third quarters of each fiscal year on Form N-Q. The Fund’s Form N-Q is available on the SEC’s website at http://www.sec.gov within 60 days after the Fund’s first and third fiscal quarters. When available, the Fund’s Forms N-Q may be reviewed and copied at the SEC’s Public Reference Room in Washington, D.C. and information on the operation of the Public Reference Room may also be obtained by calling 1-800-SEC-0330. Forms N-Q may be obtained upon request and without charge by calling 1-800-621-2550. | ||
| Holdings and allocations shown may not be representative of current or future investments. Holdings and allocations may not include the Fund’s entire investment portfolio, which may change at any time. Fund holdings should not be relied on in making investment decisions and should not be construed as research or investment advice regarding particular securities. | ||
| 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. | ||
| The Global Industry Classification Standard (“GICS”) was developed by and is the exclusive property and a service mark of Morgan Stanley Capital International Inc. (“MSCI”) and Standard & Poor’s, a division of The McGraw-Hill Companies, Inc. (“S&P”) and is licensed for use by Goldman Sachs. Neither MSCI, S&P nor any other party involved in making or compiling the GICS or any GICS classifications makes any express or implied warranties or representations with respect to such standard or classification (or the results to be obtained by the use thereof), and all such parties hereby expressly disclaim all warranties of originality, accuracy, completeness, merchantability or fitness for a particular purpose with respect to any of such standard or classification. Without limiting any of the foregoing, in no event shall MSCI, S&P, any of their affiliates or any third party involved in making or compiling the GICS or any GICS classifications have any liability for any direct, indirect, special, punitive, consequential or any other damages (including lost profits) even if notified of the possibility of such damages. | ||
| The portfolio risk management process includes an effort to monitor and manage risk, but does not imply low risk. | ||
| Shares of the Goldman Sachs VIT Funds are offered to separate accounts of participating life insurance companies for the purpose of funding variable annuity contracts and variable life insurance policies. Shares of the Fund are not offered directly to the general public. The variable annuity contracts and variable life insurance policies are described in the separate prospectuses issued by participating insurance companies. You should refer to those prospectuses for information about surrender charges, mortality and expense risk fees and other charges that may be assessed by participating insurance companies under the variable annuity contracts or variable life insurance policies. Such fees or charges, if any, may affect the return you may realize with respect to your investments. Ask your representative for more complete information. Please consider a fund’s objectives, risks and charges and expenses, and read the prospectus carefully before investing. The prospectus contains this and other information about the Fund. | ||
| 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 1-800-621-2550. | ||
|
Toll Free
(in U.S.): 800-292-4726
|
||
| This report is prepared for the general information of contract owners and is not an offer of shares of the Goldman Sachs Variable Insurance Trust: Goldman Sachs Strategic Growth Fund. | ||
| © 2011 Goldman Sachs. All rights reserved. | ||
| VITSGRWSAR11/57663.MF.MED.TMPL/8/2011 | ||
Goldman
Sachs Variable Insurance Trust
Mid Cap Value Fund
Semi-Annual
Report
June 30,
2011
|
|
GOLDMAN SACHS
VARIABLE INSURANCE TRUST MID CAP VALUE FUND
Principal
Investment Strategies and Risks
Shares of the
Goldman Sachs Variable Insurance Trust — Goldman Sachs
Mid Cap Value Fund are offered to separate accounts of
participating life insurance companies for the purpose of
funding variable annuity contracts and variable life insurance
policies. Shares of the Fund are not offered directly to the
general public. The variable annuity contracts and variable life
insurance policies are described in the separate prospectuses
issued by participating insurance companies. You should refer to
those prospectuses for information about surrender charges,
mortality and expense risk fees and other charges that may be
assessed by participating insurance companies under the variable
annuity contracts or variable life insurance policies. Such fees
or charges, if any, may affect the return you realize with
respect to your investments. Ask your representative for more
complete information. Please consider the Fund’s objective,
risks and charges and expenses, and read the Prospectus
carefully before investing. The Prospectus contains this and
other information about the Fund.
The Goldman Sachs
Mid Cap Value Fund
invests
primarily in mid-capitalization U.S. equity investments. The
Fund’s equity investments are subject to market risk, which
means that the value of the securities in which it invests may
go up or down in response to the prospects of individual
companies, particular industry sectors and/or general economic
conditions. The securities of mid-capitalization companies
involve greater risks than those associated with larger, more
established companies and may be subject to more abrupt or
erratic price movements. The Fund may also invest in fixed
income securities, which are subject to the risks associated
with debt securities generally, including credit, liquidity and
interest rate risk. The Fund may also invest in foreign
securities, including emerging country securities, which may be
more volatile and less liquid than investments in U.S.
securities and are subject to the risks of currency fluctuations
and sudden economic or political developments.
GOLDMAN SACHS
VARIABLE INSURANCE TRUST MID CAP VALUE FUND
INVESTMENT
OBJECTIVE
The Fund seeks long-term capital appreciation.
Portfolio
Management Discussion and Analysis
Below, the
Goldman Sachs Value Portfolio Management Team discusses the
performance of the Goldman Sachs Variable Insurance
Trust — Goldman Sachs Mid Cap Value Fund (the
“Fund”) and positioning for the six-month period ended
June 30, 2011 (the “Reporting Period”).
How did the
Fund perform during the Reporting Period?
During the Reporting Period, the Fund’s Institutional and
Service Shares generated cumulative total returns of 6.10% and
5.95%, respectively. These returns compare to the 6.69%
cumulative total return of the Fund’s benchmark, the
Russell
Midcap®
Value Index* (with dividends reinvested) (the “Russell
Index”), during the same time period.
What economic
and market factors most influenced the equity markets as a whole
during the Reporting Period?
U.S. equities continued their positive momentum from 2010 during
the Reporting Period. However, most of the gains were generated
during the first quarter of 2011, as improving trends in labor,
housing, manufacturing and consumer confidence pointed to a
continuation in the economic recovery. A positive trajectory in
corporate earnings and cash flows and strong merger and
acquisition activity further supported U.S. equity market
performance. Indeed, despite great exogenous shocks in the
Middle East and turmoil in North African turmoil, a series of
disasters in Japan, political debate over collective bargaining
rights in Wisconsin and the possible repeal of health care
reform in Washington D.C., the U.S. equity markets rewarded
investors with solid returns during the first quarter of 2011.
The broad U.S. equity markets experienced a much more volatile
second quarter, rising to a three-year high in April before
losing most of its early 2011 gains by mid-June and then
recovering somewhat in the very last week of the Reporting
Period. In early April, commodity prices declined and
expectations ran high for strong corporate profit growth.
However, while home construction rose modestly in May, housing
and employment remained key weak spots in the U.S. economy.
Concerns about Greece’s debt crisis also re-surfaced, the
U.S. Congress wrangled over the U.S. debt ceiling, the Federal
Reserve Board’s quantitative easing program was scheduled
to expire on June 30, 2011, the impact of Japan’s
natural and nuclear disasters worked its way through the global
supply chain and deadly storms cut a wide swath of destruction
across the midwestern and southern United States. In turn, the
U.S. stock market felt pressured and lost ground. Toward the end
of June, U.S. equity markets recovered from their May to
mid-June decline on the heels of better than expected U.S.
manufacturing activity, improved automobile sales and a
short-term resolution of the sovereign debt crisis in Greece.
Despite this volatility, all sectors posted gains during the
Reporting Period, with the exception of financials, which posted
a negative return. Health care and energy led the way. Energy
was, not surprisingly, impacted by the price of Brent crude oil,
which peaked at more than $126 per barrel in April on supply
disruption fears in North Africa and the Middle East before
falling in June on weaker U.S. economic data and concerns about
the pace of growth in China’s economy. Still, Brent crude
oil prices ended the Reporting Period at more than $112 per
barrel.
While all capitalization segments of the U.S. equity market
advanced during the Reporting Period, mid-cap stocks, as
measured by the Russell
Midcap®
Index, performed best, followed by large-cap and then small-cap
stocks, as measured by the Russell
1000®
Index and the Russell
2000®
Index, respectively, which performed nearly in line with each
other. Large-cap stocks were least successful relative to
small-cap stocks in the information technology sector.
Growth-oriented stocks outpaced value-oriented stocks across the
capitalization spectrum.
What key
factors were responsible for the Fund’s performance during
the Reporting Period?
Stock selection overall detracted most from the Fund’s
performance relative to the Russell Index during the Reporting
Period.
| * | The Russell Midcap Value Index is an unmanaged index of common stock prices that measures the performance of those Russell Midcap companies with lower price-to-book ratios and lower forecasted growth values. The Index figures do not include any deduction for fees, expenses or taxes. It is not possible to invest directly in an unmanaged index. |
GOLDMAN SACHS
VARIABLE INSURANCE TRUST MID CAP VALUE FUND
Which equity
market sectors most significantly affected Fund
performance?
Effective stock selection in the information technology,
consumer discretionary and materials sectors helped the
Fund’s performance most relative to the Russell Index.
Detracting from the Fund’s relative results most was stock
selection in the energy, financials and utilities sectors, where
company-specific issues weighed on certain holdings.
What were some
of the Fund’s best-performing individual
stocks?
The Fund benefited most relative to the Russell Index from
positions in media company DISH Network within the consumer
discretionary sector, health maintenance organization (HMO)
Aetna within the health care sector and wireless and wireline
communications services company Sprint Nextel within the
telecommunication services sector.
DISH Network is a broadcast satellite subscription television
service provider. The company’s churn — or the
number of customers who switch to a competitor —
materially dropped following reports of its quarterly results,
which surprised the market to the upside. DISH Network also
benefited from a court ruling favoring the company when it
served as a defendant in TIVO’s patent infringement case.
These factors, combined with an attractive valuation, drove DISH
Network’s shares higher during the Reporting Period.
Like other HMOs, Aetna benefited during the Reporting Period
both from a loosening of the restrictions placed on it by PPACA
(Patient Protection and Affordable Care Act, aka heath care
reform) and from strong fundamentals, due mostly to lower health
care utilization during the tough economy.
Fundamentals in the core businesses of Sprint Nextel improved
during the Reporting Period, despite increased competitive
pressures, as its churn declined and its average revenue per
unit increased. We believe these supportive trends gave
investors confidence in the resiliency of Sprint Nextel and in
the sustainability of its turnaround. Additionally, during the
Reporting Period, Sprint Nextel signed a deal with LightSquared,
a wholesale provider of 4G (fourth generation) capacity, to
offer networking hosting services. This deal provides Sprint
Nextel with a potential new revenue stream at high incremental
margins. We continued, at the end of the Reporting Period, to
believe there is potential for EBITDA (Earnings Before Interest,
Taxes, Depreciation and Amortization) margin expansion over the
next few years and remain positive on both near and longer-term
prospects for Sprint Nextel.
Which stocks
detracted significantly from the Fund’s performance during
the Reporting Period?
Detracting from the Fund’s results relative to its
benchmark index were positions in two oil and gas exploration
and production companies — Forest Oil and Newfield
Exploration — as well as in multi-line insurance
company Genworth Financial.
Forest Oil was the biggest detractor from the Fund’s
performance during the Reporting Period. Shares of Forest Oil
fell after the company reported a fourth quarter 2010 earnings
decline due to a drop in commodity prices and a disappointment
in fourth quarter 2010 drilling results from its Granite Wash
operations. We sold the Fund’s position in Forest Oil by
the end of the Reporting Period.
Shares of Newfield Exploration were affected, particularly
during the second quarter of 2011, by weaker oil prices and a
weather-related event — specifically, flooding in the
Williston Basin — that caused concerns about its
potentially negative impact on the company’s near-term
production. Despite these headwinds the company faced during the
Reporting Period, Newfield Exploration’s stock remains a
core long-term holding for the Fund, as we believe the company
is well positioned to reduce its finding and development costs
and to grow its reserve base with high returns on capital.
Genworth Financial saw its shares decline during the Reporting
Period largely due to concerns over its significant exposure to
consumer loans. However, we maintained the Fund’s holding
in the company at the end of the Reporting Period, as we
continued to have strong conviction in what we consider to be
this attractively valued turnaround stock. Genworth Financial
was still generating profitable earnings from non-mortgage
fee-based businesses and international businesses. Also, we
believe that mortgage losses will be earned out as the market
stabilizes and that the company has the ability to earn high
single-digit returns on equity, which warrants a higher
valuation.
How did the
Fund use derivatives and similar instruments during the
Reporting Period?
The Fund did not use derivatives during the Reporting Period.
Did the Fund
make any significant purchases or sales during the Reporting
Period?
During the Reporting Period, we added to the Fund’s
position in cable network company Scripps Networks Interactive,
which operates six television channels focused on the home, food
and travel/entertainment categories, including HGTV, the Food
GOLDMAN SACHS
VARIABLE INSURANCE TRUST MID CAP VALUE FUND
Network and the Travel Channel. In our view, the company
benefits from an undervalued runway of affiliate fee growth,
which it receives for its networks, as well as from several
underappreciated value-enhancing capital deployment
opportunities due to its strong balance sheet. We also favor the
stock because of its strong ties to a continued advertising
recovery, as cable television has been taking an incremental
share of advertising dollars from both broadcasters given shifts
in viewership and from newsprint.
We looked during the Reporting Period to diversify the
Fund’s mix of natural gas and oil companies and in that
effort we initiated a Fund position in Cabot Oil &
Gas. We liked this company because of its natural gas exposure,
what we believe is a sustainable competitive advantage in the
Marcellus shale and strong financial discipline.
Strict to our sell discipline, we eliminated stocks in which our
investment thesis was challenged. For example, as already
mentioned, we eliminated the Fund’s holding in Forest Oil
during the Reporting Period, as the company had missed
expectations for first quarter 2011 results. We had grown
increasingly concerned about continued operational missteps in
drilling.
We also sold out of certain stocks that approached their price
targets as they appreciated during the Reporting Period. Shares
of apartment REIT Equity Residential, for instance, benefited
from the increasing trend in rental activity as home ownership
rates declined. We exited the Fund’s position in its stock
as it approached our price target and as its market cap was
approaching the upper end of the Fund’s stated range.
Were there any
notable changes in the Fund’s weightings during the
Reporting Period?
In constructing the Fund’s portfolio, we focus on picking
stocks rather than on making industry or sector bets. We seek to
outpace the benchmark index by overweighting stocks that we
expect to outperform and underweighting those that we think may
lag. Consequently, changes in the Fund’s sector weights are
generally the direct result of individual stock selection or of
stock appreciation or depreciation. That said, during the
Reporting Period, the Fund’s exposure to consumer
discretionary, consumer staples and telecommunication services
increased compared to the Russell Index. The Fund’s
allocation compared to the benchmark index in financials, health
care and materials decreased.
How was the
Fund positioned relative to its benchmark index at the end of
the Reporting Period?
As of June 30, 2011, the Fund had overweighted positions
relative to the Russell Index in the consumer discretionary and
telecommunication services sectors. On the same date, the Fund
had modestly underweighted positions compared to the Russell
Index in financials, consumer staples, health care, industrials,
materials and utilities and was rather neutrally weighted to the
Russell Index in energy and information technology.
What is the
Fund’s tactical view and strategy for the months
ahead?
At the end of the Reporting Period, we remained cautiously
optimistic on the U.S. equity market, despite macroeconomic,
geopolitical and regulatory uncertainty persisting. In our view,
valuations remained compelling, especially after the pullback
during the second quarter of 2011, as many companies were
trading at depressed levels. Companies generally continued to
exhibit strong fundamentals, with cash rich balance sheets. We
also continued to expect that management teams will be focused
in the months ahead on returning value to shareholders through
mergers and acquisitions, share buybacks, new or increased
dividends and deleveraging of balance sheets, providing further
catalyst for growth.
Given this backdrop, we believe the coming months should be
fertile ground for forward-looking stock pickers. We anticipate
that stock correlations may well decline and that companies
should likely begin to trade more in line with underlying
fundamentals. We maintain our discipline as we seek companies
with strong or improving fundamentals, led by quality management
teams that are smart allocators of capital and remain focused on
creating shareholder value. As always, deep research resources,
a forward-looking investment process and truly actively managed
portfolios are keys, in our view, to both preserving capital and
outperforming the market over the long term.
FUND BASICS
Mid Cap
Value Fund
as of
June 30, 2011
| STANDARDIZED AVERAGE ANNUAL TOTAL RETURNS1 |
| For the period ended 6/30/11 | One Year | Five Years | Ten Years | Since Inception | Inception Date | |||||||||||||||
|
Institutional
|
36.97 | % | 4.94 | % | 9.19 | % | 8.45 | % | 5/01/98 | |||||||||||
|
Service
|
36.68 | 4.72 | N/A | 4.65 | 1/09/06 | |||||||||||||||
| 1 | The Standardized Average Annual Total Returns are average annual total returns as of the most recent calendar quarter-end. They assume reinvestment of all distributions at net asset value (“NAV”). | |
| Total return figures in the above chart represent past performance and do not indicate future results, which will vary. The investment return and principal value of an investment will fluctuate and, therefore, an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance may be lower or higher than the total return figures in the above chart. Please visit www.goldmansachsfunds.com/vit to obtain the most recent month-end returns. Performance reflects expense limitations in effect. In their absence, performance would be reduced. |
| EXPENSE RATIOS2 |
| Net Expense Ratio (Current) | Gross Expense Ratio (Before Waivers) | |||||||||
|
Institutional
|
0.84 | % | 0.87 | % | ||||||
|
Service
|
1.09 | 1.12 | ||||||||
| 2 | The expense ratios of the Fund, both current (net of any fee waivers or expense limitations) and before waivers (gross of any fee waivers or expense limitations) are as set forth above. The Fund’s waivers and/or expense limitations will remain in place through at least April 29, 2012, and prior to such date the investment adviser may not terminate the arrangements without the approval of the Fund’s Board of Trustees. The expense ratios set forth above may differ from the expense ratios disclosed in the Financial Highlights in this report. |
| TOP TEN HOLDINGS AS OF 6/30/113 |
| Holding | % of Net Assets | Line of Business | ||||||
|
The J.M. Smucker Co.
|
1.9 | % | Food, Beverage & Tobacco | |||||
|
Principal Financial Group, Inc.
|
1.9 | Insurance | ||||||
|
PPL Corp.
|
1.9 | Utilities | ||||||
|
Lear Corp.
|
1.8 | Automobiles & Components | ||||||
|
Xcel Energy, Inc.
|
1.8 | Utilities | ||||||
|
Sprint Nextel Corp.
|
1.7 | Telecommunication Services | ||||||
|
Scripps Networks Interactive, Inc. Class A
|
1.7 | Media | ||||||
|
SLM Corp.
|
1.6 | Diversified Financials | ||||||
|
DISH Network Corp. Class A
|
1.6 | Media | ||||||
|
Liberty Media Corp. – Interactive Class A
|
1.5 | Retailing | ||||||
| 3 | The top 10 holdings may not be representative of the Fund’s future investments. |
FUND BASICS
| FUND vs. BENCHMARK SECTOR ALLOCATIONS4 |
As
of June 30, 2011
| 4 | The Fund is actively managed and, as such, its composition may differ over time. The above graph categorizes investments using Global Industry Classification Standard (“GICS”), however, the sector classifications used by the portfolio management team may differ from GICS. Consequently, the Fund’s overall industry sector allocations may differ from percentages contained in the graph above. The percentage shown for each investment category reflects the value of investments in that category as a percentage of market value. Short-term investment represent investments in investment companies other than those that are exchange traded. The above graph depicts the Fund’s investments but may not represent the Fund’s market exposure due to the exclusion of derivatives, if any, as listed in the Additional Investment Information section of the Schedule of Investments. |
GOLDMAN SACHS
VARIABLE INSURANCE TRUST MID CAP VALUE FUND
Schedule of
Investments
June 30,
2011 (Unaudited)
| Shares | Description | Value | ||||||
|
Common
Stocks – 98.9%
|
||||||||
|
Automobiles
& Components – 3.0%
|
||||||||
| 316,491 | Lear Corp. | $ | 16,925,939 | |||||
| 181,089 | TRW Automotive Holdings Corp.* | 10,689,683 | ||||||
| 27,615,622 | ||||||||
|
Banks –
5.8%
|
||||||||
| 205,640 | CIT Group, Inc.* | 9,101,626 | ||||||
| 958,036 | Fifth Third Bancorp | 12,214,959 | ||||||
| 70,289 | First Republic Bank* | 2,268,929 | ||||||
| 86,886 | M&T Bank Corp. | 7,641,624 | ||||||
| 507,266 | SunTrust Banks, Inc. | 13,087,463 | ||||||
| 393,778 | Zions Bancorporation | 9,454,610 | ||||||
| 53,769,211 | ||||||||
|
Capital
Goods – 7.6%
|
||||||||
| 186,816 | BE Aerospace, Inc.* | 7,623,961 | ||||||
| 109,422 | Cooper Industries PLC | 6,529,211 | ||||||
| 86,769 | Eaton Corp. | 4,464,265 | ||||||
| 217,366 | GrafTech International Ltd.* | 4,406,009 | ||||||
| 769,591 | Masco Corp. | 9,258,179 | ||||||
| 105,812 | Parker Hannifin Corp. | 9,495,569 | ||||||
| 300,951 | Pentair, Inc. | 12,146,382 | ||||||
| 359,694 | Spirit Aerosystems Holdings, Inc. Class A* | 7,913,268 | ||||||
| 361,603 | Textron, Inc. | 8,537,447 | ||||||
| 70,374,291 | ||||||||
|
Commercial
& Professional Services – 0.7%
|
||||||||
| 219,488 | Republic Services, Inc. | 6,771,205 | ||||||
|
Consumer
Durables & Apparel – 3.1%
|
||||||||
| 206,732 | Hasbro, Inc. | 9,081,737 | ||||||
| 75,705 | Mohawk Industries, Inc.* | 4,541,543 | ||||||
| 564,702 | Newell Rubbermaid, Inc. | 8,910,997 | ||||||
| 8,793 | NVR, Inc.* | 6,379,146 | ||||||
| 28,913,423 | ||||||||
|
Consumer
Services – 1.9%
|
||||||||
| 249,137 | Royal Caribbean Cruises Ltd.* | 9,377,517 | ||||||
| 240,761 | Wyndham Worldwide Corp. | 8,101,607 | ||||||
| 17,479,124 | ||||||||
|
Diversified
Financials – 5.5%
|
||||||||
| 386,846 | Invesco Ltd. | 9,052,196 | ||||||
| 495,616 | Janus Capital Group, Inc. | 4,678,615 | ||||||
| 121,943 | Lazard Ltd. Class A | 4,524,085 | ||||||
| 314,814 | Legg Mason, Inc. | 10,313,307 | ||||||
| 896,499 | SLM Corp. | 15,070,148 | ||||||
| 297,486 | The NASDAQ OMX Group, Inc.* | 7,526,396 | ||||||
| 51,164,747 | ||||||||
|
Energy –
7.1%
|
||||||||
| 164,834 | Cabot Oil & Gas Corp. | 10,930,143 | ||||||
| 137,666 | Cameron International Corp.* | 6,923,223 | ||||||
| 86,478 | Consol Energy, Inc. | 4,192,453 | ||||||
| 35,909 | Energen Corp. | 2,028,859 | ||||||
| 263,769 | Frontier Oil Corp. | 8,522,376 | ||||||
| 110,121 | Helmerich & Payne, Inc. | 7,281,201 | ||||||
| 196,161 | Newfield Exploration Co.* | 13,342,871 | ||||||
| 89,530 | Oil States International, Inc.* | 7,154,342 | ||||||
| 52,824 | Pioneer Natural Resources Co. | 4,731,446 | ||||||
| 65,106,914 | ||||||||
|
Food,
Beverage & Tobacco – 4.2%
|
||||||||
| 241,743 | Coca-Cola Enterprises, Inc. | 7,054,061 | ||||||
| 366,224 | ConAgra Foods, Inc. | 9,452,241 | ||||||
| 76,403 | H.J. Heinz Co. | 4,070,752 | ||||||
| 233,136 | The J.M. Smucker Co. | 17,820,916 | ||||||
| 38,397,970 | ||||||||
|
Health
Care Equipment & Services – 5.2%
|
||||||||
| 238,623 | Aetna, Inc. | 10,520,888 | ||||||
| 1,907,543 | Boston Scientific Corp.* | 13,181,122 | ||||||
| 383,564 | Hologic, Inc.* | 7,736,486 | ||||||
| 199,744 | Kinetic Concepts, Inc.* | 11,511,247 | ||||||
| 139,238 | Patterson Companies, Inc. | 4,579,538 | ||||||
| 47,529,281 | ||||||||
|
Household
& Personal Products – 1.0%
|
||||||||
| 133,066 | Energizer Holdings, Inc.* | 9,628,656 | ||||||
|
Insurance –
10.6%
|
||||||||
| 168,530 | Everest Re Group Ltd. | 13,777,327 | ||||||
| 710,152 | Genworth Financial, Inc. Class A* | 7,300,363 | ||||||
| 374,553 | Hartford Financial Services Group, Inc. | 9,876,963 | ||||||
| 234,060 | Lincoln National Corp. | 6,668,369 | ||||||
| 186,641 | Marsh & McLennan Companies, Inc. | 5,821,333 | ||||||
| 87,706 | PartnerRe Ltd. | 6,038,558 | ||||||
| 574,175 | Principal Financial Group, Inc. | 17,466,403 | ||||||
| 350,224 | Unum Group | 8,923,707 | ||||||
| 361,545 | W.R. Berkley Corp. | 11,728,520 | ||||||
| 479,211 | XL Group PLC | 10,533,058 | ||||||
| 98,134,601 | ||||||||
|
Materials –
4.0%
|
||||||||
| 47,418 | Albemarle Corp. | 3,281,326 | ||||||
| 479,388 | Chemtura Corp.* | 8,724,861 | ||||||
| 122,991 | Cytec Industries, Inc. | 7,033,855 | ||||||
| 432,129 | Huntsman Corp. | 8,145,632 | ||||||
| 316,663 | Stillwater Mining Co.* | 6,969,753 | ||||||
| 244,746 | Thompson Creek Metals Co., Inc.* | 2,442,565 | ||||||
| 36,597,992 | ||||||||
|
Media –
4.5%
|
||||||||
| 484,930 | DISH Network Corp. Class A* | 14,872,803 | ||||||
| 255,895 | Liberty Global, Inc. Class A* | 11,525,511 | ||||||
| 317,243 | Scripps Networks Interactive, Inc. Class A | 15,506,838 | ||||||
| 41,905,152 | ||||||||
|
Pharmaceuticals,
Biotechnology & Life Sciences – 1.3%
|
||||||||
| 479,084 | Warner Chilcott PLC Class A | 11,560,297 | ||||||
|
Real
Estate Investment Trust – 7.0%
|
||||||||
| 59,341 | Alexandria Real Estate Equities, Inc. | 4,594,180 | ||||||
| 59,050 | AvalonBay Communities, Inc. | 7,582,020 | ||||||
| 96,028 | Camden Property Trust | 6,109,301 | ||||||
GOLDMAN SACHS
VARIABLE INSURANCE TRUST MID CAP VALUE FUND
Schedule of
Investments (continued)
June 30,
2011 (Unaudited)
| Shares | Description | Value | ||||||
|
Common
Stocks – (continued)
|
||||||||
|
Real
Estate Investment Trust – (continued)
|
||||||||
| 133,415 | Douglas Emmett, Inc. | $ | 2,653,624 | |||||
| 23,294 | Essex Property Trust, Inc. | 3,151,445 | ||||||
| 506,880 | Host Hotels & Resorts, Inc. | 8,591,616 | ||||||
| 481,695 | Kimco Realty Corp. | 8,978,795 | ||||||
| 961,194 | MFA Financial, Inc. | 7,728,000 | ||||||
| 247,230 | Tanger Factory Outlet Centers, Inc. | 6,618,347 | ||||||
| 161,833 | Ventas, Inc. | 8,530,218 | ||||||
| 64,537,546 | ||||||||
|
Retailing –
2.1%
|
||||||||
| 124,283 | Guess?, Inc. | 5,227,343 | ||||||
| 844,684 | Liberty Media Corp. — Interactive Class A* | 14,165,351 | ||||||
| 19,392,694 | ||||||||
|
Semiconductors
& Semiconductor Equipment – 2.3%
|
||||||||
| 172,665 | Maxim Integrated Products, Inc. | 4,413,317 | ||||||
| 657,066 | ON Semiconductor Corp.* | 6,879,481 | ||||||
| 275,708 | Xilinx, Inc. | 10,055,071 | ||||||
| 21,347,869 | ||||||||
|
Software
& Services – 3.4%
|
||||||||
| 113,382 | BMC Software, Inc.* | 6,201,995 | ||||||
| 99,581 | Check Point Software Technologies Ltd.* | 5,661,180 | ||||||
| 227,359 | Electronic Arts, Inc.* | 5,365,672 | ||||||
| 350,103 | Parametric Technology Corp.* | 8,027,862 | ||||||
| 257,628 | Quest Software, Inc.* | 5,855,885 | ||||||
| 31,112,594 | ||||||||
|
Technology
Hardware & Equipment – 2.0%
|
||||||||
| 117,018 | Amphenol Corp. Class A | 6,317,802 | ||||||
| 1,003,736 | Brocade Communications Systems, Inc.* | 6,484,134 | ||||||
| 84,556 | Polycom, Inc.* | 5,436,951 | ||||||
| 18,238,887 | ||||||||
|
Telecommunication
Services – 3.3%
|
||||||||
| 286,568 | CenturyLink, Inc. | 11,585,944 | ||||||
| 695,191 | Clearwire Corp. Class A* | 2,627,822 | ||||||
| 2,943,485 | Sprint Nextel Corp.* | 15,865,384 | ||||||
| 30,079,150 | ||||||||
|
Transportation –
2.0%
|
||||||||
| 1,055,639 | JetBlue Airways Corp.* | 6,439,398 | ||||||
| 116,410 | Kansas City Southern* | 6,906,605 | ||||||
| 84,766 | Ryder System, Inc. | 4,818,947 | ||||||
| 18,164,950 | ||||||||
|
Utilities –
11.3%
|
||||||||
| 419,103 | CMS Energy Corp. | 8,252,138 | ||||||
| 155,085 | Edison International | 6,009,544 | ||||||
| 132,876 | Great Plains Energy, Inc. | 2,754,520 | ||||||
| 236,441 | Northeast Utilities | 8,315,630 | ||||||
| 476,380 | NV Energy, Inc. | 7,312,433 | ||||||
| 152,938 | Pinnacle West Capital Corp. | 6,817,976 | ||||||
| 615,222 | PPL Corp. | 17,121,628 | ||||||
| 144,656 | Questar Corp. | 2,561,858 | ||||||
| 247,801 | SCANA Corp. | 9,755,925 | ||||||
| 205,121 | Sempra Energy | 10,846,799 | ||||||
| 254,365 | The AES Corp.* | 3,240,610 | ||||||
| 167,074 | Westar Energy, Inc. | 4,495,961 | ||||||
| 673,844 | Xcel Energy, Inc. | 16,374,409 | ||||||
| 103,859,431 | ||||||||
|
TOTAL
COMMON STOCKS
|
||||||||
|
(Cost
$787,044,266)
|
$ | 911,681,607 | ||||||
| Shares | Rate | Value | ||||||||
|
Short-term
Investment(a) –
1.2%
|
||||||||||
|
JPMorgan U.S. Government Money Market Fund — Capital
Shares
|
||||||||||
| 11,384,811 | 0.010 | % | $ | 11,384,811 | ||||||
|
(Cost
$11,384,811)
|
||||||||||
|
TOTAL
INVESTMENTS – 100.1%
|
||||||||||
|
(Cost
$798,429,077)
|
$ | 923,066,418 | ||||||||
|
LIABILITIES
IN EXCESS OF OTHER ASSETS – (0.1)%
|
(993,003 | ) | ||||||||
|
NET
ASSETS – 100.0%
|
$ | 922,073,415 | ||||||||
The percentage shown for each investment category reflects the
value of investments in that category as a percentage of net
assets.
| * | Non-income producing security. | |
| (a) | Variable rate security. Interest rate disclosed is that which is in effect at June 30, 2011. |
GOLDMAN SACHS
VARIABLE INSURANCE TRUST MID CAP VALUE FUND
Statement of
Assets and Liabilities
June 30,
2011 (Unaudited)
|
Assets:
|
||||
|
Investments in securities, at value (identified cost
$798,429,077)
|
$ | 923,066,418 | ||
|
Receivables:
|
||||
|
Investment securities sold
|
1,708,219 | |||
|
Fund shares sold
|
1,506,827 | |||
|
Dividends
|
1,204,078 | |||
|
Other assets
|
5,014 | |||
|
Total
assets
|
927,490,556 | |||
|
Liabilities:
|
||||
|
Payables:
|
||||
|
Investment securities purchased
|
3,771,474 | |||
|
Fund shares redeemed
|
863,498 | |||
|
Amounts owed to affiliates
|
639,725 | |||
|
Accrued expenses
|
142,444 | |||
|
Total
liabilities
|
5,417,141 | |||
|
Net
Assets:
|
||||
|
Paid-in capital
|
929,242,118 | |||
|
Accumulated undistributed net investment income
|
5,366,968 | |||
|
Accumulated net realized loss from investment transactions
|
(137,173,012 | ) | ||
|
Net unrealized gain on investments
|
124,637,341 | |||
|
NET
ASSETS
|
$ | 922,073,415 | ||
|
Net Assets:
|
||||
|
Institutional
|
$ | 756,859,222 | ||
|
Service
|
165,214,193 | |||
|
Total Net Assets
|
$ | 922,073,415 | ||
|
Shares of beneficial interest outstanding $0.001 par value
(unlimited shares authorized):
|
||||
|
Institutional
|
50,587,835 | |||
|
Service
|
11,040,355 | |||
|
Net asset value, offering and redemption price per share:
|
||||
|
Institutional
|
$14.96 | |||
|
Service
|
14.96 | |||
GOLDMAN SACHS
VARIABLE INSURANCE TRUST MID CAP VALUE FUND
Statement of
Operations
For the
Six Months Ended June 30, 2011 (Unaudited)
|
Investment
income:
|
||||
|
Dividends
|
$ | 6,802,281 | ||
|
Expenses:
|
||||
|
Management fees
|
3,711,596 | |||
|
Distribution and Service fees — Service Class
|
195,458 | |||
|
Transfer Agent
fees(a)
|
92,782 | |||
|
Printing and mailing costs
|
54,120 | |||
|
Professional fees
|
45,522 | |||
|
Custody and accounting fees
|
39,748 | |||
|
Trustee fees
|
8,745 | |||
|
Other
|
17,250 | |||
|
Total
expenses
|
4,165,221 | |||
|
Less — expense reductions
|
(754 | ) | ||
|
Net
expenses
|
4,164,467 | |||
|
NET
INVESTMENT INCOME
|
2,637,814 | |||
|
Realized and
unrealized gain (loss) from investment transactions:
|
||||
|
Net realized gain from:
|
||||
|
Investment transactions (including commissions recaptured of
$153,122)
|
91,298,590 | |||
|
Net change in unrealized loss on:
|
||||
|
Investments
|
(38,936,021 | ) | ||
|
Net
realized and unrealized gain from investment
transactions
|
52,362,569 | |||
|
NET
INCREASE IN NET ASSETS RESULTING FROM OPERATIONS
|
$ | 55,000,383 | ||
| (a) | Institutional and Service Shares had Transfer Agent fees of $77,147 and $15,635, respectively. |
GOLDMAN SACHS
VARIABLE INSURANCE TRUST MID CAP VALUE FUND
Statements
of Changes in Net Assets
|
For the |
For the |
|||||||
|
Six Months
Ended |
Fiscal Year
Ended |
|||||||
| June 30, 2011 (Unaudited) | December 31, 2010 | |||||||
|
From
operations:
|
||||||||
|
Net investment income
|
$ | 2,637,814 | $ | 5,547,217 | ||||
|
Net realized gain from investment transactions
|
91,298,590 | 140,485,737 | ||||||
|
Net change in unrealized gain (loss) on investments
|
(38,936,021 | ) | 51,064,556 | |||||
|
Net
increase in net assets resulting from operations
|
55,000,383 | 197,097,510 | ||||||
|
Distributions to
shareholders:
|
||||||||
|
From net investment income
|
||||||||
|
Institutional Shares
|
— | (4,764,554 | ) | |||||
|
Service Shares
|
— | (592,691 | ) | |||||
|
Total
distributions to shareholders
|
— | (5,357,245 | ) | |||||
|
From share
transactions:
|
||||||||
|
Proceeds from sales of shares
|
47,156,873 | 52,232,265 | ||||||
|
Reinvestment of distributions
|
— | 5,357,245 | ||||||
|
Cost of shares redeemed
|
(96,268,019 | ) | (289,923,397 | ) | ||||
|
Net
decrease in net assets resulting from share
transactions
|
(49,111,146 | ) | (232,333,887 | ) | ||||
|
TOTAL
INCREASE (DECREASE)
|
5,889,237 | (40,593,622 | ) | |||||
|
Net
assets:
|
||||||||
|
Beginning of period
|
916,184,178 | 956,777,800 | ||||||
|
End of period
|
$ | 922,073,415 | $ | 916,184,178 | ||||
|
Accumulated
undistributed net investment income
|
$ | 5,366,968 | $ | 2,729,154 | ||||
GOLDMAN SACHS
VARIABLE INSURANCE TRUST MID CAP VALUE FUND
Financial
Highlights
Selected
Data for a Share Outstanding Throughout Each Period
|
Income (loss)
from |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
| investment operations | Distributions to shareholders | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||
|
Net |
|
Ratio of |
Ratio of |
|||||||||||||||||||||||||||||||||||||||||||||||||||||||
|
Net asset |
realized |
From |
Net asset |
Net assets, |
Ratio of |
total |
net investment |
|||||||||||||||||||||||||||||||||||||||||||||||||||
|
value, |
Net |
and |
Total from |
From net |
net |
value, |
end of |
net expenses |
expenses |
income |
Portfolio |
|||||||||||||||||||||||||||||||||||||||||||||||
|
beginning |
investment |
unrealized |
investment |
investment |
realized |
Total |
end of |
Total |
period |
to average |
to average |
to average |
turnover |
|||||||||||||||||||||||||||||||||||||||||||||
| Year - Share Class | of period | income(a) | gain (loss) | operations | income | gains | distributions | period | return(b) | (in 000s) | net assets | net assets | net assets | rate | ||||||||||||||||||||||||||||||||||||||||||||
|
FOR THE SIX
MONTHS ENDED JUNE 30, (UNAUDITED)
|
||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
|
2011 - Institutional
|
$ | 14.10 | $ | 0.04 | $ | 0.82 | $ | 0.86 | $ | — | $ | — | $ | — | $ | 14.96 | 6.10 | % | $ | 756,859 | 0.86 | %(c) | 0.86 | %(c) | 0.61 | %(c) | 38 | % | ||||||||||||||||||||||||||||||
|
2011 - Service
|
14.12 | 0.03 | 0.81 | 0.84 | — | — | — | 14.96 | 5.95 | 165,214 | 1.11 | (c) | 1.11 | (c) | 0.37 | (c) | 38 | |||||||||||||||||||||||||||||||||||||||||
|
FOR THE FISCAL
YEARS ENDED DECEMBER 31,
|
||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
|
2010 - Institutional
|
11.35 | 0.08 | 2.76 | 2.84 | (0.09 | ) | — | (0.09 | ) | 14.10 | 25.00 | 769,552 | 0.87 | 0.87 | 0.65 | 88 | ||||||||||||||||||||||||||||||||||||||||||
|
2010 - Service
|
11.37 | 0.05 | 2.76 | 2.81 | (0.06 | ) | — | (0.06 | ) | 14.12 | 24.69 | 146,632 | 1.12 | 1.12 | 0.44 | 88 | ||||||||||||||||||||||||||||||||||||||||||
|
2009 - Institutional
|
8.66 | 0.14 | (d) | 2.73 | 2.87 | (0.18 | ) | — | (0.18 | ) | 11.35 | 33.15 | 834,376 | 0.86 | 0.86 | 1.46 | (d) | 111 | ||||||||||||||||||||||||||||||||||||||||
|
2009 - Service
|
8.68 | 0.12 | (d) | 2.73 | 2.85 | (0.16 | ) | — | (0.16 | ) | 11.37 | 32.78 | 122,402 | 1.11 | 1.11 | 1.21 | (d) | 111 | ||||||||||||||||||||||||||||||||||||||||
|
2008 - Institutional
|
14.02 | 0.14 | (e) | (5.34 | ) | (5.20 | ) | (0.14 | ) | (0.02 | ) | (0.16 | ) | 8.66 | (36.97 | ) | 748,682 | 0.84 | 0.84 | 1.16 | (e) | 93 | ||||||||||||||||||||||||||||||||||||
|
2008 - Service
|
14.03 | 0.11 | (e) | (5.34 | ) | (5.23 | ) | (0.10 | ) | (0.02 | ) | (0.12 | ) | 8.68 | (37.13 | ) | 111,437 | 1.09 | 1.09 | 0.91 | (e) | 93 | ||||||||||||||||||||||||||||||||||||
|
2007 - Institutional
|
16.09 | 0.14 | (f) | 0.39 | 0.53 | (0.13 | ) | (2.47 | ) | (2.60 | ) | 14.02 | 3.20 | 1,559,013 | 0.87 | (g) | 0.87 | (g) | 0.85 | (f)(g) | 84 | |||||||||||||||||||||||||||||||||||||
|
2007 - Service
|
16.09 | 0.12 | (f) | 0.40 | 0.52 | (0.11 | ) | (2.47 | ) | (2.58 | ) | 14.03 | 3.16 | 225,190 | 0.97 | (g) | 1.12 | (g) | 0.75 | (f)(g) | 84 | |||||||||||||||||||||||||||||||||||||
|
2006 - Institutional
|
15.53 | 0.13 | 2.39 | 2.52 | (0.16 | ) | (1.80 | ) | (1.96 | ) | 16.09 | 16.16 | 1,673,896 | 0.86 | 0.87 | 0.80 | 57 | |||||||||||||||||||||||||||||||||||||||||
|
2006 - Service (Commenced January 9, 2006)
|
15.96 | 0.12 | 1.95 | 2.07 | (0.14 | ) | (1.80 | ) | (1.94 | ) | 16.09 | 12.91 | 273,903 | 0.96 | (c) | 1.12 | (c) | 0.72 | (c) | 57 | ||||||||||||||||||||||||||||||||||||||
| (a) | Calculated based on the average shares outstanding methodology. | |
| (b) | Assumes investment at the net asset value at the beginning of the period, reinvestment of all distributions, and a complete redemption of the investment at the net asset value at the end of the period. Total returns for periods less than one full year are not annualized. | |
| (c) | Annualized. | |
| (d) | Reflects income recognized from non-recurring special dividends which amounted to $0.03 per share and 0.37% of average net assets. | |
| (e) | Reflects income recognized from non-recurring special dividends which amounted to $0.01 per share and 0.11% of average net assets. | |
| (f) | Reflects income recognized from non-recurring special dividends which amounted to $0.01 per share and 0.06% of average net assets. | |
| (g) | Includes non-recurring expense for a special shareholder proxy meeting which amounted to approximately 0.02% of average net assets. |
12
GOLDMAN SACHS
VARIABLE INSURANCE TRUST MID CAP VALUE FUND
Notes to
Financial Statements
June 30,
2011 (Unaudited)
| 1. ORGANIZATION |
Goldman Sachs Variable Insurance Trust (the “Trust” or
“VIT”) 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 Trust includes the Goldman Sachs Mid Cap Value Fund (the
“Fund”). The Fund is a diversified portfolio under the
Act offering two classes of shares — Institutional and
Service.
Goldman Sachs Asset Management, L.P. (“GSAM”), an
affiliate of Goldman, Sachs & Co. (“Goldman
Sachs”), serves as investment adviser to the Fund pursuant
to a management agreement (the “Agreement”) with the
Trust.
| 2. SIGNIFICANT ACCOUNTING POLICIES |
The following is a summary of the significant accounting
policies consistently followed by the Fund. The preparation of
financial statements in conformity with accounting principles
generally accepted in the United States of America
(“GAAP”) requires management to make estimates and
assumptions that may affect the amounts and disclosures in the
financial statements. Actual results could differ from those
estimates and assumptions.
A. Investment
Valuation — The investment valuation policy
of the Fund is to value investments at market value. Investments
in equity securities and investment companies traded on a United
States (“U.S.”) securities exchange or the NASDAQ
system are valued daily at their last sale price or official
closing price on the principal exchange or system on which they
are traded. If no sale occurs, such securities and investment
companies are valued at the last bid price for long positions
and at the last ask price for short positions. Debt securities
for which market quotations are readily available are valued on
the basis of quotations furnished by an independent pricing
service approved by the trustees or provided by securities
dealers. The pricing services may use valuation models or matrix
pricing, which consider: (i) yield or price with respect to
bonds that are considered comparable in characteristics such as
rating, interest rate and maturity date or (ii) quotations
from securities dealers to determine current value. If accurate
quotations are not readily available, or if GSAM believes that
such quotations do not accurately reflect fair value, the fair
value of the Fund’s investments may be determined based on
yield equivalents, a pricing matrix or other sources, under
valuation procedures established by the trustees. Unlisted
equity securities for which market quotations are available are
valued at the last sale price on the valuation date, or if no
sale occurs, at the last bid price. In the absence of market
quotations, broker quotes will be utilized or the security will
be fair valued. Investments in investment companies (other than
those that are exchange traded) are valued at the net asset
value per share (“NAV”) of the investment company on
the valuation date. Short-term debt obligations that mature in
sixty days or less and that do not exhibit signs of credit
deterioration are valued at amortized cost, which approximates
market value.
GSAM, consistent with its procedures and applicable regulatory
guidance, may make an adjustment to the previous closing prices
of either domestic or foreign securities in light of significant
events to reflect what it believes to be the fair value of the
securities at the time of determining the Fund’s NAV.
Significant events that could affect a large number of
securities in a particular market may include, but are not
limited to: situations relating to one or more single issuers in
a market sector; significant fluctuations in U.S. or foreign
markets; market dislocations; market disruptions or market
closings; equipment failures; natural or man-made disasters or
acts of God; armed conflicts; government actions or other
developments; as well as the same or similar events which may
affect specific issuers or the securities markets even though
not tied directly to the securities markets. Other significant
events that could relate to a single issuer may include, but are
not limited to: corporate actions such as reorganizations,
mergers and buy-outs; corporate announcements, including those
relating to earnings, products and regulatory news; significant
litigation; low trading volume; and trading limits or
suspensions.
B. Security
and Fund Share Transactions, and Investment
Income — Security and Fund share
transactions are reflected for financial reporting purposes as
of the trade date, which may cause the NAV as stated in the
accompanying financial statements to be different than the NAV
applied to Fund share transactions. Realized gains and losses on
sales of portfolio securities are calculated using the
identified cost basis. Dividend income is recognized on the
ex-dividend
date, net of foreign withholding taxes, if any, which are
reduced by any amounts reclaimable by the Fund, where
applicable. Certain dividends from foreign securities will be
recorded when the Fund is informed of the dividend, if such
information is obtained subsequent to the
ex-dividend
date.
GOLDMAN SACHS
VARIABLE INSURANCE TRUST MID CAP VALUE FUND
Notes to
Financial
Statements (continued)
June 30,
2011 (Unaudited)
| 2. SIGNIFICANT ACCOUNTING POLICIES (continued) |
Interest income is recorded on the basis of interest accrued,
premium amortized and discount accreted. In addition, it is the
Fund’s policy to accrue for foreign capital gains taxes, if
applicable, on certain foreign securities held by the Fund. An
estimated foreign capital gains tax is recorded daily on net
unrealized gains on these securities and is payable upon the
sale of such securities when a gain is realized.
Investment income and unrealized and realized gains or losses
are allocated daily to each class of shares of the Fund based
upon the relative proportion of net assets of each class.
In addition, distributions received from the Fund’s
investments in the U.S. real estate investment trusts
(“REITs”) often include a “return of
capital”, which is recorded by the Fund as a reduction of
the cost basis of the securities held. The Internal Revenue Code
of 1986, as amended (the “Code”) requires a REIT to
distribute at least 95% of its taxable income to investors. In
many cases, however, because of “non-cash” expenses
such as property depreciation, a REIT’s cash flow will
exceed its taxable income. The REIT may distribute this excess
cash to offer a more competitive yield. This portion of the
Fund’s distributions is deemed a return of capital and is
generally not taxable to shareholders.
C. Expenses —
Expenses incurred by the Fund, which may not
specifically relate to the Fund, may be shared with other
registered investment companies having management agreements
with GSAM or its affiliates, as appropriate. These expenses are
allocated to the Fund on a straight-line
and/or
pro-rata basis depending upon the nature of the expenses and are
accrued daily.
Non-class
specific expenses are allocated daily to each share class of the
respective Fund based upon the relative proportion of net assets
of each class. Class specific expenses, where applicable, are
borne by the respective share classes and include Distribution
and Service and Transfer Agent fees.
D. Federal
Taxes and Distributions to Shareholders —
It is the Fund’s policy to comply with the
requirements of the Code, applicable to regulated investment
companies (mutual funds) and to distribute each year
substantially all of its investment company taxable income and
capital gains to its shareholders. Accordingly, the Fund is not
required to make any provisions for the payment of federal
income tax. Distributions to shareholders are recorded on the
ex-dividend
date. Income and capital gains distributions, if any, are
declared and paid annually.
Net capital losses are carried forward to future fiscal years
and may be used to the extent allowed by the Code to offset any
future capital gains. Utilization of capital loss carryforwards
will reduce the requirement of future capital gains
distributions.
The characterization of distributions to shareholders for
financial reporting purposes is determined in accordance with
federal income tax rules, which may differ from GAAP. The source
of the 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
Fund’s net assets on the Statement of Assets and
Liabilities reflect permanent GAAP/tax differences based on the
appropriate tax character.
E. Commission
Recapture — The Fund may direct portfolio
trades, subject to obtaining best execution, to various brokers
who have agreed to rebate a portion of the commissions
generated. Such rebates are made directly to the Fund as cash
payments and are included in net realized gain (loss) from
investments on the Statement of Operations.
| 3. FAIR VALUE OF INVESTMENTS |
The fair value of a financial instrument is the amount that
would be received to sell an asset or paid to transfer a
liability in an orderly transaction between market participants
at the measurement date (i.e., the exit price). GAAP establishes
a fair value hierarchy that prioritizes the inputs to valuation
techniques used to measure fair value. The hierarchy gives the
highest priority to unadjusted quoted prices in active markets
for identical assets or liabilities (Level 1 measurements)
and the lowest priority to unobservable inputs (Level 3
measurements). The three levels of the fair value hierarchy are
described below:
Level 1 — Unadjusted quoted prices in active
markets that are accessible at the measurement date for
identical, unrestricted assets or liabilities;
GOLDMAN SACHS
VARIABLE INSURANCE TRUST MID CAP VALUE FUND
| 3. FAIR VALUE OF INVESTMENTS (continued) |
Level 2 — Quoted prices in markets that are not
active or financial instruments for which significant inputs are
observable (including, but not limited to, quoted prices for
similar securities, interest rates, foreign exchange rates,
volatility and credit spreads), either directly or indirectly;
Level 3 — Prices or valuations that require
significant unobservable inputs (including GSAM’s
assumptions in determining fair value measurement).
The following is a summary of the Fund’s investments
categorized in the fair value hierarchy as of June 30, 2011:
| Investment Type | Level 1 | Level 2 | Level 3 | |||||||||
|
Assets
|
||||||||||||
|
Common Stock
and/or Other
Equity Investments
|
$ | 911,681,607 | $ | — | $ | — | ||||||
|
Short-term Investment
|
11,384,811 | — | — | |||||||||
|
Total
|
$ | 923,066,418 | $ | — | $ | — | ||||||
| 4. AGREEMENTS AND AFFILIATED TRANSACTIONS |
A. Management
Agreement — Under the Agreement, GSAM
manages the Fund, 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 Fund’s business affairs, including
providing facilities, GSAM is entitled to a management fee,
accrued daily and paid monthly, equal to an annual percentage
rate of the Fund’s average daily net assets.
For the six months ended June 30, 2011, contractual and
effective net management fees with GSAM were at the following
rates:
| Contractual Management Rate | ||||||||||||||||||||
|
First |
Next |
Next |
Over |
Effective |
Effective Net |
|||||||||||||||
| $2 billion | $3 billion | $3 billion | $8 billion | Rate | Management Rate | |||||||||||||||
|
0.80%
|
0.72 | % | 0.68 | % | 0.67 | % | 0.80 | % | 0.80 | %* | ||||||||||
| * | Effective June 30, 2011, GSAM agreed to waive a portion of its management fee in order to achieve an effective net management rate of 0.77% through at least April 29, 2012. Prior to such date GSAM may not terminate the arrangement without the approval of the trustees. For the six months ended June 30, 2011, GSAM waived approximately $800 of the Fund’s management fee. |
B. Distribution
and Service Plan — The Trust, on behalf of
the Service Shares of the Fund, has adopted a Distribution and
Service Plan (the “Plan”). Under the Plan, Goldman
Sachs, which serves as distributor, is entitled to a fee accrued
daily and paid monthly for distribution services, which may then
be paid by Goldman Sachs to authorized dealers, equal to, on an
annual basis, 0.25% of the Fund’s average daily net assets
attributable to Service Shares.
C. Transfer
Agency Agreement — Goldman Sachs also
serves as the transfer agent of the Fund for a fee pursuant to a
Transfer Agency Agreement. The fees charged for such transfer
agency services are accrued daily and paid monthly at an annual
rate of 0.02% of the average daily net assets for Institutional
and Service Shares.
