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)
| Copies to: | ||
| Geoffrey R.T. Kenyon, Esq. | ||
| Caroline Kraus |
Dechert LLP | |
| Goldman, Sachs & Co. | 200 Clarendon Street | |
| 200 West Street | 27th Floor | |
| New York, NY 10282 | 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, 2012
| ITEM 1. | REPORTS TO STOCKHOLDERS. |
| The Semi-Annual Reports to Stockholders are filed herewith. |
Goldman
Sachs Variable Insurance Trust
Goldman Sachs
Large Cap Value Fund
Semi-Annual Report
June 30, 2012
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. Different investment styles (e.g., “value”) tend to shift in and out of favor, and at times the Fund may underperform other funds that invest in similar asset classes.
1
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 Goldman Sachs Variable Insurance Trust — Goldman Sachs Large Cap Value Fund’s (the “Fund”) performance and positioning for the six-month period ended June 30, 2012 (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 8.73% and 8.53%, respectively. These returns compare to the 8.68% 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. equity markets gained significant ground during the Reporting Period, with relatively strong performance versus many other developed markets reflecting optimism on a U.S. economic recovery and simultaneous concerns over Europe’s persistent sovereign debt crisis. Representing the U.S. equity market, the S&P® 500 Index returned 9.49% for the six months ended June 30, 2012.
During the first calendar quarter, U.S. equity markets rose on evidence that the labor market, manufacturing and retail sales were improving. News that the Federal Reserve Board (the “Fed”) reduced its outlook for near-term economic growth was offset by its commitment to keep interest rates low until at least late 2014. U.S. banks showed the biggest quarterly increase in lending in four years, while losses from loans fell to their lowest level since early 2008. As a result, financials stocks, which had lagged significantly in 2011, rallied sharply. Elsewhere, strong corporate earnings reports boosted a number of large-cap information technology stocks, and the NASDAQ reached a new 11-year high. The Dow Jones Industrial Average closed above 13,000 for the first time since May 2008.
U.S. equity markets then retreated in April and May 2012 amidst questions about the strength of the U.S. economic recovery and increasing uncertainty in Europe. The U.S. labor market, which had been reporting improvements, appeared to lose some momentum in April, as jobless claims increased for several weeks in a row, and deteriorated further in May. In addition, the initial first quarter Gross Domestic Product (“GDP”) estimate of 2.2% was lower than expected and was subsequently revised down to 1.9%. However, housing market data showed some signs of stabilization, and consumer confidence offered mixed signals. Outside of domestic economic concerns, Europe’s troubles as well as disappointing economic reports from faster growing regions of the world renewed fears of a global economic slowdown. Anticipating weaker demand, the benchmark West Texas Intermediate crude oil price slid more than 20% during the second calendar quarter to less than $80 per barrel. Markets rallied on the last day of June on the announcement of some coordinated action by European leaders following summit talks, which boosted U.S. equity market returns for the month of June overall.
For the Reporting Period overall, sector performance was widely dispersed, with no clear trend between economically-sensitive and traditional defensive sectors. Within the S&P® 500 Index, energy was the only sector to generate negative returns, in large part because of the decline in oil prices during the second calendar quarter. Other lagging sectors included utilities, materials, industrials and consumer staples. The financials sector posted amongst the strongest returns during the Reporting Period, despite a downgrade from Moody’s Investors Service of 15 international banks. Other strong sectors within the S&P® 500 Index during the Reporting Period were telecommunication services, information technology and consumer discretionary.
All segments of the U.S. equity market advanced during the Reporting Period, with large-cap stocks, as measured by the Russell 1000® Index, gaining most, followed by small-cap stocks and then mid-cap stocks, as measured by the Russell 2000® Index and Russell Midcap® Index, respectively. From a style perspective, growth-oriented stocks outpaced value-oriented stocks across the capitalization spectrum. (All as measured by the Russell Investments indices.)
What key factors were responsible for the Fund’s performance during the Reporting Period?
Stock selection overall had the greatest effect on the Fund’s performance relative to the Russell Index during the Reporting Period.
2
GOLDMAN SACHS VARIABLE INSURANCE TRUST LARGE CAP VALUE FUND
Which equity market sectors most significantly affected Fund performance?
Detracting from the Fund’s relative results most was stock selection in the financials, information technology and consumer staples sectors, where company-specific issues weighed on certain holdings. Offsetting these detractors was effective stock selection in the health care, industrials and telecommunication services sectors, which helped the Fund’s performance relative to the Russell Index.
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 oilfield services company Halliburton of the energy sector, independent oil and gas exploration and production company Newfield Exploration of the energy sector and global semiconductor firm Altera of the information technology sector.
The lack of a settlement in the Macondo well suit in which BP is seeking to recover all of the costs resulting from the Gulf of Mexico spill weighed on Halliburton’s stock price during the Reporting Period. Additionally, the company faced pricing pressure in its North American pressure pumping business. Toward the end of the Reporting Period, Halliburton pre-announced slightly weaker earnings than the market anticipated. Halliburton was impacted from guar prices that have soared of late. (Guar is a plant, whose seeds are used as a controlling agent in oil wells to facilitate easy drilling and prevent fluid loss.) At the end of the Reporting Period, we believed downside factors were already discounted into the stock’s price, and the company’s supply chain management and reliability of operations should allow it to withstand recent weakness better than its competition. While the contingent legal liability from the Macondo suit could remain a drag on Halliburton’s stock until a settlement is reached, we continued to believe the company’s risk/reward profile was attractive at valuations seen at the end of the Reporting Period, and the company should continue to be able to generate strong revenue growth and operating margins in North America.
Underperformance of Newfield Exploration during the Reporting Period was due to a combination of weaker oil prices and weather-related events that caused concerns regarding a negative impact on the company’s near-term production. Further, the company’s stock lagged as a result of reduced production guidance, investor disappointment on growth and low natural gas prices, which together led to analyst downgrades. Finally, the company’s research and development costs were higher than expected and had some execution problems. By the end of the Reporting Period, we sold the Fund’s position in Newfield Exploration because of these risks, including slow growth, which we anticipated could be flat to down over the near term.
Shares of semiconductor company Altera sold off sharply in April after reporting its earnings were down from the previous quarter and from 2011 due to lower than expected end-market demand and to some company-specific issues. However, at the end of the Reporting Period, we still believed Altera was an industry share gainer with attractive margins and incremental return potential. We believe we are at the bottom of an inventory cycle, and with the expected return of telecommunications spending during the second half of 2012, Altera’s business should reaccelerate. As the programmable logic device (“PLD”) industry continues to aggressively transition to more advanced nodes, we believe Altera should be able to increase market share as its solutions become increasingly more power and price competitive.
What were some of the Fund’s best-performing individual stocks?
The Fund benefited most relative to the Russell Index from positions in biotechnology company Vertex Pharmaceuticals, super-regional bank SunTrust Banks and integrated telephone company AT&T.
Vertex Pharmaceuticals was the top contributor to the Fund’s relative results during the Reporting Period, as its share price increased after the company reported positive data for its cystic fibrosis drug Kalydeco. Already a leader in treating hepatitis C with its drug Incivek, we believe that Vertex Pharmaceuticals has long-term potential to increase its market penetration and pricing power due to its differentiated product pipeline and its strong competitive positioning. At the end of the Reporting Period, we expected the company’s margins to increase, which could drive an increase in the price/earnings ratio of its stock.
After a disappointing year in 2011, SunTrust Banks rebounded significantly during the Reporting Period, especially during the first calendar quarter, on better U.S. economic data, improving capital markets, rising equity markets, healthier capital levels and hopeful news on the European sovereign debt front. At the end of the Reporting Period, we continued to like SunTrust Banks, as we felt it was positioned on the residential housing front given its revenue diversity, expense management and capital deployment ability. The company has been reducing exposure to high-risk home equity, mortgage and commercial construction loans in an effort to bring down overall portfolio risk and increase long-term earnings potential. Overall, business confidence in Florida, where the firm has a significant portion of its banks, appeared strong, and the state’s housing market appeared to be turning.
3
GOLDMAN SACHS VARIABLE INSURANCE TRUST LARGE CAP VALUE FUND
AT&T was another strong performer for the Fund. The company announced earnings and revenues that surpassed analysts’ expectations, driven by improved gross margins and stronger than expected subscriber growth. At the end of the Reporting Period, we believed AT&T should maintain its position as an industry leader given its brand recognition and reliable management team. As the stock had performed well and approached our price target during the Reporting Period, we took the opportunity to trim the Fund’s position in AT&T’s stock.
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?
We initiated a Fund position in diversified health care and pharmaceutical company Johnson & Johnson during the Reporting Period. We felt that Johnson & Johnson had lagged its large-cap peers and that medical utilization trends had bottomed. We further believed that Johnson & Johnson could benefit from an increase in its price/earnings ratio as sentiment turns more positive and as utilization improves given that medical devices make up approximately 40% of its sales. Additionally, we think the problematic manufacturing issues the company has faced are largely behind its consumer business segment, a trend we believe will continue through 2012.
We re-initiated a Fund position in Bank of America. Shares of Bank of America were negatively impacted during much of 2011 by uncertainty surrounding mortgage litigation, capital level requirements and debt interchange fees. Although we had sold the Fund’s position in Bank of America ahead of its fourth quarter earnings reports due to concerns the company would need to raise capital, it became clear to us following the earnings reports that this raising of capital would likely be unnecessary given that its capital reserve ratios were better than expected. We also believed Bank of America remained an attractively valued stock with a superior U.S. footprint and high exposure to a recovering housing market. Moreover, we became incrementally more positive on the stock following the most recent stress test results by the Fed, which revealed the relative strength of the company’s balance sheet to its competitors’ balance sheets, and thus we saw further upside to the stock.
We sold the Fund’s position in General Mills during the Reporting Period. General Mills reported earnings that were lower than expected and guided lower for fiscal year 2012, primarily due to weak pricing and greater than expected spending on advertising. Although we still believed General Mills remained a leading consumer foods company with a strong management team, we exited the Fund’s position as a reflection of the company’s execution difficulties and lower sales volumes across the industry. We moved the sales proceeds into higher conviction names that we believed to have greater upside potential.
Strict to our sell discipline, we made some adjustments to the Fund’s positioning by selling out of holdings where our investment thesis had fundamentally changed and/or valuation levels were no longer attractive. As such, we exited the Fund’s position in diversified consumer goods manufacturer Unilever. We feel the company faces near-term margin pressure due to increased raw materials costs and competitive pressures in the emerging markets. As Unilever is more exposed to grain and oil costs than many of its peers, we feel these inflationary pressures may well reduce the company’s ability to drive earnings going forward.
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 its 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, health care, telecommunication services and utilities increased compared to the Russell Index. The Fund’s allocations compared to the benchmark index in consumer discretionary, energy, financials, information technology and materials decreased. The Fund’s position in cash also increased during the Reporting Period.
How was the Fund positioned relative to its benchmark index at the end of the Reporting Period?
At the end of June 2012, the Fund had overweighted positions relative to the Russell Index in the health care, information technology and consumer discretionary sectors. On the same date, the Fund had underweighted positions compared to the Russell Index in financials, energy and materials and was rather neutrally weighted to the Russell Index in consumer staples, industrials, telecommunication services and utilities.
4
GOLDMAN SACHS VARIABLE INSURANCE TRUST LARGE CAP VALUE FUND
What is the Fund’s tactical view and strategy for the months ahead?
We remain constructive in our view ahead for U.S. equities. At the end of the Reporting Period, we saw valuations as reasonable relative to history and strong corporate balance sheets as providing companies with a number of opportunities to create shareholder value. Economic activity remained muted by historical standards, but several indicators were moving in a positive direction and suggested ongoing U.S. economic growth. For example, initial jobless claims appeared to have stabilized below levels seen in 2011; U.S. housing statistics had improved through the first half of 2012; and retail gas prices moved lower.
We recognize that risks remain, as the financial situation in Europe and slower than expected economic growth in China have potential negative implications for economic growth in the U.S. Domestically, the “fiscal cliff” and the upcoming elections in November have increased uncertainty. (The “fiscal cliff” refers to tax increases and spending cuts totaling approximately $670 billion scheduled to take effect on January 1, 2013.) However, we believe the U.S. economic outlook compares favorably against other developed nations. While the U.S. equity markets over the past two summers have been volatile and often headline- or macro-driven, our bottom-up, fundamental research process requires us to look past short-term events and select companies where we see the ability for long-term value creation. We remain ready to add to or initiate new positions in well-managed companies that demonstrate competitive advantages and sustainable business models. As always, deep research resources, a forward-looking investment process and truly actively managed portfolios are keys, in our view, in aiming to preserve capital and outperform the market over the long term.
5
FUND BASICS
Large Cap Value Fund
as of June 30, 2012
STANDARDIZED TOTAL RETURNS1
| For the period ended 6/30/12 | One Year | Five Years | Ten Years | Since Inception | Inception Date | |||||||||||||
| Institutional | –2.27 | % | –3.72 | % | 4.41 | % | 2.44 | % | 1/12/98 | |||||||||
| Service | –2.50 | N/A | N/A | 3.74 | 7/24/07 | |||||||||||||
| 1 | The Standardized 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”). Because Institutional and Service Shares do not involve a sales charge, such a charge is not applied to their Standardized Total Returns. |
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 | 0.78 | % | 0.79 | % | ||||
| Service | 1.03 | 1.04 | ||||||
| 2 | The expense ratios of the Fund, both current (net of applicable fee waivers and/or expense limitations) and before waivers (gross of applicable fee waivers and/or expense limitations) are as set forth above according to the most recent publicly available Prospectus for the Fund and may differ from the expense ratios disclosed in the Financial Highlights in this report. The Fund’s waivers and/or expense limitations will remain in place through at least April 27, 2013, and prior to such date the investment adviser may not terminate the arrangements without the approval of the Fund’s Board of Trustees. If these arrangements are discontinued in the future, the expense ratios may change without shareholder approval. |
TOP TEN HOLDINGS AS OF 6/30/123
| Holding | % of Net Assets | Line of Business | ||||
| General Electric Co. | 5.2% | Capital Goods | ||||
| Exxon Mobil Corp. | 4.6 | Energy | ||||
| JPMorgan Chase & Co. | 3.7 | Diversified Financials | ||||
| Pfizer, Inc. | 3.1 | Pharmaceuticals, Biotechnology & Life Sciences | ||||
| Johnson & Johnson | 2.8 | Pharmaceuticals, Biotechnology & Life Sciences | ||||
| Chevron Corp. | 2.8 | Energy | ||||
| Lowe’s Companies, Inc. | 2.5 | Retailing | ||||
| Bank of America Corp. | 2.2 | Diversified Financials | ||||
| SunTrust Banks, Inc. | 2.1 | Banks | ||||
| Devon Energy Corp. | 2.1 | Energy | ||||
| 3 | The top 10 holdings may not be representative of the Fund’s future investments. |
6
FUND BASICS
FUND vs. BENCHMARK SECTOR ALLOCATIONS4
As of June 30, 2012
| 4 | The Fund is actively managed and, as such, its composition may differ over time. Consequently, the Fund’s overall sector allocations may differ from percentages contained in the graph above. The 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. The percentage shown for each investment category reflects the value of investments in that category as a percentage of market value. The graph depicts the Fund’s investments but may not represent the Fund’s market exposure due to the exclusion of certain derivatives, if any, as listed in the Additional Investment Information section of the Schedule of Investments. |
7
GOLDMAN SACHS VARIABLE INSURANCE TRUST LARGE CAP VALUE FUND
Schedule of Investments
June 30, 2012 (Unaudited)
| Shares | Description | Value | ||||||
|
|
Common Stocks – 96.7% |
| ||||||
| Banks – 4.1% | ||||||||
| 1,156,965 | SunTrust Banks, Inc. | $ | 28,033,262 | |||||
| 817,193 | U.S. Bancorp | 26,280,927 | ||||||
|
|
|
|||||||
| 54,314,189 | ||||||||
|
|
|
|||||||
| Capital Goods – 9.1% | ||||||||
| 3,311,153 | General Electric Co. | 69,004,428 | ||||||
| 1,026,450 | Masco Corp. | 14,236,861 | ||||||
| 528,611 | Textron, Inc. | 13,146,556 | ||||||
| 318,089 | The Boeing Co. | 23,634,013 | ||||||
|
|
|
|||||||
| 120,021,858 | ||||||||
|
|
|
|||||||
| Consumer Services – 0.5% | ||||||||
| 593,592 | MGM Resorts International* | 6,624,487 | ||||||
|
|
|
|||||||
| Diversified Financials – 9.5% | ||||||||
| 319,469 | Ameriprise Financial, Inc. | 16,695,450 | ||||||
| 3,588,575 | Bank of America Corp. | 29,354,543 | ||||||
| 1,365,360 | JPMorgan Chase & Co. | 48,784,313 | ||||||
| 874,196 | Morgan Stanley | 12,754,520 | ||||||
| 1,082,066 | SLM Corp. | 16,999,257 | ||||||
|
|
|
|||||||
| 124,588,083 | ||||||||
|
|
|
|||||||
| Energy – 13.8% | ||||||||
| 349,707 | Chevron Corp. | 36,894,089 | ||||||
| 473,766 | Devon Energy Corp. | 27,473,690 | ||||||
| 702,201 | Exxon Mobil Corp. | 60,087,340 | ||||||
| 953,190 | Halliburton Co. | 27,061,064 | ||||||
| 202,833 | Occidental Petroleum Corp. | 17,396,986 | ||||||
| 290,636 | Transocean Ltd. | 13,000,148 | ||||||
|
|
|
|||||||
| 181,913,317 | ||||||||
|
|
|
|||||||
| Food & Staples Retailing – 1.6% | ||||||||
| 458,793 | CVS Caremark Corp. | 21,439,397 | ||||||
|
|
|
|||||||
| Food, Beverage & Tobacco – 5.6% | ||||||||
| 185,282 | Anheuser-Busch InBev NV ADR |
14,757,711 | ||||||
| 138,323 | Diageo PLC ADR | 14,256,952 | ||||||
| 311,713 | Philip Morris International, Inc. | 27,200,077 | ||||||
| 236,191 | The J.M. Smucker Co. | 17,837,144 | ||||||
|
|
|
|||||||
| 74,051,884 | ||||||||
|
|
|
|||||||
| Health Care Equipment & Services – 3.0% | ||||||||
| 339,922 | UnitedHealth Group, Inc. | 19,885,437 | ||||||
| 199,865 | Varian Medical Systems, Inc.* | 12,145,796 | ||||||
| 122,640 | WellPoint, Inc. | 7,823,206 | ||||||
|
|
|
|||||||
| 39,854,439 | ||||||||
|
|
|
|||||||
| Household & Personal Products – 0.8% | ||||||||
| 169,605 | The Procter & Gamble Co. | 10,388,306 | ||||||
|
|
|
|||||||
| Insurance – 7.0% | ||||||||
| 195,782 | Everest Re Group Ltd. | 20,261,479 | ||||||
| 521,742 | Hartford Financial Services Group, Inc. |
9,198,312 | ||||||
| 383,707 | MetLife, Inc. | 11,837,361 | ||||||
|
|
|
|||||||
| Shares | Description | Value | ||||||
|
|
Common Stocks – (continued) |
| ||||||
| Insurance – (continued) | ||||||||
| 540,952 | Prudential Financial, Inc. | $ | 26,198,305 | |||||
| 383,792 | The Travelers Companies, Inc. | 24,501,281 | ||||||
|
|
|
|||||||
| 91,996,738 | ||||||||
|
|
|
|||||||
| Materials – 1.5% | ||||||||
| 273,496 | Eastman Chemical Co. | 13,775,993 | ||||||
| 119,315 | Newmont Mining Corp. | 5,787,971 | ||||||
|
|
|
|||||||
| 19,563,964 | ||||||||
|
|
|
|||||||
| Media – 4.0% | ||||||||
| 87,411 | CBS Corp. Class B | 2,865,333 | ||||||
| 323,585 | Comcast Corp. Class A | 10,345,012 | ||||||
| 180,197 | DIRECTV Class A* | 8,797,218 | ||||||
| 352,567 | The Walt Disney Co. | 17,099,499 | ||||||
| 348,645 | Time Warner, Inc. | 13,422,832 | ||||||
|
|
|
|||||||
| 52,529,894 | ||||||||
|
|
|
|||||||
| Pharmaceuticals, Biotechnology & Life Sciences – 10.9% | ||||||||
| 343,094 | Celgene Corp.* | 22,012,911 | ||||||
| 546,660 | Johnson & Johnson | 36,932,349 | ||||||
| 420,389 | Merck & Co., Inc. | 17,551,241 | ||||||
| 614,721 | Mylan, Inc.* | 13,136,588 | ||||||
| 1,756,362 | Pfizer, Inc. | 40,396,326 | ||||||
| 243,715 | Vertex Pharmaceuticals, Inc.* | 13,628,543 | ||||||
|
|
|
|||||||
| 143,657,958 | ||||||||
|
|
|
|||||||
| Real Estate Investment Trust – 1.7% | ||||||||
| 145,762 | Simon Property Group, Inc. | 22,689,313 | ||||||
|
|
|
|||||||
| Retailing – 4.7% | ||||||||
| 1,141,617 | Lowe’s Companies, Inc. | 32,467,587 | ||||||
| 321,062 | Macy’s, Inc. | 11,028,480 | ||||||
| 515,516 | Williams-Sonoma, Inc. | 18,027,595 | ||||||
|
|
|
|||||||
| 61,523,662 | ||||||||
|
|
|
|||||||
| Semiconductors & Semiconductor Equipment – 2.9% | ||||||||
| 524,588 | Altera Corp. | 17,752,058 | ||||||
| 367,205 | Lam Research Corp.* | 13,858,317 | ||||||
| 231,429 | Texas Instruments, Inc. | 6,639,698 | ||||||
|
|
|
|||||||
| 38,250,073 | ||||||||
|
|
|
|||||||
| Software & Services – 2.7% | ||||||||
| 445,421 | Adobe Systems, Inc.* | 14,418,278 | ||||||
| 13,784 | Google, Inc. Class A* | 7,995,685 | ||||||
| 429,180 | Microsoft Corp. | 13,128,616 | ||||||
|
|
|
|||||||
| 35,542,579 | ||||||||
|
|
|
|||||||
| Technology Hardware & Equipment – 2.7% | ||||||||
| 16,916 | Apple, Inc.* | 9,878,944 | ||||||
| 630,151 | EMC Corp.* | 16,150,770 | ||||||
| 587,843 | Juniper Networks, Inc.* | 9,587,719 | ||||||
|
|
|
|||||||
| 35,617,433 | ||||||||
|
|
|
|||||||
| Telecommunication Services – 3.1% | ||||||||
| 726,441 | AT&T, Inc. | 25,904,886 | ||||||
| 4,543,200 | Sprint Nextel Corp.* | 14,810,832 | ||||||
|
|
|
|||||||
| 40,715,718 | ||||||||
|
|
|
|||||||
| 8 | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS VARIABLE INSURANCE TRUST LARGE CAP VALUE FUND
| Shares | Description | Value | ||||||
|
|
Common Stocks – (continued) |
| ||||||
| Utilities – 7.5% | ||||||||
| 355,563 | American Electric Power Co., Inc. |
$ | 14,186,964 | |||||
| 470,822 | Duke Energy Corp. | 10,857,155 | ||||||
| 300,856 | Northeast Utilities | 11,676,221 | ||||||
| 468,742 | PG&E Corp. | 21,219,950 | ||||||
| 669,649 | PPL Corp. | 18,622,939 | ||||||
| 771,529 | Xcel Energy, Inc. | 21,919,139 | ||||||
|
|
|
|||||||
| 98,482,368 | ||||||||
|
|
|
|||||||
|
|
TOTAL COMMON STOCKS |
| ||||||
| (Cost $1,217,928,322) | $ | 1,273,765,660 | ||||||
|
|
|
|||||||
|
|
Exchange Traded Fund –1.5% |
| ||||||
| 296,668 | iShares Russell 1000 Value Index Fund |
|||||||
| (Cost $19,944,378) | 20,241,658 | |||||||
|
|
|
|||||||
|
|
TOTAL INVESTMENTS – 98.2% |
| ||||||
| (Cost $1,237,872,700) | $ | 1,294,007,318 | ||||||
|
|
|
|||||||
| |
OTHER ASSETS IN EXCESS OF |
23,476,081 | ||||||
|
|
|
|||||||
|
|
NET ASSETS – 100.0% |
$ | 1,317,483,399 | |||||
|
|
|
|||||||
| 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. | |
| Investment Abbreviation: | ||
| ADR | —American Depositary Receipt | |
| The accompanying notes are an integral part of these financial statements. | 9 |
GOLDMAN SACHS VARIABLE INSURANCE TRUST LARGE CAP VALUE FUND
Statement of Assets and Liabilities
June 30, 2012 (Unaudited)
| Assets: | ||||
| Investments, at value (cost $1,237,872,700) |
$ | 1,294,007,318 | ||
| Cash |
16,336,977 | |||
| Receivables: |
||||
| Investments sold |
12,150,531 | |||
| Dividends |
2,268,421 | |||
| Due from custodian |
2,023,819 | |||
| Fund shares sold |
188,563 | |||
| Other assets |
6,612 | |||
| Total assets | 1,326,982,241 | |||
| Liabilities: | ||||
| Payables: |
||||
| Investments purchased |
7,935,952 | |||
| Amounts owed to affiliates |
951,235 | |||
| Fund shares redeemed |
446,363 | |||
| Accrued expenses |
165,292 | |||
| Total liabilities | 9,498,842 | |||
| Net Assets: | ||||
| Paid-in capital |
1,285,849,596 | |||
| Undistributed net investment income |
10,344,381 | |||
| Accumulated net realized loss |
(34,845,196 | ) | ||
| Net unrealized gain |
56,134,618 | |||
| NET ASSETS | $ | 1,317,483,399 | ||
| Net Assets: |
||||
| Institutional |
$ | 415,194,637 | ||
| Service |
902,288,762 | |||
| Total Net Assets |
$ | 1,317,483,399 | ||
| Shares of beneficial interest outstanding $0.001 par value (unlimited shares authorized): |
||||
| Institutional |
40,683,319 | |||
| Service |
88,630,253 | |||
| Net asset value, offering and redemption price per share: |
||||
| Institutional |
$10.21 | |||
| Service |
10.18 | |||
| 10 | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS VARIABLE INSURANCE TRUST LARGE CAP VALUE FUND
Statement of Operations
For the Six Months Ended June 30, 2012 (Unaudited)
| Investment income: | ||||
| Dividends (net of foreign taxes withheld of $17,345) |
$ | 13,816,455 | ||
| Expenses: | ||||
| Management fees |
4,839,884 | |||
| Distribution and Service fees — Service Class |
1,119,565 | |||
| Transfer Agent fees(a) |
132,100 | |||
| Printing and mailing costs |
75,866 | |||
| Custody and accounting fees |
62,475 | |||
| Professional fees |
38,477 | |||
| Trustee fees |
9,443 | |||
| Other |
17,924 | |||
| Total expenses | 6,295,734 | |||
| Less — expense reductions |
(110,044 | ) | ||
| Net expenses | 6,185,690 | |||
| NET INVESTMENT INCOME | 7,630,765 | |||
| Realized and unrealized gain: | ||||
| Net realized gain from investments (including commissions recaptured of $299,540) |
59,630,334 | |||
| Net change in unrealized gain on investments |
41,832,940 | |||
| Net realized and unrealized gain | 101,463,274 | |||
| NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS | $ | 109,094,039 | ||
(a) Institutional and Service Shares had Transfer Agent fees of $42,543 and $89,557, respectively.
| The accompanying notes are an integral part of these financial statements. | 11 |
GOLDMAN SACHS VARIABLE INSURANCE TRUST LARGE CAP VALUE FUND
Statements of Changes in Net Assets
| For the Six Months Ended June 30, 2012 (Unaudited) |
For the Fiscal Year Ended December 31, 2011 |
|||||||
| From operations: | ||||||||
| Net investment income |
$ | 7,630,765 | $ | 15,962,647 | ||||
| Net realized gain |
59,630,334 | 16,316,398 | ||||||
| Net change in unrealized gain (loss) |
41,832,940 | (116,886,486 | ) | |||||
| Net increase (decrease) in net assets resulting from operations | 109,094,039 | (84,607,441 | ) | |||||
| Distributions to shareholders: | ||||||||
| From net investment income |
||||||||
| Institutional Shares |
— | (5,580,091 | ) | |||||
| Service Shares |
— | (9,437,060 | ) | |||||
| Total distributions to shareholders | — | (15,017,151 | ) | |||||
| From share transactions: | ||||||||
| Proceeds from sales of shares |
79,652,337 | 406,837,184 | ||||||
| Reinvestment of distributions |
— | 15,017,151 | ||||||
| Cost of shares redeemed |
(150,481,969 | ) | (222,396,415 | ) | ||||
| Net increase (decrease) in net assets resulting from share transactions | (70,829,632 | ) | 199,457,920 | |||||
| TOTAL INCREASE | 38,264,407 | 99,833,328 | ||||||
| Net assets: | ||||||||
| Beginning of period |
1,279,218,992 | 1,179,385,664 | ||||||
| End of period |
$ | 1,317,483,399 | $ | 1,279,218,992 | ||||
| Undistributed net investment income | $ | 10,344,381 | $ | 2,713,616 | ||||
| 12 | The accompanying notes are an integral part of these financial statements. |
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 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
| Year - Share Class | Net asset value, beginning of period |
Net investment income(a) |
Net realized and unrealized gain (loss) |
Total from investment operations |
From net investment income |
From net realized gains |
Total distributions |
Net asset value, end of period |
Total return(b) |
Net assets, end of period (in 000s) |
Ratio of net expenses to average net assets |
Ratio of total expenses to average net assets |
Ratio of net investment income to average net assets |
Portfolio turnover rate | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||
| FOR THE SIX MONTHS ENDED JUNE 30, (UNAUDITED) | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
| 2012 - Institutional |
$ | 9.39 | $ | 0.07 | $ | 0.75 | $ | 0.82 | $ | — | $ | — | $ | — | $ | 10.21 | 8.73 | % | $ | 415,195 | 0.77 | %(c) | 0.78 | %(c) | 1.32 | %(c) | 75 | % | ||||||||||||||||||||||||||||||||||||||||||
| 2012 - Service |
9.38 | 0.05 | 0.75 | 0.80 | — | — | — | 10.18 | 8.53 | 902,289 | 1.02 | (c) | 1.03 | (c) | 1.08 | (c) | 75 | |||||||||||||||||||||||||||||||||||||||||||||||||||||
| FOR THE FISCAL YEARS ENDED DECEMBER 31, | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
| 2011 - Institutional |
10.24 | 0.14 | (d) | (0.86 | ) | (0.72 | ) | (0.13 | ) | — | (0.13 | ) | 9.39 | (7.05 | ) | 421,560 | 0.78 | 0.79 | 1.39 | (d) | 91 | |||||||||||||||||||||||||||||||||||||||||||||||||
| 2011 - Service |
10.23 | 0.12 | (d) | (0.87 | ) | (0.75 | ) | (0.10 | ) | — | (0.10 | ) | 9.38 | (7.27 | ) | 857,659 | 1.03 | 1.04 | 1.23 | (d) | 91 | |||||||||||||||||||||||||||||||||||||||||||||||||
| 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 | (e) | 1.28 | 1.46 | (0.15 | ) | — | (0.15 | ) | 9.28 | 18.32 | 487,962 | 0.81 | 0.81 | 2.18 | (e) | 84 | ||||||||||||||||||||||||||||||||||||||||||||||||||||
| 2009 - Service |
7.98 | 0.16 | (e) | 1.28 | 1.44 | (0.14 | ) | — | (0.14 | ) | 9.28 | 17.87 | 391,053 | 1.06 | 1.06 | 1.92 | (e) | 84 | ||||||||||||||||||||||||||||||||||||||||||||||||||||
| 2008 - Institutional |
12.53 | 0.25 | (4.59 | ) | (4.34 | ) | (0.22 | ) | — | (f) | (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 | ) | — | (f) | (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 |
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 | |||||||||||||||||||||||||||||||||||||||||||||||
| (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 0.19% of average net assets. |
| (e) | Reflects income recognized from non-recurring special dividends which amounted to $0.02 per share and 0.24% of average net assets. |
| (f) | Amount is less than $0.005 per share. |
| The accompanying notes are an integral part of these financial statements. | 13 |
GOLDMAN SACHS VARIABLE INSURANCE TRUST LARGE CAP VALUE FUND
Notes to Financial Statements
June 30, 2012 (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. Shares of the Trust are offered to separate accounts of participating life insurance companies for the purpose of funding variable annuity contracts and variable life insurance policies.