D. Other
Expense Agreements and Affiliated Transactions —
GSAM has agreed to limit certain “Other
Expense” of the Fund (excluding management fees,
distribution and service fees, transfer agent fees and expenses,
taxes, interest, brokerage fees and litigation, indemnification,
shareholder meetings and other extraordinary expenses, exclusive
of any custody and transfer agent fee credit reductions) to the
extent such expenses exceed, on an annual basis, 0.054% of the
average daily net assets of the Fund. Such Other Expense
reimbursements, if any, are accrued daily and paid monthly. In
addition, the Fund is not obligated to reimburse GSAM for prior
fiscal year expense reimbursements, if any. These Other Expense
reimbursements will remain in place
GOLDMAN SACHS
VARIABLE INSURANCE TRUST MID CAP VALUE FUND
Notes to
Financial
Statements (continued)
June 30,
2011 (Unaudited)
| 4. AGREEMENTS AND AFFILIATED TRANSACTIONS (continued) |
through at least April 29, 2012, and prior to such date
GSAM may not terminate the arrangements without the approval of
the trustees. For the six months ended June 30, 2011, GSAM
did not make any reimbursements to the Fund.
As of June 30, 2011, the amounts owed to affiliates were
approximately $592,100, $32,800 and $14,800 for management,
distribution and service, and transfer agent fees, respectively.
E. Line of
Credit Facility — As of June 30, 2011,
the Fund participated in a $580,000,000 committed, unsecured
revolving line of credit facility (the “facility”)
together with other funds of the Trust and registered investment
companies having management agreements with GSAM or its
affiliates. Pursuant to the terms of the facility, the Fund and
other borrowers could increase the credit amount by an
additional $340,000,000, for a total of up to $920,000,000. This
facility is to be used solely for temporary or emergency
purposes. The interest rate on borrowings is based on the
federal funds rate. The facility also requires a fee to be paid
by the Fund based on the amount of the commitment that has not
been utilized. For the six months ended June 30, 2011, the
Fund did not have any borrowings under the facility.
F. Other
Transactions with Affiliates — For the six
months ended June 30, 2011, Goldman Sachs earned
approximately $40,300 in brokerage commissions from portfolio
transactions on behalf of the Fund.
| 5. PORTFOLIO SECURITIES TRANSACTIONS |
The cost of purchases and proceeds from sales and maturities of
long-term securities for the six months ended June 30,
2011, were $350,269,636 and $391,663,394, respectively.
| 6. TAX INFORMATION |
As of the Fund’s most recent fiscal year end,
December 31, 2010, the Fund’s capital loss
carryforwards on a tax-basis were as follows:
|
Capital loss
carryforward:(1)
|
||||
|
Expiring 2016
|
$ | (23,257,351 | ) | |
|
Expiring 2017
|
(198,932,335 | ) | ||
|
Total capital loss carryforward
|
$ | (222,189,686 | ) | |
| (1) | Expiration occurs on December 31 of the year indicated. |
As of June 30, 2011, the Fund’s aggregate security
unrealized gains and losses based on cost for U.S. federal
income tax purposes were as follows:
|
Tax cost
|
$ | 804,675,131 | ||
|
Gross unrealized gain
|
139,589,526 | |||
|
Gross unrealized loss
|
(21,198,239 | ) | ||
|
Net unrealized security gain
|
$ | 118,391,287 | ||
The difference between GAAP-basis and tax-basis unrealized gains
(losses), as of the most recent fiscal year end, is attributable
primarily to wash sales and differences related to the tax
treatment of partnership and real estate investment trust
investments.
GSAM has reviewed the Fund’s 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
Fund’s financial statements. Such open tax years remain
subject to examination and adjustment by tax authorities.
GOLDMAN SACHS
VARIABLE INSURANCE TRUST MID CAP VALUE FUND
| 6. TAX INFORMATION (continued) |
Under the recently enacted Regulated Investment Company
Modernization Act of 2010, the Fund will be permitted to carry
forward capital losses incurred in taxable years beginning after
December 22, 2010 for an unlimited period. However, any
losses incurred during those future taxable years will be
required to be utilized prior to the losses incurred in
pre-enactment taxable years. As a result of this ordering rule,
pre-enactment capital loss carryforwards may be more likely to
expire unused. Additionally, post-enactment capital losses that
are carried forward will retain their character as either
short-term or long-term capital losses rather than being
considered all short-term as under previous law.
| 7. OTHER RISKS |
Fund’s
Shareholder Concentration Risk — Certain
participating insurance companies, accounts, or Goldman Sachs
affiliates may from time to time own (beneficially or of record)
or control a significant percentage of the Fund’s shares.
Redemptions by these entities of their holdings in the Fund may
impact the Fund’s liquidity and NAV. These redemptions may
also force the Fund to sell securities.
Liquidity
Risk — The Fund 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 Fund trades financial instruments and enters into financial
transactions where risk of potential loss exists due to changes
in the market (market risk). Additionally, the Fund 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 Fund has
unsettled or open transaction defaults.
| 8. 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 Fund. Additionally, in
the course of business, the Fund enters into contracts that
contain a variety of indemnification clauses. The Fund’s
maximum exposure under these arrangements is unknown, as this
would involve future claims that may be made against the Fund
that have not yet occurred. However, GSAM believes the risk of
loss under these arrangements to be remote.
| 9. 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.
GOLDMAN SACHS
VARIABLE INSURANCE TRUST MID CAP VALUE FUND
Notes to
Financial
Statements (continued)
June 30,
2011 (Unaudited)
| 10. SUMMARY OF SHARE TRANSACTIONS |
Share activity is as follows:
|
For the Six
Months Ended |
||||||||||||||||
|
June 30, 2011 |
For the Fiscal
Year Ended |
|||||||||||||||
| (Unaudited) | December 31, 2010 | |||||||||||||||
| Shares | Dollars | Shares | Dollars | |||||||||||||
|
Institutional
Shares
|
||||||||||||||||
|
Shares sold
|
1,620,923 | $ | 23,834,204 | 2,606,517 | $ | 31,970,939 | ||||||||||
|
Reinvestment of distributions
|
— | — | 337,912 | 4,764,554 | ||||||||||||
|
Shares redeemed
|
(5,611,184 | ) | (82,627,905 | ) | (21,886,065 | ) | (265,055,214 | ) | ||||||||
| (3,990,261 | ) | (58,793,701 | ) | (18,941,636 | ) | (228,319,721 | ) | |||||||||
|
Service
Shares
|
||||||||||||||||
|
Shares sold
|
1,580,451 | 23,322,669 | 1,609,166 | 20,261,326 | ||||||||||||
|
Reinvestment of distributions
|
— | — | 41,975 | 592,691 | ||||||||||||
|
Shares redeemed
|
(924,281 | ) | (13,640,114 | ) | (2,031,654 | ) | (24,868,183 | ) | ||||||||
| 656,170 | 9,682,555 | (380,513 | ) | (4,014,166 | ) | |||||||||||
|
NET
DECREASE
|
(3,334,091 | ) | $ | (49,111,146 | ) | (19,322,149 | ) | $ | (232,333,887 | ) | ||||||
GOLDMAN SACHS
VARIABLE INSURANCE TRUST MID CAP VALUE FUND
Statement
Regarding Basis for Approval of Management Agreement
(Unaudited)
Background
The Goldman Sachs Mid Cap Value Fund (the “Fund”) is
an investment portfolio of Goldman Sachs Variable Insurance
Trust (the “Trust”). The Board of Trustees oversees
the management of the Trust and reviews the investment
performance and expenses of the Fund 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 agreement (the
“Management Agreement”) with Goldman Sachs Asset
Management, L.P. (the “Investment Adviser”) on behalf
of the Fund.
The Management Agreement was most recently approved for
continuation until June 30, 2012 by the Board of Trustees,
including those Trustees who are not parties to the Management
Agreement or “interested persons” (as defined in the
Investment Company Act of 1940, as amended) of any party thereto
(the “Independent Trustees”), at a meeting held on
June 15-16,
2011 (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 Agreement was 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
Agreement, including:
| (a) | the nature and quality of the advisory, administrative and other services provided to the Fund 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, 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; |
| (b) | information on the investment performance of the Fund, including 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”), its benchmark performance index, a comparable institutional composite managed by the Investment Adviser, and general investment outlooks in the markets in which the Fund invests; | |
| (c) | the terms of the Management Agreement and agreements with affiliated service providers entered into by the Trust on behalf of the Fund; | |
| (d) | expense information for the Fund, including: |
| (i) | the relative management fee and expense level of the Fund as compared to those of comparable funds managed by other advisers, as provided by the Outside Data Provider; | |
| (ii) | the Fund’s 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 Fund, 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 Fund; | |
| (f) | the undertakings of the Investment Adviser to waive certain fees and reimburse certain expenses of the Fund that exceed a specified level, and a summary of contractual fee reductions made by the Investment Adviser and its affiliates over the past several years with respect to the Fund; | |
| (g) | information relating to the profitability of the Management Agreement and the transfer agency and distribution and service arrangements of the Fund and the Trust as a whole to the Investment Adviser and its affiliates; | |
| (h) | whether the 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 Fund, including the fees received by the Investment Adviser’s affiliates from the Fund for transfer agency, portfolio brokerage, distribution and other services; | |
| (j) | a summary of potential benefits derived by the Fund as a result of its relationship with the Investment Adviser; |
GOLDMAN SACHS
VARIABLE INSURANCE TRUST MID CAP VALUE FUND
Statement
Regarding Basis for Approval of Management Agreement
(Unaudited) (continued)
| (k) | information regarding commissions paid by the Fund, an update on the Investment Adviser’s soft dollars practices, other information regarding portfolio trading and how the Investment Adviser carries out its duty to seek best execution; | |
| (l) | the manner in which portfolio manager compensation is determined, and the number and types of accounts managed by the portfolio managers; | |
| (m) | the nature and quality of the services provided to the Fund by its 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 Agreement; 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 Fund’s compliance program; and compliance reports. |
The Trustees also received an overview of the Fund’s
distribution arrangements. They received information regarding
the Fund’s assets, share purchase and redemption activity
and the payment of
Rule 12b-1
distribution and service fees by the Fund’s Service 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 Fund and other mutual fund
portfolios for which the Board of Trustees has responsibility.
In evaluating the Management Agreement 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 Fund.
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
Agreement
As part of their review, the Trustees considered the nature,
extent and quality of the services provided by the Investment
Adviser. In this regard, the Trustees considered both the
investment advisory services, and the other, non-advisory
services, that are provided to the Fund by the Investment
Adviser and its affiliates. The Trustees noted the transition in
the leadership and changes in personnel of various portfolio
management teams that had occurred in recent periods, the
potential benefit to the Fund of recent increases in headcount
at the Investment Adviser and the ongoing recruitment efforts
aimed at bringing high quality investment talent to the
Investment Adviser. The Independent Trustees concluded that the
Investment Adviser had committed substantial financial and
operational resources to the Fund 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 Fund and the Investment Adviser.
Investment
Performance
The Trustees also considered the investment performance of the
Fund and the Investment Adviser. In this regard, they compared
the Fund to its peers using the performance rankings and ratings
compiled by the Outside Data Provider as of December 31,
2010, and updated performance information prepared by the
Investment Adviser using the peer group identified by the
Outside Data provider. The information on the Fund’s
investment performance was provided for the one-, three-, five-
and ten-year periods ending on the applicable dates. The
Trustees also reviewed the Fund’s investment performance
over time on a
year-by-year
basis relative to its performance benchmark. In addition, they
considered the investment performance trends of the Fund over
time, and reviewed the investment performance of the Fund in
light of its investment objective and policies, and market
conditions. The Trustees also received information comparing the
Fund’s performance to that of a comparable institutional
composite managed by the Investment Adviser. The Trustees
considered whether the Fund had operated within its investment
policies and had complied with its investment limitations.
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
Fund’s risk profile, and how the Investment Adviser’s
approach to risk monitoring and management influences portfolio
management.
GOLDMAN SACHS
VARIABLE INSURANCE TRUST MID CAP VALUE FUND
Statement
Regarding Basis for Approval of Management Agreement
(Unaudited) (continued)
The Independent Trustees noted that for the one-year period
ended May 31, 2011, the Fund had outperformed its benchmark
index and had placed in the top half of its peer group. The
Independent Trustees also noted that the Fund had ranked in the
top half of its peer group for the five- and ten-year periods
ended May 31, 2011.
Costs of
Services Provided and Competitive Information
The Trustees considered the contractual fee rates payable by the
Fund under the Management Agreement. In this regard, the
Trustees considered information on the services rendered by the
Investment Adviser to the Fund, which included both advisory and
administrative services that were directed to the needs and
operations of the Fund as a registered mutual fund.
In particular, the Trustees reviewed analyses prepared by the
Outside Data Provider regarding the expense rankings of the
Fund. The analyses provided a comparison of the Fund’s
management fees and breakpoints to those of a relevant peer
group and category universe; an expense analysis which compared
the Fund’s expenses to a peer group and a category
universe; and a five-year history comparing the Fund’s
expenses to the peer and category medians. The analyses also
compared the Fund’s transfer agency fees, custody and
accounting fees, distribution fees, other expenses and fee
waivers/reimbursements to those of other funds in the peer group
and the peer group median. 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 Fund.
In addition, the Trustees considered the Investment
Adviser’s undertakings to waive a portion of its management
fee and limit the Fund’s “other expenses” ratio
(excluding certain expenses) to a certain specified level. 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 Fund, comparative fee information for services provided by
the Investment Adviser to those accounts, and information that
indicated that services provided to the Fund 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 Fund under the terms of the
Management Agreement.
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.
Profitability
The Trustees reviewed the Investment Adviser’s revenues and
pre-tax profit margins with respect to the Trust and the Fund.
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 the Fund were
provided for 2010 and 2009, 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 and the
rationale for the Fund’s breakpoint structure. The Trustees
also considered the breakpoints in the fee rate payable under
the Management Agreement for the Fund at the following annual
percentage rates of the average daily net assets of the Fund:
|
First $2 billion
|
0.80 | % | ||
|
Next $3 billion
|
0.72 | |||
|
Next $3 billion
|
0.68 | |||
|
Over $8 billion
|
0.67 |
The Trustees noted that the breakpoints at the $5 and
$8 billion asset levels had been proposed by the Investment
Adviser and approved by the Trustees in 2008 to further share
potential economies of scale, if any, with the Fund and its
shareholders as assets under management reach those asset
levels. The Trustees considered the amounts of assets in the
Fund; the Fund’s recent share
GOLDMAN SACHS
VARIABLE INSURANCE TRUST MID CAP VALUE FUND
Statement
Regarding Basis for Approval of Management Agreement
(Unaudited) (continued)
purchase and redemption activity; the information provided by
the Investment Adviser relating to the costs of the services
provided by the Investment Adviser and its affiliates and their
realized profits; information comparing fee rates charged by the
Investment Adviser with fee rates charged to other funds in the
peer group; and the Investment Adviser’s undertakings to
limit the Fund’s fees and “other expenses” ratio
(excluding certain expenses) to certain amounts. Upon reviewing
these matters at the Annual Meeting, the Trustees concluded that
the fee breakpoints represented a means of assuring that
benefits of scalability would be passed along to shareholders at
the specified asset levels.
Other
Benefits to the Investment Adviser and Its Affiliates
The Trustees also considered the other benefits derived by the
Investment Adviser and its affiliates from their relationship
with the Fund as stated above, including: (a) transfer
agency fees received by Goldman, Sachs & Co.
(“Goldman Sachs”); (b) brokerage and futures
commissions earned by Goldman Sachs for executing securities and
futures transactions on behalf of the Fund; (c) research
received by the Investment Adviser from broker-dealers in
exchange for executing certain transactions on behalf of the
Fund; (d) trading efficiencies resulting from aggregation
of orders of the Fund with those for other funds or accounts
managed by the Investment Adviser; (e) the Investment
Adviser’s ability to leverage the infrastructure designed
to service the Fund on behalf of its other clients; (f) the
Investment Adviser’s ability to cross-market other products
and services to Fund shareholders; (g) Goldman Sachs’
retention of certain fees as Fund Distributor; (h) 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 Fund; and (i) the possibility
that the working relationship between the Investment Adviser and
the Fund’s 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 the fall-out benefits.
Other
Benefits to the Fund and Its Shareholders
The Trustees also noted that the Fund receives certain potential
benefits as a result of its relationship with the Investment
Adviser, including: (a) trading efficiencies resulting from
aggregation of orders of the Fund 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 advantages gained from the Investment
Adviser’s knowledge and experience gained from managing
other accounts and products; (f) the Investment
Adviser’s ability to hire and retain qualified personnel to
provide services to the Fund because of the reputation of the
Goldman Sachs organization; (g) the Fund’s access,
through the Investment Adviser, to certain firmwide resources
(e.g., proprietary databases); and (h) the
Fund’s access to certain affiliated distribution channels.
The Trustees noted the competitive nature of the mutual fund
marketplace, and noted further that many of the Fund’s
shareholders invested in the Fund in part because of the
Fund’s relationship with the Investment Adviser and that
those shareholders have a general expectation that the
relationship will continue.
GOLDMAN SACHS
VARIABLE INSURANCE TRUST MID CAP VALUE FUND
Statement
Regarding Basis for Approval of Management Agreement
(Unaudited) (continued)
Conclusion
In connection with their consideration of the Management
Agreement, 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 the
Fund were reasonable in light of the services provided to it by
the Investment Adviser, the Investment Adviser’s costs and
the Fund’s current and reasonably foreseeable asset levels.
The Trustees unanimously concluded that the Investment
Adviser’s continued management likely would benefit the
Fund and its shareholders and that the Management Agreement
should be approved and continued with respect to the Fund until
June 30, 2012.
GOLDMAN SACHS
VARIABLE INSURANCE TRUST MID CAP VALUE FUND
Fund Expenses —
Six Month Period Ended June 30, 2011 (Unaudited)
As a shareholder of Institutional or Service Shares of the Fund,
you incur ongoing costs, including management fees, distribution
and service (12b-1) fees (with respect to Service Shares) and
other Fund expenses. This example is intended to help you
understand your ongoing costs (in dollars) of investing in the
Institutional Shares and Service Shares of the Fund and to
compare these costs with the ongoing costs of investing in other
mutual funds.
The example is based on an investment of $1,000 invested at the
beginning of the period and held for the entire period from
January 1, 2011 through June 30, 2011.
Actual Expenses — The first line under each
share class in the table below provides information about actual
account values and actual expenses. You may use the information
in this line, together with the amount you invested, to estimate
the expenses that you paid over the period. Simply divide your
account value by $1,000 (for example, an $8,600 account value
divided by $1,000=8.6), then multiply the result by the number
in the first line under the heading entitled “Expenses
Paid” to estimate the expenses you paid on your account
during this period.
Hypothetical Example for Comparison Purposes —
The second line under each share class in the table below
provides information about hypothetical account values and
hypothetical expenses based on the Fund’s actual net
expense ratio and an assumed rate of return of 5% per year
before expenses, which is not the Fund’s 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 Fund 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. As a shareholder of the Fund,
you do not incur any transaction costs, such as sales charges
(loads), redemption fees, or exchange fees, but shareholders of
other funds may incur such costs. 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
whose shareholders may incur transaction costs.
|
Expenses Paid |
|||||||||||||||
|
for the |
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|
Beginning |
Ending |
6 Months |
|||||||||||||
|
Account Value |
Account Value |
Ended |
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| Share Class | 1/01/11 | 6/30/11 | 6/30/11* | ||||||||||||
|
Institutional
|
|||||||||||||||
|
Actual
|
$ | 1,000 | $ | 1,061.00 | $ | 4.39 | |||||||||
|
Hypothetical 5% return
|
1,000 | 1,020.53 | + | 4.31 | |||||||||||
|
Service
|
|||||||||||||||
|
Actual
|
1,000 | 1,059.50 | 5.67 | ||||||||||||
|
Hypothetical 5% return
|
1,000 | 1,019.29 | + | 5.56 | |||||||||||
| * | Expenses for each share class are calculated using the 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 June 30, 2011. Expenses are calculated by multiplying the annualized net expense ratio by the average account value for the period; then multiplying the result by the number of days in the most recent fiscal half year; and then dividing that result by the number of days in the fiscal year. The annualized net expense ratios for the period were 0.86% and 1.11% for Institutional and Service Shares, respectively. | |
| + | Hypothetical expenses are based on the Fund’s actual annualized net expense ratios and an assumed rate of return of 5% per year before expenses. |
|
TRUSTEES Ashok N. Bakhru, Chairman Donald C. Burke John P. Coblentz, Jr. Diana M. Daniels Joseph P. LoRusso James A. McNamara Jessica Palmer Alan A. Shuch Richard P. Strubel |
OFFICERS James A. McNamara, President George F. Travers, Principal Financial Officer Peter V. Bonanno, Secretary Scott M. McHugh, Treasurer |
|
|
GOLDMAN, SACHS & CO. Distributor and Transfer Agent |
||
|
GOLDMAN SACHS ASSET MANAGEMENT, L.P. Investment Adviser 200 West Street, New York New York 10282 |
||
| Visit our website at www.goldmansachsfunds.com/vit to obtain the most recent month-end returns. | ||
| The reports concerning the Fund included in this shareholder report may contain certain forward-looking statements about the factors that may affect the performance of the Fund in the future. These statements are based on Fund management’s predictions and expectations concerning certain future events and their expected impact on the Fund, 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 Fund. 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 Fund uses to determine how to vote proxies relating to portfolio securities and information regarding how the 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 1-800-621-2550; and (ii) on the Securities and Exchange Commission (“SEC”) website at http://www.sec.gov. | ||
| The Fund files its complete schedule of portfolio holdings with the SEC for the first and third quarters of each fiscal year on Form N-Q. The Fund’s Form N-Q is available on the SEC’s website at http://www.sec.gov within 60 days after the Fund’s first and third fiscal quarters. When available, the Fund’s Forms N-Q may be reviewed and copied at the SEC’s Public Reference Room in Washington, D.C. and information on the operation of the Public Reference Room may also be obtained by calling 1-800-SEC-0330. Forms N-Q may be obtained upon request and without charge by calling 1-800-621-2550. | ||
| Holdings and allocations shown may not be representative of current or future investments. Holdings and allocations may not include the Fund’s entire investment portfolio, which may change at any time. Fund holdings should not be relied on in making investment decisions and should not be construed as research or investment advice regarding particular securities. | ||
| 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. | ||
| The Global Industry Classification Standard (“GICS”) was developed by and is the exclusive property and a service mark of Morgan Stanley Capital international Inc. (“MSCI”) and Standard & Poor’s, a division of The McGraw-Hill Companies, Inc. (“S&P”) and is licensed for use by Goldman Sachs. Neither MSCI, S&P nor any other party involved in making or compiling the GICS or any GICS classifications makes any express or implied warranties or representations with respect to such standard or classification (or the results to be obtained by the use thereof), and all such parties hereby expressly disclaim all warranties of originality, accuracy, completeness, merchantability or fitness for a particular purpose with respect to any of such standard or classification. Without limiting any of the foregoing, in no event shall MSCI, S&P, any of their affiliates or any third party involved in making or compiling the GICS or any GICS classifications have any liability for any direct, indirect, special, punitive, consequential or any other damages (including lost profits) even if notified of the possibility of such damages. | ||
| The portfolio risk management process includes an effort to monitor and manage risk, but does not imply low risk. | ||
| Shares of the Goldman Sachs VIT Funds are offered to separate accounts of participating life insurance companies for the purpose of funding variable annuity contracts and variable life insurance policies. Shares of the Fund are not offered directly to the general public. The variable annuity contracts and variable life insurance policies are described in the separate prospectuses issued by participating insurance companies. You should refer to those prospectuses for information about surrender charges, mortality and expense risk fees and other charges that may be assessed by participating insurance companies under the variable annuity contracts or variable life insurance policies. Such fees or charges, if any, may affect the return you may realize with respect to your investments. Ask your representative for more complete information. Please consider a fund’s objectives, risks and charges and expenses, and read the prospectus carefully before investing. The prospectus contains this and other information about the Fund. | ||
| 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 1-800-621-2550. | ||
| Toll Free (in U.S.): 800-292-4726 | ||
| This report is prepared for the general information of contract owners and is not an offer of shares of the Goldman Sachs Variable Insurance Trust: Goldman Sachs Mid Cap Value Fund. | ||
| © 2011 Goldman Sachs. All rights reserved. | ||
| VITMCVSAR11/57660.MF.MED.TMPL/8/2011 | ||
Goldman
Sachs Variable Insurance Trust
Goldman
Sachs
Strategic International Equity Fund
Strategic International Equity Fund
Semi-Annual Report
June 30,
2011
GOLDMAN SACHS
VARIABLE INSURANCE TRUST STRATEGIC INTERNATIONAL EQUITY FUND
Principal
Investment Strategies and Risks
Shares of the
Goldman Sachs Variable Insurance Trust — Goldman Sachs
Strategic International Equity Fund are offered to separate
accounts of participating life insurance companies for the
purpose of funding variable annuity contracts and variable life
insurance policies. Shares of the Fund are not offered directly
to the general public. The variable annuity contracts and
variable life insurance policies are described in the separate
prospectuses issued by participating insurance companies. You
should refer to those prospectuses for information about
surrender charges, mortality and expense risk fees and other
charges that may be assessed by participating insurance
companies under the variable annuity contracts or variable life
insurance policies. Such fees or charges, if any, may affect the
return you realize with respect to your investments. Ask your
representative for more complete information. Please consider
the Fund’s objective, risks and charges and expenses, and
read the Prospectus carefully before investing. The Prospectus
contains this and other information about the Fund.
The Goldman Sachs
Strategic International Equity Fund
invests
primarily in a diversified portfolio of equity investments in
companies that are organized outside the United States or whose
securities are principally traded outside the United States. The
Fund’s equity investments are subject to market risk so
that the value of the securities in which it invests may go up
or down in response to the prospects of individual companies,
particular industry sectors
and/or
general economic conditions. Foreign and emerging market
securities may be more volatile and less liquid than investments
in U.S. securities and will be subject to the risks of
currency fluctuations and sudden economic or political
developments. The Fund may also invest in fixed income
securities, which are subject to the risks associated with debt
securities generally including credit, liquidity and interest
rate risk. Securities of issuers held by the Fund may lack
sufficient market liquidity to enable the Fund to sell the
securities at an advantageous time or without a substantial drop
in price.
GOLDMAN SACHS
VARIABLE INSURANCE TRUST STRATEGIC INTERNATIONAL EQUITY FUND
INVESTMENT
OBJECTIVE
The Fund seeks long-term capital appreciation.
Portfolio
Management Discussion and Analysis
Below, the
Goldman Sachs International Equity Portfolio Management Team
discusses the performance of the Goldman Sachs Variable
Insurance Trust — Goldman Sachs Strategic
International Equity Fund ( the “Fund”) and
positioning for the six-month period ended June 30, 2011
(the “Reporting Period”).
How did the
Fund perform during the Reporting Period?
During the Reporting Period, the Fund’s Institutional and
Service Shares generated cumulative total returns of 4.65% and
4.53%, respectively. These returns compare to the 4.98%
cumulative total return of the Fund’s benchmark, the Morgan
Stanley Capital International (MSCI) Europe, Australasia, Far
East (EAFE) Index* (net, unhedged) (the “MSCI EAFE
Index”), during the same time period.
What economic
and market factors most influenced the international equity
markets as a whole during the Reporting Period?
During the Reporting Period, eight of the ten sectors in the
MSCI EAFE Index contributed positively to performance, with the
health care and consumer staples sectors leading returns. Within
the health care sector, pharmaceutical companies were the
primary contributors to performance. Evidence of many
companies’ ability to pass through commodity price
increases contributed to the strong performance of many food and
beverage companies within the consumer staples sector. The
information technology and utilities sectors, in contrast,
experienced weakness during the Reporting Period, detracting
from market returns.
Early in the Reporting Period, all ten sectors were generally
strong, though energy stocks led the way as the benchmark Brent
crude oil price reached almost $120 per barrel on supply
disruption fears stemming from escalating unrest across North
Africa and the Middle East. The international equity markets
broadly remained resilient through most of April due to an
earnings season that generally was perceived to exceed
expectations. Strong merger and acquisition activity also
supported market strength. However, in May and June,
international equity market returns experienced weakness brought
on by resurfacing concerns about the European sovereign debt
crisis in Greece and other periphery economies and about
continued supply chain disruptions in the aftermath of the
earthquake and tsunami in Japan. After the Greek parliament
approved austerity measures to avoid defaulting on its debt, the
international equity markets rallied sharply in the last week of
June.
What key
factors were responsible for the Fund’s performance during
the Reporting Period?
The Fund’s modest underperformance relative to the MSCI
EAFE Index during the Reporting Period can be primarily
attributed to individual stock selection.
What were some
of the Fund’s best-performing individual
stocks?
The greatest contributors to Fund performance relative to the
MSCI EAFE Index during the Reporting Period were French
aerospace and defense company Safran, German cable operator
Kabel Deutschland and Indonesian cigarette manufacturer Gudang
Garam.
Safran’s stock performed well on the back of a
strengthening U.S. dollar in May and June, which more than
offset the weaker U.S. dollar earlier in the Reporting Period. A
strengthening dollar benefits Safran as the company’s
revenue base is in U.S. dollars while its costs are reported in
euros. Safran’s share price was further boosted by falling
oil prices during the second quarter, which is anticipated to
improve profitability for one of the company’s key customer
bases, namely airlines.
Another strong contributor to the Fund’s performance during
the Reporting Period was Kabel Deutschland, Germany’s
largest cable operator. Its stock price increased on the back of
strong results announced in February 2011, with revenue and
earnings before interest, taxes, depreciation and amortization
(EBITDA) ahead of consensus. We believe these results were
driven by strong numbers of additional subscribers to its
premium television services, which is consistent with our
investment thesis and may be supportive of continued strong
growth going forward.
| * | The unmanaged MSCI EAFE Index Net (unhedged) is a market capitalization weighted composite of securities in 22 developed markets as of May 30, 2010. The Index figures do not include any deduction for fees, expenses or taxes. It is not possible to invest directly in an unmanaged index. |
GOLDMAN SACHS
VARIABLE INSURANCE TRUST STRATEGIC INTERNATIONAL EQUITY FUND
The performance of Gudang Garam, the leading cigarette
manufacturer in Indonesia, was buoyed by its ability to raise
prices in May, without hampering volumes, which continued to be
strong. Given the company’s relatively attractive
valuation, strong market position and brand and substantial
pricing power, we remained bullish at the end of the Reporting
Period on its ability to grow earnings for the foreseeable
future.
Which stocks
detracted significantly from the Fund’s performance during
the Reporting Period?
The biggest detractors from Fund performance relative to the
MSCI EAFE Index during the Reporting Period were Dutch mail
delivery company PostNL, Japanese utilities company Tokyo
Electric Power and Japanese electronics giant Sony.
In May, Dutch transportation company TNT N.V. was restructured
into two companies — TNT Express, an international
express and cargo delivery services company, and PostNL, which
focuses on mail delivery. While we had expected the de-merger to
be a positive catalyst for PostNL, the opposite proved to be the
case. We, however, continued to hold a Fund position in PostNL,
as we continued to believe at the end of the Reporting Period
that there were a number of positive drivers in place. PostNL is
a high dividend-paying stock. The company operates in a
deregulated market. It continues to own a stake in TNT Express,
and has, in our view, many areas of opportunities for earnings
growth, including price increases, a healthier competitive
landscape, parcels business expansion and the possibility of
branching out to international markets.
Japan’s utilities sector overall detracted from the
Fund’s results following the nation’s devastating
earthquake and tsunami. Tokyo Electric Power is the operator of
the nuclear power plant that was at the core of the nuclear
crisis following the powerful natural disasters. Concerns about
the magnitude of the nuclear crisis combined with poor
perception of the company’s management of the crisis drove
Tokyo Electric Power’s share price down sharply. We
eliminated the Fund’s position in Tokyo Electric Power
based on our outlook ahead for the company.
Sony’s share price fell during the Reporting Period due to
generally weak global consumer electronic hardware sales as well
as to damage from Japan’s earthquake to its device
factories located in the Tohuku region of the nation. At the end
of the Reporting Period, we believed the company still had an
attractive valuation and was well positioned to maintain
competitiveness in non-hardware segments. Thus, we held the
Fund’s position in Sony.
Which equity
market sectors most significantly affected Fund
performance?
Effective security selection within the consumer staples,
consumer discretionary and industrials sectors contributed most
positively to the Fund’s performance relative to the MSCI
EAFE Index during the Reporting Period.
The biggest detractors from the Fund’s relative results
during the Reporting Period were financials, health care and
utilities, where stock selection in each of these sectors
weighed negatively on performance. The Fund’s underweighted
allocation to utilities actually contributed to performance, but
such positioning was more than offset by the detracting effect
of holding poorly-performing Japanese electric utility company
Tokyo Electric Power, discussed earlier.
Which
countries or regions most affected the Fund’s performance
during the Reporting Period?
Typically, the Fund’s individual stock holdings will
significantly influence the Fund’s performance within a
particular country or region relative to the MSCI EAFE Index.
This effect may be even more pronounced in countries that
represent only a modest proportion of the MSCI EAFE Index.
That said, based on effective individual stock selection,
France, Indonesia and Denmark contributed most positively to the
Fund’s returns relative to the MSCI EAFE Index. The
countries that detracted most from the Fund’s performance
during the Reporting Period were the Netherlands, Spain and
Italy.
How did the
Fund use derivatives during the Reporting Period?
During the Reporting Period, we did not use derivatives to hedge
positions or as part of an active management strategy, but we
used index futures, on an opportunistic basis, to ensure the
portfolio remained almost fully exposed to equities following
cash inflows or stock sales.
GOLDMAN SACHS
VARIABLE INSURANCE TRUST STRATEGIC INTERNATIONAL EQUITY FUND
Did the Fund
make any significant purchases or sales during the Reporting
Period?
As part of the TNT N.V. restructuring referred to earlier, the
Fund received shares of TNT Express, an affiliate of PostNL,
during the Reporting Period. We held the position as we believe
the company has a strong express parcel delivery business and is
well positioned to benefit from the company’s move to seed
growth in China earlier than competitors.
We initiated a Fund position in Nissan Motor, a Japanese company
that manufactures and markets automobiles, light trucks and
related parts. The company has overseas production bases in the
U.S., the U.K. and Mexico. Nissan Motor also provides financing
services and produces industrial motor vehicles, such as towing
tractors and forklifts. At the time of purchase, we had
conviction in the stock, as we believe the company is well
positioned to benefit from global sales volume growth, what we
consider to be a rational strategy implemented by strong
management for mid-term growth and an attractive valuation.
We exited the Fund’s position in Dutch telecommunications
company KPN due to news that impacted our original investment
thesis on the company. More specifically, we sold the position
in KPN based on announcements that the competitive landscape
would be changing in the Dutch mobile phone market, a market in
which KPN currently has a dominant market share. We were also
concerned about pressures around KPN’s revenue as Dutch
consumers seem to be moving away from “out of bundle”
SMS (Short Message Service, i.e. the text communication service
component of phone, web or mobile communication systems) and
voice usage in favor of free smartphone applications, such as
e-mail or
instant messaging.
U.K. natural gas company BG Group had been a strong performer
since we initiated the Fund position in September 2010. In order
to capture profits following such strong performance and given
our view that there was higher potential upside with other
opportunities, we eliminated the Fund’s position in BG
Group during the Reporting Period.
Were there any
notable changes in the Fund’s weightings during the
Reporting Period?
In constructing the Fund’s portfolio, we focus on picking
stocks rather than on making regional, country, sector or
industry bets. We seek to outpace the benchmark index by
overweighting stocks that we expect to outperform and
underweighting those that we think may lag. Consequently,
changes in the Fund’s country or sector weights are
generally the direct result of individual stock selection or of
stock appreciation or depreciation. That said, during the
Reporting Period, the Fund’s exposure to consumer staples,
information technology and utilities increased and its exposure
to energy, financials, health care and telecommunication
services decreased, each as relative to the MSCI EAFE Index.
There were no notable changes in the Fund’s country
weightings.
How was the
Fund positioned relative to its benchmark index at the end of
the Reporting Period?
At the end of June 2011, the Fund had greater weightings than
the MSCI EAFE Index in the consumer discretionary and
information technology sectors. The Fund had underweighted
allocations to the energy, financials, health care, industrials,
materials and telecommunication services and was rather
neutrally weighted to the MSCI EAFE Index in the utilities and
consumer staples sectors at the end of the Reporting Period.
From a country perspective, the Fund had greater positions in
Switzerland, Italy and Ireland relative to the MSCI EAFE Index
at the end of June 2011. The Fund had less exposure to France,
Sweden and Germany than the MSCI EAFE Index at the end of the
Reporting Period. On the same date, the Fund had rather neutral
exposures to Spain and Australia compared to the MSCI EAFE Index.
As always, we remained focused on individual stock selection,
with sector and country positioning being a secondary, but
closely monitored, effect.
What is the
Fund’s tactical view and strategy for the months
ahead?
In our view, multi-decade high corporate profits and cash levels
for U.S. companies, dramatically improved European corporate
balance sheets and strong global demand from the emerging
markets — combined with low yields from cash and fixed
income investments — bode well for supporting stock
buybacks, higher dividends and greater merger and acquisition
activity going forward. We were, at the end of the Reporting
Period, particularly optimistic regarding corporate profits,
which we believe will likely be predominantly driven by top-line
growth rather than margin expansion.
GOLDMAN SACHS
VARIABLE INSURANCE TRUST STRATEGIC INTERNATIONAL EQUITY FUND
Commodity prices, including those for oil, had generally
weakened in the last months of the Reporting Period. Thus, we
were concerned about oil as the demand from China is relatively
softer for oil than for other commodities. We also feared that
weakening economies in Europe and the U.S. could push oil prices
down further in the short term. We further believed that a
political desire for lower oil prices could exacerbate the
economic slowdown. To date, we have seen the OECD (Organization
for Economic Cooperation and Development) nations try to impact
the oil price with the coordinated release of strategic
petroleum reserves, and it appears that OPEC (Organization of
Petroleum Exporting Countries) members with available spare
capacity would prefer to see oil prices at a “healthier,
more sustainable”
sub-$100 per
barrel level.
All that said, our team maintains a preference for companies
with distinct competitive advantages, which often affords them
the additional benefit of being able to pass through price
increases to their customers. In addition, we consistently seek
companies with strong balance sheets, as we believe these
companies will be able to better absorb cost increases that
cannot entirely be passed on to customers. With corporate profit
margins at high levels at the end of the Reporting Period, we
continue to be focused on which companies have the potential to
sustain such margins. We are carefully watching current earnings
results, company by company, for signs of rising commodity
prices pushing up input costs faster than revenues being pulled
up by strong global demand. In our view, fundamentally-driven
analysis will be critical to determining which companies have
the potential to perform well, even in a more challenging
environment.
As always, we continue to focus on building the Fund’s
quality portfolio through intense
bottom-up
research and believe such a disciplined strategy will help us
position the Fund effectively in these still uncertain times.
FUND BASICS
Strategic
International Equity Fund
as of
June 30, 2011
| STANDARDIZED AVERAGE ANNUAL TOTAL RETURNS1 |
| For the period ended 6/30/11 | One Year | Five Years | Ten Years | Since Inception | Inception Date | |||||||||||||||
|
Institutional
|
32.86 | % | 0.05 | % | 3.28 | % | 3.62 | % | 1/12/98 | |||||||||||
|
Service
|
32.54 | -0.13 | N/A | -0.11 | 1/09/06 | |||||||||||||||
| 1 | The Standardized Average Annual Total Returns are average annual total returns as of the most recent calendar quarter-end. They assume reinvestment of all distributions at net asset value (“NAV”). | |
| Total return figures in the above chart represent past performance and do not indicate future results, which will vary. The investment return and principal value of an investment will fluctuate and, therefore, an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance may be lower or higher than the total return figures in the above chart. Please visit www.goldmansachsfunds.com/vit to obtain the most recent month-end returns. Performance reflects expense limitations in effect. In their absence, performance would be reduced. |
| EXPENSE RATIOS2 |
| Net Expense Ratio (Current) | Gross Expense Ratio (Before Waivers) | |||||||||
|
Institutional
|
0.97 | % | 1.09 | % | ||||||
|
Service
|
1.22 | 1.34 | ||||||||
| 2 | The expense ratios of the Fund, both current (net of any fee waivers or expense limitations) and before waivers (gross of any fee waivers or expense limitations) are as set forth above. The Fund’s waivers and/or expense limitations will remain in place through at least April 29, 2012, and prior to such date the investment adviser may not terminate the arrangements without the approval of the Fund’s Board of Trustees. The expense ratios set forth above may differ from the expense ratios disclosed in the Financial Highlights in this report. |
FUND BASICS
| TOP TEN HOLDINGS AS OF 6/30/113 |
| Holding | % of Net Assets | Line of Business | Country | |||||||
|
HSBC Holdings PLC
|
3.0 | % | Banks | United Kingdom | ||||||
|
Eni SpA
|
2.4 | Energy | Italy | |||||||
|
Rio Tinto PLC
|
2.1 | Materials | United Kingdom | |||||||
|
Novartis AG (Registered)
|
1.8 | Pharmaceuticals, Biotechnology & Life Sciences | Switzerland | |||||||
|
Admiral Group PLC
|
1.8 | Insurance | United Kingdom | |||||||
|
Telefonaktiebolaget LM Ericsson Class B
|
1.8 | Technology Hardware & Equipment | Sweden | |||||||
|
Reckitt Benckiser Group PLC
|
1.7 | Household & Personal Products | United Kingdom | |||||||
|
BNP Paribas
|
1.7 | Banks | France | |||||||
|
Total SA
|
1.7 | Energy | France | |||||||
|
Carlsberg A/S Class B
|
1.6 | Food, Beverage & Tobacco | Denmark | |||||||
| 3 | The top 10 holdings may not be representative of the Fund’s future investments. |
| FUND vs. BENCHMARK SECTOR ALLOCATIONS4 |
As
of June 30, 2011
| 4 | The Fund is actively managed and, as such, its composition may differ over time. The above graph categorizes investments using Global Industry Classification Standard (“GICS”), however, the sector classifications used by the portfolio management team may differ from GICS. Underlying industry sector allocations of exchange traded funds (“ETFs”) held by the Fund are not reflected in the graph above. Consequently, the Fund’s overall industry sector allocations may differ from percentages contained in the graph above. The percentage shown for each investment category reflects the value of investments in that category as a percentage of market value. Short-term investments represent investments in investment companies other than those that are exchange traded. The above graph depicts the Fund’s investments but may not represent the Fund’s market exposure due to the exclusion of derivatives, if any, as listed in the Additional Investment Information section of the Schedule of Investments. |
GOLDMAN SACHS
VARIABLE INSURANCE TRUST STRATEGIC INTERNATIONAL EQUITY FUND
Schedule of
Investments
June 30,
2011 (Unaudited)
| Shares | Description | Value | ||||||
|
Common
Stocks – 90.4%
|
||||||||
|
Australia –
0.5%
|
||||||||
| 660,520 | CFS Retail Property Trust (REIT) | $ | 1,287,552 | |||||
|
Belgium –
0.3%
|
||||||||
| 18,261 | UCB SA (Pharmaceuticals, Biotechnology & Life Sciences) | 820,558 | ||||||
|
Czech
Republic – 0.5%
|
||||||||
| 20,704 | CEZ AS (Utilities) | 1,065,894 | ||||||
|
Denmark –
2.6%
|
||||||||
| 33,884 | Carlsberg A/S Class B (Food, Beverage & Tobacco) | 3,689,388 | ||||||
| 69,324 | Christian Hansen Holding A/S (Materials) | 1,647,200 | ||||||
| 12,447 | Tryg A/S (Insurance) | 718,771 | ||||||
| 6,055,359 | ||||||||
|
Finland –
0.4%
|
||||||||
| 14,962 | Outotec Oyj (Capital Goods) | 851,642 | ||||||
|
France –
11.7%
|
||||||||
| 5,545 | Air Liquide SA (Materials) | 794,389 | ||||||
| 15,913 | Air Liquide SA-Prime De Fidelite (Materials)* | 2,279,732 | ||||||
| 51,290 | BNP Paribas (Banks) | 3,954,920 | ||||||
| 51,834 | EDF SA (Utilities) | 2,032,148 | ||||||
| 85,016 | GDF Suez (Utilities) | 3,107,132 | ||||||
| 8,297 | PPR (Retailing) | 1,477,739 | ||||||
| 30,808 | Remy Cointreau SA (Food, Beverage & Tobacco) | 2,591,245 | ||||||
| 82,676 | Safran SA (Capital Goods) | 3,527,851 | ||||||
| 57,936 | Societe Generale SA (Banks) | 3,431,321 | ||||||
| 67,378 | Total SA (Energy) | 3,895,357 | ||||||
| 27,091,834 | ||||||||
|
Germany –
5.9%
|
||||||||
| 13,589 | Allianz SE (Registered) (Insurance) | 1,894,943 | ||||||
| 32,850 | Bayer AG (Registered) (Pharmaceuticals, Biotechnology & Life Sciences) | 2,638,400 | ||||||
| 26,100 | Daimler AG (Registered) (Automobiles & Components) | 1,968,241 | ||||||
| 19,118 | HeidelbergCement AG (Materials) | 1,222,707 | ||||||
| 39,125 | Henkel AG & Co. KGaA Preference Shares (Household & Personal Products) | 2,720,681 | ||||||
| 15,861 | Kabel Deutschland Holding AG (Media)* | 977,046 | ||||||
| 10,709 | Volkswagen AG Preference Shares (Automobiles & Components) | 2,214,576 | ||||||
| 13,636,594 | ||||||||
|
Hong
Kong – 2.5%
|
||||||||
| 339,000 | Hang Lung Properties Ltd. (Real Estate) | 1,393,848 | ||||||
| 494,000 | Lifestyle International Holdings Ltd. (Retailing) | 1,445,238 | ||||||
| 528,000 | Sands China Ltd. (Consumer Services)* | 1,431,170 | ||||||
| 106,443 | Sun Hung Kai Properties Ltd. (Real Estate) | 1,555,939 | ||||||
| 5,826,195 | ||||||||
|
Indonesia –
1.4%
|
||||||||
| 304,000 | PT Gudang Garam Tbk (Food, Beverage & Tobacco) | 1,769,297 | ||||||
| 3,078,000 | PT Perusahaan Gas Negara (Utilities) | 1,447,684 | ||||||
| 3,216,981 | ||||||||
|
Ireland* –
0.2%
|
||||||||
| 438,255 | Kenmare Resources PLC (Materials) | 414,641 | ||||||
|
Israel –
0.9%
|
||||||||
| 42,583 | Teva Pharmaceutical Industries Ltd. ADR (Pharmaceuticals, Biotechnology & Life Sciences) | 2,053,352 | ||||||
|
Italy –
5.4%
|
||||||||
| 137,736 | Azimut Holding SpA (Diversified Financials) | 1,285,900 | ||||||
| 235,807 | Eni SpA (Energy) | 5,588,382 | ||||||
| 1,043,082 | Telecom Italia SpA RSP (Telecommunication Services) | 1,213,499 | ||||||
| 1,663,294 | UniCredit SpA (Banks) | 3,520,723 | ||||||
| 165,421 | Unione di Banche Italiane ScpA (Banks) | 931,143 | ||||||
| 12,539,647 | ||||||||
|
Japan –
23.4%
|
||||||||
| 62,400 | Advantest Corp. (Semiconductors & Semiconductor Equipment) | 1,148,748 | ||||||
| 260,000 | Calsonic Kansei Corp. (Automobiles & Components) | 1,567,004 | ||||||
| 530,000 | DIC Corp. (Materials) | 1,255,411 | ||||||
| 32,000 | East Japan Railway Co. (Transportation) | 1,832,666 | ||||||
| 11,100 | FANUC Corp. (Capital Goods) | 1,856,176 | ||||||
| 96,400 | FUJIFILM Holdings Corp. (Technology Hardware & Equipment) | 3,006,619 | ||||||
| 42,600 | Honda Motor Co. Ltd. (Automobiles & Components) | 1,641,247 | ||||||
| 191 | Inpex Corp. (Energy) | 1,412,098 | ||||||
| 85,500 | JSR Corp. (Materials) | 1,657,259 | ||||||
| 131,000 | Kirin Holdings Co. Ltd. (Food, Beverage & Tobacco) | 1,826,261 | ||||||
| 59,700 | Komatsu Ltd. (Capital Goods) | 1,864,022 | ||||||
| 10,400 | Kyocera Corp. (Technology Hardware & Equipment) | 1,058,907 | ||||||
| 135,000 | Mitsubishi Electric Corp. (Capital Goods) | 1,568,175 | ||||||
| 72,000 | Mitsubishi Estate Co. Ltd. (Real Estate) | 1,263,597 | ||||||
| 206,000 | Mitsubishi Gas Chemical Co., Inc. (Materials) | 1,509,268 | ||||||
| 611,400 | Mitsubishi UFJ Financial Group, Inc. (Banks) | 2,979,558 | ||||||
GOLDMAN SACHS
VARIABLE INSURANCE TRUST STRATEGIC INTERNATIONAL EQUITY FUND
| Shares | Description | Value | ||||||
|
Common
Stocks – (continued)
|
||||||||
|
Japan –
(continued)
|
||||||||
| 190,000 | Mitsui & Co. Ltd. (Capital Goods) | $ | 3,285,124 | |||||
| 12,400 | Nidec Corp. (Capital Goods) | 1,157,668 | ||||||
| 4,900 | Nintendo Co. Ltd. (Software & Services) | 920,162 | ||||||
| 42,100 | Nippon Telegraph & Telephone Corp. (Telecommunication Services) | 2,030,560 | ||||||
| 283,500 | Nissan Motor Co. Ltd. (Automobiles & Components) | 2,979,362 | ||||||
| 14,740 | ORIX Corp. (Diversified Financials) | 1,433,787 | ||||||
| 64,300 | Otsuka Holdings Co. Ltd. (Pharmaceuticals, Biotechnology & Life Sciences) | 1,701,419 | ||||||
| 52,000 | Seiko Epson Corp. (Technology Hardware & Equipment) | 901,355 | ||||||
| 74,000 | Seven & I Holdings Co. Ltd. (Food & Staples Retailing) | 1,990,154 | ||||||
| 89,500 | Sony Corp. (Consumer Durables & Apparel) | 2,361,481 | ||||||
| 119,000 | Sumitomo Metal Mining Co. Ltd. (Materials) | 1,955,080 | ||||||
| 69,100 | Sumitomo Mitsui Financial Group, Inc. (Banks) | 2,130,677 | ||||||
| 57,900 | The Kansai Electric Power Co., Inc. (Utilities) | 1,153,003 | ||||||
| 171,000 | Yamaguchi Financial Group, Inc. (Banks) | 1,595,307 | ||||||
| 100,700 | Yamaha Corp. (Consumer Durables & Apparel) | 1,148,438 | ||||||
| 54,190,593 | ||||||||
|
Luxembourg –
0.5%
|
||||||||
| 655,451 | Regus PLC (Commercial & Professional Services) | 1,163,748 | ||||||
|
Netherlands –
1.4%
|
||||||||
| 123,727 | PostNL NV (Transportation) | 1,048,446 | ||||||
| 206,111 | TNT Express NV (Transportation)* | 2,137,674 | ||||||
| 3,186,120 | ||||||||
|
Spain –
0.6%
|
||||||||
| 69,423 | Gas Natural SDG SA (Utilities) | 1,454,080 | ||||||
|
Sweden –
2.5%
|
||||||||
| 441,802 | Swedish Orphan Biovitrum AB (Pharmaceuticals, Biotechnology & Life Sciences)* | 1,748,593 | ||||||
| 282,034 | Telefonaktiebolaget LM Ericsson Class B (Technology Hardware & Equipment) | 4,060,022 | ||||||
| 5,808,615 | ||||||||
|
Switzerland –
9.8%
|
||||||||
| 49,344 | Aryzta AG (Food, Beverage & Tobacco) | 2,650,166 | ||||||
| 28,427 | Compagnie Financiere Richemont SA Class A (Consumer Durables & Apparel) | 1,862,908 | ||||||
| 29,802 | Julius Baer Group Ltd. (Diversified Financials)* | 1,231,062 | ||||||
| 645 | Lindt & Spruengli AG (Food, Beverage & Tobacco) | 2,013,609 | ||||||
| 67,794 | Novartis AG (Registered) (Pharmaceuticals, Biotechnology & Life Sciences) | 4,154,899 | ||||||
| 1,409 | Partners Group Holding AG (Diversified Financials) | 249,412 | ||||||
| 3,250 | Straumann Holding AG (Registered) (Health Care Equipment & Services) | 783,757 | ||||||
| 19,521 | Sulzer AG (Registered) (Capital Goods) | 3,182,898 | ||||||
| 72,210 | Temenos Group AG (Registered) (Software & Services)* | 2,227,133 | ||||||
| 181,487 | UBS AG (Registered) (Diversified Financials)* | 3,312,060 | ||||||
| 59,179 | Weatherford International Ltd. (Energy)* | 1,115,310 | ||||||
| 22,783,214 | ||||||||
|
United
Kingdom – 19.9%
|
||||||||
| 155,475 | Admiral Group PLC (Insurance) | 4,146,148 | ||||||
| 46,439 | Amlin PLC (Insurance) | 302,723 | ||||||
| 65,461 | Anglo American PLC (Materials) | 3,246,469 | ||||||
| 31,687 | Autonomy Corp. PLC (Software & Services)* | 867,971 | ||||||
| 108,505 | BG Group PLC (Energy) | 2,463,705 | ||||||
| 154,943 | GlaxoSmithKline PLC (Pharmaceuticals, Biotechnology & Life Sciences) | 3,321,087 | ||||||
| 318,308 | Halfords Group PLC (Retailing) | 1,897,600 | ||||||
| 709,091 | HSBC Holdings PLC (Banks) | 7,030,447 | ||||||
| 125,894 | Inmarsat PLC (Telecommunication Services) | 1,124,855 | ||||||
| 208,125 | Marks & Spencer Group PLC (Retailing) | 1,206,492 | ||||||
| 71,651 | Reckitt Benckiser Group PLC (Household & Personal Products) | 3,957,433 | ||||||
| 345,551 | Reed Elsevier PLC (Media) | 3,146,010 | ||||||
| 66,911 | Rio Tinto PLC (Materials)(a) | 4,831,358 | ||||||
| 1,831,719 | Royal Bank of Scotland Group PLC (Banks)* | 1,133,032 | ||||||
| 35,163 | Shire PLC (Pharmaceuticals, Biotechnology & Life Sciences) | 1,099,430 | ||||||
| 58,900 | Smiths Group PLC (Capital Goods) | 1,136,133 | ||||||
| 102,360 | The Capita Group PLC (Commercial & Professional Services) | 1,175,640 | ||||||
| 116,136 | Tullow Oil PLC (Energy) | 2,312,745 | ||||||
| 18,833 | Victrex PLC (Materials) | 453,752 | ||||||
| 529,020 | Vodafone Group PLC (Telecommunication Services) | 1,402,772 | ||||||
| 46,255,802 | ||||||||
|
TOTAL
COMMON STOCKS
|
||||||||
|
(Cost
$194,362,089)
|
$ | 209,702,421 | ||||||
GOLDMAN SACHS
VARIABLE INSURANCE TRUST STRATEGIC INTERNATIONAL EQUITY FUND
Schedule of
Investments (continued)
June 30,
2011 (Unaudited)
| Shares | Description | Value | ||||||
|
Exchange Traded
Fund – 4.8%
|
||||||||
|
Australia –
4.8%
|
||||||||
| 426,478 | iShares MSCI Australia Index Fund | $ | 11,109,752 | |||||
|
(Cost
$5,038,108)
|
||||||||
| Shares | Rate | Value | ||||||||
|
Short-term
Investment(b) –
4.7%
|
||||||||||
|
JPMorgan U.S. Government Money Market Fund — Capital
Shares
|
||||||||||
| 11,015,186 | 0.010 | % | $ | 11,015,186 | ||||||
|
(Cost
$11,015,186)
|
||||||||||
|
TOTAL
INVESTMENTS – 99.9%
|
||||||||||
|
(Cost
$210,415,383)
|
$ | 231,827,359 | ||||||||
|
OTHER
ASSETS IN EXCESS OF LIABILITIES – 0.1%
|
117,492 | |||||||||
|
NET
ASSETS – 100.0%
|
$ | 231,944,851 | ||||||||
The percentage shown for each investment category reflects the
value of investments in that category as a percentage of net
assets.