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 financial statements have been prepared in accordance with accounting principles generally accepted in the United States of America (“GAAP”) and require management to make estimates and assumptions that may affect the reported amounts and disclosures. Actual results may differ from those estimates and assumptions.
A. Investment Valuation — The Fund’s valuation policy is to value investments at fair value.
B. Investment Income and Investments — Investment income includes interest income and dividend income, net of any foreign withholding taxes, less any amounts reclaimable. Interest income is accrued daily and adjusted for amortization of premiums and accretion of discounts. Dividend income is recognized on ex-dividend date or, for certain foreign securities, as soon as such information is obtained subsequent to the ex-dividend date. Investment transactions are reflected on trade date. Realized gains and losses are calculated using identified cost. Investment transactions are recorded on the following business day for daily net asset value (“NAV”) calculations. Any foreign capital gains tax is accrued daily based upon net unrealized gains, and is payable upon sale of such investments. Distributions received from the Fund’s investments in United States (“U.S.”) real estate investment trusts (“REITs”) may be characterized as ordinary income, net capital gain or a return of capital. A return of capital is recorded by the Fund as a reduction to the cost of the REIT.
C. Class Allocations and Expenses — Investment income, realized and unrealized gain (loss), and non-class specific expenses of each Fund are allocated daily based upon the proportion of net assets of each class. Class specific expenses, where applicable, are borne by the respective share classes and include Distribution and Service and Transfer Agent fees. Non-class specific expenses directly incurred by a Fund are charged to that Fund, while such expenses incurred by the Trust are allocated across the respective Funds on a straight-line and/or pro-rata basis depending upon the nature of the expenses.
D. 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.
14
GOLDMAN SACHS VARIABLE INSURANCE TRUST LARGE CAP VALUE FUND
3. INVESTMENTS AND FAIR VALUE MEASUREMENTS
The fair value of a financial instrument is the amount that would be received to sell an asset or paid to transfer a liability in an orderly transaction between market participants at the measurement date (i.e., the exit price). GAAP establishes a fair value hierarchy that prioritizes the inputs to valuation techniques used to measure fair value. The hierarchy gives the highest priority to unadjusted quoted prices in active markets for identical assets or liabilities (Level 1 measurements) and the lowest priority to unobservable inputs (Level 3 measurements). The levels used for classifying investments are not necessarily an indication of the risk associated with investing in these investments. The three levels of the fair value hierarchy are described below:
Level 1 — Unadjusted quoted prices in active markets that are accessible at the measurement date for identical, unrestricted assets or liabilities;
Level 2 — Quoted prices in markets that are not active or financial instruments for which significant inputs are observable (including, but not limited to, quoted prices for similar investments, interest rates, foreign exchange rates, volatility and credit spreads), either directly or indirectly;
Level 3 — Prices or valuations that require significant unobservable inputs (including GSAM’s assumptions in determining fair value measurement).
A. Level 1 and Level 2 Fair Value Investments — The valuation techniques and significant inputs used in determining the fair values for investments classified as Level 1 and Level 2 are as follows:
Equity Securities — Equity securities and investment companies traded on a U.S. securities exchange or the NASDAQ system, or those located on certain foreign exchanges including, but not limited to the Americas, are valued daily at their last sale price or official closing price on the principal exchange or system on which they are traded. Investments in investment companies (other than those that are exchange traded) are valued at the NAV on the valuation date. If no sale occurs, equity securities and non-exchange traded investment companies are valued at the last bid price for long positions and at the last ask price for short positions. To the extent these investments are actively traded, they are classified as Level 1 of the fair value hierarchy.
Unlisted equity securities for which market quotations are available are valued at the last sale price on the valuation date, or if no sale occurs, at the last bid price. Securities traded on certain foreign securities exchanges are valued daily at fair value determined by an independent fair value service (if available) under valuation procedures approved by the trustees and consistent with applicable regulatory guidance. The independent fair value service takes into account multiple factors including, but not limited to, movements in the securities markets, certain depositary receipts, futures contracts and foreign currency exchange rates that have occurred subsequent to the close of the foreign securities exchange. Investments applying these valuation adjustments are classified as Level 2 of the fair value hierarchy.
Debt Securities — Debt securities, for which market quotations are readily available, are valued daily on the basis of quotations supplied by dealers or an independent pricing service approved by the trustees. The pricing services may use valuation models or matrix pricing, which consider: (i) yield or price with respect to bonds that are considered comparable in characteristics such as rating, interest rate and maturity date or (ii) quotations from securities dealers to determine current value. Short-term debt obligations that mature in sixty days or less and that do not exhibit signs of credit deterioration are valued at amortized cost, which approximates fair value. With the exception of treasury securities, which are generally classified as Level 1, these investments are generally classified as Level 2 of the fair value hierarchy.
B. Level 3 Fair Value Investments — The valuation techniques and significant inputs used in determining the fair values for investments classified as Level 3 are as follows:
To the extent that the aforementioned significant inputs are unobservable, or if quotations are not readily available, or if GSAM believes that such quotations do not accurately reflect fair value, the fair value of the Fund’s investments may be determined under valuation procedures approved by the trustees. GSAM, consistent with its procedures and applicable regulatory guidance, may make an adjustment to the most recent valuation prices of either domestic or foreign securities in light of significant events to reflect what it believes to be the fair value of the securities at the time of determining a Fund’s NAV. Significant events which could affect a large number of securities in a particular market may include, but are not limited to significant fluctuations in U.S. or
15
GOLDMAN SACHS VARIABLE INSURANCE TRUST LARGE CAP VALUE FUND
Notes to Financial Statements (continued)
June 30, 2012 (Unaudited)
3. INVESTMENTS AND FAIR VALUE MEASUREMENTS (continued)
foreign markets; market dislocations; market disruptions or unscheduled market closings. Significant events, which could also affect a single issuer, may include, but are not limited to corporate actions such as reorganizations, mergers and buy-outs; ratings downgrades; and bankruptcies.
C. Fair Value Hierarchy — The following is a summary of the Fund’s investments classified in the fair value hierarchy as of June 30, 2012:
| Investment Type | Level 1 | Level 2 | Level 3 | |||||||||
| Assets | ||||||||||||
| Common Stock and/or Other Equity Investments | $ | 1,294,007,318 | $ | — | $ | — | ||||||
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, 2012, contractual and effective net management fees with GSAM were at the following rates:
| Contractual Management Rate | ||||||||||||||||||||||||||
| First $1 billion |
Next $1 billion |
Next $3 billion |
Next $3 billion |
Over $8 billion |
Effective Rate |
Effective Net Management Rate |
||||||||||||||||||||
| 0.75% | 0.68 | % | 0.65 | % | 0.64 | % | 0.63 | % | 0.73 | % | 0.72 | %* | ||||||||||||||
| * | GSAM agreed to waive a portion of its management fee in order to achieve the effective net management rate shown above through April 27, 2013. Prior to such date GSAM may not terminate the arrangement without the approval of the trustees. For the six months ended June 30, 2012, GSAM waived approximately $99,400 of its 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 April 27, 2013, and prior to such date GSAM may not terminate the arrangement without the approval of the trustees. For the six months ended June 30, 2012, GSAM did not make any reimbursements to the Fund. In addition, the Fund has entered into certain
16
GOLDMAN SACHS VARIABLE INSURANCE TRUST LARGE CAP VALUE FUND
4. AGREEMENTS AND AFFILIATED TRANSACTIONS (continued)
offset arrangements with the custodian, which may result in a reduction of the Fund’s expenses. For the six months ended June 30, 2012, custody fee credits were approximately $10,600.
As of June 30, 2012, the amounts owed to affiliates were approximately $751,600, $178,700 and $20,900 for management, distribution and service, and transfer agent fees, respectively.
E. Line of Credit Facility — As of June 30, 2012, the Fund participated in a $630,000,000 committed, unsecured revolving line of credit facility (the “facility”) together with other funds of the Trust and registered investment companies having management agreements with GSAM or its affiliates (“Other Borrowers”). Pursuant to the terms of the facility, the Fund and Other Borrowers could increase the credit amount by an additional $340,000,000, for a total of up to $970,000,000. This facility is to be used solely for temporary or emergency purposes. The interest rate on borrowings is based on the federal funds rate. The facility also requires a fee to be paid by the Fund based on the amount of the commitment that has not been utilized. For the six months ended June 30, 2012, the Fund did not have any borrowings under the facility. Prior to May 8, 2012, the amount available through the facility was $580,000,000.
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, 2012, were $979,149,177 and $1,035,031,396, respectively.
6. TAX INFORMATION
As of the Fund’s most recent fiscal year end, December 31, 2011, the Fund’s capital loss carryovers and certain timing differences on a tax-basis were as follows:
| Capital loss carryovers:(1) | ||||
| Expiring 2017 |
$ | (43,690,156 | ) | |
| Timing differences (post October loss deferral and certain REIT dividends) | $ | (35,454,889 | ) |
| (1) | Expiration occurs on December 31 of the year indicated. |
As of June 30, 2012, the Fund’s aggregate security unrealized gains and losses based on cost for U.S. federal income tax purposes were as follows:
| Tax Cost | $ | 1,253,145,911 | ||
| Gross unrealized gain | 94,473,149 | |||
| Gross unrealized loss | (53,611,742 | ) | ||
| Net unrealized security gain | $ | 40,861,407 |
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.
17
GOLDMAN SACHS VARIABLE INSURANCE TRUST LARGE CAP VALUE FUND
Notes to Financial Statements (continued)
June 30, 2012 (Unaudited)
7. OTHER RISKS
The Fund’s risks include, but are not limited to, the following:
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. OTHER MATTERS
New Accounting Pronouncement — In December 2011, Accounting Standards Update 2011-11 (ASU 2011-11), Amendments to Disclosures about Offsetting Assets and Liabilities Requirements in U.S. GAAP and International Financial Reporting Standards, was issued and is effective for interim periods and annual periods beginning on or after January 1, 2013. The amendments are the result of the work by Financial Accounting Standards Board and the International Accounting Standards Board to develop common requirements for disclosing information about offsetting and related arrangements. GSAM is currently evaluating the application of ASU 2011-11 and its impact, if any, on the Fund’s financial statements.
Other — On February 8, 2012, the Commodity Futures Trading Commission (CFTC) adopted amendments to several of its rules relating to commodity pool operators, including Rule 4.5. The Fund currently relies on Rule 4.5’s exclusion from CFTC regulation for regulated investment companies. GSAM is currently evaluating the amendments and their impact, if any, on the Fund’s financial statements.
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.
18
GOLDMAN SACHS VARIABLE INSURANCE TRUST LARGE CAP VALUE FUND
11. SUMMARY OF SHARE TRANSACTIONS
Share activity is as follows:
| For the Six Months Ended June 30, 2012 (Unaudited) |
For the Fiscal Year Ended December 31, 2011 |
|||||||||||||||
| Shares | Dollars | Shares | Dollars | |||||||||||||
| Institutional Shares | ||||||||||||||||
| Shares sold | 1,229,143 | $ | 12,419,011 | 5,453,432 | $ | 52,432,441 | ||||||||||
| Reinvestment of distributions | — | — | 604,560 | 5,580,091 | ||||||||||||
| Shares redeemed | (5,450,075 | ) | (54,875,100 | ) | (10,688,404 | ) | (108,271,184 | ) | ||||||||
| (4,220,932 | ) | (42,456,089 | ) | (4,630,412 | ) | (50,258,652 | ) | |||||||||
| Service Shares | ||||||||||||||||
| Shares sold | 6,669,520 | 67,233,326 | 36,038,573 | 354,404,743 | ||||||||||||
| Reinvestment of distributions | — | — | 1,023,542 | 9,437,060 | ||||||||||||
| Shares redeemed | (9,508,267 | ) | (95,606,869 | ) | (11,307,596 | ) | (114,125,231 | ) | ||||||||
| (2,838,747 | ) | (28,373,543 | ) | 25,754,519 | 249,716,572 | |||||||||||
| NET INCREASE (DECREASE) | (7,059,679 | ) | $ | (70,829,632 | ) | 21,124,107 | $ | 199,457,920 | ||||||||
19
GOLDMAN SACHS VARIABLE INSURANCE TRUST LARGE CAP VALUE FUND
| Fund Expenses — Six Month Period Ended June 30, 2012 (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, 2012 through June 30, 2012.
Actual Expenses — The first line under each share class in the table below provides information about actual account values and actual expenses. You may use the information in this line, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000=8.6), then multiply the result by the number in the first line under the heading entitled “Expenses Paid” to estimate the expenses you paid on your account during this period.
Hypothetical Example for Comparison Purposes — The second line under each share class in the table below provides information about hypothetical account values and hypothetical expenses based on the 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, 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.
| Share Class | Beginning Account Value 1/01/12 |
Ending Account Value 6/30/12 |
Expenses Paid for the 6 Months Ended 6/30/12* |
|||||||||
| Institutional | ||||||||||||
| Actual | $ | 1,000 | $ | 1,087.30 | $ | 4.00 | ||||||
| Hypothetical 5% return | 1,000 | 1,021.03 | + | 3.87 | ||||||||
| Service | ||||||||||||
| Actual | 1,000 | 1,085.30 | 5.29 | |||||||||
| Hypothetical 5% return | 1,000 | 1,019.79 | + | 5.12 | ||||||||
| * | Expenses 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, 2012. Expenses are calculated by multiplying the annualized net expense ratio by the average account value for the period; then multiplying the result by the number of days in the most recent fiscal half year; and then dividing that result by the number of days in the fiscal year. The annualized net expense ratios for the period were 0.77% and 1.02% for the 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. |
20
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, 2013 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 13, 2012 (the “Annual Meeting”).
The review process undertaken by the Trustees spans the course of the year and culminates with the Annual Meeting. To assist the Trustees in their deliberations, the Trustees have established a Contract Review Committee (the “Committee”), comprised of the Independent Trustees. The Committee held three meetings over the course of the year since the Management 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, compliance testing, market risk analysis, finance and strategy and central funding), sales and distribution support groups and others (e.g., information technology and training); |
| (iii) | trends in headcount; |
| (iv) | the Investment Adviser’s financial resources and ability to hire and retain talented personnel and strengthen its operations; and |
| (v) | the parent company’s support of the Investment Adviser and its mutual fund business, as expressed by the firm’s senior management; |
| (b) | information on the investment performance of the Fund, including comparisons to the performance of a group 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 limit 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 trading, distribution and other services; |
21
GOLDMAN SACHS VARIABLE INSURANCE TRUST LARGE CAP VALUE FUND
Statement Regarding Basis for Approval of Management Agreement (Unaudited) (continued)
| (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 and broker oversight, 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 of the Investment Adviser’s portfolio management teams that had occurred in recent periods, and the potential benefit to the Fund of the ongoing recruitment efforts aimed at bringing high quality investment talent to the Investment Adviser. The Independent Trustees concluded that the Investment Adviser continued to commit substantial financial and operational resources to the 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 investment performance of the Fund to its peers using rankings and ratings compiled by the Outside Data Provider as of December 31, 2011, and updated performance information prepared by the Investment Adviser using the peer group identified by the Outside Data Provider as of March 31, 2012. 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.
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.
22
GOLDMAN SACHS VARIABLE INSURANCE TRUST LARGE CAP VALUE FUND
Statement Regarding Basis for Approval of Management Agreement (Unaudited) (continued)
The Independent Trustees noted that the Fund had placed in the bottom quartile of its peer group and had underperformed its benchmark index for the one- and three-year periods ended March 31, 2012. The Independent Trustees noted that the Investment Adviser had taken steps to address the Fund’s underperformance, including the reduction of the number of portfolio managers in order to focus the team’s strategic strengths and to enhance accountability for performance. They indicated that would continue to monitor the Fund’s performance closely.
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 a category universe; an expense analysis which compared the Fund’s overall net and gross expenses to a peer group and a category universe; and a five-year history comparing the Fund’s net expenses to the peer and category medians. The analyses also compared the Fund’s transfer agency, custody, and distribution fees, other expenses and fee waivers/reimbursements to those of other funds in the peer group and the peer group and category medians. The Trustees concluded that the comparisons provided by the Outside Data Provider were useful in evaluating the reasonableness of the management fees and total expenses paid by the Fund.
In addition, the Trustees considered the Investment Adviser’s undertakings to waive a portion of its management fees and limit certain expenses of the Fund that exceed a specified level. The Trustees also noted that certain changes were being made to existing fee waiver or expense limitation arrangements of the Fund that would have the effect of lowering total Fund expenses, with such changes taking effect in connection with the Fund’s next annual registration statement update. They also considered, to the extent that the Investment Adviser manages institutional accounts or collective investment vehicles having investment objectives and policies similar to those of the 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 2011 and 2010, and the Trustees considered this information in relation to the Investment Adviser’s overall profitability. The Trustees considered the Investment Adviser’s revenues and pre-tax profit margins both in absolute terms and in comparison to information on the reported pre-tax profit margins earned by certain other asset management firms.
Economies of Scale
The Trustees considered the information that had been provided regarding the Investment Adviser’s profitability. The Trustees also considered the breakpoints in the fee rate payable under the Management 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 |
23
GOLDMAN SACHS VARIABLE INSURANCE TRUST LARGE CAP VALUE FUND
Statement Regarding Basis for Approval of Management Agreement (Unaudited) (continued)
The Trustees noted that the breakpoints were meant to 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 waive certain fees and limit certain expenses of the Fund that exceed a specified level. 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. They also noted that the Investment Adviser had passed along savings to shareholders of the Fund, which had asset levels above at least the first breakpoint during the prior fiscal year.
Other Benefits to the Investment Adviser and Its Affiliates
The Trustees also considered the other benefits derived by the Investment Adviser and its affiliates from their relationship with the 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 these 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 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 risk management systems and databases), subject to certain restrictions; 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, 2013.
24
| TRUSTEES | OFFICERS | |
| Ashok N. Bakhru, Chairman | James A. McNamara, President | |
| Donald C. Burke | George F. Travers, Principal Financial Officer | |
| John P. Coblentz, Jr. | Caroline L. Kraus, Secretary | |
| Diana M. Daniels | Scott M. McHugh, Treasurer | |
| Joseph P. LoRusso | ||
| 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 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 for the 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 are as of June 30, 2012 and may not be representative of future investments. Fund holdings should not be relied on in making investment decisions and should not be construed as research or investment advice regarding particular securities.
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 Institution 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.
© 2012 Goldman Sachs. All rights reserved.
VITLCVSAR12/79290.MF.MED.TMPL/8/2012
Goldman
Sachs Variable Insurance Trust
Goldman Sachs
Strategic Growth Fund
Semi-Annual Report
June 30, 2012
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.
The Goldman Sachs Strategic Growth Fund invests primarily in 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. Different investment styles (e.g., “growth”) tend to shift in and out of favor, and at times the Fund may underperform other funds that invest in similar asset classes.
1
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 Goldman Sachs Variable Insurance Trust — Goldman Sachs Strategic Growth Fund’s (the “Fund”) performance and positioning for the six-month period ended June 30, 2012 (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 11.43% and 11.26%, respectively. These returns compare to the 10.08% 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. equity markets gained significant ground during the Reporting Period, with relatively strong performance versus many other developed markets reflecting optimism on a U.S. economic recovery and simultaneous concerns over Europe’s persistent sovereign debt crisis. Representing the U.S. equity market, the S&P® 500 Index returned 9.49% for the six months ended June 30, 2012.
During the first calendar quarter, U.S. equity markets rose on evidence that the labor market, manufacturing and retail sales were improving. News that the Federal Reserve Board (the “Fed”) reduced its outlook for near-term economic growth was offset by its commitment to keep interest rates low until at least late 2014. U.S. banks showed the biggest quarterly increase in lending in four years, while losses from loans fell to their lowest level since early 2008. As a result, financials stocks, which had lagged significantly in 2011, rallied sharply. Elsewhere, strong corporate earnings reports boosted a number of large-cap information technology stocks, and the NASDAQ reached a new 11-year high. The Dow Jones Industrial Average closed above 13,000 for the first time since May 2008.
U.S. equity markets then retreated in April and May 2012 amidst questions about the strength of the U.S. economic recovery and increasing uncertainty in Europe. The U.S. labor market, which had been reporting improvements, appeared to lose some momentum in April, as jobless claims increased for several weeks in a row, and deteriorated further in May. In addition, the initial first quarter Gross Domestic Product (“GDP”) estimate of 2.2% was lower than expected and was subsequently revised down to 1.9%. However, housing market data showed some signs of stabilization, and consumer confidence offered mixed signals. Outside of domestic economic concerns, Europe’s troubles as well as disappointing economic reports from faster growing regions of the world renewed fears of a global economic slowdown. Anticipating weaker demand, the benchmark West Texas Intermediate crude oil price slid more than 20% during the second calendar quarter to less than $80 per barrel. Markets rallied on the last day of June on the announcement of some coordinated action by European leaders following summit talks, which boosted U.S. equity market returns for the month of June overall.
For the Reporting Period overall, sector performance was widely dispersed, with no clear trend between economically-sensitive and traditional defensive sectors. Within the S&P® 500 Index, energy was the only sector to generate negative returns, in large part because of the decline in oil prices during the second calendar quarter. Other lagging sectors included utilities, materials, industrials and consumer staples. The financials sector posted amongst the strongest returns during the Reporting Period, despite a downgrade from Moody’s Investors Service of 15 international banks. Other strong sectors within the S&P® 500 Index during the Reporting Period were telecommunication services, information technology and consumer discretionary.
All segments of the U.S. equity market advanced during the Reporting Period, with large-cap stocks, as measured by the Russell 1000® Index, gaining most, followed by small-cap stocks and then mid-cap stocks, as measured by the Russell 2000® Index and Russell Midcap® Index, respectively. From a style perspective, growth-oriented stocks outpaced value-oriented stocks across the capitalization spectrum. (All as measured by the Russell Investments indices.)
What key factors were responsible for the Fund’s performance during the Reporting Period?
Stock selection overall contributed most to the Fund’s performance relative to the Russell Index during the Reporting Period.
2
GOLDMAN SACHS VARIABLE INSURANCE TRUST STRATEGIC GROWTH FUND
Which equity market sectors most significantly affected Fund performance?
Contributing most positively to the Fund’s relative results during the Reporting Period was effective stock selection in the financials, consumer discretionary and telecommunication services sectors. Having an overweighted allocation to the strongly-performing financials sector also boosted the Fund’s results. Only partially offsetting such contributors was stock selection in consumer staples, industrials and materials, which detracted from the Fund’s performance relative to the Russell Index during the Reporting Period.
What were some of the Fund’s best-performing individual stocks?
The Fund benefited relative to the Russell Index from positions in leading data center solutions company Equinix, wireless tower company Crown Castle and hotel operator and franchisor Marriott.
Equinix’s shares rose as its core business remained strong and its pricing up in the three main areas in which the company operates—the U.S., Europe and Asia. Equinix also recently acquired data centers in Frankfurt, Hong Kong, Shanghai and Singapore to further drive growth. The company continued to evaluate the potential of converting to a real estate investment trust (“REIT”), which may provide tax and valuation benefits. In the meantime, it appears the market has begun to recognize that Equinix is trading at a discount to other data center operators that are publicly traded REITs and to appreciate the growth and stability of Equinix’s revenue stream. At the end of the Reporting Period, we maintained conviction in the company’s ability to drive revenue growth, as it benefits from several secular growth drivers, including cloud computing, growth in Internet traffic and enterprise outsourcing, and rising demand for optimized network performance.
A position in Crown Castle also contributed to the Fund’s relative performance. Its shares rose after the company announced strong first quarter results, driven by better than expected revenues and a significant increase in new leases signed during the quarter compared to last year. The company also raised 2012 guidance due in large part to the acquisition of outdoor distributed antennae systems (“DAS”) company NextG Networks. At the end of the Reporting Period, we maintained conviction in the tower companies broadly over the long term, as demand for mobile content continues to grow and wireless carriers are required to add capacity in order to support increased usage, network upgrades and improved coverage.
Shares of Marriott rose during the Reporting Period after the company reported solid first quarter earnings and raised fiscal year 2012 RevPAR (Revenue Per Available Room) guidance. Its results were driven by strength in the company’s North American Marriott Hotels & Resorts business segment. At the end of the Reporting Period, we continued to believe that Marriott was better positioned than competitors given its dominant franchise and strong capital base. In our view, Marriott should continue to gain market share from independent hotel operators as supply growth in the industry should remain low over the next few years.
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 web-based search engine giant Google, leading oil services firm Halliburton and social networking company Facebook.
Google was a top detractor from the Fund’s relative performance during the Reporting Period after the company announced fiscal fourth quarter earnings below consensus expectations due to currency headwinds and a decline in its cost-per-click growth rate. Despite its recent results, we continued to have conviction in Google at the end of the Reporting Period. We believe its future earnings growth will likely be driven by new opportunities in display advertising and applications through Google’s mobile computing platform.
Shares of Halliburton declined during the Reporting Period. The lack of a settlement in the Macondo well suit in which BP is seeking to recover all of the costs resulting from the Gulf of Mexico spill weighed on Halliburton’s stock price during the Reporting Period. Additionally, the company faced pricing pressure in its North American pressure pumping business. Toward the end of the Reporting Period, Halliburton pre-announced slightly weaker earnings than the market anticipated. Halliburton was impacted from guar prices that have soared of late. (Guar is a plant, whose seeds are used as a controlling agent in oil wells to facilitate easy drilling and prevent fluid loss.) At the end of the Reporting Period, we believed downside factors were already discounted into the stock’s price, and the company’s supply chain management and reliability of operations should allow it to withstand recent weakness better than its competition. While the contingent legal liability from the Macondo suit could remain a drag on Halliburton’s stock until a settlement is reached, we continued to believe the company’s risk/reward profile was attractive at valuations seen at the end of the Reporting Period, and the company should continue to be able to generate strong revenue growth and operating margins in North America.
3
GOLDMAN SACHS VARIABLE INSURANCE TRUST STRATEGIC GROWTH FUND
Facebook detracted from the Fund’s relative performance during the Reporting Period, as its shares fell after the company’s rocky initial public offering (“IPO”). Shortly before the IPO, the company increased the share size and price of the deal. It was unclear the impact technical factors might have had on the stock price. In our view, Facebook has achieved tremendous scale in the U.S. and has a large market opportunity given that its networking effect creates stickiness in its user base. Creating stickiness means gaining the attention of a customer base, attracting them to one’s business and then keeping them engaged over the longer term. We believe Facebook is well positioned to benefit from targeted advertising on its platform as a result of the data it has on its users as well as the potential to monetize new ad formats and the social networking ad medium over time. We further believe Facebook has an attractive mobile ad opportunity as it currently does not monetize its mobile platform. The company is in the early stages of development, and with attractive long-term growth opportunities and a strong competitive position, we believe patient investors should be rewarded over time, despite the rocky start the company has had as a public company.
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?
We initiated a Fund position in Honeywell International, a diversified technology and manufacturing company, which manufactures aerospace, building control and automotive products. We believe the company has a strong management team that can execute well on its long-term growth plan and improve efficiency and profitability. In our view, Honeywell International should continue to benefit from growth in air traffic, market share gains in emerging markets, several productivity initiatives, and potential margin expansion in its automation and controls segments. We believe the company is well positioned for growth in its key end market experiencing increasing global demand for sophisticated capital and consumer goods. We also believe Honeywell International’s earnings power has been underappreciated by the market.
During the Reporting Period, we established a Fund position in Diageo, a producer and distributor of a wide collection of branded premium spirits, beer and wine. In our view, Diageo’s leading premium brands, distribution scale and successful track record of innovation should drive long-term growth of the company. Furthermore, we believe the company is well positioned to benefit from purchasing power in emerging markets and increased share gains.
We exited the Fund’s position in electronic and electrical equipment manufacturer Emerson Electric. While we remain attracted to Emerson Electric’s high quality franchise, we believe there is less upside in the stock relative to other opportunities within the industrials sector. Emerson Electric has produced an extremely attractive growth trajectory over the past ten years through market share gains from weaker competitors. In our view, however, the company is facing tougher competition going forward and slower growth from some of its key end markets and emerging market geographies. As a result, we believe the company’s risk/reward profile has become less attractive, and so we decided to eliminate the position.
We sold the Fund’s position in scientific instruments manufacturer Thermo Fisher Scientific during the Reporting Period. In our view, its management’s strategy of spending cash to grow the business through mergers and acquisitions and other measures is not in the best interest of its shareholders. Additionally, approximately 25% of the company’s business is dependent on spending from government and academia, which has pulled back due to budget cuts, and is an area in which the company does not have much flexibility. We decided to exit the Fund’s position in the company’s stock and re-allocate the sales proceeds to opportunities with what we considered to have better risk/reward 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 its sector weights are generally the direct result of individual stock selection or of stock appreciation or depreciation. That said, the Fund’s exposure to energy and industrials increased compared to the Russell Index. The Fund’s allocations compared to the benchmark index in information technology and consumer discretionary decreased.
How was the Fund positioned relative to its benchmark index at the end of the Reporting Period?
At the end of June 2012, the Fund had overweighted positions relative to the Russell Index in the financials and energy sectors. On the same date, the Fund had underweighted positions compared to the Russell Index in industrials and consumer staples and was rather neutrally weighted to the Russell Index in information technology, consumer discretionary, health care, materials and telecommunication services. The Fund had no exposure to the utilities sector at the end of the Reporting Period.
4
GOLDMAN SACHS VARIABLE INSURANCE TRUST STRATEGIC GROWTH FUND
What is the Fund’s tactical view and strategy for the months ahead?
We remain constructive in our view ahead for U.S. equities. At the end of the Reporting Period, we saw valuations as reasonable relative to history and strong corporate balance sheets as providing companies with a number of opportunities to create shareholder value. Economic activity remained muted by historical standards, but several indicators were moving in a positive direction and suggested ongoing U.S. economic growth. For example, initial jobless claims appeared to have stabilized below levels seen in 2011; U.S. housing statistics had improved through the first half of 2012; and retail gas prices moved lower.
We recognize that risks remain, as the financial situation in Europe and slower than expected economic growth in China have potential negative implications for economic growth in the U.S. Domestically, the “fiscal cliff” and the upcoming elections in November have increased uncertainty. (The “fiscal cliff” refers to tax increases and spending cuts totaling approximately $670 billion scheduled to take effect on January 1, 2013.) However, we believe the U.S. economic outlook compares favorably against other developed nations. While the U.S. equity markets over the past two summers have been volatile and often headline- or macro-driven, our bottom-up, fundamental research process requires us to look past short-term events and identify companies where we believe there is an opportunity for long-term growth creation. We remain balanced in the Fund’s portfolio and continue to manage position sizes and initiate new positions in what we believe are well-managed companies that demonstrate competitive advantages and sustainable business models. 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.