| * | Non-income producing security. | |
| (a) | All or a portion of security is segregated as collateral for initial margin requirements on futures transactions. | |
| (b) | Variable rate security. Interest rate disclosed is that which is in effect at June 30, 2011. |
|
Investment
Abbreviations:
|
||||
|
ADR
|
— | American Depositary Receipt | ||
|
REIT
|
— | Real Estate Investment Trust | ||
|
RSP
|
— | Risparmio Shares | ||
| ADDITIONAL INVESTMENT INFORMATION |
FUTURES
CONTRACTS — At June 30, 2011, the
following futures contracts were open:
|
Number of |
||||||||||||||
|
Contracts |
Expiration |
Current |
Unrealized |
|||||||||||
| Type | Long (Short) | Date | Value | Gain (Loss) | ||||||||||
|
Hang Seng Index
|
12 | July 2011 | $ | 1,729,288 | $ | 21,687 | ||||||||
|
SPI 200 Index
|
64 | September 2011 | 7,895,684 | 78,131 | ||||||||||
|
TOTAL
|
$ | 99,818 | ||||||||||||
GOLDMAN SACHS
VARIABLE INSURANCE TRUST STRATEGIC INTERNATIONAL EQUITY FUND
Statement of
Assets and Liabilities
June 30,
2011 (Unaudited)
|
Assets:
|
||||
|
Investments in securities, at value (identified cost
$210,415,383)
|
$ | 231,827,359 | ||
|
Foreign currencies, at value (identified cost $203,865)
|
206,587 | |||
|
Receivables:
|
||||
|
Investment securities sold, at value
|
3,747,040 | |||
|
Dividends, at value
|
335,871 | |||
|
Foreign tax reclaims, at value
|
227,173 | |||
|
Due from broker — variation margin, at value
|
184,124 | |||
|
Fund shares sold
|
10,177 | |||
|
Reimbursement from investment adviser
|
3,870 | |||
|
Other assets
|
1,494 | |||
|
Total
assets
|
236,543,695 | |||
|
Liabilities:
|
||||
|
Payables:
|
||||
|
Investment securities purchased, at value
|
4,165,990 | |||
|
Amounts owed to affiliates
|
195,394 | |||
|
Fund shares redeemed
|
86,390 | |||
|
Accrued expenses
|
151,070 | |||
|
Total
liabilities
|
4,598,844 | |||
|
Net
Assets:
|
||||
|
Paid-in capital
|
325,091,612 | |||
|
Accumulated undistributed net investment income
|
2,815,792 | |||
|
Accumulated net realized loss from investment, futures and
foreign currency related transactions
|
(117,529,287 | ) | ||
|
Net unrealized gain on investments, futures and translation of
assets and liabilities denominated in foreign currencies
|
21,566,734 | |||
|
NET
ASSETS
|
$ | 231,944,851 | ||
|
Net Assets:
|
||||
|
Institutional
|
$ | 73,963,021 | ||
|
Service
|
157,981,830 | |||
|
Total Net Assets
|
$ | 231,944,851 | ||
|
Shares of beneficial interest outstanding $0.001 par value
(unlimited shares authorized):
|
||||
|
Institutional
|
8,010,948 | |||
|
Service
|
17,111,477 | |||
|
Net asset value, offering and redemption price per share:
|
||||
|
Institutional
|
$9.23 | |||
|
Service
|
9.23 | |||
GOLDMAN SACHS
VARIABLE INSURANCE TRUST STRATEGIC INTERNATIONAL EQUITY FUND
Statement of
Operations
For the
Six Months Ended June 30, 2011 (Unaudited)
|
Investment
income:
|
||||
|
Dividends (net of foreign taxes withheld of $372,198)
|
$ | 3,663,745 | ||
|
Interest
|
17,460 | |||
|
Total
investment income
|
3,681,205 | |||
|
Expenses:
|
||||
|
Management fees
|
1,002,030 | |||
|
Distribution and Service fees — Service Class
|
199,130 | |||
|
Custody and accounting fees
|
76,214 | |||
|
Printing and mailing costs
|
58,584 | |||
|
Professional fees
|
43,409 | |||
|
Transfer Agent
fees(a)
|
23,575 | |||
|
Trustee fees
|
8,412 | |||
|
Other
|
5,377 | |||
|
Total
expenses
|
1,416,731 | |||
|
Less — expense reductions
|
(22,522 | ) | ||
|
Net
expenses
|
1,394,209 | |||
|
NET
INVESTMENT INCOME
|
2,286,996 | |||
|
Realized and
unrealized gain (loss) from investment, futures and foreign
currency related transactions:
|
||||
|
Net realized gain (loss) from:
|
||||
|
Investment transactions
|
18,543,642 | |||
|
Futures transactions
|
(264,608 | ) | ||
|
Foreign currency related transactions
|
160,331 | |||
|
Net change in unrealized gain (loss) on:
|
||||
|
Investments
|
(10,188,270 | ) | ||
|
Futures
|
179,960 | |||
|
Translation of asset and liabilities denominated in foreign
currencies
|
31,178 | |||
|
Net
realized and unrealized gain from investment, futures and
foreign currency related transactions
|
8,462,233 | |||
|
NET
INCREASE IN NET ASSETS RESULTING FROM OPERATIONS
|
$ | 10,749,229 | ||
| (a) | Institutional and Service Shares had Transfer Agent fees of $7,646 and $15,929, respectively. |
GOLDMAN SACHS
VARIABLE INSURANCE TRUST STRATEGIC INTERNATIONAL EQUITY FUND
Statements
of Changes in Net Assets
|
For the |
||||||||
|
Six Months
Ended |
For the |
|||||||
|
June 30,
2011 |
Fiscal Year
Ended |
|||||||
| (Unaudited) | December 31, 2010 | |||||||
|
From
operations:
|
||||||||
|
Net investment income
|
$ | 2,286,996 | $ | 2,768,882 | ||||
|
Net realized gain from investment, futures and foreign currency
related transactions
|
18,439,365 | 20,455,703 | ||||||
|
Net change in unrealized loss on investments, futures and
translation of assets and liabilities denominated in foreign
currencies
|
(9,977,132 | ) | (929,246 | ) | ||||
|
Net
increase in net assets resulting from operations
|
10,749,229 | 22,295,339 | ||||||
|
Distributions to
shareholders:
|
||||||||
|
From net investment income
|
||||||||
|
Institutional Shares
|
— | (1,126,914 | ) | |||||
|
Service Shares
|
— | (1,932,729 | ) | |||||
|
Total
distributions to shareholders
|
— | (3,059,643 | ) | |||||
|
From share
transactions:
|
||||||||
|
Proceeds from sales of shares
|
2,228,124 | 8,858,275 | ||||||
|
Reinvestment of distributions
|
— | 3,059,643 | ||||||
|
Cost of shares redeemed
|
(17,804,651 | ) | (33,755,347 | ) | ||||
|
Net
decrease in net assets resulting from share
transactions
|
(15,576,527 | ) | (21,837,429 | ) | ||||
|
TOTAL
DECREASE
|
(4,827,298 | ) | (2,601,733 | ) | ||||
|
Net
assets:
|
||||||||
|
Beginning of period
|
236,772,149 | 239,373,882 | ||||||
|
End of period
|
$ | 231,944,851 | $ | 236,772,149 | ||||
|
Accumulated
undistributed net investment income
|
$ | 2,815,792 | $ | 528,796 | ||||
GOLDMAN SACHS
VARIABLE INSURANCE TRUST STRATEGIC INTERNATIONAL EQUITY FUND
Financial
Highlights
Selected
Data for a Share Outstanding Throughout Each Period
|
Income (loss)
from |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
| investment operations | Distributions to shareholders | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||
|
Net |
|
Ratio of |
Ratio of |
|||||||||||||||||||||||||||||||||||||||||||||||||||||||
|
Net asset |
realized |
From |
Net asset |
Net assets, |
Ratio of |
total |
net investment |
|||||||||||||||||||||||||||||||||||||||||||||||||||
|
value, |
Net |
and |
Total from |
From net |
net |
value, |
end of |
net expenses |
expenses |
income |
Portfolio |
|||||||||||||||||||||||||||||||||||||||||||||||
|
beginning |
investment |
unrealized |
investment |
investment |
realized |
Total |
end of |
Total |
period |
to average |
to average |
to average |
turnover |
|||||||||||||||||||||||||||||||||||||||||||||
| Year - Share Class | of period | income(a) | gain (loss) | operations | income | gains | distributions | period | return(b) | (in 000s) | net assets | net assets | net assets | rate | ||||||||||||||||||||||||||||||||||||||||||||
|
FOR THE SIX
MONTHS ENDED JUNE 30, (UNAUDITED)
|
||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
|
2011 - Institutional
|
$ | 8.82 | $ | 0.10 | $ | 0.31 | $ | 0.41 | $ | — | $ | — | $ | — | $ | 9.23 | 4.65 | % | $ | 73,963 | 1.01 | %(c) | 1.03 | %(c) | 2.10 | %(c) | 60 | % | ||||||||||||||||||||||||||||||
|
2011 - Service
|
8.83 | 0.08 | 0.32 | 0.40 | — | — | — | 9.23 | 4.53 | 157,982 | 1.26 | (c) | 1.28 | (c) | 1.86 | (c) | 60 | |||||||||||||||||||||||||||||||||||||||||
|
FOR THE FISCAL
YEARS ENDED DECEMBER 31,
|
||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
|
2010 - Institutional
|
8.11 | 0.11 | 0.73 | 0.84 | (0.13 | ) | — | (0.13 | ) | 8.82 | 10.36 | 77,558 | 1.02 | 1.05 | 1.38 | 112 | ||||||||||||||||||||||||||||||||||||||||||
|
2010 - Service
|
8.12 | 0.09 | 0.73 | 0.82 | (0.11 | ) | — | (0.11 | ) | 8.83 | 10.09 | 159,214 | 1.27 | 1.30 | 1.13 | 112 | ||||||||||||||||||||||||||||||||||||||||||
|
2009 - Institutional
|
6.41 | 0.13 | 1.71 | 1.84 | (0.14 | ) | — | (0.14 | ) | 8.11 | 28.69 | 82,015 | 1.07 | 1.07 | 1.80 | 118 | ||||||||||||||||||||||||||||||||||||||||||
|
2009 - Service
|
6.42 | 0.11 | 1.71 | 1.82 | (0.12 | ) | — | (0.12 | ) | 8.12 | 28.37 | 157,359 | 1.32 | 1.32 | 1.51 | 118 | ||||||||||||||||||||||||||||||||||||||||||
|
2008 - Institutional
|
13.76 | 0.32 | (d) | (6.69 | ) | (6.37 | ) | (0.33 | ) | (0.65 | ) | (0.98 | ) | 6.41 | (45.87 | ) | 74,149 | 1.12 | 1.12 | 2.95 | (d) | 165 | ||||||||||||||||||||||||||||||||||||
|
2008 - Service
|
13.76 | 0.28 | (d) | (6.67 | ) | (6.39 | ) | (0.30 | ) | (0.65 | ) | (0.95 | ) | 6.42 | (46.00 | ) | 113,836 | 1.37 | 1.37 | 2.64 | (d) | 165 | ||||||||||||||||||||||||||||||||||||
|
2007 - Institutional
|
14.49 | 0.20 | 0.92 | 1.12 | (0.21 | ) | (1.64 | ) | (1.85 | ) | 13.76 | 7.88 | 136,785 | 1.16 | (e) | 1.16 | (e) | 1.30 | (e) | 134 | ||||||||||||||||||||||||||||||||||||||
|
2007 - Service
|
14.49 | 0.20 | 0.92 | 1.12 | (0.21 | ) | (1.64 | ) | (1.85 | ) | 13.76 | 7.86 | 225,901 | 1.18 | (e) | 1.41 | (e) | 1.30 | (e) | 134 | ||||||||||||||||||||||||||||||||||||||
|
2006 - Institutional
|
12.05 | 0.22 | 2.44 | (f) | 2.66 | (0.22 | ) | — | (0.22 | ) | 14.49 | 22.10 | (g) | 127,795 | 1.15 | 1.16 | 1.64 | 76 | ||||||||||||||||||||||||||||||||||||||||
|
2006 - Service (Commenced January 9, 2006)
|
12.71 | 0.22 | 1.78 | (f) | 2.00 | (0.22 | ) | — | (0.22 | ) | 14.49 | 15.74 | (g) | 260,251 | 1.17 | (c) | 1.41 | (c) | 1.68 | (c) | 76 | |||||||||||||||||||||||||||||||||||||
| (a) | Calculated based on the average shares outstanding methodology. | |
| (b) | Assumes investment at the net asset value at the beginning of the period, reinvestment of all distributions and a complete redemption of the investment at the net asset value at the end of the period. Total returns for periods less than one full year are not annualized. | |
| (c) | Annualized. | |
| (d) | Reflects income recognized from non-recurring special dividends which amounted to $0.12 per share and 1.12% of average net assets. | |
| (e) | Includes non-recurring expense for a special shareholder proxy meeting which amounted to approximately 0.02% of average net assets. | |
| (f) | Reflects an increase of $0.05 due to payments by previous investment manager of a merged fund to compensate for possible adverse affects of the trading activity by certain contract holders of the acquired fund prior to January 9, 2006. | |
| (g) | Performance has not been restated to reflect the impact of payments by previous investment manager of a merged fund recorded during the period related to (f) above. If restated, the performance would have been 21.69% and 15.26% for Institutional and Service Shares, respectively. |
14
GOLDMAN SACHS
VARIABLE INSURANCE TRUST STRATEGIC INTERNATIONAL EQUITY FUND
Notes to
Financial Statements
June 30,
2011 (Unaudited)
| 1. ORGANIZATION |
Goldman Sachs Variable Insurance Trust (the “Trust” or
“VIT”) 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 Trust includes the Goldman Sachs Strategic International
Equity Fund (the “Fund”). The Fund is a diversified
portfolio under the Act offering two classes of
shares — Institutional and Service.
Goldman Sachs Asset Management International
(“GSAMI”), an affiliate of Goldman, Sachs &
Co. (“Goldman Sachs”), serves as investment adviser to
the Fund pursuant to a management agreement (the
“Agreement”) with the Trust.
| 2. SIGNIFICANT ACCOUNTING POLICIES |
The following is a summary of the significant accounting
policies consistently followed by the Fund. The preparation of
financial statements in conformity with accounting principles
generally accepted in the United States of America
(“GAAP”) requires management to make estimates and
assumptions that may affect the amounts and disclosures in the
financial statements. Actual results could differ from those
estimates and assumptions.
A. Investment
Valuation — The investment valuation policy
of the Fund is to value investments at market value. Investments
in equity securities and investment companies traded on a
certain foreign securities exchange are valued daily at fair
value determined by an independent fair value service (if
available) under valuation procedures approved by the trustees
consistent with applicable regulatory guidance. The independent
fair value service takes into account multiple factors
including, but not limited to, movements in the United States
(“U.S.”) securities markets, certain depositary
receipts, futures contracts and foreign currency exchange rates
that have occurred subsequent to the close of the foreign
securities exchanges. While the independent fair value service
may not take into account market or security specific
information, under the valuation procedures, these securities
might also be fair valued by GSAMI by taking into consideration
market or security specific information as discussed below.
Investments in equity securities and investment companies traded
on a U.S. securities exchange, the NASDAQ system, or those
located on certain foreign exchanges including, but not limited
to the Americas, are valued daily at their last sale price or
official closing price on the principal exchange or system on
which they are traded. Investments in equity securities and
investment companies traded on a foreign securities exchange for
which an independent fair value service cannot provide a quote
are valued daily at their last sale price or official closing
price on the principal exchange on which they are traded. If no
sale occurs, such securities and investment companies are valued
at the last bid price for long positions and at the last ask
price for short positions. Debt securities for which market
quotations are readily available are valued on the basis of
quotations furnished by an independent pricing service approved
by the trustees or provided by securities dealers. The pricing
services may use valuation models or matrix pricing, which
consider: (i) yield or price with respect to bonds that are
considered comparable in characteristics such as rating,
interest rate and maturity date or (ii) quotations from
securities dealers to determine current value. If accurate
quotations are not readily available, or if GSAMI believes that
such quotations do not accurately reflect fair value, the fair
value of the Fund’s investments may be determined based on
yield equivalents, a pricing matrix or other sources, under
valuation procedures established by the trustees. Unlisted
equity securities for which market quotations are available are
valued at the last sale price on the valuation date, or if no
sale occurs, at the last bid price. In the absence of market
quotations, broker quotes will be utilized or the security will
be fair valued. Investments in investment companies (other than
those that are exchange traded) are valued at the net asset
value per share (“NAV”) of the investment company on
the valuation date. Short-term debt obligations that mature in
sixty days or less and that do not exhibit signs of credit
deterioration are valued at amortized cost, which approximates
market value.
GSAMI, consistent with its procedures and applicable regulatory
guidance, may make an adjustment to the previous closing prices
of either domestic or foreign securities in light of significant
events to reflect what it believes to be the fair value of the
securities at the time of determining the Fund’s NAV.
Significant events that could affect a large number of
securities in a particular market may include, but are not
limited to: situations relating to one or more single issuers in
a market sector; significant fluctuations in U.S. or foreign
markets; market dislocations; market disruptions or market
closings; equipment failures; natural or man-made disasters or
acts of God; armed conflicts; government actions or other
developments; as well as the same or similar events which may
affect specific issuers or the securities markets even though
not tied directly to the securities markets.
GOLDMAN SACHS
VARIABLE INSURANCE TRUST STRATEGIC INTERNATIONAL EQUITY FUND
Notes to
Financial
Statements (continued)
June 30,
2011 (Unaudited)
| 2. SIGNIFICANT ACCOUNTING POLICIES (continued) |
Other significant events that could relate to a single issuer
may include, but are not limited to: corporate actions such as
reorganizations, mergers and buy-outs; corporate announcements,
including those relating to earnings, products and regulatory
news; significant litigation; low trading volume; and trading
limits or suspensions.
B. Security
and Fund Share Transactions, and Investment
Income — Security and Fund share
transactions are reflected for financial reporting purposes as
of the trade date, which may cause the NAV as stated in the
accompanying financial statements to be different than the NAV
applied to Fund share transactions. Realized gains and losses on
sales of portfolio securities are calculated using the
identified cost basis. Dividend income is recognized on the
ex-dividend
date, net of foreign withholding taxes, if any, which are
reduced by any amounts reclaimable by the Fund, where
applicable. Certain dividends from foreign securities will be
recorded when the Fund is informed of the dividend, if such
information is obtained subsequent to the
ex-dividend
date. Interest income is recorded on the basis of interest
accrued, premium amortized and discount accreted. In addition,
it is the Fund’s policy to accrue for foreign capital gains
taxes, if applicable, on certain foreign securities held by the
Fund. An estimated foreign capital gains tax is recorded daily
on net unrealized gains on these securities and is payable upon
the sale of such securities when a gain is realized.
Investment income and unrealized and realized gains or losses
are allocated daily to each class of shares of the Fund based
upon the relative proportion of net assets of each class.
C. Expenses —
Expenses incurred by the Fund, which may not
specifically relate to the Fund, may be shared with other
registered investment companies having management agreements
with GSAMI or its affiliates, as appropriate. These expenses are
allocated to the Fund on a straight-line
and/or
pro-rata basis depending upon the nature of the expenses and are
accrued daily.
Non-class
specific expenses are allocated daily to each share class of the
respective Fund based upon the relative proportion of net assets
of each class. Class specific expenses, where applicable, are
borne by the respective share classes and include Distribution
and Service and Transfer Agent fees.
D. Federal
Taxes and Distributions to Shareholders —
It is the 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 Fund is not
required to make any provisions for the payment of federal
income tax. Distributions to shareholders are recorded on the
ex-dividend
date. Income and capital gains distributions, if any, are
declared and paid annually.
Net capital losses are carried forward to future fiscal years
and may be used to the extent allowed by the Code to offset any
future capital gains. Utilization of capital loss carryforwards
will reduce the requirement of future capital gains
distributions.
The characterization of distributions to shareholders for
financial reporting purposes is determined in accordance with
federal income tax rules, which may differ from GAAP. The source
of the 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
Fund’s net assets on the Statement of Assets and
Liabilities reflect permanent GAAP/tax differences based on the
appropriate tax character.
E. Foreign
Currency Translations — The books and
records of the Fund are maintained in U.S. dollars. Amounts
denominated in foreign currencies are translated into U.S.
dollars on the following basis: (i) investment valuations,
foreign currency and other assets and liabilities initially
expressed in foreign currencies are converted into U.S. dollars
based upon 4:00 p.m. Eastern Time exchange rates; and
(ii) purchases and sales of foreign investments, income and
expenses are converted into U.S. dollars based upon currency
exchange rates prevailing on the respective dates of such
transactions as of 4:00 p.m. Eastern Time.
Net realized and unrealized gain (loss) on foreign currency
transactions represents: (i) foreign exchange gains and
losses from the sale and holdings of foreign currencies;
(ii) currency gains and losses between trade date and
settlement date on investment security transactions and forward
foreign currency exchange contracts; and (iii) gains and
losses from the difference between amounts of dividends,
interest and foreign withholding taxes recorded and the amounts
actually received. The effect of changes in foreign currency
exchange rates on securities and derivative instruments is
included with the net realized and change in unrealized gain
(loss) on investments on the Statement of Operations, however,
the effect of changes in foreign currency exchange rates on
fixed income securities sold during the period is included with
the net realized gain (loss) on foreign currency related
transactions. Changes in the value of other assets and
liabilities as a result of fluctuations in foreign exchange
rates are included as
GOLDMAN SACHS
VARIABLE INSURANCE TRUST STRATEGIC INTERNATIONAL EQUITY FUND
| 2. SIGNIFICANT ACCOUNTING POLICIES (continued) |
an increase or decrease to net change in unrealized gain (loss)
on translation of assets and liabilities denominated in foreign
currencies.
F. Futures
Contracts — Futures contracts are valued at
the last settlement price, or in the absence of a sale, the last
bid price, at the end of each day on the board of trade or
exchange upon which they are traded. Upon entering into a
futures contract, the Fund deposits 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 Fund equal to the daily change in the contract
value and are recorded as variation margin receivable or payable
with a corresponding offset in unrealized gains or losses. The
Fund recognizes a realized gain or loss when a contract is
closed or expires.
The use of futures contracts involves, to varying degrees,
elements of market and counterparty risk which may exceed the
amounts recognized in the Statement of Assets and Liabilities.
Futures contracts may be illiquid, and exchanges may limit
fluctuations in futures contract prices during a single day.
Changes in the value of a futures contract may not directly
correlate with changes in the value of the underlying
securities. These risks may decrease the effectiveness of the
Fund’s strategies and potentially result in a loss. The
Fund must set aside liquid assets, or engage in other
appropriate measures, to cover its obligations under these
contracts.
| 3. FAIR VALUE OF INVESTMENTS |
The fair value of a financial instrument is the amount that
would be received to sell an asset or paid to transfer a
liability in an orderly transaction between market participants
at the measurement date (i.e., the exit price). GAAP establishes
a fair value hierarchy that prioritizes the inputs to valuation
techniques used to measure fair value. The hierarchy gives the
highest priority to unadjusted quoted prices in active markets
for identical assets or liabilities (Level 1 measurements)
and the lowest priority to unobservable inputs (Level 3
measurements). The three levels of the fair value hierarchy are
described below:
Level 1 — Unadjusted quoted prices in active
markets that are accessible at the measurement date for
identical, unrestricted assets or liabilities;
Level 2 — Quoted prices in markets that are not
active or financial instruments for which significant inputs are
observable (including, but not limited to, quoted prices for
similar securities, interest rates, foreign exchange rates,
volatility and credit spreads), either directly or indirectly;
Level 3 — Prices or valuations that require
significant unobservable inputs (including GSAMI’s
assumptions in determining fair value measurement).
The following is a summary of the Fund’s investments and
derivatives categorized in the fair value hierarchy as of
June 30, 2011:
| Investment Type | Level 1 | Level 2 | Level 3 | |||||||||
|
Assets
|
||||||||||||
|
Common Stock
and/or Other
Equity Investments
|
$ | 23,954,570 | $ | 196,857,603 | (a) | $ | — | |||||
|
Short-term Investment
|
11,015,186 | — | — | |||||||||
|
Total
|
$ | 34,969,756 | $ | 196,857,603 | $ | — | ||||||
| Derivative Type | ||||||||||||
|
Assets
|
||||||||||||
|
Futures
Contracts(b)
|
$ | 99,818 | $ | — | $ | — | ||||||
| (a) | To adjust for the time difference between local market close and the calculation of net asset value, the Fund utilizes fair value model prices for international equities provided by an independent service resulting in a Level 2 classification. | |
| (b) | Amount shown represents unrealized gain (loss) at period end. |
GOLDMAN SACHS
VARIABLE INSURANCE TRUST STRATEGIC INTERNATIONAL EQUITY FUND
Notes to
Financial
Statements (continued)
June 30,
2011 (Unaudited)
| 4. INVESTMENTS IN DERIVATIVES |
The Fund may make investments in derivative instruments,
including, but not limited to options, futures, swaps, swaptions
and other derivatives relating to foreign currency transactions.
A derivative is an instrument whose value is derived from
underlying assets, indices, reference rates or a combination of
these factors. Derivative instruments may be privately
negotiated contracts (often referred to as over the counter
(“OTC”) derivatives) or they may be listed and traded
on an exchange. Derivative contracts may involve future
commitments to purchase or sell financial instruments or
commodities at specified terms on a specified date, or to
exchange interest payment streams or currencies based on a
notional or contractual amount. Derivative instruments may
involve a high degree of financial risk. The use of derivatives
also involves the risk of loss if the investment adviser is
incorrect in its expectation of the timing or level of
fluctuations in securities prices, interest rates or currency
prices. Investments in derivative instruments also include the
risk of default by the counterparty, the risk that the
investment may not be liquid and the risk that a small movement
in the price of the underlying security or benchmark may result
in a disproportionately large movement, unfavorable or
favorable, in the price of the derivative instrument.
During the six months ended June 30, 2011, the Fund entered
into futures contracts. These instruments were used to meet the
Fund’s investment objectives and to obtain
and/or
manage exposure related to the risks below. The following table
sets forth, by certain risk types, the gross value of these
derivative contracts for trading activities as of June 30,
2011. The values in the table below exclude the effects of cash
collateral received or posted pursuant to these derivative
contracts, and therefore are not representative of the
Fund’s net exposure.
|
Statement of |
||||||||||
|
Assets and
Liabilities |
||||||||||
| Risk | Location | Assets(a) | ||||||||
|
Equity
|
Due from broker — variation margin, at value | $ | 99,818 | |||||||
| (a) | Includes unrealized gain (loss) on futures contracts described in the Additional Investment Information section of the Schedule of Investments. Only current day’s variation margin is reported within the Statement of Assets and Liabilities. |
The following table sets forth, by certain risk types, the
Fund’s gains (losses) related to these derivatives and
their indicative volumes for the six months ended June 30,
2011. These gains (losses) should be considered in the context
that these derivative contracts may have been executed to
economically hedge certain securities and accordingly, certain
gains (losses) on such derivative contracts may offset certain
(losses) gains attributable to securities. These gains (losses)
are included in “Net realized gain (loss)” or
“Net change in unrealized gain (loss)” on the
Statement of Operations:
|
Net |
|||||||||||||||
|
Net |
Change in |
Average |
|||||||||||||
|
Realized |
Unrealized |
Number of |
|||||||||||||
| Risk | Statement of Operations Location | Gain (Loss) | Gain (Loss) | Contracts(a) | |||||||||||
|
Equity
|
Net realized gain (loss) from futures transactions/Net change in unrealized gain (loss) on futures | $ | (264,608 | ) | $ | 179,960 | 86 | ||||||||
| (a) | Average number of contracts is based on the average of month end balances for the six months ended June 30, 2011. |
| 5. AGREEMENTS AND AFFILIATED TRANSACTIONS |
A. Management
Agreement — Under the Agreement, GSAMI
manages the Fund, 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 Fund’s business affairs, including
providing facilities, GSAMI is entitled to a management fee,
accrued daily and paid monthly, equal to an annual percentage
rate of the Fund’s average daily net assets.
GOLDMAN SACHS
VARIABLE INSURANCE TRUST STRATEGIC INTERNATIONAL EQUITY FUND
| 5. AGREEMENTS AND AFFILIATED TRANSACTIONS (continued) |
For the six months ended June 30, 2011, contractual and
effective net management fees with GSAMI were at the following
rates:
| Contractual Management Rate | ||||||||||||||||||||||||
|
First |
Next |
Next |
Next |
Over |
Effective |
Effective Net |
||||||||||||||||||
| $1 billion | $1 billion | $3 billion | $3 billion | $8 billion | Rate | Management Rate | ||||||||||||||||||
|
0.85%
|
0.77 | % | 0.73 | % | 0.72 | % | 0.71 | % | 0.85 | % | 0.85 | %* | ||||||||||||
| * | Effective June 30, 2011, GSAMI agreed to waive a portion of its management fee in order to achieve the effective net management rate of 0.81% through at least April 29, 2012. Prior to such date GSAMI may not terminate the arrangement without the approval of the trustees. For the six months ended June 30, 2011, GSAMI waived approximately $200 of the Fund’s management fee. |
B. Distribution
and Service Plan — The Trust, on behalf of
the Service Shares of the Fund, has adopted a Distribution and
Service Plan (the “Plan”). Under the Plan, Goldman
Sachs, which serves as distributor, is entitled to a fee accrued
daily and paid monthly for distribution services, which may then
be paid by Goldman Sachs to authorized dealers, equal to, on an
annual basis, 0.25% of the Fund’s average daily net assets
attributable to Service Shares.
C. Transfer
Agency Agreement — Goldman Sachs also
serves as the transfer agent of the Fund for a fee pursuant to a
Transfer Agency Agreement. The fees charged for such transfer
agency services are accrued daily and paid monthly at an annual
rate of 0.02% of the average daily net assets for Institutional
and Service Shares.
D. Other
Expense Agreements and Affiliated Transactions —
GSAMI has agreed to limit certain “Other
Expense” of the Fund (excluding management fees,
distribution and service fees, transfer agent fees and expenses,
taxes, interest, brokerage fees and litigation, indemnification,
shareholder meetings and other extraordinary expenses, exclusive
of any custody and transfer agent fee credit reductions) to the
extent such expenses exceed, on an annual basis, 0.144% of the
average daily net assets of the Fund. Such Other Expense
reimbursements, if any, are accrued daily and paid monthly. In
addition, the Fund is not obligated to reimburse GSAMI for prior
fiscal year expense reimbursements, if any. These Other Expense
reimbursements will remain in place through at least
April 29, 2012, and prior to such date GSAMI may not
terminate the arrangements without the approval of the trustees.
For the six months ended June 30, 2011, GSAMI reimbursed
approximately $22,300 to the Fund.
As of June 30, 2011, the amounts owed to affiliates were
approximately $159,600, $32,000 and $3,800 for management,
distribution and service, and transfer agent fees, respectively.
E. Line of
Credit Facility — As of June 30, 2011,
the Fund participated in a $580,000,000 committed, unsecured
revolving line of credit facility (the “facility”)
together with other funds of the Trust and registered investment
companies having management agreements with GSAMI or its
affiliates. Pursuant to the terms of the facility, the Fund and
other borrowers could increase the credit amount by an
additional $340,000,000, for a total of up to $920,000,000. This
facility is to be used solely for temporary or emergency
purposes. The interest rate on borrowings is based on the
federal funds rate. The facility also requires a fee to be paid
by the Fund based on the amount of the commitment that has not
been utilized. For the six months ended June 30, 2011, the
Fund did not have any borrowings under the facility.
F. Other
Transactions with Affiliates — For the six
months ended June 30, 2011, Goldman Sachs earned
approximately $2,000 in brokerage commissions from portfolio
transactions, including futures transactions executed with
Goldman Sachs as the Futures Commission Merchant, on behalf of
the Fund.
| 6. PORTFOLIO SECURITIES TRANSACTIONS |
The cost of purchases and proceeds from sales and maturities of
long-term securities for the six months ended June 30,
2011, were $138,178,149 and $154,034,394, respectively.
GOLDMAN SACHS
VARIABLE INSURANCE TRUST STRATEGIC INTERNATIONAL EQUITY FUND
Notes to
Financial
Statements (continued)
June 30,
2011 (Unaudited)
| 7. TAX INFORMATION |
As of the Fund’s most recent fiscal year end,
December 31, 2010, the Fund’s capital loss
carryforwards on a tax-basis were as follows:
|
Capital loss
carryforward:(1)
|
||||
|
Expiring 2016
|
$ | (69,095,795 | ) | |
|
Expiring 2017
|
(63,558,058 | ) | ||
|
Total capital loss carryforward
|
$ | (132,653,853 | ) | |
| (1) | Expiration occurs on December 31 of the year indicated. |
As of June 30, 2011, the Fund’s aggregate security
unrealized gains and losses based on cost for U.S. federal
income tax purposes were as follows:
|
Tax cost
|
$ | 214,232,818 | ||
|
Gross unrealized gain
|
26,627,377 | |||
|
Gross unrealized loss
|
(9,032,836 | ) | ||
|
Net unrealized security gain
|
$ | 17,594,541 | ||
The difference between GAAP-basis and tax-basis unrealized gains
(losses), as of the most recent fiscal year end, is attributable
primarily to wash sales and differences related to the tax
treatment of passive foreign investment company investments.
GSAMI has reviewed the Fund’s 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 Fund’s financial statements. Such open tax years remain
subject to examination and adjustment by tax authorities.
Under the recently enacted Regulated Investment Company
Modernization Act of 2010, the Fund will be permitted to carry
forward capital losses incurred in taxable years beginning after
December 22, 2010 for an unlimited period. However, any
losses incurred during those future taxable years will be
required to be utilized prior to the losses incurred in
pre-enactment taxable years. As a result of this ordering rule,
pre-enactment capital loss carryforwards may be more likely to
expire unused. Additionally, post-enactment capital losses that
are carried forward will retain their character as either
short-term or long-term capital losses rather than being
considered all short-term as under previous law.
| 8. OTHER RISKS |
Foreign Custody
Risk — A Fund that invests in foreign
securities may hold such securities and foreign currency with
foreign banks, agents, and securities depositories appointed by
the Fund’s custodian (each a “Foreign
Custodian”). In some countries, Foreign Custodians may be
subject to little or no regulatory oversight or independent
evaluation of their operations. Further, the laws of certain
countries may place limitations on a Fund’s ability to
recover its assets if a Foreign Custodian enters into
bankruptcy. Investments in emerging markets may be subject to
greater custody risks than investments in more developed
markets. Custody services in emerging market countries are often
undeveloped and may be less regulated than in more developed
countries, and thus may not afford the same level of investor
protection as would apply in developed countries.
Fund’s
Shareholder Concentration Risk — Certain
participating insurance companies, accounts, or Goldman Sachs
affiliates may from time to time own (beneficially or of record)
or control a significant percentage of the Fund’s shares.
Redemptions by these entities of their holdings in the Fund may
impact the Fund’s liquidity and NAV. These redemptions may
also force the Fund to sell securities.
Liquidity
Risk — The Fund 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
GOLDMAN SACHS
VARIABLE INSURANCE TRUST STRATEGIC INTERNATIONAL EQUITY FUND
| 8. OTHER RISKS (continued) |
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 Fund trades financial instruments and enters into financial
transactions where risk of potential loss exists due to changes
in the market (market risk). Additionally, the Fund 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 Fund has
unsettled or open transaction defaults.
Investing in foreign markets may involve special risks and
considerations not typically associated with investing in the
U.S. These risks include revaluation of currencies, high rates
of inflation, repatriation restrictions on income and capital,
and adverse political and economic developments. Moreover,
securities issued in these markets may be less liquid, be
subject to government ownership controls, have delayed
settlements and their prices may be more volatile than those of
comparable securities in the U.S.
| 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 Fund. Additionally, in
the course of business, the Fund enters into contracts that
contain a variety of indemnification clauses. The Fund’s
maximum exposure under these arrangements is unknown, as this
would involve future claims that may be made against the Fund
that have not yet occurred. However, GSAMI believes the risk of
loss under these arrangements to be remote.
| 10. SUBSEQUENT EVENTS |
Subsequent events after the balance sheet date have been
evaluated through the date the financial statements were issued.
GSAMI has concluded that there is no impact requiring adjustment
or disclosure in the financial statements.
GOLDMAN SACHS
VARIABLE INSURANCE TRUST STRATEGIC INTERNATIONAL EQUITY FUND
Notes to
Financial
Statements (continued)
June 30,
2011 (Unaudited)
| 11. SUMMARY OF SHARE TRANSACTIONS |
Share activity is as follows:
|
For the Six
Months Ended |
||||||||||||||||
|
June 30, 2011 |
For the Fiscal
Year Ended |
|||||||||||||||
| (Unaudited) | December 31, 2010 | |||||||||||||||
| Shares | Dollars | Shares | Dollars | |||||||||||||
|
Institutional
Shares
|
||||||||||||||||
|
Shares sold
|
47,673 | $ | 430,103 | 177,071 | $ | 1,399,863 | ||||||||||
|
Reinvestment of distributions
|
— | — | 128,790 | 1,126,914 | ||||||||||||
|
Shares redeemed
|
(829,824 | ) | (7,596,386 | ) | (1,630,467 | ) | (13,247,331 | ) | ||||||||
| (782,151 | ) | (7,166,283 | ) | (1,324,606 | ) | (10,720,554 | ) | |||||||||
|
Service
Shares
|
||||||||||||||||
|
Shares sold
|
197,375 | 1,798,021 | 950,196 | 7,458,412 | ||||||||||||
|
Reinvestment of distributions
|
— | — | 220,380 | 1,932,729 | ||||||||||||
|
Shares redeemed
|
(1,114,960 | ) | (10,208,265 | ) | (2,528,885 | ) | (20,508,016 | ) | ||||||||
| (917,585 | ) | (8,410,244 | ) | (1,358,309 | ) | (11,116,875 | ) | |||||||||
|
NET
DECREASE
|
(1,699,736 | ) | $ | (15,576,527 | ) | (2,682,915 | ) | $ | (21,837,429 | ) | ||||||
GOLDMAN SACHS
VARIABLE INSURANCE TRUST STRATEGIC INTERNATIONAL EQUITY FUND
Statement
Regarding Basis for Approval of Management Agreement
(Unaudited)
Background
The Goldman Sachs Strategic International Equity Fund (the
“Fund”) is an investment portfolio of Goldman Sachs
Variable Insurance Trust (the “Trust”). The Board of
Trustees oversees the management of the Trust and reviews the
investment performance and expenses of the Fund 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 agreement
(the “Management Agreement”) with Goldman Sachs Asset
Management International (the “Investment Adviser”) on
behalf of the Fund.
The Management Agreement was most recently approved for
continuation until June 30, 2012 by the Board of Trustees,
including those Trustees who are not parties to the Management
Agreement or “interested persons” (as defined in the
Investment Company Act of 1940, as amended) of any party thereto
(the “Independent Trustees”), at a meeting held on
June 15-16,
2011 (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 Agreement was 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
Agreement, including:
| (a) | the nature and quality of the advisory, administrative and other services provided to the Fund 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, 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; |
| (b) | information on the investment performance of the Fund, including 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”), and its benchmark performance index, and general investment outlooks in the markets in which the Fund invests; | |
| (c) | the terms of the Management Agreement and agreements with affiliated service providers entered into by the Trust on behalf of the Fund; | |
| (d) | expense information for the Fund, including: |
| (i) | the relative management fee and expense level of the Fund as compared to those of comparable funds managed by other advisers, as provided by the Outside Data Provider; | |
| (ii) | the Fund’s 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 Fund, 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 Fund; | |
| (f) | the undertakings of the Investment Adviser to waive certain fees and reimburse certain expenses of the Fund that exceed a specified level, and a summary of contractual fee reductions made by the Investment Adviser and its affiliates over the past several years with respect to the Fund; | |
| (g) | information relating to the profitability of the Management Agreement and the transfer agency and distribution and service arrangements of the Fund and the Trust as a whole to the Investment Adviser and its affiliates; | |
| (h) | whether the 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 Fund, including the fees received by the Investment Adviser’s affiliates from the Fund for transfer agency, portfolio brokerage, distribution and other services; | |
| (j) | a summary of potential benefits derived by the Fund as a result of its relationship with the Investment Adviser; |
GOLDMAN SACHS
VARIABLE INSURANCE TRUST STRATEGIC INTERNATIONAL EQUITY FUND
Statement
Regarding Basis for Approval of Management Agreement
(Unaudited) (continued)
| (k) | information regarding commissions paid by the Fund, an update on the Investment Adviser’s soft dollars practices, other information regarding portfolio trading and how the Investment Adviser carries out its duty to seek best execution; | |
| (l) | the manner in which portfolio manager compensation is determined, and the number and types of accounts managed by the portfolio managers; | |
| (m) | the nature and quality of the services provided to the Fund by its 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 Agreement; 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 Fund’s compliance program; and compliance reports. |
The Trustees also received an overview of the Fund’s
distribution arrangements. They received information regarding
the Fund’s assets, share purchase and redemption activity
and the payment of
Rule 12b-1
distribution and service fees by the Fund’s Service 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 Fund and other mutual fund
portfolios for which the Board of Trustees has responsibility.
In evaluating the Management Agreement 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 Fund.
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
Agreement
As part of their review, the Trustees considered the nature,
extent and quality of the services provided by the Investment
Adviser. In this regard, the Trustees considered both the
investment advisory services, and the other, non-advisory
services, that are provided to the Fund by the Investment
Adviser and its affiliates. The Trustees noted the transition in
the leadership and changes in personnel of various portfolio
management teams, including the portfolio management team
managing the Fund, that had occurred in recent periods, the
potential benefit to the Fund of recent increases in headcount
at the Investment Adviser and the ongoing recruitment efforts
aimed at bringing high quality investment talent to the
Investment Adviser. The Independent Trustees concluded that the
Investment Adviser had committed substantial financial and
operational resources to the Fund 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 Fund and the Investment Adviser.
Investment
Performance
The Trustees also considered the investment performance of the
Fund and the Investment Adviser. In this regard, they compared
the Fund to its peers using performance rankings and ratings
compiled by the Outside Data Provider as of December 31,
2010, and updated performance information prepared by the
Investment Adviser using the peer groups identified by the
Outside Data provider. The information on the Fund’s
investment performance was provided for the one-, three-, five-
and ten-year periods ending on the applicable dates. The
Trustees also reviewed the Fund’s investment performance
over time on a
year-by-year
basis relative to its performance benchmark. In addition, they
considered the investment performance trends of the Fund over
time, and reviewed the investment performance of the Fund in
light of its investment objective and policies, and market
conditions. The Trustees considered whether the Fund had
operated within its investment policies and had complied with
its investment limitations.
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
Fund’s risk profile, and how the Investment Adviser’s
approach to risk monitoring and management influences portfolio
management.
GOLDMAN SACHS
VARIABLE INSURANCE TRUST STRATEGIC INTERNATIONAL EQUITY FUND
Statement
Regarding Basis for Approval of Management Agreement
(Unaudited) (continued)
The Independent Trustees noted that during the one-year period
ended May 31, 2011, the Fund had shown improving
performance relative to its peer group and had placed in the top
half of its peer group and outperformed its benchmark index. The
Independent Trustees noted that the Investment Adviser had taken
a number of steps in 2009 intended to improve the performance of
the Fund, including making changes to the leadership and
personnel on the portfolio management team and implementing
enhancements to the investment process for the Fund (which among
other things included refinement of how
bottom-up
stock selection is reflected across multi-regional portfolios),
and that the changes seemed to have had a positive effect on
performance. They also noted that they had received assurances
from the Investment Adviser’s senior management that
measures would continue to be taken to address the Fund’s
performance.
Costs of
Services Provided and Competitive Information
The Trustees considered the contractual fee rates payable by the
Fund under the Management Agreement. In this regard, the
Trustees considered information on the services rendered by the
Investment Adviser to the Fund, which included both advisory and
administrative services that were directed to the needs and
operations of the Fund as a registered mutual fund.
In particular, the Trustees reviewed analyses prepared by the
Outside Data Provider regarding the expense rankings of the
Fund. The analyses provided a comparison of the Fund’s
management fees and breakpoints to those of a relevant peer
group and category universe; an expense analysis which compared
the Fund’s expenses to a peer group and a category
universe; and a five-year history comparing the Fund’s
expenses to the peer and category medians. The analyses also
compared the Fund’s transfer agency fees, custody and
accounting fees, distribution fees, other expenses and fee
waivers/reimbursements to those of other funds in the peer group
and the peer group median. 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 Fund.
In addition, the Trustees considered the Investment
Adviser’s undertakings to waive a portion of its management
fee and limit the Fund’s “other expenses” ratio
(excluding certain expenses) to a certain specified level. 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 Fund, comparative fee information for services provided by
the Investment Adviser to those accounts, and information that
indicated that services provided to the Fund 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 Fund under the terms of the
Management Agreement.
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.
Profitability
The Trustees reviewed the Investment Adviser’s revenues and
pre-tax profit margins with respect to the Trust and the Fund.
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 the Fund were
provided for 2010 and 2009, 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.
GOLDMAN SACHS
VARIABLE INSURANCE TRUST STRATEGIC INTERNATIONAL EQUITY FUND
Statement
Regarding Basis for Approval of Management Agreement
(Unaudited) (continued)
Economies
of Scale
The Trustees considered the information that had been provided
regarding the Investment Adviser’s profitability and the
rationale for the Fund’s breakpoint structure. The Trustees
also considered the breakpoints in the fee rate payable under
the Management Agreement for the Fund at the following annual
percentage rates of the average daily net assets of the Fund:
|
First $1 billion
|
0.85 | % | ||
|
Next $1 billion
|
0.77 | |||
|
Next $3 billion
|
0.73 | |||
|
Next $3 billion
|
0.72 | |||
|
Over $8 billion
|
0.71 |
The Trustees noted that the breakpoints at the $5 and
$8 billion asset levels had been proposed by the Investment
Adviser and approved by the Trustees in 2008 to further share
potential economies of scale, if any, with the Fund and its
shareholders as assets under management reach those asset
levels. The Trustees considered the amounts of assets in the
Fund; the Fund’s recent share purchase and redemption
activity; the information provided by the Investment Adviser
relating to the costs of the services provided by the Investment
Adviser and its affiliates and their realized profits;
information comparing fee rates charged by the Investment
Adviser with fee rates charged to other funds in the peer group;
and the Investment Adviser’s undertakings to limit the
Fund’s fees and “other expenses” ratio (excluding
certain expenses) to certain amounts. Upon reviewing these
matters at the Annual Meeting, the Trustees concluded that the
fee breakpoints represented a means of assuring that benefits of
scalability would be passed along to shareholders at the
specified asset levels.
Other
Benefits to the Investment Adviser and Its Affiliates
The Trustees also considered the other benefits derived by the
Investment Adviser and its affiliates from their relationship
with the Fund as stated above, including: (a) transfer
agency fees received by Goldman, Sachs & Co.
(“Goldman Sachs”); (b) brokerage and futures
commissions earned by Goldman Sachs for executing securities and
futures transactions on behalf of the Fund; (c) research
received by the Investment Adviser from broker-dealers in
exchange for executing certain transactions on behalf of the
Fund; (d) trading efficiencies resulting from aggregation
of orders of the Fund with those for other funds or accounts
managed by the Investment Adviser; (e) the Investment
Adviser’s ability to leverage the infrastructure designed
to service the Fund on behalf of its other clients; (f) the
Investment Adviser’s ability to cross-market other products
and services to Fund shareholders; (g) Goldman Sachs’
retention of certain fees as Fund Distributor; (h) 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 Fund; and (i) the possibility
that the working relationship between the Investment Adviser and
the Fund’s 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 the fall-out benefits.
Other
Benefits to the Fund and Its Shareholders
The Trustees also noted that the Fund receives certain potential
benefits as a result of its relationship with the Investment
Adviser, including: (a) trading efficiencies resulting from
aggregation of orders of the Fund 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 advantages gained from the Investment
Adviser’s knowledge and experience gained from managing
other accounts and products; (f) the Investment
Adviser’s ability to hire and retain qualified personnel to
provide services to the Fund because of the reputation of the
Goldman Sachs organization; (g) the Fund’s access,
through the Investment Adviser, to certain firmwide resources
(e.g., proprietary databases); and (h) the
Fund’s access to certain affiliated distribution channels.
The Trustees noted the competitive nature of the mutual fund
marketplace, and noted further that many of the Fund’s
shareholders invested in the Fund in part because of the
Fund’s relationship with the Investment Adviser and that
those shareholders have a general expectation that the
relationship will continue.
GOLDMAN SACHS
VARIABLE INSURANCE TRUST STRATEGIC INTERNATIONAL EQUITY FUND
Statement
Regarding Basis for Approval of Management Agreement
(Unaudited) (continued)
Conclusion
In connection with their consideration of the Management
Agreement, 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 the
Fund were reasonable in light of the services provided to it by
the Investment Adviser, the Investment Adviser’s costs and
the Fund’s current and reasonably foreseeable asset levels.
The Trustees unanimously concluded that the Investment
Adviser’s continued management likely would benefit the
Fund and its shareholders and that the Management Agreement
should be approved and continued with respect to the Fund until
June 30, 2012.
GOLDMAN SACHS
VARIABLE INSURANCE TRUST STRATEGIC INTERNATIONAL EQUITY FUND
Fund Expenses —
Six Month Period Ended June 30, 2011 (Unaudited)
As a shareholder of the Institutional or Service Shares of the
Fund, you incur ongoing costs, including management fees,
distribution and service (12b-1) fees (with respect to Service
Shares) and other Fund expenses. This example is intended to
help you understand your ongoing costs (in dollars) of investing
in the Institutional Shares and Service Shares of the Fund and
to compare these costs with the ongoing costs of investing in
other mutual funds.
The example is based on an investment of $1,000 invested at the
beginning of the period and held for the entire period from
January 1, 2011 through June 30, 2011.
Actual Expenses — The first line under each
share class in the table below provides information about actual
account values and actual expenses. You may use the information
in this line, together with the amount you invested, to estimate
the expenses that you paid over the period. Simply divide your
account value by $1,000 (for example, an $8,600 account value
divided by $1,000=8.6), then multiply the result by the number
in the first line under the heading entitled “Expenses
Paid” to estimate the expenses you paid on your account
during this period.