5
FUND BASICS
Strategic Growth Fund
as of June 30, 2012
STANDARDIZED TOTAL RETURNS1
| For the period ended 6/30/12 | One Year | Five Years | Ten Years | Since Inception | Inception Date | |||||||||||||
| Institutional | 4.75 | % | 1.03 | % | 4.56 | % | 2.78 | % | 4/30/98 | |||||||||
| Service | 4.50 | 0.80 | N/A | 2.60 | 1/09/06 | |||||||||||||
| 1 | The Standardized 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”). Because Institutional and Service Shares do not involve a sales charge, such a charge is not applied to their Standardized Total Returns. |
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 | % | 0.85 | % | ||||
| Service | 1.06 | 1.10 | ||||||
| 2 | The expense ratios of the Fund, both current (net of applicable fee waivers and/or expense limitations) and before waivers (gross of applicable fee waivers and/or expense limitations) are as set forth above according to the most recent publicly available Prospectus for the Fund and may differ from the expense ratios disclosed in the Financial Highlights in this report. The Fund’s waivers and/or expense limitations will remain in place through at least April 27, 2013, and prior to such date the investment adviser may not terminate the arrangements without the approval of the Fund’s Board of Trustees. If these arrangements are discontinued in the future, the expense ratios may change without shareholder approval. |
TOP TEN HOLDINGS AS OF 06/30/123
| Holding | % of Total Net Assets | Line of Business | ||||
| Apple, Inc. | 8.4% | Technology Hardware & Equipment | ||||
| Google, Inc. Class A | 4.1 | Software & Services | ||||
| QUALCOMM, Inc. | 4.0 | Technology Hardware & Equipment | ||||
| American Tower Corp. (REIT) | 3.7 | Real Estate | ||||
| Microsoft Corp. | 3.3 | Software & Services | ||||
| Schlumberger Ltd. | 3.0 | Energy | ||||
| Amazon.com Ltd. | 3.0 | Retailing | ||||
| Crown Castle International Corp. | 2.9 | Telecommunication Services | ||||
| Costco Wholesale Corp. | 2.9 | Food & Staples Retailing | ||||
| American Express Co. | 2.4 | Diversified Financials | ||||
| 3 | The top 10 holdings may not be representative of the Fund’s future investments. |
6
FUND BASICS
FUND vs. BENCHMARK SECTOR ALLOCATIONS4
As of June 30, 2012
| 4 | The Fund is actively managed and, as such, its composition may differ over time. Consequently, the Fund’s overall sector allocations may differ from percentages contained in the graph above. The graph categorizes investments using Global Industry Classification Standard (“GICS”), however, the sector classifications used by the portfolio management team may differ from GICS. Underlying sector allocations of Exchange Traded Funds held by the Fund are not reflected 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. The graph depicts the Fund’s investments but may not represent the Fund’s market exposure due to the exclusion of certain derivatives, if any, as listed in the Additional Investment Information section of the Schedule of Investments. |
7
GOLDMAN SACHS VARIABLE INSURANCE TRUST STRATEGIC GROWTH FUND
Schedule of Investments
June 30, 2012 (Unaudited)
| Shares | Description | Value | ||||||
|
|
Common Stocks – 98.1% |
| ||||||
| Capital Goods – 4.9% | ||||||||
| 32,953 | Caterpillar, Inc. | $ | 2,798,039 | |||||
| 112,632 | Danaher Corp. | 5,865,875 | ||||||
| 123,573 | Honeywell International, Inc. | 6,900,316 | ||||||
| 49,019 | Rockwell Automation, Inc. | 3,238,195 | ||||||
|
|
|
|||||||
| 18,802,425 | ||||||||
|
|
|
|||||||
| Consumer Durables & Apparel – 3.2% | ||||||||
| 81,890 | NIKE, Inc. Class B | 7,188,304 | ||||||
| 61,495 | PVH Corp. | 4,783,696 | ||||||
|
|
|
|||||||
| 11,972,000 | ||||||||
|
|
|
|||||||
| Consumer Services – 2.7% | ||||||||
| 152,039 | Marriott International, Inc. Class A | 5,959,929 | ||||||
| 25,083 | McDonald’s Corp. | 2,220,598 | ||||||
| 34,549 | Yum! Brands, Inc. | 2,225,646 | ||||||
|
|
|
|||||||
| 10,406,173 | ||||||||
|
|
|
|||||||
| Diversified Financials – 6.8% | ||||||||
| 160,362 | American Express Co. | 9,334,672 | ||||||
| 23,752 | CME Group, Inc. | 6,368,149 | ||||||
| 22,801 | IntercontinentalExchange, Inc.* | 3,100,480 | ||||||
| 93,641 | Northern Trust Corp. | 4,309,359 | ||||||
| 43,511 | T. Rowe Price Group, Inc. | 2,739,452 | ||||||
|
|
|
|||||||
| 25,852,112 | ||||||||
|
|
|
|||||||
| Energy – 5.8% | ||||||||
| 33,330 | Devon Energy Corp. | 1,932,807 | ||||||
| 173,973 | Halliburton Co. | 4,939,093 | ||||||
| 27,263 | National Oilwell Varco, Inc. | 1,756,828 | ||||||
| 22,873 | Occidental Petroleum Corp. | 1,961,817 | ||||||
| 174,955 | Schlumberger Ltd. | 11,356,329 | ||||||
|
|
|
|||||||
| 21,946,874 | ||||||||
|
|
|
|||||||
| Food & Staples Retailing – 2.9% | ||||||||
| 114,536 | Costco Wholesale Corp. | 10,880,920 | ||||||
|
|
|
|||||||
|
|
|
|
|
|
||||
| Food, Beverage & Tobacco – 4.8% | ||||||||
| 61,044 | Diageo PLC ADR | 6,291,805 | ||||||
| 101,856 | PepsiCo, Inc. | 7,197,145 | ||||||
| 56,228 | Philip Morris International, Inc. | 4,906,455 | ||||||
|
|
|
|||||||
| 18,395,405 | ||||||||
|
|
|
|||||||
| Health Care Equipment & Services – 2.1% | ||||||||
| 19,956 | C. R. Bard, Inc. | 2,144,073 | ||||||
| 149,699 | St. Jude Medical, Inc. | 5,974,487 | ||||||
|
|
|
|||||||
| 8,118,560 | ||||||||
|
|
|
|||||||
| Household & Personal Products – 2.1% | ||||||||
| 173,257 | Avon Products, Inc. | 2,808,496 | ||||||
| 85,350 | The Procter & Gamble Co. | 5,227,687 | ||||||
|
|
|
|||||||
| 8,036,183 | ||||||||
|
|
|
|||||||
|
|
Common Stocks – (continued) |
| ||||||
| Materials – 3.3% | ||||||||
| 50,851 | Ecolab, Inc. | $ | 3,484,819 | |||||
| 81,911 | Praxair, Inc. | 8,906,183 | ||||||
|
|
|
|||||||
| 12,391,002 | ||||||||
|
|
|
|||||||
| Media – 2.0% | ||||||||
| 42,368 | Discovery Communications, Inc. Class A* | 2,287,872 | ||||||
| 115,426 | Viacom, Inc. Class B | 5,427,331 | ||||||
|
|
|
|||||||
| 7,715,203 | ||||||||
|
|
|
|||||||
| Pharmaceuticals, Biotechnology & Life Sciences – 9.1% | ||||||||
| 144,060 | Abbott Laboratories | 9,287,548 | ||||||
| 64,800 | Agilent Technologies, Inc. | 2,542,752 | ||||||
| 44,047 | Celgene Corp.* | 2,826,056 | ||||||
| 116,961 | Gilead Sciences, Inc.* | 5,997,760 | ||||||
| 28,770 | Johnson & Johnson | 1,943,701 | ||||||
| 52,255 | Sanofi ADR | 1,974,194 | ||||||
| 37,328 | Shire PLC ADR | 3,224,766 | ||||||
| 108,130 | Teva Pharmaceutical Industries Ltd. ADR | 4,264,647 | ||||||
| 46,278 | Vertex Pharmaceuticals, Inc.* | 2,587,866 | ||||||
|
|
|
|||||||
| 34,649,290 | ||||||||
|
|
|
|||||||
| Real Estate – 5.1% | ||||||||
| 202,167 | American Tower Corp. (REIT) | 14,133,495 | ||||||
| 317,635 | CBRE Group, Inc. Class A* | 5,196,509 | ||||||
|
|
|
|||||||
| 19,330,004 | ||||||||
|
|
|
|||||||
| Retailing – 7.8% | ||||||||
| 49,551 | Amazon.com, Inc.* | 11,314,971 | ||||||
| 29,102 | Family Dollar Stores, Inc. | 1,934,701 | ||||||
| 250,297 | Lowe’s Companies, Inc. | 7,118,447 | ||||||
| 5,025 | Priceline.com, Inc.* | 3,339,213 | ||||||
| 219,370 | Urban Outfitters, Inc.* | 6,052,418 | ||||||
|
|
|
|||||||
| 29,759,750 | ||||||||
|
|
|
|||||||
| Semiconductors & Semiconductor Equipment – 2.2% | ||||||||
| 252,803 | Xilinx, Inc. | 8,486,597 | ||||||
|
|
|
|||||||
|
|
|
|
|
|
||||
| Software & Services – 15.2% | ||||||||
| 43,862 | Equinix, Inc.* | 7,704,360 | ||||||
| 78,557 | Facebook, Inc. Class A* | 2,444,694 | ||||||
| 26,925 | Google, Inc. Class A* | 15,618,385 | ||||||
| 15,667 | Mastercard, Inc. Class A | 6,738,533 | ||||||
| 410,598 | Microsoft Corp. | 12,560,193 | ||||||
| 258,126 | Oracle Corp. | 7,666,342 | ||||||
| 38,223 | Salesforce.com, Inc.* | 5,284,712 | ||||||
|
|
|
|||||||
| 58,017,219 | ||||||||
|
|
|
|||||||
| Technology Hardware & Equipment – 15.2% | ||||||||
| 97,496 | Amphenol Corp. Class A | 5,354,480 | ||||||
| 54,596 | Apple, Inc.* | 31,884,064 | ||||||
| 175,968 | NetApp, Inc.* | 5,599,302 | ||||||
| 271,655 | QUALCOMM, Inc. | 15,125,751 | ||||||
|
|
|
|||||||
| 57,963,597 | ||||||||
|
|
|
|||||||
| 8 | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS VARIABLE INSURANCE TRUST STRATEGIC GROWTH FUND
| Shares | Description | Value | ||||||
|
|
Common Stocks – (continued) |
| ||||||
| Telecommunication Services – 2.9% | ||||||||
| 190,306 | Crown Castle International Corp.* | $ | 11,163,350 | |||||
|
|
|
|||||||
|
|
TOTAL COMMON STOCKS |
|||||||
| (Cost $304,142,436) | $ | 373,886,664 | ||||||
|
|
|
|||||||
|
|
Exchange Traded Fund – 1.0% |
| ||||||
| 61,000 | iShares Russell 1000 Growth Index Fund | |||||||
| (Cost $3,788,507) | $ | 3,857,030 | ||||||
|
|
|
|||||||
|
|
TOTAL INVESTMENTS – 99.1% |
$ | 377,743,694 | |||||
| (Cost $307,930,943) | ||||||||
|
|
|
|||||||
|
|
OTHER ASSETS IN EXCESS OF LIABILITIES – 0.9% |
3,567,326 | ||||||
|
|
|
|||||||
|
|
NET ASSETS – 100.0% |
$ | 381,311,020 | |||||
|
|
|
|||||||
| 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. | |
| Investment Abbreviations: | ||||
| ADR | — | American Depositary Receipt | ||
| REIT | — | Real Estate Investment Trust | ||
|
|
|
| ||
| The accompanying notes are an integral part of these financial statements. | 9 |
GOLDMAN SACHS VARIABLE INSURANCE TRUST STRATEGIC GROWTH FUND
Statement of Assets and Liabilities
June 30, 2012 (Unaudited)
| Assets: | ||||
| Investments, at value (cost $307,930,943) |
$ | 377,743,694 | ||
| Cash |
2,887,432 | |||
| Receivables: |
||||
| Investments sold |
8,715,550 | |||
| Dividends |
330,863 | |||
| Fund shares sold |
98,912 | |||
| Other assets |
1,992 | |||
| Total assets | 389,778,443 | |||
| Liabilities: | ||||
| Payables: |
||||
| Investments purchased |
7,959,200 | |||
| Amounts owed to affiliates |
277,786 | |||
| Fund shares redeemed |
139,721 | |||
| Accrued expenses |
90,716 | |||
| Total liabilities | 8,467,423 | |||
| Net Assets: | ||||
| Paid-in capital |
370,446,765 | |||
| Undistributed net investment income |
847,289 | |||
| Accumulated net realized loss |
(59,795,785 | ) | ||
| Net unrealized gain |
69,812,751 | |||
| NET ASSETS | $ | 381,311,020 | ||
| Net Assets: |
||||
| Institutional |
$ | 105,680,700 | ||
| Service |
275,630,320 | |||
| Total Net Assets |
$ | 381,311,020 | ||
| Shares of beneficial interest outstanding $0.001 par value (unlimited shares authorized): |
||||
| Institutional |
8,148,921 | |||
| Service |
21,305,110 | |||
| Net asset value, offering and redemption price per share: |
||||
| Institutional |
$12.97 | |||
| Service |
12.94 | |||
| 10 | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS VARIABLE INSURANCE TRUST STRATEGIC GROWTH FUND
Statement of Operations
For the Six Months Ended June 30, 2012 (Unaudited)
| Investment income: | ||||
| Dividends |
$ | 2,473,783 | ||
| Expenses: | ||||
| Management fees |
1,424,875 | |||
| Distribution and Service fees — Service Class |
339,556 | |||
| Professional fees |
39,455 | |||
| Transfer Agent fees(a) |
37,993 | |||
| Custody and accounting fees |
26,933 | |||
| Printing and mailing costs |
25,840 | |||
| Trustee fees |
8,284 | |||
| Other |
4,927 | |||
| Total expenses | 1,907,863 | |||
| Less — expense reductions |
(77,726 | ) | ||
| Net expenses | 1,830,137 | |||
| NET INVESTMENT INCOME | 643,646 | |||
| Realized and unrealized gain: | ||||
| Net realized gain from investments (including commissions recaptured of $13,376) |
10,526,853 | |||
| Net change in unrealized gain on investments |
28,341,438 | |||
| Net realized and unrealized gain | 38,868,291 | |||
| NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS | $ | 39,511,937 | ||
(a) Institutional and Service Shares had Transfer Agent fees of $10,831 and $27,162, respectively.
| The accompanying notes are an integral part of these financial statements. | 11 |
GOLDMAN SACHS VARIABLE INSURANCE TRUST STRATEGIC GROWTH FUND
Statements of Changes in Net Assets
| For the Six Months Ended June 30, 2012 (Unaudited) |
For the Fiscal Year Ended December 31, 2011 |
|||||||
| From operations: | ||||||||
| Net investment income |
$ | 643,646 | $ | 1,084,311 | ||||
| Net realized gain |
10,526,853 | 1,716,156 | ||||||
| Net change in unrealized gain (loss) |
28,341,438 | (12,855,759 | ) | |||||
| Net increase (decrease) in net assets resulting from operations | 39,511,937 | (10,055,292 | ) | |||||
| Distributions to shareholders: | ||||||||
| From net investment income |
||||||||
| Institutional Shares |
— | (485,834 | ) | |||||
| Service Shares |
— | (559,643 | ) | |||||
| Total distributions to shareholders | — | (1,045,477 | ) | |||||
| From share transactions: | ||||||||
| Proceeds from sales of shares |
20,491,487 | 51,059,219 | ||||||
| Reinvestment of distributions |
— | 1,045,477 | ||||||
| Cost of shares redeemed |
(26,918,961 | ) | (51,157,583 | ) | ||||
| Net increase (decrease) in net assets resulting from share transactions | (6,427,474 | ) | 947,113 | |||||
| TOTAL INCREASE (DECREASE) | 33,084,463 | (10,153,656 | ) | |||||
| Net assets: | ||||||||
| Beginning of period |
348,226,557 | 358,380,213 | ||||||
| End of period |
$ | 381,311,020 | $ | 348,226,557 | ||||
| Undistributed net investment income | $ | 847,289 | $ | 203,643 | ||||
| 12 | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS VARIABLE INSURANCE TRUST STRATEGIC GROWTH FUND
Financial Highlights
Selected Data for a Share Outstanding Throughout Each Period
| Income (loss) from investment operations |
||||||||||||||||||||||||||||||||||||||||||||||||
| Year - Share Class | Net asset value, beginning of period |
Net investment income (loss)(a) |
Net realized and unrealized gain (loss) |
Total from investment operations |
Distributions from net investment income |
Net asset value, end of period |
Total return(b) |
Net assets, end of period (in 000s) |
Ratio of net expenses to average net assets |
Ratio of total expenses to average net assets |
Ratio of net investment income (loss) to average net assets |
Portfolio turnover rate |
||||||||||||||||||||||||||||||||||||
| FOR THE SIX MONTHS ENDED JUNE 30, (UNAUDITED) | ||||||||||||||||||||||||||||||||||||||||||||||||
| 2012 - Institutional |
$ | 11.64 | $ | 0.03 | $ | 1.30 | $ | 1.33 | $ | — | $ | 12.97 | 11.43 | % | $ | 105,681 | 0.78 | %(c) | 0.82 | %(c) | 0.52 | %(c) | 25 | % | ||||||||||||||||||||||||
| 2012 - Service |
11.63 | 0.02 | 1.29 | 1.31 | — | 12.94 | 11.26 | 275,630 | 1.03 | (c) | 1.07 | (c) | 0.27 | (c) | 25 | |||||||||||||||||||||||||||||||||
| FOR THE FISCAL YEARS ENDED DECEMBER 31, | ||||||||||||||||||||||||||||||||||||||||||||||||
| 2011 - Institutional |
12.01 | 0.06 | (0.37 | ) | (0.31 | ) | (0.06 | ) | 11.64 | (2.62 | ) | 102,018 | 0.83 | 0.85 | 0.47 | 35 | ||||||||||||||||||||||||||||||||
| 2011 - Service |
12.00 | 0.03 | (0.37 | ) | (0.34 | ) | (0.03 | ) | 11.63 | (2.86 | ) | 246,208 | 1.08 | 1.10 | 0.23 | 35 | ||||||||||||||||||||||||||||||||
| 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 | |||||||||||||||||||||||||||||||
| (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. |
| The accompanying notes are an integral part of these financial statements. | 13 |
GOLDMAN SACHS VARIABLE INSURANCE TRUST STRATEGIC GROWTH FUND
Notes to Financial Statements
June 30, 2012 (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. Shares of the Trust are offered to separate accounts of participating life insurance companies for the purpose of funding variable annuity contracts and variable life insurance policies.
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 financial statements have been prepared in accordance with accounting principles generally accepted in the United States of America (“GAAP”) and require management to make estimates and assumptions that may affect the reported amounts and disclosures. Actual results may differ from those estimates and assumptions.
A. Investment Valuation — The Fund’s valuation policy is to value investments at fair value.
B. Investment Income and Investments — Investment income includes interest income and dividend income, net of any foreign withholding taxes, less any amounts reclaimable. Interest income is accrued daily and adjusted for amortization of premiums and accretion of discounts. Dividend income is recognized on ex-dividend date or, for certain foreign securities, as soon as such information is obtained subsequent to the ex-dividend date. Investment transactions are reflected on trade date. Realized gains and losses are calculated using identified cost. Investment transactions are recorded on the following business day for daily net asset value (“NAV”) calculations. Any foreign capital gains tax is accrued daily based upon net unrealized gains, and is payable upon sale of such investments.
C. Class Allocations and Expenses — Investment income, realized and unrealized gain (loss), and non-class specific expenses of each Fund are allocated daily based upon the proportion of net assets of each class. Class specific expenses, where applicable, are borne by the respective share classes and include Distribution and Service and Transfer Agent fees. Non-class specific expenses directly incurred by a Fund are charged to that Fund, while such expenses incurred by the Trust are allocated across the respective Funds on a straight-line and/or pro-rata basis depending upon the nature of the expenses.
D. 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.
14
GOLDMAN SACHS VARIABLE INSURANCE TRUST STRATEGIC GROWTH FUND
3. INVESTMENTS AND FAIR VALUE MEASUREMENTS
The fair value of a financial instrument is the amount that would be received to sell an asset or paid to transfer a liability in an orderly transaction between market participants at the measurement date (i.e., the exit price). GAAP establishes a fair value hierarchy that prioritizes the inputs to valuation techniques used to measure fair value. The hierarchy gives the highest priority to unadjusted quoted prices in active markets for identical assets or liabilities (Level 1 measurements) and the lowest priority to unobservable inputs (Level 3 measurements). The levels used for classifying investments are not necessarily an indication of the risk associated with investing in these investments. The three levels of the fair value hierarchy are described below:
Level 1 — Unadjusted quoted prices in active markets that are accessible at the measurement date for identical, unrestricted assets or liabilities;
Level 2 — Quoted prices in markets that are not active or financial instruments for which significant inputs are observable (including, but not limited to, quoted prices for similar investments, interest rates, foreign exchange rates, volatility and credit spreads), either directly or indirectly;
Level 3 — Prices or valuations that require significant unobservable inputs (including GSAM’s assumptions in determining fair value measurement).
A. Level 1 and Level 2 Fair Value Investments — The valuation techniques and significant inputs used in determining the fair values for investments classified as Level 1 and Level 2 are as follows:
Equity Securities — Equity securities and investment companies traded on a United States (“U.S.”) securities exchange or the NASDAQ system, or those located on certain foreign exchanges including, but not limited to the Americas, are valued daily at their last sale price or official closing price on the principal exchange or system on which they are traded. Investments in investment companies (other than those that are exchange traded) are valued at the NAV on the valuation date. If no sale occurs, equity securities and non-exchange traded investment companies are valued at the last bid price for long positions and at the last ask price for short positions. To the extent these investments are actively traded, they are classified as Level 1 of the fair value hierarchy.
Unlisted equity securities for which market quotations are available are valued at the last sale price on the valuation date, or if no sale occurs, at the last bid price. Securities traded on certain foreign securities exchanges are valued daily at fair value determined by an independent fair value service (if available) under valuation procedures approved by the trustees and consistent with applicable regulatory guidance. The independent fair value service takes into account multiple factors including, but not limited to, movements in the securities markets, certain depositary receipts, futures contracts and foreign currency exchange rates that have occurred subsequent to the close of the foreign securities exchange. Investments applying these valuation adjustments are classified as Level 2 of the fair value hierarchy.
Debt Securities — Debt securities, for which market quotations are readily available, are valued daily on the basis of quotations supplied by dealers or an independent pricing service approved by the trustees. The pricing services may use valuation models or matrix pricing, which consider: (i) yield or price with respect to bonds that are considered comparable in characteristics such as rating, interest rate and maturity date or (ii) quotations from securities dealers to determine current value. Short-term debt obligations that mature in sixty days or less and that do not exhibit signs of credit deterioration are valued at amortized cost, which approximates fair value. With the exception of treasury securities, which are generally classified as Level 1, these investments are generally classified as Level 2 of the fair value hierarchy.
B. Level 3 Fair Value Investments — The valuation techniques and significant inputs used in determining the fair values for investments classified as Level 3 are as follows:
To the extent that the aforementioned significant inputs are unobservable, or if quotations are not readily available, or if GSAM believes that such quotations do not accurately reflect fair value, the fair value of the Fund’s investments may be determined under valuation procedures approved by the trustees. GSAM, consistent with its procedures and applicable regulatory guidance, may make an adjustment to the most recent valuation prices of either domestic or foreign securities in light of significant events to reflect what it believes to be the fair value of the securities at the time of determining a Fund’s NAV. Significant events which could affect a large number of securities in a particular market may include, but are not limited to significant fluctuations in U.S. or
15
GOLDMAN SACHS VARIABLE INSURANCE TRUST STRATEGIC GROWTH FUND
Notes to Financial Statements (continued)
June 30, 2012 (Unaudited)
3. INVESTMENTS AND FAIR VALUE MEASUREMENTS (continued)
foreign markets; market dislocations; market disruptions or unscheduled market closings. Significant events, which could also affect a single issuer, may include, but are not limited to corporate actions such as reorganizations, mergers and buy-outs; ratings downgrades; and bankruptcies.
C. Fair Value Hierarchy — The following is a summary of the Fund’s investments classified in the fair value hierarchy as of June 30, 2012:
| Investment Type | Level 1 | Level 2 | Level 3 | |||||||||
| Assets | ||||||||||||
| Common Stock and/or Other Equity Investments | $ | 377,743,694 | $ | — | $ | — | ||||||
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, 2012, contractual and effective net management fees with GSAM were at the following rates:
| Contractual Management Rate | ||||||||||||||||||||||||||
| First $1 billion |
Next $1 billion |
Next $3 billion |
Next $3 billion |
Over $8 billion |
Effective Rate |
Effective Net Management Rate |
||||||||||||||||||||
| 0.75% | 0.68 | % | 0.65 | % | 0.64 | % | 0.63 | % | 0.75 | % | 0.71 | %* | ||||||||||||||
| * | GSAM agreed to waive a portion of its management fee in order to achieve the effective net management rate shown above through April 27, 2013. Prior to such date GSAM may not terminate the arrangement without the approval of the trustees. For the six months ended June 30, 2012, GSAM waived approximately $76,000 of its 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 April 27, 2013, and prior to such date GSAM may not terminate the arrangement without the approval of the trustees. For the six months ended June 30, 2012, GSAM did not make any reimbursements to the Fund. In addition, the Fund has entered into certain
16
GOLDMAN SACHS VARIABLE INSURANCE TRUST STRATEGIC GROWTH FUND
4. AGREEMENTS AND AFFILIATED TRANSACTIONS (continued)
offset arrangements with the custodian, which may result in a reduction of the Fund’s expenses. For the six months ended June 30, 2012, custody fee credits were approximately $1,700.
As of June 30, 2012, the amounts owed to affiliates were approximately $216,700, $55,000 and $6,100 for management, distribution and service, and transfer agent fees, respectively.
E. Line of Credit Facility — As of June 30, 2012, the Fund participated in a $630,000,000 committed, unsecured revolving line of credit facility (the “facility”) together with other funds of the Trust and registered investment companies having management agreements with GSAM or its affiliates (“Other Borrowers”). Pursuant to the terms of the facility, the Fund and Other Borrowers could increase the credit amount by an additional $340,000,000, for a total of up to $970,000,000. This facility is to be used solely for temporary or emergency purposes. The interest rate on borrowings is based on the federal funds rate. The facility also requires a fee to be paid by the Fund based on the amount of the commitment that has not been utilized. For the six months ended June 30, 2012, the Fund did not have any borrowings under the facility. Prior to May 8, 2012, the amount available through the facility was $580,000,000.
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, 2012, were $95,683,950 and $100,446,271, respectively.
6. TAX INFORMATION
As of the Fund’s most recent fiscal year end, December 31, 2011, the Fund’s capital loss carryovers and certain timing differences, on a tax-basis were as follows:
| Capital loss carryovers:(1) | ||||
| Expiring 2016 |
$ | (23,475,963 | ) | |
| Expiring 2017 |
(43,614,413 | ) | ||
| Total capital loss carryovers | $ | (67,090,376 | ) | |
| Timing differences (Post October loss deferral) | $ | (15,314 | ) |
| (1) | Expiration occurs on December 31 of the year indicated. |
As of June 30, 2012, the Fund’s aggregate security unrealized gains and losses based on cost for U.S. federal income tax purposes were as follows:
| Tax cost | $ | 311,147,891 | ||
| Gross unrealized gain | 80,203,262 | |||
| Gross unrealized loss | (13,607,459 | ) | ||
| Net unrealized security gain | $ | 66,595,803 |
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.
17
GOLDMAN SACHS VARIABLE INSURANCE TRUST STRATEGIC GROWTH FUND
Notes to Financial Statements (continued)
June 30, 2012 (Unaudited)
7. OTHER RISKS
The Fund’s risks include, but are not limited to, the following:
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. OTHER MATTERS
New Accounting Pronouncement — In December 2011, Accounting Standards Update 2011-11 (ASU 2011-11), Amendments to Disclosures about Offsetting Assets and Liabilities Requirements in U.S. GAAP and International Financial Reporting Standards, was issued and is effective for interim periods and annual periods beginning on or after January 1, 2013. The amendments are the result of the work by Financial Accounting Standards Board and the International Accounting Standards Board to develop common requirements for disclosing information about offsetting and related arrangements. GSAM is currently evaluating the application of ASU 2011-11 and its impact, if any, on the Fund’s financial statements.
Other — On February 8, 2012, the Commodity Futures Trading Commission (CFTC) adopted amendments to several of its rules relating to commodity pool operators, including Rule 4.5. The Fund currently relies on Rule 4.5’s exclusion from CFTC regulation for regulated investment companies. GSAM is currently evaluating the amendments and their impact, if any, on the Fund’s financial statements.
18
GOLDMAN SACHS VARIABLE INSURANCE TRUST STRATEGIC GROWTH FUND
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.
11. SUMMARY OF SHARE TRANSACTIONS
Share activity is as follows:
| For the Six Months Ended June 30, 2012 (Unaudited) |
For the Fiscal Year Ended December 31, 2011 |
|||||||||||||||
| Shares | Dollars | Shares | Dollars | |||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Institutional Shares | ||||||||||||||||
| Shares sold | 216,679 | $ | 2,783,240 | 538,621 | $ | 6,419,175 | ||||||||||
| Reinvestment of distributions | — | — | 41,918 | 485,834 | ||||||||||||
| Shares redeemed | (830,763 | ) | (10,747,554 | ) | (1,809,316 | ) | (21,631,128 | ) | ||||||||
| (614,084 | ) | (7,964,314 | ) | (1,228,777 | ) | (14,726,119 | ) | |||||||||
| Service Shares | ||||||||||||||||
| Shares sold | 1,380,977 | 17,708,247 | 3,737,423 | 44,640,044 | ||||||||||||
| Reinvestment of distributions | — | — | 48,328 | 559,643 | ||||||||||||
| Shares redeemed | (1,249,454 | ) | (16,171,407 | ) | (2,477,738 | ) | (29,526,455 | ) | ||||||||
| 131,523 | 1,536,840 | 1,308,013 | 15,673,232 | |||||||||||||
| NET INCREASE (DECREASE) | (482,561 | ) | $ | (6,427,474 | ) | 79,236 | $ | 947,113 | ||||||||
19
GOLDMAN SACHS VARIABLE INSURANCE TRUST STRATEGIC GROWTH FUND
| Fund Expenses — Six Month Period Ended June 30, 2012 (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, 2012 through June 30, 2012.
Actual Expenses — The first line under each share class in the table below provides information about actual account values and actual expenses. You may use the information in this line, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000=8.6), then multiply the result by the number in the first line under the heading entitled “Expenses Paid” to estimate the expenses you paid on your account during this period.
Hypothetical Example for Comparison Purposes — The second line under each share class in the table below provides information about hypothetical account values and hypothetical expenses based on the 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, 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.
| Share Class | Beginning Account Value 1/01/12 |
Ending Account Value 6/30/12 |
Expenses Paid for the 6 Months Ended 6/30/12* |
|||||||||
|
|
|
|
|
|
|
|
||||||
| Institutional | ||||||||||||
| Actual | $ | 1,000 | $ | 1,114.30 | $ | 4.10 | ||||||
| Hypothetical 5% return | 1,000 | 1,020.98 | + | 3.92 | ||||||||
|
|
|
|
|
|
|
|
||||||
| Service | ||||||||||||
| Actual | 1,000 | 1,112.60 | 5.41 | |||||||||
| Hypothetical 5% return | 1,000 | 1,019.74 | + | 5.17 | ||||||||
|
|
|
|
|
|
|
|
||||||
| * | Expenses 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, 2012. Expenses are calculated by multiplying the annualized net expense ratio by the average account value for the period; then multiplying the result by the number of days in the most recent fiscal half year; and then dividing that result by the number of days in the fiscal year. The annualized net expense ratios for the period were 0.78% and 1.03% for the 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. |
20
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, 2013 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 13, 2012 (the “Annual Meeting”).
The review process undertaken by the Trustees spans the course of the year and culminates with the Annual Meeting. To assist the Trustees in their deliberations, the Trustees have established a Contract Review Committee (the “Committee”), comprised of the Independent Trustees. The Committee held three meetings over the course of the year since the Management 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, compliance testing, market risk analysis, finance and strategy and central funding), sales and distribution support groups and others (e.g., information technology and training); |
| (iii) | trends in headcount; |
| (iv) | the Investment Adviser’s financial resources and ability to hire and retain talented personnel and strengthen its operations; and |
| (v) | the parent company’s support of the Investment Adviser and its mutual fund business, as expressed by the firm’s senior management; |
| (b) | information on the investment performance of the Fund, including comparisons to the performance of a group 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 limit 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 trading, distribution and other services; |
21
GOLDMAN SACHS VARIABLE INSURANCE TRUST STRATEGIC GROWTH FUND
Statement Regarding Basis for Approval of Management Agreement (Unaudited) (continued)
| (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 and broker oversight, 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 of the Investment Adviser’s portfolio management teams that had occurred in recent periods, and the potential benefit to the Fund of the ongoing recruitment efforts aimed at bringing high quality investment talent to the Investment Adviser. The Independent Trustees concluded that the Investment Adviser continued to commit substantial financial and operational resources to the 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 investment performance of the Fund to its peers using rankings and ratings compiled by the Outside Data Provider as of December 31, 2011, and updated performance information prepared by the Investment Adviser using the peer group identified by the Outside Data Provider as of March 31, 2012. 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.
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.
22
GOLDMAN SACHS VARIABLE INSURANCE TRUST STRATEGIC GROWTH FUND
Statement Regarding Basis for Approval of Management Agreement (Unaudited) (continued)
The Independent Trustees observed that the Fund placed in the top half of its peer group for the one- and three-year periods, and in the bottom half of its peer group for the five-year period ended March 31, 2012. They noted that the Fund outperformed its benchmark index for the one-year period and underperformed its benchmark index for the three- and five-year periods ended March 31, 2012. The Independent Trustees noted that the Fund demonstrated improved performance in the one-year period ended March 31, 2012.
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 a category universe; an expense analysis which compared the Fund’s overall net and gross expenses to a peer group and a category universe; and a five-year history, comparing the Fund’s net expenses to the peer and category medians. The analyses also compared the Fund’s transfer agency, custody and distribution fees, other expenses and fee waivers/reimbursements to those of other funds in the peer group and the peer group and category medians. The Trustees concluded that the comparisons provided by the Outside Data Provider were useful in evaluating the reasonableness of the management fees and total expenses paid by the Fund.
In addition, the Trustees considered the Investment Adviser’s undertakings to waive a portion of its management fees and limit certain expenses of the Fund that exceed a 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 2011 and 2010, and the Trustees considered this information in relation to the Investment Adviser’s overall profitability. The Trustees considered the Investment Adviser’s revenues and pre-tax profit margins both in absolute terms and in comparison to information on the reported pre-tax profit margins earned by certain other asset management firms.
Economies of Scale
The Trustees considered the information that had been provided regarding the Investment Adviser’s profitability. The Trustees also considered the breakpoints in the fee rate payable under the Management 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 |
23
GOLDMAN SACHS VARIABLE INSURANCE TRUST STRATEGIC GROWTH FUND
Statement Regarding Basis for Approval of Management Agreement (Unaudited) (continued)
The Trustees noted that the breakpoints were meant to 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 waive certain fees and limit certain expenses of the Fund that exceed a specified level. 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 these 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 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 risk management systems and databases), subject to certain restrictions; 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, 2013.
24
| TRUSTEES | OFFICERS | |
| Ashok N. Bakhru, Chairman | James A. McNamara, President | |
| Donald C. Burke | George F. Travers, Principal Financial Officer | |
| John P. Coblentz, Jr. | Caroline L. Kraus, Secretary | |
| Diana M. Daniels | Scott M. McHugh, Treasurer | |
| Joseph P. LoRusso | ||
| 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 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 for the 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 are as of June 30, 2012 and may not be representative of future investments. Fund holdings should not be relied on in making investment decisions and should not be construed as research or investment advice regarding particular securities.
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 Institution 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.
©2012 Goldman Sachs. All rights reserved.
VITGRWSAR12/79378.MF.MED.TMPL/8/2012
Goldman
Sachs Variable Insurance Trust
Goldman Sachs
Mid Cap Value Fund
Semi-Annual Report
June 30, 2012
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. Different investment styles (e.g., “value”) tend to shift in and out of favor, and at times the Fund may underperform other funds that invest in similar asset classes.
1
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 Goldman Sachs Variable Insurance Trust — Goldman Sachs Mid Cap Value Fund’s (the “Fund”) performance and positioning for the six-month period ended June 30, 2012 (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 7.79% and 7.63%, respectively. These returns compare to the 7.78% 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. equity markets gained significant ground during the Reporting Period, with relatively strong performance versus many other developed markets reflecting optimism on a U.S. economic recovery and simultaneous concerns over Europe’s persistent sovereign debt crisis. Representing the U.S. equity market, the S&P® 500 Index returned 9.49% for the six months ended June 30, 2012.
During the first calendar quarter, U.S. equity markets rose on evidence that the labor market, manufacturing and retail sales were improving. News that the Federal Reserve Board (the “Fed”) reduced its outlook for near-term economic growth was offset by its commitment to keep interest rates low until at least late 2014. U.S. banks showed the biggest quarterly increase in lending in four years, while losses from loans fell to their lowest level since early 2008. As a result, financials stocks, which had lagged significantly in 2011, rallied sharply. Elsewhere, strong corporate earnings reports boosted a number of large-cap information technology stocks, and the NASDAQ reached a new 11-year high. The Dow Jones Industrial Average closed above 13,000 for the first time since May 2008.
U.S. equity markets then retreated in April and May 2012 amidst questions about the strength of the U.S. economic recovery and increasing uncertainty in Europe. The U.S. labor market, which had been reporting improvements, appeared to lose some momentum in April, as jobless claims increased for several weeks in a row, and deteriorated further in May. In addition, the initial first quarter Gross Domestic Product (“GDP”) estimate of 2.2% was lower than expected and was subsequently revised down to 1.9%. However, housing market data showed some signs of stabilization, and consumer confidence offered mixed signals. Outside of domestic economic concerns, Europe’s troubles as well as disappointing economic reports from faster growing regions of the world renewed fears of a global economic slowdown. Anticipating weaker demand, the benchmark West Texas Intermediate crude oil price slid more than 20% during the second calendar quarter to less than $80 per barrel. Markets rallied on the last day of June on the announcement of some coordinated action by European leaders following summit talks, which boosted U.S. equity market returns for the month of June overall.
For the Reporting Period overall, sector performance was widely dispersed, with no clear trend between economically-sensitive and traditional defensive sectors. Within the S&P® 500 Index, energy was the only sector to generate negative returns, in large part because of the decline in oil prices during the second calendar quarter. Other lagging sectors included utilities, materials, industrials and consumer staples. The financials sector posted amongst the strongest returns during the Reporting Period, despite a downgrade from Moody’s Investors Service of 15 international banks. Other strong sectors within the S&P® 500 Index during the Reporting Period were telecommunication services, information technology and consumer discretionary.
All segments of the U.S. equity market advanced during the Reporting Period, with large-cap stocks, as measured by the Russell 1000® Index, gaining most, followed by small-cap stocks and then mid-cap stocks, as measured by the Russell 2000® Index and Russell Midcap® Index, respectively. From a style perspective, growth-oriented stocks outpaced value-oriented stocks across the capitalization spectrum. (All as measured by the Russell Investments indices.)
What key factors were responsible for the Fund’s performance during the Reporting Period?
Stock selection overall had the greatest effect on the Fund’s performance relative to the Russell Index during the Reporting Period.
2
GOLDMAN SACHS VARIABLE INSURANCE TRUST MID CAP VALUE FUND
Which equity market sectors most significantly affected Fund performance?
Detracting from the Fund’s relative results most was stock selection in the information technology, energy and consumer staples sectors, where company-specific issues weighed on certain holdings. Such detractors were offset by effective stock selection in the materials, telecommunication services and financials sectors, which helped the Fund’s performance relative to the Russell Index.
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 oilfield services firm Key Energy Services, communications equipment provider Polycom and mattress and pillow manufacturer Tempur-Pedic International.
In April 2012, Key Energy Services reported first calendar quarter earnings that missed profit expectations due to slow growth in U.S. natural gas drilling and increased costs associated with moving from a focus on natural gas to oil. Key Energy Services’ shares fell after the company’s earnings announcement, yet we felt the challenges the company faced could be temporary due to the transitional costs of shifting its business focus. In late May, we added to the Fund’s position in the company when its management indicated an expanded share buyback program. On June 21, 2012, Key Energy Services lowered its second quarter and full year forecasts, citing softer than expected revenue and decelerating growth in the liquid shale markets. The company also noted that declining natural gas prices challenged parts of its business, but it was still confident it would meet its U.S. rig service business estimates. Overall, at the end of the Reporting Period, we believed Key Energy Services could be a major beneficiary of the rapid growth in oil shale drilling occurring in the U.S. The company’s new management had made, in our view, the right decisions in exiting pressure pumping close to its peak last year, increasing value added capacity and services and aligning itself with what we consider to be the best operators in the industry. We believe margins and return on capital employed (“ROCE”) could expand rapidly, leading to strong earnings growth. Key Energy Services also has the potential, we believe, to be a take-out target as major oil service companies become increasingly interested in building capabilities in oil well completion services.
Polycom underperformed after pre-announcing that both revenue and earnings would miss expectations, primarily driven by shortfalls in the Asia-Pacific region and North America. However, despite these near-term execution headwinds, we remained, at the end of the Reporting Period, positive on the company’s secular growth over the long term. We believe expectations for the company have been reset and that Polycom should be able to report strong earnings in the future, driven by product ramp execution and leverage to its new unified communications platform, Microsoft Lync.
Shares of Tempur-Pedic International fell as the company lowered its full year guidance for revenue growth. Also, its management indicated the company is facing increased competition, particularly from specialty mattress shops. While we continued, at the end of the Reporting Period, to believe there is significant opportunity for gross profit margin expansion, we exited the Fund’s position, as our thesis may take longer to play out than originally anticipated.
What were some of the Fund’s best-performing individual stocks?
The Fund benefited most relative to the Russell Index from positions in specialty media company Scripps Networks Interactive, reinsurance company Everest Re Group and wine and spirits producer Constellation Brands.
Shares of Scripps Networks Interactive rose on strong earnings and revenues that exceeded analysts’ expectations, driven by higher than expected affiliate fee growth and accelerated subscriber growth. In our view, the company should continue to benefit from an undervalued runway of affiliate fee growth, which it receives for its networks, and from several underappreciated value-enhancing capital deployment opportunities due to its strong balance sheet. At the end of the Reporting Period, we also continued to favor the stock because of its strong ties to an advertising recovery, as cable television has been taking incremental share of advertising dollars both from broadcasters given shifts in viewership and from newsprint.
Everest Re Group, a provider of property and casualty reinsurance services, reported positive earnings early in the Reporting Period due to lower incurred losses from a year-earlier period. In addition, as a result of fewer natural disasters, the insurance sector broadly saw improved performance during the Reporting Period. Everest Re Group remains one of the longest-standing reinsurance companies and, in our view, has a proven and disciplined track record. The company’s seasoned and established management team has generated a relatively steady return on equity (“ROE”) in a usually volatile business, and we remain confident in the company’s ability to perform well relative to its peers going forward.
Constellation Brands lowered guidance in early April 2012 due to higher than expected spending on advertising and new brand launches, causing the stock to sell off and creating what we felt was an attractive entry point for the Fund. Despite the market’s reaction, we were encouraged by the company reinvesting in its core business, and we thought the incremental positives were not appreciated by the market. In addition to a $1 billion buyback over the next two years, we believe the market was
3
GOLDMAN SACHS VARIABLE INSURANCE TRUST MID CAP VALUE FUND
under-appreciating the volume acceleration that should occur as a result of the advertising. Also, we feel the wine and spirits market is strong currently, which should allow Constellation Brands to increase prices and maintain margins going forward. In late June, as Anheuser-Busch InBev purchased the remaining shares of Grupo Modelo, Constellation made its own side deal with Anheuser-Busch InBev to purchase the rest of its joint venture with Grupo Modelo. With the deal, Constellation greatly decreased its funding costs and acquired a business it knows well for a very attractive price. Indeed, the deal drove Constellation Brands’ shares notably higher. At the end of the Reporting Period, we believe Constellation Brands remained one of the most attractive stocks in the consumer staples sector with a near to mid term perspective.
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?
During the Reporting Period, we initiated a Fund position in Ameriprise Financial, a diversified financial services company primarily engaged in financial planning, asset management, annuities and insurance. In our view, Ameriprise Financial offers an attractive business mix with steadily improving ROE and an increased ability to return capital to shareholders through a combination of dividends and share repurchases. Over the past several years, its management has shown improvement in its ability to make effective acquisitions, and we believe it will continue to improve profitability and gain market share within the industry. Finally, given the improving quality and scope of the company’s asset management and brokerage business, we felt the stock was trading at a discounted valuation relative to its peers.
We established a Fund position in global semiconductor company Altera. In our view, Altera is an industry share gainer with attractive margins and incremental return potential. We believe we are at the bottom of an inventory cycle, and with the expected return of telecommunications spending during the second half of 2012, Altera’s business should reaccelerate. As the programmable logic device (“PLD”) industry continues to aggressively transition to more advanced nodes, we believe Altera should be able to increase market share as its solutions become increasingly more power and price competitive.
We sold the Fund’s position in Xilinx, a designer, developer and marketer of programmable platforms. While we believe the industry dynamics are favorable for PLD companies in general, we felt that Xilinx was trading at a relatively expensive valuation compared to its peers. Also, due to incremental market share shifts away from Xilinx, we saw higher upside with Altera in this industry.
We eliminated the Fund’s position in Bunge, a global agribusiness and food company. Bunge has what we consider to be a strong management team and a good international growth profile, and its stock rose significantly during the first calendar quarter. Indeed, it was one of the Fund’s top contributors within the consumer staples sector during the first quarter of 2012. However, with increasing macroeconomic uncertainty and the fact that Bunge generates nearly a third of its business in Europe, we felt the risk/reward tradeoff was more attractive in other names.
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 its 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 and financials increased compared to the Russell Index. The Fund’s allocation compared to the benchmark index in industrials decreased. The Fund’s position in cash also decreased during the Reporting Period.
How was the Fund positioned relative to its benchmark index at the end of the Reporting Period?
At the end of June 2012, the Fund had overweighted positions relative to the Russell Index in the consumer discretionary and information technology sectors. On the same date, the Fund had underweighted positions compared to the Russell Index in industrials and energy and was rather neutrally weighted to the Russell Index in consumer staples, financials, health care, materials, telecommunications services and utilities.
What is the Fund’s tactical view and strategy for the months ahead?
We remain constructive in our view ahead for U.S. equities. At the end of the Reporting Period, we saw valuations as reasonable relative to history and strong corporate balance sheets as providing companies with a number of opportunities to create shareholder value. Economic activity remained muted by historical standards, but several indicators were moving in a positive direction and
4
GOLDMAN SACHS VARIABLE INSURANCE TRUST MID CAP VALUE FUND
suggested ongoing U.S. economic growth. For example, initial jobless claims appeared to have stabilized below levels seen in 2011; U.S. housing statistics had improved through the first half of 2012; and retail gas prices moved lower.
We recognize that risks remain, as the financial situation in Europe and slower than expected economic growth in China have potential negative implications for economic growth in the U.S. Domestically, the “fiscal cliff” and the upcoming elections in November have increased uncertainty. (The “fiscal cliff” refers to tax increases and spending cuts totaling approximately $670 billion scheduled to take effect on January 1, 2013.) However, we believe the U.S. economic outlook compares favorably against other developed nations. While the U.S. equity markets over the past two summers have been volatile and often headline- or macro-driven, our bottom-up, fundamental research process requires us to look past short-term events and select companies where we see the ability for long-term value creation. We remain ready to add to or initiate new positions in well-managed companies that demonstrate competitive advantages and sustainable business models. 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.
5
FUND BASICS
Mid Cap Value Fund
as of June 30, 2012
STANDARDIZED TOTAL RETURNS1
| For the period ended 06/30/12 | One Year | Five Years | Ten Years | Since Inception | Inception Date | |||||||||||||
| Institutional | -4.87 | % | -0.15 | % | 7.52 | % | 7.45 | % | 5/01/98 | |||||||||
| Service | -5.10 | -0.38 | N/A | 3.08 | 1/09/06 | |||||||||||||
| 1 | The Standardized 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”). Because Institutional and Service Shares do not involve a sales charge, such a charge is not applied to their Standardized Total Returns. |
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 | 0.83 | % | 0.86 | % | ||||
| Service | 1.08 | 1.11 | ||||||
| 2 | The expense ratios of the Fund, both current (net of any fee waivers and/or expense limitations) and before waivers (gross of any fee waivers and/or expense limitations) are as set forth above according to the most recent publicly available Prospectus for the Fund and may differ from the expense ratios disclosed in the Financial Highlights of this report. The Fund’s waivers and/or expense limitations will remain in place through at least April 27, 2013, and prior to such date the investment adviser may not terminate the arrangements without the approval of the Fund’s Board of Trustees. If these arrangements are discontinued in the future, the expense ratios may change without shareholder approval. |
TOP TEN HOLDINGS AS OF 06/30/123
| Holding | % of Total Net Assets | Line of Business | ||||
| Everest Re Group Ltd. | 1.9% | Insurance | ||||
| Principal Financial Group, Inc. | 1.8 | Insurance | ||||
| Xcel Energy, Inc. | 1.7 | Utilities | ||||
| SLM Corp. | 1.6 | Diversified Financials | ||||
| Sempra Energy | 1.6 | Utilities | ||||
| PPL Corp. | 1.6 | Utilities | ||||
| The J.M. Smucker Co. | 1.6 | Food, Beverage & Tobacco | ||||
| Host Hotels & Resorts, Inc. | 1.5 | Real Estate Investment Trust | ||||
| AvalonBay Communities, Inc. | 1.5 | Real Estate Investment Trust | ||||
| Invesco Ltd. | 1.5 | Diversified Financials | ||||
| 3 | The top 10 holdings may not be representative of the Fund’s future investments. |
6
FUND BASICS
FUND vs. BENCHMARK SECTOR ALLOCATIONS4
As of June 30, 2012
| 4 | The Fund is actively managed and, as such, its composition may differ over time. Consequently, the Fund’s overall sector allocations may differ from the percentages contained in the graph above. The graph categorizes investments using Global Industry Classification Standard (“GICS”), however, the sector classifications used by the portfolio management team may differ from GICS. The percentage shown for each investment category reflects the value of investments in that category as a percentage of market value. The graph depicts the Fund’s investments but may not represent the Fund’s market exposure due to the exclusion of certain derivatives, if any, as listed in the Additional Investment Information section of the Schedule of Investments. |
7
GOLDMAN SACHS VARIABLE INSURANCE TRUST MID CAP VALUE FUND
Schedule of Investments
June 30, 2012 (Unaudited)
| Shares | Description | Value | ||||||
|
|
Common Stocks – 99.5% |
| ||||||
| Automobiles & Components – 0.9% | ||||||||
| 80,130 | Lear Corp. | $ | 3,023,305 | |||||
| 111,794 | TRW Automotive Holdings Corp.* | 4,109,547 | ||||||
|
|
|
|||||||
| 7,132,852 | ||||||||
|
|
|
|||||||
| Banks – 4.1% | ||||||||
| 137,159 | CIT Group, Inc.* | 4,888,347 | ||||||
| 153,191 | First Republic Bank* | 5,147,217 | ||||||
| 128,637 | M&T Bank Corp. | 10,621,557 | ||||||
| 462,638 | SunTrust Banks, Inc. | 11,209,719 | ||||||
|
|
|
|||||||
| 31,866,840 | ||||||||
|
|
|
|||||||
| Capital Goods – 7.8% | ||||||||
| 136,868 | BE Aerospace, Inc.* | 5,975,657 | ||||||
| 181,369 | Dover Corp. | 9,723,192 | ||||||
| 71,584 | Fortune Brands Home & Security, Inc.* | 1,594,176 | ||||||
| 80,223 | Gardner Denver, Inc. | 4,244,599 | ||||||
| 185,598 | Lennox International, Inc. | 8,654,435 | ||||||
| 184,990 | Pentair, Inc. | 7,081,417 | ||||||
| 7,792 | Regal-Beloit Corp. | 485,130 | ||||||
| 121,856 | Rockwell Automation, Inc. | 8,049,807 | ||||||
| 280,200 | Spirit Aerosystems Holdings, Inc. Class A* | 6,677,166 | ||||||
| 338,135 | Textron, Inc. | 8,409,417 | ||||||
|
|
|
|||||||
| 60,894,996 | ||||||||
|
|
|
|||||||
| Commercial & Professional Services – 0.6% | ||||||||
| 187,607 | Republic Services, Inc. | 4,964,081 | ||||||
|
|
|
|||||||
| Consumer Durables & Apparel – 1.4% | ||||||||
| 6,152 | NVR, Inc.* | 5,229,200 | ||||||
| 73,265 | PVH Corp. | 5,699,284 | ||||||
|
|
|
|||||||
| 10,928,484 | ||||||||
|
|
|
|||||||
| Consumer Services – 1.4% | ||||||||
| 662,188 | MGM Resorts International* | 7,390,018 | ||||||
| 69,044 | Starwood Hotels & Resorts Worldwide, Inc. | 3,662,094 | ||||||
|
|
|
|||||||
| 11,052,112 | ||||||||
|
|
|
|||||||
| Diversified Financials – 6.9% | ||||||||
| 211,740 | Ameriprise Financial, Inc. | 11,065,532 | ||||||
| 168,487 | Discover Financial Services | 5,826,281 | ||||||
| 511,596 | Invesco Ltd. | 11,562,070 | ||||||
| 124,418 | Lazard Ltd. Class A | 3,233,624 | ||||||
| 800,592 | SLM Corp. | 12,577,300 | ||||||
| 404,681 | The NASDAQ OMX Group, Inc. | 9,174,118 | ||||||
|
|
|
|||||||
| 53,438,925 | ||||||||
|
|
|
|||||||
| Energy – 7.4% | ||||||||
| 191,438 | Cabot Oil & Gas Corp. | 7,542,657 | ||||||
| 169,418 | Cameron International Corp.* | 7,235,843 | ||||||
| 144,777 | Energen Corp. | 6,533,786 | ||||||
| 144,262 | EQT Corp. | 7,736,771 | ||||||
| 118,813 | HollyFrontier Corp. | 4,209,545 | ||||||
| 309,882 | Key Energy Services, Inc.* | 2,355,103 | ||||||
|
|
|
|||||||
| Shares | Description | Value | ||||||
|
|
Common Stocks – (continued) |
| ||||||
| Energy – (continued) | ||||||||
| 167,064 | Marathon Petroleum Corp. | $ | 7,504,515 | |||||
| 82,369 | Pioneer Natural Resources Co. | 7,265,769 | ||||||
| 113,332 | Range Resources Corp. | 7,011,851 | ||||||
|
|
|
|||||||
| 57,395,840 | ||||||||
|
|
|
|||||||
| Food, Beverage & Tobacco – 5.1% | ||||||||
| 280,539 | Coca-Cola Enterprises, Inc. | 7,866,314 | ||||||
| 319,511 | Constellation Brands, Inc. Class A* | 8,645,968 | ||||||
| 107,226 | Ingredion, Inc. | 5,309,831 | ||||||
| 44,152 | Lorillard, Inc. | 5,825,856 | ||||||
| 160,186 | The J.M. Smucker Co. | 12,097,247 | ||||||
|
|
|
|||||||
| 39,745,216 | ||||||||
|
|
|
|||||||
| Health Care Equipment & Services – 3.6% | ||||||||
| 265,810 | Aetna, Inc. | 10,305,454 | ||||||
| 1,750,869 | Boston Scientific Corp.* | 9,927,427 | ||||||
| 425,614 | Hologic, Inc.* | 7,678,077 | ||||||
|
|
|
|||||||
| 27,910,958 | ||||||||
|
|
|
|||||||
| Household & Personal Products – 0.4% | ||||||||
| 57,801 | Church & Dwight Co., Inc. | 3,206,222 | ||||||
|
|
|
|||||||
| Insurance – 9.0% | ||||||||
| 139,927 | Everest Re Group Ltd. | 14,481,045 | ||||||
| 290,031 | Hartford Financial Services Group, Inc. | 5,113,247 | ||||||
| 104,131 | PartnerRe Ltd. | 7,879,593 | ||||||
| 527,015 | Principal Financial Group, Inc. | 13,823,603 | ||||||
| 279,678 | W.R. Berkley Corp. | 10,885,068 | ||||||
| 225,711 | Willis Group Holdings PLC | 8,236,194 | ||||||
| 439,851 | XL Group PLC | 9,254,465 | ||||||
|
|
|
|||||||
| 69,673,215 | ||||||||
|
|
|
|||||||
| Materials – 5.6% | ||||||||
| 187,013 | Albemarle Corp. | 11,153,455 | ||||||
| 130,162 | Ball Corp. | 5,343,150 | ||||||
| 74,643 | Carpenter Technology Corp. | 3,570,921 | ||||||
| 120,957 | Crown Holdings, Inc.* | 4,171,807 | ||||||
| 123,549 | Cytec Industries, Inc. | 7,244,914 | ||||||
| 49,140 | Martin Marietta Materials, Inc. | 3,873,215 | ||||||
| 158,132 | Reliance Steel & Aluminum Co. | 7,985,666 | ||||||
|
|
|
|||||||
| 43,343,128 | ||||||||
|
|
|
|||||||
| Media – 1.3% | ||||||||
| 178,657 | Scripps Networks Interactive, Inc. Class A | 10,158,437 | ||||||
|
|
|
|||||||
| Pharmaceuticals, Biotechnology & Life Sciences – 3.8% | ||||||||
| 235,868 | Life Technologies Corp.* | 10,611,701 | ||||||
| 428,456 | Mylan, Inc.* | 9,156,105 | ||||||
| 541,542 | Warner Chilcott PLC Class A* | 9,704,433 | ||||||
|
|
|
|||||||
| 29,472,239 | ||||||||
|
|
|
|||||||
| Real Estate Investment Trust – 11.0% | ||||||||
| 140,436 | Alexandria Real Estate Equities, Inc. | 10,212,506 | ||||||
| 81,756 | AvalonBay Communities, Inc. | 11,566,839 | ||||||
| 83,778 | Camden Property Trust | 5,669,257 | ||||||
|
|
|
|||||||
| 8 | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS VARIABLE INSURANCE TRUST MID CAP VALUE FUND
| Shares | Description | Value | ||||||
|
|
Common Stocks – (continued) |
| ||||||
| Real Estate Investment Trust – (continued) | ||||||||
| 240,608 | Douglas Emmett, Inc. | $ | 5,558,045 | |||||
| 746,622 | Host Hotels & Resorts, Inc. | 11,811,560 | ||||||
| 442,131 | Kimco Realty Corp. | 8,413,753 | ||||||
| 262,557 | Liberty Property Trust | 9,672,600 | ||||||
| 987,908 | MFA Financial, Inc. | 7,794,594 | ||||||
| 226,923 | Tanger Factory Outlet Centers, Inc. | 7,272,882 | ||||||
| 124,262 | Ventas, Inc. | 7,843,417 | ||||||
|
|
|
|||||||
| 85,815,453 | ||||||||
|
|
|
|||||||
| Retailing – 4.9% | ||||||||
| 14,242 | AutoZone, Inc.* | 5,229,235 | ||||||
| 550,149 | Liberty Interactive Corp. Class A* | 9,787,151 | ||||||
| 291,614 | Macy’s, Inc. | 10,016,941 | ||||||
| 83,407 | PetSmart, Inc. | 5,686,689 | ||||||
| 68,694 | Ross Stores, Inc. | 4,291,314 | ||||||
| 115,114 | Urban Outfitters, Inc.* | 3,175,995 | ||||||
|
|
|
|||||||
| 38,187,325 | ||||||||
|
|
|
|||||||
| Semiconductors & Semiconductor Equipment – 4.2% | ||||||||
| 300,215 | Altera Corp. | 10,159,276 | ||||||
| 151,679 | Analog Devices, Inc. | 5,713,748 | ||||||
| 138,898 | Cavium, Inc.* | 3,889,144 | ||||||
| 93,866 | KLA-Tencor Corp. | 4,622,900 | ||||||
| 228,410 | Lam Research Corp.* | 8,620,193 | ||||||
|
|
|
|||||||
| 33,005,261 | ||||||||
|
|
|
|||||||
| Software & Services – 3.8% | ||||||||
| 123,599 | Adobe Systems, Inc.* | 4,000,900 | ||||||
| 71,487 | Check Point Software Technologies Ltd.* | 3,545,040 | ||||||
| 222,771 | Fidelity National Information Services, Inc. | 7,592,036 | ||||||
| 338,215 | Parametric Technology Corp.* | 7,088,986 | ||||||
| 130,946 | Paychex, Inc. | 4,113,014 | ||||||
| 145,780 | QLIK Technologies, Inc.* | 3,224,654 | ||||||
|
|
|
|||||||
| 29,564,630 | ||||||||
|
|
|
|||||||
| Technology Hardware & Equipment – 3.4% | ||||||||
| 100,679 | Amphenol Corp. Class A | 5,529,291 | ||||||
| 446,611 | Juniper Networks, Inc.* | 7,284,225 | ||||||
| 187,613 | NetApp, Inc.* | 5,969,846 | ||||||
| 384,782 | Polycom, Inc.* | 4,047,907 | ||||||
| 104,303 | SanDisk Corp.* | 3,804,973 | ||||||
|
|
|
|||||||
| 26,636,242 | ||||||||
|
|
|
|||||||
| Telecommunication Services – 0.8% | ||||||||
| 1,908,686 | Sprint Nextel Corp.* | 6,222,316 | ||||||
|
|
|
|||||||
| Utilities – 12.1% | ||||||||
| 267,121 | Calpine Corp.* | 4,410,168 | ||||||
| 130,509 | CMS Energy Corp. | 3,066,962 | ||||||
| 190,542 | Edison International | 8,803,040 | ||||||
| 142,305 | Great Plains Energy, Inc. | 3,046,750 | ||||||
| 170,100 | Northeast Utilities | 6,601,581 | ||||||
| 400,425 | NV Energy, Inc. | 7,039,472 | ||||||
| 37,018 | OGE Energy Corp. | 1,917,162 | ||||||
|
|
|
|||||||
| Shares | Description | Value | ||||||
|
|
Common Stocks – (continued) |
| ||||||
| Utilities – (continued) | ||||||||
| 119,541 | Pinnacle West Capital Corp. | $ | 6,185,051 | |||||
| 439,661 | PPL Corp. | 12,226,972 | ||||||
| 131,913 | Questar Corp. | 2,751,705 | ||||||
| 219,303 | SCANA Corp. | 10,491,456 | ||||||
| 179,013 | Sempra Energy | 12,330,415 | ||||||
| 156,479 | The AES Corp.* | 2,007,626 | ||||||
| 477,081 | Xcel Energy, Inc. | 13,553,871 | ||||||
|
|
|
|||||||
| 94,432,231 | ||||||||
|
|
|
|||||||
|
|
TOTAL INVESTMENTS – 99.5% |
| ||||||
| (Cost $723,539,577) | $ | 775,047,003 | ||||||
|
|
|
|||||||
| |
OTHER ASSETS IN EXCESS OF |
4,203,542 | ||||||
|
|
|
|||||||
|
|
NET ASSETS – 100.0% |
$ | 779,250,545 | |||||
|
|
|
|||||||
| 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. | |
| The accompanying notes are an integral part of these financial statements. | 9 |
GOLDMAN SACHS VARIABLE INSURANCE TRUST MID CAP VALUE FUND
Statement of Assets and Liabilities
June 30, 2012 (Unaudited)
| Assets: | ||||
| Investments, at value (cost $723,539,577) |
$ | 775,047,003 | ||
| Cash |
4,367,620 | |||
| Receivables: |
||||
| Investments sold |
6,367,522 | |||
| Dividends |
1,434,030 | |||
| Fund shares sold |
592,385 | |||
| Other assets |
3,937 | |||
| Total assets | 787,812,497 | |||
| Liabilities: | ||||
| Payables: |
||||
| Investments purchased |
7,251,492 | |||
| Fund shares redeemed |
636,524 | |||
| Amounts owed to affiliates |
529,122 | |||
| Accrued expenses |
144,814 | |||
| Total liabilities | 8,561,952 | |||
| Net Assets: | ||||
| Paid-in capital |
840,978,514 | |||
| Undistributed net investment income |
6,806,160 | |||
| Accumulated net realized loss |
(120,041,555 | ) | ||
| Net unrealized gain |
51,507,426 | |||
| NET ASSETS | $ | 779,250,545 | ||
| Net Assets: |
||||
| Institutional |
$ | 595,428,114 | ||
| Service |
183,822,431 | |||
| Total Net Assets |
$ | 779,250,545 | ||
| Shares of beneficial interest outstanding $0.001 par value (unlimited shares authorized): |
||||
| Institutional |
42,198,874 | |||
| Service |
13,025,687 | |||
| Net asset value, offering and redemption price per share: |
||||
| Institutional |
$14.11 | |||
| Service |
14.11 | |||
| 10 | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS VARIABLE INSURANCE TRUST MID CAP VALUE FUND
Statement of Operations
For the Six Months Ended June 30, 2012 (Unaudited)
| Investment income: | ||||
| Dividends (net of foreign taxes withheld of $366) |
$ | 6,969,285 | ||
| Expenses: | ||||
| Management fees |
3,188,616 | |||
| Distribution and Service fees — Service Class |
220,166 | |||
| Transfer Agent fees(a) |
79,709 | |||
| Printing and mailing costs |
71,216 | |||
| Custody and accounting fees |
42,897 | |||
| Professional fees |
36,593 | |||
| Trustee fees |
8,595 | |||
| Other |
13,438 | |||
| Total expenses | 3,661,230 | |||
| Less — expense reductions |
(126,171 | ) | ||
| Net expenses | 3,535,059 | |||
| NET INVESTMENT INCOME | 3,434,226 | |||
| Realized and unrealized gain: | ||||
| Net realized gain from investments (including commissions recaptured of $113,587) |
28,034,577 | |||
| Net change in unrealized gain on investments |
27,837,620 | |||
| Net realized and unrealized gain | 55,872,197 | |||
| NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS | $ | 59,306,423 | ||
(a) Institutional and Service Shares had Transfer Agent fees of $62,097 and $17,612, respectively.
| The accompanying notes are an integral part of these financial statements. | 11 |
GOLDMAN SACHS VARIABLE INSURANCE TRUST MID CAP VALUE FUND
Statements of Changes in Net Assets
| For the Six Months Ended June 30, 2012 (Unaudited) |
For the Fiscal Year Ended December 31, 2011 |
|||||||
| From operations: | ||||||||
| Net investment income |
$ | 3,434,226 | $ | 6,667,015 | ||||
| Net realized gain |
28,034,577 | 80,337,958 | ||||||
| Net change in unrealized gain (loss) |
27,837,620 | (139,903,556 | ) | |||||
| Net increase (decrease) in net assets resulting from operations | 59,306,423 | (52,898,583 | ) | |||||
| Distributions to shareholders: | ||||||||
| From net investment income |
||||||||
| Institutional Shares |
— | (5,031,254 | ) | |||||
| Service Shares |
— | (935,469 | ) | |||||
| Total distributions to shareholders | — | (5,966,723 | ) | |||||
| From share transactions: | ||||||||
| Proceeds from sales of shares |
32,470,460 | 87,019,443 | ||||||
| Reinvestment of distributions |
— | 5,966,723 | ||||||
| Cost of shares redeemed |
(76,962,090 | ) | (185,869,286 | ) | ||||
| Net decrease in net assets resulting from share transactions | (44,491,630 | ) | (92,883,120 | ) | ||||
| TOTAL INCREASE (DECREASE) | 14,814,793 | (151,748,426 | ) | |||||
| Net assets: | ||||||||
| Beginning of period |
764,435,752 | 916,184,178 | ||||||
| End of period |
$ | 779,250,545 | $ | 764,435,752 | ||||
| Undistributed net investment income | $ | 6,806,160 | $ | 3,371,934 | ||||
| 12 | The accompanying notes are an integral part of these financial statements. |
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 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||
| Year - Share Class | Net asset value, beginning of period |
Net investment income(a) |
Net realized and unrealized gain (loss) |
Total from investment operations |
From net investment income |
From net realized gains |
Total distributions |
Net asset value, end of period |
Total return(b) |
Net assets, end of period (in 000s) |
Ratio of net expenses to average net assets |
Ratio of total expenses to average net assets |
Ratio of net investment income to average net assets |
Portfolio turnover rate |
||||||||||||||||||||||||||||||||||||||||||
| FOR THE SIX MONTHS ENDED JUNE 30, (UNAUDITED) | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||
| 2012 - Institutional |
$ | 13.09 | $ | 0.06 | $ | 0.96 | $ | 1.02 | $ | — | $ | — | $ | — | $ | 14.11 | 7.79 | % | $ | 595,428 | 0.83 | %(c) | 0.86 | %(c) | 0.91 | %(c) | 48 | % | ||||||||||||||||||||||||||||
| 2012 - Service |
13.11 | 0.05 | 0.95 | 1.00 | — | — | — | 14.11 | 7.63 | 183,822 | 1.08 | (c) | 1.11 | (c) | 0.69 | (c) | 48 | |||||||||||||||||||||||||||||||||||||||
| FOR THE FISCAL YEARS ENDED DECEMBER 31, | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||
| 2011 - Institutional |
14.10 | 0.11 | (1.01 | ) | (0.90 | ) | (0.11 | ) | — | (0.11 | ) | 13.09 | (6.38 | ) | 604,797 | 0.85 | 0.86 | 0.81 | 75 | |||||||||||||||||||||||||||||||||||||
| 2011 - Service |
14.12 | 0.08 | (1.01 | ) | (0.93 | ) | (0.08 | ) | — | (0.08 | ) | 13.11 | (6.59 | ) | 159,638 | 1.10 | 1.11 | 0.61 | 75 | |||||||||||||||||||||||||||||||||||||
| 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 | |||||||||||||||||||||||||||||||||||
| (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. |
| The accompanying notes are an integral part of these financial statements. | 13 |
GOLDMAN SACHS VARIABLE INSURANCE TRUST MID CAP VALUE FUND
Notes to Financial Statements
June 30, 2012 (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. Shares of the Trust are offered to separate accounts of participating life insurance companies for the purpose of funding variable annuity contracts and variable life insurance policies.