Hypothetical Example for Comparison Purposes —
The second line under each share class in the table below
provides information about hypothetical account values and
hypothetical expenses based on the Fund’s actual net
expense ratio and an assumed rate of return of 5% per year
before expenses, which is not the Fund’s 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 Fund 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. As a shareholder of the Fund,
you do not incur any transaction costs, such as sales charges
(loads), redemption fees, or exchange fees, but shareholders of
other funds may incur such costs. 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
whose shareholders may incur transaction costs.
|
Expenses Paid |
|||||||||||||||
|
for the |
|||||||||||||||
|
Beginning |
Ending |
6 Months |
|||||||||||||
|
Account Value |
Account Value |
Ended |
|||||||||||||
| Share Class | 1/01/11 | 6/30/11 | 6/30/11* | ||||||||||||
|
Institutional
|
|||||||||||||||
|
Actual
|
$ | 1,000 | $ | 1,046.50 | $ | 5.12 | |||||||||
|
Hypothetical 5% return
|
1,000 | 1,019.79 | + | 5.06 | |||||||||||
|
Service
|
|||||||||||||||
|
Actual
|
1,000 | 1,045.30 | 6.39 | ||||||||||||
|
Hypothetical 5% return
|
1,000 | 1,018.55 | + | 6.31 | |||||||||||
| * | Expenses for each share class are calculated using the 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 June 30, 2011. Expenses are calculated by multiplying the annualized net expense ratio by the average account value for the period; then multiplying the result by the number of days in the most recent fiscal half year; and then dividing that result by the number of days in the fiscal year. The annualized net expense ratios for the period were 1.01% and 1.26% for Institutional and Service Shares, respectively. | |
| + | 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. |
| TRUSTEES | OFFICERS | |
|
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 |
James A. McNamara,
President George F. Travers, Principal Financial Officer Peter V. Bonanno, Secretary Scott M. McHugh, Treasurer |
|
|
GOLDMAN, SACHS & CO. Distributor and Transfer Agent |
||
|
GOLDMAN SACHS ASSET MANAGEMENT INTERNATIONAL Investment Adviser Christchurch Court, 10-15 Newgate Street London, EC1A 7HD, England, United Kingdom |
||
| Visit our website at www.goldmansachsfunds.com/vit to obtain the most recent month-end returns. | ||
| The reports concerning the Fund included in this shareholder report may contain certain forward-looking statements about the factors that may affect the performance of the Fund in the future. These statements are based on Fund management’s predictions and expectations concerning certain future events and their expected impact on the Fund, 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 Fund. 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 Fund uses to determine how to vote proxies relating to portfolio securities and information regarding how the 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 1-800-621-2550; and (ii) on the Securities and Exchange Commission (“SEC”) website at http://www.sec.gov. | ||
| The Fund files its complete schedule of portfolio holdings with the SEC for the first and third quarters of each fiscal year on Form N-Q. The Fund’s Form N-Q is available on the SEC’s website at http://www.sec.gov within 60 days after the Fund’s first and third fiscal quarters. When available, the Fund’s Forms N-Q may be reviewed and copied at the SEC’s Public Reference Room in Washington, D.C. and information on the operation of the Public Reference Room may also be obtained by calling 1-800-SEC-0330. Forms N-Q may be obtained upon request and without charge by calling 1-800-621-2550. | ||
| Holdings and allocations shown may not be representative of current or future investments. Holdings and allocations may not include the Fund’s entire investment portfolio, which may change at any time. Fund holdings should not be relied on in making investment decisions and should not be construed as research or investment advice regarding particular securities. | ||
| 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. | ||
| The Global Industry Classification Standard (“GICS”) was developed by and is the exclusive property and a service mark of Morgan Stanley Capital International Inc. (“MSCI”) and Standard & Poor’s, a division of The McGraw-Hill Companies, Inc. (“S&P”) and is licensed for use by Goldman Sachs. Neither MSCI, S&P nor any other party involved in making or compiling the GICS or any GICS classifications makes any express or implied warranties or representations with respect to such standard or classification (or the results to be obtained by the use thereof), and all such parties hereby expressly disclaim all warranties of originality, accuracy, completeness, merchantability or fitness for a particular purpose with respect to any of such standard or classification. Without limiting any of the foregoing, in no event shall MSCI, S&P, any of their affiliates or any third party involved in making or compiling the GICS or any GICS classifications have any liability for any direct, indirect, special, punitive, consequential or any other damages (including lost profits) even if notified of the possibility of such damages. | ||
| The portfolio risk management process includes an effort to monitor and manage risk, but does not imply low risk. | ||
| Shares of the Goldman Sachs VIT Funds are offered to separate accounts of participating life insurance companies for the purpose of funding variable annuity contracts and variable life insurance policies. Shares of the Fund are not offered directly to the general public. The variable annuity contracts and variable life insurance policies are described in the separate prospectuses issued by participating insurance companies. You should refer to those prospectuses for information about surrender charges, mortality and expense risk fees and other charges that may be assessed by participating insurance companies under the variable annuity contracts or variable life insurance policies. Such fees or charges, if any, may affect the return you may realize with respect to your investments. Ask your representative for more complete information. Please consider a fund’s objectives, risks and charges and expenses, and read the prospectus carefully before investing. The prospectus contains this and other information about the Fund. | ||
| 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 1-800-621-2550. | ||
| Toll Free (in U.S.): 800-292-4726 | ||
| This report is prepared for the general information of contract owners and is not an offer of shares of the Goldman Sachs Variable Insurance Trust: Goldman Sachs Strategic International Equity Fund. | ||
| © 2011 Goldman Sachs. All rights reserved. | ||
| VITINTLSAR11/57688.MF.MED.TMPL/8/2011 | ||
Goldman
Sachs Variable Insurance Trust
Structured Small Cap Equity Fund
Semi-Annual
Report
June 30,
2011
|
|
GOLDMAN SACHS
VARIABLE INSURANCE TRUST STRUCTURED SMALL CAP EQUITY FUND
Principal
Investment Strategies and Risks
Shares of the
Goldman Sachs Variable Insurance Trust — Goldman Sachs
Structured Small Cap Equity Fund are offered to separate
accounts of participating life insurance companies for the
purpose of funding variable annuity contracts and variable life
insurance policies. Shares of the Fund are not offered directly
to the general public. The variable annuity contracts and
variable life insurance policies are described in the separate
prospectuses issued by participating insurance companies. You
should refer to those prospectuses for information about
surrender charges, mortality and expense risk fees and other
charges that may be assessed by participating insurance
companies under the variable annuity contracts or variable life
insurance policies. Such fees or charges, if any, may affect the
return you realize with respect to your investments. Ask your
representative for more complete information. Please consider
the Fund’s objective, risks and charges and expenses, and
read the Prospectus carefully before investing. The Prospectus
contains this and other information about
the Fund.
The Goldman Sachs
Structured Small Cap Equity Fund
invests
primarily in a broadly diversified portfolio of
small-capitalization U.S. issuers, including foreign issuers
traded in the United States. The Fund’s equity investments
will be subject to market risk, which means that the value of
the securities in which it invests may go up or down in response
to the prospects of individual companies, particular industry
sectors
and/or
general economic conditions. Stocks of small companies are often
more volatile and less liquid and present greater risks than
stocks of larger companies. At times, the Fund may be unable to
sell certain of its portfolio securities without a substantial
drop in price, if at all. The Fund may also invest in fixed
income securities, which are subject to the risks associated
with debt securities generally, including credit, liquidity and
interest rate risk.
GOLDMAN SACHS
VARIABLE INSURANCE TRUST STRUCTURED SMALL CAP EQUITY FUND
INVESTMENT
OBJECTIVE
The Fund seeks long-term growth of capital.
Portfolio
Management Discussion and Analysis
Below, the
Goldman Sachs Quantitative Investment Strategies Team discusses
the performance of the Goldman Sachs Variable Insurance
Trust — Goldman Sachs Structured Small Cap Equity Fund
(the “Fund”) and positioning for the six-month period
ended June 30, 2011 (the “Reporting
Period”).
How did the
Fund perform during the Reporting Period?
During the Reporting Period, the Fund’s Institutional and
Service Shares generated cumulative total returns of 8.67% and
8.53%, respectively. These returns compare to the 6.21%
cumulative total return of the Fund’s benchmark, the
Russell
2000®
Index* (with dividends reinvested) (the “Russell
Index”) during the same time period.
What economic
and market factors most influenced the equity markets as a whole
during the annual period?
U.S. equities continued their positive momentum from 2010 during
the Reporting Period. However, most of the gains were generated
during the first quarter of 2011, as improving trends in labor,
housing, manufacturing and consumer confidence pointed to a
continuation in the economic recovery. A positive trajectory in
corporate earnings and cash flows and strong merger and
acquisition activity further supported U.S. equity market
performance. Indeed, despite great exogenous shocks in Middle
East and North African turmoil, a series of disasters in Japan,
political debate over collective bargaining rights in Wisconsin
and the possible repeal of health care reform in Washington
D.C., the U.S. equity markets rewarded investors with solid
returns during the first quarter of 2011.
The broad U.S. equity markets experienced a much more volatile
second quarter, rising to a three-year high in April before
losing most of its early 2011 gains by mid-June and then
recovering somewhat in the very last week of the Reporting
Period. In early April, commodity prices declined and
expectations ran high for strong corporate profit growth.
However, while home construction rose modestly in May, housing
and employment remained key weak spots in the U.S. economy.
Concerns about Greece’s debt crisis also re-surfaced, the
U.S. Congress wrangled over the U.S. debt ceiling, the Federal
Reserve Board’s quantitative easing program was scheduled
to expire on June 30, 2011, the impact of Japan’s
natural and nuclear disasters worked its way through the global
supply chain and deadly storms cut a wide swath of destruction
across the midwestern and southern United States. In turn, the
U.S. stock market felt pressured and lost ground. Toward the end
of June, U.S. equity markets recovered from their May to
mid-June decline on the heels of better than expected U.S.
manufacturing activity, improved automobile sales and a
short-term resolution of the sovereign debt crisis in Greece.
Despite this volatility, all sectors posted gains during the
Reporting Period, with the exception of financials, which posted
a negative return. Health care and energy led the way.
Energy was, not surprisingly, impacted by the price of Brent
crude oil, which peaked at more than $126 per barrel in April on
supply disruption fears in North Africa and the Middle East
before falling in June on weaker U.S. economic data and concerns
about the pace of growth in China’s economy. Still, Brent
crude oil prices ended the Reporting Period at more than $112
per barrel.
While all capitalization segments of the U.S. equity market
advanced during the Reporting Period, mid-cap stocks, as
measured by the Russell
Midcap®
Index, performed best, followed by large-cap and then small-cap
stocks, as measured by the Russell
1000®
Index and the Russell
2000®
Index, respectively, which performed nearly in line with each
other. Large-cap stocks were least successful relative to
small-cap stocks in the information technology sector. Within
the U.S. small-cap equity segment, growth-oriented stocks
outperformed value-oriented stocks during the Reporting Period.
The Russell
2000®
Growth Index returned 8.59% compared to the 3.77% return of the
Russell
2000®
Value Index.
| * | The Russell 2000 Index is an unmanaged index of common stock prices that measures the performance of the 2000 smallest companies in the Russell 3000 Index. The Index figures do not reflect any deduction for fees, expenses or taxes. It is not possible to invest directly in an unmanaged index. |
GOLDMAN SACHS
VARIABLE INSURANCE TRUST STRUCTURED SMALL CAP EQUITY FUND
What key
factors were responsible for the Fund’s performance during
the Reporting Period?
As expected, and in keeping with our investment approach, our
quantitative model and its six investment themes —
Valuation, Profitability, Quality, Management, Momentum and
Sentiment — had the greatest impact on relative
performance. We use these themes to take a long-term view of
market patterns and look for inefficiencies, selecting stocks
for the Fund and overweighting or underweighting the ones chosen
by the model. Over time and by design, the performance of any
one of the model’s investment themes tends to have a low
correlation with the model’s other themes, demonstrating
the diversification benefit of the Fund’s theme-driven
quantitative model. The variance in performance supports our
research indicating that the diversification provided by the
Fund’s different investment themes is a significant
investment advantage over the long term, even though the Fund
may experience underperformance in the short term.
Overall, the Fund outperformed during the Reporting Period, with
the Fund’s Profitability theme contributing the most
positively to results. The Sentiment, Quality and Management
themes also added value, albeit to a lesser extent. The
Profitability theme assesses whether a company is earning more
than its cost of capital. The Sentiment theme reflects selected
investment views and decisions of individuals and financial
intermediaries. Quality evaluates whether the company’s
earnings are coming from more persistent, cash-based sources, as
opposed to accruals. The Management theme assesses the
characteristics, policies and strategic decisions of company
management.
The Momentum theme detracted most from the Fund’s relative
results during the Reporting Period, followed by Valuation. The
Momentum theme seeks to predict drifts in stock prices caused by
under-reaction to company-specific information. Valuation
attempts to capture potential mispricings of securities,
typically by comparing a measure of the company’s intrinsic
value to its market value.
How did the
Fund’s sector allocations affect relative
performance?
In constructing the Fund’s portfolio, we focus on picking
stocks rather than making industry or sector bets. Consequently,
the Fund is similar to its benchmark, the Russell
2000®
Index, in terms of its sector allocation and style. We manage
the Fund’s industry and sector exposure by including
industry factors in our risk model and by explicitly penalizing
industry and sector deviations from the benchmark index in
optimization. Sector weights or changes in weights generally do
not have a meaningful impact on relative performance.
Did stock
selection help or hurt Fund performance during the Reporting
Period?
We seek to outpace the Russell
2000®
Index by overweighting stocks that we expect to outperform and
underweighting those that we think may lag. We also build
positions based on our thematic views. For example, the Fund
aims to hold a basket of stocks with more favorable Momentum
characteristics than the benchmark index. During the Reporting
Period, stock selection overall contributed positively to the
Fund’s relative performance.
Stock selection in the consumer discretionary, energy and health
care sectors made the biggest positive contribution to the
Fund’s results relative to the Russell
2000®
Index. Only partially offsetting these positives was stock
selection in the industrials, materials and telecommunication
services sectors, which detracted most from the Fund’s
results relative to its benchmark index.
Which
individual stock positions contributed the most to the
Fund’s relative returns during the Reporting
Period?
The Fund benefited most from overweight positions in enterprise
software and services company MicroStrategy, oil refiner Western
Refining and biomedical drug company Cubist Pharmaceuticals. We
chose to overweight MicroStrategy because of our positive views
on Management and Momentum. The Fund was overweight Western
Refining and Cubist Pharmaceuticals due to our positive views on
Momentum and Profitability.
Which
individual positions detracted from the Fund’s results
during the Reporting Period?
Detracting most from the Fund’s results relative to its
benchmark index were overweight positions in passenger airline
operator Allegiant Travel and commercial banks International
Bancshares and Wilshire Bancorp. Our positive views on
Management and Sentiment led us to overweight Allegiant Travel.
The Fund had an overweighted position in International
Bancshares because of our positive views on Profitability and
Momentum. The Fund was overweight Wilshire Bancorp due to our
positive views on Momentum and Valuation.
GOLDMAN SACHS
VARIABLE INSURANCE TRUST STRUCTURED SMALL CAP EQUITY FUND
How did the
Fund use derivatives during the Reporting Period?
During the Reporting Period, we did not use derivatives as part
of an active management strategy to add value to the Fund’s
results. However, we used equity index futures contracts, on an
opportunistic basis, to equitize the Fund’s excess cash
holdings. In other words, we put the Fund’s excess cash
holdings to work by using them as collateral for the purchase of
stock futures.
Did you make
any enhancements to your quantitative models during the
Reporting Period?
We continuously look for ways to improve our investment process.
Accordingly, we continued our extensive ongoing research process
but did not implement any significant model enhancements during
the Reporting Period.
What was the
Fund’s sector positioning relative to its benchmark index
at the end of the Reporting Period?
As of June 30, 2011, the Fund was overweight the health
care, consumer discretionary, materials, energy and consumer
staples sectors relative to the Russell
2000®
Index. The Fund was underweight industrials, financials,
utilities and information technology and was rather neutrally
weighted in telecommunication services compared to the benchmark
index on the same date.
What is your
strategy going forward for the Fund?
Looking ahead, we continue to believe that less expensive stocks
should outpace more expensive stocks, and stocks with good
momentum are likely to outperform those with poor momentum. We
intend to maintain our focus on seeking companies with positive
fundamentals, good profitability, sustainable earnings and a
track record of using capital to enhance shareholder value. As
such, we anticipate remaining fully invested with long-term
performance likely to be the result of stock selection rather
than sector or capitalization allocations.
We stand behind our investment philosophy that sound economic
investment principles, coupled with a disciplined quantitative
approach, can provide strong, uncorrelated returns over the long
term. Our research agenda is robust, and we continue to enhance
our existing models, add new proprietary forecasting signals,
and improve our trading execution as we seek to provide the most
value to our shareholders.
CHANGES MADE TO
THE TEAM’S MANAGEMENT
During the first quarter of 2011, we announced that Richard
Vanecek, Managing Director and co-head of Quantitative
Investment Strategies (QIS) Trading would become the sole head
of QIS Trading.
FUND BASICS
Structured
Small Cap Equity Fund
as of
June 30, 2011
| STANDARDIZED AVERAGE ANNUAL TOTAL RETURNS1 |
| For the period ended 6/30/11 | One Year | Five Years | Ten Years | Since Inception | Inception Date | |||||||||||||||
|
Institutional
|
41.72 | % | 1.19 | % | 5.46 | % | 5.07 | % | 2/13/98 | |||||||||||
|
Service
|
41.43 | N/A | N/A | 2.77 | 8/31/07 | |||||||||||||||
| 1 | The Standardized Average Annual Total Returns are average annual total returns as of the most recent calendar quarter-end. They assume reinvestments of all distributions at net assets value (“NAV”). | |
| Total return figures in the above chart represent past performance and do not indicate future results, which will vary. The investment return and principal value of an investment will fluctuate and, therefore, an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance may be lower or higher than the total return figures in the above chart. Please visit www.goldmansachsfunds.com/vit 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. |
| EXPENSE RATIOS2 |
| Net Expense Ratio (Current) | Gross Expense Ratio (Before Waivers) | |||||||||
|
Institutional
|
0.81 | % | 0.97 | % | ||||||
|
Service
|
1.06 | 1.22 | ||||||||
| 2 | The expense ratios of the Fund, both current (net of any fee waivers or expense limitations) and before waivers (gross of any fee waivers or expense limitations) are as set forth above. The Fund’s waivers and/or expense limitations will remain in place through at least April 29, 2012, and prior to such date the investment adviser may not terminate the arrangements without the approval of the Fund’s Board of Trustees. The expense ratios set forth above may differ from the expense ratios disclosed in the Financial Highlights in this report. |
| TOP TEN HOLDINGS AS OF 6/30/113 |
| Holding | % of Net Assets | Line of Business | ||||||
|
Tesoro Corp.
|
2.0 | % | Energy | |||||
|
Rayonier, Inc. (REIT)
|
1.8 | Real Estate | ||||||
|
W&T Offshore, Inc.
|
1.5 | Energy | ||||||
|
MicroStrategy, Inc. Class A
|
1.3 | Software & Services | ||||||
|
Western Refining, Inc.
|
1.3 | Energy | ||||||
|
Lattice Semiconductor Corp.
|
1.3 | Semiconductors & Semiconductor Equipment | ||||||
|
Nationwide Health Properties, Inc. (REIT)
|
1.3 | Real Estate | ||||||
|
Cubist Pharmaceuticals, Inc.
|
1.2 | Pharmaceuticals, Biotechnology & Life Sciences | ||||||
|
Polaris Industries, Inc.
|
1.1 | Consumer Durables & Apparel | ||||||
|
Molina Healthcare, Inc.
|
1.1 | Health Care Equipment & Services | ||||||
| 3 | The top 10 holdings may not be representative of the Fund’s future investments. |
FUND BASICS
| FUND vs. BENCHMARK SECTOR ALLOCATIONS4 |
As
of June 30, 2011
| 4 | The Fund is actively managed and, as such, its composition may differ over time. The above graph categorizes investments using Global Industry Classification Standard (“GICS”), however, the sector classifications used by the portfolio management team may differ from GICS. Consequently, the Fund’s overall industry sector allocations may differ from percentages contained in the graph above. The percentage shown for each investment category reflects the value of investments in that category as a percentage of market value (excluding investments in the securities lending reinvestment vehicle, if any). Investment in the securities lending reinvestment vehicle represented 2.2% of the Fund’s net assets at June 30, 2011. Short-term investments represent investments in investment companies other than those that are exchange traded. The above graph depicts the Fund’s investments but may not represent the Fund’s market exposure due to the exclusion of derivatives, if any, as listed in the Additional Investment Information section of the Schedule of Investments. |
GOLDMAN SACHS
VARIABLE INSURANCE TRUST STRUCTURED SMALL CAP EQUITY FUND
Schedule of
Investments
June 30,
2011 (Unaudited)
| Shares | Description | Value | ||||||
|
Common
Stocks – 97.7%
|
||||||||
|
Automobiles
& Components – 0.9%
|
||||||||
| 13,519 | Modine Manufacturing Co.* | $ | 207,787 | |||||
| 13,146 | Spartan Motors, Inc. | 70,988 | ||||||
| 13,479 | Standard Motor Products, Inc. | 205,285 | ||||||
| 22,346 | Stoneridge, Inc.* | 329,380 | ||||||
| 17,077 | Superior Industries International, Inc. | 377,573 | ||||||
| 1,191,013 | ||||||||
|
Banks –
4.3%
|
||||||||
| 3,894 | 1st Source Corp. | 80,762 | ||||||
| 19,073 | Astoria Financial Corp. | 243,944 | ||||||
| 6,330 | Banco Latinoamericano de Comercio Exterior SA Class E | 109,636 | ||||||
| 4,778 | Commerce Bancshares, Inc. | 205,454 | ||||||
| 823 | Cullen/Frost Bankers, Inc. | 46,788 | ||||||
| 74,687 | CVB Financial Corp.(a) | 690,855 | ||||||
| 24,110 | First Bancorp | 246,886 | ||||||
| 6,132 | First Bancorp, Inc. | 91,122 | ||||||
| 11,406 | First Financial Bancorp | 190,366 | ||||||
| 12,553 | First Interstate Bancsystem, Inc. | 185,031 | ||||||
| 2,014 | First Republic Bank* | 65,012 | ||||||
| 4,567 | FirstMerit Corp. | 75,401 | ||||||
| 5,555 | FNB Corp. | 57,494 | ||||||
| 38,007 | Fulton Financial Corp. | 407,055 | ||||||
| 3,265 | Glacier Bancorp, Inc. | 44,012 | ||||||
| 14,075 | Great Southern Bancorp, Inc. | 266,721 | ||||||
| 64,629 | International Bancshares Corp. | 1,081,243 | ||||||
| 14,386 | Investors Bancorp, Inc.* | 204,281 | ||||||
| 3,893 | Northfield Bancorp, Inc. | 54,736 | ||||||
| 70,828 | Popular, Inc.* | 195,485 | ||||||
| 1,364 | Prosperity Bancshares, Inc. | 59,770 | ||||||
| 11,699 | Renasant Corp. | 169,518 | ||||||
| 2,231 | SVB Financial Group* | 133,213 | ||||||
| 2,979 | TCF Financial Corp. | 41,110 | ||||||
| 19,977 | Texas Capital Bancshares, Inc.* | 516,006 | ||||||
| 50,591 | Wilshire Bancorp, Inc.* | 148,738 | ||||||
| 5,610,639 | ||||||||
|
Capital
Goods – 8.6%
|
||||||||
| 1,857 | Alamo Group, Inc. | 44,011 | ||||||
| 11,114 | Albany International Corp. Class A | 293,298 | ||||||
| 751 | Alliant Techsystems, Inc. | 53,569 | ||||||
| 6,857 | American Woodmark Corp. | 118,763 | ||||||
| 5,369 | Applied Industrial Technologies, Inc. | 191,190 | ||||||
| 9,365 | Astec Industries, Inc.* | 346,318 | ||||||
| 2,507 | Astronics Corp.* | 77,216 | ||||||
| 2,325 | Belden, Inc. | 81,050 | ||||||
| 28,797 | Briggs & Stratton Corp. | 571,908 | ||||||
| 9,482 | Ceradyne, Inc.* | 369,703 | ||||||
| 4,177 | Cubic Corp. | 212,985 | ||||||
| 2,334 | Curtiss-Wright Corp. | 75,552 | ||||||
| 4,265 | DigitalGlobe, Inc.* | 108,374 | ||||||
| 4,623 | Ducommun, Inc. | 95,095 | ||||||
| 8,338 | Encore Wire Corp. | 201,946 | ||||||
| 5,173 | EnPro Industries, Inc.* | 248,666 | ||||||
| 2,829 | Franklin Electric Co., Inc. | 132,822 | ||||||
| 3,446 | Generac Holdings, Inc.* | 66,852 | ||||||
| 13,667 | General Cable Corp.* | 581,941 | ||||||
| 11,335 | Hexcel Corp.* | 248,123 | ||||||
| 977 | Hubbell, Inc. Class B | 63,456 | ||||||
| 4,414 | II-VI, Inc.* | 112,998 | ||||||
| 14,762 | Kadant, Inc.* | 465,151 | ||||||
| 3,622 | LMI Aerospace, Inc.* | 88,485 | ||||||
| 43,981 | LSI Industries, Inc. | 349,209 | ||||||
| 8,267 | Lydall, Inc.* | 98,873 | ||||||
| 17,917 | Miller Industries, Inc. | 334,869 | ||||||
| 25,011 | Mueller Industries, Inc. | 948,167 | ||||||
| 8,408 | NACCO Industries, Inc. Class A | 814,063 | ||||||
| 1,755 | Polypore International, Inc.* | 119,059 | ||||||
| 2,702 | Quanex Building Products Corp. | 44,286 | ||||||
| 7,062 | Sauer-Danfoss, Inc.* | 355,854 | ||||||
| 1,777 | Simpson Manufacturing Co., Inc. | 53,079 | ||||||
| 19,312 | Tecumseh Products Co. Class A* | 196,982 | ||||||
| 4,987 | Tennant Co. | 199,131 | ||||||
| 15,036 | Toro Co.(b) | 909,678 | ||||||
| 6,519 | Tredegar Corp. | 119,624 | ||||||
| 1,948 | United Rentals, Inc.* | 49,479 | ||||||
| 12,563 | Universal Forest Products, Inc. | 301,010 | ||||||
| 11,061 | Vicor Corp. | 178,856 | ||||||
| 15,038 | Watsco, Inc. | 1,022,434 | ||||||
| 5,741 | Woodward, Inc. | 200,131 | ||||||
| 11,144,256 | ||||||||
|
Commercial
& Professional Services – 2.5%
|
||||||||
| 17,398 | CDI Corp. | 231,219 | ||||||
| 577 | Clean Harbors, Inc.* | 59,575 | ||||||
| 1,500 | Copart, Inc.* | 69,900 | ||||||
| 23,393 | HNI Corp. | 587,632 | ||||||
| 6,580 | Insperity, Inc. | 194,834 | ||||||
| 48,423 | Kelly Services, Inc. Class A* | 798,980 | ||||||
| 30,916 | Kforce, Inc.* | 404,381 | ||||||
| 25,263 | Kimball International, Inc. Class B | 162,441 | ||||||
| 19,607 | SFN Group, Inc.* | 178,228 | ||||||
| 10,824 | Steelcase, Inc. Class A | 123,285 | ||||||
| 12,564 | United Stationers, Inc. | 445,143 | ||||||
| 3,255,618 | ||||||||
|
Consumer
Durables & Apparel – 4.4%
|
||||||||
| 9,389 | Blyth, Inc. | 472,736 | ||||||
| 7,091 | Columbia Sportswear Co. | 449,569 | ||||||
| 2,729 | CSS Industries, Inc. | 57,118 | ||||||
| 3,480 | Fossil, Inc.* | 409,666 | ||||||
| 8,198 | Harman International Industries, Inc. | 373,583 | ||||||
| 18,768 | iRobot Corp.* | 662,323 | ||||||
| 26,070 | Kenneth Cole Productions, Inc. Class A* | 325,614 | ||||||
| 5,880 | Mohawk Industries, Inc.* | 352,741 | ||||||
| 17,085 | Oxford Industries, Inc. | 576,790 | ||||||
| 19,424 | Perry Ellis International, Inc.* | 490,456 | ||||||
| 12,643 | Polaris Industries, Inc. | 1,405,522 | ||||||
| 867 | Under Armour, Inc. Class A* | 67,028 | ||||||
| 1,217 | Vera Bradley, Inc.* | 46,489 | ||||||
| 5,689,635 | ||||||||
GOLDMAN SACHS
VARIABLE INSURANCE TRUST STRUCTURED SMALL CAP EQUITY FUND
Schedule of
Investments (continued)
June 30,
2011 (Unaudited)
| Shares | Description | Value | ||||||
|
Common
Stocks – (continued)
|
||||||||
|
Consumer
Services – 2.9%
|
||||||||
| 9,497 | Ascent Media Corp. Class A* | $ | 503,056 | |||||
| 2,512 | Biglari Holdings, Inc.* | 982,318 | ||||||
| 12,948 | Domino’s Pizza, Inc.* | 326,807 | ||||||
| 48,755 | O’Charleys, Inc.* | 356,399 | ||||||
| 22,693 | Papa John’s International, Inc.* | 754,769 | ||||||
| 1,389 | Peet’s Coffee & Tea, Inc.* | 80,145 | ||||||
| 8,048 | Pre-Paid Legal Services, Inc.* | 535,112 | ||||||
| 9,981 | Texas Roadhouse, Inc. | 175,017 | ||||||
| 3,713,623 | ||||||||
|
Diversified
Financials – 4.9%
|
||||||||
| 92,314 | Advance America, Cash Advance Centers, Inc. | 636,044 | ||||||
| 27,432 | BlackRock Kelso Capital Corp. | 246,065 | ||||||
| 6,023 | Cash America International, Inc. | 348,551 | ||||||
| 43,359 | Compass Diversified Holdings | 714,990 | ||||||
| 677 | Diamond Hill Investment Group, Inc. | 55,033 | ||||||
| 13,822 | Federated Investors, Inc. Class B(a) | 329,517 | ||||||
| 2,826 | Financial Engines, Inc.* | 73,250 | ||||||
| 9,011 | First Cash Financial Services, Inc.* | 378,372 | ||||||
| 7,909 | GAMCO Investors, Inc. Class A | 366,108 | ||||||
| 17,521 | Gladstone Capital Corp. | 161,894 | ||||||
| 3,595 | Golub Capital BDC, Inc. | 53,673 | ||||||
| 29,610 | Hercules Technology Growth Capital, Inc. | 311,497 | ||||||
| 5,467 | Intl. FCStone, Inc.* | 132,356 | ||||||
| 37,002 | NGP Capital Resources Co. | 303,416 | ||||||
| 13,762 | PHH Corp.* | 282,396 | ||||||
| 60,795 | Primus Guaranty Ltd.* | 319,174 | ||||||
| 5,589 | Safeguard Scientifics, Inc.* | 105,520 | ||||||
| 4,200 | SEI Investments Co. | 94,542 | ||||||
| 4,373 | Solar Capital Ltd. | 107,969 | ||||||
| 38,290 | TICC Capital Corp. | 367,584 | ||||||
| 13,522 | World Acceptance Corp.* | 886,638 | ||||||
| 6,274,589 | ||||||||
|
Energy –
7.6%
|
||||||||
| 15,430 | Alon USA Energy, Inc. | 173,896 | ||||||
| 36,677 | Complete Production Services, Inc.* | 1,223,545 | ||||||
| 7,284 | Dril-Quip, Inc.* | 494,074 | ||||||
| 6,901 | Energen Corp. | 389,907 | ||||||
| 4,285 | Exterran Holdings, Inc.* | 84,972 | ||||||
| 35,329 | Frontier Oil Corp. | 1,141,480 | ||||||
| 11,401 | Petroquest Energy, Inc.* | 80,035 | ||||||
| 113,742 | Tesoro Corp.* | 2,605,829 | ||||||
| 35,286 | USEC, Inc.* | 117,855 | ||||||
| 72,658 | W&T Offshore, Inc. | 1,897,827 | ||||||
| 93,306 | Western Refining, Inc.*(a) | 1,686,039 | ||||||
| 9,895,459 | ||||||||
|
Food
& Staples Retailing – 0.4%
|
||||||||
| 8,869 | PriceSmart, Inc. | 454,359 | ||||||
| 5,800 | Susser Holdings Corp.* | 91,176 | ||||||
| 545,535 | ||||||||
|
Food,
Beverage & Tobacco – 2.6%
|
||||||||
| 42,484 | Alliance One International, Inc.* | 137,223 | ||||||
| 6,291 | Boston Beer Co., Inc. Class A* | 563,674 | ||||||
| 35,928 | Dole Food Co., Inc.*(a) | 485,746 | ||||||
| 2,211 | Flowers Foods, Inc. | 48,730 | ||||||
| 5,928 | J&J Snack Foods Corp. | 295,511 | ||||||
| 21,912 | Lancaster Colony Corp. | 1,332,688 | ||||||
| 32,278 | National Beverage Corp. | 472,873 | ||||||
| 3,336,445 | ||||||||
|
Health
Care Equipment & Services – 7.4%
|
||||||||
| 27,652 | Align Technology, Inc.* | 630,466 | ||||||
| 3,494 | Amerigroup Corp.* | 246,222 | ||||||
| 10,455 | AMN Healthcare Services, Inc.* | 86,985 | ||||||
| 21,232 | Assisted Living Concepts, Inc. Class A | 356,273 | ||||||
| 1,791 | Centene Corp.* | 63,634 | ||||||
| 1,740 | Coventry Health Care, Inc.* | 63,458 | ||||||
| 24,807 | Health Net, Inc.* | 796,057 | ||||||
| 673 | HeartWare International, Inc.* | 49,856 | ||||||
| 18,235 | Hill-Rom Holdings, Inc. | 839,539 | ||||||
| 821 | IDEXX Laboratories, Inc.* | 63,677 | ||||||
| 18,579 | Invacare Corp. | 616,637 | ||||||
| 33,498 | Kindred Healthcare, Inc.* | 719,202 | ||||||
| 7,501 | Magellan Health Services, Inc.* | 410,605 | ||||||
| 16,186 | Masimo Corp. | 480,400 | ||||||
| 9,734 | Medcath Corp.* | 132,285 | ||||||
| 23,880 | Medical Action Industries, Inc.* | 194,622 | ||||||
| 50,847 | Molina Healthcare, Inc.* | 1,378,971 | ||||||
| 33,485 | PharMerica Corp.* | 427,269 | ||||||
| 5,065 | Sirona Dental Systems, Inc.* | 268,951 | ||||||
| 28,604 | Skilled Healthcare Group, Inc. Class A* | 270,594 | ||||||
| 4,370 | STERIS Corp. | 152,863 | ||||||
| 5,323 | SXC Health Solutions Corp.* | 313,631 | ||||||
| 1,424 | Teleflex, Inc. | 86,949 | ||||||
| 32,822 | Universal American Corp. | 359,401 | ||||||
| 12,622 | Vascular Solutions, Inc.* | 156,513 | ||||||
| 9,210 | WellCare Health Plans, Inc.* | 473,486 | ||||||
| 9,638,546 | ||||||||
|
Household
& Personal
Products* –
0.9%
|
||||||||
| 58,085 | Central Garden and Pet Co. Class A | 589,563 | ||||||
| 34,661 | Prestige Brands Holdings, Inc. | 445,047 | ||||||
| 4,199 | USANA Health Sciences, Inc. | 131,345 | ||||||
| 1,165,955 | ||||||||
|
Insurance –
1.9%
|
||||||||
| 4,022 | Allied World Assurance Co. Holdings Ltd. | 231,587 | ||||||
| 17,877 | American Equity Investment Life Holding Co. | 227,217 | ||||||
| 1,479 | American Financial Group, Inc. | 52,785 | ||||||
| 34,804 | Aspen Insurance Holdings Ltd. | 895,507 | ||||||
| 25,354 | Flagstone Reinsurance Holdings SA | 213,734 | ||||||
| 4,129 | Global Indemnity PLC* | 91,581 | ||||||
| 1,436 | Kansas City Life Insurance Co. | 44,731 | ||||||
| 33,139 | Maiden Holdings Ltd. | 301,565 | ||||||
| 4,705 | OneBeacon Insurance Group Ltd. Class A | 63,000 | ||||||
GOLDMAN SACHS
VARIABLE INSURANCE TRUST STRUCTURED SMALL CAP EQUITY FUND
| Shares | Description | Value | ||||||
|
Common
Stocks – (continued)
|
||||||||
|
Insurance –
(continued)
|
||||||||
| 11,579 | Symetra Financial Corp. | $ | 155,506 | |||||
| 1,318 | W.R. Berkley Corp. | 42,756 | ||||||
| 468 | White Mountains Insurance Group Ltd. | 196,635 | ||||||
| 2,516,604 | ||||||||
|
Materials –
5.6%
|
||||||||
| 15,836 | A. Schulman, Inc. | 398,909 | ||||||
| 739 | Airgas, Inc. | 51,759 | ||||||
| 11,376 | American Vanguard Corp. | 147,547 | ||||||
| 13,458 | Clearwater Paper Corp.* | 918,912 | ||||||
| 2,346 | Domtar Corp. | 222,213 | ||||||
| 2,130 | Georgia Gulf Corp.* | 51,418 | ||||||
| 34,028 | Golden Star Resources Ltd.* | 74,862 | ||||||
| 3,537 | Innophos Holdings, Inc. | 172,606 | ||||||
| 5,967 | Kaiser Aluminum Corp. | 325,917 | ||||||
| 29,287 | KapStone Paper and Packaging Corp.* | 485,286 | ||||||
| 1,526 | Koppers Holdings, Inc. | 57,881 | ||||||
| 29,299 | Kraton Performance Polymers, Inc.* | 1,147,642 | ||||||
| 15,635 | Materion Corp.* | 578,026 | ||||||
| 23,883 | Noranda Aluminum Holding Corp.* | 361,589 | ||||||
| 7,352 | OM Group, Inc.* | 298,785 | ||||||
| 25,434 | PolyOne Corp. | 393,464 | ||||||
| 48,974 | Senomyx, Inc.* | 251,726 | ||||||
| 20,667 | Spartech Corp.* | 125,862 | ||||||
| 7,970 | Stepan Co. | 565,073 | ||||||
| 15,105 | Titanium Metals Corp. | 276,724 | ||||||
| 8,373 | TPC Group, Inc.* | 328,389 | ||||||
| 7,234,590 | ||||||||
|
Media –
0.3%
|
||||||||
| 7,679 | Harte-Hanks, Inc. | 62,354 | ||||||
| 59,889 | Journal Communications, Inc. Class A* | 309,626 | ||||||
| 371,980 | ||||||||
|
Pharmaceuticals,
Biotechnology & Life Sciences – 5.9%
|
||||||||
| 40,564 | Accelrys, Inc.* | 288,410 | ||||||
| 89,357 | Affymetrix, Inc.* | 708,601 | ||||||
| 8,305 | Akorn, Inc.* | 58,135 | ||||||
| 25,361 | Albany Molecular Research, Inc.* | 121,986 | ||||||
| 905 | Bio-Rad Laboratories, Inc. Class A* | 108,021 | ||||||
| 7,189 | Codexis, Inc.* | 69,230 | ||||||
| 43,652 | Cubist Pharmaceuticals, Inc.* | 1,571,035 | ||||||
| 24,696 | Emergent Biosolutions, Inc.* | 556,895 | ||||||
| 18,219 | eResearchTechnology, Inc.* | 116,055 | ||||||
| 10,774 | Genomic Health, Inc.* | 300,702 | ||||||
| 38,437 | Maxygen, Inc. | 210,250 | ||||||
| 92,957 | Nabi Biopharmaceuticals* | 500,109 | ||||||
| 1,595 | Par Pharmaceutical Cos, Inc.* | 52,603 | ||||||
| 117,180 | PDL BioPharma, Inc. | 687,847 | ||||||
| 55,984 | Progenics Pharmaceuticals, Inc.* | 401,965 | ||||||
| 13,019 | Questcor Pharmaceuticals, Inc.* | 313,758 | ||||||
| 48,417 | Sciclone Pharmaceuticals, Inc.* | 292,439 | ||||||
| 14,306 | Seattle Genetics, Inc.* | 293,559 | ||||||
| 9,376 | The Medicines Co.* | 154,798 | ||||||
| 47,344 | Viropharma, Inc.* | 875,864 | ||||||
| 7,682,262 | ||||||||
|
Real
Estate – 7.4%
|
||||||||
| 10,812 | Agree Realty Corp. (REIT) | 241,432 | ||||||
| 24,991 | American Campus Communities, Inc. (REIT) | 887,680 | ||||||
| 7,460 | Ashford Hospitality Trust, Inc. (REIT) | 92,877 | ||||||
| 4,716 | Capstead Mortgage Corp. (REIT) | 63,195 | ||||||
| 16,865 | Equity Lifestyle Properties, Inc. (REIT) | 1,053,051 | ||||||
| 12,279 | Extra Space Storage, Inc. (REIT) | 261,911 | ||||||
| 4,007 | Federal Realty Investment Trust (REIT) | 341,316 | ||||||
| 41,845 | Franklin Street Properties Corp. (REIT) | 540,219 | ||||||
| 2,718 | Hatteras Financial Corp. (REIT) | 76,729 | ||||||
| 3,011 | Jones Lang LaSalle, Inc. | 283,937 | ||||||
| 11,817 | LTC Properties, Inc. (REIT) | 328,749 | ||||||
| 8,659 | MFA Financial, Inc. (REIT) | 69,618 | ||||||
| 123,176 | MPG Office Trust, Inc. (REIT)* | 352,283 | ||||||
| 6,345 | National Health Investors, Inc. (REIT) | 281,908 | ||||||
| 1,981 | National Retail Properties, Inc. (REIT) | 48,554 | ||||||
| 39,103 | Nationwide Health Properties, Inc. (REIT) | 1,619,255 | ||||||
| 1,604 | Potlatch Corp. (REIT) | 56,573 | ||||||
| 35,636 | Rayonier, Inc. (REIT) | 2,328,813 | ||||||
| 13,105 | Realty Income Corp. (REIT) | 438,887 | ||||||
| 3,323 | Senior Housing Properties Trust (REIT) | 77,792 | ||||||
| 2,625 | Starwood Property Trust, Inc. (REIT) | 53,839 | ||||||
| 4,265 | Two Harbors Investment Corp. (REIT) | 45,849 | ||||||
| 3,365 | Urstadt Biddle Properties, Inc. Class A (REIT) | 60,940 | ||||||
| 9,605,407 | ||||||||
|
Retailing –
5.4%
|
||||||||
| 30,832 | Asbury Automotive Group, Inc.* | 571,317 | ||||||
| 11,640 | Audiovox Corp. Class A* | 87,998 | ||||||
| 7,359 | Cabela’s, Inc.* | 199,797 | ||||||
| 7,988 | Core-Mark Holding Co., Inc.* | 285,172 | ||||||
| 14,869 | DSW, Inc. Class A* | 752,520 | ||||||
| 33,394 | Fred’s, Inc. Class A | 481,875 | ||||||
| 4,823 | Genesco, Inc.* | 251,278 | ||||||
| 25,042 | Group 1 Automotive, Inc. | 1,031,230 | ||||||
| 22,446 | Lithia Motors, Inc. Class A | 440,615 | ||||||
| 1,567 | Rue21, Inc.* | 50,928 | ||||||
| 12,242 | Shoe Carnival, Inc.* | 369,096 | ||||||
| 17,563 | Sonic Automotive, Inc. Class A | 257,298 | ||||||
| 62,365 | Stage Stores, Inc. | 1,047,732 | ||||||
| 10,862 | Ulta Salon Cosmetics & Fragrance, Inc.* | 701,468 | ||||||
| 15,818 | Zumiez, Inc.* | 394,975 | ||||||
| 6,923,299 | ||||||||
|
Semiconductors
& Semiconductor Equipment – 3.3%
|
||||||||
| 10,678 | Applied Micro Circuits Corp.* | 94,607 | ||||||
| 7,015 | DSP Group, Inc.* | 61,030 | ||||||
| 249,889 | Lattice Semiconductor Corp.* | 1,629,276 | ||||||
| 28,760 | LTX-Credence Corp.* | 257,114 | ||||||
| 28,994 | Micrel, Inc. | 306,757 | ||||||
| 1,740 | MKS Instruments, Inc. | 45,971 | ||||||
| 37,506 | Photronics, Inc.* | 317,676 | ||||||
| 53,382 | PLX Technology, Inc.* | 185,236 | ||||||
| 46,093 | RF Micro Devices, Inc.* | 282,089 | ||||||
| 108,448 | Silicon Image, Inc.* | 700,574 | ||||||
GOLDMAN SACHS
VARIABLE INSURANCE TRUST STRUCTURED SMALL CAP EQUITY FUND
Schedule of
Investments (continued)
June 30,
2011 (Unaudited)
| Shares | Description | Value | ||||||
|
Common
Stocks – (continued)
|
||||||||
|
Semiconductors
& Semiconductor Equipment – (continued)
|
||||||||
| 6,113 | Standard Microsystems Corp.* | $ | 164,990 | |||||
| 2,467 | Tessera Technologies, Inc.* | 42,284 | ||||||
| 21,640 | Zoran Corp.* | 181,776 | ||||||
| 4,269,380 | ||||||||
|
Software
& Services – 9.0%
|
||||||||
| 6,292 | Advent Software, Inc.*(b) | 177,246 | ||||||
| 8,978 | AOL, Inc.* | 178,303 | ||||||
| 23,168 | Blackbaud, Inc. | 642,217 | ||||||
| 17,947 | Bottomline Technologies, Inc.* | 443,470 | ||||||
| 86,289 | Ciber, Inc.* | 478,904 | ||||||
| 18,590 | CommVault Systems, Inc.* | 826,326 | ||||||
| 11,209 | CSG Systems International, Inc.* | 207,142 | ||||||
| 16,745 | Kenexa Corp.* | 401,545 | ||||||
| 121,557 | Lionbridge Technologies, Inc.* | 386,551 | ||||||
| 6,352 | LivePerson, Inc.* | 89,817 | ||||||
| 17,649 | LogMeIn, Inc.* | 680,722 | ||||||
| 79,406 | Magma Design Automation, Inc.* | 634,454 | ||||||
| 20,179 | Manhattan Associates, Inc.* | 694,965 | ||||||
| 55,638 | Marchex, Inc. Class B | 494,065 | ||||||
| 23,702 | Mentor Graphics Corp.* | 303,623 | ||||||
| 10,493 | MicroStrategy, Inc. Class A* | 1,707,001 | ||||||
| 2,341 | NeuStar, Inc. Class A* | 61,334 | ||||||
| 5,863 | Opnet Technologies, Inc. | 240,031 | ||||||
| 15,125 | PROS Holdings, Inc.* | 264,536 | ||||||
| 7,469 | QAD, Inc. Class A* | 76,333 | ||||||
| 13,245 | Quest Software, Inc.* | 301,059 | ||||||
| 99,910 | RealNetworks, Inc.* | 339,694 | ||||||
| 25,007 | Renaissance Learning, Inc. | 313,588 | ||||||
| 15,437 | Saba Software, Inc.* | 139,396 | ||||||
| 4,884 | SRA International, Inc. Class A* | 151,013 | ||||||
| 8,794 | TeleTech Holdings, Inc.* | 185,378 | ||||||
| 13,969 | Ultimate Software Group, Inc.* | 760,333 | ||||||
| 7,645 | VeriFone Systems, Inc.* | 339,056 | ||||||
| 1,205 | VistaPrint NV* | 57,659 | ||||||
| 2,117 | Websense, Inc.* | 54,979 | ||||||
| 11,630,740 | ||||||||
|
Technology
Hardware & Equipment – 5.3%
|
||||||||
| 16,911 | Agilysys, Inc.* | 141,038 | ||||||
| 3,300 | Aruba Networks, Inc.* | 97,515 | ||||||
| 41,074 | Brightpoint, Inc.* | 333,110 | ||||||
| 3,844 | DG FastChannel, Inc.* | 123,200 | ||||||
| 11,946 | EchoStar Corp. Class A* | 435,193 | ||||||
| 22,783 | Electronics for Imaging, Inc.* | 392,323 | ||||||
| 3,145 | EMS Technologies, Inc.* | 103,691 | ||||||
| 8,031 | Emulex Corp.* | 69,067 | ||||||
| 56,040 | Extreme Networks* | 181,570 | ||||||
| 20,500 | Gerber Scientific, Inc.* | 228,165 | ||||||
| 18,417 | Hypercom Corp.* | 181,039 | ||||||
| 38,302 | Imation Corp.* | 361,571 | ||||||
| 12,472 | Ingram Micro, Inc. Class A* | 226,242 | ||||||
| 19,606 | Insight Enterprises, Inc.* | 347,222 | ||||||
| 32,835 | Methode Electronics, Inc. | 381,214 | ||||||
| 4,602 | National Instruments Corp. | 136,633 | ||||||
| 14,692 | Plantronics, Inc. | 536,699 | ||||||
| 28,360 | Powerwave Technologies, Inc.* | 83,662 | ||||||
| 165,434 | Quantum Corp.* | 545,932 | ||||||
| 21,771 | Radisys Corp.* | 158,711 | ||||||
| 36,456 | ShoreTel, Inc.* | 371,851 | ||||||
| 9,391 | Super Micro Computer, Inc.* | 151,101 | ||||||
| 30,589 | Symmetricom, Inc.* | 178,334 | ||||||
| 2,200 | Synaptics, Inc.*(a) | 56,628 | ||||||
| 32,503 | Tellabs, Inc. | 149,839 | ||||||
| 54,500 | Vishay Intertechnology, Inc.* | 819,680 | ||||||
| 5,085 | Vishay Precision Group, Inc.* | 85,835 | ||||||
| 6,877,065 | ||||||||
|
Telecommunication
Services – 1.1%
|
||||||||
| 17,985 | Cbeyond, Inc.* | 237,942 | ||||||
| 15,884 | IDT Corp. Class B | 429,186 | ||||||
| 51,313 | USA Mobility, Inc. | 783,036 | ||||||
| 1,450,164 | ||||||||
|
Transportation –
2.3%
|
||||||||
| 10,181 | Alaska Air Group, Inc.* | 696,991 | ||||||
| 4,228 | Allegiant Travel Co.* | 209,286 | ||||||
| 8,796 | Celadon Group, Inc.* | 122,792 | ||||||
| 756 | Copa Holdings SA Class A | 50,455 | ||||||
| 9,461 | Heartland Express, Inc. | 156,674 | ||||||
| 2,560 | Landstar System, Inc. | 118,989 | ||||||
| 83,110 | Pacer International, Inc.* | 392,279 | ||||||
| 7,676 | Saia, Inc.* | 130,108 | ||||||
| 22,962 | SkyWest, Inc. | 345,808 | ||||||
| 7,243 | Universal Truckload Services, Inc.* | 124,073 | ||||||
| 26,635 | Werner Enterprises, Inc. | 667,207 | ||||||
| 3,014,662 | ||||||||
|
Utilities –
2.8%
|
||||||||
| 2,634 | Alliant Energy Corp. | 107,098 | ||||||
| 8,674 | Atmos Energy Corp. | 288,410 | ||||||
| 3,935 | DPL, Inc. | 118,680 | ||||||
| 11,507 | Dynegy, Inc.* | 71,228 | ||||||
| 2,920 | El Paso Electric Co. | 94,316 | ||||||
| 1,038 | IDACORP, Inc. | 41,001 | ||||||
| 8,815 | Integrys Energy Group, Inc. | 456,970 | ||||||
| 658 | ITC Holdings Corp. | 47,225 | ||||||
| 1,041 | Nicor, Inc. | 56,984 | ||||||
| 6,980 | Northeast Utilities | 245,487 | ||||||
| 1,074 | NSTAR | 49,383 | ||||||
| 3,209 | NV Energy, Inc. | 49,258 | ||||||
| 10,519 | Pepco Holdings, Inc. | 206,488 | ||||||
| 26,088 | PNM Resources, Inc. | 436,713 | ||||||
| 18,257 | Portland General Electric Co. | 461,537 | ||||||
| 1,508 | SCANA Corp. | 59,370 | ||||||
| 15,970 | Southwest Gas Corp. | 616,602 | ||||||
| 2,861 | TECO Energy, Inc. | 54,044 | ||||||
| 2,589 | Westar Energy, Inc. | 69,670 | ||||||
| 1,856 | WGL Holdings, Inc. | 71,437 | ||||||
| 3,601,901 | ||||||||
|
TOTAL
COMMON STOCKS
|
||||||||
|
(Cost
$89,819,270)
|
$ | 126,639,367 | ||||||
GOLDMAN SACHS
VARIABLE INSURANCE TRUST STRUCTURED SMALL CAP EQUITY FUND
| Shares | Rate | Value | ||||||||
|
Short-term
Investment(c) –
2.3%
|
||||||||||
|
JPMorgan U.S. Government Money Market Fund — Capital
Shares
|
||||||||||
| 2,938,019 | 0.010 | % | $ | 2,938,019 | ||||||
|
(Cost
$2,938,019)
|
||||||||||
|
TOTAL
INVESTMENTS BEFORE SECURITIES LENDING REINVESTMENT
VEHICLE
|
||||||||||
|
(Cost
$92,757,289)
|
$ | 129,577,386 | ||||||||
|
Securities
Lending Reinvestment
Vehicle(c)(d) –
2.2%
|
||||||||||
|
Goldman Sachs Financial Square Money Market Fund —
FST Shares |
||||||||||
| 2,887,450 | 0.099 | % | $ | 2,887,450 | ||||||
|
(Cost
$2,887,450)
|
||||||||||
|
TOTAL
INVESTMENTS – 102.2%
|
||||||||||
|
(Cost
$95,644,739)
|
$ | 132,464,836 | ||||||||
|
LIABILITIES
IN EXCESS OF OTHER ASSETS – (2.2)%
|
(2,896,137 | ) | ||||||||
|
NET
ASSETS – 100.0%
|
$ | 129,568,699 | ||||||||
The percentage shown for each investment category reflects the
value of investments in that category as a percentage of net
assets.