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 financial statements have been prepared in accordance with accounting principles generally accepted in the United States of America (“GAAP”) and require management to make estimates and assumptions that may affect the reported amounts and disclosures. Actual results may differ from those estimates and assumptions.
A. Investment Valuation — The Fund’s valuation policy is to value investments at fair value.
B. Investment Income and Investments — Investment income includes interest income and dividend income, net of any foreign withholding taxes, less any amounts reclaimable. Interest income is accrued daily and adjusted for amortization of premiums and accretion of discounts. Dividend income is recognized on ex-dividend date or, for certain foreign securities, as soon as such information is obtained subsequent to the ex-dividend date. Investment transactions are reflected on trade date. Realized gains and losses are calculated using identified cost. Investment transactions are recorded on the following business day for daily net asset value (“NAV”) calculations. Any foreign capital gains tax is accrued daily based upon net unrealized gains, and is payable upon sale of such investments. Distributions received from the Fund’s investments in United States (“U.S.”) real estate investment trusts (“REITs”) may be characterized as ordinary income, net capital gain or a return of capital. A return of capital is recorded by the Fund as a reduction to the cost of the REIT.
C. Class Allocations and Expenses — Investment income, realized and unrealized gain (loss), and non-class specific expenses of each Fund are allocated daily based upon the proportion of net assets of each class. Class specific expenses, where applicable, are borne by the respective share classes and include Distribution and Service and Transfer Agent fees. Non-class specific expenses directly incurred by a Fund are charged to that Fund, while such expenses incurred by the Trust are allocated across the respective Funds on a straight-line and/or pro-rata basis depending upon the nature of the expenses.
D. 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.
14
GOLDMAN SACHS VARIABLE INSURANCE TRUST MID CAP VALUE FUND
3. INVESTMENTS AND FAIR VALUE MEASUREMENTS
The fair value of a financial instrument is the amount that would be received to sell an asset or paid to transfer a liability in an orderly transaction between market participants at the measurement date (i.e., the exit price). GAAP establishes a fair value hierarchy that prioritizes the inputs to valuation techniques used to measure fair value. The hierarchy gives the highest priority to unadjusted quoted prices in active markets for identical assets or liabilities (Level 1 measurements) and the lowest priority to unobservable inputs (Level 3 measurements). The levels used for classifying investments are not necessarily an indication of the risk associated with investing in these investments. The three levels of the fair value hierarchy are described below:
Level 1 — Unadjusted quoted prices in active markets that are accessible at the measurement date for identical, unrestricted assets or liabilities;
Level 2 — Quoted prices in markets that are not active or financial instruments for which significant inputs are observable (including, but not limited to, quoted prices for similar investments, interest rates, foreign exchange rates, volatility and credit spreads), either directly or indirectly;
Level 3 — Prices or valuations that require significant unobservable inputs (including GSAM’s assumptions in determining fair value measurement).
A. Level 1 and Level 2 Fair Value Investments — The valuation techniques and significant inputs used in determining the fair values for investments classified as Level 1 and Level 2 are as follows:
Equity Securities — Equity securities and investment companies traded on a U.S. securities exchange or the NASDAQ system, or those located on certain foreign exchanges including, but not limited to the Americas, are valued daily at their last sale price or official closing price on the principal exchange or system on which they are traded. Investments in investment companies (other than those that are exchange traded) are valued at the NAV on the valuation date. If no sale occurs, equity securities and non-exchange traded investment companies are valued at the last bid price for long positions and at the last ask price for short positions. To the extent these investments are actively traded, they are classified as Level 1 of the fair value hierarchy.
Unlisted equity securities for which market quotations are available are valued at the last sale price on the valuation date, or if no sale occurs, at the last bid price. Securities traded on certain foreign securities exchanges are valued daily at fair value determined by an independent fair value service (if available) under valuation procedures approved by the trustees and consistent with applicable regulatory guidance. The independent fair value service takes into account multiple factors including, but not limited to, movements in the securities markets, certain depositary receipts, futures contracts and foreign currency exchange rates that have occurred subsequent to the close of the foreign securities exchange. Investments applying these valuation adjustments are classified as Level 2 of the fair value hierarchy.
Debt Securities — Debt securities, for which market quotations are readily available, are valued daily on the basis of quotations supplied by dealers or an independent pricing service approved by the trustees. The pricing services may use valuation models or matrix pricing, which consider: (i) yield or price with respect to bonds that are considered comparable in characteristics such as rating, interest rate and maturity date or (ii) quotations from securities dealers to determine current value. Short-term debt obligations that mature in sixty days or less and that do not exhibit signs of credit deterioration are valued at amortized cost, which approximates fair value. With the exception of treasury securities, which are generally classified as Level 1, these investments are generally classified as Level 2 of the fair value hierarchy.
B. Level 3 Fair Value Investments — The valuation techniques and significant inputs used in determining the fair values for investments classified as Level 3 are as follows:
To the extent that the aforementioned significant inputs are unobservable, or if quotations are not readily available, or if GSAM believes that such quotations do not accurately reflect fair value, the fair value of the Fund’s investments may be determined under valuation procedures approved by the trustees. GSAM, consistent with its procedures and applicable regulatory guidance, may make an adjustment to the most recent valuation prices of either domestic or foreign securities in light of significant events to reflect what it believes to be the fair value of the securities at the time of determining a Fund’s NAV. Significant events which could affect a large number of securities in a particular market may include, but are not limited to significant fluctuations in U.S. or
15
GOLDMAN SACHS VARIABLE INSURANCE TRUST MID CAP VALUE FUND
Notes to Financial Statements (continued)
June 30, 2012 (Unaudited)
3. INVESTMENTS AND FAIR VALUE MEASUREMENTS (continued)
foreign markets; market dislocations; market disruptions or unscheduled market closings. Significant events, which could also affect a single issuer, may include, but are not limited to corporate actions such as reorganizations, mergers and buy-outs; ratings downgrades; and bankruptcies.
C. Fair Value Hierarchy — The following is a summary of the Fund’s investments classified in the fair value hierarchy as of June 30, 2012:
| Investment Type | Level 1 | Level 2 | Level 3 | |||||||||
| Assets | ||||||||||||
| Common Stock and/or Other Equity Investments |
$ | 775,047,003 | $ | — | $ | — | ||||||
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, 2012, contractual and effective net management fees with GSAM were at the following rates:
| Contractual Management Rate | ||||||||||||||||||||||
| First $2 billion |
Next $3 billion |
Next $3 billion |
Over $8 billion |
Effective Rate |
Effective Net Management Rate |
|||||||||||||||||
| 0.80% | 0.72 | % | 0.68 | % | 0.67 | % | 0.80 | % | 0.77 | %* | ||||||||||||
| * | GSAM agreed to waive a portion of its management fee in order to achieve the effective net management rate shown above through April 27, 2013. Prior to such date GSAM may not terminate the arrangement without the approval of the trustees. For the six months ended June 30, 2012, GSAM waived approximately $119,600 of its 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 through April 27, 2013, and prior to such date GSAM may not terminate the arrangement without the approval of the trustees. For the six months ended June 30, 2012, GSAM did not make any reimbursements to the Fund. In addition, the Fund has entered into certain offset arrangements with the custodian, which may result in a reduction of the Fund’s expenses. For the six months ended June 30, 2012, custody fee credits were approximately $6,600.
16
GOLDMAN SACHS VARIABLE INSURANCE TRUST MID CAP VALUE FUND
4. AGREEMENTS AND AFFILIATED TRANSACTIONS (continued)
As of June 30, 2012, the amounts owed to affiliates were approximately $480,400, $36,300 and $12,400 for management, distribution and service, and transfer agent fees, respectively.
E. Line of Credit Facility — As of June 30, 2012, the Fund participated in a $630,000,000 committed, unsecured revolving line of credit facility (the “facility”) together with other funds of the Trust and registered investment companies having management agreements with GSAM or its affiliates (“Other Borrowers”). Pursuant to the terms of the facility, the Fund and Other Borrowers could increase the credit amount by an additional $340,000,000, for a total of up to $970,000,000. This facility is to be used solely for temporary or emergency purposes. The interest rate on borrowings is based on the federal funds rate. The facility also requires a fee to be paid by the Fund based on the amount of the commitment that has not been utilized. For the six months ended June 30, 2012, the Fund did not have any borrowings under the facility. Prior to May 8, 2012, the amount available through the facility was $580,000,000.
F. Other Transactions with Affiliates — For the six months ended June 30, 2012, Goldman Sachs earned approximately $26,900 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, 2012, were $379,295,733 and $396,420,338, respectively.
6. TAX INFORMATION
As of the Fund’s most recent fiscal year end, December 31, 2011, the Fund’s capital loss carryovers and certain timing differences, on a tax-basis were as follows:
| Capital loss carryovers:(1) | ||||
| Expiring 2017 |
$ | (129,955,252 | ) | |
| Timing differences (post October loss deferral and certain REIT dividends) | $ | (12,963,708 | ) |
| (1) | Expiration occurs on December 31 of the year indicated. |
As of June 30, 2012, the Fund’s aggregate security unrealized gains and losses based on cost for U.S. federal income tax purposes were as follows:
| Tax cost | $ | 728,516,368 | ||
| Gross unrealized gain | 80,458,262 | |||
| Gross unrealized loss | (33,927,627 | ) | ||
| Net unrealized security gain | $ | 46,530,635 |
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.
17
GOLDMAN SACHS VARIABLE INSURANCE TRUST MID CAP VALUE FUND
Notes to Financial Statements (continued)
June 30, 2012 (Unaudited)
7. OTHER RISKS
The Fund’s risks include, but are not limited to, the following:
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. OTHER MATTERS
New Accounting Pronouncement — In December 2011, Accounting Standards Update 2011-11 (ASU 2011-11), Amendments to Disclosures about Offsetting Assets and Liabilities Requirements in U.S. GAAP and International Financial Reporting Standards, was issued and is effective for interim periods and annual periods beginning on or after January 1, 2013. The amendments are the result of the work by Financial Accounting Standards Board and the International Accounting Standards Board to develop common requirements for disclosing information about offsetting and related arrangements. GSAM is currently evaluating the application of ASU 2011-11 and its impact, if any, on the Fund’s financial statements.
Other — On February 8, 2012, the Commodity Futures Trading Commission (CFTC) adopted amendments to several of its rules relating to commodity pool operators, including Rule 4.5. The Fund currently relies on Rule 4.5’s exclusion from CFTC regulation for regulated investment companies. GSAM is currently evaluating the amendments and their impact, if any, on the Fund’s financial statements.
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.
18
GOLDMAN SACHS VARIABLE INSURANCE TRUST MID CAP VALUE FUND
11. SUMMARY OF SHARE TRANSACTIONS
Share activity is as follows:
| For the Six Months Ended June 30, 2012 (Unaudited) |
For the Fiscal Year Ended December 31, 2011 |
|||||||||||||||
| Shares | Dollars | Shares | Dollars | |||||||||||||
| Institutional Shares | ||||||||||||||||
| Shares sold | 681,010 | $ | 9,651,331 | 2,829,878 | $ | 39,771,062 | ||||||||||
| Reinvestment of distributions | — | — | 390,625 | 5,031,254 | ||||||||||||
| Shares redeemed | (4,674,352 | ) | (66,121,869 | ) | (11,606,383 | ) | (162,091,250 | ) | ||||||||
| (3,993,342 | ) | (56,470,538 | ) | (8,385,880 | ) | (117,288,934 | ) | |||||||||
| Service Shares | ||||||||||||||||
| Shares sold | 1,615,304 | 22,819,129 | 3,411,041 | 47,248,381 | ||||||||||||
| Reinvestment of distributions | — | — | 72,573 | 935,469 | ||||||||||||
| Shares redeemed | (765,670 | ) | (10,840,221 | ) | (1,691,746 | ) | (23,778,036 | ) | ||||||||
| 849,634 | 11,978,908 | 1,791,868 | 24,405,814 | |||||||||||||
| NET DECREASE | (3,143,708 | ) | $ | (44,491,630 | ) | (6,594,012 | ) | $ | (92,883,120 | ) | ||||||
19
GOLDMAN SACHS VARIABLE INSURANCE TRUST MID CAP VALUE FUND
| Fund Expenses — Six Month Period Ended June 30, 2012 (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 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, 2012 through June 30, 2012.
Actual Expenses — The first line under each share class in the table below provides information about actual account values and actual expenses. You may use the information in this line, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000=8.6), then multiply the result by the number in the first line under the heading entitled “Expenses Paid” to estimate the expenses you paid on your account during this period.
Hypothetical Example for Comparison Purposes — The second line under each share class in the table below provides information about hypothetical account values and hypothetical expenses based on the 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, 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.
| Share Class | Beginning Account Value 1/01/12 |
Ending Account Value 6/30/12 |
Expenses Paid for the 6 Months Ended 6/30/12* |
|||||||||
| Institutional | ||||||||||||
| Actual | $ | 1,000 | $ | 1,077.90 | $ | 4.29 | ||||||
| Hypothetical 5% return | 1,000 | 1,020.74 | + | 4.17 | ||||||||
| Service | ||||||||||||
| Actual | 1,000 | 1,076.30 | 5.58 | |||||||||
| Hypothetical 5% return | 1,000 | 1,019.49 | + | 5.42 | ||||||||
| * | Expenses 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, 2012. Expenses are calculated by multiplying the annualized net expense ratio by the average account value for the period; then multiplying the result by the number of days in the most recent fiscal half year; and then dividing that result by the number of days in the fiscal year. The annualized net expense ratios for the period were 0.83% and 1.08% 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. |
20
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, 2013 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 13, 2012 (the “Annual Meeting”).
The review process undertaken by the Trustees spans the course of the year and culminates with the Annual Meeting. To assist the Trustees in their deliberations, the Trustees have established a Contract Review Committee (the “Committee”), comprised of the Independent Trustees. The Committee held three meetings over the course of the year since the Management 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, compliance testing, market risk analysis, finance and strategy and central funding), sales and distribution support groups and others (e.g., information technology and training); |
| (iii) | trends in headcount; |
| (iv) | the Investment Adviser’s financial resources and ability to hire and retain talented personnel and strengthen its operations; and |
| (v) | the parent company’s support of the Investment Adviser and its mutual fund business, as expressed by the firm’s senior management; |
| (b) | information on the investment performance of the Fund, including comparisons to the performance of a group 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 limit 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 trading, distribution and other services; |
| (j) | a summary of potential benefits derived by the Fund as a result of its relationship with the Investment Adviser; |
21
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 and broker oversight, 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 of the Investment Adviser’s portfolio management teams that had occurred in recent periods, and the potential benefit to the Fund of the ongoing recruitment efforts aimed at bringing high quality investment talent to the Investment Adviser. The Independent Trustees concluded that the Investment Adviser continued to commit substantial financial and operational resources to the 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 investment performance of the Fund to its peers using rankings and ratings compiled by the Outside Data Provider as of December 31, 2011, and updated performance information prepared by the Investment Adviser using the peer group identified by the Outside Data Provider as of March 31, 2012. 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.
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 placed in the top half of its peer group for the five-year period, and in the bottom half of its peer group for the one- and three-year periods ended March 31, 2012. The Fund also outperformed its benchmark
22
GOLDMAN SACHS VARIABLE INSURANCE TRUST MID CAP VALUE FUND
Statement Regarding Basis for Approval of Management Agreement (Unaudited) (continued)
index for the five-year period, and underperformed its benchmark index for each of the one- and three-year periods ended March 31, 2012. The Independent Trustees noted that the Investment Adviser had taken steps to address the Fund’s underperformance, including the reduction of the number of portfolio managers in order to focus the team’s strategic strengths and to enhance accountability for performance. They indicated that would continue to monitor the Fund’s performance closely.
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 a category universe; an expense analysis which compared the Fund’s overall net and gross expenses to a peer group and a category universe; and a five-year history, comparing the Fund’s net expenses to the peer and category medians. The analyses also compared the Fund’s transfer agency, custody and distribution fees, other expenses and fee waivers/reimbursements to those of other funds in the peer group and the peer group and category medians. The Trustees concluded that the comparisons provided by the Outside Data Provider were useful in evaluating the reasonableness of the management fees and total expenses paid by the Fund.
In addition, the Trustees considered the Investment Adviser’s undertakings to waive a portion of its management fees and limit certain expenses of the Fund that exceed a 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 2011 and 2010, and the Trustees considered this information in relation to the Investment Adviser’s overall profitability. The Trustees considered the Investment Adviser’s revenues and pre-tax profit margins both in absolute terms and in comparison to information on the reported pre-tax profit margins earned by certain other asset management firms.
Economies of Scale
The Trustees considered the information that had been provided regarding the Investment Adviser’s profitability. The Trustees also considered the breakpoints in the fee rate payable under the Management 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 were meant to 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
23
GOLDMAN SACHS VARIABLE INSURANCE TRUST MID CAP VALUE FUND
Statement Regarding Basis for Approval of Management Agreement (Unaudited) (continued)
by the Investment Adviser with fee rates charged to other funds in the peer group; and the Investment Adviser’s undertakings to waive certain fees and limit certain expenses of the Fund that exceed a specified level. 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 these 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 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 risk management systems and databases), subject to certain restrictions; 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, 2013.
24
| TRUSTEES | OFFICERS | |
| Ashok N. Bakhru, Chairman | James A. McNamara, President | |
| Donald C. Burke | George F. Travers, Principal Financial Officer | |
| John P. Coblentz, Jr. | Caroline L. Kraus, Secretary | |
| Diana M. Daniels | Scott M. McHugh, Treasurer | |
| Joseph P. LoRusso | ||
| 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 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 for the 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 are as of June 30, 2012 and may not be representative of future investments. Fund holdings should not be relied on in making investment decisions and should not be construed as research or investment advice regarding particular securities.
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 Institution 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.
© 2012 Goldman Sachs. All rights reserved.
VITMCVSAR12/79281.MF.MED.TMPL/8/2012
Goldman
Sachs Variable Insurance Trust
Goldman Sachs
Strategic International Equity Fund
Semi-Annual Report
June 30, 2012
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.
1
GOLDMAN SACHS VARIABLE INSURANCE TRUST STRATEGIC INTERNATIONAL EQUITY FUND
INVESTMENT OBJECTIVE
The Fund seeks long-term growth of capital.
Portfolio Management Discussion and Analysis
Below, the Goldman Sachs International Equity Portfolio Management Team discusses the Goldman Sachs Variable Insurance Trust —Goldman Sachs Strategic International Equity Fund’s (the “Fund”) performance and positioning for the six-month period ended June 30, 2012 (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 7.64% and 7.34%, respectively. These returns compare to the 2.96% 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?
International equities, as measured by the MSCI EAFE Index, gained 2.96% in U.S. dollar terms during the Reporting Period. Solid gains from early in the Reporting Period were virtually erased in April and May as global equity markets reflected increased angst over the fate of the Eurozone and slowing global economic data. However, a strong rally in late June boosted returns back into positive territory.
Early in the Reporting Period, financials stocks rebounded sharply from lagging performance in 2011, as central banks in Europe, Japan and the U.S. took action. Despite widespread downgrades of European sovereign debt by Standard & Poor’s, markets reflected improved sentiment that a financial crisis could be averted through liquidity provided by the European Central Bank’s longer-term refinancing operation and the proposal of a fiscal compact for the European Monetary Union (“EMU”). Japanese equities rose as the yen weakened significantly early in the Reporting Period following the Bank of Japan’s surprise monetary policy easing in the form of increased asset purchases. The U.S. Federal Reserve Board (the “Fed”) committed to keeping interest rates low until at least late 2014.
By April, optimism on Europe had given way to uncertainty and fear of an EMU break-up, a sentiment that would last into June. The changing political landscape unnerved markets. The French did not re-elect their president, who had worked closely with Germany’s chancellor since the start of the sovereign debt crisis, and elected a socialist. The Dutch coalition government broke up. In addition, deepening concerns over the health of Spanish banks and Greece’s potential exit from the EMU weighed heavily on European equity markets, the euro and the financials sector, particularly large European banks. Despite further easing from the Bank of Japan, the yen continued to rise and pressured Japanese equities. Further, economic data from the U.S. began to lose some momentum and called into question the U.S. recovery and the state of the global economy. The gloomy mood prevailed into June as Spain’s banking system required a bailout and Moody’s Investors Service downgraded 15 international banks. However, markets rallied on the last day of June on the announcement of some coordinated action by European leaders following summit talks.
Anticipating weaker global demand, the benchmark Brent crude oil price slid from a high of about $125 per barrel during the Reporting Period to less than $100 per barrel by the end of June. Both the energy and materials sectors were impacted by the expected slower global economic growth. From a regional perspective, Asia ex-Japan performed best during the Reporting Period, largely driven by particularly strong returns in the Hong Kong and Singapore markets.
What key factors were responsible for the Fund’s performance during the Reporting Period?
The Fund’s outperformance of 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 Finnish winter tire manufacturer Nokian Renkaat, U.K. auto insurance company Admiral Group and Belgium-based biopharmaceutical manufacturing company UCB.
2
GOLDMAN SACHS VARIABLE INSURANCE TRUST STRATEGIC INTERNATIONAL EQUITY FUND
Nokian Renkaat performed particularly well during the Reporting Period after the company announced strong results with better than expected guidance for 2012. Russian car sales were strong during the Reporting Period, which proved to be a good leading indicator for Nokian Renkaat tire demand.
After severe underperformance toward the end of 2011, Admiral Group’s share price performed well during the Reporting Period. Concerns over large bodily injury claims, which had negatively impacted the stock in the fourth quarter of 2011, seem to have eased. Admiral Group’s share price was also positively affected by the announcement that it is extending its existing U.K. car reinsurance arrangements, which affirms that the reinsurers perceive the recent issues within the company as temporary. The company also reported a consensus-beating full year pre-tax profit during the Reporting Period.
The Fund’s position in UCB performed well as the company’s share price gradually increased during the first quarter of 2012. While there were no specific company news items that drove its share price up during the Reporting Period, we believe the share price increase showed that investors have started to look at the growth prospects of UCB. In our view, 2013 should be the trough year for the company, and the company should subsequently see sustainable double-digit growth driven by an attractive product pipeline.
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 German-based global investment bank Deutsche Bank, Brazilian retailer Magazine Luisa and German steel producer ThyssenKrupp.
A new purchase for the Fund during the Reporting Period, Deutsche Bank’s share price was negatively affected during the Reporting Period by the continuing uncertainty and volatility surrounding the broader European financials sector. In addition, the company reported a lower than expected first calendar quarter headline pre-tax profit, mainly weighed upon by litigation charges and impairment charges. That said, we added to the Fund’s position in Deutsche Bank as the Reporting Period progressed, as we sought to take advantage of the weakness in its share price. We believe over the longer term Deutsche Bank should benefit from a recovery in investment banking activities if markets stabilize and investor confidence return as anticipated.
Shares of Magazine Luiza, one of the largest household appliance retail chains in Brazil, declined during the Reporting Period due to weak first quarter 2012 results, primarily reflecting non-recurring costs related to newly acquired stores, Lojas Maia and Lojas do Bau. Also, despite the good default behavior of its customers, there was an increase in provisions of LuizaCred, the group’s financial arm, required by its partner Banco Itau, as a conservative measure. Our investment thesis in Magazine Luiza lies on continued strong top-line growth driven by low sector penetration, higher affordability on the back of employment and income growth, and market share gains. Most importantly, at the end of the Reporting Period, we continued to expect a significant acceleration of earnings growth on the back of margin improvement. In our view, the margin expansion will result from the phase-out of non-recurring expenses from completing the integration of the acquisitions as well as from lower provisioning on the back of continued improvement in its credit card default levels.
ThyssenKrupp’s share price was negatively impacted during the Reporting Period by concerns about weak global economic conditions. Weak economic demand in Europe had led to downgrades in steel profitability. The company’s share price also fell after it reported a wider than expected first quarter 2012 net loss and a disappointing net debt position.
Which equity market sectors most significantly affected Fund performance?
Effective security selection within the telecommunication services, financials and materials sectors contributed positively to the Fund’s performance relative to the MSCI EAFE Index during the Reporting Period. The Fund’s underweighted positions in the comparatively weak telecommunication services and materials sectors relative to the MSCI EAFE Index also added value.
The biggest detractor from the Fund’s relative results during the Reporting Period was utilities, where both stock selection and having an underweighted position in the strongly-performing area, weighed negatively on performance. No other sectors detracted significantly from the Fund’s results during the Reporting Period.
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 Index.
3
GOLDMAN SACHS VARIABLE INSURANCE TRUST STRATEGIC INTERNATIONAL EQUITY FUND
That said, the Fund’s overall positioning in the U.K., Spain and Japan 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 Brazil, Hong Kong and the Czech Republic.
How did the Fund use derivatives and similar instruments 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.
Did the Fund make any significant purchases or sales during the Reporting Period?
During the Reporting Period, we established Fund positions in Deutsche Bank, Shire and Societe Generale, as we believe each is a quality company with an attractive valuation.
More specifically, as indicated earlier, we initiated a Fund position in one of Europe’s largest investment banks, Deutsche Bank during the Reporting Period because the company is well diversified. We believe it should benefit from an anticipated recovery in investment banking activities if markets stabilize and confidence returns.
There were two key reasons whey we initiated a Fund position in Shire, one of the world’s leading specialty biopharmaceutical companies. First was growth prospects of the company’s ADHD (attention deficit hyperactivity disorder) franchise. Approximately 40% of the company sales come from products that treat the ADHD specialist condition. The ADHD market is growing at approximately 11% annually, and we believe Shire is well positioned to gain market share, especially in Europe where there is currently little competition in this market. The second reason was Shire’s sustainable enzyme replacement therapy business. Enzyme replacement therapy is a medical treatment replacing an enzyme in patients in whom that particular enzyme is deficient or absent. Shire has four drugs in this space, which amount to approximately 30% of the company’s sales. The attractive aspect of this business area is that it is an orphan drug market characterized by long intellectual property (“IP”) periods and strong pricing, and thus we expect this to help drive Shire’s profitability. (An orphan drug is a pharmaceutical agent that has been developed specifically to treat a rare medical condition, the condition itself being referred to as an orphan disease. The assignment of orphan status to a disease and to any drugs developed to treat it is a matter of public policy in many countries. In the case of health care companies, a long IP period means that long patents on one or more products exist.)
During the Reporting Period, we sold the Fund’s position in French bank BNP Paribas and reallocated the sales proceeds into Societe Generale on valuation grounds, as BNP Paribas had outperformed Societe Generale leading up to the end of 2011.
We exited the Fund’s positions in BASF, Zurich Insurance and Mitsui during the Reporting Period.
We sold the Fund’s position in German-based chemical company BASF in order to take profits, as the stock had performed well since it bottomed in October 2011. We reallocated the sales proceeds into one of the world’s leading suppliers of standard and specialty fertilizers, K&S, a name we believe to have greater potential upside.
We eliminated the Fund’s position in Zurich Insurance Group, as we had greater conviction in an Asian-based insurer, AIA Group, which we believe is in a more attractive market with greater growth potential.
We exited the Fund’s position in Mitsui, a Japanese trading company. Commodity prices were weak amid the growing concerns of a Chinese economic slowdown and financial crisis in Europe. Mitsui’s earnings are highly dependent on these commodity prices, and investors were concerned the negative conditions might not disappear in the near future. As concerns regarding the company’s earnings rose due to declines in commodity prices including crude oil and iron ore, we eliminated the Fund’s position in its shares.
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 its sector or country weights are generally the direct result of individual stock selection or of stock appreciation or depreciation. That said, there were no notable changes in the Fund’s sector or country weightings during the Reporting Period.
4
GOLDMAN SACHS VARIABLE INSURANCE TRUST STRATEGIC INTERNATIONAL EQUITY FUND
How was the Fund positioned relative to its benchmark index at the end of the Reporting Period?
At the end of June 2012, the Fund had greater weightings than the MSCI EAFE Index in the health care and energy sectors. The Fund had underweighted allocations to the financials, materials, consumer discretionary and consumer staples sectors and was rather neutrally weighted to the MSCI EAFE Index in the utilities, industrials, telecommunication services and information technology sectors at the end of the Reporting Period.
From a country perspective, the Fund had greater positions in South Korea, Switzerland and China relative to the MSCI EAFE Index at the end of June 2012. The Fund had less exposure to Australia, Hong Kong and Singapore than the MSCI EAFE Index at the end of the Reporting Period. On the same date, the Fund had rather neutral exposures to Belgium and Greece compared to the MSCI EAFE Index. (It should be noted that the Fund had 0% direct exposure to Greece, however, this is neutral compared to the benchmark weighting.)
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, international equity performance will continue to be heavily influenced in the months ahead by the European sovereign debt crisis. Even with the better than expected outcome of the late June summit of European leaders, there was still much remaining uncertainty regarding Europe. However, we believe that even in a worst case scenario, in which the European Monetary Union dissolves, strong franchises will have value that should support European equity markets over the longer term. Indeed, we believe negative sentiment and deeply discounted valuations seen during the second calendar quarter could be important drivers of future returns.
At the end of the Reporting Period, sentiment toward European equities was near a record low, and global equity managers were positioned with a record underweight to Europe versus the U.S.1 Also, European equities were trading at significant discounts to their historical averages and global peers. In our view, the dire sentiment and low valuations were based on a misperception that European companies are largely tied to Europe’s economy. In reality, almost 50% of European company revenues come from outside of Europe,2 with almost a third coming from the faster growing growth and emerging markets.3 In addition, we believe the weaker euro should continue to help European exports and many corporate earnings. Therefore, despite a number of Gross Domestic Product (“GDP) downgrades for Europe, many earnings forecasts remain unchanged. We feel the deeply discounted valuations of European equities allow for more share price appreciation when the European sovereign debt crisis is eventually resolved. Improved sentiment could also contribute to future equity performance should investors return to the asset class as we anticipate.
In Japan, we believe corporate earnings will likely be the primary driver of its equity market in the mid-term to long-term. However, investor sentiment is a powerful short-term influence amidst the current uncertain global political and macroeconomic environment. In 2011, the Tohuku earthquake, the flood in Thailand and the rising yen contributed to downward earnings revisions. We continue to expect a rebound in Japan in both corporate earnings and economic growth in 2012 as these influencing factors recede. Indeed, we believe Japanese corporate earnings are in the recovery phase and that demand in the U.S. and Japan is strong, especially in the auto sector. In addition, we expect rebuilding efforts may well continue to drive robust Japanese domestic demand. We see some risk to earnings in sectors more affected by slower economic growth in Europe or China. However, Japanese equity valuations were at a historically low level at the end of the Reporting Period, despite recent improvement in return on equity (“ROE”).
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.
1Source: Bank of America Merrill Lynch Global Fund Manager Survey, June 2012.
2 Source: Morgan Stanley, May 2012.
3Source: Morgan Stanley Research, May 2012.
5
FUND BASICS
Strategic International Equity Fund
as of June 30, 2012
STANDARDIZED TOTAL RETURNS1
| For the period ended 6/30/12 | One Year | Five Years | Ten Years | Since Inception | Inception Date | |||||||||||||
| Institutional | -12.59 | % | -6.60 | % | 3.27 | % | 2.40 | % | 1/12/98 | |||||||||
| Service | -12.85 | -6.82 | N/A | -2.20 | 1/09/06 | |||||||||||||
| 1 | The Standardized 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”). Because Institutional and Service Shares do not involve a sales charge, such a charge is not applied to their Standardized Total Returns. |
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 | 1.00 | % | 1.07 | % | ||||
| Service | 1.25 | 1.32 | ||||||
| 2 | The expense ratios of the Fund, both current (net of applicable fee waivers and/or expense limitations) and before waivers (gross of applicable fee waivers and/or expense limitations), are as set forth above according to the most recent publicly available Prospectus for the Fund and may differ from the expense ratios disclosed in the Financial Highlights in this report. The Fund’s waivers and/or expense limitations will remain in place through at least April 27, 2013, and prior to such date the investment adviser may not terminate the arrangements without the approval of the Fund’s Board of Trustees. If these arrangements are discontinued in the future, the expense ratios may change without shareholder approval. |
TOP TEN HOLDINGS AS OF 6/30/123
| Holding | % of Total Net Assets |
Line of Business | Country | |||||
| Novartis AG (Registered) | 3.6 | % | Pharmaceuticals, Biotechnology & Life Sciences | Switzerland | ||||
| HSBC Holdings PLC | 2.9 | Banks | United Kingdom | |||||
| Reed Elsevier PLC | 2.8 | Media | United Kingdom | |||||
| Sumitomo Mitsui Financial Group, Inc. | 2.5 | Banks | Japan | |||||
| Bayer AG (Registered) | 2.5 | Pharmaceuticals, Biotechnology & Life Sciences | Germany | |||||
| BP PLC | 2.3 | Energy | United Kingdom | |||||
| Rio Tinto PLC | 2.2 | Materials | United Kingdom | |||||
| Vodafone Group PLC | 2.2 | Telecommunication Services | United Kingdom | |||||
| Eni SpA | 2.0 | Energy | Italy | |||||
| Deutsche Bank AG (Registered) | 1.8 | Diversified Financials | Germany | |||||
| 3 | The top 10 holdings may not be representative of the Fund’s future investments. |
6
FUND BASICS
FUND vs. BENCHMARK SECTOR ALLOCATIONS4
As of June 30, 2012
| 4 | The Fund is actively managed and, as such, its composition may differ over time. Consequently, the Fund’s overall sector allocations may differ from percentages contained in the graph above. The 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. The percentage shown for each investment category reflects the value of investments in that category as a percentage of market value. The graph depicts the Fund’s investments but may not represent the Fund’s market exposure due to the exclusion of certain derivatives, if any, as listed in the Additional Investment Information section of the Schedule of Investments. |
7
GOLDMAN SACHS VARIABLE INSURANCE TRUST STRATEGIC INTERNATIONAL EQUITY FUND
Schedule of Investments
June 30, 2012 (Unaudited)
| Shares | Description | Value | ||||||
|
|
Common Stocks – 91.3% |
| ||||||
| Australia – 2.9% | ||||||||
| 607,844 | QR National Ltd. (Transportation) | $ | 2,129,241 | |||||
| 151,400 | Westpac Banking Corp. (Banks) | 3,306,006 | ||||||
|
|
|
|||||||
| 5,435,247 | ||||||||
|
|
|
|||||||
| Belgium – 1.1% | ||||||||
| 39,402 | UCB SA (Pharmaceuticals, Biotechnology & Life Sciences) | 1,990,407 | ||||||
|
|
|
|||||||
| Brazil – 0.8% | ||||||||
| 312,355 | Magazine Luiza SA (Retailing) | 1,461,856 | ||||||
|
|
|
|||||||
| China – 0.4% | ||||||||
| 1,563,000 | China Citic Bank Corp. Ltd. Class H (Banks) | 807,940 | ||||||
|
|
|
|||||||
| Czech Republic – 0.7% | ||||||||
| 35,462 | CEZ AS (Utilities) | 1,225,505 | ||||||
|
|
|
|||||||
| Finland – 1.8% | ||||||||
| 109,766 | Fortum Oyj (Utilities) | 2,084,504 | ||||||
| 28,014 | Outotec Oyj (Capital Goods) | 1,279,982 | ||||||
|
|
|
|||||||
| 3,364,486 | ||||||||
|
|
|
|||||||
| France – 10.6% | ||||||||
| 16,671 | Air Liquide SA (Materials) | 1,905,972 | ||||||
| 14,002 | Air Liquide SA-Prime De Fidelite (Materials)* | 1,600,829 | ||||||
| 37,477 | Compagnie Generale de Geophysique-Veritas (Energy)* | 969,333 | ||||||
| 131,167 | EDF SA (Utilities) | 2,918,409 | ||||||
| 17,842 | Remy Cointreau SA (Food, Beverage & Tobacco) | 1,960,227 | ||||||
| 62,655 | Safran SA (Capital Goods) | 2,326,786 | ||||||
| 125,860 | Societe Generale SA (Banks) | 2,951,366 | ||||||
| 62,343 | Total SA (Energy) | 2,805,992 | ||||||
| 50,087 | Vinci SA (Capital Goods) | 2,340,823 | ||||||
|
|
|
|||||||
| 19,779,737 | ||||||||
|
|
|
|||||||
| Germany – 6.2% | ||||||||
| 64,050 | Bayer AG (Registered) (Pharmaceuticals, Biotechnology & Life Sciences) | 4,615,400 | ||||||
| 94,260 | Deutsche Bank AG (Registered) (Diversified Financials) | 3,402,150 | ||||||
| 54,951 | K+S AG (Registered) (Materials) | 2,515,709 | ||||||
| 67,716 | ThyssenKrupp AG (Materials) | 1,103,071 | ||||||
|
|
|
|||||||
| 11,636,330 | ||||||||
|
|
|
|||||||
| Hong Kong – 1.9% | ||||||||
| 329,795 | AIA Group Ltd. (Insurance) | 1,139,132 | ||||||
| 841,000 | Belle International Holdings Ltd. (Retailing) | 1,440,768 | ||||||
| 335,000 | China Mengniu Dairy Co. Ltd. (Food, Beverage & Tobacco) | 887,078 | ||||||
|
|
|
|||||||
| 3,466,978 | ||||||||
|
|
|
|||||||
| Shares | Description | Value | ||||||
|
|
Common Stocks – (continued) |
| ||||||
| Ireland – 2.7% | ||||||||
| 41,603 | Kerry Group PLC Class A (Food, Beverage & Tobacco) | $ | 1,823,847 | |||||
| 110,835 | Shire PLC (Pharmaceuticals, Biotechnology & Life Sciences) | 3,188,711 | ||||||
|
|
|
|||||||
| 5,012,558 | ||||||||
|
|
|
|||||||
| Italy – 2.0% | ||||||||
| 173,835 | Eni SpA (Energy) | 3,693,152 | ||||||
|
|
|
|||||||
| Japan – 17.0% | ||||||||
| 45,700 | Astellas Pharma, Inc. (Pharmaceuticals, Biotechnology & Life Sciences) | 1,994,289 | ||||||
| 14,600 | FANUC Corp. (Capital Goods) | 2,399,964 | ||||||
| 87,200 | Hitachi High-Technologies Corp. (Technology Hardware & Equipment) | 2,147,209 | ||||||
| 85,000 | Japan Tobacco, Inc. (Food, Beverage & Tobacco) | 2,518,180 | ||||||
| 130,600 | JS Group Corp. (Capital Goods) | 2,756,209 | ||||||
| 322,000 | Kubota Corp. (Capital Goods) | 2,975,730 | ||||||
| 348,000 | Mitsubishi Electric Corp. (Capital Goods) | 2,911,530 | ||||||
| 157,000 | Mitsubishi Estate Co. Ltd. (Real Estate) | 2,816,706 | ||||||
| 91,600 | Seven & I Holdings Co. Ltd. (Food & Staples Retailing) | 2,761,314 | ||||||
| 58,500 | Softbank Corp. (Telecommunication Services) | 2,177,585 | ||||||
| 140,800 | Sumitomo Mitsui Financial Group, Inc. (Banks) | 4,651,318 | ||||||
| 290,000 | Tokyo Gas Co. Ltd. (Utilities) | 1,482,196 | ||||||
|
|
|
|||||||
| 31,592,230 | ||||||||
|
|
|
|||||||
| Netherlands – 2.7% | ||||||||
| 293 | Royal Dutch Shell PLC Class A (Energy) | 9,872 | ||||||
| 24,419 | Royal Dutch Shell PLC Class B (Energy) | 852,803 | ||||||
| 88,365 | Unilever NV CVA (Food, Beverage & Tobacco) | 2,951,873 | ||||||
| 38,026 | Ziggo NV (Telecommunication Services)* | 1,211,950 | ||||||
|
|
|
|||||||
| 5,026,498 | ||||||||
|
|
|
|||||||
| Russia – 1.0% | ||||||||
| 53,938 | Globaltrans Investment PLC GDR (Transportation) | 974,277 | ||||||
| 15,570 | OAO Lukoil ADR (Energy) | 872,517 | ||||||
|
|
|
|||||||
| 1,846,794 | ||||||||
|
|
|
|||||||
| South Korea – 2.0% | ||||||||
| 33,730 | Kia Motors Corp. (Automobiles & Components) | 2,223,133 | ||||||
| 1,456 | Samsung Electronics Co. Ltd. (Semiconductors & Semiconductor Equipment) | 1,541,886 | ||||||
|
|
|
|||||||
| 3,765,019 | ||||||||
|
|
|
|||||||
| 8 | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS VARIABLE INSURANCE TRUST STRATEGIC INTERNATIONAL EQUITY FUND
| Shares | Description | Value | ||||||
|
|
Common Stocks – (continued) |
| ||||||
| Spain – 1.1% | ||||||||
| 315,890 | Banco Santander SA (Banks) | $ | 2,089,693 | |||||
|
|
|
|||||||
| Sweden – 3.5% | ||||||||
| 193,341 | Scania AB Class B (Capital Goods) | 3,313,324 | ||||||
| 351,674 | Telefonaktiebolaget LM Ericsson Class B (Technology Hardware & Equipment) | 3,217,720 | ||||||
|
|
|
|||||||
| 6,531,044 | ||||||||
|
|
|
|||||||
| Switzerland – 11.0% | ||||||||
| 44,962 | Aryzta AG (Food, Beverage & Tobacco)* | 2,237,969 | ||||||
| 37,187 | Julius Baer Group Ltd. (Diversified Financials)* | 1,348,277 | ||||||
| 119,487 | Novartis AG (Registered) (Pharmaceuticals, Biotechnology & Life Sciences) | 6,680,675 | ||||||
| 7,967 | Partners Group Holding AG (Diversified Financials) | 1,416,951 | ||||||
| 12,555 | Roche Holding AG (Pharmaceuticals, Biotechnology & Life Sciences) | 2,168,663 | ||||||
| 11,319 | Sulzer AG (Registered) (Capital Goods) | 1,342,002 | ||||||
| 59,299 | Temenos Group AG (Registered) (Software & Services)* | 980,435 | ||||||
| 258,207 | UBS AG (Registered) (Diversified Financials)* | 3,021,584 | ||||||
| 34,306 | Wolseley PLC (Capital Goods) | 1,278,676 | ||||||
|
|
|
|||||||
| 20,475,232 | ||||||||
|
|
|
|||||||
| United Kingdom – 21.9% | ||||||||
| 242,157 | Abcam PLC (Pharmaceuticals, Biotechnology & Life Sciences) | 1,581,301 | ||||||
| 64,216 | ASOS PLC (Retailing)* | 1,788,813 | ||||||
| 154,969 | BG Group PLC (Energy) | 3,172,443 | ||||||
| 653,300 | BP PLC (Energy) | 4,362,867 | ||||||
| 609,218 | HSBC Holdings PLC (Banks) | 5,368,327 | ||||||
| 84,476 | Imperial Tobacco Group PLC (Food, Beverage & Tobacco) | 3,254,711 | ||||||
| 224,582 | Inmarsat PLC (Telecommunication Services) | 1,733,151 | ||||||
| 643,007 | Reed Elsevier PLC (Media) | 5,153,796 | ||||||
| 86,835 | Rio Tinto PLC (Materials) | 4,126,716 | ||||||
| 369,012 | Royal Bank of Scotland Group PLC (Banks)* | 1,249,968 | ||||||
| 40,656 | Spirax-Sarco Engineering PLC (Capital Goods) | 1,267,052 | ||||||
| 80,048 | Tullow Oil PLC (Energy) | 1,850,115 | ||||||
|
|
|
|||||||
| Shares | Description | Value | ||||||
|
|
Common Stocks – (continued) |
| ||||||
| United Kingdom – (continued) | ||||||||
| 88,956 | Victrex PLC (Materials) | $ | 1,776,031 | |||||
| 1,448,198 | Vodafone Group PLC (Telecommunication Services) | 4,070,530 | ||||||
|
|
|
|||||||
| 40,755,821 | ||||||||
|
|
|
|||||||
|
|
TOTAL COMMON STOCKS |
|||||||
| (Cost $171,897,410) | $ | 169,956,527 | ||||||
|
|
|
|||||||
|
|
Exchange Traded Funds – 6.4% |
| ||||||
| Australia – 3.3% | ||||||||
| 285,952 | iShares MSCI Australia Index Fund | 6,256,630 | ||||||
| Japan – 3.1% | ||||||||
| 605,695 | iShares MSCI Japan Index Fund | 5,699,590 | ||||||
|
|
|
|||||||
|
|
TOTAL EXCHANGE TRADED FUNDS |
|||||||
| (Cost $10,768,288) | $ | 11,956,220 | ||||||
|
|
|
|||||||
|
|
TOTAL INVESTMENTS – 97.7% |
|||||||
| (Cost $182,665,698) | $ | 181,912,747 | ||||||
|
|
|
|||||||
| |
OTHER ASSETS IN EXCESS OF |
4,303,239 | ||||||
|
|
|
|||||||
|
|
NET ASSETS – 100.0% |
$ | 186,215,986 | |||||
|
|
|
|||||||
| 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. | |
| Investment Abbreviations: | ||
| ADR | —American Depositary Receipt | |
| CVA | —Dutch Certification | |
| GDR | —Global Depositary Receipt | |
| The accompanying notes are an integral part of these financial statements. | 9 |
GOLDMAN SACHS VARIABLE INSURANCE TRUST STRATEGIC INTERNATIONAL EQUITY FUND
Statement of Assets and Liabilities
June 30, 2012 (Unaudited)
| Assets: | ||||
| Investments, at value (cost $182,665,698) |
$ | 181,912,747 | ||
| Cash |
2,191,737 | |||
| Foreign currencies, at value (cost $318,114) |
317,537 | |||
| Receivables: |
||||
| Investments sold |
1,448,223 | |||
| Dividends |
571,935 | |||
| Foreign tax reclaims |
256,878 | |||
| Fund shares sold |
2,121 | |||
| Other assets |
1,107 | |||
| Total assets | 186,702,285 | |||
| Liabilities: | ||||
| Payables: |
||||
| Amounts owed to affiliates |
151,320 | |||
| Fund shares redeemed |
105,803 | |||
| Investments purchased |
66,635 | |||
| Accrued expenses |
162,541 | |||
| Total liabilities | 486,299 | |||
| Net Assets: | ||||
| Paid-in capital |
315,451,221 | |||
| Undistributed net investment income |
2,997,389 | |||
| Accumulated net realized loss |
(131,481,779 | ) | ||
| Net unrealized loss |
(750,845 | ) | ||
| NET ASSETS | $ | 186,215,986 | ||
| Net Assets: |
||||
| Institutional |
$ | 55,516,624 | ||
| Service |
130,699,362 | |||
| Total Net Assets |
$ | 186,215,986 | ||
| Shares of beneficial interest outstanding $0.001 par value (unlimited shares authorized): |
||||
| Institutional |
7,167,955 | |||
| Service |
16,867,136 | |||
| Net asset value, offering and redemption price per share: |
||||
| Institutional |
$7.75 | |||
| Service |
7.75 | |||
| 10 | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS VARIABLE INSURANCE TRUST STRATEGIC INTERNATIONAL EQUITY FUND
Statement of Operations
For the Six Months Ended June 30, 2012 (Unaudited)
| Investment income: | ||||
| Dividends (net of foreign taxes withheld of $270,015) |
$ | 3,992,320 | ||
| Interest |
1,450 | |||
| Total investment income | 3,993,770 | |||
| Expenses: | ||||
| Management fees |
806,014 | |||
| Distribution and Service fees — Service Class |
165,197 | |||
| Custody and accounting fees |
72,011 | |||
| Professional fees |
44,529 | |||
| Printing and mailing costs |
41,973 | |||
| Transfer Agent fees(a) |
18,963 | |||
| Trustee fees |
7,928 | |||
| Other |
4,202 | |||
| Total expenses | 1,160,817 | |||
| Less — expense reductions |
(74,075 | ) | ||
| Net expenses | 1,086,742 | |||
| NET INVESTMENT INCOME | 2,907,028 | |||
| Realized and unrealized gain: | ||||
| Net realized gain from: |
||||
| Investments |
882,907 | |||
| Futures contracts |
378,845 | |||
| Foreign currency transactions |
18,705 | |||
| Net change in unrealized gain on: |
||||
| Investments |
9,347,212 | |||
| Futures contracts |
68,165 | |||
| Foreign currency translation |
21,554 | |||
| Net realized and unrealized gain | 10,717,388 | |||
| NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS | $ | 13,624,416 | ||
(a) Institutional and Service Shares had Transfer Agent fees of $5,749 and $13,214, respectively.
| The accompanying notes are an integral part of these financial statements. | 11 |
GOLDMAN SACHS VARIABLE INSURANCE TRUST STRATEGIC INTERNATIONAL EQUITY FUND
Statements of Changes in Net Assets
| For the Six Months Ended June 30, 2012 (Unaudited) |
For the Fiscal Year Ended December 31, 2011 |
|||||||
| From operations: | ||||||||
| Net investment income |
$ | 2,907,028 | $ | 6,208,000 | ||||
| Net realized gain |
1,280,457 | 3,254,333 | ||||||
| Net change in unrealized gain (loss) |
9,436,931 | (41,731,642 | ) | |||||
| Net increase (decrease) in net assets resulting from operations | 13,624,416 | (32,269,309 | ) | |||||
| Distributions to shareholders: | ||||||||
| From net investment income |
||||||||
| Institutional Shares |
— | (2,178,755 | ) | |||||
| Service Shares |
— | (4,515,597 | ) | |||||
| Total distributions to shareholders | — | (6,694,352 | ) | |||||
| From share transactions: | ||||||||
| Proceeds from sales of shares |
2,928,634 | 8,234,940 | ||||||
| Reinvestment of distributions |
— | 6,694,352 | ||||||
| Cost of shares redeemed |
(12,282,371 | ) | (30,792,473 | ) | ||||
| Net decrease in net assets resulting from share transactions | (9,353,737 | ) | (15,863,181 | ) | ||||
| TOTAL INCREASE (DECREASE) | 4,270,679 | (54,826,842 | ) | |||||
| Net assets: | ||||||||
| Beginning of period |
181,945,307 | 236,772,149 | ||||||
| End of period |
$ | 186,215,986 | $ | 181,945,307 | ||||
| Undistributed net investment income | $ | 2,997,389 | $ | 90,361 | ||||
| 12 | The accompanying notes are an integral part of these financial statements. |
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 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
| Year - Share Class | Net asset value, beginning of period |
Net investment income(a) |
Net realized and unrealized gain (loss) |
Total from investment operations |
From net investment income |
From net realized gains |
Total distributions |
Net asset value, end of period |
Total return(b) |
Net assets, end of period (in 000s) |
Ratio of net expenses to average net assets |
Ratio of total expenses to average net assets |
Ratio of net investment income to average net assets |
Portfolio turnover rate(g) | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||
| FOR THE SIX MONTHS ENDED JUNE 30, (UNAUDITED) | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
| 2012 - Institutional |
$ | 7.20 | $ | 0.12 | $ | 0.43 | $ | 0.55 | $ | — | $ | — | $ | — | $ | 7.75 | 7.64 | % | $ | 55,517 | 0.97 | %(c) | 1.05 | %(c) | 3.23 | %(c) | 59 | % | ||||||||||||||||||||||||||||||||||||||||||
| 2012 - Service |
7.22 | 0.12 | 0.41 | 0.53 | — | — | — | 7.75 | 7.34 | 130,699 | 1.22 | (c) | 1.30 | (c) | 3.00 | (c) | 59 | |||||||||||||||||||||||||||||||||||||||||||||||||||||
| FOR THE FISCAL YEARS ENDED DECEMBER 31, | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
| 2011 - Institutional |
8.82 | 0.26 | (d) | (1.59 | ) | (1.33 | ) | (0.29 | ) | — | (0.29 | ) | 7.20 | (15.05 | ) | 55,954 | 0.99 | 1.04 | 3.03 | (d) | 143 | |||||||||||||||||||||||||||||||||||||||||||||||||
| 2011 - Service |
8.83 | 0.24 | (d) | (1.58 | ) | (1.34 | ) | (0.27 | ) | — | (0.27 | ) | 7.22 | (15.16 | ) | 125,991 | 1.24 | 1.29 | 2.80 | (d) | 143 | |||||||||||||||||||||||||||||||||||||||||||||||||
| 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 | (e) | (6.69 | ) | (6.37 | ) | (0.33 | ) | (0.65 | ) | (0.98 | ) | 6.41 | (45.87 | ) | 74,149 | 1.12 | 1.12 | 2.95 | (e) | 165 | ||||||||||||||||||||||||||||||||||||||||||||||||
| 2008 - Service |
13.76 | 0.28 | (e) | (6.67 | ) | (6.39 | ) | (0.30 | ) | (0.65 | ) | (0.95 | ) | 6.42 | (46.00 | ) | 113,836 | 1.37 | 1.37 | 2.64 | (e) | 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 | (f) | 1.16 | (f) | 1.30 | (f) | 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 | (f) | 1.41 | (f) | 1.30 | (f) | 134 | ||||||||||||||||||||||||||||||||||||||||||||||||||
| (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 a corporate action which amounted to $0.11 per share and 1.33% of average net assets. |
| (e) | Reflects income recognized from non-recurring special dividends which amounted to $0.12 per share and 1.12% 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) | The Fund’s portfolio turnover rate is calculated in accordance with regulatory requirements, without regard to transactions involving short term investments and certain derivatives. If such transactions were included, the Fund’s portfolio turnover rate may be higher. |
| The accompanying notes are an integral part of these financial statements. | 13 |
GOLDMAN SACHS VARIABLE INSURANCE TRUST STRATEGIC INTERNATIONAL EQUITY FUND
Notes to Financial Statements
June 30, 2012 (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. Shares of the Trust are offered to separate accounts of participating life insurance companies for the purpose of funding variable annuity contracts and variable life insurance policies.
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 financial statements have been prepared in accordance with accounting principles generally accepted in the United States of America (“GAAP”) and require management to make estimates and assumptions that may affect the reported amounts and disclosures. Actual results may differ from those estimates and assumptions.
A. Investment Valuation — The Fund’s valuation policy is to value investments at fair value.
B. Investment Income and Investments — Investment income includes interest income and dividend income, net of any foreign withholding taxes, less any amounts reclaimable. Interest income is accrued daily and adjusted for amortization of premiums and accretion of discounts. Dividend income is recognized on ex-dividend date or, for certain foreign securities, as soon as such information is obtained subsequent to the ex-dividend date. Investment transactions are reflected on trade date. Realized gains and losses are calculated using identified cost. Investment transactions are recorded on the following business day for daily net asset value (“NAV”) calculations. Any foreign capital gains tax is accrued daily based upon net unrealized gains, and is payable upon sale of such investments.
For derivative contracts, realized gains and losses are recorded upon settlement of the contract. For securities with paydown provisions, principal payments received are treated as a proportionate reduction to the cost basis of the securities and excess amounts are recorded as gains. For treasury inflation protected securities (“TIPS”), adjustments to principal due to inflation/deflation are reflected as increases/decreases to interest income with a corresponding adjustment to cost. Upfront payments on swaps are recorded as deferred realized gains or losses and are recognized over the contract’s term/event, with the exception of forward starting interest rate swaps whose realized gain or losses are recognized from the effective start date.
C. Class Allocations and Expenses — Investment income, realized and unrealized gain (loss), and non-class specific expenses of each Fund are allocated daily based upon the proportion of net assets of each class. Class specific expenses, where applicable, are borne by the respective share classes and include Distribution and Service and Transfer Agent fees. Non-class specific expenses directly incurred by a Fund are charged to that Fund, while such expenses incurred by the Trust are allocated across the respective Funds on a straight-line and/or pro-rata basis depending upon the nature of the expenses.
D. 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.
14
GOLDMAN SACHS VARIABLE INSURANCE TRUST STRATEGIC INTERNATIONAL EQUITY FUND
2. SIGNIFICANT ACCOUNTING POLICIES (continued)
E. Foreign Currency Translation — The accounting records and reporting currency of the Fund are maintained in U.S. dollars. Assets and liabilities denominated in foreign currencies are translated into United States (“U.S.”) dollars using the current exchange rates at the close of each business day. The effect of changes in foreign currency exchange rates on investments is included within net realized and unrealized gain (loss) on investment. Changes in the value of other assets and liabilities as a result of fluctuations in foreign exchange rates are included in the Statement of Operations within net change in unrealized gain (loss) on foreign currency transactions. Transactions denominated in foreign currencies are translated into U.S. dollars on the date the transaction occurred, the effects of which are included within net realized gain (loss) on foreign currency transactions.
3. INVESTMENTS AND FAIR VALUE MEASUREMENTS
The fair value of a financial instrument is the amount that would be received to sell an asset or paid to transfer a liability in an orderly transaction between market participants at the measurement date (i.e., the exit price). GAAP establishes a fair value hierarchy that prioritizes the inputs to valuation techniques used to measure fair value. The hierarchy gives the highest priority to unadjusted quoted prices in active markets for identical assets or liabilities (Level 1 measurements) and the lowest priority to unobservable inputs (Level 3 measurements). The levels used for classifying investments are not necessarily an indication of the risk associated with investing in these investments. The three levels of the fair value hierarchy are described below:
Level 1 — Unadjusted quoted prices in active markets that are accessible at the measurement date for identical, unrestricted assets or liabilities;
Level 2 — Quoted prices in markets that are not active or financial instruments for which significant inputs are observable (including, but not limited to, quoted prices for similar investments, interest rates, foreign exchange rates, volatility and credit spreads), either directly or indirectly;
Level 3 — Prices or valuations that require significant unobservable inputs (including GSAMI’s assumptions in determining fair value measurement).
A. Level 1 and Level 2 Fair Value Investments — The valuation techniques and significant inputs used in determining the fair values for investments classified as Level 1 and Level 2 are as follows:
Equity Securities — Equity securities and investment companies traded on a U.S. securities exchange or the NASDAQ system, or those located on certain foreign exchanges including, but not limited to the Americas, are valued daily at their last sale price or official closing price on the principal exchange or system on which they are traded. Investments in investment companies (other than those that are exchange traded) are valued at the NAV on the valuation date. If no sale occurs, equity securities and non-exchange traded investment companies are valued at the last bid price for long positions and at the last ask price for short positions. To the extent these investments are actively traded, they are classified as Level 1 of the fair value hierarchy.
Unlisted equity securities for which market quotations are available are valued at the last sale price on the valuation date, or if no sale occurs, at the last bid price. Securities traded on certain foreign securities exchanges are valued daily at fair value determined by an independent fair value service (if available) under valuation procedures approved by the trustees and consistent with applicable regulatory guidance. The independent fair value service takes into account multiple factors including, but not limited to, movements in the securities markets, certain depositary receipts, futures contracts and foreign currency exchange rates that have occurred subsequent to the close of the foreign securities exchange. Investments applying these valuation adjustments are classified as Level 2 of the fair value hierarchy.
Debt Securities — Debt securities, for which market quotations are readily available, are valued daily on the basis of quotations supplied by dealers or an independent pricing service approved by the trustees. The pricing services may use valuation models or matrix pricing, which consider: (i) yield or price with respect to bonds that are considered comparable in characteristics such as
15
GOLDMAN SACHS VARIABLE INSURANCE TRUST STRATEGIC INTERNATIONAL EQUITY FUND
Notes to Financial Statements (continued)
June 30, 2012 (Unaudited)
3. INVESTMENTS AND FAIR VALUE MEASUREMENTS (continued)
rating, interest rate and maturity date or (ii) quotations from securities dealers to determine current value. Short-term debt obligations that mature in sixty days or less and that do not exhibit signs of credit deterioration are valued at amortized cost, which approximates fair value. With the exception of treasury securities, which are generally classified as Level 1, these investments are generally classified as Level 2 of the fair value hierarchy.
Derivative contracts — A derivative is an instrument whose value is derived from underlying assets, indices, reference rates or a combination of these factors.
Exchange-traded derivatives, including futures contracts, typically fall within Level 1 of the fair value hierarchy. Over-the-counter (“OTC”) derivatives are valued using market transactions and other market evidence, including market-based inputs to models, calibration to market-clearing transactions, broker or dealer quotations, or other alternative pricing. Where models are used, the selection of a particular model to value an OTC derivative depends upon the contractual terms of, and specific risks inherent in, the instrument, as well as the availability of pricing information in the market. Valuation models require a variety of inputs, including contractual terms, market prices, yield curves, credit curves, measures of volatility, voluntary and involuntary prepayment rates, loss severity rates and correlations of such inputs. For OTC derivatives that trade in liquid markets, model inputs can generally be verified and model selection does not involve significant management judgment. OTC derivatives are classified within Level 2 of the fair value hierarchy when significant inputs are corroborated by market evidence.
Futures Contracts — Futures contracts are contracts to buy or sell a standardized quantity of a specified commodity or security and are valued based on exchanged settlement prices or independent market quotes. Futures contracts are valued at the last settlement price, or in the absence of a sale, the last bid price for long positions and at the last ask price for short positions, at the end of each day on the board of trade or exchange upon which they are traded. Upon entering into a futures contract, the 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.