| * | Non-income producing security. | |
| (a) | All or a portion of security is on loan. | |
| (b) | All or a portion of security is segregated as collateral for initial margin requirements on futures transactions. | |
| (c) | Variable rate security. Interest rate disclosed is that which is in effect at June 30, 2011. | |
| (d) | Represents an affiliated issuer. |
|
Investment
Abbreviation:
|
||||
|
REIT
|
— | Real Estate Investment Trust | ||
| ADDITIONAL INVESTMENT INFORMATION |
FUTURES
CONTRACTS — At June 30, 2011, the
following futures contracts were open:
|
Number of |
||||||||||||||
|
Contracts |
Expiration |
Current |
Unrealized |
|||||||||||
| Type | Long (Short) | Date | Value | Gain (Loss) | ||||||||||
|
Russell 2000 Mini Index
|
32 | September 2011 | $ | 2,641,280 | $ | 164,270 | ||||||||
GOLDMAN SACHS
VARIABLE INSURANCE TRUST STRUCTURED SMALL CAP EQUITY FUND
Statement of
Assets and Liabilities
June 30,
2011 (Unaudited)
|
Assets:
|
||||
|
Investments in securities of unaffiliated issuers, at value
(identified cost
$92,757,289)(a)
|
$ | 129,577,386 | ||
|
Investments in affiliated securities lending reinvestment
vehicle, at value (identified cost $2,887,450)
|
2,887,450 | |||
|
Receivables:
|
||||
|
Investment securities sold
|
927,807 | |||
|
Dividends
|
92,314 | |||
|
Due from custodian
|
48,102 | |||
|
Due from broker — variation margin
|
20,800 | |||
|
Fund shares sold
|
16,769 | |||
|
Reimbursement from investment adviser
|
13,789 | |||
|
Securities lending income
|
1,492 | |||
|
Other assets
|
948 | |||
|
Total
assets
|
133,586,857 | |||
|
Liabilities:
|
||||
|
Payables:
|
||||
|
Payable upon return of securities loaned
|
2,887,450 | |||
|
Investment securities purchased
|
802,211 | |||
|
Fund shares redeemed
|
161,054 | |||
|
Amounts owed to affiliates
|
82,777 | |||
|
Accrued expenses
|
84,666 | |||
|
Total
liabilities
|
4,018,158 | |||
|
Net
Assets:
|
||||
|
Paid-in capital
|
126,900,469 | |||
|
Accumulated undistributed net investment income
|
963,168 | |||
|
Accumulated net realized loss from investment and futures
transactions
|
(35,279,305 | ) | ||
|
Net unrealized gain on investments and futures
|
36,984,367 | |||
|
NET
ASSETS
|
$ | 129,568,699 | ||
|
Net Assets:
|
||||
|
Institutional
|
$ | 103,612,085 | ||
|
Service
|
25,956,614 | |||
|
Total Net Assets
|
$ | 129,568,699 | ||
|
Shares of beneficial interest outstanding $0.001 par value
(unlimited shares authorized):
|
||||
|
Institutional
|
8,349,506 | |||
|
Service
|
2,103,394 | |||
|
Net asset value, offering and redemption price per share:
|
||||
|
Institutional
|
$12.41 | |||
|
Service
|
12.34 | |||
| (a) | Includes loaned securities having a market value of $2,850,253. |
GOLDMAN SACHS
VARIABLE INSURANCE TRUST STRUCTURED SMALL CAP EQUITY FUND
Statement of
Operations
For the
Six Months Ended June 30, 2011 (Unaudited)
|
Investment
income:
|
||||
|
Dividends
|
$ | 800,407 | ||
|
Securities lending income — affiliated issuer
|
14,917 | |||
|
Total
investment income
|
815,324 | |||
|
Expenses:
|
||||
|
Management fees
|
493,991 | |||
|
Printing and mailing costs
|
39,852 | |||
|
Professional fees
|
39,245 | |||
|
Distribution and Service fees — Service Class
|
33,129 | |||
|
Custody and accounting fees
|
26,446 | |||
|
Transfer Agent
fees(a)
|
13,172 | |||
|
Trustee fees
|
8,255 | |||
|
Registration fees
|
667 | |||
|
Other
|
5,778 | |||
|
Total
expenses
|
660,535 | |||
|
Less — expense reductions
|
(71,623 | ) | ||
|
Net
expenses
|
588,912 | |||
|
NET
INVESTMENT INCOME
|
226,412 | |||
|
Realized and
unrealized gain from investment and futures
transactions:
|
||||
|
Net realized gain from:
|
||||
|
Investment transactions
|
6,598,090 | |||
|
Futures transactions
|
70,028 | |||
|
Net change in unrealized gain on:
|
||||
|
Investments
|
3,895,384 | |||
|
Futures
|
129,562 | |||
|
Net
realized and unrealized gain from investment and futures
transactions
|
10,693,064 | |||
|
NET
INCREASE IN NET ASSETS RESULTING FROM OPERATIONS
|
$ | 10,919,476 | ||
| (a) | Institutional and Service Shares had Transfer Agent fees of $10,522 and $2,650, respectively. |
GOLDMAN SACHS
VARIABLE INSURANCE TRUST STRUCTURED SMALL CAP EQUITY FUND
Statements
of Changes in Net Assets
|
For the |
For the |
|||||||
|
Six Months
Ended |
Fiscal Year
Ended |
|||||||
| June 30, 2011 (Unaudited) | December 31, 2010 | |||||||
|
From
operations:
|
||||||||
|
Net investment income
|
$ | 226,412 | $ | 937,448 | ||||
|
Net realized gain from investment and futures transactions
|
6,668,118 | 11,300,293 | ||||||
|
Net change in unrealized gain on investments and futures
|
4,024,946 | 20,038,541 | ||||||
|
Net
increase in net assets resulting from operations
|
10,919,476 | 32,276,282 | ||||||
|
Distributions to
shareholders:
|
||||||||
|
From net investment income
|
||||||||
|
Institutional Shares
|
— | (529,767 | ) | |||||
|
Service Shares
|
— | (77,675 | ) | |||||
|
Total
distributions to shareholders
|
— | (607,442 | ) | |||||
|
From share
transactions:
|
||||||||
|
Proceeds from sales of shares
|
5,532,558 | 16,035,389 | ||||||
|
Reinvestment of distributions
|
— | 607,442 | ||||||
|
Cost of shares redeemed
|
(20,957,610 | ) | (32,863,054 | ) | ||||
|
Net
decrease in net assets resulting from share
transactions
|
(15,425,052 | ) | (16,220,223 | ) | ||||
|
TOTAL
INCREASE (DECREASE)
|
(4,505,576 | ) | 15,448,617 | |||||
|
Net
assets:
|
||||||||
|
Beginning of period
|
134,074,275 | 118,625,658 | ||||||
|
End of period
|
$ | 129,568,699 | $ | 134,074,275 | ||||
|
Accumulated
undistributed net investment income
|
$ | 963,168 | $ | 736,756 | ||||
GOLDMAN SACHS
VARIABLE INSURANCE TRUST STRUCTURED SMALL CAP EQUITY FUND
Financial
Highlights
Selected
Data for a Share Outstanding Throughout Each Period
|
Income (loss)
from |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
| investment operations | Distributions to shareholders | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||
|
Net |
|
Ratio of |
Ratio of |
|||||||||||||||||||||||||||||||||||||||||||||||||||||||
|
Net asset |
realized |
From |
Net asset |
Net assets, |
Ratio of |
total |
net investment |
|||||||||||||||||||||||||||||||||||||||||||||||||||
|
value, |
Net |
and |
Total from |
From net |
net |
value, |
end of |
net expenses |
expenses |
income |
Portfolio |
|||||||||||||||||||||||||||||||||||||||||||||||
|
beginning |
investment |
unrealized |
investment |
investment |
realized |
Total |
end of |
Total |
period |
to average |
to average |
to average |
turnover |
|||||||||||||||||||||||||||||||||||||||||||||
| Year - Share Class | of period | income | gain (loss) | operations | income | gains | distributions | period | return(a) | (in 000s) | net assets | net assets | net assets | rate | ||||||||||||||||||||||||||||||||||||||||||||
|
FOR THE SIX
MONTHS ENDED JUNE 30, (UNAUDITED)
|
||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
|
2011 - Institutional
|
$ | 11.42 | $ | 0.02 | (b) | $ | 0.97 | $ | 0.99 | $ | — | $ | — | $ | — | $ | 12.41 | 8.67 | % | $ | 103,612 | 0.84 | %(c) | 0.95 | %(c) | 0.39 | %(c) | 11 | % | |||||||||||||||||||||||||||||
|
2011 - Service
|
11.37 | 0.01 | (b) | 0.96 | 0.97 | — | — | — | 12.34 | 8.53 | 25,957 | 1.09 | (c) | 1.20 | (c) | 0.14 | (c) | 11 | ||||||||||||||||||||||||||||||||||||||||
|
FOR THE FISCAL
YEARS ENDED DECEMBER 31,
|
||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
|
2010 - Institutional
|
8.82 | 0.08 | (b)(d) | 2.58 | 2.66 | (0.06 | ) | — | (0.06 | ) | 11.42 | 30.12 | 106,646 | 0.85 | 0.97 | 0.82 | (d) | 63 | ||||||||||||||||||||||||||||||||||||||||
|
2010 - Service
|
8.78 | 0.06 | (b)(d) | 2.56 | 2.62 | (0.03 | ) | — | (0.03 | ) | 11.37 | 29.86 | 27,428 | 1.10 | 1.22 | 0.58 | (d) | 63 | ||||||||||||||||||||||||||||||||||||||||
|
2009 - Institutional
|
6.98 | 0.08 | (b)(e) | 1.85 | 1.93 | (0.09 | ) | — | (0.09 | ) | 8.82 | 27.67 | 95,334 | 0.86 | 1.02 | 1.03 | (e) | 212 | ||||||||||||||||||||||||||||||||||||||||
|
2009 - Service
|
6.96 | 0.07 | (b)(e) | 1.83 | 1.90 | (0.08 | ) | — | (0.08 | ) | 8.78 | 27.26 | 23,291 | 1.11 | 1.27 | 0.83 | (e) | 212 | ||||||||||||||||||||||||||||||||||||||||
|
2008 - Institutional
|
10.71 | 0.09 | (f) | (3.74 | ) | (3.65 | ) | (0.06 | ) | (0.02 | ) | (0.08 | ) | 6.98 | (33.95 | ) | 86,253 | 0.86 | 1.06 | 0.85 | (f) | 189 | ||||||||||||||||||||||||||||||||||||
|
2008 - Service
|
10.71 | 0.06 | (f) | (3.73 | ) | (3.67 | ) | (0.06 | ) | (0.02 | ) | (0.08 | ) | 6.96 | (34.16 | ) | 6,464 | 1.11 | 1.31 | 1.92 | (f) | 189 | ||||||||||||||||||||||||||||||||||||
|
2007 - Institutional
|
14.44 | 0.07 | (b)(g) | (2.42 | ) | (2.35 | ) | (0.05 | ) | (1.33 | ) | (1.38 | ) | 10.71 | (16.48 | ) | 152,896 | 0.90 | (h) | 0.95 | (h) | 0.49 | (g)(h) | 163 | ||||||||||||||||||||||||||||||||||
|
2007 - Service (Commenced August 31, 2007)
|
12.81 | 0.02 | (b) | (0.74 | ) | (0.72 | ) | (0.05 | ) | (1.33 | ) | (1.38 | ) | 10.71 | (5.86 | ) | 10 | 0.96 | (c) | 1.21 | (c) | 0.56 | (c) | 163 | ||||||||||||||||||||||||||||||||||
|
2006 - Institutional
|
13.93 | 0.07 | (b) | 1.64 | 1.71 | (0.10 | ) | (1.10 | ) | (1.20 | ) | 14.44 | 12.27 | 202,929 | 0.87 | 0.99 | 0.49 | 133 | ||||||||||||||||||||||||||||||||||||||||
| (a) | Assumes investment at the net asset value at the beginning of the period, reinvestment of all distributions, and a complete redemption of the investment at the net asset value at the end of the period. Total returns for periods less than one full year are not annualized. | |
| (b) | Calculated based on the average shares outstanding methodology. | |
| (c) | Annualized. | |
| (d) | Reflects income recognized from non-recurring special dividends which amounted to $0.04 per share and 0.43% of average net assets. | |
| (e) | Reflects income recognized from non-recurring special dividends which amounted to $0.03 per share and 0.43% of average net assets. | |
| (f) | Reflects income recognized from non-recurring special dividends which amounted to $0.01 per share and 0.14% of average net assets. | |
| (g) | Reflects income recognized from non-recurring special dividends which amounted to $0.02 per share and 0.14% of average net assets. | |
| (h) | Includes non-recurring expense for a special shareholder meeting, which amounted to approximately 0.03% of average net assets. |
15
GOLDMAN SACHS
VARIABLE INSURANCE TRUST STRUCTURED SMALL CAP EQUITY FUND
Notes to
Financial Statements
June 30,
2011 (Unaudited)
| 1. ORGANIZATION |
Goldman Sachs Variable Insurance Trust (the “Trust” or
“VIT”) 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 Trust includes the Goldman Sachs Structured Small Cap Equity
Fund (the “Fund”). The Fund is a diversified portfolio
under the Act offering two classes of shares —
Institutional and Service.
Goldman Sachs Asset Management, L.P. (“GSAM”), an
affiliate of Goldman, Sachs & Co. (“Goldman
Sachs”), serves as investment adviser to the Fund pursuant
to a management agreement (the “Agreement”) with the
Trust.
| 2. SIGNIFICANT ACCOUNTING POLICIES |
The following is a summary of the significant accounting
policies consistently followed by the Fund. The preparation of
financial statements in conformity with accounting principles
generally accepted in the United States of America
(“GAAP”) requires management to make estimates and
assumptions that may affect the amounts and disclosures in the
financial statements. Actual results could differ from those
estimates and assumptions.
A. Investment
Valuation — The investment valuation policy
of the Fund is to value investments at market value. Investments
in equity securities and investment companies traded on a United
States (“U.S.”) securities exchange or the NASDAQ
system are valued daily at their last sale price or official
closing price on the principal exchange or system on which they
are traded. If no sale occurs, such securities and investment
companies are valued at the last bid price for long positions
and at the last ask price for short positions. Debt securities
for which market quotations are readily available are valued on
the basis of quotations furnished by an independent pricing
service approved by the trustees or provided by securities
dealers. The pricing services may use valuation models or matrix
pricing, which consider: (i) yield or price with respect to
bonds that are considered comparable in characteristics such as
rating, interest rate and maturity date or (ii) quotations
from securities dealers to determine current value. If accurate
quotations are not readily available, or if GSAM believes that
such quotations do not accurately reflect fair value, the fair
value of the Fund’s investments may be determined based on
yield equivalents, a pricing matrix or other sources, under
valuation procedures established by the trustees. Unlisted
equity securities for which market quotations are available are
valued at the last sale price on the valuation date, or if no
sale occurs, at the last bid price. In the absence of market
quotations, broker quotes will be utilized or the security will
be fair valued. Investments in investment companies (other than
those that are exchange traded) are valued at the net asset
value per share (“NAV”) of the investment company on
the valuation date. Short-term debt obligations that mature in
sixty days or less and that do not exhibit signs of credit
deterioration are valued at amortized cost, which approximates
market value.
GSAM, consistent with its procedures and applicable regulatory
guidance, may make an adjustment to the previous closing prices
of either domestic or foreign securities in light of significant
events to reflect what it believes to be the fair value of the
securities at the time of determining the Fund’s NAV.
Significant events that could affect a large number of
securities in a particular market may include, but are not
limited to: situations relating to one or more single issuers in
a market sector; significant fluctuations in U.S. or foreign
markets; market dislocations; market disruptions or market
closings; equipment failures; natural or man-made disasters or
acts of God; armed conflicts; government actions or other
developments; as well as the same or similar events which may
affect specific issuers or the securities markets even though
not tied directly to the securities markets. Other significant
events that could relate to a single issuer may include, but are
not limited to: corporate actions such as reorganizations,
mergers and buy-outs; corporate announcements, including those
relating to earnings, products and regulatory news; significant
litigation; low trading volume; and trading limits or
suspensions.
B. Security
and Fund Share Transactions, and Investment
Income — Security and Fund share
transactions are reflected for financial reporting purposes as
of the trade date, which may cause the NAV as stated in the
accompanying financial statements to be different than the NAV
applied to Fund share transactions. Realized gains and losses on
sales of portfolio securities are calculated using the
identified cost basis. Dividend income is recognized on the
ex-dividend
date, net of foreign withholding taxes, if any, which are
reduced by any amounts reclaimable by the Fund, where
applicable. Certain dividends from foreign securities will be
recorded when the Fund is informed of the dividend, if such
information is obtained subsequent to the
ex-dividend
date.
GOLDMAN SACHS
VARIABLE INSURANCE TRUST STRUCTURED SMALL CAP EQUITY FUND
| 2. SIGNIFICANT ACCOUNTING POLICIES (continued) |
Interest income is recorded on the basis of interest accrued,
premium amortized and discount accreted. In addition, it is the
Fund’s policy to accrue for foreign capital gains taxes, if
applicable, on certain foreign securities held by the Fund. An
estimated foreign capital gains tax is recorded daily on net
unrealized gains on these securities and is payable upon the
sale of such securities when a gain is realized.
Investment income and unrealized and realized gains or losses
are allocated daily to each class of shares of the Fund based
upon the relative proportion of net assets of each class.
In addition, distributions received from the Fund’s
investments in U.S. real estate investment trusts
(“REITs”) often include a “return of
capital”, which is recorded by the Fund as a reduction of
the cost basis of the securities held. The Internal Revenue Code
of 1986, as amended (the “Code”) requires a REIT to
distribute at least 95% of its taxable income to investors. In
many cases, however, because of “non-cash” expenses
such as property depreciation, a REIT’s cash flow will
exceed its taxable income. The REIT may distribute this excess
cash to offer a more competitive yield. This portion of the
Fund’s distributions is deemed a return of capital and is
generally not taxable to shareholders.
C. Expenses —
Expenses incurred by the Fund, which may not
specifically relate to the Fund, may be shared with other
registered investment companies having management agreements
with GSAM or its affiliates, as appropriate. These expenses are
allocated to the Fund on a straight-line
and/or
pro-rata basis depending upon the nature of the expenses and are
accrued daily.
Non-class
specific expenses are allocated daily to each share class of the
respective Fund based upon the relative proportion of net assets
of each class. Class specific expenses, where applicable, are
borne by the respective share classes and include Distribution
and Service, and Transfer Agent fees.
D. Federal
Taxes and Distributions to Shareholders —
It is the Fund’s policy to comply with the
requirements of the Code, applicable to regulated investment
companies (mutual funds) and to distribute each year
substantially all of its investment company taxable income and
capital gains to its shareholders. Accordingly, the Fund is not
required to make any provisions for the payment of federal
income tax. Distributions to shareholders are recorded on the
ex-dividend
date. Income and capital gains distributions, if any, are
declared and paid annually.
Net capital losses are carried forward to future fiscal years
and may be used to the extent allowed by the Code to offset any
future capital gains. Utilization of capital loss carryforwards
will reduce the requirement of future capital gains
distributions.
The characterization of distributions to shareholders for
financial reporting purposes is determined in accordance with
federal income tax rules, which may differ from GAAP. The source
of the 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
Fund’s net assets on the Statement of Assets and
Liabilities reflect permanent GAAP/tax differences based on the
appropriate tax character.
E. Futures
Contracts — Futures contracts are valued at
the last settlement price, or in the absence of a sale, the last
bid price, at the end of each day on the board of trade or
exchange upon which they are traded. Upon entering into a
futures contract, the Fund deposits 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 Fund equal to the daily change in the contract
value and are recorded as variation margin receivable or payable
with a corresponding offset in unrealized gains or losses. The
Fund recognizes a realized gain or loss when a contract is
closed or expires.
The use of futures contracts involves, to varying degrees,
elements of market and counterparty risk which may exceed the
amounts recognized in the Statement of Assets and Liabilities.
Futures contracts may be illiquid, and exchanges may limit
fluctuations in futures contract prices during a single day.
Changes in the value of a futures contract may not directly
correlate with changes in the value of the underlying
securities. These risks may decrease the effectiveness of the
Fund’s strategies and potentially result in a loss. The
Fund must set aside liquid assets, or engage in other
appropriate measures, to cover its obligations under these
contracts.
GOLDMAN SACHS
VARIABLE INSURANCE TRUST STRUCTURED SMALL CAP EQUITY FUND
Notes to
Financial
Statements (continued)
June 30,
2011 (Unaudited)
| 3. FAIR VALUE OF INVESTMENTS |
The fair value of a financial instrument is the amount that
would be received to sell an asset or paid to transfer a
liability in an orderly transaction between market participants
at the measurement date (i.e., the exit price). GAAP establishes
a fair value hierarchy that prioritizes the inputs to valuation
techniques used to measure fair value. The hierarchy gives the
highest priority to unadjusted quoted prices in active markets
for identical assets or liabilities (Level 1 measurements)
and the lowest priority to unobservable inputs (Level 3
measurements). The three levels of the fair value hierarchy are
described below:
Level 1 — Unadjusted quoted prices in active
markets that are accessible at the measurement date for
identical, unrestricted assets or liabilities;
Level 2 — Quoted prices in markets that are not
active or financial instruments for which significant inputs are
observable (including, but not limited to, quoted prices for
similar securities, interest rates, foreign exchange rates,
volatility and credit spreads), either directly or indirectly;
Level 3 — Prices or valuations that require
significant unobservable inputs (including GSAM’s
assumptions in determining fair value measurement).
The following is a summary of the Fund’s investments and
derivatives categorized in the fair value hierarchy as of
June 30, 2011:
| Investment Type | Level 1 | Level 2 | Level 3 | |||||||||
|
Assets
|
||||||||||||
|
Common Stock
and/or Other
Equity Investments
|
$ | 126,639,367 | $ | — | $ | — | ||||||
|
Short-term Investment
|
2,938,019 | — | — | |||||||||
|
Securities Lending Reinvestment Vehicle
|
2,887,450 | — | — | |||||||||
|
Total
|
$ | 132,464,836 | $ | — | $ | — | ||||||
|
Derivatives
Type
|
||||||||||||
|
Assets
|
||||||||||||
|
Futures
Contracts(a)
|
$ | 164,270 | $ | — | $ | — | ||||||
| (a) | Amount shown represents unrealized gain (loss) at period end. |
| 4. INVESTMENTS IN DERIVATIVES |
The Fund may make investments in derivative instruments,
including, but not limited to options, futures, swaps, swaptions
and other derivatives relating to foreign currency transactions.
A derivative is an instrument whose value is derived from
underlying assets, indices, reference rates or a combination of
these factors. Derivative instruments may be privately
negotiated contracts (often referred to as over the counter
(“OTC”) derivatives) or they may be listed and traded
on an exchange. Derivative contracts may involve future
commitments to purchase or sell financial instruments or
commodities at specified terms on a specified date, or to
exchange interest payment streams or currencies based on a
notional or contractual amount. Derivative instruments may
involve a high degree of financial risk. The use of derivatives
also involves the risk of loss if the investment adviser is
incorrect in its expectation of the timing or level of
fluctuations in securities prices, interest rates or currency
prices. Investments in derivative instruments also include the
risk of default by the counterparty, the risk that the
investment may not be liquid and the risk that a small movement
in the price of the underlying security or benchmark may result
in a disproportionately large movement, unfavorable or
favorable, in the price of the derivative instrument.
During the six months ended June 30, 2011, the Fund entered
into futures contracts. These instruments were used to meet the
Fund’s investment objectives and to obtain
and/or
manage exposure related to the risks below. The following table
sets forth, by certain risk types, the gross value of these
derivative contracts for trading activities as of June 30,
2011. The values in the table below exclude the effects of cash
collateral received or posted pursuant to these derivative
contracts, and therefore are not representative of the
Fund’s net exposure.
GOLDMAN SACHS
VARIABLE INSURANCE TRUST STRUCTURED SMALL CAP EQUITY FUND
| 4. INVESTMENTS IN DERIVATIVES (continued) |
|
Statement of |
||||||||
|
Assets and
Liabilities |
||||||||
| Risk | Location | Assets(a) | ||||||
|
Equity
|
Due from broker — variation margin | $ | 164,270 | |||||
| (a) | Includes unrealized gain (loss) on futures contracts described in the Additional Investment Information section of the Schedule of Investments. Only current day’s variation margin is reported within the Statement of Assets and Liabilities. |
The following table sets forth, by certain risk types, the
Fund’s gains (losses) related to these derivatives and
their indicative volumes for the six months ended June 30,
2011. These gains (losses) should be considered in the context
that these derivative contracts may have been executed to
economically hedge certain securities, and accordingly, certain
gains (losses) on such derivative contracts may offset certain
(losses) gains attributable to securities. These gains (losses)
are included in “Net realized gain (loss)” or
“Net change in unrealized gain (loss)” on the
Statement of Operations:
|
Net |
Net Change in |
Average |
|||||||||||||
|
Realized |
Unrealized |
Number of |
|||||||||||||
| Risk | Statement of Operations Location | Gain (Loss) | Gain (Loss) | Contracts(a) | |||||||||||
|
Equity
|
Net realized gain (loss) from futures transactions/Net change in unrealized gain (loss) on futures | $ | 70,028 | $ | 129,562 | 31 | |||||||||
| (a) | Average number of contracts is based on the average of month end balances for the six months ended June 30, 2011. |
| 5. AGREEMENTS AND AFFILIATED TRANSACTIONS |
A. Management
Agreement — Under the Agreement, GSAM
manages the Fund, 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 Fund’s business affairs, including
providing facilities, GSAM is entitled to a management fee,
accrued daily and paid monthly, equal to an annual percentage
rate of the Fund’s average daily net assets.
For the six months ended June 30, 2011, contractual and
effective net management fees with GSAM were at the following
rates:
| Contractual Management Rate | ||||||||||||||||||||
|
First |
Next |
Next |
Over |
Effective |
Effective Net |
|||||||||||||||
| $2 billion | $3 billion | $3 billion | $8 billion | Rate | Management Rate | |||||||||||||||
|
0.75%
|
0.68 | % | 0.65 | % | 0.64 | % | 0.75 | % | 0.73 | %* | ||||||||||
| * | Effective June 30, 2011, GSAM agreed to waive a portion of its management fee in order to achieve an effective net management rate of 0.70% through at least April 29, 2012. Prior to such date GSAM may not terminate the arrangement without the approval of the trustees. Prior to June 30, 2011, GSAM had agreed to waive a portion of its management fee in order to achieve an effective net management rate of 0.73%. For the six months ended June 30, 2011, GSAM waived approximately $13,300 of the Fund’s management fee. |
B. Distribution
and Service Plan — The Trust, on behalf of
the Service Shares of the Fund, has adopted a Distribution and
Service Plan (the “Plan”). Under the Plan, Goldman
Sachs, which serves as distributor, is entitled to a fee accrued
daily and paid monthly for distribution services, which may then
be paid by Goldman Sachs to authorized dealers, equal to, on an
annual basis, 0.25% of the Fund’s average daily net assets
attributable to Service Shares.
C. Transfer
Agency Agreement — Goldman Sachs also
serves as the transfer agent of the Fund for a fee pursuant to a
Transfer Agency Agreement. The fees charged for such transfer
agency services are accrued daily and paid monthly at an annual
rate of 0.02% of the average daily net assets for Institutional
and Service Shares.
GOLDMAN SACHS
VARIABLE INSURANCE TRUST STRUCTURED SMALL CAP EQUITY FUND
Notes to
Financial
Statements (continued)
June 30,
2011 (Unaudited)
| 5. AGREEMENTS AND AFFILIATED TRANSACTIONS (continued) |
D. Other
Expense Agreements and Affiliated Transactions —
GSAM has agreed to limit certain “Other
Expense” of the Fund (excluding management fees,
distribution and service fees, transfer agent fees and expenses,
taxes, interest, brokerage fees and litigation, indemnification,
shareholder meetings and other extraordinary expenses, exclusive
of any custody and transfer agent fee credit reductions) to the
extent such expenses exceed, on an annual basis, 0.094% of the
average daily net assets of the Fund. Such Other Expense
reimbursements, if any, are accrued daily and paid monthly. In
addition, the Fund is not obligated to reimburse GSAM for prior
fiscal year expense reimbursements, if any. These Other Expense
reimbursements will remain in place through at least
April 29, 2012, and prior to such date GSAM may not
terminate the arrangements without the approval of the trustees.
For the six months ended June 30, 2011, GSAM reimbursed
approximately $58,300 to the Fund.
As of June 30, 2011, the amounts owed to affiliates were
approximately $75,600, $5,100 and $2,100 for management,
distribution and service, and transfer agent fees, respectively.
E. Line of
Credit Facility — As of June 30, 2011,
the Fund participated in a $580,000,000 committed, unsecured
revolving line of credit facility (the “facility”)
together with other funds of the Trust and registered investment
companies having management agreements with GSAM or its
affiliates. Pursuant to the terms of the facility, the Fund and
other borrowers could increase the credit amount by an
additional $340,000,000, for a total of up to $920,000,000. This
facility is to be used solely for temporary or emergency
purposes. The interest rate on borrowings is based on the
federal funds rate. The facility also requires a fee to be paid
by the Fund based on the amount of the commitment that has not
been utilized. For the six months ended June 30, 2011, the
Fund did not have any borrowings under the facility.
F. Other
Transactions with Affiliates — For the six
months ended June 30, 2011, Goldman Sachs earned
approximately $300 in brokerage commissions from portfolio
transactions, including futures transactions executed with
Goldman Sachs as the Futures Commission Merchant, on behalf of
the Fund.
| 6. PORTFOLIO SECURITIES TRANSACTIONS |
The cost of purchases and proceeds from sales and maturities of
long-term securities for the six months ended June 30,
2011, were $13,879,763 and $27,824,303, respectively.
| 7. SECURITIES LENDING |
Pursuant to exemptive relief granted by the Securities and
Exchange Commission (“SEC”) and the terms and
conditions contained therein, the Fund may lend its securities
through a securities lending agent, Goldman Sachs Agency Lending
(“GSAL”), a wholly-owned subsidiary of Goldman Sachs,
to certain qualified borrowers including Goldman Sachs and
affiliates. In accordance with the Fund’s securities
lending procedures, the Fund receives cash collateral at least
equal to the market value of the securities on loan. The market
value of the loaned securities is determined at the close of
business of the Fund at their last sale price or official
closing price on the principal exchange or system on which they
are traded, and any additional required collateral is delivered
to the Fund on the next business day. As with other extensions
of credit, the Fund may experience a delay in the recovery of
its securities or incur a loss should the borrower of the
securities breach its agreement with the Fund or become
insolvent at a time when the collateral is insufficient to cover
the cost of repurchasing securities on loan.
The Fund invests the cash collateral received in connection with
securities lending transactions in the Goldman Sachs Financial
Square Money Market Fund (“Money Market Fund”), a
series of Goldman Sachs Trust, a Delaware statutory trust. The
Money Market Fund, deemed an affiliate of the Trust, is
registered under the Act as an open end investment company, is
subject to
Rule 2a-7
under the Act, and is managed by GSAM, for which GSAM may
receive an investment advisory fee of up to 0.205% on an
annualized basis of the average daily net assets of the Money
Market Fund.
Both the Fund and GSAL receive compensation relating to the
lending of the Fund’s securities. The amount earned by the
Fund for the six months ended June 30, 2011, is reported
under Investment Income on the Statement of Operations. A
portion of
GOLDMAN SACHS
VARIABLE INSURANCE TRUST STRUCTURED SMALL CAP EQUITY FUND
| 7. SECURITIES LENDING (continued) |
this amount, $3,184, represents compensation earned by the Fund
from lending its securities to Goldman Sachs. For the six months
ended June 30, 2011, GSAL earned $1,645 in fees as
securities lending agent.
The following table provides information about the Fund’s
investment in the Money Market Fund for the six months ended
June 30, 2011 (in thousands):
|
Number of |
Number of |
|||||||||||||||
|
Shares Held |
Shares Held |
Value at End |
||||||||||||||
| Beginning of Period | Shares Bought | Shares Sold | End of Period | of Period | ||||||||||||
|
3,893
|
16,362 | (17,368 | ) | 2,887 | $ | 2,887 | ||||||||||
| 8. TAX INFORMATION |
As of the Fund’s most recent fiscal year end,
December 31, 2010, the Fund’s capital loss
carryforwards on a tax-basis were as follows:
|
Capital loss
carryforward:(1)
|
||||
|
Expiring 2016
|
$ | (23,544,097 | ) | |
|
Expiring 2017
|
(17,973,195 | ) | ||
|
Total capital loss carryforward
|
$ | (41,517,292 | ) | |
| (1) | Expiration occurs on December 31 of the year indicated. |
As of June 30, 2011, the Fund’s aggregate security
unrealized gains and losses based on cost for U.S. federal
income tax purposes were as follows:
|
Tax cost
|
$ | 95,998,467 | ||
|
Gross unrealized gain
|
39,854,284 | |||
|
Gross unrealized loss
|
(3,387,915 | ) | ||
|
Net unrealized security gain
|
$ | 36,466,369 | ||
The difference between GAAP-basis and tax basis unrealized gains
(losses), as of the most recent fiscal year end, is attributable
primarily to wash sales, net mark to market gains (losses) on
regulated futures contracts and differences related to the tax
treatment of passive foreign investment companies, partnership
investments and underlying fund investments.
GSAM has reviewed the Fund’s 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
Fund’s financial statements. Such open tax years remain
subject to examination and adjustment by tax authorities.
Under the recently enacted Regulated Investment Company
Modernization Act of 2010, the Fund will be permitted to carry
forward capital losses incurred in taxable years beginning after
December 22, 2010 for an unlimited period. However, any
losses incurred during those future taxable years will be
required to be utilized prior to the losses incurred in
pre-enactment taxable years. As a result of this ordering rule,
pre-enactment capital loss carryforwards may be more likely to
expire unused. Additionally, post-enactment capital losses that
are carried forward will retain their character as either
short-term or long-term capital losses rather than being
considered all short-term as under previous law.
GOLDMAN SACHS
VARIABLE INSURANCE TRUST STRUCTURED SMALL CAP EQUITY FUND
Notes to
Financial
Statements (continued)
June 30,
2011 (Unaudited)
| 2. SIGNIFICANT ACCOUNTING POLICIES (continued) |
| 9. OTHER RISKS |
Fund’s
Shareholder Concentration Risk — Certain
participating insurance companies, accounts, or Goldman Sachs
affiliates may from time to time own (beneficially or of record)
or control a significant percentage of the Fund’s shares.
Redemptions by these entities of their holdings in the Fund may
impact the Fund’s liquidity and NAV. These redemptions may
also force the Fund to sell securities.
Liquidity
Risk — The Fund 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 Fund trades financial instruments and enters into financial
transactions where risk of potential loss exists due to changes
in the market (market risk). Additionally, the Fund 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 Fund has
unsettled or open transaction defaults.
| 10. 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 Fund. Additionally, in
the course of business, the Fund enters into contracts that
contain a variety of indemnification clauses. The Fund’s
maximum exposure under these arrangements is unknown, as this
would involve future claims that may be made against the Fund
that have not yet occurred. However, GSAM believes the risk of
loss under these arrangements to be remote.
| 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.
GOLDMAN SACHS
VARIABLE INSURANCE TRUST STRUCTURED SMALL CAP EQUITY FUND
| 12. SUMMARY OF SHARE TRANSACTIONS |
Share activity is as follows:
|
For the Six
Months Ended |
||||||||||||||||
|
June 30, 2011 |
For the Fiscal
Year Ended |
|||||||||||||||
| (Unaudited) | December 31, 2010 | |||||||||||||||
| Shares | Dollars | Shares | Dollars | |||||||||||||
|
Institutional
Shares
|
||||||||||||||||
|
Shares sold
|
448,462 | $ | 5,432,402 | 1,530,530 | $ | 14,982,716 | ||||||||||
|
Reinvestment of distributions
|
— | — | 46,067 | 529,767 | ||||||||||||
|
Shares redeemed
|
(1,434,719 | ) | (17,174,503 | ) | (3,053,874 | ) | (29,401,499 | ) | ||||||||
| (986,257 | ) | (11,742,101 | ) | (1,477,277 | ) | (13,889,016 | ) | |||||||||
|
Service
Shares
|
||||||||||||||||
|
Shares sold
|
8,233 | 100,156 | 103,448 | 1,052,673 | ||||||||||||
|
Reinvestment of distributions
|
— | — | 6,784 | 77,675 | ||||||||||||
|
Shares redeemed
|
(316,342 | ) | (3,783,107 | ) | (350,880 | ) | (3,461,555 | ) | ||||||||
| (308,109 | ) | (3,682,951 | ) | (240,648 | ) | (2,331,207 | ) | |||||||||
|
NET
DECREASE
|
(1,294,366 | ) | $ | (15,425,052 | ) | (1,717,925 | ) | $ | (16,220,223 | ) | ||||||
GOLDMAN SACHS
VARIABLE INSURANCE TRUST STRUCTURED SMALL CAP EQUITY FUND
Statement
Regarding Basis for Approval of Management Agreement
(Unaudited)
Background
The Goldman Sachs Structured Small Cap Equity Fund (the
“Fund”) is an investment portfolio of Goldman Sachs
Variable Insurance Trust (the “Trust”). The Board of
Trustees oversees the management of the Trust and reviews the
investment performance and expenses of the Fund 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 agreement
(the “Management Agreement”) with Goldman Sachs Asset
Management, L.P. (the “Investment Adviser”) on behalf
of the Fund.
The Management Agreement was most recently approved for
continuation until June 30, 2012 by the Board of Trustees,
including those Trustees who are not parties to the Management
Agreement or “interested persons” (as defined in the
Investment Company Act of 1940, as amended) of any party thereto
(the “Independent Trustees”), at a meeting held on
June 15-16,
2011 (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 Agreement was 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
Agreement, including:
| (a) | the nature and quality of the advisory, administrative and other services provided to the Fund 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, 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; |
| (b) | information on the investment performance of the Fund, including 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”), and its benchmark performance index, and general investment outlooks in the markets in which the Fund invests; | |
| (c) | the terms of the Management Agreement and agreements with affiliated service providers entered into by the Trust on behalf of the Fund; | |
| (d) | expense information for the Fund, including: |
| (i) | the relative management fee and expense level of the Fund as compared to those of comparable funds managed by other advisers, as provided by the Outside Data Provider; | |
| (ii) | the Fund’s 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 Fund, 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 Fund; | |
| (f) | the undertakings of the Investment Adviser to waive certain fees and reimburse certain expenses of the Fund that exceed specified levels, and a summary of contractual fee reductions made by the Investment Adviser and its affiliates over the past several years with respect to the Fund; | |
| (g) | information relating to the profitability of the Management Agreement and the transfer agency and distribution and service arrangements of the Fund and the Trust as a whole to the Investment Adviser and its affiliates; | |
| (h) | whether the 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 Fund, including the fees received by the Investment Adviser’s affiliates from the Fund for transfer agency, securities lending, portfolio brokerage, distribution and other services; | |
| (j) | a summary of potential benefits derived by the Fund as a result of its relationship with the Investment Adviser; |
GOLDMAN SACHS
VARIABLE INSURANCE TRUST STRUCTURED SMALL CAP EQUITY FUND
Statement
Regarding Basis for Approval of Management Agreement
(Unaudited) (continued)
| (k) | information regarding commissions paid by the Fund, portfolio trading and how the Investment Adviser carries out its duty to seek best execution; | |
| (l) | the manner in which portfolio manager compensation is determined, and the number and types of accounts managed by the portfolio managers; | |
| (m) | the nature and quality of the services provided to the Fund by its 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 Agreement; 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 Fund’s compliance program; and compliance reports. |
The Trustees also received an overview of the Fund’s
distribution arrangements. They received information regarding
the Fund’s assets, share purchase and redemption activity
and the payment of
Rule 12b-1
distribution and service fees by the Fund’s Service 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 Fund and other mutual fund
portfolios for which the Board of Trustees has responsibility.
In evaluating the Management Agreement 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 Fund.
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
Agreement
As part of their review, the Trustees considered the nature,
extent and quality of the services provided by the Investment
Adviser. In this regard, the Trustees considered both the
investment advisory services, and the other, non-advisory
services, that are provided to the Fund by the Investment
Adviser and its affiliates. The Trustees noted the transition in
the leadership and changes in personnel of various portfolio
management teams, including the portfolio management team
managing the Fund, that had occurred in recent periods, the
potential benefit to the Fund of recent increases in headcount
at the Investment Adviser and the ongoing recruitment efforts
aimed at bringing high quality investment talent to the
Investment Adviser. The Independent Trustees concluded that the
Investment Adviser had committed substantial financial and
operational resources to the Fund 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 Fund and the Investment Adviser.
Investment
Performance
The Trustees also considered the investment performance of the
Fund and the Investment Adviser. In this regard, they compared
the Fund to its peers using the performance rankings and ratings
compiled by the Outside Data Provider as of December 31,
2010, and updated performance information prepared by the
Investment Adviser using the peer groups identified by the
Outside Data provider. The information on the Fund’s
investment performance was provided for the one-, three-, five-
and ten-year periods ending on the applicable dates. The
Trustees also reviewed the Fund’s investment performance
over time on a
year-by-year
basis relative to its performance benchmark. In addition, they
considered the investment performance trends of the Fund over
time, and reviewed the investment performance of the Fund in
light of its investment objective and policies, and market
conditions. The Trustees considered whether the Fund had
operated within its investment policies and had complied with
its investment limitations.
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
Fund’s risk profile, and how the Investment Adviser’s
approach to risk monitoring and management influences portfolio
management.
GOLDMAN SACHS
VARIABLE INSURANCE TRUST STRUCTURED SMALL CAP EQUITY FUND
Statement
Regarding Basis for Approval of Management Agreement
(Unaudited) (continued)
The Independent Trustees noted that for the one-year period
ended May 31, 2011, the Fund ranked in the top half of its
peer group and had outperformed its benchmark index. The
Independent Trustees observed that the Fund had performance that
was in the bottom half of its peer group for multiple time
periods of greater than one-year. The Independent Trustees also
noted that in response to market turmoil in 2009, the Investment
Adviser had implemented measures intended to improve Fund
performance, including adjusting the Quantitative Investment
Strategies (“QIS”) team’s investment process used
to manage the Fund (which among other things included changes in
trading strategies and enhancements to the models) and making
certain changes to the QIS team’s personnel, and that the
changes seemed to have had a positive effect on performance.
They recognized that despite some recent turnover in senior
personnel on the QIS team, the team was dedicated to both
retaining talent and attracting high quality new talent. The
Independent Trustees also noted that they had received
assurances from the Investment Adviser’s senior management
that measures would continue to be taken to address the
Fund’s performance.
Costs of
Services Provided and Competitive Information
The Trustees considered the contractual fee rates payable by the
Fund under the Management Agreement. In this regard, the
Trustees considered information on the services rendered by the
Investment Adviser to the Fund, which included both advisory and
administrative services that were directed to the needs and
operations of the Fund as a registered mutual fund.
In particular, the Trustees reviewed analyses prepared by the
Outside Data Provider regarding the expense rankings of the
Fund. The analyses provided a comparison of the Fund’s
management fees and breakpoints to those of a relevant peer
group and category universe; an expense analysis which compared
the Fund’s expenses to a peer group and a category
universe; and a four-year history comparing the Fund’s
expenses to the peer and category medians. The analyses also
compared the Fund’s transfer agency fees, custody and
accounting fees, distribution fees, other expenses and fee
waivers/reimbursements to those of other funds in the peer group
and the peer group median. 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 Fund.
In addition, the Trustees considered the Investment
Adviser’s undertakings to waive a portion of its management
fee and limit the Fund’s “other expenses” ratio
(excluding certain expenses) to a certain specified level. 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 Fund, comparative fee information for services provided by
the Investment Adviser to those accounts, and information that
indicated that services provided to the Fund 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 Fund under the terms of the
Management Agreement.
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.
Profitability
The Trustees reviewed the Investment Adviser’s revenues and
pre-tax profit margins with respect to the Trust and the Fund.
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 the Fund were
provided for 2010 and 2009, 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.
GOLDMAN SACHS
VARIABLE INSURANCE TRUST STRUCTURED SMALL CAP EQUITY FUND
Statement
Regarding Basis for Approval of Management Agreement
(Unaudited) (continued)
Economies
of Scale
The Trustees considered the information that had been provided
regarding the Investment Adviser’s profitability and the
rationale for the Fund’s breakpoint structure. The Trustees
also considered the breakpoints in the fee rate payable under
the Management Agreement for the Fund at the following annual
percentage rates of the average daily net assets of the Fund:
|
First $2 billion
|
0.75 | % | ||
|
Next $3 billion
|
0.68 | |||
|
Next $3 billion
|
0.65 | |||
|
Over $8 billion
|
0.64 |
The Trustees noted that the breakpoints at the $5 and
$8 billion asset levels had been proposed by the Investment
Adviser and approved by the Trustees in 2008 to further share
potential economies of scale, if any, with the Fund and its
shareholders as assets under management reach those asset
levels. The Trustees considered the amounts of assets in the
Fund; the Fund’s recent share purchase and redemption
activity; the information provided by the Investment Adviser
relating to the costs of the services provided by the Investment
Adviser and its affiliates and their realized profits;
information comparing fee rates charged by the Investment
Adviser with fee rates charged to other funds in the peer group;
and the Investment Adviser’s undertakings to limit the
Fund’s fees and “other expenses” ratio (excluding
certain expenses) to certain amounts. Upon reviewing these
matters at the Annual Meeting, the Trustees concluded that the
fee breakpoints represented a means of assuring that benefits of
scalability would be passed along to shareholders at the
specified asset levels.
Other
Benefits to the Investment Adviser and Its Affiliates
The Trustees also considered the other benefits derived by the
Investment Adviser and its affiliates from their relationship
with the Fund as stated above, including: (a) transfer
agency fees received by Goldman, Sachs & Co.
(“Goldman Sachs”); (b) brokerage and futures
commissions earned by Goldman Sachs for executing securities and
futures transactions on behalf of the Fund; (c) trading
efficiencies resulting from aggregation of orders of the Fund
with those for other funds or accounts managed by the Investment
Adviser; (d) fees earned by Goldman Sachs Agency Lending,
an affiliate of the Investment Adviser, as securities lending
agent (and fees earned by the Investment Adviser for managing
the portfolio in which the Fund’s cash collateral is
invested); (e) the Investment Adviser’s ability to
leverage the infrastructure designed to service the Fund on
behalf of its other clients; (f) the Investment
Adviser’s ability to cross-market other products and
services to Fund shareholders; (g) Goldman Sachs’
retention of certain fees as Fund Distributor; (h) 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 Fund; and (i) the possibility
that the working relationship between the Investment Adviser and
the Fund’s 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 the fall-out benefits. In
looking at the benefits to Goldman Sachs Agency Lending and the
Investment Adviser from the securities lending program, they
noted that the Fund also benefited from its participation in the
securities lending program.
Other
Benefits to the Fund and Its Shareholders
The Trustees also noted that the Fund receives certain potential
benefits as a result of its relationship with the Investment
Adviser, including: (a) trading efficiencies resulting from
aggregation of orders of the Fund 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 advantages gained from the Investment
Adviser’s knowledge and experience gained from managing
other accounts and products; (f) the Investment
Adviser’s ability to hire and retain qualified personnel to
provide services to the Fund because of the reputation of the
Goldman Sachs organization; (g) the Fund’s access,
through the Investment Adviser, to certain firmwide resources
(e.g., proprietary databases); and (h) the
Fund’s access to certain affiliated distribution channels.
The Trustees noted the competitive nature of the mutual fund
marketplace, and noted further that many of the Fund’s
shareholders invested in the Fund in part because of the
Fund’s relationship with the Investment Adviser and that
those shareholders have a general expectation that the
relationship will continue.
GOLDMAN SACHS
VARIABLE INSURANCE TRUST STRUCTURED SMALL CAP EQUITY FUND
Statement
Regarding Basis for Approval of Management Agreement
(Unaudited) (continued)
Conclusion
In connection with their consideration of the Management
Agreement, 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 the
Fund were reasonable in light of the services provided to it by
the Investment Adviser, the Investment Adviser’s costs and
the Fund’s current and reasonably foreseeable asset levels.
The Trustees unanimously concluded that the Investment
Adviser’s continued management likely would benefit the
Fund and its shareholders and that the Management Agreement
should be approved and continued with respect to the Fund until
June 30, 2012.
GOLDMAN SACHS
VARIABLE INSURANCE TRUST STRUCTURED SMALL CAP EQUITY FUND
Fund Expenses —
Six Month Period Ended June 30, 2011 (Unaudited)
As a shareholder of Institutional or Service Shares of the Fund,
you incur ongoing costs, including management fees, distribution
and service (12b-1) fees (with respect to Service Shares) and
other Fund expenses. This example is intended to help you
understand your ongoing costs (in dollars) of investing in the
Institutional Shares and Service Shares of the Fund and to
compare these costs with the ongoing costs of investing in other
mutual funds.
The example is based on an investment of $1,000 invested at the
beginning of the period and held for the entire period from
January 1, 2011 through June 30, 2011.
Actual Expenses — The first line under each
share class in the table below provides information about actual
account values and actual expenses. You may use the information
in this line, together with the amount you invested, to estimate
the expenses that you paid over the period. Simply divide your
account value by $1,000 (for example, an $8,600 account value
divided by $1,000=8.6), then multiply the result by the number
in the first line under the heading entitled “Expenses
Paid” to estimate the expenses you paid on your account
during this period.
Hypothetical Example for Comparison Purposes —
The second line under each share class in the table below
provides information about hypothetical account values and
hypothetical expenses based on the Fund’s actual net
expense ratio and an assumed rate of return of 5% per year
before expenses, which is not the Fund’s 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 Fund 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. As a shareholder of the Fund,
you do not incur any transaction costs, such as sales charges
(loads), redemption fees, or exchange fees, but shareholders of
other funds may incur such costs. 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
whose shareholders may incur transaction costs.
|
Expenses |
|||||||||||||||
|
Paid for the |
|||||||||||||||
|
Beginning |
Ending |
6 Months |
|||||||||||||
|
Account Value |
Account Value |
Ended |
|||||||||||||
| Share Class | 1/01/11 | 6/30/11 | 6/30/11* | ||||||||||||
|
Institutional
|
|||||||||||||||
|
Actual
|
$ | 1,000 | $ | 1,086.70 | $ | 4.35 | |||||||||
|
Hypothetical 5% return
|
1,000 | 1,020.63 | + | 4.21 | |||||||||||
|
Service
|
|||||||||||||||
|
Actual
|
1,000 | 1,085.30 | 5.64 | ||||||||||||
|
Hypothetical 5% return
|
1,000 | 1,019.39 | + | 5.46 | |||||||||||
| * | Expenses for each share class are calculated using the 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 June 30, 2011. Expenses are calculated by multiplying the annualized net expense ratio by the average account value for the period; then multiplying the result by the number of days in the most recent fiscal half year; and then dividing that result by the number of days in the fiscal year. The annualized net expense ratios for the period were 0.84% and 1.09% for Institutional and Service Shares, respectively. | |
| + | Hypothetical expenses are based on the Fund’s actual annualized net expense ratios and an assumed rate of return of 5% per year before expenses. |
|
TRUSTEES
|
OFFICERS | |
|
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 |
James A. McNamara,
President George F. Travers, Principal Financial Officer Peter V. Bonanno, Secretary Scott M. McHugh, Treasurer |
|
|
GOLDMAN, SACHS & CO. Distributor and Transfer Agent |
||
|
GOLDMAN SACHS ASSET MANAGEMENT, L.P. Investment Adviser 200 West Street, New York New York 10282 |
||
| Visit our website at www.goldmansachsfunds.com/vit to obtain the most recent month-end returns. | ||
| The reports concerning the Fund included in this shareholder report may contain certain forward-looking statements about the factors that may affect the performance of the Fund in the future. These statements are based on Fund management’s predictions and expectations concerning certain future events and their expected impact on the Fund, 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 Fund. 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 Fund uses to determine how to vote proxies relating to portfolio securities and information regarding how the 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 1-800-621-2550; and (ii) on the Securities and Exchange Commission (“SEC”) website at http://www.sec.gov. | ||
| The Fund files its complete schedule of portfolio holdings with the SEC for the first and third quarters of each fiscal year on Form N-Q. The Fund’s Form N-Q is available on the SEC’s website at http://www.sec.gov within 60 days after the Fund’s first and third fiscal quarters. When available, the Fund’s Forms N-Q may be reviewed and copied at the SEC’s Public Reference Room in Washington, D.C. and information on the operation of the Public Reference Room may also be obtained by calling 1-800-SEC-0330. Forms N-Q may be obtained upon request and without charge by calling 1-800-621-2550. | ||
| Holdings and allocations shown may not be representative of current or future investments. Holdings and allocations may not include the Fund’s entire investment portfolio, which may change at any time. Fund holdings should not be relied on in making investment decisions and should not be construed as research or investment advice regarding particular securities. | ||
| 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. | ||
| The Global Industry Classification Standard (“GICS”) was developed by and is the exclusive property and a service mark of Morgan Stanley Capital International Inc. (“MSCI”) and Standard & Poor’s, a division of The McGraw-Hill Companies, Inc. (“S&P”) and is licensed for use by Goldman Sachs. Neither MSCI, S&P nor any other party involved in making or compiling the GICS or any GICS classifications makes any express or implied warranties or representations with respect to such standard or classification (or the results to be obtained by the use thereof), and all such parties hereby expressly disclaim all warranties of originality, accuracy, completeness, merchantability or fitness for a particular purpose with respect to any of such standard or classification. Without limiting any of the foregoing, in no event shall MSCI, S&P, any of their affiliates or any third party involved in making or compiling the GICS or any GICS classifications have any liability for any direct, indirect, special, punitive, consequential or any other damages (including lost profits) even if notified of the possibility of such damages. | ||
| The portfolio risk management process includes an effort to monitor and manage risk, but does not imply low risk. | ||
| Shares of the Goldman Sachs VIT Funds are offered to separate accounts of participating life insurance companies for the purpose of funding variable annuity contracts and variable life insurance policies. Shares of the Fund are not offered directly to the general public. The variable annuity contracts and variable life insurance policies are described in the separate prospectuses issued by participating insurance companies. You should refer to those prospectuses for information about surrender charges, mortality and expense risk fees and other charges that may be assessed by participating insurance companies under the variable annuity contracts or variable life insurance policies. Such fees or charges, if any, may affect the return you may realize with respect to your investments. Ask your representative for more complete information. Please consider a fund’s objectives, risks and charges and expenses, and read the prospectus carefully before investing. The prospectus contains this and other information about the Fund. | ||
| 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 1-800-621-2550. | ||
|
Toll Free
(in U.S.): 800-292-4726
|
||
| This report is prepared for the general information of contract owners and is not an offer of shares of the Goldman Sachs Variable Insurance Trust: Goldman Sachs Structured Small Cap Equity Fund. | ||
| © 2011 Goldman Sachs. All rights reserved. | ||
| VITSCSAR11/57662.MF.MED.TMPL/8/2011 | ||
Goldman
Sachs Variable Insurance Trust
Goldman
Sachs
Structured U.S. Equity Fund
Structured U.S. Equity Fund
Semi-Annual
Report
June 30, 2011
June 30, 2011
GOLDMAN SACHS
VARIABLE INSURANCE TRUST STRUCTURED U.S. EQUITY FUND
Principal
Investment Strategies and Risks
Shares of the
Goldman Sachs Variable Insurance Trust — Goldman Sachs
Structured U.S. Equity Fund are offered to separate accounts of
participating life insurance companies for the purpose of
funding variable annuity contracts and variable life insurance
policies. Shares of the Fund are not offered directly to the
general public. The variable annuity contracts and variable life
insurance policies are described in the separate prospectuses
issued by participating insurance companies. You should refer to
those prospectuses for information about surrender charges,
mortality and expense risk fees and other charges that may be
assessed by participating insurance companies under the variable
annuity contracts or variable life insurance policies. Such fees
or charges, if any, may affect the return you realize with
respect to your investments. Ask your representative for more
complete information. Please consider the Fund’s objective,
risks and charges and expenses, and read the Prospectus
carefully before investing. The Prospectus contains this and
other information about the Fund.