B. Level 3 Fair Value Investments — The valuation techniques and significant inputs used in determining the fair values for investments classified as Level 3 are as follows:
To the extent that the aforementioned significant inputs are unobservable, or if quotations are not readily available, or if GSAMI believes that such quotations do not accurately reflect fair value, the fair value of the Fund’s investments may be determined under valuation procedures approved by the trustees. GSAMI, consistent with its procedures and applicable regulatory guidance, may make an adjustment to the most recent valuation prices of either domestic or foreign securities in light of significant events to reflect what it believes to be the fair value of the securities at the time of determining a Fund’s NAV. Significant events which could affect a large number of securities in a particular market may include, but are not limited to significant fluctuations in U.S. or foreign markets; market dislocations; market disruptions or unscheduled market closings. Significant events, which could also affect a single issuer, may include, but are not limited to corporate actions such as reorganizations, mergers and buy-outs; ratings downgrades; and bankruptcies.
16
GOLDMAN SACHS VARIABLE INSURANCE TRUST STRATEGIC INTERNATIONAL EQUITY FUND
3. INVESTMENTS AND FAIR VALUE MEASUREMENTS (continued)
C. Fair Value Hierarchy — The following is a summary of the Fund’s investments and derivatives classified in the fair value hierarchy as of June 30, 2012:
| Investment Type | Level 1 | Level 2 | Level 3 | |||||||||
| Assets | ||||||||||||
| Common Stock and/or Other Equity Investments | $ | 13,418,075 | $ | 168,494,672 | (a) | $ | — | |||||
| (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. |
4. INVESTMENTS IN DERIVATIVES
During the six months ended June 30, 2012, the Fund entered into derivative 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 Fund’s gains (losses) related to these derivatives and their indicative volumes for the six months ended June 30, 2012. These gains (losses) should be considered in the context that these derivative contracts may have been executed to economically hedge certain investments, and accordingly, certain gains (losses) on such derivative contracts may offset certain (losses) gains attributable to investments. These gains (losses) are included in “Net realized gain (loss)” or “Net change in unrealized gain (loss)” on the Statement of Operations:
| Risk | Statement of Operations Location | Net Realized Gain (Loss) |
Net Change in Unrealized Gain (Loss) |
Average Number of Contracts(a) |
||||||||||
| Equity | Net realized gain (loss) from futures contracts/Net change in unrealized gain (loss) on futures contracts | $ | 378,845 | $ | 68,165 | 17 | ||||||||
| (a) | Average number of contracts is based on the average of month end balances for the six months ended June 30, 2012. |
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.
For the six months ended June 30, 2012, contractual and effective net management fees with GSAMI were at the following rates:
| Contractual Management Rate | ||||||||||||||||||||||||||
| First $1 billion |
Next $1 billion |
Next $3 billion |
Next $3 billion |
Over $8 billion |
Effective Rate |
Effective Net Management Rate |
||||||||||||||||||||
| 0.85% | 0.77 | % | 0.73 | % | 0.72 | % | 0.71 | % | 0.85 | % | 0.81 | %* | ||||||||||||||
| * | GSAMI agreed to waive a portion of its management fee in order to achieve the effective net management rate shown above through April 27, 2013. Prior to such date GSAMI may not terminate the arrangement without the approval of the trustees. For the six months ended June 30, 2012, GSAMI waived approximately $37,900 of the Fund’s management fee. |
17
GOLDMAN SACHS VARIABLE INSURANCE TRUST STRATEGIC INTERNATIONAL EQUITY FUND
Notes to Financial Statements (continued)
June 30, 2012 (Unaudited)
5. AGREEMENTS AND AFFILIATED TRANSACTIONS (continued)
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 April 27, 2013, and prior to such date GSAMI may not terminate the arrangement without the approval of the trustees. For the six months ended June 30, 2012, GSAMI reimbursed approximately $34,100 to the Fund. In addition, the Fund has entered into certain offset arrangements with the custodian, which may result in a reduction of the Fund’s expenses. For the six months ended June 30, 2012, custody fee credits were approximately $2,100.
As of June 30, 2012, the amounts owed to affiliates were approximately $122,900, $25,500 and $2,900 for management, distribution and service, and transfer agent fees, respectively.
E. Line of Credit Facility — As of June 30, 2012, the Fund participated in a $630,000,000 committed, unsecured revolving line of credit facility (the “facility”) together with other funds of the Trust and registered investment companies having management agreements with GSAMI or its affiliates (“Other Borrowers”). 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 $970,000,000. This facility is to be used solely for temporary or emergency purposes. The interest rate on borrowings is based on the federal funds rate. The facility also requires a fee to be paid by the Fund based on the amount of the commitment that has not been utilized. For the six months ended June 30, 2012, the Fund did not have any borrowings under the facility. Prior to May 8, 2012, the amount available through the facility was $580,000,000.
F. Other Transactions with Affiliates — For the six months ended June 30, 2012, Goldman Sachs earned approximately $1,800 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, 2012, were $111,256,856 and $117,727,647, respectively.
18
GOLDMAN SACHS VARIABLE INSURANCE TRUST STRATEGIC INTERNATIONAL EQUITY FUND
7. TAX INFORMATION
As of the Fund’s most recent fiscal year end, December 31, 2011, the Fund’s capital loss carryovers and certain timing differences, on a tax-basis were as follows:
| Capital loss carryovers:(1) | ||||
| Expiring 2016 |
$ | (57,900,490 | ) | |
| Expiring 2017 |
(63,558,058 | ) | ||
| Total capital loss carryovers | $ | (121,458,548 | ) | |
| Timing differences (late year ordinary loss and post October loss deferrals) | $ | (8,578,118 | ) |
| (1) | Expiration occurs on December 31 of the year indicated. |
As of June 30, 2012, the Fund’s aggregate security unrealized gains and losses based on cost for U.S. federal income tax purposes were as follows:
| Tax cost | $ | 185,769,565 | ||
| Gross unrealized gain | 9,991,036 | |||
| Gross unrealized loss | (13,847,854) | |||
| Net unrealized security loss | $ | (3,856,818) |
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.
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.
8. OTHER RISKS
The Fund’s risks include, but are not limited to, the following:
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 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.
19
GOLDMAN SACHS VARIABLE INSURANCE TRUST STRATEGIC INTERNATIONAL EQUITY FUND
Notes to Financial Statements (continued)
June 30, 2012 (Unaudited)
8. OTHER RISKS (continued)
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. OTHER MATTERS
New Accounting Pronouncement — In December 2011, Accounting Standards Update 2011-11 (ASU 2011-11), Amendments to Disclosures about Offsetting Assets and Liabilities Requirements in U.S. GAAP and International Financial Reporting Standards, was issued and is effective for interim periods and annual periods beginning on or after January 1, 2013. The amendments are the result of the work by Financial Accounting Standards Board and the International Accounting Standards Board to develop common requirements for disclosing information about offsetting and related arrangements. GSAMI is currently evaluating the application of ASU 2011-11 and its impact, if any, on the Fund’s financial statements.
Other — On February 8, 2012, the Commodity Futures Trading Commission (CFTC) adopted amendments to several of its rules relating to commodity pool operators, including Rule 4.5. The Fund currently relies on Rule 4.5’s exclusion from CFTC regulation for regulated investment companies. GSAMI is currently evaluating the amendments and their impact, if any, on the Fund’s financial statements.
11. 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.
20
GOLDMAN SACHS VARIABLE INSURANCE TRUST STRATEGIC INTERNATIONAL EQUITY FUND
12. SUMMARY OF SHARE TRANSACTIONS
Share activity is as follows:
| For the Six Months Ended June 30, 2012 (Unaudited) |
For the Fiscal Year Ended December 31, 2011 |
|||||||||||||||
| Shares | Dollars | Shares | Dollars | |||||||||||||
| Institutional Shares | ||||||||||||||||
| Shares sold | 54,686 | $ | 419,475 | 125,795 | $ | 1,027,362 | ||||||||||
| Reinvestment of distributions | — | — | 305,576 | 2,178,755 | ||||||||||||
| Shares redeemed | (654,265 | ) | (5,099,083 | ) | (1,456,936 | ) | (12,601,962 | ) | ||||||||
| (599,579 | ) | (4,679,608 | ) | (1,025,565 | ) | (9,395,845 | ) | |||||||||
| Service Shares | ||||||||||||||||
| Shares sold | 326,277 | 2,509,159 | 906,394 | 7,207,578 | ||||||||||||
| Reinvestment of distributions | — | — | 632,436 | 4,515,597 | ||||||||||||
| Shares redeemed | (919,571 | ) | (7,183,288 | ) | (2,107,462 | ) | (18,190,511 | ) | ||||||||
| (593,294 | ) | (4,674,129 | ) | (568,632 | ) | (6,467,336 | ) | |||||||||
| NET DECREASE | (1,192,873 | ) | $ | (9,353,737 | ) | (1,594,197 | ) | $ | (15,863,181 | ) | ||||||
21
GOLDMAN SACHS VARIABLE INSURANCE TRUST STRATEGIC INTERNATIONAL EQUITY FUND
| Fund Expenses — Six Month Period Ended June 30, 2012 (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, 2012 through June 30, 2012.
Actual Expenses — The first line under each share class in the table below provides information about actual account values and actual expenses. You may use the information in this line, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000=8.6), then multiply the result by the number in the first line under the heading entitled “Expenses Paid” to estimate the expenses you paid on your account during this period.
Hypothetical Example for Comparison Purposes —The second line under each share class in the table below provides information about hypothetical account values and hypothetical expenses based on the 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, 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.
| Share Class | Beginning Account Value 1/01/12 |
Ending Account Value 6/30/12 |
Expenses Paid for the 6 Months Ended 6/30/12* |
|||||||||
| Institutional | ||||||||||||
| Actual | $ | 1,000 | $ | 1,076.40 | $ | 5.01 | ||||||
| Hypothetical 5% return | 1,000 | 1,020.04 | + | 4.87 | ||||||||
| Service | ||||||||||||
| Actual | 1,000 | 1,073.40 | 6.29 | |||||||||
| Hypothetical 5% return | 1,000 | 1,018.80 | + | 6.12 | ||||||||
| * | Expenses 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, 2012. Expenses are calculated by multiplying the annualized net expense ratio by the average account value for the period; then multiplying the result by the number of days in the most recent fiscal half year; and then dividing that result by the number of days in the fiscal year. The annualized net expense ratios for the period were 0.97% and 1.22% 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. |
22
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, 2013 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 13, 2012 (the “Annual Meeting”).
The review process undertaken by the Trustees spans the course of the year and culminates with the Annual Meeting. To assist the Trustees in their deliberations, the Trustees have established a Contract Review Committee (the “Committee”), comprised of the Independent Trustees. The Committee held three meetings over the course of the year since the Management 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, compliance testing, market risk analysis, finance and strategy and central funding), sales and distribution support groups and others (e.g., information technology and training); |
| (iii) | trends in headcount; |
| (iv) | the Investment Adviser’s financial resources and ability to hire and retain talented personnel and strengthen its operations; and |
| (v) | the parent company’s support of the Investment Adviser and its mutual fund business, as expressed by the firm’s senior management; |
| (b) | information on the investment performance of the Fund, including comparisons to the performance of a group 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 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; |
23
GOLDMAN SACHS VARIABLE INSURANCE TRUST STRATEGIC INTERNATIONAL EQUITY FUND
Statement Regarding Basis for Approval of Management Agreement (Unaudited) (continued)
| (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 limit 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 trading, 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 and broker oversight, 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.
24
GOLDMAN SACHS VARIABLE INSURANCE TRUST STRATEGIC INTERNATIONAL EQUITY FUND
Statement Regarding Basis for Approval of Management Agreement (Unaudited) (continued)
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 of the Investment Adviser’s portfolio management teams that had occurred in recent periods, and the potential benefit to the Fund of the ongoing recruitment efforts aimed at bringing high quality investment talent to the Investment Adviser. The Independent Trustees concluded that the Investment Adviser continued to commit substantial financial and operational resources to the 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 investment performance of the Fund to its peers using rankings and ratings compiled by the Outside Data Provider as of December 31, 2011, and updated performance information prepared by the Investment Adviser using the peer group identified by the Outside Data Provider as of March 31, 2012. 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.
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.
25
GOLDMAN SACHS VARIABLE INSURANCE TRUST STRATEGIC INTERNATIONAL EQUITY FUND
Statement Regarding Basis for Approval of Management Agreement (Unaudited) (continued)
The Independent Trustees noted that the Fund had placed in the bottom half of its peer group for the one-, three- and five-year periods, and underperformed its benchmark index for the one-, three-, and five-year periods ended March 31, 2012. The Independent Trustees also noted the portfolio management team’s increased emphasis on internal communication among its analysts and Chief Investment Officers. They further 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 a category universe; an expense analysis which compared the Fund’s overall net and gross expenses to a peer group and a category universe; and a five-year history comparing the Fund’s net expenses to the peer and category medians. The analyses also compared the Fund’s transfer agency, custody and distribution fees, other expenses and fee waivers/reimbursements to those of other funds in the peer group and the peer group and category medians. The Trustees concluded that the comparisons provided by the Outside Data Provider were useful in evaluating the reasonableness of the management fees and total expenses paid by the Fund.
In addition, the Trustees considered the Investment Adviser’s undertakings to waive a portion of its management fees and limit certain expenses of the Fund that exceed a 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
26
GOLDMAN SACHS VARIABLE INSURANCE TRUST STRATEGIC INTERNATIONAL EQUITY FUND
Statement Regarding Basis for Approval of Management Agreement (Unaudited) (continued)
Investment Adviser’s profitability analysis calculations. Profitability data for the Trust and the Fund were provided for 2011 and 2010, and the Trustees considered this information in relation to the Investment Adviser’s overall profitability. The Trustees considered the Investment Adviser’s revenues and pre-tax profit margins both in absolute terms and in comparison to information on the reported pre-tax profit margins earned by certain other asset management firms.
Economies of Scale
The Trustees considered the information that had been provided regarding the Investment Adviser’s profitability. The Trustees also considered the breakpoints in the fee rate payable under the Management 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 were meant to 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 waive certain fees and limit certain expenses of the Fund that exceed a specified level. 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 these fall-out benefits.
27
GOLDMAN SACHS VARIABLE INSURANCE TRUST STRATEGIC INTERNATIONAL 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 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 risk management systems and databases), subject to certain restrictions; 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, 2013.
28
| TRUSTEES | OFFICERS | |
| Ashok N. Bakhru, Chairman | James A. McNamara, President | |
| Donald C. Burke | George F. Travers, Principal Financial Officer | |
| John P. Coblentz, Jr. | Caroline L. Kraus, Secretary | |
| Diana M. Daniels | Scott M. McHugh, Treasurer | |
| Joseph P. LoRusso | ||
| James A. McNamara | ||
| Jessica Palmer | ||
| Alan A. Shuch | ||
| Richard P. Strubel |
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 are as of June 30, 2012 and may not be representative of future investments. Fund holdings should not be relied on in making investment decisions and should not be construed as research or investment advice regarding particular securities.
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 Institution 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.
© 2012 Goldman Sachs. All rights reserved.
VITINTLSAR12/79376.MF.MED.TMPL/8/2012
Goldman
Sachs Variable Insurance Trust
Goldman Sachs
Structured Small Cap Equity Fund
Semi-Annual Report
June 30, 2012
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 equity investments in 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. The securities of small- and 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 Investment Adviser’s use of quantitative models to execute investment strategy may fail to produce the intended result. Different investment styles (e.g., “quantitative”) tend to shift in and out of favor, and at times the Fund may underperform other funds that invest in similar asset classes. The Fund may have a high rate of portfolio turnover, which involves correspondingly greater expenses which must be borne by the Fund, and is also likely to result in short-term capital gains taxable to shareholders.
1
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 Goldman Sachs Variable Insurance Trust — Goldman Sachs Structured Small Cap Equity Fund’s (the “Fund”) performance and positioning for the six-month period ended June 30, 2012 (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 7.81% and 7.67%, respectively. These returns compare to the 8.53% 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. equity markets gained significant ground during the Reporting Period, with relatively strong performance versus many other developed markets reflecting optimism on a U.S. economic recovery and simultaneous concerns over Europe’s persistent sovereign debt crisis. Representing the U.S. equity market, the S&P® 500 Index returned 9.49% for the six months ended June 30, 2012.
During the first calendar quarter, U.S. equity markets rose on evidence that the labor market, manufacturing and retail sales were improving. News that the Federal Reserve Board (the “Fed”) reduced its outlook for near-term economic growth was offset by its commitment to keep interest rates low until at least late 2014. U.S. banks showed the biggest quarterly increase in lending in four years, while losses from loans fell to their lowest level since early 2008. As a result, financials stocks, which had lagged significantly in 2011, rallied sharply. Elsewhere, strong corporate earnings reports boosted a number of large-cap information technology stocks, and the NASDAQ reached a new 11-year high. The Dow Jones Industrial Average closed above 13,000 for the first time since May 2008.
U.S. equity markets then retreated in April and May 2012 amidst questions about the strength of the U.S. economic recovery and increasing uncertainty in Europe. The U.S. labor market, which had been reporting improvements, appeared to lose some momentum in April, as jobless claims increased for several weeks in a row, and deteriorated further in May. In addition, the initial first quarter Gross Domestic Product (“GDP”) estimate of 2.2% was lower than expected and was subsequently revised down to 1.9%. However, housing market data showed some signs of stabilization, and consumer confidence offered mixed signals. Outside of domestic economic concerns, Europe’s troubles as well as disappointing economic reports from faster growing regions of the world renewed fears of a global economic slowdown. Anticipating weaker demand, the benchmark West Texas Intermediate crude oil price slid more than 20% during the second calendar quarter to less than $80 per barrel. Markets rallied on the last day of June on the announcement of some coordinated action by European leaders following summit talks, which boosted U.S. equity market returns for the month of June overall.
During the Reporting Period as a whole, the Russell 2000® Index, representing the U.S. small-cap equity market, rose 8.53%. Nine of the ten sectors in the Russell 2000® Index were up, with the health care and financials sectors gaining the most. The top-weighted financials sector was also the largest positive contributor (weight times performance) to Russell 2000® Index returns. The one sector in the Russell 2000® Index that generated a negative return during the Reporting Period was energy.
All segments of the U.S. equity market advanced during the Reporting Period, with large-cap stocks, as measured by the Russell 1000® Index gaining most, followed by small-cap stocks and then mid-cap stocks, as measured by the Russell 2000® Index and Russell Midcap® Index, respectively. Large-cap stocks were most successful relative to small-cap stocks in the information technology sector. From a style perspective, growth-oriented stocks outpaced value-oriented stocks across the capitalization spectrum. (All as measured by the Russell Investments indices.)
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
2
GOLDMAN SACHS VARIABLE INSURANCE TRUST STRUCTURED SMALL CAP EQUITY FUND
underweighting the ones chosen by the model. Over time and by design, the performance of any one of the model’s investment themes tends to have a low correlation with the model’s other themes, demonstrating the diversification benefit of the Fund’s theme-driven quantitative model. The variance in performance supports our research indicating that the diversification provided by the Fund’s different investment themes is a significant investment advantage over the long term, even though the Fund may experience underperformance in the short term.
Overall, the Fund underperformed during the Reporting Period, with the Fund’s Valuation and Momentum themes detracting the most from results. Valuation attempts to capture potential mispricings of securities, typically by comparing a measure of the company’s intrinsic value to its market value. The Momentum theme seeks to predict drifts in stock prices caused by delayed investor reaction to company-specific information and information about related companies.
The Quality, Management and Profitability themes contributed positively to the Fund’s relative results during the Reporting Period. 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 Profitability theme assesses whether a company is earning more than its cost of capital.
The Sentiment theme generated rather neutral results during the Reporting Period. The Sentiment theme reflects selected investment views and decisions of individuals and financial intermediaries.
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 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 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 detracted from the Fund’s relative performance.
Stock selection in the health care, information technology and consumer discretionary sectors detracted most from the Fund’s results relative to the Russell Index. Only partially offsetting these detractors was stock selection in the energy, industrials and consumer staples sectors, which made the biggest positive contributions to the Fund’s results relative to its benchmark index.
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 mattress and pillow manufacturer Tempur-Pedic International, semiconductor company Lattice Semiconductor and oil and gas exploration and production company W&T Offshore. The Fund was overweight Tempur-Pedic International due to our positive views on Profitability and Momentum. Our positive views on Profitability and Valuation led us to overweight Lattice Semiconductor. We chose to overweight W&T Offshore because of our positive views on Management and Profitability.
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 oil refiner Western Refining, sporting goods retailer Zumiez and enterprise software and services company Ultimate Software Group. We chose to overweight Western Refining because of our positive views on Profitability and Quality. The Fund was overweight Zumiez due to our positive views on Management. Ultimate Software Group was an overweight position based on our positive views on Momentum.
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.
3
GOLDMAN SACHS VARIABLE INSURANCE TRUST STRUCTURED SMALL CAP EQUITY FUND
Did you make any enhancements to your quantitative models during the Reporting Period?
We continuously look for ways to improve our investment process. During the Reporting Period, we implemented an enhancement to our stock selection process globally, incorporating several measures to the signals within our Valuation theme. These include cash flow signals, book value signals, dividend and buyback signals, forecasted and realized earnings signals and structural valuation signals. The signal weights are customized based on the stock’s industry, sector and geographic location. We believe these additional signals will help capture the intrinsic value of a company more effectively and further add value to our process.
Additionally, we extended our price momentum timing insight to the emerging markets and the U.K. regions. This enhancement aims to capture price momentum in the markets while including a component of timing. Our research indicates that including a timing signal can improve the risk-adjusted returns of the Momentum theme and can significantly mitigate drawdown risk. We also added a new signal within our Momentum theme.
What was the Fund’s sector positioning relative to its benchmark index at the end of the Reporting Period?
As of June 30, 2012, the Fund was overweight the consumer staples, consumer discretionary, industrials and information technology sectors relative to the Russell Index. The Fund was underweight health care, energy, financials, materials and utilities 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 about which fundamental research analysts are becoming more positive as well as profitable companies with sustainable earnings and a track record of using their 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.
4
FUND BASICS
Structured Small Cap Equity Fund
as of June 30, 2012
STANDARDIZED TOTAL RETURNS1
| For the period ended 6/30/12 | One Year | Five Years | Ten Years | Since Inception | Inception Date | |||||||||||||
| Institutional | (0.12 | )% | (0.29 | )% | 5.37 | % | 4.70 | % | 2/13/98 | |||||||||
| Service | (0.39 | ) | N/A | N/A | 2.11 | 8/31/07 | ||||||||||||
| 1 | The Standardized 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”). Because Institutional and Service Shares do not involve a sales charge, such a charge is not applied to their Standardized Total Returns. |
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 | % | 0.99 | % | ||||
| Service | 1.06 | 1.24 | ||||||
| 2 | The expense ratios of the Fund, both current (net of applicable fee waivers and/or expense limitations) and before waivers (gross of applicable fee waivers and/or expense limitations) are as set forth above according to the most recent publicly available Prospectus for the Fund and may differ from the expense ratios disclosed in the Financial Highlights in this report. The Fund’s waivers and/or expense limitations will remain in place through at least April 27, 2013, and prior to such date the investment adviser may not terminate the arrangements without the approval of the Fund’s Board of Trustees. If these arrangements are discontinued in the future, the expense ratios may change without shareholder approval. |
TOP TEN HOLDINGS AS OF 6/30/123
| Holding | % of Total Net Assets | Line of Business | ||||
| Lancaster Colony Corp. | 1.3% | Food, Beverage & Tobacco | ||||
| The Boston Beer Co., Inc. Class A | 1.3 | Food, Beverage & Tobacco | ||||
| Zumiez, Inc. | 1.2 | Retailing | ||||
| Rayonier, Inc. (REIT) | 1.2 | Real Estate | ||||
| Jazz Pharmaceuticals PLC | 1.2 | Pharmaceuticals, Biotechnology & Life Sciences | ||||
| Francesca’s Holdings Corp. | 1.2 | Retailing | ||||
| MicroStrategy, Inc. Class A | 1.2 | Software & Services | ||||
| DuPont Fabros Technology, Inc. (REIT) | 1.2 | Real Estate | ||||
| Equity Lifestyle Properties, Inc. (REIT) | 1.2 | Real Estate | ||||
| International Bancshares Corp. | 1.1 | Banks | ||||
| 3 | The top 10 holdings may not be representative of the Fund’s future investments. |