The Goldman Sachs
Structured U.S. Equity Fund
invests
in a broadly diversified portfolio of equity investments in
U.S. issuers, including foreign issuers traded in the
United States. The Fund’s equity investments will be
subject to market risk, which means that the value of the
securities in which it invests may go up or down in response to
the prospects of individual companies, particular industry
sectors and/or general economic conditions. The Fund may also
invest in fixed income securities, which are subject to the
risks associated with debt securities generally, including
credit, liquidity and interest rate risk.
GOLDMAN SACHS
VARIABLE INSURANCE TRUST STRUCTURED U.S. EQUITY FUND
INVESTMENT
OBJECTIVE
The Fund seeks long-term growth of capital and dividend income.
Portfolio
Management Discussion and Analysis
Below, the
Goldman Sachs Quantitative Investment Strategies Team discusses
the performance of the Goldman Sachs Variable Insurance
Trust — Goldman Sachs Structured U.S. Equity Fund (the
“Fund”) and positioning for the six-month period ended
June 30, 2011 (the “Reporting Period”).
How did the
Fund perform during the Reporting Period?
During the Reporting Period, the Fund’s Institutional and
Service Shares generated cumulative total returns of 8.23% and
8.13%, respectively. These returns compare to the 6.02%
cumulative total return of the Fund’s benchmark, the
Standard &
Poor’s®
500 Index* (with dividends reinvested) (the “S&P 500
Index”) during the same time period.
What economic
and market factors most influenced the equity markets as a whole
during the Reporting Period?
U.S. equities continued their positive momentum from 2010 during
the Reporting Period. However, most of the gains were generated
during the first quarter of 2011, as improving trends in labor,
housing, manufacturing and consumer confidence pointed to a
continuation in the economic recovery. A positive trajectory in
corporate earnings and cash flows and strong merger and
acquisition activity further supported U.S. equity market
performance. Indeed, despite great exogenous shocks in the
Middle East and North African turmoil, a series of disasters in
Japan, political debate over collective bargaining rights in
Wisconsin and the possible repeal of health care reform in
Washington D.C., the U.S. equity markets rewarded investors with
solid returns during the first quarter of 2011.
The broad U.S. equity markets experienced a much more volatile
second quarter, rising to a three-year high in April before
losing most of its early 2011 gains by mid-June and then
recovering somewhat in the very last week of the Reporting
Period. In early April, commodity prices declined and
expectations ran high for strong corporate profit growth.
However, while home construction rose modestly in May, housing
and employment remained key weak spots in the U.S. economy.
Concerns about Greece’s debt crisis also re-surfaced, the
U.S. Congress wrangled over the U.S. debt ceiling, the Federal
Reserve Board’s quantitative easing program was scheduled
to expire on June 30, 2011, the impact of Japan’s
natural and nuclear disasters worked its way through the global
supply chain and deadly storms cut a wide swath of destruction
across the midwestern and southern United States. In turn, the
U.S. stock market felt pressured and lost ground. Toward the end
of June, U.S. equity markets recovered from their May to
mid-June decline on the heels of better than expected U.S.
manufacturing activity, improved automobile sales and a
short-term resolution of the sovereign debt crisis in Greece.
During the Reporting Period as a whole, the S&P 500 Index,
representing the U.S. large-cap equity market, advanced 6.02%.
Nine of the ten sectors in the S&P 500 Index were up, with
the health care and energy sectors gaining the most. The health
care sector was also the biggest positive contributor (weight
times performance) to S&P 500 Index returns. Financials was
the only sector in the S&P 500 Index to generate a negative
return during the Reporting Period.
While all capitalization segments of the U.S. equity market
advanced during the Reporting Period, mid-cap stocks, as
measured by the Russell
Midcap®
Index, performed best, followed by large-cap and then small-cap
stocks, as measured by the Russell
1000®
Index and the Russell
2000®
Index, respectively, which performed nearly in line with each
other. Large-cap stocks were least successful relative to
small-cap stocks in the information technology sector. Due
primarily to the strong performance of growth-oriented
financials stocks, growth-oriented stocks outpaced
value-oriented stocks across the capitalization spectrum.
What key
factors were responsible for the Fund’s performance during
the Reporting Period?
As expected, and in keeping with our investment approach, our
quantitative model and its six investment themes (Valuation,
Profitability, Quality, Management, Momentum and Sentiment) had
the greatest impact on relative performance. We use these themes
to take a long-term view of market patterns and look for
inefficiencies, selecting stocks for the Fund and overweighting
or underweighting the ones chosen by the model. Over time and by
design, the performance of any one of the model’s
investment themes tends to have a low correlation with the
model’s other themes, demonstrating the diversification
benefit of the Fund’s theme-driven quantitative model. The
variance in performance supports our research indicating that
the diversification provided by the Fund’s different
investment themes is a significant investment advantage over the
long term, even though the Fund may experience underperformance
in the short term.
| * | The S&P 500 Index is the Standard & Poor’s 500 Composite Index of 500 stocks, an unmanaged index of common stock prices. The Index figures do not reflect any deduction for fees, expenses or taxes. It is not possible to invest directly in an unmanaged index. |
GOLDMAN SACHS
VARIABLE INSURANCE TRUST STRUCTURED U.S. EQUITY FUND
Overall, the Fund outperformed the S&P 500 Index during the
Reporting Period, with the Fund’s Momentum theme
contributing the most, followed by Sentiment, Profitability and
Management, which also contributed positively to the Fund’s
relative returns. The Momentum theme seeks to predict drifts in
stock prices caused by under-reaction to company specific
information. The Sentiment theme reflects selected investment
views and decisions of individuals and financial intermediaries.
The Profitability theme assesses whether a company is earning
more than its cost of capital. The Management theme assesses the
characteristics, policies and strategic decisions of company
managements.
The Quality theme detracted most from the Fund’s relative
performance during the Reporting Period, followed by Valuation.
The Quality theme evaluates whether the company’s earnings
are coming from more persistent, cash-based sources, as opposed
to accruals. The Valuation theme attempts to capture potential
mispricings of securities, typically by comparing a measure of
the company’s intrinsic value to its market value.
How did the
Fund’s sector allocations affect relative
performance?
In constructing the Fund’s portfolio, we focus on picking
stocks rather than making industry or sector bets. Consequently,
the Fund is similar to its benchmark, the S&P 500 Index, in
terms of its sector allocation and style. We manage the
Fund’s industry and sector exposure by including industry
factors in our risk model and by explicitly penalizing industry
and sector deviations from the benchmark index in optimization.
Sector weights or changes in sector weights generally do not
have a meaningful impact on relative performance.
Did stock
selection help or hurt Fund performance during the Reporting
Period?
We seek to outpace the S&P 500 Index by overweighting
stocks that we expect to outperform and underweighting those
that we think may lag. We also build positions based on our
thematic views. For example, the Fund aims to hold a basket of
stocks with more favorable Momentum characteristics than the
benchmark index. During the Reporting Period, stock selection
overall contributed positively to the Fund’s relative
performance.
While absolute returns from stock selection in each of the ten
sectors of the S&P 500 were positive during the Reporting
Period, stock selection in the consumer discretionary,
financials and consumer staples sectors made the biggest
positive contribution to the Fund’s results relative to the
S&P 500 Index. Only partially offsetting these positives
was stock selection in the industrials, materials and utilities
sectors, which detracted most from the Fund’s results
relative to its benchmark index.
Which
individual stock positions contributed the most to the
Fund’s relative returns during the Reporting
Period?
The Fund benefited most from overweight positions in tobacco
company Lorillard, broadcast satellite subscription television
service provider DISH Network and computer services consulting
company Accenture. We chose to overweight Lorillard and
Accenture because of our positive view on Profitability. The
overweight in DISH Network was the result of our positive view
on Management.
Which
individual positions detracted from the Fund’s results
during the Reporting Period?
Detracting most from the Fund’s results relative to its
benchmark index were overweight positions in software
manufacturing behemoth Microsoft and gold miner Newmont Mining
and an underweight position in diversified computer services
giant International Business Machines (IBM). The Fund had
overweighted positions in Microsoft and Newmont Mining because
of our positive view on Momentum. Our negative view on Momentum
led us to underweight IBM.
How did the
Fund use derivatives and similar instruments during the
Reporting Period?
During the Reporting Period, we did not use derivatives as part
of an active management strategy to add value to the Fund’s
results. However, we used equity index futures contracts, on an
opportunistic basis, to equitize the Fund’s excess cash
holdings. In other words, we put the Fund’s excess cash
holdings to work by using them as collateral for the purchase of
stock futures.
Did you make
any enhancements to your quantitative models during the
Reporting Period?
We continuously look for ways to improve our investment process.
Accordingly, we continued our extensive ongoing research process
but did not implement any significant model enhancements during
the Reporting Period.
What was the
Fund’s sector positioning relative to its benchmark index
at the end of the Reporting Period?
As of June 30, 2011, the Fund was overweight the energy,
health care, consumer discretionary, consumer staples,
information technology and telecommunication services sectors
relative to the S&P 500 Index. The Fund was underweight
industrials, financials, materials and utilities compared to the
benchmark index on the same date.
GOLDMAN SACHS
VARIABLE INSURANCE TRUST STRUCTURED U.S. EQUITY FUND
What is your
strategy going forward for the Fund?
Looking ahead, we continue to believe that less expensive stocks
should outpace more expensive stocks, and stocks with good
momentum are likely to outperform those with poor momentum. We
intend to maintain our focus on seeking companies with positive
fundamentals, good profitability, sustainable earnings and a
track record of using capital to enhance shareholder value. As
such, we anticipate remaining fully invested with long-term
performance likely to be the result of stock selection rather
than sector or capitalization allocations.
We stand behind our investment philosophy that sound economic
investment principles, coupled with a disciplined quantitative
approach, can provide strong, uncorrelated returns over the long
term. Our research agenda is robust, and we continue to enhance
our existing models, add new proprietary forecasting signals,
and improve our trading execution as we seek to provide the most
value to our shareholders.
CHANGES MADE TO
THE TEAM’S MANAGEMENT
During the first quarter of 2011, we announced that Richard
Vanecek, Managing Director and co-head of Quantitative
Investment Strategies (QIS) Trading would become the sole head
of QIS Trading.
FUND BASICS
Structured
U.S. Equity Fund
as of
June 30, 2011
| STANDARDIZED AVERAGE ANNUAL TOTAL RETURNS1 |
| For the period ended 6/30/11 | One Year | Five Years | Ten Years | Since Inception | Inception Date | |||||||||||||||
|
Institutional
|
32.14 | % | 0.28 | % | 1.86 | % | 2.84 | % | 02/13/98 | |||||||||||
|
Service
|
31.87 | 0.12 | N/A | -0.10 | 01/09/06 | |||||||||||||||
| 1 | The Standardized Average Annual Total Returns are average annual total returns as of the most recent calendar quarter-end. They assume reinvestment of all distributions at net asset value (“NAV”). | |
| Total return figures in the above chart represent past performance and do not indicate future results, which will vary. The investment return and principal value of an investment will fluctuate and, therefore, an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance may be lower or higher than the total return figures in the above chart. Please visit www.goldmansachsfunds.com/vit 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. |
| EXPENSE RATIOS2 |
| Net Expense Ratio (Current) | Gross Expense Ratio (Before Waivers) | |||||||||
|
Institutional
|
0.64 | % | 0.70 | % | ||||||
|
Service
|
0.85 | 0.95 | ||||||||
| 2 | The expense ratios of the Fund, both current (net of any fee waivers or expense limitations) and before waivers (gross of any fee waivers or expense limitations) are as set forth above. The Fund’s waivers and/or expense limitations will remain in place through at least April 29, 2012, and prior to such date the investment adviser may not terminate the arrangements without the approval of the Fund’s Board of Trustees. The expense ratios set forth above may differ from the expense ratios disclosed in the Financial Highlights in this report. |
| TOP TEN HOLDINGS AS OF 6/30/113 |
| Holding | % of Net Assets | Line of Business | ||||||
|
Microsoft Corp.
|
4.0 | % | Software & Services | |||||
|
Exxon Mobil Corp.
|
3.9 | Energy | ||||||
|
Lorillard, Inc.
|
3.5 | Food, Beverage & Tobacco | ||||||
|
Eli Lilly & Co.
|
3.2 | Pharmaceuticals, Biotechnology & Life Sciences | ||||||
|
ConocoPhillips
|
2.7 | Energy | ||||||
|
Chevron Corp.
|
2.5 | Energy | ||||||
|
Pfizer, Inc.
|
2.5 | Pharmaceuticals, Biotechnology & Life Sciences | ||||||
|
AT&T, Inc.
|
2.4 | Telecommunication Services | ||||||
|
Accenture PLC Class A
|
2.1 | Software & Services | ||||||
|
Simon Property Group, Inc.
|
2.1 | Real Estate Investment Trust | ||||||
| 3 | The top 10 holdings may not be representative of the Fund’s future investments. |
FUND BASICS
| FUND vs. BENCHMARK SECTOR ALLOCATIONS4 |
As
of June 30, 2011
| 4 | The Fund is actively managed and, as such, its composition may differ over time. The above graph categorizes investments using Global Industry Classification Standard (“GICS”), however, the sector classifications used by the portfolio management team may differ from GICS. Consequently, the Fund’s overall industry sector allocations may differ from percentages contained in the graph above. The percentage shown for each investment category reflects the value of investments in that category as a percentage of market value (excluding investments in the securities lending reinvestment vehicle, if any). Investment in the securities lending reinvestment vehicle represented 0.2% of the Fund’s net assets at June 30, 2011. Short-term investments represent investments in investment companies other than those that are exchange traded. The above graph depicts the Fund’s investments but may not represent the Fund’s market exposure due to the exclusion of derivatives, if any, as listed in the Additional Investment Information section of the Schedule of Investments. |
GOLDMAN SACHS
VARIABLE INSURANCE TRUST STRUCTURED U.S. EQUITY FUND
Schedule of
Investments
June 30,
2011 (Unaudited)
| Shares | Description | Value | ||||||
|
Common
Stocks – 98.1%
|
||||||||
|
Automobiles
& Components – 0.7%
|
||||||||
| 12,207 | Autoliv, Inc. | $ | 957,639 | |||||
| 36,593 | TRW Automotive Holdings Corp.* | 2,160,085 | ||||||
| 3,117,724 | ||||||||
|
Banks –
2.0%
|
||||||||
| 17,565 | Hudson City Bancorp, Inc. | 143,857 | ||||||
| 14,470 | PNC Financial Services Group, Inc. | 862,557 | ||||||
| 84,532 | U.S. Bancorp | 2,156,411 | ||||||
| 195,590 | Wells Fargo & Co. | 5,488,256 | ||||||
| 8,651,081 | ||||||||
|
Capital
Goods – 7.4%
|
||||||||
| 14,514 | Cummins, Inc. | 1,502,054 | ||||||
| 6,760 | Danaher Corp. | 358,212 | ||||||
| 45,288 | Eaton Corp. | 2,330,068 | ||||||
| 57,479 | Emerson Electric Co. | 3,233,194 | ||||||
| 2,702 | Fluor Corp. | 174,711 | ||||||
| 323,175 | General Electric Co. | 6,095,081 | ||||||
| 53,766 | Honeywell International, Inc. | 3,203,916 | ||||||
| 3,301 | Illinois Tool Works, Inc. | 186,473 | ||||||
| 3,044 | Ingersoll-Rand PLC | 138,228 | ||||||
| 3,205 | Lockheed Martin Corp. | 259,509 | ||||||
| 3,752 | MSC Industrial Direct Co. Class A | 248,795 | ||||||
| 64,083 | Northrop Grumman Corp. | 4,444,156 | ||||||
| 38,044 | Oshkosh Corp.* | 1,100,993 | ||||||
| 5,292 | Parker Hannifin Corp. | 474,904 | ||||||
| 10,930 | Rockwell Automation, Inc. | 948,287 | ||||||
| 2,999 | Rockwell Collins, Inc. | 185,008 | ||||||
| 18,852 | Timken Co. | 950,141 | ||||||
| 47,216 | Toro Co. | 2,856,568 | ||||||
| 16,757 | Tyco International Ltd. | 828,299 | ||||||
| 11,628 | United Technologies Corp. | 1,029,194 | ||||||
| 5,878 | W.W. Grainger, Inc. | 903,155 | ||||||
| 31,450,946 | ||||||||
|
Commercial
& Professional Services – 0.3%
|
||||||||
| 21,388 | Manpower, Inc. | 1,147,466 | ||||||
|
Consumer
Durables & Apparel – 1.4%
|
||||||||
| 16,191 | Fossil, Inc.* | 1,906,004 | ||||||
| 43,693 | Harman International Industries, Inc. | 1,991,090 | ||||||
| 3,471 | Lululemon Athletica, Inc.* | 388,127 | ||||||
| 25,444 | Mohawk Industries, Inc.* | 1,526,386 | ||||||
| 5,811,607 | ||||||||
|
Consumer
Services – 1.7%
|
||||||||
| 11,170 | Apollo Group, Inc. Class A* | 487,905 | ||||||
| 46,990 | Carnival Corp. | 1,768,234 | ||||||
| 2,294 | Chipotle Mexican Grill, Inc.* | 706,988 | ||||||
| 6,159 | McDonald’s Corp. | 519,327 | ||||||
| 85,321 | Starbucks Corp. | 3,369,326 | ||||||
| 6,242 | Yum! Brands, Inc. | 344,808 | ||||||
| 7,196,588 | ||||||||
|
Diversified
Financials – 3.9%
|
||||||||
| 205,394 | Bank of America Corp. | 2,251,118 | ||||||
| 72,983 | Capital One Financial Corp. | 3,771,032 | ||||||
| 34,758 | Citigroup, Inc. | 1,447,323 | ||||||
| 3,145 | CME Group, Inc. | 917,050 | ||||||
| 6,705 | Discover Financial Services | 179,359 | ||||||
| 1,164 | Franklin Resources, Inc. | 152,822 | ||||||
| 80,172 | JPMorgan Chase & Co. | 3,282,242 | ||||||
| 85,343 | SEI Investments Co. | 1,921,071 | ||||||
| 106,004 | The Bank of New York Mellon Corp. | 2,715,822 | ||||||
| 16,637,839 | ||||||||
|
Energy –
13.1%
|
||||||||
| 104,310 | Chevron Corp. | 10,727,240 | ||||||
| 10,132 | Cimarex Energy Co. | 911,069 | ||||||
| 152,441 | ConocoPhillips | 11,462,039 | ||||||
| 6,096 | Core Laboratories NV | 679,948 | ||||||
| 25,949 | Devon Energy Corp. | 2,045,041 | ||||||
| 18,779 | Exterran Holdings, Inc.* | 372,388 | ||||||
| 203,277 | Exxon Mobil Corp. | 16,542,682 | ||||||
| 7,444 | Halliburton Co. | 379,644 | ||||||
| 13,746 | Hess Corp. | 1,027,651 | ||||||
| 7,132 | Marathon Oil Corp. | 375,714 | ||||||
| 9,181 | Murphy Oil Corp. | 602,824 | ||||||
| 1,999 | National Oilwell Varco, Inc. | 156,342 | ||||||
| 7,368 | Oil States International, Inc.* | 588,777 | ||||||
| 20,905 | Sunoco, Inc. | 871,948 | ||||||
| 79,352 | Tesoro Corp.* | 1,817,954 | ||||||
| 280,667 | Valero Energy Corp. | 7,176,655 | ||||||
| 55,737,916 | ||||||||
|
Food
& Staples Retailing – 1.6%
|
||||||||
| 15,256 | Costco Wholesale Corp. | 1,239,397 | ||||||
| 17,176 | CVS Caremark Corp. | 645,474 | ||||||
| 5,838 | Safeway, Inc. | 136,434 | ||||||
| 5,583 | The Kroger Co. | 138,458 | ||||||
| 87,036 | Walgreen Co. | 3,695,549 | ||||||
| 4,976 | Wal-Mart Stores, Inc. | 264,425 | ||||||
| 10,636 | Whole Foods Market, Inc. | 674,854 | ||||||
| 6,794,591 | ||||||||
|
Food,
Beverage & Tobacco – 6.7%
|
||||||||
| 125,471 | Archer-Daniels-Midland Co. | 3,782,951 | ||||||
| 18,775 | Dr. Pepper Snapple Group, Inc. | 787,236 | ||||||
| 7,113 | H.J. Heinz Co. | 378,980 | ||||||
| 18,515 | Hansen Natural Corp.* | 1,498,789 | ||||||
| 135,735 | Lorillard, Inc. | 14,777,469 | ||||||
| 5,737 | Molson Coors Brewing Co. Class B | 256,673 | ||||||
| 58,040 | Philip Morris International, Inc. | 3,875,331 | ||||||
| 4,555 | Reynolds American, Inc. | 168,763 | ||||||
| 155,542 | Tyson Foods, Inc. Class A | 3,020,626 | ||||||
| 28,546,818 | ||||||||
|
Health
Care Equipment & Services – 3.3%
|
||||||||
| 1,805 | Becton, Dickinson and Co. | 155,537 | ||||||
| 198,599 | Boston Scientific Corp.* | 1,372,319 | ||||||
| 62,591 | Cardinal Health, Inc. | 2,842,883 | ||||||
| 72,112 | CareFusion Corp.* | 1,959,283 | ||||||
| 6,100 | DENTSPLY International, Inc. | 232,288 | ||||||
| 25,846 | Humana, Inc. | 2,081,637 | ||||||
GOLDMAN SACHS
VARIABLE INSURANCE TRUST STRUCTURED U.S. EQUITY FUND
Schedule of
Investments (continued)
June 30,
2011 (Unaudited)
| Shares | Description | Value | ||||||
|
Common
Stocks – (continued)
|
||||||||
|
Health
Care Equipment & Services – (continued)
|
||||||||
| 41,207 | UnitedHealth Group, Inc. | $ | 2,125,457 | |||||
| 39,683 | WellPoint, Inc. | 3,125,830 | ||||||
| 13,895,234 | ||||||||
|
Household
& Personal Products – 2.6%
|
||||||||
| 16,755 | Colgate-Palmolive Co. | 1,464,555 | ||||||
| 16,590 | Herbalife Ltd. | 956,248 | ||||||
| 134,857 | The Procter & Gamble Co. | 8,572,859 | ||||||
| 10,993,662 | ||||||||
|
Insurance –
4.2%
|
||||||||
| 7,928 | Aspen Insurance Holdings Ltd. | 203,987 | ||||||
| 88,192 | Berkshire Hathaway, Inc. Class B* | 6,825,179 | ||||||
| 10,333 | Everest Re Group Ltd. | 844,723 | ||||||
| 57,955 | Loews Corp. | 2,439,326 | ||||||
| 40,509 | MetLife, Inc. | 1,777,130 | ||||||
| 10,529 | The Travelers Companies, Inc. | 614,683 | ||||||
| 209,546 | Unum Group | 5,339,232 | ||||||
| 18,044,260 | ||||||||
|
Materials –
3.2%
|
||||||||
| 14,227 | Ashland, Inc. | 919,349 | ||||||
| 4,645 | CF Industries Holdings, Inc. | 658,057 | ||||||
| 10,806 | Domtar Corp. | 1,023,544 | ||||||
| 17,993 | Eastman Chemical Co. | 1,836,546 | ||||||
| 29,850 | Freeport-McMoRan Copper & Gold, Inc. | 1,579,065 | ||||||
| 60,070 | Huntsman Corp. | 1,132,319 | ||||||
| 40,471 | Newmont Mining Corp. | 2,184,220 | ||||||
| 2,290 | PPG Industries, Inc. | 207,909 | ||||||
| 24,523 | Southern Copper Corp. | 806,071 | ||||||
| 13,894 | The Dow Chemical Co. | 500,184 | ||||||
| 6,565 | The Mosaic Co. | 444,647 | ||||||
| 13,067 | The Scotts Miracle-Gro Co. Class A | 670,468 | ||||||
| 18,073 | The Sherwin-Williams Co. | 1,515,783 | ||||||
| 15,969 | Titanium Metals Corp. | 292,552 | ||||||
| 13,770,714 | ||||||||
|
Media –
4.0%
|
||||||||
| 9,487 | Cablevision Systems Corp. Class A | 343,524 | ||||||
| 22,024 | Comcast Corp. Class A | 558,088 | ||||||
| 118,177 | Comcast Corp. Special A Shares | 2,863,429 | ||||||
| 34,642 | DIRECTV Class A* | 1,760,506 | ||||||
| 180,828 | DISH Network Corp. Class A* | 5,545,995 | ||||||
| 72,395 | News Corp. Class A | 1,281,392 | ||||||
| 3,823 | The Walt Disney Co. | 149,250 | ||||||
| 119,873 | Time Warner, Inc. | 4,359,781 | ||||||
| 16,861,965 | ||||||||
|
Pharmaceuticals,
Biotechnology & Life Sciences – 8.9%
|
||||||||
| 2,984 | Alexion Pharmaceuticals, Inc.* | 140,338 | ||||||
| 83,212 | Amgen, Inc.* | 4,855,420 | ||||||
| 25,138 | Biogen Idec, Inc.* | 2,687,755 | ||||||
| 20,985 | Celgene Corp.* | 1,265,815 | ||||||
| 1,806 | Cephalon, Inc.* | 144,299 | ||||||
| 367,171 | Eli Lilly & Co. | 13,779,928 | ||||||
| 78,280 | Gilead Sciences, Inc.* | 3,241,575 | ||||||
| 9,149 | Johnson & Johnson | 608,592 | ||||||
| 18,246 | Merck & Co., Inc. | 643,901 | ||||||
| 507,160 | Pfizer, Inc. | 10,447,496 | ||||||
| 37,815,119 | ||||||||
|
Real
Estate Investment Trust – 3.5%
|
||||||||
| 8,152 | AvalonBay Communities, Inc. | 1,046,717 | ||||||
| 3,276 | Plum Creek Timber Co., Inc. | 132,809 | ||||||
| 5,751 | Public Storage | 655,672 | ||||||
| 65,818 | Rayonier, Inc. | 4,301,206 | ||||||
| 76,715 | Simon Property Group, Inc. | 8,916,584 | ||||||
| 15,052,988 | ||||||||
|
Retailing –
3.3%
|
||||||||
| 3,658 | Advance Auto Parts, Inc. | 213,956 | ||||||
| 19,542 | Amazon.com, Inc.* | 3,996,144 | ||||||
| 23,414 | AutoNation, Inc.*(a) | 857,187 | ||||||
| 10,137 | Dick’s Sporting Goods, Inc.* | 389,768 | ||||||
| 3,850 | Dollar Tree, Inc.* | 256,487 | ||||||
| 132,190 | Limited Brands, Inc. | 5,082,705 | ||||||
| 675 | Netflix, Inc.* | 177,316 | ||||||
| 8,638 | PetSmart, Inc. | 391,906 | ||||||
| 23,411 | Ross Stores, Inc. | 1,875,689 | ||||||
| 15,704 | Target Corp. | 736,675 | ||||||
| 13,977,833 | ||||||||
|
Semiconductors
& Semiconductor Equipment – 2.5%
|
||||||||
| 361,278 | Intel Corp. | 8,005,921 | ||||||
| 50,781 | Marvell Technology Group Ltd.* | 749,781 | ||||||
| 53,596 | Texas Instruments, Inc. | 1,759,557 | ||||||
| 10,515,259 | ||||||||
|
Software
& Services – 9.2%
|
||||||||
| 150,495 | Accenture PLC Class A | 9,092,908 | ||||||
| 7,509 | Amdocs Ltd.* | 228,199 | ||||||
| 1,809 | Cognizant Technology Solutions Corp. Class A* | 132,672 | ||||||
| 12,086 | eBay, Inc.* | 390,015 | ||||||
| 10,275 | Google, Inc. Class A* | 5,203,054 | ||||||
| 647,183 | Microsoft Corp. | 16,826,758 | ||||||
| 163,110 | Oracle Corp. | 5,367,950 | ||||||
| 20,384 | Teradata Corp.* | 1,227,117 | ||||||
| 17,329 | VeriSign, Inc. | 579,828 | ||||||
| 39,048,501 | ||||||||
|
Technology
Hardware & Equipment – 6.1%
|
||||||||
| 261,280 | Cisco Systems, Inc. | 4,078,581 | ||||||
| 309,803 | Dell, Inc.* | 5,164,416 | ||||||
| 58,909 | EMC Corp.* | 1,622,943 | ||||||
| 90,817 | Flextronics International Ltd.* | 583,045 | ||||||
| 57,707 | Hewlett-Packard Co. | 2,100,535 | ||||||
| 135,734 | Ingram Micro, Inc. Class A* | 2,462,215 | ||||||
| 9,213 | Juniper Networks, Inc.* | 290,209 | ||||||
| 26,905 | Motorola Solutions, Inc.* | 1,238,706 | ||||||
| 90,952 | NetApp, Inc.* | 4,800,447 | ||||||
| 46,605 | QLogic Corp.* | 741,952 | ||||||
| 69,450 | Tellabs, Inc. | 320,164 | ||||||
GOLDMAN SACHS
VARIABLE INSURANCE TRUST STRUCTURED U.S. EQUITY FUND
| Shares | Description | Value | ||||||
|
Common
Stocks – (continued)
|
||||||||
|
Technology
Hardware & Equipment – (continued)
|
||||||||
| 109,983 | Vishay Intertechnology, Inc.* | $ | 1,654,144 | |||||
| 25,257 | Western Digital Corp.* | 918,850 | ||||||
| 25,976,207 | ||||||||
|
Telecommunication
Services – 3.3%
|
||||||||
| 320,722 | AT&T, Inc.(b) | 10,073,878 | ||||||
| 412,684 | Sprint Nextel Corp.* | 2,224,367 | ||||||
| 42,263 | Verizon Communications, Inc. | 1,573,451 | ||||||
| 13,871,696 | ||||||||
|
Transportation –
2.3%
|
||||||||
| 2,297 | Copa Holdings SA Class A | 153,302 | ||||||
| 2,908 | Expeditors International of Washington, Inc. | 148,860 | ||||||
| 16,134 | FedEx Corp. | 1,530,310 | ||||||
| 5,491 | Norfolk Southern Corp. | 411,441 | ||||||
| 1,388 | Union Pacific Corp. | 144,907 | ||||||
| 101,970 | United Parcel Service, Inc. Class B | 7,436,672 | ||||||
| 9,825,492 | ||||||||
|
Utilities –
2.9%
|
||||||||
| 8,905 | Dominion Resources, Inc. | 429,844 | ||||||
| 264,508 | Duke Energy Corp. | 4,980,686 | ||||||
| 4,366 | Entergy Corp. | 298,110 | ||||||
| 35,903 | Exelon Corp. | 1,538,085 | ||||||
| 41,280 | Integrys Energy Group, Inc. | 2,139,955 | ||||||
| 18,810 | NiSource, Inc. | 380,903 | ||||||
| 46,793 | Sempra Energy | 2,474,414 | ||||||
| 12,241,997 | ||||||||
|
TOTAL
COMMON STOCKS
|
||||||||
|
(Cost
$330,744,974)
|
$ | 416,983,503 | ||||||
| Shares | Rate | Value | ||||||||
|
Short-term
Investment(c) –
2.1%
|
||||||||||
|
JPMorgan U.S. Government Money Market Fund — Capital
Shares
|
||||||||||
| 8,860,962 | 0.010 | % | $ | 8,860,962 | ||||||
|
(Cost
$8,860,962)
|
||||||||||
|
TOTAL
INVESTMENTS BEFORE SECURITIES LENDING REINVESTMENT
VEHICLE
|
||||||||||
|
(Cost
$339,605,936)
|
$ | 425,844,465 | ||||||||
|
Securities
Lending Reinvestment
Vehicle(c)(d) –
0.2%
|
||||||||||
|
Goldman Sachs Financial Square Money Market Fund —
FST Shares
|
||||||||||
| 819,500 | 0.099 | % | $ | 819,500 | ||||||
|
(Cost
$819,500)
|
||||||||||
|
TOTAL
INVESTMENTS – 100.4%
|
||||||||||
|
(Cost
$340,425,436)
|
$ | 426,663,965 | ||||||||
|
LIABILITIES
IN EXCESS OF OTHER ASSETS – (0.4)%
|
(1,891,449 | ) | ||||||||
|
NET
ASSETS – 100.0%
|
$ | 424,772,516 | ||||||||
The percentage shown for each investment category reflects the
value of investments in that category as a percentage of net
assets.
| * | Non-income producing security. | |
| (a) | All or a portion of security is on loan. | |
| (b) | All or a portion of security is segregated as collateral for initial margin requirements on futures transactions. | |
| (c) | Variable rate security. Interest rate disclosed is that which is in effect at June 30, 2011. | |
| (d) | Represents an affiliated issuer. |
| ADDITIONAL INVESTMENT INFORMATION |
FUTURES
CONTRACTS — At June 30, 2011, the
following futures contracts were open:
|
Number of |
||||||||||||||
|
Contracts |
Expiration |
Current |
Unrealized |
|||||||||||
| Type | Long (Short) | Date | Value | Gain (Loss) | ||||||||||
|
S&P 500
E-mini Index
|
99 | September 2011 | $ | 6,511,725 | $ | 243,862 | ||||||||
GOLDMAN SACHS
VARIABLE INSURANCE TRUST STRUCTURED U.S. EQUITY FUND
Statement of
Assets and Liabilities
June 30,
2011 (Unaudited)
|
Assets:
|
||||
|
Investments in securities of unaffiliated issuers, at value
(identified cost
$339,605,936)(a)
|
$ | 425,844,465 | ||
|
Investments in affiliated securities lending reinvestment
vehicle, at value (identified cost $819,500)
|
819,500 | |||
|
Receivables:
|
||||
|
Dividends
|
332,327 | |||
|
Fund shares sold
|
70,230 | |||
|
Due from broker — variation margin
|
67,571 | |||
|
Reimbursement from investment adviser
|
22,637 | |||
|
Securities lending income
|
1,161 | |||
|
Other assets
|
2,514 | |||
|
Total
assets
|
427,160,405 | |||
|
Liabilities:
|
||||
|
Payables:
|
||||
|
Payable upon return of securities loaned
|
819,500 | |||
|
Fund shares redeemed
|
654,595 | |||
|
Amounts owed to affiliates
|
237,538 | |||
|
Accrued expenses and other liabilities
|
676,256 | |||
|
Total
liabilities
|
2,387,889 | |||
|
Net
Assets:
|
||||
|
Paid-in capital
|
561,959,352 | |||
|
Accumulated undistributed net investment income
|
3,592,573 | |||
|
Accumulated net realized loss from investment and futures
transactions
|
(227,261,800 | ) | ||
|
Net unrealized gain on investments and futures
|
86,482,391 | |||
|
NET
ASSETS
|
$ | 424,772,516 | ||
|
Net Assets:
|
||||
|
Institutional
|
$ | 313,074,677 | ||
|
Service
|
111,697,839 | |||
|
Total Net Assets
|
$ | 424,772,516 | ||
|
Shares of beneficial interest outstanding $0.001 par value
(unlimited shares authorized):
|
||||
|
Institutional
|
27,378,913 | |||
|
Service
|
9,766,512 | |||
|
Net asset value, offering and redemption price per share:
|
||||
|
Institutional
|
$11.43 | |||
|
Service
|
11.44 | |||
| (a) | Includes loaned securities having a market value of $805,420. |
GOLDMAN SACHS
VARIABLE INSURANCE TRUST STRUCTURED U.S. EQUITY FUND
Statement of
Operations
For the
Six Months Ended June 30, 2011 (Unaudited)
|
Investment
income:
|
||||
|
Dividends (net of foreign taxes withheld of $173)
|
$ | 4,683,453 | ||
|
Securities lending income — affiliated issuer
|
5,946 | |||
|
Total
investment income
|
4,689,399 | |||
|
Expenses:
|
||||
|
Management fees
|
1,336,788 | |||
|
Distribution and Service fees — Service Class
|
140,220 | |||
|
Printing and mailing costs
|
51,801 | |||
|
Transfer Agent
fees(a)
|
43,119 | |||
|
Professional fees
|
38,592 | |||
|
Custody and accounting fees
|
30,305 | |||
|
Trustee fees
|
8,644 | |||
|
Other
|
10,051 | |||
|
Total
expenses
|
1,659,520 | |||
|
Less — expense reductions
|
(153,206 | ) | ||
|
Net
expenses
|
1,506,314 | |||
|
NET
INVESTMENT INCOME
|
3,183,085 | |||
|
Realized and
unrealized gain from investment and futures
transactions:
|
||||
|
Net realized gain from:
|
||||
|
Investment transactions
|
16,065,978 | |||
|
Futures transactions
|
315,993 | |||
|
Net change in unrealized gain on:
|
||||
|
Investments
|
14,558,130 | |||
|
Futures
|
141,532 | |||
|
Net
realized and unrealized gain from investment and futures
transactions
|
31,081,633 | |||
|
NET
INCREASE IN NET ASSETS RESULTING FROM OPERATIONS
|
$ | 34,264,718 | ||
| (a) | Institutional and Service Shares had Transfer Agent fees of $31,902 and $11,217, respectively. |
GOLDMAN SACHS
VARIABLE INSURANCE TRUST STRUCTURED U.S. EQUITY FUND
Statements
of Changes in Net Assets
|
For the |
||||||||
|
Six Months
Ended |
For the |
|||||||
|
June 30, 2011 |
Fiscal Year
Ended |
|||||||
| (Unaudited) | December 31, 2010 | |||||||
|
From
operations:
|
||||||||
|
Net investment income
|
$ | 3,183,085 | $ | 5,975,139 | ||||
|
Net realized gain from investment and futures transactions
|
16,381,971 | 21,165,168 | ||||||
|
Net change in unrealized gain on investments and futures
|
14,699,662 | 23,637,904 | ||||||
|
Net
increase in net assets resulting from operations
|
34,264,718 | 50,778,211 | ||||||
|
Distributions to
shareholders:
|
||||||||
|
From net investment income
|
||||||||
|
Institutional Shares
|
— | (4,505,171 | ) | |||||
|
Service Shares
|
— | (1,334,105 | ) | |||||
|
Total
distributions to shareholders
|
— | (5,839,276 | ) | |||||
|
From share
transactions:
|
||||||||
|
Proceeds from sales of shares
|
13,098,305 | 8,446,580 | ||||||
|
Reinvestment of distributions
|
— | 5,839,276 | ||||||
|
Cost of shares redeemed
|
(53,710,147 | ) | (81,171,074 | ) | ||||
|
Net
decrease in net assets resulting from share
transactions
|
(40,611,842 | ) | (66,885,218 | ) | ||||
|
TOTAL
DECREASE
|
(6,347,124 | ) | (21,946,283 | ) | ||||
|
Net
assets:
|
||||||||
|
Beginning of period
|
431,119,640 | 453,065,923 | ||||||
|
End of period
|
$ | 424,772,516 | $ | 431,119,640 | ||||
|
Accumulated
undistributed net investment income
|
$ | 3,592,573 | $ | 409,488 | ||||
GOLDMAN SACHS
VARIABLE INSURANCE TRUST STRUCTURED U.S. EQUITY FUND
Financial
Highlights
Selected
Data for a Share Outstanding Throughout Each Period
|
Income (loss)
from |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
| investment operations | Distributions to shareholders | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||
|
Net |
|
Ratio of |
Ratio of |
|||||||||||||||||||||||||||||||||||||||||||||||||||||||
|
Net asset |
realized |
From |
Net asset |
Net assets, |
Ratio of |
total |
net investment |
|||||||||||||||||||||||||||||||||||||||||||||||||||
|
value, |
Net |
and |
Total from |
From net |
net |
value, |
end of |
net expenses |
expenses |
income |
Portfolio |
|||||||||||||||||||||||||||||||||||||||||||||||
|
beginning |
investment |
unrealized |
investment |
investment |
realized |
Total |
end of |
Total |
period |
to average |
to average |
to average |
turnover |
|||||||||||||||||||||||||||||||||||||||||||||
| Year - Share Class | of period | income(a) | gain (loss) | operations | income | gains | distributions | period | return(b) | (in 000s) | net assets | net assets | net assets | rate | ||||||||||||||||||||||||||||||||||||||||||||
|
FOR THE SIX
MONTHS ENDED JUNE 30, (UNAUDITED)
|
||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
|
2011 - Institutional
|
$ | 10.57 | $ | 0.08 | $ | 0.78 | $ | 0.86 | $ | — | $ | — | $ | — | $ | 11.43 | 8.23 | % | $ | 313,075 | 0.64 | %(c) | 0.70 | %(c) | 1.53 | %(c) | 16 | % | ||||||||||||||||||||||||||||||
|
2011 - Service
|
10.58 | 0.07 | 0.79 | 0.86 | — | — | — | 11.44 | 8.13 | 111,698 | 0.85 | (c) | 0.95 | (c) | 1.32 | (c) | 16 | |||||||||||||||||||||||||||||||||||||||||
|
FOR THE FISCAL
YEAR ENDED DECEMBER 31,
|
||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
|
2010 - Institutional
|
9.50 | 0.14 | 1.08 | 1.22 | (0.15 | ) | — | (0.15 | ) | 10.57 | 12.84 | 319,948 | 0.64 | 0.70 | 1.45 | 38 | ||||||||||||||||||||||||||||||||||||||||||
|
2010 - Service
|
9.51 | 0.12 | 1.08 | 1.20 | (0.13 | ) | — | (0.13 | ) | 10.58 | 12.60 | 111,171 | 0.85 | 0.95 | 1.25 | 38 | ||||||||||||||||||||||||||||||||||||||||||
|
2009 - Institutional
|
7.99 | 0.15 | 1.54 | 1.69 | (0.18 | ) | — | (0.18 | ) | 9.50 | 21.15 | 340,536 | 0.68 | 0.72 | 1.75 | 136 | ||||||||||||||||||||||||||||||||||||||||||
|
2009 - Service
|
8.00 | 0.13 | 1.54 | 1.67 | (0.16 | ) | — | (0.16 | ) | 9.51 | 20.89 | 112,530 | 0.89 | 0.97 | 1.53 | 136 | ||||||||||||||||||||||||||||||||||||||||||
|
2008 - Institutional
|
13.16 | 0.17 | (5.06 | ) | (4.89 | ) | (0.18 | ) | (0.10 | ) | (0.28 | ) | 7.99 | (36.92 | ) | 344,144 | 0.71 | 0.72 | 1.53 | 110 | ||||||||||||||||||||||||||||||||||||||
|
2008 - Service
|
13.16 | 0.14 | (5.04 | ) | (4.90 | ) | (0.16 | ) | (0.10 | ) | (0.26 | ) | 8.00 | (37.05 | ) | 106,586 | 0.92 | 0.97 | 1.34 | 110 | ||||||||||||||||||||||||||||||||||||||
|
2007 - Institutional
|
14.67 | 0.15 | (0.37 | ) | (0.22 | ) | (0.16 | ) | (1.13 | ) | (1.29 | ) | 13.16 | (1.63 | ) | 752,148 | 0.71 | (d) | 0.72 | (d) | 1.02 | (d) | 125 | |||||||||||||||||||||||||||||||||||
|
2007 - Service
|
14.67 | 0.14 | (0.37 | ) | (0.23 | ) | (0.15 | ) | (1.13 | ) | (1.28 | ) | 13.16 | (1.72 | ) | 205,997 | 0.79 | (d) | 0.97 | (d) | 0.94 | (d) | 125 | |||||||||||||||||||||||||||||||||||
|
2006 - Institutional
|
13.13 | 0.14 | 1.55 | 1.69 | (0.15 | ) | — | (0.15 | ) | 14.67 | 12.89 | 910,345 | 0.72 | 0.72 | 1.01 | 99 | ||||||||||||||||||||||||||||||||||||||||||
|
2006 - Service (Commenced January 9, 2006)
|
13.54 | 0.13 | 1.14 | 1.27 | (0.14 | ) | — | (0.14 | ) | 14.67 | 9.38 | 261,814 | 0.80 | (c) | 0.97 | (c) | 0.92 | (c) | 99 | |||||||||||||||||||||||||||||||||||||||
| (a) | Calculated based on the average shares outstanding methodology. | |
| (b) | Assumes investment at the net asset value at the beginning of the period, reinvestment of all distributions and a complete redemption of the investment at the net asset value at the end of the period. Total returns for periods less than one full year are not annualized. | |
| (c) | Annualized. | |
| (d) | Includes non-recurring expense for a special shareholder meeting which amounted to approximately 0.02% of average net assets. |
13
GOLDMAN SACHS
VARIABLE INSURANCE TRUST STRUCTURED U.S. EQUITY FUND
Notes to
Financial Statements
June 30,
2011 (Unaudited)
| 1. ORGANIZATION |
Goldman Sachs Variable Insurance Trust (the “Trust” or
“VIT”) 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 Trust includes the Goldman Sachs Structured U.S. Equity Fund
(the “Fund”). The Fund is a diversified portfolio
under the Act offering two classes of shares —
Institutional and Service.
Goldman Sachs Asset Management, L.P. (“GSAM”), an
affiliate of Goldman, Sachs & Co. (“Goldman
Sachs”), serves as investment adviser to the Fund pursuant
to a management agreement (the “Agreement”) with the
Trust.
| 2. SIGNIFICANT ACCOUNTING POLICIES |
The following is a summary of the significant accounting
policies consistently followed by the Fund. The preparation of
financial statements in conformity with accounting principles
generally accepted in the United States of America
(“GAAP”) requires management to make estimates and
assumptions that may affect the amounts and disclosures in the
financial statements. Actual results could differ from those
estimates and assumptions.
A. Investment
Valuation — The investment valuation policy
of the Fund is to value investments at market value. Investments
in equity securities and investment companies traded on a United
States (“U.S.”) securities exchange or the NASDAQ
system are valued daily at their last sale price or official
closing price on the principal exchange or system on which they
are traded. If no sale occurs, such securities and investment
companies are valued at the last bid price for long positions
and at the last ask price for short positions. Debt securities
for which market quotations are readily available are valued on
the basis of quotations furnished by an independent pricing
service approved by the trustees or provided by securities
dealers. The pricing services may use valuation models or matrix
pricing, which consider: (i) yield or price with respect to
bonds that are considered comparable in characteristics such as
rating, interest rate and maturity date or (ii) quotations
from securities dealers to determine current value. If accurate
quotations are not readily available, or if GSAM believes that
such quotations do not accurately reflect fair value, the fair
value of the Fund’s investments may be determined based on
yield equivalents, a pricing matrix or other sources, under
valuation procedures established by the trustees. Unlisted
equity securities for which market quotations are available are
valued at the last sale price on the valuation date, or if no
sale occurs, at the last bid price. In the absence of market
quotations, broker quotes will be utilized or the security will
be fair valued. Investments in investment companies (other than
those that are exchange traded) are valued at the net asset
value per share (“NAV”) of the investment company on
the valuation date. Short-term debt obligations that mature in
sixty days or less and that do not exhibit signs of credit
deterioration are valued at amortized cost, which approximates
market value.
GSAM, consistent with its procedures and applicable regulatory
guidance, may make an adjustment to the previous closing prices
of either domestic or foreign securities in light of significant
events to reflect what it believes to be the fair value of the
securities at the time of determining the Fund’s NAV.
Significant events that could affect a large number of
securities in a particular market may include, but are not
limited to: situations relating to one or more single issuers in
a market sector; significant fluctuations in U.S. or foreign
markets; market dislocations; market disruptions or market
closings; equipment failures; natural or man-made disasters or
acts of God; armed conflicts; government actions or other
developments; as well as the same or similar events which may
affect specific issuers or the securities markets even though
not tied directly to the securities markets. Other significant
events that could relate to a single issuer may include, but are
not limited to: corporate actions such as reorganizations,
mergers and buy-outs; corporate announcements, including those
relating to earnings, products and regulatory news; significant
litigation; low trading volume; and trading limits or
suspensions.
B. Security
and Fund Share Transactions, and Investment
Income — Security and Fund share
transactions are reflected for financial reporting purposes as
of the trade date, which may cause the NAV as stated in the
accompanying financial statements to be different than the NAV
applied to Fund share transactions. Realized gains and losses on
sales of portfolio securities are calculated using the
identified cost basis. Dividend income is recognized on the
ex-dividend
date, net of foreign withholding taxes, if any, which are
reduced by any amounts reclaimable by the Fund, where
applicable. Certain dividends from foreign securities will be
recorded when the Fund is informed of the dividend, if such
information is obtained subsequent to the
ex-dividend
date.
GOLDMAN SACHS
VARIABLE INSURANCE TRUST STRUCTURED U.S. EQUITY FUND
| 2. SIGNIFICANT ACCOUNTING POLICIES (continued) |
Interest income is recorded on the basis of interest accrued,
premium amortized and discount accreted. In addition, it is the
Fund’s policy to accrue for foreign capital gains taxes, if
applicable, on certain foreign securities held by the Fund. An
estimated foreign capital gains tax is recorded daily on net
unrealized gains on these securities and is payable upon the
sale of such securities when a gain is realized.
Investment income and unrealized and realized gains or losses
are allocated daily to each class of shares of the Fund based
upon the relative proportion of net assets of each class.
In addition, distributions received from the Fund’s
investments in U.S. real estate investment trusts
(“REITs”) often include a “return of
capital”, which is recorded by the Fund as a reduction of
the cost basis of the securities held. The Internal Revenue Code
of 1986, as amended (the “Code”) requires a REIT to
distribute at least 95% of its taxable income to investors. In
many cases, however, because of “non-cash” expenses
such as property depreciation, a REIT’s cash flow will
exceed its taxable income. The REIT may distribute this excess
cash to offer a more competitive yield. This portion of the
Fund’s distributions is deemed a return of capital and is
generally not taxable to shareholders.
C. Expenses —
Expenses incurred by the Fund, which may not
specifically relate to the Fund, may be shared with other
registered investment companies having management agreements
with GSAM or its affiliates, as appropriate. These expenses are
allocated to the Fund on a straight-line
and/or
pro-rata basis depending upon the nature of the expenses and are
accrued daily.
Non-class
specific expenses are allocated daily to each share class of the
respective Fund based upon the relative proportion of net assets
of each class. Class specific expenses, where applicable, are
borne by the respective share classes and include Distribution
and Service and Transfer Agent fees.
D. Federal
Taxes and Distributions to Shareholders —
It is the Fund’s policy to comply with the
requirements of the Code, applicable to regulated investment
companies (mutual funds) and to distribute each year
substantially all of its investment company taxable income and
capital gains to its shareholders. Accordingly, the Fund is not
required to make any provisions for the payment of federal
income tax. Distributions to shareholders are recorded on the
ex-dividend
date. Income and capital gains distributions, if any, are
declared and paid annually.
Net capital losses are carried forward to future fiscal years
and may be used to the extent allowed by the Code to offset any
future capital gains. Utilization of capital loss carryforwards
will reduce the requirement of future capital gains
distributions.
The characterization of distributions to shareholders for
financial reporting purposes is determined in accordance with
federal income tax rules, which may differ from GAAP. The source
of the 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
Fund’s net assets on the Statement of Assets and
Liabilities reflect permanent GAAP/tax differences based on the
appropriate tax character.
E. Futures
Contracts — Futures contracts are valued at
the last settlement price, or in the absence of a sale, the last
bid price, at the end of each day on the board of trade or
exchange upon which they are traded. Upon entering into a
futures contract, the Fund deposits 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 Fund equal to the daily change in the contract
value and are recorded as variation margin receivable or payable
with a corresponding offset in unrealized gains or losses. The
Fund recognizes a realized gain or loss when a contract is
closed or expires.
The use of futures contracts involves, to varying degrees,
elements of market and counterparty risk which may exceed the
amounts recognized in the Statement of Assets and Liabilities.
Futures contracts may be illiquid, and exchanges may limit
fluctuations in futures contract prices during a single day.
Changes in the value of a futures contract may not directly
correlate with changes in the value of the underlying
securities. These risks may decrease the effectiveness of the
Fund’s strategies and potentially result in a loss. The
Fund must set aside liquid assets, or engage in other
appropriate measures, to cover its obligations under these
contracts.
GOLDMAN SACHS
VARIABLE INSURANCE TRUST STRUCTURED U.S. EQUITY FUND
Notes to
Financial
Statements (continued)
June 30,
2011 (Unaudited)
| 3. FAIR VALUE OF INVESTMENTS |
The fair value of a financial instrument is the amount that
would be received to sell an asset or paid to transfer a
liability in an orderly transaction between market participants
at the measurement date (i.e., the exit price). GAAP establishes
a fair value hierarchy that prioritizes the inputs to valuation
techniques used to measure fair value. The hierarchy gives the
highest priority to unadjusted quoted prices in active markets
for identical assets or liabilities (Level 1 measurements)
and the lowest priority to unobservable inputs (Level 3
measurements). The three levels of the fair value hierarchy are
described below:
Level 1 — Unadjusted quoted prices in active
markets that are accessible at the measurement date for
identical, unrestricted assets or liabilities;
Level 2 — Quoted prices in markets that are not
active or financial instruments for which significant inputs are
observable (including, but not limited to, quoted prices for
similar securities, interest rates, foreign exchange rates,
volatility and credit spreads), either directly or indirectly;
Level 3 — Prices or valuations that require
significant unobservable inputs (including GSAM’s
assumptions in determining fair value measurement).
The following is a summary of the Fund’s investments and
derivatives categorized in the fair value hierarchy as of
June 30, 2011:
| Investment Type | Level 1 | Level 2 | Level 3 | |||||||||
|
Assets
|
||||||||||||
|
Common Stock
and/or Other
Equity Investments
|
$ | 416,983,503 | $ | — | $ | — | ||||||
|
Short-term Investment
|
8,860,962 | — | — | |||||||||
|
Securities Lending Reinvestment Vehicle
|
819,500 | — | — | |||||||||
|
Total
|
$ | 426,663,965 | $ | — | $ | — | ||||||
| Derivatives Type | ||||||||||||
|
Assets
|
||||||||||||
|
Futures
Contracts(a)
|
$ | 243,862 | $ | — | $ | — | ||||||
| (a) | Amount shown represents unrealized gain (loss) at period end. |
| 4. INVESTMENTS IN DERIVATIVES |
The Fund may make investments in derivative instruments,
including, but not limited to options, futures, swaps, swaptions
and other derivatives relating to foreign currency transactions.
A derivative is an instrument whose value is derived from
underlying assets, indices, reference rates or a combination of
these factors. Derivative instruments may be privately
negotiated contracts (often referred to as over the counter
(“OTC”) derivatives) or they may be listed and traded
on an exchange. Derivative contracts may involve future
commitments to purchase or sell financial instruments or
commodities at specified terms on a specified date, or to
exchange interest payment streams or currencies based on a
notional or contractual amount. Derivative instruments may
involve a high degree of financial risk. The use of derivatives
also involves the risk of loss if the investment adviser is
incorrect in its expectation of the timing or level of
fluctuations in securities prices, interest rates or currency
prices. Investments in derivative instruments also include the
risk of default by the counterparty, the risk that the
investment may not be liquid and the risk that a small movement
in the price of the underlying security or benchmark may result
in a disproportionately large movement, unfavorable or
favorable, in the price of the derivative instrument.
During the six months ended June 30, 2011, the Fund entered
into futures contracts. These instruments were used to meet the
Fund’s investment objectives and to obtain
and/or
manage exposure related to the risks below. The following table
sets forth, by certain risk types, the gross value of these
derivative contracts for trading activities as of June 30,
2011. The values in the table below exclude the effects of cash
collateral received or posted pursuant to these derivative
contracts, and therefore are not representative of the
Fund’s net exposure.
GOLDMAN SACHS
VARIABLE INSURANCE TRUST STRUCTURED U.S. EQUITY FUND
| 4. INVESTMENTS IN DERIVATIVES (continued) |
|
Statement of |
||||||||||
|
Assets and
Liabilities |
||||||||||
| Risk | Location | Assets | ||||||||
|
Equity
|
Due from broker — variation margin | $ | 243,862(a | ) | ||||||
| (a) | Includes unrealized gain (loss) on futures contracts described in the Additional Investment Information section of the Schedule of Investments. Only current day’s variation margin is reported within the Statement of Assets and Liabilities. |
The following table sets forth, by certain risk types, the
Fund’s gains (losses) related to these derivatives and
their indicative volumes for the six months ended June 30,
2011. These gains (losses) should be considered in the context
that these derivative contracts may have been executed to
economically hedge certain securities, and accordingly, certain
gains (losses) on such derivative contracts may offset certain
(losses) gains attributable to securities. These gains (losses)
are included in “Net realized gain (loss)” or
“Net change in unrealized gain (loss)” on the
Statement of Operations:
|
Net |
Net Change in |
Average |
|||||||||||||
|
Realized |
Unrealized |
Number of |
|||||||||||||
| Risk | Statement of Operations Location | Gain (Loss) | Gain (Loss) | Contracts(a) | |||||||||||
|
Equity
|
Net realized gain (loss) from futures transactions/Net change in unrealized gain (loss) on futures | $ | 315,993 | $ | 141,532 | 122 | |||||||||
| (a) | Average number of contracts is based on the average of month end balances for the six months ended June 30, 2011. |
| 5. AGREEMENTS AND AFFILIATED TRANSACTIONS |
A. Management
Agreement — Under the Agreement, GSAM
manages the Fund, 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 Fund’s business affairs, including
providing facilities, GSAM is entitled to a management fee
accrued daily and paid monthly, equal to an annual percentage
rate of the Fund’s average daily net assets.
For the six months ended June 30, 2011, contractual
management fees with GSAM were at the following rates:
| Contractual Management Rate | ||||||||||||||||||||
|
First |
Next |
Next |
Next |
Over |
Effective |
|||||||||||||||
| $1 billion | $1 billion | $3 billion | $3 billion | $8 billion | Rate | |||||||||||||||
|
0.62%
|
0.59 | % | 0.56 | % | 0.55 | % | 0.54 | % | 0.62 | % | ||||||||||
B. Distribution
and Service Plan — The Trust, on behalf of
the Service Shares of the Fund, has adopted a Distribution and
Service Plan (the “Plan”). Under the Plan, Goldman
Sachs, which serves as distributor, is entitled to a fee accrued
daily and paid monthly for distribution services, which may then
be paid by Goldman Sachs to authorized dealers, equal to, on an
annual basis, 0.25% of the Fund’s average daily net assets
attributable to Service Shares. Goldman Sachs has agreed to
waive distribution and service fees so as not to exceed an
annual rate of 0.21% of the Fund’s average daily net assets
attributable to Service Shares. The distribution and service fee
waiver will remain in place through at least April 29,
2012, and prior to such date Goldman Sachs may not terminate the
arrangement without the approval of the trustees. For the six
months ended June 30, 2011, Goldman Sachs waived
approximately $22,400 in distribution and service fees for the
Fund’s Services Shares.
C. Transfer
Agency Agreement — Goldman Sachs also
serves as the transfer agent of the Fund for a fee pursuant to a
Transfer Agency Agreement. The fees charged for such transfer
agency services are accrued daily and paid monthly at an annual
rate of 0.02% of the average daily net assets for Institutional
and Service Shares.
GOLDMAN SACHS
VARIABLE INSURANCE TRUST STRUCTURED U.S. EQUITY FUND
Notes to
Financial
Statements (continued)
June 30,
2011 (Unaudited)
| 5. AGREEMENTS AND AFFILIATED TRANSACTIONS (continued) |
D. Other
Expense Agreements and Affiliated Transactions —
GSAM has agreed to limit certain “Other
Expense” of the Fund (excluding management fees,
distribution and service fees, transfer agent fees and expenses,
taxes, interest, brokerage fees and litigation, indemnification,
shareholder meetings and other extraordinary expenses, exclusive
of any custody and transfer agent fee credit reductions) to the
extent such expenses exceed, on an annual basis, 0.004% of the
average daily net assets of the Fund. Such Other Expense
reimbursements, if any, are accrued daily and paid monthly. In
addition, the Fund is not obligated to reimburse GSAM for prior
fiscal year expense reimbursements, if any. These Other Expense
reimbursements will remain in place through at least
April 29, 2012, and prior to such date GSAM may not
terminate the arrangements without the approval of the trustees.
For the six months ended June 30, 2011, GSAM reimbursed
approximately $130,770 to the Fund.
As of June 30, 2011, the amounts owed to affiliates were
approximately $211,900, $18,800 and $6,800 for management,
distribution and service, and transfer agent fees, respectively.
E. Line of
Credit Facility — As of June 30, 2011,
the Fund participated in a $580,000,000 committed, unsecured
revolving line of credit facility (the “facility”)
together with other funds of the Trust and registered investment
companies having management agreements with GSAM or its
affiliates. Pursuant to the terms of the facility, the Fund and
other borrowers could increase the credit amount by an
additional $340,000,000, for a total of up to $920,000,000. This
facility is to be used solely for temporary or emergency
purposes. The interest rate on borrowings is based on the
federal funds rate. The facility also requires a fee to be paid
by the Fund based on the amount of the commitment that has not
been utilized. For the six months ended June 30, 2011, the
Fund did not have any borrowings under the facility.
F. Other
Transactions with Affiliates — For the six
months ended June 30, 2011, Goldman Sachs earned
approximately $900 in brokerage commissions from portfolio
transactions, including futures transactions executed with
Goldman Sachs as the Futures Commission Merchant, on behalf of
the Fund.
| 6. PORTFOLIO SECURITIES TRANSACTIONS |
The cost of purchases and proceeds from sales and maturities of
long-term securities for the six months ended June 30,
2011, were $68,417,643 and $102,826,669, respectively.
| 7. SECURITIES LENDING |
Pursuant to exemptive relief granted by the Securities and
Exchange Commission (“SEC”) and the terms and
conditions contained therein, the Fund may lend its securities
through a securities lending agent, Goldman Sachs Agency Lending
(“GSAL”), a wholly-owned subsidiary of Goldman Sachs,
to certain qualified borrowers including Goldman Sachs and
affiliates. In accordance with the Fund’s securities
lending procedures, the Fund receives cash collateral at least
equal to the market value of the securities on loan. The market
value of the loaned securities is determined at the close of
business of the Fund at their last sale price or official
closing price on the principal exchange or system on which they
are traded, and any additional required collateral is delivered
to the Fund on the next business day. As with other extensions
of credit, the Fund may experience a delay in the recovery of
its securities or incur a loss should the borrower of the
securities breach its agreement with the Fund or become
insolvent at a time when the collateral is insufficient to cover
the cost of repurchasing securities on loan.
The Fund invests the cash collateral received in connection with
securities lending transactions in the Goldman Sachs Financial
Square Money Market Fund (“Money Market Fund”), a
series of Goldman Sachs Trust, a Delaware statutory trust. The
Money Market Fund, deemed an affiliate of the Trust, is
registered under the Act as an open end investment company, is
subject to
Rule 2a-7
under the Act, and is managed by GSAM, for which GSAM may
receive an investment advisory fee of up to 0.205% on an
annualized basis of the average daily net assets of the Money
Market Fund.
Both the Fund and GSAL receive compensation relating to the
lending of the Fund’s securities. The amount earned by the
Fund for the six months ended June 30, 2011, is reported
under Investment Income on the Statement of Operations. For the
six months ended June 30, 2011, GSAL earned $664 in fees as
securities lending agent.
GOLDMAN SACHS
VARIABLE INSURANCE TRUST STRUCTURED U.S. EQUITY FUND
| 7. SECURITIES LENDING (continued) |
The following table provides information about the Fund’s
investment in the Money Market Fund for the six months ended
June 30, 2011 (in thousands):
|
Number of |
Number of |
|||||||||||||||
|
Shares Held |
Shares Held |
Value at End |
||||||||||||||
| Beginning of Period | Shares Bought | Shares Sold | End of Period | of Period | ||||||||||||
|
644
|
1,286 | (1,110 | ) | 820 | $ | 820 | ||||||||||
| 8. TAX INFORMATION |
As of the Fund’s most recent fiscal year end,
December 31, 2010, the Fund’s capital loss
carryforwards on a tax-basis were as follows:
|
Capital loss
carryforward:(1)
|
||||
|
Expiring 2016
|
$ | (100,034,314 | ) | |
|
Expiring 2017
|
(139,998,215 | ) | ||
|
Total capital loss carryforward
|
$ | (240,032,529 | ) | |
| (1) | Expiration occurs on December 31 of the year indicated. |
As of June 30, 2011, the Fund’s aggregate security
unrealized gains and losses based on cost for U.S. federal
income tax purposes were as follows:
|
Tax cost
|
$ | 343,934,348 | ||
|
Gross unrealized gain
|
90,471,127 | |||
|
Gross unrealized loss
|
(7,741,510 | ) | ||
|
Net unrealized security gain
|
$ | 82,729,617 | ||
The difference between GAAP-basis and tax-basis unrealized gains
(losses), as of the most recent fiscal year end, is attributable
primarily to wash sales and net mark to market gains (losses) on
regulated futures contracts.
GSAM has reviewed the Fund’s 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
Fund’s financial statements. Such open tax years remain
subject to examination and adjustment by tax authorities.
Under the recently enacted Regulated Investment Company
Modernization Act of 2010, the Fund will be permitted to carry
forward capital losses incurred in taxable years beginning after
December 22, 2010 for an unlimited period. However, any
losses incurred during those future taxable years will be
required to be utilized prior to the losses incurred in
pre-enactment taxable years. As a result of this ordering rule,
pre-enactment capital loss carryforwards may be more likely to
expire unused. Additionally, post-enactment capital losses that
are carried forward will retain their character as either
short-term or long-term capital losses rather than being
considered all short-term as under previous law.
| 9. OTHER RISKS |
Fund’s
Shareholder Concentration Risk — Certain
participating insurance companies, accounts, or Goldman Sachs
affiliates may from time to time own (beneficially or of record)
or control a significant percentage of the Fund’s shares.
Redemptions by these entities of their holdings in the Fund may
impact the Fund’s liquidity and NAV. These redemptions may
also force the Fund to sell securities.
GOLDMAN SACHS
VARIABLE INSURANCE TRUST STRUCTURED U.S. EQUITY FUND
Notes to
Financial
Statements (continued)
June 30,
2011 (Unaudited)
| 9. OTHER RISKS (continued) |
Liquidity
Risk — The Fund 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 Fund trades financial instruments and enters into financial
transactions where risk of potential loss exists due to changes
in the market (market risk). Additionally, the Fund 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 Fund has
unsettled or open transaction defaults.
| 10. 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 Fund. Additionally, in
the course of business, the Fund enters into contracts that
contain a variety of indemnification clauses. The Fund’s
maximum exposure under these arrangements is unknown, as this
would involve future claims that may be made against the Fund
that have not yet occurred. However, GSAM believes the risk of
loss under these arrangements to be remote.
| 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.
GOLDMAN SACHS
VARIABLE INSURANCE TRUST STRUCTURED U.S. EQUITY FUND
| 12. SUMMARY OF SHARE TRANSACTIONS |
Share activity is as follows:
|
For the Six
Months Ended |
||||||||||||||||
|
June 30, 2011 |
For the Fiscal
Year Ended |
|||||||||||||||
| (Unaudited) | December 31, 2010 | |||||||||||||||
| Shares | Dollars | Shares | Dollars | |||||||||||||
|
Institutional
Shares
|
||||||||||||||||
|
Shares sold
|
131,265 | $ | 9,586,250 | 635,836 | $ | 5,898,249 | ||||||||||
|
Reinvestment of distributions
|
— | — | 426,626 | 4,505,171 | ||||||||||||
|
Shares redeemed
|
(3,027,868 | ) | (41,931,501 | ) | (6,622,266 | ) | (64,503,333 | ) | ||||||||
| (2,896,603 | ) | (32,345,251 | ) | (5,559,804 | ) | (54,099,913 | ) | |||||||||
|
Service
Shares
|
||||||||||||||||
|
Shares sold
|
55,463 | 3,512,055 | 264,407 | 2,548,331 | ||||||||||||
|
Reinvestment of distributions
|
— | — | 126,097 | 1,334,105 | ||||||||||||
|
Shares redeemed
|
(796,054 | ) | (11,778,646 | ) | (1,710,786 | ) | (16,667,741 | ) | ||||||||
| (740,591 | ) | (8,266,591 | ) | (1,320,282 | ) | (12,785,305 | ) | |||||||||
|
NET
DECREASE
|
(3,637,194 | ) | $ | (40,611,842 | ) | (6,880,086 | ) | $ | (66,885,218 | ) | ||||||
GOLDMAN SACHS
VARIABLE INSURANCE TRUST STRUCTURED U.S. EQUITY FUND
Statement
Regarding Basis for Approval of Management Agreement
(Unaudited)
Background
The Goldman Sachs Structured U.S. Equity Fund (the
“Fund”) is an investment portfolio of Goldman Sachs
Variable Insurance Trust (the “Trust”). The Board of
Trustees oversees the management of the Trust and reviews the
investment performance and expenses of the Fund 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 agreement
(the “Management Agreement”) with Goldman Sachs Asset
Management, L.P. (the “Investment Adviser”) on behalf
of the Fund.
The Management Agreement was most recently approved for
continuation until June 30, 2012 by the Board of Trustees,
including those Trustees who are not parties to the Management
Agreement or “interested persons” (as defined in the
Investment Company Act of 1940, as amended) of any party thereto
(the “Independent Trustees”), at a meeting held on
June 15-16,
2011 (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 Agreement was 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
Agreement, including:
| (a) | the nature and quality of the advisory, administrative and other services provided to the Fund 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, 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; |
| (b) | information on the investment performance of the Fund, including 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”), and its benchmark performance index, and general investment outlooks in the markets in which the Fund invests; | |
| (c) | the terms of the Management Agreement and agreements with affiliated service providers entered into by the Trust on behalf of the Fund; | |
| (d) | expense information for the Fund, including: |
| (i) | the relative management fee and expense level of the Fund as compared to those of comparable funds managed by other advisers, as provided by the Outside Data Provider; | |
| (ii) | the Fund’s 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 Fund, comparative information on the advisory fees charged and services provided to those accounts by the Investment Adviser; |
GOLDMAN SACHS
VARIABLE INSURANCE TRUST STRUCTURED U.S. EQUITY FUND
Statement
Regarding Basis for Approval of Management Agreement
(Unaudited) (continued)
| (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 Fund; | |
| (f) | the undertakings of the Investment Adviser and Goldman, Sachs & Co. (“Goldman Sachs”), the Fund’s affiliated distributor, to reimburse certain expenses of the Fund and waive certain distribution and service fees that exceed specified levels, and a summary of contractual fee reductions made by the Investment Adviser and its affiliates over the past several years with respect to the Fund; | |
| (g) | information relating to the profitability of the Management Agreement and the transfer agency and distribution and service arrangements of the Fund and the Trust as a whole to the Investment Adviser and its affiliates; | |
| (h) | whether the 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 Fund, including the fees received by the Investment Adviser’s affiliates from the Fund for transfer agency, securities lending, portfolio brokerage, distribution and other services; | |
| (j) | a summary of potential benefits derived by the Fund as a result of its relationship with the Investment Adviser; | |
| (k) | information regarding commissions paid by the Fund, portfolio trading and how the Investment Adviser carries out its duty to seek best execution; | |
| (l) | the manner in which portfolio manager compensation is determined, and the number and types of accounts managed by the portfolio managers; | |
| (m) | the nature and quality of the services provided to the Fund by its 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 Agreement; 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 Fund’s compliance program; and compliance reports. |
The Trustees also received an overview of the Fund’s
distribution arrangements. They received information regarding
the Fund’s assets, share purchase and redemption activity
and the payment of
Rule 12b-1
distribution and service fees by the Fund’s Service 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 Fund and other mutual fund
portfolios for which the Board of Trustees has responsibility.
In evaluating the Management Agreement 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 Fund.
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.
GOLDMAN SACHS
VARIABLE INSURANCE TRUST STRUCTURED U.S. EQUITY FUND
Statement
Regarding Basis for Approval of Management Agreement
(Unaudited) (continued)
Nature,
Extent and Quality of the Services Provided Under the Management
Agreement
As part of their review, the Trustees considered the nature,
extent and quality of the services provided by the Investment
Adviser. In this regard, the Trustees considered both the
investment advisory services, and the other, non-advisory
services, that are provided to the Fund by the Investment
Adviser and its affiliates. The Trustees noted the transition in
the leadership and changes in personnel of various portfolio
management teams, including the portfolio management team
managing the Fund, that had occurred in recent periods, the
potential benefit to the Fund of recent increases in headcount
at the Investment Adviser and the ongoing recruitment efforts
aimed at bringing high quality investment talent to the
Investment Adviser. The Independent Trustees concluded that the
Investment Adviser had committed substantial financial and
operational resources to the Fund 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 Fund and the Investment Adviser.
Investment
Performance
The Trustees also considered the investment performance of the
Fund and the Investment Adviser. In this regard, they compared
the Fund to its peers using the performance rankings and ratings
compiled by the Outside Data Provider as of December 31,
2010, and updated performance information prepared by the
Investment Adviser using the peer groups identified by the
Outside Data provider. The information on the Fund’s
investment performance was provided for the one-, three-, five-
and ten-year periods ending on the applicable dates. The
Trustees also reviewed the Fund’s investment performance
over time on a
year-by-year
basis relative to its performance benchmark. In addition, they
considered the investment performance trends of the Fund over
time, and reviewed the investment performance of the Fund in
light of its investment objective and policies, and market
conditions. The Trustees considered whether the Fund had
operated within its investment policies and had complied with
its investment limitations.
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
Fund’s risk profile, and how the Investment Adviser’s
approach to risk monitoring and management influences portfolio
management.
The Independent Trustees noted that for the one-year period
ended May 31, 2011, the Fund ranked in the top half of its
peer group. The Independent Trustees observed that the Fund had
performance that was in the bottom half of its peer group for
multiple time periods of greater than one-year. The Independent
Trustees also noted that in response to market turmoil in 2009,
the Investment Adviser had implemented measures intended to
improve Fund performance, including adjusting the Quantitative
Investment Strategies (“QIS”) team’s investment
process used to manage the Fund (which among other things
included changes in trading strategies and enhancements to the
models) and making certain changes to the QIS team’s
personnel, and that the changes seemed to have had a positive
effect on performance. They recognized that despite some recent
turnover in senior personnel on the QIS team, the team was
dedicated to both retaining talent and attracting high quality
new talent. The Independent Trustees also noted that they had
received assurances from the Investment Adviser’s senior
management that measures would continue to be taken to address
the Fund’s performance.
GOLDMAN SACHS
VARIABLE INSURANCE TRUST STRUCTURED U.S. EQUITY FUND
Statement
Regarding Basis for Approval of Management Agreement
(Unaudited) (continued)
Costs of
Services Provided and Competitive Information
The Trustees considered the contractual fee rates payable by the
Fund under the Management Agreement. In this regard, the
Trustees considered information on the services rendered by the
Investment Adviser to the Fund, which included both advisory and
administrative services that were directed to the needs and
operations of the Fund as a registered mutual fund.
In particular, the Trustees reviewed analyses prepared by the
Outside Data Provider regarding the expense rankings of the
Fund. The analyses provided a comparison of the Fund’s
management fees and breakpoints to those of a relevant peer
group and category universe; an expense analysis which compared
the Fund’s expenses to a peer group and a category
universe; and a five-year history comparing the Fund’s
expenses to the peer and category medians. The analyses also
compared the Fund’s transfer agency fees, custody and
accounting fees, distribution fees, other expenses and fee
waivers/reimbursements to those of other funds in the peer group
and the peer group median. 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 Fund.
In addition, the Trustees considered the Investment
Adviser’s undertaking to limit the Fund’s “other
expenses” ratio (excluding certain expenses) to a certain
specified level and Goldman Sachs’ undertaking to waive a
portion of the distribution and service fees paid by the
Fund’s Service Shares. 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 Fund, comparative fee
information for services provided by the Investment Adviser to
those accounts, and information that indicated that services
provided to the Fund 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 Fund under the terms of the
Management Agreement.
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.
Profitability
The Trustees reviewed the Investment Adviser’s revenues and
pre-tax profit margins with respect to the Trust and the Fund.
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 the Fund were
provided for 2010 and 2009, 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.
GOLDMAN SACHS
VARIABLE INSURANCE TRUST STRUCTURED U.S. EQUITY FUND
Statement
Regarding Basis for Approval of Management Agreement
(Unaudited) (continued)
Economies
of Scale
The Trustees considered the information that had been provided
regarding the Investment Adviser’s profitability and the
rationale for the Fund’s breakpoint structure. The Trustees
also considered the breakpoints in the fee rate payable under
the Management Agreement for the Fund at the following annual
percentage rates of the average daily net assets of the Fund:
|
First $1 billion
|
0.62 | % | ||
|
Next $1 billion
|
0.59 | |||
|
Next $3 billion
|
0.56 | |||
|
Next $3 billion
|
0.55 | |||
|
Over $8 billion
|
0.54 |
The Trustees noted that the breakpoints at the $5 and
$8 billion asset levels had been proposed by the Investment
Adviser and approved by the Trustees in 2008 to further share
potential economies of scale, if any, with the Fund and its
shareholders as assets under management reach those asset
levels. The Trustees considered the amounts of assets in the
Fund; the Fund’s recent share purchase and redemption
activity; the information provided by the Investment Adviser
relating to the costs of the services provided by the Investment
Adviser and its affiliates and their realized profits;
information comparing fee rates charged by the Investment
Adviser with fee rates charged to other funds in the peer group;
and the Investment Adviser’s and Goldman Sachs’
undertakings to limit the Fund’s fees and “other
expenses” ratio (excluding certain expenses) to a certain
amount. Upon reviewing these matters at the Annual Meeting, the
Trustees concluded that the fee breakpoints represented a means
of assuring that benefits of scalability would be passed along
to shareholders at the specified asset levels.
Other
Benefits to the Investment Adviser and Its Affiliates
The Trustees also considered the other benefits derived by the
Investment Adviser and its affiliates from their relationship
with the Fund as stated above, including: (a) transfer
agency fees received by Goldman Sachs; (b) brokerage and
futures commissions earned by Goldman Sachs for executing
securities and futures transactions on behalf of the Fund;
(c) trading efficiencies resulting from aggregation of
orders of the Fund with those for other funds or accounts
managed by the Investment Adviser; (d) fees earned by
Goldman Sachs Agency Lending, an affiliate of the Investment
Adviser, as securities lending agent (and fees earned by the
Investment Adviser for managing the portfolio in which the
Fund’s cash collateral is invested); (e) the
Investment Adviser’s ability to leverage the infrastructure
designed to service the Fund on behalf of its other clients;
(f) the Investment Adviser’s ability to cross-market
other products and services to Fund shareholders;
(g) Goldman Sachs’ retention of certain fees as
Fund Distributor; (h) 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
Fund; and (i) the possibility that the working relationship
between the Investment Adviser and the Fund’s 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 the fall-out benefits. In looking at the benefits to Goldman
Sachs Agency Lending and the Investment Adviser from the
securities lending program, they noted that the Fund also
benefited from its participation in the securities lending
program.
GOLDMAN SACHS
VARIABLE INSURANCE TRUST STRUCTURED U.S. EQUITY FUND
Statement
Regarding Basis for Approval of Management Agreement
(Unaudited) (continued)
Other
Benefits to the Fund and Its Shareholders
The Trustees also noted that the Fund receives certain potential
benefits as a result of its relationship with the Investment
Adviser, including: (a) trading efficiencies resulting from
aggregation of orders of the Fund 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 advantages gained from the Investment
Adviser’s knowledge and experience gained from managing
other accounts and products; (f) the Investment
Adviser’s ability to hire and retain qualified personnel to
provide services to the Fund because of the reputation of the
Goldman Sachs organization; (g) the Fund’s access,
through the Investment Adviser, to certain firmwide resources
(e.g., proprietary databases); and (h) the
Fund’s access to certain affiliated distribution channels.
The Trustees noted the competitive nature of the mutual fund
marketplace, and noted further that many of the Fund’s
shareholders invested in the Fund in part because of the
Fund’s 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
Agreement, 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 the
Fund were reasonable in light of the services provided to it by
the Investment Adviser, the Investment Adviser’s costs and
the Fund’s current and reasonably foreseeable asset levels.
The Trustees unanimously concluded that the Investment
Adviser’s continued management likely would benefit the
Fund and its shareholders and that the Management Agreement
should be approved and continued with respect to the Fund until
June 30, 2012.
GOLDMAN SACHS
VARIABLE INSURANCE TRUST STRUCTURED U.S. EQUITY FUND
Fund Expenses —
Six Month Period Ended June 30, 2011 (Unaudited)
As a shareholder of Institutional or Service Shares of the Fund,
you incur ongoing costs, including management fees, distribution
and service (12b-1) fees (with respect to Service Shares) and
other Fund expenses. This example is intended to help you
understand your ongoing costs (in dollars) of investing in the
Institutional Shares and Service Shares of the Fund and to
compare these costs with the ongoing costs of investing in other
mutual funds.
The example is based on an investment of $1,000 invested at the
beginning of the period and held for the entire period from
January 1, 2011 through June 30, 2011.
Actual Expenses — The first line under each
share class in the table below provides information about actual
account values and actual expenses. You may use the information
in this line, together with the amount you invested, to estimate
the expenses that you paid over the period. Simply divide your
account value by $1,000 (for example, an $8,600 account value
divided by $1,000=8.6), then multiply the result by the number
in the first line under the heading entitled “Expenses
Paid” to estimate the expenses you paid on your account
during this period.
Hypothetical Example for Comparison Purposes —
The second line under each share class in the table below
provides information about hypothetical account values and
hypothetical expenses based on the Fund’s actual net
expense ratio and an assumed rate of return of 5% per year
before expenses, which is not the Fund’s 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 Fund 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. As a shareholder of the Fund,
you do not incur any transaction costs, such as sales charges
(loads), redemption fees, or exchange fees, but shareholders of
other funds may incur such costs. 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
whose shareholders may incur transaction costs.
|
Expenses Paid |
|||||||||||||||
|
for the |
|||||||||||||||
|
Beginning |
Ending |
6 Months |
|||||||||||||
|
Account Value |
Account Value |
Ended |
|||||||||||||
| Share Class | 1/01/11 | 6/30/11 | 6/30/11* | ||||||||||||
|
Institutional
|
|||||||||||||||
|
Actual
|
$ | 1,000 | $ | 1,082.30 | $ | 3.30 | |||||||||
|
Hypothetical 5% return
|
1,000 | 1,021.62 | + | 3.21 | |||||||||||
|
Service
|
|||||||||||||||
|
Actual
|
1,000 | 1,081.30 | 4.39 | ||||||||||||
|
Hypothetical 5% return
|
1,000 | 1,020.58 | + | 4.26 | |||||||||||
| * | Expenses for each share class are calculated using the 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 June 30, 2011. Expenses are calculated by multiplying the annualized net expense ratio by the average account value for the period; then multiplying the result by the number of days in the most recent fiscal half year; and then dividing that result by the number of days in the fiscal year. The annualized net expense ratios for the period were 0.64% and 0.85% for Institutional and Service Shares, respectively. | |
| + | Hypothetical expenses are based on the Fund’s actual annualized net expense ratios and an assumed rate of return of 5% per year before expenses. |
|
TRUSTEES Ashok N. Bakhru, Chairman Donald C. Burke John P. Coblentz, Jr. Diana M. Daniels Joseph P. LoRusso James A. McNamara Jessica Palmer Alan A. Shuch Richard P. Strubel |
OFFICERS James A. McNamara, President George F. Travers, Principal Financial Officer Peter V. Bonanno, Secretary Scott M. McHugh, Treasurer |
|
|
GOLDMAN, SACHS & CO. Distributor and Transfer Agent |
||
|
GOLDMAN SACHS ASSET MANAGEMENT, L.P. Investment Adviser 200 West Street, New York, New York 10282 |
||
| Visit our website at www.goldmansachsfunds.com/vit to obtain the most recent month-end returns. | ||
| The reports concerning the Fund included in this shareholder report may contain certain forward-looking statements about the factors that may affect the performance of the Fund in the future. These statements are based on Fund management’s predictions and expectations concerning certain future events and their expected impact on the Fund, 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 Fund. 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 Fund uses to determine how to vote proxies relating to portfolio securities and information regarding how the 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 1-800-621-2550; and (ii) on the Securities and Exchange Commission (“SEC”) website at http://www.sec.gov. | ||
| The Fund files its complete schedule of portfolio holdings with the SEC for the first and third quarters of each fiscal year on Form N-Q. The Fund’s Form N-Q is available on the SEC’s website at http://www.sec.gov within 60 days after the Fund’s first and third fiscal quarters. When available, the Fund’s Forms N-Q may be reviewed and copied at the SEC’s Public Reference Room in Washington, D.C. and information on the operation of the Public Reference Room may also be obtained by calling 1-800-SEC-0330. Forms N-Q may be obtained upon request and without charge by calling 1-800-621-2550. | ||
| Holdings and allocations shown may not be representative of current or future investments. Holdings and allocations may not include the Fund’s entire investment portfolio, which may change at any time. Fund holdings should not be relied on in making investment decisions and should not be construed as research or investment advice regarding particular securities. | ||
| 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. | ||
| The Global Industry Classification Standard (“GICS”) was developed by and is the exclusive property and a service mark of Morgan Stanley Capital International Inc. (“MSCI”) and Standard & Poor’s, a division of The McGraw-Hill Companies, Inc. (“S&P”) and is licensed for use by Goldman Sachs. Neither MSCI, S&P nor any other party involved in making or compiling the GICS or any GICS classifications makes any express or implied warranties or representations with respect to such standard or classification (or the results to be obtained by the use thereof), and all such parties hereby expressly disclaim all warranties of originality, accuracy, completeness, merchantability or fitness for a particular purpose with respect to any of such standard or classification. Without limiting any of the foregoing, in no event shall MSCI, S&P, any of their affiliates or any third party involved in making or compiling the GICS or any GICS classifications have any liability for any direct, indirect, special, punitive, consequential or any other damages (including lost profits) even if notified of the possibility of such damages. | ||
| The portfolio risk management process includes an effort to monitor and manage risk, but does not imply low risk. | ||
| Shares of the Goldman Sachs VIT Funds are offered to separate accounts of participating life insurance companies for the purpose of funding variable annuity contracts and variable life insurance policies. Shares of the Fund are not offered directly to the general public. The variable annuity contracts and variable life insurance policies are described in the separate prospectuses issued by participating insurance companies. You should refer to those prospectuses for information about surrender charges, mortality and expense risk fees and other charges that may be assessed by participating insurance companies under the variable annuity contracts or variable life insurance policies. Such fees or charges, if any, may affect the return you may realize with respect to your investments. Ask your representative for more complete information. Please consider a fund’s objectives, risks and charges and expenses, and read the prospectus carefully before investing. The prospectus contains this and other information about the Fund. | ||
| 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 1-800-621-2550. | ||
| Toll Free (in U.S.): 800-292-4726 | ||
| This report is prepared for the general information of contract owners and is not an offer of shares of the Goldman Sachs Variable Insurance Trust: Goldman Sachs Structured U.S. Equity Fund. | ||
| © 2011 Goldman Sachs. All rights reserved. | ||
| VITUSSAR11/57661.MF.MED.TMPL/8/2011 | ||
Goldman
Sachs Variable Insurance Trust
Goldman Sachs
Money Market Fund
Semi-Annual
Report
June 30,
2011
|
|
GOLDMAN SACHS
VARIABLE INSURANCE TRUST MONEY MARKET FUND
Principal
Investment Strategies and Risks
Shares of the
Goldman Sachs Variable Insurance Trust — Goldman Sachs
Money Market Fund are offered to separate accounts of
participating life insurance companies for the purpose of
funding variable annuity contracts and variable life insurance
policies. Shares of the Fund are not offered directly to the
general public. The variable annuity contracts and variable life
insurance policies are described in the separate prospectuses
issued by participating insurance companies. You should refer to
those prospectuses for information about surrender charges,
mortality and expense risk fees and other charges that may be
assessed by participating insurance companies under the variable
annuity contracts or variable life insurance policies. Such fees
or charges, if any, may affect the return you realize with
respect to your investments. Ask your representative for more
complete information. Please consider the Fund’s objective,
risks and charges and expenses, and read the Prospectus
carefully before investing. The Prospectus contains this and
other information about the Fund.
The Goldman Sachs
Money Market Fund seeks to maximize current income to the extent
consistent with the preservation of capital and the maintenance
of liquidity by investing exclusively in high quality money
market instruments. The Fund pursues its investment objective by
investing in U.S. Government Securities (as defined in the
Fund’s prospectus), obligations of U.S. banks,
commercial paper and other short-term obligations of
U.S. companies, states, municipalities and other entities
and repurchase agreements. The Fund may also invest in
U.S. dollar-denominated obligations of foreign banks,
foreign companies and foreign governments.
GOLDMAN SACHS
VARIABLE INSURANCE TRUST MONEY MARKET FUND
INVESTMENT
OBJECTIVE
The Fund seeks to maximize current income to the extent
consistent with the preservation of capital and the maintenance
of liquidity by investing exclusively in high quality money
market instruments.
Portfolio
Management Discussion and Analysis
Below, the
Goldman Sachs Money Market Portfolio Management Team discusses
the performance of the Goldman Sachs Variable Insurance
Trust — Goldman Sachs Money Market Fund (the
“Fund”) and positioning for the six-month period ended
June 30, 2011 (the “Reporting Period”).
How did the
Fund perform during the Reporting Period?
The Fund’s standardized
7-day
current yield was 0.00% and its standardized
7-day
effective yield was 0.00% as of June 30, 2011. The
Fund’s one-month simple average yield was 0.01% as of
June 30, 2011. The Fund’s
7-day
distribution yield as of June 30, 2011 was 0.01%.
An investment in the Money Market Fund is neither insured nor
guaranteed by the Federal Deposit Insurance Corporation or any
other government agency. Although the Fund seeks to preserve the
value of an investment at $1.00 per share, it is possible to
lose money by investing in the Fund.
What economic
and market factors most influenced the money markets as a whole
during the Reporting Period?
The Reporting Period was one wherein mixed U.S. and
international economic data, exogenous geopolitical events,
Federal Reserve System (the “Fed”) policy and
supply/demand conditions within the repurchase agreement and
Treasury securities markets combined to push money market yields
lower.
Global economic growth remained strong throughout the Reporting
Period, but new challenges emerged. During the first quarter of
2011, political upheaval across the Middle East and North Africa
drove oil prices higher, and Japan’s devastating earthquake
and tsunami raised concerns about a disruption in the global
supply chain. In response, defensive buying of benchmark
government bonds interrupted the rise in yields seen at the end
of 2010, though demand for riskier assets eased only slightly.
Certain economic data remained robust, with manufacturing
indices in the U.S., U.K. and Germany hitting new cyclical
highs. Global investment began to respond to low interest rates
and healthy corporate balance sheets with a revival in hiring
and demand for credit from consumers and businesses. Meanwhile,
inflation concerns intensified in major developed economies. The
European Central Bank surprised markets in March by signaling an
imminent rate hike, as European Union leaders struggled for
consensus on policies to address the Eurozone’s troubled
peripheral economies. In the U.K., inflation reached more than
double the nation’s official 2% target. By contrast, U.S.
inflation remained modest, and the Fed indicated no intention to
raise interest rates.
Against this backdrop, then, the money markets were focused on
two competing themes during the first quarter — a
better macroeconomic environment in the U.S. and uncertainty
driven by the European sovereign debt crisis. These themes, in
our view, should have ultimately helped to push U.S. Treasury
yields higher. However, political unrest in the Middle East and
North Africa, natural and nuclear disasters in Japan, the U.S.
Treasury Department’s reduction of borrowing Supplemental
Financing Program (SFP) bills, and the Fed’s asset
repurchase or quantitative easing program known as QE2 combined
instead to push yields at the short-term end of the U.S.
Treasury yield curve, or spectrum of maturities, modestly lower.
(The Supplementary Financing Program is a program enacted by the
U.S. Treasury Department to provide supplementary funding to the
Fed to offset the financial strain due to the creation of
various liquidity programs and facilities during the financial
crisis of 2008. The funds are acquired through the auction of
Treasury bills and are placed into an account that the Fed may
use for various initiatives.) Indeed, yields on three-month,
six-month and one-year Treasury securities fell four basis
points, two basis points and one basis point, respectively,
during the first quarter. (A basis point is
1/100th
of a percentage point.) Repurchase agreements (or repo) yields,
on the other hand, ended the quarter softer than expected.
GOLDMAN SACHS
VARIABLE INSURANCE TRUST MONEY MARKET FUND
Although economic data pointed to ongoing growth in the
world’s largest economies, instead economic activity slowed
during the second quarter of 2011. Disruptions in the global
supply chain following Japan’s earthquake and tsunami and
higher energy costs contributed to declines in leading
indicators. Consequent expectations for lower economic growth
and renewed fears of a sovereign debt restructuring in the
Eurozone’s troubled peripheries drove safe-haven trading in
global markets. In turn, benchmark government bond yields
declined, and risk premiums rose across non-Treasury sectors.
These trends reversed somewhat in late June, as oil prices eased
from their April peak and markets scaled back interest rate hike
expectations even as inflation pressures increased.
As U.S. Treasury yields declined during the second quarter
overall, so, too, did money market yields. In April, a newly
imposed change in the calculation of the FDIC (Federal Deposit
Insurance Corporation) assessment fee for banks in the United
States caused acute compression in the overnight markets,
setting a tone that would carry throughout the quarter.
The Fed continued to reinforce similar rhetoric as had been in
place for more than two years — that it intended to
operate in an ultra-low interest rate environment for an
“extended period.” Following both its April and June
2011 meetings, the Fed stated that it remained comfortable with
increased inflation expectations and softer economic growth and
that neither was outside of market expectations given muted
reaction to these trends. The Fed decided to continue holding
the targeted federal funds rate in a range between zero and
0.25%.
Toward the end of the Reporting Period, the traditional
quarter-end collateral squeeze, or tightening of capital, was
exaggerated both by building supply pressures and by the
market’s flight to quality as driven by the Eurozone debt
crisis. Concerns about the potential fallout from Greece’s
severe sovereign debt and fiscal problems dominated investor
sentiment, driving yields on government securities lower.
Further, investors’ heightened concerns with money market
funds’ exposure to European sovereign debt and European
banks caused a shift from prime money market funds (meaning
those invested in corporate instruments in addition to
government instruments) to government money market funds.
The combination of all of these factors led the taxable money
market yield curve to flatten, meaning that the difference
between yields at the short-term end of the money market yield
curve and the longer-term end narrowed.
What key
factors were responsible for the Fund’s performance during
the Reporting Period?
The Fund’s yields moved lower during the Reporting Period
due primarily to the market factors discussed above. We
shortened the Fund’s weighted average maturity as the
Reporting Period progressed, as the money market yield curve was
extremely flat and offered little value in extending further out
the curve. In our opinion, the reward of another basis point of
yield frequently did not warrant the risk of purchasing
longer-dated maturities. In turn, the Fund’s yield drifted
lower during the Reporting Period, as repurchase agreement
yields were in the single-digit to low-teen range (in basis
points), LIBOR levels moved lower and yields on U.S. Treasury
securities compressed. (LIBOR, or London interbank offered
rates, are floating interest rates that are widely used as
reference rates in bank, corporate and government lending
agreements.)
Our focus during the Reporting Period was on remaining liquid
and short in duration so as to be more nimble to take advantage
should yields begin to increase and risk premia be priced in
accordingly. Thus, we felt comfortable that the Fund was
appropriately positioned given the interest rate environment
during the Reporting Period. That said, it should be noted that
regardless of interest rate conditions, we manage the Fund
consistently. Our investment approach has always been
tri-fold — to seek preservation of capital, daily
liquidity and maximization of yield potential. We manage
interest and credit risk daily. Whether interest rates are
historically low, high or in-between, we intend to continue to
use our actively managed approach to provide the best possible
return within the framework of the Fund’s guidelines and
objectives.
GOLDMAN SACHS
VARIABLE INSURANCE TRUST MONEY MARKET FUND
How did you
manage the Fund’s weighted average maturity during the
Reporting Period?
On December 31, 2010, the Fund’s weighted average
maturity was 49 days. We subsequently targeted a weighted
average maturity for the Fund of between 40 and 50 days
through much of the first quarter of the Reporting Period.
However, as yields at the short-term of the U.S. Treasury yield
curve compressed, we shortened the weighted average maturity
target range for the Fund to between 25 and 35 days, as we
felt that buying longer-term securities did not offer a risk
premium that justified increasing the Fund’s interest rate
risk. The Fund’s weighted average maturity on June 30,
2011 was 22 days, which was in line with our target range
and our outlook both on interest rates and the lack of risk
premia being priced into the market. The weighted average
maturity of a money market fund is a measure of its price
sensitivity to changes in interest rates.
How did you
manage the Fund’s weighted average life during the
Reporting Period?
The weighted average life of the Fund was 62 days as of
June 30, 2011. The weighted average life of a money market
fund is a measure of a money market fund’s price
sensitivity to changes in liquidity
and/or
credit risk.
Under amendments to SEC
Rule 2a-7
that became effective in May 2010, the maximum allowable
weighted average life of a money market fund is 120 days.
While one of the goals of the Securities and Exchange
Commission’s money market fund rule changes is to reinforce
more conservative investment practices across the money market
fund industry, our security selection process has long
emphasized conservative investment choices.
How was the
Fund invested during the Reporting Period?
The Fund had investments in repurchase agreements, asset-backed
commercial paper, commercial paper, Treasury securities,
government agency securities, tax-exempt municipal debt
obligations and certificates of deposit during the Reporting
Period. With the Fund’s focus on liquidity, an average of
approximately 25% of the Fund’s total net assets was in
securities that matured overnight during the Reporting Period.
As mentioned earlier, this liquidity enabled us to be nimble in
a volatile market environment, especially as the yield curve
remained persistently flat and offered little value in extending
duration. When prices declined and we were able to find value in
longer maturities, our focus was primarily on securities with
one- to three-month maturities, as we sought to lock in the
higher yields then available.
Though money market yields moved lower during the Reporting
Period, the Fund’s investment strategy helped it provide
current income while meeting its two primary
objectives — liquidity and capital preservation. The
primary focal points for our management team are consistently
interest rate risk and credit risk. We were able to navigate
interest rate risk by adjusting the Fund’s weighted average
maturity as market conditions shifted. We were able to mitigate
potential credit risk by buying high quality, creditworthy names.
Did you make
any changes in the Fund’s portfolio during the Reporting
Period?
We increased the Fund’s exposure to tax-exempt municipal
debt obligations during the Reporting Period, as we considered
these instruments to be attractive from a risk-adjusted return
perspective.
Also, as indicated earlier, we shortened the Fund’s
weighted average maturity by building a higher Fund
concentration in overnight securities as yields fell and as
extending out the yield curve did not offer advantages from a
risk-adjusted return view. We chose to maintain higher levels of
liquidity than usual and to look for higher rates should they
become priced into the market.
GOLDMAN SACHS
VARIABLE INSURANCE TRUST MONEY MARKET FUND
What is the
Fund’s tactical view and strategy for the months
ahead?
Based on the Fed’s various statements during the Reporting
Period, our view that the Fed will keep its monetary policy on
hold through the remainder of 2011 and possibly well into 2012
was solidified. While the Fed ended its asset purchase, or
quantitative easing, program as scheduled at the end of June
2011, which we believe is one of the first steps in the
direction to an interest rate hike, we believe there will likely
be additional steps taken before the Fed actually begins to
tighten monetary policy. For example, we believe one sign the
Fed is considering a tighter monetary policy that we might see
before any actual action is taken would be a shift in the
language the Fed uses in its statements that follow its
meetings. Thus, we look for any changes in language that soften
the Fed’s commitment to maintain the targeted federal funds
rate at exceptionally low levels for an “extended
period.”
From a Fund strategy perspective, we believe this sequence of
possible indicators has two main implications. First, we do not
believe we should necessarily be focused on the timing of the
Fed’s first interest rate hike in assessing the prospects
for higher short-term rates. As the Fed begins to manage the
federal funds rate toward the top of its current 0% to 0.25%
range, short-term rates could begin to rise well before the Fed
signals an actual hike. Second, we believe the slight increase
in yield to be garnered from extending the Fund’s weighted
average maturity is not enough to compensate for increasing its
credit risk. In our view, money market yields were compressed
during the Reporting Period in large part due to an imbalance
between supply and demand. Given these implications, our
strategy is to be patient and to wait to extend the Fund’s
weighted average maturity or to add credit risk until the return
is more commensurate with the risk.
We will, of course, continue to closely monitor economic data,
Fed policy and any shifts in the money market yield curve, as we
strive to strategically navigate the interest rate environment.
The yields represent past performance. Past performance does
not guarantee future results. Current performance may be lower
or higher than the performance quoted above.
Yields will fluctuate as market conditions change. The yield
quotations more closely reflect the current earnings of the Fund
than total return quotations.
GOLDMAN SACHS
VARIABLE INSURANCE TRUST MONEY MARKET FUND
| MONEY MARKET FUND† |
Security
Type
(Percentage of Net Assets)
(Percentage of Net Assets)
| † | The Fund is actively managed and, as such, its composition may differ over time. The percentage shown for each investment category reflects the value (based on amortized cost) of investments in that category as a percentage of net assets. Figures in the above chart may not sum to 100% due to the exclusion of other assets and liabilities. |
GOLDMAN SACHS
VARIABLE INSURANCE TRUST MONEY MARKET FUND
Schedule of
Investments
June 30,
2011 (Unaudited)
|
Principal |
Interest |
Maturity |
Amortized |
|||||||||||
| Amount | Rate | Date | Cost | |||||||||||
|
Commercial Paper
and Corporate Obligations – 16.8%
|
||||||||||||||
|
Amsterdam Funding Corp.
|
||||||||||||||
| $ | 2,000,000 | 0.320 | % | 07/18/11 | $ | 1,999,698 | ||||||||
|
Argento Variable Funding Co. LLC
|
||||||||||||||
| 2,000,000 | 0.300 | 07/06/11 | 1,999,917 | |||||||||||
|
Aspen Funding Corp.
|
||||||||||||||
| 3,051,000 | 0.230 | 08/30/11 | 3,049,830 | |||||||||||
|
BPCE SA
|
||||||||||||||
| 3,000,000 | 0.310 | 09/01/11 | 2,998,398 | |||||||||||
|
Charta LLC
|
||||||||||||||
| 1,000,000 | 0.230 | 09/06/11 | 999,572 | |||||||||||
|
Ciesco LLC
|
||||||||||||||
| 1,000,000 | 0.230 | 09/06/11 | 999,572 | |||||||||||
|
Grampian Funding LLC
|
||||||||||||||
| 4,000,000 | 0.260 | 08/01/11 | 3,999,104 | |||||||||||
|
Hannover Funding Co. LLC
|
||||||||||||||
| 1,000,000 | 0.471 | 09/20/11 | 998,943 | |||||||||||
|
Nationwide Building Society
|
||||||||||||||
| 2,000,000 | 0.240 | 09/06/11 | 1,999,107 | |||||||||||
|
Newport Funding Corp.
|
||||||||||||||
| 2,000,000 | 0.270 | 07/06/11 | 1,999,925 | |||||||||||
|
Northern Pines Funding LLC
|
||||||||||||||
| 2,000,000 | 0.360 | 07/21/11 | 1,999,600 | |||||||||||
|
Standard Chartered Bank
|
||||||||||||||
| 1,500,000 | 0.290 | 07/11/11 | 1,499,879 | |||||||||||
|
Tasman Funding, Inc.
|
||||||||||||||
| 1,000,000 | 0.270 | 07/14/11 | 999,902 | |||||||||||
|
TOTAL
COMMERCIAL PAPER AND CORPORATE OBLIGATIONS
|
$ | 25,543,447 | ||||||||||||
|
Eurodollar
Certificates of Deposit – 2.6%
|
||||||||||||||
|
Credit Agricole SA
|
||||||||||||||
| $ | 2,000,000 | 0.330 | % | 08/05/11 | $ | 2,000,019 | ||||||||
| 2,000,000 | 0.300 | 09/06/11 | 2,000,000 | |||||||||||
|
TOTAL
EURODOLLAR CERTIFICATES OF DEPOSIT
|
$ | 4,000,019 | ||||||||||||
|
Municipal Debt
Obligations – 1.2%
|
||||||||||||||
|
Georgia Municipal Electric Authority
|
||||||||||||||
| $ | 1,150,000 | 0.500 | % | 08/03/11 | $ | 1,150,000 | ||||||||
|
State of Texas TRANS Series 2010
|
||||||||||||||
| 650,000 | 2.000 | 08/31/11 | 651,763 | |||||||||||
|
TOTAL
MUNICIPAL DEBT OBLIGATIONS
|
$ | 1,801,763 | ||||||||||||
|
U.S. Government
Agency Obligations – 11.3%
|
||||||||||||||
|
Federal Farm Credit Bank
|
||||||||||||||
| $ | 1,000,000 | 0.148 | %(a) | 01/27/12 | $ | 999,781 | ||||||||
| 200,000 | 0.311 | (a) | 11/01/12 | 200,000 | ||||||||||
|
Federal Home Loan Bank
|
||||||||||||||
| 500,000 | 0.090 | (a) | 07/11/11 | 499,992 | ||||||||||
| 1,000,000 | 0.310 | 10/05/11 | 999,989 | |||||||||||
| 700,000 | 0.300 | 10/21/11 | 700,000 | |||||||||||
| 1,000,000 | 0.151 | (a) | 01/26/12 | 999,826 | ||||||||||
| 1,000,000 | 0.143 | (a) | 01/30/12 | 999,789 | ||||||||||
| 1,000,000 | 0.143 | (a) | 02/03/12 | 999,814 | ||||||||||
|
Federal Home Loan Mortgage Corp.
|
||||||||||||||
| 300,000 | 0.202 | (a) | 08/05/11 | 299,994 | ||||||||||
| 4,000,000 | 0.291 | 09/13/11 | 3,997,616 | |||||||||||
| 1,400,000 | 0.110 | (a) | 01/11/12 | 1,399,629 | ||||||||||
| 1,000,000 | 0.140 | (a) | 05/03/13 | 999,255 | ||||||||||
|
Federal National Mortgage Association
|
||||||||||||||
| 3,000,000 | 0.432 | 07/07/11 | 2,999,785 | |||||||||||
| 1,000,000 | 0.216 | (a) | 12/28/12 | 999,703 | ||||||||||
|
TOTAL
U.S. GOVERNMENT AGENCY OBLIGATIONS
|
$ | 17,095,173 | ||||||||||||
|
U.S. Treasury
Obligation – 0.1%
|
||||||||||||||
|
United States Treasury Note
|
||||||||||||||
| $ | 100,000 | 0.750 | % | 11/30/11 | $ | 100,185 | ||||||||
|
Variable Rate
Municipal Debt
Obligations(a) –
16.4%
|
||||||||||||||
|
Bay Area Toll Authority California Toll Bridge VRDN RB
Series 2006 C2 RMKT (Morgan Stanley Bank LOC)
|
||||||||||||||
| $ | 1,000,000 | 0.040 | % | 04/01/45 | $ | 1,000,000 | ||||||||
|
BlackRock MuniEnhanced Fund, Inc. VRDN Tax-Exempt Preferreds
Series 2011 (Citibank
N.A.)(b)
|
||||||||||||||
| 300,000 | 0.290 | 06/01/41 | 300,000 | |||||||||||
|
BlackRock MuniHoldings Investment Quality Fund VRDN
Tax-Exempt Preferreds Series 2011
W-7-2746
(Bank of America
N.A.)(b)
|
||||||||||||||
| 300,000 | 0.300 | 07/01/41 | 300,000 | |||||||||||
|
BlackRock MuniYield Fund, Inc. VRDN Tax-Exempt Preferreds
Series 2011
W-7-2514
(Bank of America
N.A.)(b)
|
||||||||||||||
| 300,000 | 0.300 | 07/01/41 | 300,000 | |||||||||||
|
BlackRock MuniYield Investment Fund VRDN Tax-Exempt
Preferreds Series 2011 (Citibank
N.A.)(b)
|
||||||||||||||
| 300,000 | 0.290 | 06/01/41 | 300,000 | |||||||||||
|
BlackRock Muniyield Quality Fund III, Inc. VRDN Tax-Exempt
Preferreds Series 2011 (Citibank
N.A.)(b)
|
||||||||||||||
| 300,000 | 0.290 | 06/01/41 | 300,000 | |||||||||||
|
California Health Facilities Financing Authority VRDN RB for
Catholic Healthcare West Series 2005 H (Bank of America
N.A. LOC)
|
||||||||||||||
| 1,000,000 | 0.060 | 07/01/35 | 1,000,000 | |||||||||||
|
California State Department of Water Resources Power Supply VRDN
RB Series 2002 B6 (California State Teachers Retirement
System and JPMorgan Bank N.A.)
|
||||||||||||||
| 1,450,000 | 0.070 | 05/01/22 | 1,450,000 | |||||||||||
|
California Statewide Communities Development Authority MF Hsg.
VRDN RB for Hermosa Vista Apartments Series 2003 XX
(FNMA)
|
||||||||||||||
| 700,000 | 0.090 | 05/15/36 | 700,000 | |||||||||||
GOLDMAN SACHS
VARIABLE INSURANCE TRUST MONEY MARKET FUND
Schedule of
Investments (continued)
June 30,
2011 (Unaudited)
|
Principal |
Interest |
Maturity |
Amortized |
|||||||||||
| Amount | Rate | Date | Cost | |||||||||||
|
Variable Rate
Municipal Debt
Obligations(a) –
(continued)
|
||||||||||||||
|
Chicago, Illinois Board of Education GO VRDN Refunding
Series 2009 B (U.S. Bank N.A. LOC)
|
||||||||||||||
| $ | 600,000 | 0.050 | % | 03/01/31 | $ | 600,000 | ||||||||
|
Colorado Educational & Cultural Facilities Authority
VRDN RB Taxable for Nature Conservancy Series 2008 A (Bank
of America N.A. SPA)
|
||||||||||||||
| 1,000,000 | 0.150 | 07/01/33 | 1,000,000 | |||||||||||
|
Connecticut State Health & Educational Facilities
Authority VRDN RB for Yale University Series 1997 T2
(Credit Local de France, Toronto Dominion Bank, and Landesbank
Hessen-Thueringen Girozentrale)
|
||||||||||||||
| 1,500,000 | 0.030 | 07/01/29 | 1,500,000 | |||||||||||
|
County of Mecklenburg, North Carolina GO VRDN
Series 2006 A (Wells Fargo Bank N.A. SPA)
|
||||||||||||||
| 500,000 | 0.080 | 02/01/26 | 500,000 | |||||||||||
|
Indiana Finance Authority Hospital VRDN RB for Indiana
University Health Series 2011 K (JPMorgan Chase Bank N.A.
LOC)
|
||||||||||||||
| 960,000 | 0.100 | 03/01/33 | 960,000 | |||||||||||
|
Loudoun County, Virginia Industrial Development Authority VRDN
RB for Howard Hughes Medical Institute Series 2003 C
|
||||||||||||||
| 805,000 | 0.040 | 02/15/38 | 805,000 | |||||||||||
|
Massachusetts State Development Finance Agency VRDN RB for
Partners HealthCare Systems Series 2011 K2 (Barclays Bank
SPA)
|
||||||||||||||
| 1,000,000 | 0.030 | 07/01/46 | 1,000,000 | |||||||||||
|
Massachusetts State Water Resources Authority VRDN RB Refunding
Series 2008 A3 RMKT (GO of Authority) (Wells Fargo Bank
N.A. SPA)
|
||||||||||||||
| 1,300,000 | 0.060 | 08/01/37 | 1,300,000 | |||||||||||
|
Missouri State Health & Educational Facilities
Authority VRDN RB for Saint Luke’s Health System
Series 2008 A (Bank of America N.A. LOC)
|
||||||||||||||
| 1,100,000 | 0.100 | 11/15/40 | 1,100,000 | |||||||||||
|
Nebraska Investment Finance Authority SF Hsg VRDN RB
Series 2010 C (FHLMC) (FNMA) (GNMA) (FHLB SPA)
|
||||||||||||||
| 1,000,000 | 0.070 | 09/01/32 | 1,000,000 | |||||||||||
|
New York City, New York Transitional Finance Authority VRDN RB
for Future Tax Secured Series 1998 A1 (Westdeutsche
Landesbank AG SPA)
|
||||||||||||||
| 1,000,000 | 0.070 | 11/15/28 | 1,000,000 | |||||||||||
|
New York City, New York Transitional Finance Authority VRDN RB
for Future Tax Secured Series 2001 B (Westdeutsche
Landesbank AG)
|
||||||||||||||
| 1,000,000 | 0.210 | 05/01/30 | 1,000,000 | |||||||||||
|
New York City, New York Transitional Finance Authority VRDN RB
Series 2002 Subseries 2F (Bayerische Landesbank)
|
||||||||||||||
| 1,085,000 | 0.060 | 11/01/22 | 1,085,000 | |||||||||||
|
New York State Local Government Assistance Corp. VRDN RB
Refunding Series 2008 B-7V (GO of Corp.) (JPMorgan Chase
Bank SPA)
|
||||||||||||||
| 600,000 | 0.050 | 04/01/20 | 600,000 | |||||||||||
|
North Carolina Medical Care Commission Hospital GO VRDN for Duke
University Hospital Project Series 1993 A (Wells Fargo Bank
N.A. SPA)
|
||||||||||||||
| 650,000 | 0.060 | 06/01/23 | 650,000 | |||||||||||
|
Private Colleges & Universities Authority VRDN RB for
Emory University Series 2005 B1
|
||||||||||||||
| 1,350,000 | 0.050 | 09/01/35 | 1,350,000 | |||||||||||
|
Tarrant County, Texas Cultural Education Facilities Finance
Corp. VRDN RB for Texas Health Resources Series 2008 B
|
||||||||||||||
| 1,000,000 | 0.050 | 11/15/33 | 1,000,000 | |||||||||||
|
University of Alabama VRDN RB Series 1993 B
|
||||||||||||||
| 900,000 | 0.260 | 10/01/13 | 900,000 | |||||||||||
|
Washington State Housing Finance Commission MF Hsg. VRDN RB for
Queen Anne Project Series 2004 A (FNMA)
|
||||||||||||||
| 1,180,000 | 0.090 | % | 09/01/38 | 1,180,000 | ||||||||||
|
Washington State Housing Finance Commission MF Hsg. VRDN RB for
Vintage at Spokane Senior Living Project Series 2006 A
(FNMA)
|
||||||||||||||
| 795,000 | 0.100 | 08/15/40 | 795,000 | |||||||||||
|
TOTAL
VARIABLE RATE MUNICIPAL DEBT OBLIGATIONS
|
$ | 24,975,000 | ||||||||||||
|
Variable Rate
Obligations(a) –
12.5%
|
||||||||||||||
|
Bank of Nova Scotia
|
||||||||||||||
| $ | 1,000,000 | 0.300 | % | 07/10/12 | $ | 1,000,000 | ||||||||
|
BNP Paribas Securities Corp.
|
||||||||||||||
| 1,000,000 | 0.440 | 09/09/11 | 1,000,000 | |||||||||||
|
Commonwealth Bank of Australia
|
||||||||||||||
| 2,000,000 | 0.273 | (b) | 05/25/12 | 1,999,813 | ||||||||||
|
Cooperative Centrale Raiffeisen – Boerenleenbank BA
|
||||||||||||||
| 1,000,000 | 0.400 | 10/18/11 | 1,000,000 | |||||||||||
|
JPMorgan Chase Bank, N.A.
|
||||||||||||||
| 1,000,000 | 0.304 | 07/17/12 | 1,000,000 | |||||||||||
| 3,000,000 | 0.226 | 07/20/12 | 3,000,000 | |||||||||||
|
Lloyds TSB Bank PLC
|
||||||||||||||
| 2,000,000 | 0.372 | 11/07/11 | 2,000,000 | |||||||||||
|
Rabobank Nederland NV
|
||||||||||||||
| 1,000,000 | 0.331 | (b) | 06/15/12 | 1,000,000 | ||||||||||
|
Societe Generale
|
||||||||||||||
| 2,000,000 | 0.470 | 09/09/11 | 2,000,000 | |||||||||||
|
UBS AG
|
||||||||||||||
| 2,000,000 | 0.354 | 10/07/11 | 2,000,000 | |||||||||||
|
Westpac Banking Corp.
|
||||||||||||||
| 1,000,000 | 0.333 | (b) | 07/06/12 | 1,000,000 | ||||||||||
|
Westpac Securities New Zealand Ltd.
|
||||||||||||||
| 1,000,000 | 0.296 | (b) | 10/18/11 | 1,000,000 | ||||||||||
| 1,000,000 | 0.353 | (b) | 11/04/11 | 1,000,000 | ||||||||||
|
TOTAL
VARIABLE RATE OBLIGATIONS
|
$ | 18,999,813 | ||||||||||||
|
Yankee
Certificates of Deposit – 9.2%
|
||||||||||||||
|
Credit Industriel et Commercial SA
|
||||||||||||||
| $ | 4,000,000 | 0.290 | % | 09/02/11 | $ | 4,000,000 | ||||||||
|
Lloyds TSB Bank PLC
|
||||||||||||||
| 1,000,000 | 0.445 | 07/05/11 | 1,000,000 | |||||||||||
|
Mitsubishi UFJ Trust and Banking Corp.
|
||||||||||||||
| 2,000,000 | 0.250 | 07/15/11 | 2,000,000 | |||||||||||
GOLDMAN SACHS
VARIABLE INSURANCE TRUST MONEY MARKET FUND
|
Principal |
Interest |
Maturity |
Amortized |
|||||||||||
| Amount | Rate | Date | Cost | |||||||||||
|
Yankee
Certificates of Deposit – (continued)
|
||||||||||||||
|
Mizuho Corporate Bank
|
||||||||||||||
| $ | 4,000,000 | 0.260 | % | 07/05/11 | $ | 4,000,000 | ||||||||
|
Norinchukin Bank
|
||||||||||||||
| 2,000,000 | 0.310 | 08/11/11 | 2,000,000 | |||||||||||
|
Sumitomo Mitsui Banking Corp.
|
||||||||||||||
| 1,000,000 | 0.300 | 07/05/11 | 1,000,000 | |||||||||||
|
TOTAL
YANKEE CERTIFICATES OF DEPOSIT
|
$ | 14,000,000 | ||||||||||||
|
TOTAL
INVESTMENTS BEFORE REPURCHASE AGREEMENTS
|
$ | 106,515,400 | ||||||||||||
|
Repurchase
Agreements(c) –
29.9%
|
||||||||||||||
|
Barclays Capital, Inc.
|
||||||||||||||
| $ | 1,000,000 | 0.900 | %(d) | 04/24/12 | $ | 1,000,000 | ||||||||
|
Maturity Value: $1,009,075
|
||||||||||||||
|
Settlement Date: 04/27/11
|
||||||||||||||
|
Collateralized by various corporate securities, 1.000% to
7.000%, due 05/01/14 to 12/15/37. The aggregate market value of
the collateral, including accrued interest, was $1,100,302.
|
||||||||||||||
|
BNP Paribas Securities Corp.
|
||||||||||||||
| 2,000,000 | 0.140 | 07/01/11 | 2,000,000 | |||||||||||
|
Maturity Value: $2,000,008
|
||||||||||||||
|
Collateralized by a corporate issuer, 5.750%, due 09/28/11. The
market value of the collateral, including accrued interest, was
$2,100,000.
|
||||||||||||||
| 2,000,000 | 0.130 | 09/01/11 | 2,000,000 | |||||||||||
|
Maturity Value: $2,000,874
|
||||||||||||||
|
Settlement Date: 05/03/11
|
||||||||||||||
|
Collateralized by Federal Home Loan Mortgage Corp., 3.500% to
1055.563%, due 03/15/17 to 01/15/40, Federal National Mortgage
Association, 0.000% to 6.500%, due 06/25/21 to 11/25/36, and
Government National Mortgage Association, 5.500%, due 01/20/32.
The aggregate market value of the collateral, including accrued
interest, was $2,083,823.
|
||||||||||||||
| 1,000,000 | 0.745 | (d) | 03/16/12 | 1,000,000 | ||||||||||
|
Maturity Value: $1,005,672
|
||||||||||||||
|
Settlement Date: 06/13/11
|
||||||||||||||
|
Collateralized by various corporate securities, 5.875% to
10.500%, due 07/15/12 to 05/15/15. The aggregate market value of
the collateral, including accrued interest, was $1,115,387.
|
||||||||||||||
|
Deutsche Bank Securities, Inc.
|
||||||||||||||
| 2,000,000 | 0.370 | 07/01/11 | 2,000,000 | |||||||||||
|
Maturity Value: $2,000,021
|
||||||||||||||
|
Collateralized by various corporate securities, 1.500% to
8.500%, due 10/15/11 to 12/31/49. The aggregate market value of
the collateral, including accrued interest, was $2,200,074.
|
||||||||||||||
|
Joint Repurchase Agreement Account III
|
||||||||||||||
| 32,400,000 | 0.064 | 07/01/11 | 32,400,000 | |||||||||||
|
Morgan Stanley
|
||||||||||||||
| 2,000,000 | 1.272 | (d) | 05/03/12 | 2,000,000 | ||||||||||
|
Settlement Date: 05/05/11
|
||||||||||||||
|
Collateralized by various asset-backed obligations, 0.000% to
5.890%, due 10/20/14 to 12/20/49, and mortgage-backed
obligations, 0.000% to 6.786%, due 08/25/22 to 02/12/51. The
aggregate market value of the collateral, including accrued
interest, was $2,499,999.
|
||||||||||||||
|
RBS Securities, Inc.
|
||||||||||||||
| 3,000,000 | 0.420 | 07/01/11 | 3,000,000 | |||||||||||
|
Maturity Value: $3,000,035
|
||||||||||||||
|
Collateralized by various mortgage-backed obligations, 0.466% to
1.055%, due 02/20/34 to 11/25/45. The aggregate market value of
the collateral, including accrued interest, was $3,450,002.
|
||||||||||||||
|
TOTAL
REPURCHASE AGREEMENTS
|
$ | 45,400,000 | ||||||||||||
|
TOTAL
INVESTMENTS – 100.0%
|
$ | 151,915,400 | ||||||||||||
|
OTHER
ASSETS IN EXCESS OF LIABILITIES – 0.0%
|
73,824 | |||||||||||||
|
NET
ASSETS – 100.0%
|
$ | 151,989,224 | ||||||||||||
The percentage shown for each investment category reflects the
value of investments in that category as a percentage of net
assets.
| (a) | Variable or floating rate security. Interest rate disclosed is that which is in effect at June 30, 2011. | |
| (b) | Security not registered under the Securities Act of 1933, as amended. Such securities have been determined to be liquid by the Investment Adviser. At June 30, 2011, these securities amounted to $7,499,813 or approximately 4.9% of net assets. | |
| (c) | Unless noted, all repurchase agreements were entered into on June 30, 2011. Additional information on Joint Repurchase Agreement Account III appears on page 10. | |
| (d) | Security not registered under the Securities Act of 1933, as amended. Such securities have been determined to be illiquid by the Investment Adviser. At June 30, 2011, these securities amounted to $4,000,000 or approximately 2.6% of net assets. |
Interest rates represent either the stated coupon rate,
annualized yield on date of purchase for discounted securities,
or, for floating rate securities, the current reset rate, which
is based upon current interest rate indices.
Maturity dates represent either the final legal maturity date on
the security, the demand date for puttable securities, or the
prerefunded date for those types of securities.
GOLDMAN SACHS
VARIABLE INSURANCE TRUST MONEY MARKET FUND
Schedule of
Investments (continued)
June 30,
2011 (Unaudited)
|
Investment
Abbreviations:
|
||||
|
FHLB
|
— | Insured by Federal Home Loan Bank | ||
|
FHLMC
|
— | Insured by Federal Home Loan Mortgage Corp. | ||
|
FNMA
|
— | Insured by Federal National Mortgage Association | ||
|
GNMA
|
— | Insured by Government National Mortgage Association | ||
|
GO
|
— | General Obligation | ||
|
LOC
|
— | Letter of Credit | ||
|
MF Hsg.
|
— | Multi-Family Housing | ||
|
RB
|
— | Revenue Bond | ||
|
RMKT
|
— | Remarketed | ||
|
SF Hsg
|
— | Single-Family Housing | ||
|
SPA
|
— | Stand-by Purchase Agreement | ||
|
TRANS
|
— | Tax Revenue Anticipation Notes | ||
|
VRDN
|
— | Variable Rate Demand Notes | ||
| ADDITIONAL INVESTMENT INFORMATION |
JOINT REPURCHASE
AGREEMENT ACCOUNT III — At June 30,
2011, the Fund had an undivided interest in the Joint Repurchase
Agreement Account III which equaled $32,400,000 in principal
amount and had a maturity value of $32,400,058.
REPURCHASE
AGREEMENTS
|
Interest |
Principal |
|||||||
| Counterparty | Rate | Amount | ||||||
|
Barclays Capital, Inc.
|
0.010 | % | $ | 1,768,881 | ||||
|
BNP Paribas Securities Corp.
|
0.080 | 3,832,575 | ||||||
|
Citibank, N.A.
|
0.080 | 1,474,067 | ||||||
|
Citigroup Global Markets, Inc.
|
0.080 | 2,004,732 | ||||||
|
Deutsche Bank Securities, Inc.
|
0.060 | 1,356,142 | ||||||
|
UBS Securities LLC
|
0.060 | 17,806,733 | ||||||
|
Wells Fargo Securities LLC
|
0.080 | 4,156,870 | ||||||
|
TOTAL
|
$ | 32,400,000 | ||||||
At June 30, 2011, the Joint Repurchase Agreement Account
III was fully collateralized by:
|
Interest |
Maturity |
|||||||
| Issuer | Rates | Dates | ||||||
|
Federal Farm Credit Bank
|
0.115% | 01/28/13 | ||||||
|
Federal Home Loan Mortgage Corp.
|
0.070 to 6.50% | 01/25/12 to 06/01/41 | ||||||
|
Federal National Mortgage Association
|
0.270 to 7.00% | 11/23/12 to 02/01/48 | ||||||
|
Government National Mortgage Association
|
3.500 to 5.500% | 05/15/25 to 05/20/41 | ||||||
The aggregate market value of the collateral, including accrued
interest, was $33,267,639.
GOLDMAN SACHS
VARIABLE INSURANCE TRUST MONEY MARKET FUND
Statement of
Assets and Liabilities
June 30,
2011 (Unaudited)
|
Assets:
|
||||
|
Investments in securities, at value based on amortized cost
|
$ | 106,515,400 | ||
|
Repurchase agreements, at value based on amortized cost
|
45,400,000 | |||
|
Cash
|
96,468 | |||
|
Receivables:
|
||||
|
Reimbursement from investment adviser
|
52,338 | |||
|
Interest
|
42,522 | |||
|
Other assets
|
900 | |||
|
Total
assets
|
152,107,628 | |||
|
Liabilities:
|
||||
|
Payables:
|
||||
|
Amounts owed to affiliates
|
29,245 | |||
|
Accrued expenses
|
88,453 | |||
|
Total
liabilities
|
117,698 | |||
|
Net
Assets:
|
||||
|
Paid-in capital
|
151,989,930 | |||
|
NET
ASSETS
|
$ | 151,989,930 | ||
|
Total Service Shares of beneficial interest outstanding, $0.001
par value (unlimited shares authorized)
|
151,989,507 | |||
|
Net asset value, offering and redemption price per share
|
$1.00 | |||
GOLDMAN SACHS
VARIABLE INSURANCE TRUST MONEY MARKET FUND
Statement of
Operations
For the
Six Months Ended June 30, 2011 (Unaudited)
|
Investment
Income:
|
||||
|
Interest
|
$ | 187,324 | ||
|
Expenses:
|
||||
|
Distribution and Service fees
|
157,006 | |||
|
Management fees
|
128,745 | |||
|
Professional fees
|
68,118 | |||
|
Custody and accounting fees
|
39,866 | |||
|
Printing and mailing costs
|
21,822 | |||
|
Transfer Agent fees
|
12,560 | |||
|
Trustee fees
|
8,265 | |||
|
Other
|
4,158 | |||
|
Total
expenses
|
440,540 | |||
|
Less — expense reductions
|
(256,921 | ) | ||
|
Net
expenses
|
183,619 | |||
|
NET
INVESTMENT INCOME
|
3,705 | |||
|
NET
REALIZED GAIN FROM INVESTMENT TRANSACTIONS
|
948 | |||
|
NET
INCREASE IN NET ASSETS RESULTING FROM OPERATIONS
|
$ | 4,653 | ||
GOLDMAN SACHS
VARIABLE INSURANCE TRUST MONEY MARKET FUND
Statements
of Changes in Net Assets
|
For the Six |
For the Fiscal |
|||||||
|
Months Ended |
Year Ended |
|||||||
| June 30, 2011 (Unaudited) | December 31, 2010 | |||||||
|
From
operations:
|
||||||||
|
Net investment income
|
$ | 3,705 | $ | 1,313 | ||||
|
Net realized gain from investment transactions
|
948 | 2,913 | ||||||
|
Net
increase in net assets resulting from operations
|
4,653 | 4,226 | ||||||
|
Distributions to
shareholders:
|
||||||||
|
From net investment income
|
(3,705 | ) | (1,313 | ) | ||||
|
From net realized gains
|
(948 | ) | (8,391 | ) | ||||
|
From capital
|
— | (1,451 | ) | |||||
|
Total
distributions to shareholders
|
(4,653 | ) | (11,155 | ) | ||||
|
From share
transactions (at net asset value of $1.00 per share):
|
||||||||
|
Proceeds from sales of shares
|
55,157,082 | 49,250,147 | ||||||
|
Reinvestment of distributions
|
4,653 | 11,155 | ||||||
|
Cost of shares redeemed
|
(26,537,219 | ) | (69,236,185 | ) | ||||
|
Net
increase (decrease) in net assets resulting from share
transactions
|
28,624,516 | (19,974,883 | ) | |||||
|
TOTAL
INCREASE (DECREASE)
|
28,624,516 | (19,981,812 | ) | |||||
|
Net
assets:
|
||||||||
|
Beginning of period
|
123,365,414 | 143,347,226 | ||||||
|
End of period
|
$ | 151,989,930 | $ | 123,365,414 | ||||
GOLDMAN SACHS
VARIABLE INSURANCE TRUST MONEY MARKET FUND
Financial
Highlights
Selected
Data for a Share Outstanding Throughout Each Period
|
Ratio of |
Ratio of |
|||||||||||||||||||||||||||||||||||||
|
Net asset |
Distributions |
Net asset |
Net assets |
Ratio of |
total |
net investment |
||||||||||||||||||||||||||||||||
|
value, |
Net |
from net |
value, |
end of |
net expenses |
expenses |
income |
|||||||||||||||||||||||||||||||
|
beginning |
investment |
investment |
end |
Total |
period |
to average |
to average |
to average |
||||||||||||||||||||||||||||||
| of period | income(a) | income(b) | of period | return(c) | (in 000’s) | net assets | net assets | net assets | ||||||||||||||||||||||||||||||
|
FOR THE SIX
MONTHS ENDED JUNE 30, (UNAUDITED)
|
||||||||||||||||||||||||||||||||||||||
|
2011
|
$ | 1.00 | $ | — | (d) | $ | — | (d) | $ | 1.00 | 0.01 | % | $ | 151,990 | 0.29 | %(e) | 0.70 | %(e) | 0.01 | %(e) | ||||||||||||||||||
|
FOR THE FISCAL
YEARS ENDED DECEMBER 31,
|
||||||||||||||||||||||||||||||||||||||
|
2010
|
1.00 | — | (d) | — | (d) | $ | 1.00 | 0.01 | % | $ | 123,365 | 0.33 | % | 0.68 | % | — | %(f) | |||||||||||||||||||||
|
2009
|
1.00 | 0.002 | (g) | (0.002 | )(g) | $ | 1.00 | 0.15 | % | $ | 143,347 | 0.53 | % | 0.77 | % | 0.15 | % | |||||||||||||||||||||
|
2008
|
1.00 | 0.02 | (0.02 | ) | $ | 1.00 | 2.25 | % | $ | 194,871 | 0.63 | % | 0.71 | % | 2.27 | % | ||||||||||||||||||||||
|
2007
|
1.00 | 0.05 | (0.05 | ) | $ | 1.00 | 4.98 | % | $ | 205,518 | 0.48 | % | 0.71 | % | 4.87 | % | ||||||||||||||||||||||
|
2006(h)
|
1.00 | 0.05 | (0.05 | ) | $ | 1.00 | 4.65 | % | $ | 199,439 | 0.49 | % | 0.71 | % | 4.59 | % | ||||||||||||||||||||||
| (a) | Calculated based on the average shares outstanding methodology. | |
| (b) | Distributions may not coincide with the current year net investment income or net realized gains as distributions may be paid from current or prior year earnings. | |
| (c) | Assumes reinvestment of all distributions. The Goldman Sachs Money Market Fund first began operations as the Allmerica Money Market Fund (the “Predecessor AIT Fund”) of the Allmerica Investment Trust. On January 9, 2006, the Predecessor AIT Fund was reorganized as a new portfolio for the Goldman Sachs Variable Insurance Trust. Performance prior to January 9, 2006, is that of the Predecessor AIT Fund. The Predecessor AIT Fund was considered the accounting survivor of the reorganization and as such, the historical total return information of the Predecessor AIT Fund is provided. | |
| (d) | Amount is less than $0.0001 per share. | |
| (e) | Annualized. | |
| (f) | Amount is less than 0.001% of average net assets. | |
| (g) | Net investment income and distributions from net investment income contain $0.0002 of net realized capital gains and distributions from net realized gains. | |
| (h) | The Predecessor AIT Fund was the accounting survivor of the reorganization and as such, the financial highlights reflect the financial information of the Predecessor AIT Fund through January 8, 2006. In connection with such reorganization, the Goldman Sachs Money Market Fund issued Service Shares to the former shareholders of the Predecessor AIT Fund. |
14
GOLDMAN SACHS
VARIABLE INSURANCE TRUST MONEY MARKET FUND
Notes to
Financial Statements
June 30,
2011 (Unaudited)
| 1. ORGANIZATION |
Goldman Sachs Variable Insurance Trust (the “Trust” or
“VIT”) 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 Trust includes the Goldman Sachs Money Market Fund (the
“Fund”). The Fund is a diversified portfolio under the
Act offering one class of shares — Service Shares.
Goldman Sachs Asset Management, L.P. (“GSAM”), an
affiliate of Goldman, Sachs & Co. (“Goldman
Sachs”), serves as investment adviser to the Fund pursuant
to a management agreement (the “Agreement”) with the
Trust.
| 2. SIGNIFICANT ACCOUNTING POLICIES |
The following is a summary of the significant accounting
policies consistently followed by the Fund. The preparation of
financial statements in conformity with accounting principles
generally accepted in the United States of America
(“GAAP”) requires management to make estimates and
assumptions that may affect the amounts and disclosures in the
financial statements. Actual results could differ from those
estimates and assumptions.
A. Investment
Valuation — It is the Fund’s policy to
use the amortized-cost method permitted by
Rule 2a-7
under the Act, which approximates market value, for valuing
portfolio securities. Under this method, all investments
purchased at a discount or premium are valued by accreting or
amortizing the difference between the original purchase price
and maturity value of the issue, as an adjustment to interest
income. Under procedures and tolerances established by the
trustees, GSAM evaluates the difference between the Fund’s
net asset value per share (“NAV”) based upon the
amortized cost of the Fund’s securities and the NAV based
upon available market quotations (or permitted substitutes) at
least once a week.
B. Security
and Fund Share Transactions, and Investment
Income — Security and Fund share
transactions are reflected for financial reporting purposes as
of the trade date. Realized gains and losses on sales of
portfolio securities are calculated using the identified cost
basis. Interest income is recorded on the basis of interest
accrued, premium amortized and discount accreted.
C. Expenses —
Expenses incurred by the Fund, which may not
specifically relate to the Fund, may be shared with other
registered investment companies having management agreements
with GSAM or its affiliates, as appropriate. These expenses are
allocated to the Fund on a straight-line
and/or
pro-rata basis depending upon the nature of the expenses and are
accrued daily.
D. Federal
Taxes and Distributions to Shareholders —
It is the 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 Fund is not
required to make any provisions for the payment of federal
income tax. Distributions to shareholders are declared and
recorded daily and paid monthly by the Fund. Long-term capital
gain distributions, if any, are declared and paid annually.
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 the Fund’s distributions may be shown in the
accompanying financial statements as either from net investment
income, net realized gain or capital. The Fund’s capital
accounts on the Statement of Assets and Liabilities reflect
permanent GAAP/tax differences based on the appropriate tax
character.
The amortized cost for the Fund stated in the accompanying
Statement of Assets and Liabilities also represents aggregate
cost for federal income tax purposes.
GSAM has reviewed the Fund’s 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
Fund’s financial statements. Such open tax years remain
subject to examination and adjustment by tax authorities.
E. Repurchase
Agreements — The Fund may enter into
repurchase agreements which 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 Fund, including
accrued interest, is required to exceed the value of the
repurchase agreement, including accrued interest. If the seller
defaults or becomes insolvent, realization of the collateral by
the Fund may be delayed or limited and there may be a decline in
the value of the collateral during
GOLDMAN SACHS
VARIABLE INSURANCE TRUST MONEY MARKET FUND
Notes to
Financial
Statements (continued)
June 30,
2011 (Unaudited)
| 2. SIGNIFICANT ACCOUNTING POLICIES (continued) |
the period while the Fund seeks to assert its rights. The
underlying securities for all repurchase agreements are held at
the Fund’s custodian or designated
sub-custodians
under tri-party repurchase agreements. Under these agreements,
the Fund is permitted to deliver or re-pledge these securities.
Pursuant to exemptive relief granted by the Securities and
Exchange Commission and terms and conditions contained therein,
the Fund, 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 Fund’s credit
exposure is allocated to the underlying repurchase agreements
counterparties on a pro-rata basis. With the exception of
certain transaction fees, the Fund is not subject to any
expenses in relation to these investments.
| 3. FAIR VALUE OF INVESTMENTS |
The fair value of a financial instrument is the amount that
would be received to sell an asset or paid to transfer a
liability in an orderly transaction between market participants
at the measurement date (i.e., the exit price). GAAP establishes
a fair value hierarchy that prioritizes the inputs to valuation
techniques used to measure fair value. The hierarchy gives the
highest priority to unadjusted quoted prices in active markets
for identical assets or liabilities (Level 1 measurements)
and the lowest priority to unobservable inputs (Level 3
measurements). The three levels of the fair value hierarchy are
described below:
Level 1 — Unadjusted quoted prices in active
markets that are accessible at the measurement date for
identical, unrestricted assets or liabilities;
Level 2 — Quoted prices in markets that are not
active or financial instruments for which significant inputs are
observable (including, but not limited to, quoted prices for
similar securities, interest rates, foreign exchange rates,
volatility and credit spreads), either directly or indirectly;
Level 3 — Prices or valuations that require
significant unobservable inputs (including GSAM’s
assumptions in determining fair value measurement).
The following is a summary of the Funds’ investments
categorized in the fair value hierarchy as of June 30,
2011. While assets are reported at amortized cost, the Levels
below are based on valuation characteristics of the
investments’ market value.
| Level 1 | Level 2 | Level 3 | ||||||||||
|
Assets
|
||||||||||||
|
Corporate Obligations (including repurchase agreements)
|
$ | — | $ | 107,943,279 | $ | — | ||||||
|
Municipal Debt Obligations
|
— | 26,776,763 | — | |||||||||
|
U.S. Treasuries
and/or Other
U.S. Government Obligations and Agencies
|
100,185 | 17,095,173 | — | |||||||||
|
Total
|
$ | 100,185 | $ | 151,815,215 | $ | — | ||||||
| 4. AGREEMENTS AND AFFILIATED TRANSACTIONS |
A. Management
Agreement — Under the Agreement, GSAM
manages the Fund, 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 Fund’s business affairs, including
providing facilities, GSAM is entitled to a management fee,
accrued daily and paid monthly, equal to an annual percentage
rate of the Fund’s average daily net assets.
B. Distribution
and Service Plan — The Trust, on behalf of
the Service Shares of the Fund, has adopted a Distribution and
Service Plan (the “Plan”). Under the Plan, Goldman
Sachs, which serves as distributor, is entitled to a fee,
accrued daily and paid
GOLDMAN SACHS
VARIABLE INSURANCE TRUST MONEY MARKET FUND
| 4. AGREEMENTS AND AFFILIATED TRANSACTIONS (continued) |
monthly for distribution services, which may then be paid by
Goldman Sachs to authorized dealers. This fee is equal to an
annual percentage rate of the Fund’s average daily net
assets.
C. Transfer
Agency Agreement — Goldman Sachs also
serves as the transfer agent of the Fund for a fee pursuant to a
Transfer Agency Agreement. The fee charged for such transfer
agency services is accrued daily and paid monthly and is equal
to an annual percentage rate of the Fund’s average daily
net assets.
D. Other
Expense Agreements — GSAM has agreed to
limit certain “Other Expense” of the Fund (excluding
management fees, distribution and service fees, transfer agent
fees and expenses, taxes, interest, brokerage fees and
litigation, indemnification, shareholder meetings and other
extraordinary expenses, exclusive of any custody and transfer
agent fee credit reductions) to the extent that such expenses
exceed, on an annual basis, 0.004% of the average daily net
assets of the Fund. Such Other Expense reimbursements, if any,
are computed daily and paid monthly. In addition, the Fund is
not obligated to reimburse GSAM for prior fiscal year expense
reimbursements, if any. These Other Expense reimbursements will
remain in place through at least April 29, 2012, and prior
to such date GSAM may not terminate the arrangement without the
approval of the trustees. For the six months ended June 30,
2011, GSAM reimbursed approximately $140,000 to the Fund.
E. Total
Fund Expenses — During the period
ended June 30, 2011, Goldman Sachs, as distributor, agreed
to waive a portion of distribution and service plan fees
attributable to the Fund. These waivers may be modified or
terminated at any time at the option of Goldman Sachs. The
following table outlines such fees (net of waivers) and Other
Expenses (net of reimbursements and custodian and transfer agent
fee credit reductions) in order to determine the Fund’s net
annualized expenses for the period. The Fund is not obligated to
reimburse Goldman Sachs for prior fiscal year fee waivers, if
any.
|
Ratio of net
expenses to |
||||
|
average net
assets |
||||
|
Fee/Expense
Type |
for the six
months ended |
|||
| (contractual rate, if any) | June 30, 2011* | |||
|
Management Fee (0.205%)
|
0.21 | % | ||
|
Distribution and Service Plan Fees (0.25%)
|
0.06 | |||
|
Transfer Agency Fee (0.02%)
|
0.02 | |||
|
Other Expenses
|
— | (a) | ||
|
Net Expenses
|
0.29 | % | ||
| * | Annualized | |
| (a) | Amount is less than 0.005% of average net assets. |
For the six months ended June 30, 2011, Goldman Sachs
waived approximately $117,000 in distribution and service fees.
For the six months ended June 30, 2011, the amounts owed to
affiliates of the Fund were approximately $24,000, $3,000, and
$2,000 for management, distribution and service fees, and
transfer agent fees, respectively.
F. Line of
Credit Facility — As of June 30, 2011,
the Fund participated in a $580,000,000 committed, unsecured
revolving line of credit facility (the “facility”)
together with other funds of the Trust and registered investment
companies having management agreements with GSAM or its
affiliates. Pursuant to the terms of the facility, the Fund and
other borrowers could increase the credit amount by an
additional $340,000,000, for a total of up to $920,000,000. This
facility is to be used solely for temporary or emergency
purposes. The interest rate on borrowings is based on the
federal funds rate. The facility also requires a fee to be paid
by the Fund based on the amount of the commitment that has not
been utilized. For the six months ended June 30, 2011, the
Fund did not have any borrowings under the facility.
GOLDMAN SACHS
VARIABLE INSURANCE TRUST MONEY MARKET FUND
Notes to
Financial
Statements (continued)
June 30,
2011 (Unaudited)
| 5. OTHER RISKS |
Fund Shareholder
Concentration Risk — Certain participating
insurance companies, accounts or Goldman Sachs affiliates may
from time to time own (beneficially or of record) or control a
significant percentage of the Fund’s shares. Redemptions by
these entities in the Fund may impact the Fund’s liquidity
and NAV. These redemptions may also force the Fund to sell
securities, which may increase the Fund’s brokerage costs.
Interest Rate
Risk — In a low interest rate environment,
low yields on the Fund’s holdings may have an adverse
impact on the Fund’s ability to provide a positive yield to
its shareholders. As a result, GSAM
and/or
Goldman Sachs may voluntarily agree to waive certain fees (such
as distribution and service, transfer agency and management
fees) which can fluctuate daily.
Market and Credit
Risks — In the normal course of business,
the Fund trades financial instruments and enters into financial
transactions where risk of potential loss exists due to changes
in the market (market risk). Additionally, the Fund 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 Fund has
unsettled or open transaction defaults.
| 6. 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 Fund. Additionally, in
the course of business, the Fund enters into contracts that
contain a variety of indemnification clauses. The Fund’s
maximum exposure under these arrangements is unknown, as this
would involve future claims that may be made against the Fund
that have not yet occurred. However, GSAM believes the risk of
loss under these arrangements to be remote.
| 7. 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.
GOLDMAN SACHS
VARIABLE INSURANCE TRUST MONEY MARKET FUND
Statement
Regarding Basis for Approval of Management Agreement
(Unaudited)
Background
The Goldman Sachs Money Market Fund (the “Fund”) is an
investment portfolio of Goldman Sachs Variable Insurance Trust
(the “Trust”). The Board of Trustees oversees the
management of the Trust and reviews the investment performance
and expenses of the Fund 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 agreement (the “Management
Agreement”) with Goldman Sachs Asset Management, L.P. (the
“Investment Adviser”) on behalf of the Fund.
The Management Agreement was most recently approved for
continuation until June 30, 2012 by the Board of Trustees,
including those Trustees who are not parties to the Management
Agreement or “interested persons” (as defined in the
Investment Company Act of 1940, as amended) of any party thereto
(the “Independent Trustees”), at a meeting held on
June 15-16,
2011 (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 Agreement was 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
Agreement, including:
| (a) | the nature and quality of the advisory, administrative and other services provided to the Fund 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, 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; |
| (b) | information on the investment performance of the Fund, including 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”), and general investment outlooks in the markets in which the Fund invests; | |
| (c) | the terms of the Management Agreement and agreements with affiliated service providers entered into by the Trust on behalf of the Fund; | |
| (d) | expense information for the Fund, including: |
| (i) | the relative management fee and expense level of the Fund as compared to those of comparable funds managed by other advisers, as provided by the Outside Data Provider; | |
| (ii) | the Fund’s 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 Fund, comparative information on the advisory fees charged and services provided to those accounts by the Investment Adviser; |
GOLDMAN SACHS
VARIABLE INSURANCE TRUST MONEY MARKET FUND
Statement
Regarding Basis for Approval of Management Agreement
(Unaudited) (continued)
| (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 Fund; | |
| (f) | the undertakings of the Investment Adviser and Goldman, Sachs & Co. (“Goldman Sachs”), the Fund’s affiliated distributor and transfer agent, to waive certain fees in order to maintain positive yields for the Fund and reimburse certain expenses of the Fund that exceed a specified level, and a summary of contractual fee reductions made by the Investment Adviser and its affiliates over the past several years with respect to the Fund; | |
| (g) | information relating to the profitability of the Management Agreement and the transfer agency and distribution and service arrangements of the Fund and the Trust as a whole to the Investment Adviser and its affiliates; | |
| (h) | whether the 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 Fund, including the fees received by the Investment Adviser’s affiliates from the Fund for transfer agency, distribution and other services; | |
| (j) | a summary of potential benefits derived by the Fund as a result of its relationship with the Investment Adviser; | |
| (k) | the nature and quality of the services provided to the Fund by its 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 Agreement; and | |
| (l)
|
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 Fund’s compliance program; and compliance reports. |
The Trustees also received an overview of the Fund’s
distribution arrangements. They received information regarding
the Fund’s assets, share purchase and redemption activity
and the payment of
Rule 12b-1
distribution and service fees by the Fund’s Service 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 Fund and other mutual fund
portfolios for which the Board of Trustees has responsibility.
In evaluating the Management Agreement 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 Fund.
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
Agreement
As part of their review, the Trustees considered the nature,
extent and quality of the services provided by the Investment
Adviser. In this regard, the Trustees considered both the
investment advisory services, and the other, non-advisory
services, that are provided to the Fund by the Investment
Adviser and its affiliates. The Trustees noted the transition in
the leadership and changes in personnel of various portfolio
management teams that had occurred in recent periods, the
potential benefit to the Fund of recent increases in headcount
at the Investment Adviser and the ongoing recruitment efforts
aimed at bringing high quality investment talent to the
Investment Adviser. The Independent Trustees concluded that the
Investment Adviser had committed substantial financial and
operational resources to the Fund 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 Fund and the Investment Adviser.
GOLDMAN SACHS
VARIABLE INSURANCE TRUST MONEY MARKET FUND
Statement
Regarding Basis for Approval of Management Agreement
(Unaudited) (continued)
Investment
Performance
The Trustees also considered the investment performance of the
Fund and the Investment Adviser. In this regard, they compared
the Fund to its peers using the performance rankings and ratings
compiled by the Outside Data Provider. The information on the
Fund’s investment performance was provided for the one- and
three-year periods ended December 31, 2010.
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
Fund’s risk profile, and how the Investment Adviser’s
approach to risk monitoring and management influences portfolio
management.
The Independent Trustees considered the Fund’s investment
performance in light of its investment objective and credit
parameters. They also considered the difficult yield environment
in which the Fund operated throughout 2009 and 2010. They noted
that despite volatility in the financial markets in 2009 and
2010, the Investment Adviser was able to maintain a stable net
asset value and positive yield to meet the demand of the
Fund’s investors through voluntary fee waivers and expense
reimbursements.
Costs of
Services Provided and Competitive Information
The Trustees considered the contractual fee rates payable by the
Fund under the Management Agreement. In this regard, the
Trustees considered information on the services rendered by the
Investment Adviser to the Fund, which included both advisory and
administrative services that were directed to the needs and
operations of the Fund as a registered mutual fund.
In particular, the Trustees reviewed analyses prepared by the
Outside Data Provider regarding the expense rankings of the
Fund. The analyses provided a comparison of the Fund’s
management fee to those of a relevant peer group and category
universe; an expense analysis which compared the Fund’s
expenses to a peer group and a category universe; and a
five-year history, comparing the Fund’s expenses to the
peer and category medians. The analyses also compared the
Fund’s transfer agency fees, custody and accounting fees,
distribution fees, other expenses and fee waivers/reimbursements
to those of other funds in the peer group and the peer group
median. 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 Fund.
In addition, the Trustees considered the Investment
Adviser’s undertaking to limit the Fund’s “other
expenses” ratio (excluding certain expenses) to a certain
specified level. They noted that the Investment Adviser and
Goldman Sachs took a number of steps, including waiving
management, distribution and service and transfer agency fees
and reimbursing expenses, in order to maintain positive yields
for the Fund. 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 Fund, comparative fee information for
services provided by the Investment Adviser to those accounts,
and information that indicated that services provided to the
Fund 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 Fund
under the terms of the Management Agreement.
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.
GOLDMAN SACHS
VARIABLE INSURANCE TRUST MONEY MARKET FUND
Statement
Regarding Basis for Approval of Management Agreement
(Unaudited) (continued)
Profitability
The Trustees reviewed the Investment Adviser’s revenues and
pre-tax profit margins with respect to the Trust and the Fund.
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 the Fund were
provided for 2010 and 2009, 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 and noted
that the Fund does not have management fee breakpoints. The
Trustees also noted that the Investment Adviser had agreed to
reduce the contractual management fee rate paid to the Fund in
2010. They considered the amount of assets in the Fund; the
Fund’s recent 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 the
contractual fee rates charged by the Investment Adviser with fee
rates charged to other money market funds in the peer group; the
Investment Adviser’s undertaking to limit the Fund’s
“other expenses” ratio (excluding certain expenses) to
a certain amount; and the willingness of the Investment Adviser
and Goldman Sachs to waive certain fees on a temporary basis in
order to maintain positive Fund yields. They considered a report
prepared by the Outside Data Provider, which surveyed money
market funds’ management fee arrangements and use of
breakpoints. The Trustees also considered the competitive nature
of the money market fund business and the competitiveness of the
fees charged to the Fund by the Investment Adviser. They also
observed that the Fund’s level of profitability was lower
as a result of fee waivers and “other expenses”
reimbursements.
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 Fund as stated above, including: (a) transfer
agency fees received by Goldman Sachs; (b) trading
efficiencies resulting from aggregation of orders of the Fund
with those for other funds or accounts managed by the Investment
Adviser; (c) the Investment Adviser’s ability to
leverage the infrastructure designed to service the Fund on
behalf of its other clients; (d) the Investment
Adviser’s ability to cross-market other products and
services to Fund shareholders; (e) Goldman Sachs’
retention of certain fees as Fund Distributor;
(f) Goldman Sachs’ ability to engage in principal
transactions with the Fund under the SEC exemptive orders
permitting such trades; (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
Fund; and (h) the possibility that the working relationship
between the Investment Adviser and the Fund’s 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 the fall-out benefits.
GOLDMAN SACHS
VARIABLE INSURANCE TRUST MONEY MARKET FUND
Statement
Regarding Basis for Approval of Management Agreement
(Unaudited) (continued)
Other
Benefits to the Fund and Its Shareholders
The Trustees also noted that the Fund receives certain potential
benefits as a result of its relationship with the Investment
Adviser, including: (a) trading efficiencies resulting from
aggregation of orders of the Fund 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 advantages gained from the Investment
Adviser’s knowledge and experience gained from managing
other accounts and products; (e) the Investment
Adviser’s ability to hire and retain qualified personnel to
provide services to the Fund because of the reputation of the
Goldman Sachs organization; (f) the Fund’s access,
through the Investment Adviser, to certain firmwide resources
(e.g., proprietary databases); and (g) the
Fund’s access to certain affiliated distribution channels.
The Trustees noted the competitive nature of the mutual fund
marketplace, and noted further that many of the Fund’s
shareholders invested in the Fund in part because of the
Fund’s 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
Agreement, 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 the
Fund were reasonable in light of the services provided to it by
the Investment Adviser, the Investment Adviser’s costs and
the Fund’s current and reasonably foreseeable asset levels.
The Trustees unanimously concluded that the Investment
Adviser’s continued management likely would benefit the
Fund and its shareholders and that the Management Agreement
should be approved and continued with respect to the Fund until
June 30, 2012.
GOLDMAN SACHS
VARIABLE INSURANCE TRUST MONEY MARKET FUND
Fund Expenses —
Six Month Period Ended June 30, 2011 (Unaudited)
As a shareholder of the Service Shares of the Fund, you incur
ongoing costs, including management fees; distribution and
service (12b-1) fees; and other Fund expenses. This Example is
intended to help you understand your ongoing costs (in dollars)
of investing in the Fund and to compare these costs with the
ongoing costs of investing in other mutual funds.
The Example is based on an investment of $1,000 invested at the
beginning of the period and held for the entire period from
January 1, 2011 through June 30, 2011.
Actual Expenses — The first line 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 in the table below
provides information about hypothetical account values and
hypothetical expenses based on the Fund’s actual net
expense ratio and an assumed rate of return of 5% per year
before expenses, which is not the Fund’s 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 Fund 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.
|
Expense Paid |
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|
for the |
|||||||||||||||
|
Beginning |
Ending |
6 Months |
|||||||||||||
|
Account Value |
Account Value |
Ended |
|||||||||||||
| 01/01/11 | 06/30/11 | 06/30/11* | |||||||||||||
|
Actual
|
$ | 1,000.00 | $ | 1,000.10 | $ | 1.44 | |||||||||
|
Hypothetical 5% return
|
1,000.00 | 1,023.36 | + | 1.45 | |||||||||||
| * | Expenses are calculated using the Fund’s annualized net expense ratio, which represents the ongoing expenses as a percentage of net assets for the six months ended June 30, 2011. Expenses are calculated by multiplying the annualized net expense ratio by the average account value for the period; then multiplying the result by the number of days in the most recent fiscal half year; and then dividing that result by the number of days in the fiscal year. The annualized net expense ratio for the period was 0.29%. | |
| + | Hypothetical expenses are based on the Fund’s actual annualized net expense ratio and an assumed rate of return of 5% per year before expenses. |
|
TRUSTEES Ashok N. Bakhru, Chairman Donald C. Burke John P. Coblentz, Jr. Diana M. Daniels Joseph P. LoRusso James A. McNamara Jessica Palmer Alan A. Shuch Richard P. Strubel |
OFFICERS James A. McNamara, President George F. Travers, Principal Financial Officer Peter V. Bonanno, Secretary Scott M. McHugh, Treasurer |
|
|
GOLDMAN, SACHS & CO. Distributor and Transfer Agent |
||
|
GOLDMAN SACHS ASSET MANAGEMENT, L.P. Investment Adviser 200 West Street, New York New York 10282 |
||
| Visit our Web site at www.goldmansachsfunds.com/vit to obtain the most recent month-end returns. | ||
| The reports concerning the Fund included in this shareholder report may contain certain forward-looking statements about the factors that may affect the performance of the Fund in the future. These statements are based on Fund management’s predictions and expectations concerning certain future events and their expected impact on the Fund, 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 Fund. 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 Fund uses to determine how to vote proxies relating to portfolio securities and information regarding how the 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 1-800-621-2550; and (ii) on the Securities and Exchange Commission (“SEC”) Web site at http://www.sec.gov. | ||
| The Fund files its complete schedule of portfolio holdings with the SEC for the first and third quarters of each fiscal year on Form N-Q. The Fund’s Form N-Q is available on the SEC’s website at http://www.sec.gov within 60 days after the Fund’s first and third fiscal quarters. When available, the Fund’s Forms N-Q may be reviewed and copied at the SEC’s Public Reference Room in Washington, D.C. and information on the operation of the Public Reference Room may also be obtained by calling 1-800-SEC-0330. Forms N-Q may be obtained upon request and without charge by calling 1-800-621-2550. | ||
| Holdings and allocations shown may not be representative of current or future investments. Holdings and allocations may not include the Fund’s entire investment portfolio,which may change at any time. Fund holdings should not be relied on in making investment decisions and should not be construed as research or investment advice regarding particular securities. | ||
| 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. | ||
| The portfolio risk management process includes an effort to monitor and manage risk, but does not imply low risk. | ||
| Shares of the Goldman Sachs VIT Funds are offered to separate accounts of participating life insurance companies for the purpose of funding variable annuity contracts and variable life insurance policies. Shares of the Fund are not offered directly to the general public. The variable annuity contracts and variable life insurance policies are described in the separate prospectuses issued by participating insurance companies. You should refer to those prospectuses for information about surrender charges, mortality and expense risk fees and other charges that may be assessed by participating insurance companies under the variable annuity contracts or variable life insurance policies. Such fees or charges, if any, may affect the return you may realize with respect to your investments. Ask your representative for more complete information. Please consider a fund’s objectives, risks and charges and expenses, and read the prospectus carefully before investing. The prospectus contains this and other information about the Fund. | ||
|
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
1-800-621-2550. |
||
| Toll Free (in U.S.): 800-292-4726 | ||
| This report is prepared for the general information of contract owners and is not an offer of shares of the Goldman Sachs Variable Insurance Trust: Goldman Sachs Money Market Fund. | ||
| © 2011 Goldman Sachs. All rights reserved. | ||
| VITMMSAR11/57685.MF.MED.TMPL/8/2011 | ||
| 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. | INVESTMENTS. |
| (a) | Schedules of Investments are included as part of the Semi-Annual Reports to Shareholders filed under Item 1 of this Form N-CSR. |
| (b) | Not applicable. |
| 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 date 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 an annual report on this Form N-CSR. | |||
| (a)(2) | Exhibit 99.906CERT |
Certifications pursuant to Section 302 of the Sarbanes-Oxley Act of 2002 are filed herewith. | ||
| (a)(3) | Not applicable. | |||
| (b) | Exhibit 99.906CERT |
Certifications pursuant to Section 906 of the Sarbanes-Oxley Act of 2002 are 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 Variable Insurance Trust
|
||
/s/ James A. McNamara |
||
By: James A. McNamara |
||
Principal Executive Officer of |
||
Goldman Sachs Variable Insurance Trust |
||
Date:
August 24, 2011
|
||
| Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated. | ||
/s/ James A. McNamara
|
||
By: James A. McNamara |
||
Principal Executive Officer of |
||
Goldman Sachs Variable Insurance Trust |
||
Date:
August 24, 2011 |
||
/s/ George F. Travers
|
||
By: George F. Travers |
||
Principal Financial Officer of |
||
Goldman Sachs Variable Insurance Trust |
||
Date: August 24, 2011 |
||