5
FUND BASICS
FUND VS. BENCHMARK SECTOR ALLOCATIONS4
As of June 30, 2012
| 4 | The Fund is actively managed and, as such, its composition may differ over time. Consequently, the Fund’s overall sector allocations may differ from percentages contained in the graph above. The graph categorizes investments using Global Industry Classification Standard (“GICS”), however, the sector classifications used by the portfolio management team may differ from GICS. The percentage shown for each investment category reflects the value of investments in that category as a percentage of market value (excluding investments in the securities lending reinvestment vehicle, if any). Investments in the securities lending reinvestment vehicle represented 2.5% of the Fund’s net assets at June 30, 2012. The graph depicts the Fund’s investments but may not represent the Fund’s market exposure due to the exclusion of certain derivatives, if any, as listed in the Additional Investment Information section of the Schedule of Investments. |
6
GOLDMAN SACHS VARIABLE INSURANCE TRUST STRUCTURED SMALL CAP EQUITY FUND
Schedule of Investments
June 30, 2012 (Unaudited)
| Shares | Description | Value | ||||||
|
|
Common Stocks – 97.5% |
| ||||||
| Automobiles & Components – 0.7% | ||||||||
| 5,736 | Modine Manufacturing Co.* | $ | 39,750 | |||||
| 13,146 | Spartan Motors, Inc. | 68,885 | ||||||
| 9,222 | Standard Motor Products, Inc. | 129,846 | ||||||
| 17,769 | Stoneridge, Inc.* | 121,007 | ||||||
| 17,077 | Superior Industries International, Inc. | 279,551 | ||||||
| 5,361 | Thor Industries, Inc. | 146,945 | ||||||
|
|
|
|||||||
| 785,984 | ||||||||
|
|
|
|||||||
| Banks – 6.6% | ||||||||
| 3,894 | 1st Source Corp. | 88,004 | ||||||
| 28,381 | Astoria Financial Corp. | 278,134 | ||||||
| 6,330 | Banco Latinoamericano de Comercio Exterior SA Class E | 135,652 | ||||||
| 12,430 | Cathay General Bancorp | 205,219 | ||||||
| 916 | Commerce Bancshares, Inc. | 34,716 | ||||||
| 78,464 | CVB Financial Corp. | 914,106 | ||||||
| 24,110 | First Bancorp | 214,338 | ||||||
| 6,132 | First Bancorp, Inc. | 104,244 | ||||||
| 11,406 | First Financial Bancorp | 182,268 | ||||||
| 12,553 | First Interstate Bancsystem, Inc. | 178,755 | ||||||
| 22,559 | First Niagara Financial Group, Inc. | 172,576 | ||||||
| 33,271 | Fulton Financial Corp. | 332,377 | ||||||
| 3,265 | Glacier Bancorp, Inc. | 50,575 | ||||||
| 14,075 | Great Southern Bancorp, Inc. | 388,188 | ||||||
| 1,046 | Iberiabank Corp. | 52,771 | ||||||
| 64,629 | International Bancshares Corp. | 1,261,558 | ||||||
| 10,337 | Investors Bancorp, Inc.* | 155,985 | ||||||
| 5,116 | National Penn Bancshares, Inc. | 48,960 | ||||||
| 3,893 | Northfield Bancorp, Inc. | 55,320 | ||||||
| 3,260 | Oritani Financial Corp. | 46,911 | ||||||
| 2,449 | PacWest Bancorp | 57,968 | ||||||
| 6,328 | People’s United Financial, Inc. | 73,468 | ||||||
| 24,749 | PrivateBancorp, Inc. | 365,295 | ||||||
| 3,325 | Prosperity Bancshares, Inc. | 139,750 | ||||||
| 3,114 | Provident Financial Services, Inc. | 47,800 | ||||||
| 11,699 | Renasant Corp. | 183,791 | ||||||
| 2,511 | State Bank Financial Corp.* | 38,067 | ||||||
| 4,630 | SVB Financial Group* | 271,874 | ||||||
| 17,451 | Texas Capital Bancshares, Inc.* | 704,846 | ||||||
| 5,347 | Washington Federal, Inc. | 90,311 | ||||||
| 39,010 | Wilshire Bancorp, Inc.* | 213,775 | ||||||
| 6,413 | Wintrust Financial Corp. | 227,661 | ||||||
|
|
|
|||||||
| 7,315,263 | ||||||||
|
|
|
|||||||
| Capital Goods – 9.6% | ||||||||
| 8,016 | Aerovironment, Inc.* | 210,901 | ||||||
| 18,150 | Aircastle Ltd. | 218,708 | ||||||
| 1,857 | Alamo Group, Inc. | 58,254 | ||||||
| 10,787 | Albany International Corp. Class A | 201,825 | ||||||
| 1,435 | American Railcar Industries, Inc.* | 38,888 | ||||||
| 735 | American Science & Engineering, Inc. | 41,491 | ||||||
| 6,857 | American Woodmark Corp.* | 117,255 | ||||||
| 7,975 | Applied Industrial Technologies, Inc. | 293,879 | ||||||
| 10,104 | Astec Industries, Inc.* | 309,991 | ||||||
| 20,067 | Beacon Roofing Supply, Inc.* | 506,090 | ||||||
|
|
|
|||||||
| Shares | Description | Value | ||||||
|
|
Common Stocks – (continued) |
| ||||||
| Capital Goods – (continued) | ||||||||
| 4,427 | Brady Corp. Class A | $ | 121,787 | |||||
| 13,668 | Briggs & Stratton Corp. | 239,053 | ||||||
| 6,351 | Ceradyne, Inc. | 162,903 | ||||||
| 5,987 | Cubic Corp. | 287,855 | ||||||
| 6,815 | DigitalGlobe, Inc.* | 103,315 | ||||||
| 9,498 | Ducommun, Inc.* | 93,175 | ||||||
| 8,338 | Encore Wire Corp. | 223,292 | ||||||
| 3,825 | FreightCar America, Inc. | 87,860 | ||||||
| 2,867 | Generac Holdings, Inc.* | 68,980 | ||||||
| 20,384 | H&E Equipment Services, Inc.* | 306,372 | ||||||
| 24,251 | Interline Brands, Inc.* | 607,973 | ||||||
| 14,762 | Kadant, Inc.* | 346,169 | ||||||
| 2,566 | Kaman Corp. | 79,392 | ||||||
| 3,622 | LMI Aerospace, Inc.* | 62,950 | ||||||
| 43,981 | LSI Industries, Inc. | 313,145 | ||||||
| 8,267 | Lydall, Inc.* | 111,770 | ||||||
| 17,917 | Miller Industries, Inc. | 285,418 | ||||||
| 18,504 | Mueller Industries, Inc. | 788,085 | ||||||
| 8,408 | NACCO Industries, Inc. Class A | 977,430 | ||||||
| 7,708 | Orbital Sciences Corp.* | 99,587 | ||||||
| 3,707 | Sauer-Danfoss, Inc. | 129,486 | ||||||
| 85 | Seaboard Corp.* | 181,303 | ||||||
| 1,777 | Simpson Manufacturing Co., Inc. | 52,439 | ||||||
| 28,599 | Tecumseh Products Co. Class A* | 144,425 | ||||||
| 4,987 | Tennant Co. | 199,231 | ||||||
| 9,932 | The Toro Co. | 727,916 | ||||||
| 1,852 | Trinity Industries, Inc. | 46,263 | ||||||
| 15,484 | Universal Forest Products, Inc. | 603,566 | ||||||
| 11,061 | Vicor Corp. | 76,763 | ||||||
| 15,669 | Watsco, Inc. | 1,156,372 | ||||||
|
|
|
|||||||
| 10,681,557 | ||||||||
|
|
|
|||||||
| Commercial & Professional Services – 2.7% | ||||||||
| 2,702 | ABM Industries, Inc. | 52,851 | ||||||
| 19,317 | CDI Corp. | 316,799 | ||||||
| 8,302 | Heidrick & Struggles International, Inc. | 145,285 | ||||||
| 23,393 | HNI Corp. | 602,370 | ||||||
| 11,199 | Insperity, Inc. | 302,933 | ||||||
| 48,423 | Kelly Services, Inc. Class A | 625,141 | ||||||
| 30,916 | Kforce, Inc.* | 416,129 | ||||||
| 25,263 | Kimball International, Inc. Class B | 194,525 | ||||||
| 12,564 | United Stationers, Inc. | 338,600 | ||||||
|
|
|
|||||||
| 2,994,633 | ||||||||
|
|
|
|||||||
| Consumer Durables & Apparel – 2.6% | ||||||||
| 2,047 | Arctic Cat, Inc.* | 74,838 | ||||||
| 23,490 | Blyth, Inc.(a) | 811,814 | ||||||
| 2,729 | CSS Industries, Inc. | 56,081 | ||||||
| 5,153 | Ethan Allen Interiors, Inc. | 102,699 | ||||||
| 1,804 | iRobot Corp.* | 39,959 | ||||||
| 26,070 | Kenneth Cole Productions, Inc. Class A* | 392,354 | ||||||
| 6,040 | Movado Group, Inc. | 151,121 | ||||||
| 13,542 | Oxford Industries, Inc. | 605,328 | ||||||
|
|
|
|||||||
| The accompanying notes are an integral part of these financial statements. | 7 |
GOLDMAN SACHS VARIABLE INSURANCE TRUST STRUCTURED SMALL CAP EQUITY FUND
Schedule of Investments (continued)
June 30, 2012 (Unaudited)
| Shares | Description | Value | ||||||
|
|
Common Stocks – (continued) |
| ||||||
| Consumer Durables & Apparel – (continued) | ||||||||
| 19,424 | Perry Ellis International, Inc.* | $ | 403,048 | |||||
| 4,654 | Sturm, Ruger & Co., Inc. | 186,858 | ||||||
| 1,612 | Wolverine World Wide, Inc. | 62,513 | ||||||
|
|
|
|||||||
| 2,886,613 | ||||||||
|
|
|
|||||||
| Consumer Services – 3.4% | ||||||||
| 9,497 | Ascent Capital Group, Inc. Class A* | 491,470 | ||||||
| 2,512 | Biglari Holdings, Inc.* | 970,611 | ||||||
| 2,103 | Coinstar, Inc.*(a) | 144,392 | ||||||
| 9,468 | Domino’s Pizza, Inc. | 292,656 | ||||||
| 2,193 | Hillenbrand, Inc. | 40,307 | ||||||
| 1,360 | Marriott Vacations Worldwide Corp.* | 42,133 | ||||||
| 21,338 | Multimedia Games Holding Co., Inc.* | 298,732 | ||||||
| 25,599 | Papa John’s International, Inc.* | 1,217,744 | ||||||
| 3,023 | Red Robin Gourmet Burgers, Inc.* | 92,232 | ||||||
| 9,981 | Texas Roadhouse, Inc. | 183,950 | ||||||
|
|
|
|||||||
| 3,774,227 | ||||||||
|
|
|
|||||||
| Diversified Financials – 2.5% | ||||||||
| 27,432 | BlackRock Kelso Capital Corp. | 267,736 | ||||||
| 15,179 | Cash America International, Inc. | 668,483 | ||||||
| 3,446 | Cohen & Steers, Inc.(a) | 118,921 | ||||||
| 677 | Diamond Hill Investment Group, Inc. | 53,002 | ||||||
| 2,184 | Financial Engines, Inc.* | 46,847 | ||||||
| 7,909 | GAMCO Investors, Inc. Class A | 351,081 | ||||||
| 17,521 | Gladstone Capital Corp. | 138,241 | ||||||
| 18,738 | Hercules Technology Growth Capital, Inc. | 212,489 | ||||||
| 37,002 | NGP Capital Resources Co. | 261,974 | ||||||
| 5,589 | Safeguard Scientifics, Inc.* | 86,518 | ||||||
| 38,290 | TICC Capital Corp. | 371,413 | ||||||
| 2,952 | World Acceptance Corp.* | 194,242 | ||||||
|
|
|
|||||||
| 2,770,947 | ||||||||
|
|
|
|||||||
| Energy – 3.9% | ||||||||
| 40,440 | Alon USA Energy, Inc. | 342,122 | ||||||
| 6,571 | Contango Oil & Gas Co.* | 389,003 | ||||||
| 3,969 | Crosstex Energy, Inc. | 55,566 | ||||||
| 23,643 | Delek US Holdings, Inc. | 415,880 | ||||||
| 990 | HollyFrontier Corp. | 35,076 | ||||||
| 21,180 | Parker Drilling Co.* | 95,522 | ||||||
| 34,382 | SemGroup Corp. Class A* | 1,097,817 | ||||||
| 3,895 | Targa Resources Corp. | 166,317 | ||||||
| 17,229 | Tesoro Corp.*(b) | 430,036 | ||||||
| 17,469 | W&T Offshore, Inc. | 267,276 | ||||||
| 48,907 | Western Refining, Inc. | 1,089,159 | ||||||
|
|
|
|||||||
| 4,383,774 | ||||||||
|
|
|
|||||||
| Food & Staples Retailing – 0.3% | ||||||||
| 8,305 | Susser Holdings Corp.* | 308,697 | ||||||
| 2,314 | The Pantry, Inc.* | 34,016 | ||||||
|
|
|
|||||||
| 342,713 | ||||||||
|
|
|
|||||||
| Food, Beverage & Tobacco – 5.3% | ||||||||
| 42,484 | Alliance One International, Inc.* | 146,995 | ||||||
| 3,071 | Constellation Brands, Inc. Class A* | 83,101 | ||||||
|
|
|
|||||||
| Shares | Description | Value | ||||||
|
|
Common Stocks – (continued) |
| ||||||
| Food, Beverage & Tobacco – (continued) | ||||||||
| 30,520 | Dean Foods Co.* | $ | 519,756 | |||||
| 29,105 | Dole Food Co., Inc.*(a) | 255,542 | ||||||
| 5,928 | J&J Snack Foods Corp. | 350,345 | ||||||
| 20,777 | Lancaster Colony Corp. | 1,479,530 | ||||||
| 32,278 | National Beverage Corp.* | 482,233 | ||||||
| 143,789 | Pilgrim’s Pride Corp.*(a) | 1,028,091 | ||||||
| 1,368 | Snyders-Lance, Inc. | 34,515 | ||||||
| 12,165 | The Boston Beer Co., Inc. Class A* | 1,471,965 | ||||||
|
|
|
|||||||
| 5,852,073 | ||||||||
|
|
|
|||||||
| Health Care Equipment & Services – 4.5% | ||||||||
| 30,647 | Align Technology, Inc.* | 1,025,449 | ||||||
| 2,991 | Amedisys, Inc.* | 37,238 | ||||||
| 10,455 | AMN Healthcare Services, Inc.* | 61,998 | ||||||
| 2,894 | Anika Therapeutics, Inc.* | 39,329 | ||||||
| 21,232 | Assisted Living Concepts, Inc. Class A | 301,919 | ||||||
| 6,075 | Bio-Reference Labs, Inc.* | 159,651 | ||||||
| 1,476 | Hill-Rom Holdings, Inc. | 45,535 | ||||||
| 18,579 | Invacare Corp. | 286,674 | ||||||
| 27,543 | Kindred Healthcare, Inc.* | 270,748 | ||||||
| 4,426 | Magellan Health Services, Inc.* | 200,631 | ||||||
| 18,509 | Masimo Corp.* | 414,231 | ||||||
| 6,600 | MedAssets, Inc.* | 88,770 | ||||||
| 23,880 | Medical Action Industries, Inc.* | 83,102 | ||||||
| 29,856 | Molina Healthcare, Inc.* | 700,422 | ||||||
| 33,485 | PharMerica Corp.* | 365,656 | ||||||
| 5,855 | Select Medical Holdings Corp.* | 59,194 | ||||||
| 4,165 | Sirona Dental Systems, Inc.* | 187,467 | ||||||
| 28,604 | Skilled Healthcare Group, Inc. Class A* | 179,633 | ||||||
| 582 | SXC Health Solutions Corp.* | 57,740 | ||||||
| 29,158 | Universal American Corp.* | 307,034 | ||||||
| 12,622 | Vascular Solutions, Inc.* | 158,532 | ||||||
|
|
|
|||||||
| 5,030,953 | ||||||||
|
|
|
|||||||
| Household & Personal Products – 1.2% | ||||||||
| 58,085 | Central Garden and Pet Co. Class A* | 632,545 | ||||||
| 1,815 | Herbalife Ltd. | 87,719 | ||||||
| 20,978 | Medifast, Inc.*(a) | 412,847 | ||||||
| 4,199 | USANA Health Sciences, Inc.* | 172,663 | ||||||
|
|
|
|||||||
| 1,305,774 | ||||||||
|
|
|
|||||||
| Insurance – 2.1% | ||||||||
| 2,303 | Allied World Assurance Co. Holdings AG | 183,020 | ||||||
| 17,877 | American Equity Investment Life Holding Co. | 196,826 | ||||||
| 1,465 | American Financial Group, Inc. | 57,472 | ||||||
| 1,179 | Assurant, Inc. | 41,076 | ||||||
| 38,099 | CNO Financial Group, Inc. | 297,172 | ||||||
| 3,347 | First American Financial Corp. | 56,765 | ||||||
| 20,532 | Flagstone Reinsurance Holdings SA | 164,461 | ||||||
| 4,129 | Global Indemnity PLC* | 83,612 | ||||||
| 33,139 | Maiden Holdings Ltd. | 287,647 | ||||||
|
|
|
|||||||
| 8 | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS VARIABLE INSURANCE TRUST STRUCTURED SMALL CAP EQUITY FUND
| Shares | Description | Value | ||||||
|
|
Common Stocks – (continued) |
| ||||||
| Insurance – (continued) | ||||||||
| 2,930 | Mercury General Corp. | $ | 122,093 | |||||
| 4,705 | OneBeacon Insurance Group Ltd. Class A | 61,259 | ||||||
| 7,889 | Primerica, Inc. | 210,873 | ||||||
| 19,522 | Symetra Financial Corp. | 246,368 | ||||||
| 1,699 | Tower Group, Inc. | 35,458 | ||||||
| 6,331 | Validus Holdings Ltd. | 202,782 | ||||||
| 896 | W.R. Berkley Corp. | 34,872 | ||||||
|
|
|
|||||||
| 2,281,756 | ||||||||
|
|
|
|||||||
| Materials – 3.4% | ||||||||
| 15,836 | A. Schulman, Inc. | 314,344 | ||||||
| 13,236 | Buckeye Technologies, Inc. | 377,094 | ||||||
| 34,028 | Golden Star Resources Ltd.*(a) | 39,472 | ||||||
| 1,012 | Kaiser Aluminum Corp. | 52,462 | ||||||
| 18,862 | KapStone Paper and Packaging Corp.* | 298,963 | ||||||
| 1,526 | Koppers Holdings, Inc. | 51,884 | ||||||
| 30,380 | Kraton Performance Polymers, Inc.* | 665,626 | ||||||
| 1,906 | LSB Industries, Inc.* | 58,914 | ||||||
| 14,155 | Materion Corp. | 325,990 | ||||||
| 22,098 | PolyOne Corp. | 302,301 | ||||||
| 48,974 | Senomyx, Inc.* | 115,089 | ||||||
| 20,667 | Spartech Corp.* | 106,848 | ||||||
| 7,970 | Stepan Co. | 750,614 | ||||||
| 4,761 | TPC Group, Inc.* | 175,919 | ||||||
| 6,519 | Tredegar Corp. | 94,917 | ||||||
|
|
|
|||||||
| 3,730,437 | ||||||||
|
|
|
|||||||
| Media – 0.7% | ||||||||
| 4,032 | Arbitron, Inc. | 141,120 | ||||||
| 3,403 | Cinemark Holdings, Inc. | 77,759 | ||||||
| 8,061 | Entercom Communications Corp. Class A* | 48,527 | ||||||
| 7,679 | Harte-Hanks, Inc. | 70,186 | ||||||
| 59,889 | Journal Communications, Inc. Class A* | 309,027 | ||||||
| 5,062 | Pandora Media, Inc.* | 55,024 | ||||||
| 3,987 | Regal Entertainment Group Class A(a) | 54,861 | ||||||
| 1,242 | Scholastic Corp. | 34,975 | ||||||
|
|
|
|||||||
| 791,479 | ||||||||
|
|
|
|||||||
| Pharmaceuticals, Biotechnology & Life Sciences – 6.4% | ||||||||
| 4,585 | Acorda Therapeutics, Inc.* | 108,023 | ||||||
| 76,681 | Affymetrix, Inc.* | 359,634 | ||||||
| 25,361 | Albany Molecular Research, Inc.* | 64,671 | ||||||
| 5,801 | Alkermes PLC* | 98,443 | ||||||
| 18,148 | AVEO Pharmaceuticals, Inc.* | 220,680 | ||||||
| 1,258 | Charles River Laboratories International, Inc.* | 41,212 | ||||||
| 3,091 | Covance, Inc.* | 147,904 | ||||||
| 29,529 | Cubist Pharmaceuticals, Inc.* | 1,119,444 | ||||||
| 22,458 | Emergent Biosolutions, Inc.* | 340,239 | ||||||
| 18,219 | eResearchTechnology, Inc.* | 145,570 | ||||||
| 13,237 | Genomic Health, Inc.* | 442,116 | ||||||
|
|
|
|||||||
| Shares | Description | Value | ||||||
|
|
Common Stocks – (continued) |
| ||||||
| Pharmaceuticals, Biotechnology & Life Sciences – (continued) | ||||||||
| 29,910 | Jazz Pharmaceuticals PLC* | $ | 1,346,249 | |||||
| 9,837 | Maxygen, Inc.* | 58,629 | ||||||
| 2,773 | Medtox Scientific, Inc.* | 74,760 | ||||||
| 8,595 | Momenta Pharmaceuticals, Inc.* | 116,204 | ||||||
| 92,957 | Nabi Biopharmaceuticals* | 146,872 | ||||||
| 1,697 | Parexel International Corp.* | 47,906 | ||||||
| 46,746 | PDL BioPharma, Inc. | 309,926 | ||||||
| 13,232 | Pharmacyclics, Inc.* | 722,599 | ||||||
| 55,984 | Progenics Pharmaceuticals, Inc.* | 547,523 | ||||||
| 730 | Questcor Pharmaceuticals, Inc.* | 38,865 | ||||||
| 48,417 | Sciclone Pharmaceuticals, Inc.* | 339,403 | ||||||
| 5,478 | Spectrum Pharmaceuticals, Inc.*(a) | 85,238 | ||||||
| 10,074 | Viropharma, Inc.* | 238,754 | ||||||
|
|
|
|||||||
| 7,160,864 | ||||||||
|
|
|
|||||||
| Real Estate – 8.2% | ||||||||
| 3,656 | AG Mortgage Investment Trust, Inc. (REIT) | 78,568 | ||||||
| 10,812 | Agree Realty Corp. (REIT) | 239,270 | ||||||
| 11,517 | Altisource Portfolio Solutions SA* | 843,390 | ||||||
| 7,460 | Ashford Hospitality Trust, Inc. (REIT) | 62,888 | ||||||
| 4,713 | Chesapeake Lodging Trust (REIT) | 81,158 | ||||||
| 2,597 | Colony Financial, Inc. (REIT) | 44,928 | ||||||
| 45,758 | DuPont Fabros Technology, Inc. (REIT) | 1,306,849 | ||||||
| 18,856 | Equity Lifestyle Properties, Inc. (REIT) | 1,300,498 | ||||||
| 41,845 | Franklin Street Properties Corp. (REIT) | 442,720 | ||||||
| 16,513 | Getty Realty Corp. (REIT)(a) | 316,224 | ||||||
| 12,536 | Healthcare Realty Trust, Inc. (REIT) | 298,858 | ||||||
| 14,056 | LTC Properties, Inc. (REIT) | 509,952 | ||||||
| 9,808 | National Health Investors, Inc. (REIT) | 499,423 | ||||||
| 14,495 | Potlatch Corp. (REIT) | 462,970 | ||||||
| 11,863 | PS Business Parks, Inc. (REIT) | 803,362 | ||||||
| 30,589 | Rayonier, Inc. (REIT) | 1,373,446 | ||||||
| 2,142 | Realty Income Corp. (REIT) | 89,471 | ||||||
| 3,120 | Taubman Centers, Inc. (REIT) | 240,739 | ||||||
| 3,365 | Urstadt Biddle Properties, Inc. Class A (REIT) | 66,526 | ||||||
|
|
|
|||||||
| 9,061,240 | ||||||||
|
|
|
|||||||
| Retailing – 8.4% | ||||||||
| 27,864 | Asbury Automotive Group, Inc.* | 660,098 | ||||||
| 4,640 | Big Lots, Inc.* | 189,265 | ||||||
| 7,988 | Core-Mark Holding Co., Inc. | 384,542 | ||||||
| 48,582 | Francesca’s Holdings Corp.* | 1,312,200 | ||||||
| 36,640 | Fred’s, Inc. Class A | 560,226 | ||||||
| 25,043 | Group 1 Automotive, Inc. | 1,142,211 | ||||||
| 32,222 | HOT Topic, Inc. | 312,231 | ||||||
| 20,286 | Lithia Motors, Inc. Class A | 467,592 | ||||||
| 13,554 | Lumber Liquidators Holdings, Inc.* | 457,990 | ||||||
| 18,363 | Shoe Carnival, Inc. | 394,621 | ||||||
| 14,498 | Sonic Automotive, Inc. Class A | 198,188 | ||||||
| 62,365 | Stage Stores, Inc. | 1,142,527 | ||||||
|
|
|
|||||||
| The accompanying notes are an integral part of these financial statements. | 9 |
GOLDMAN SACHS VARIABLE INSURANCE TRUST STRUCTURED SMALL CAP EQUITY FUND
Schedule of Investments (continued)
June 30, 2012 (Unaudited)
| Shares | Description | Value | ||||||
|
|
Common Stocks – (continued) |
| ||||||
| Retailing – (continued) | ||||||||
| 12,331 | The Buckle, Inc.(a) | $ | 487,938 | |||||
| 3,847 | The Finish Line, Inc. Class A | 80,441 | ||||||
| 11,640 | VOXX International Corp.* | 108,485 | ||||||
| 24,345 | Zale Corp.*(a) | 65,488 | ||||||
| 35,002 | Zumiez, Inc.* | 1,386,079 | ||||||
|
|
|
|||||||
| 9,350,122 | ||||||||
|
|
|
|||||||
| Semiconductors & Semiconductor Equipment – 1.9% | ||||||||
| 3,155 | Cypress Semiconductor Corp.* | 41,709 | ||||||
| 7,015 | DSP Group, Inc.* | 44,475 | ||||||
| 170,898 | Lattice Semiconductor Corp.* | 644,285 | ||||||
| 19,017 | LTX-Credence Corp.* | 127,414 | ||||||
| 28,994 | Micrel, Inc. | 276,313 | ||||||
| 1,389 | MKS Instruments, Inc. | 40,184 | ||||||
| 31,248 | Photronics, Inc.* | 190,613 | ||||||
| 53,382 | PLX Technology, Inc.*(a) | 338,976 | ||||||
| 9,655 | RF Micro Devices, Inc.* | 41,034 | ||||||
| 2,870 | Silicon Laboratories, Inc.* | 108,773 | ||||||
| 6,113 | Standard Microsystems Corp.* | 225,508 | ||||||
|
|
|
|||||||
| 2,079,284 | ||||||||
|
|
|
|||||||
| Software & Services – 11.0% | ||||||||
| 40,564 | Accelrys, Inc.* | 328,163 | ||||||
| 12,861 | Acxiom Corp.* | 194,330 | ||||||
| 6,292 | Advent Software, Inc.*(b) | 170,576 | ||||||
| 41,547 | Blackbaud, Inc. | 1,066,512 | ||||||
| 16,664 | Bottomline Technologies, Inc.* | 300,785 | ||||||
| 91,755 | Ciber, Inc.* | 395,464 | ||||||
| 11,815 | CommVault Systems, Inc.* | 585,670 | ||||||
| 7,293 | Cornerstone OnDemand, Inc.* | 173,646 | ||||||
| 11,209 | CSG Systems International, Inc.* | 193,692 | ||||||
| 10,625 | Global Cash Access Holdings, Inc.* | 76,606 | ||||||
| 6,561 | Heartland Payment Systems, Inc. | 197,355 | ||||||
| 2,164 | Imperva, Inc.* | 62,367 | ||||||
| 12,793 | Kenexa Corp.* | 371,381 | ||||||
| 12,426 | Lender Processing Services, Inc. | 314,129 | ||||||
| 121,557 | Lionbridge Technologies, Inc.* | 382,905 | ||||||
| 11,804 | LivePerson, Inc.* | 224,984 | ||||||
| 18,583 | LogMeIn, Inc.* | 567,153 | ||||||
| 20,179 | Manhattan Associates, Inc.* | 922,382 | ||||||
| 55,638 | Marchex, Inc. Class B | 200,853 | ||||||
| 10,091 | MicroStrategy, Inc. Class A* | 1,310,417 | ||||||
| 8,691 | Opnet Technologies, Inc. | 231,094 | ||||||
| 17,853 | Pegasystems, Inc. | 588,792 | ||||||
| 16,973 | PROS Holdings, Inc.* | 285,486 | ||||||
| 7,603 | QAD, Inc. Class A* | 108,115 | ||||||
| 5,637 | QLIK Technologies, Inc.* | 124,690 | ||||||
| 22,017 | Quest Software, Inc.* | 613,173 | ||||||
| 24,977 | RealNetworks, Inc. | 215,801 | ||||||
| 15,437 | Saba Software, Inc.* | 143,255 | ||||||
| 2,220 | SS&C Technologies Holdings, Inc.* | 55,500 | ||||||
| 8,794 | TeleTech Holdings, Inc.* | 140,704 | ||||||
| 15,986 | TIBCO Software, Inc.* | 478,301 | ||||||
| 13,969 | Ultimate Software Group, Inc.* | 1,244,917 | ||||||
|
|
|
|||||||
| 12,269,198 | ||||||||
|
|
|
|||||||
| Shares | Description | Value | ||||||
|
|
Common Stocks – (continued) |
| ||||||
| Technology Hardware & Equipment – 4.7% | ||||||||
| 16,911 | Agilysys, Inc.* | $ | 146,618 | |||||
| 41,074 | Brightpoint, Inc.* | 222,210 | ||||||
| 22,783 | Electronics for Imaging, Inc.* | 370,224 | ||||||
| 32,273 | Emulex Corp.* | 232,366 | ||||||
| 56,040 | Extreme Networks* | 192,778 | ||||||
| 4,456 | Fusion-io, Inc.* | 93,086 | ||||||
| 38,302 | Imation Corp.* | 226,365 | ||||||
| 12,472 | Ingram Micro, Inc. Class A* | 217,886 | ||||||
| 19,606 | Insight Enterprises, Inc.* | 329,969 | ||||||
| 2,010 | Jabil Circuit, Inc. | 40,863 | ||||||
| 32,835 | Methode Electronics, Inc. | 279,426 | ||||||
| 1,408 | Plantronics, Inc. | 47,027 | ||||||
| 165,434 | Quantum Corp.* | 335,831 | ||||||
| 21,771 | Radisys Corp.* | 136,722 | ||||||
| 53,306 | ShoreTel, Inc.* | 233,480 | ||||||
| 32,122 | STEC, Inc.* | 250,552 | ||||||
| 13,508 | Super Micro Computer, Inc.* | 214,237 | ||||||
| 30,589 | Symmetricom, Inc.* | 183,228 | ||||||
| 4,329 | Synaptics, Inc.* | 123,939 | ||||||
| 1,225 | Tech Data Corp.* | 59,008 | ||||||
| 32,503 | Tellabs, Inc. | 108,235 | ||||||
| 60,272 | Vishay Intertechnology, Inc.* | 568,365 | ||||||
| 49,339 | Xyratex Ltd. | 558,024 | ||||||
|
|
|
|||||||
| 5,170,439 | ||||||||
|
|
|
|||||||
| Telecommunication Services – 0.7% | ||||||||
| 25,148 | Cbeyond, Inc.* | 170,252 | ||||||
| 2,963 | magicJack VocalTec Ltd.* | 56,297 | ||||||
| 45,005 | USA Mobility, Inc. | 578,764 | ||||||
|
|
|
|||||||
| 805,313 | ||||||||
|
|
|
|||||||
| Transportation – 3.5% | ||||||||
| 16,427 | Alaska Air Group, Inc.* | 589,729 | ||||||
| 9,312 | Allegiant Travel Co.* | 648,860 | ||||||
| 15,982 | Celadon Group, Inc. | 261,785 | ||||||
| 3,045 | Genesee & Wyoming, Inc. Class A* | 160,898 | ||||||
| 12,124 | Heartland Express, Inc. | 173,494 | ||||||
| 93,345 | Pacer International, Inc.* | 505,930 | ||||||
| 7,676 | Saia, Inc.* | 168,028 | ||||||
| 22,962 | SkyWest, Inc. | 149,942 | ||||||
| 7,243 | Universal Truckload Services, Inc. | 109,550 | ||||||
| 44,823 | Werner Enterprises, Inc. | 1,070,822 | ||||||
|
|
|
|||||||
| 3,839,038 | ||||||||
|
|
|
|||||||
| Utilities – 3.2% | ||||||||
| 8,295 | Alliant Energy Corp. | 378,003 | ||||||
| 9,340 | Avista Corp. | 249,378 | ||||||
| 887 | CH Energy Group, Inc. | 58,267 | ||||||
| 8,851 | CMS Energy Corp. | 207,999 | ||||||
| 1,912 | El Paso Electric Co. | 63,402 | ||||||
| 14,319 | Genie Energy Ltd. Class B | 111,259 | ||||||
| 21,651 | Integrys Energy Group, Inc. | 1,231,292 | ||||||
| 3,402 | New Jersey Resources Corp. | 148,361 | ||||||
| 2,722 | Northwest Natural Gas Co. | 129,567 | ||||||
| 7,571 | NorthWestern Corp. | 277,856 | ||||||
|
|
|
|||||||
| 10 | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS VARIABLE INSURANCE TRUST STRUCTURED SMALL CAP EQUITY FUND
| Shares | Description | Value | ||||||
|
|
Common Stocks – (continued) |
| ||||||
| Utilities – (continued) | ||||||||
| 4,644 | Piedmont Natural Gas Co. | $ | 149,490 | |||||
| 2,912 | PNM Resources, Inc. | 56,901 | ||||||
| 2,719 | SCANA Corp. | 130,077 | ||||||
| 3,592 | Southwest Gas Corp. | 156,791 | ||||||
| 4,657 | TECO Energy, Inc. | 84,105 | ||||||
| 940 | The Laclede Group, Inc. | 37,421 | ||||||
| 1,929 | Vectren Corp. | 56,944 | ||||||
| 2,044 | WGL Holdings, Inc. | 81,249 | ||||||
|
|
|
|||||||
| 3,608,362 | ||||||||
|
|
|
|||||||
| |
TOTAL INVESTMENTS BEFORE SECURITIES LENDING REINVESTMENT VEHICLE |
| ||||||
| (Cost $89,226,513) | $ | 108,272,043 | ||||||
|
|
|
|||||||
| Shares | Rate | Value | ||||||
| Securities Lending Reinvestment Vehicle(c)(d) – 2.5% |
| |||||||
| Goldman Sachs Financial Square Money Market Fund — FST Shares | ||||||||
| 2,759,550 | 0.203 | % | $ | 2,759,550 | ||||
| (Cost $2,759,550) | ||||||||
|
|
||||||||
| TOTAL INVESTMENTS – 100.0% |
|
|||||||
| (Cost $91,986,063) | $ | 111,031,593 | ||||||
|
|
||||||||
| LIABILITIES IN EXCESS OF |
|
(43,433 | ) | |||||
|
|
||||||||
| NET ASSETS – 100.0% |
|
$ | 110,988,160 | |||||
|
|
||||||||
| 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, 2012. | |
| (d) | Represents an affiliated issuer. | |
| Investment Abbreviation: | ||
| REIT | —Real Estate Investment Trust | |
ADDITIONAL INVESTMENT INFORMATION
FUTURES CONTRACTS — At June 30, 2012, the Fund had the following futures contracts:
| Type | Number of Contracts Long (Short) |
Expiration Date |
Current Value |
Unrealized Gain (Loss) |
||||||||||
| Russell 2000 Mini Index | 30 | September 2012 | $ | 2,386,200 | $ | 106,154 | ||||||||
| The accompanying notes are an integral part of these financial statements. | 11 |
GOLDMAN SACHS VARIABLE INSURANCE TRUST STRUCTURED SMALL CAP EQUITY FUND
Statement of Assets and Liabilities
June 30, 2012 (Unaudited)
| Assets: | ||||
| Investments in unaffiliated issuers, at value (cost $89,226,513)(a) |
$ | 108,272,043 | ||
| Investments in affiliated securities lending reinvestment vehicle, at value which equals cost |
2,759,550 | |||
| Cash |
2,775,548 | |||
| Receivables: |
||||
| Investments sold |
809,075 | |||
| Dividends |
81,600 | |||
| Futures variation margin |
70,500 | |||
| Fund shares sold |
3,923 | |||
| Securities lending income |
3,591 | |||
| Other assets |
788 | |||
| Total assets | 114,776,618 | |||
| Liabilities: | ||||
| Payables: |
||||
| Payable upon return of securities loaned |
2,759,550 | |||
| Investments purchased |
820,864 | |||
| Amounts owed to affiliates |
72,077 | |||
| Fund shares redeemed |
32,464 | |||
| Accrued expenses |
103,503 | |||
| Total liabilities | 3,788,458 | |||
| Net Assets: | ||||
| Paid-in capital |
110,771,074 | |||
| Undistributed net investment income |
742,184 | |||
| Accumulated net realized loss |
(19,676,782 | ) | ||
| Net unrealized gain |
19,151,684 | |||
| NET ASSETS | $ | 110,988,160 | ||
| Net Assets: |
||||
| Institutional |
$ | 88,257,741 | ||
| Service |
22,730,419 | |||
| Total Net Assets |
$ | 110,988,160 | ||
| Shares of beneficial interest outstanding $0.001 par value (unlimited shares authorized): |
||||
| Institutional |
7,182,011 | |||
| Service |
1,859,703 | |||
| Net asset value, offering and redemption price per share: |
||||
| Institutional |
$12.29 | |||
| Service |
12.22 | |||
(a) Includes loaned securities having a market value of $2,749,676.
| 12 | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS VARIABLE INSURANCE TRUST STRUCTURED SMALL CAP EQUITY FUND
Statement of Operations
For the Six Months Ended June 30, 2012 (Unaudited)
| Investment income: | ||||
| Dividends |
$ | 774,099 | ||
| Securities lending income — affiliated issuer |
19,870 | |||
| Total investment income | 793,969 | |||
| Expenses: | ||||
| Management fees |
430,361 | |||
| Professional fees |
38,479 | |||
| Printing and mailing costs |
31,705 | |||
| Distribution and Service fees — Service Class |
29,297 | |||
| Custody and accounting fees |
29,009 | |||
| Transfer Agent fees(a) |
11,475 | |||
| Trustee fees |
7,961 | |||
| Registration fees |
608 | |||
| Other |
3,609 | |||
| Total expenses | 582,504 | |||
| Less — expense reductions |
(87,502 | ) | ||
| Net expenses | 495,002 | |||
| NET INVESTMENT INCOME | 298,967 | |||
| Realized and unrealized gain (loss): | ||||
| Net realized gain from: |
||||
| Investments |
8,579,247 | |||
| Futures contracts |
118,602 | |||
| Net change in unrealized gain (loss) on: |
||||
| Investments |
(486,074 | ) | ||
| Futures contracts |
78,052 | |||
| Net realized and unrealized gain | 8,289,827 | |||
| NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS | $ | 8,588,794 | ||
(a) Institutional and Service Shares had Transfer Agent fees of $9,132 and $2,343, respectively.
| The accompanying notes are an integral part of these financial statements. | 13 |
GOLDMAN SACHS VARIABLE INSURANCE TRUST STRUCTURED SMALL CAP EQUITY FUND
Statements of Changes in Net Assets
| For the Six Months Ended June 30, 2012 (Unaudited) |
For the Fiscal Year Ended December 31, 2011 |
|||||||
| From operations: | ||||||||
| Net investment income |
$ | 298,967 | $ | 611,317 | ||||
| Net realized gain |
8,697,849 | 13,546,696 | ||||||
| Net change in unrealized loss |
(408,022 | ) | (13,399,715 | ) | ||||
| Net increase in net assets resulting from operations | 8,588,794 | 758,298 | ||||||
| Distributions to shareholders: | ||||||||
| From net investment income |
||||||||
| Institutional Shares |
— | (744,918 | ) | |||||
| Service Shares |
— | (133,842 | ) | |||||
| Total distributions to shareholders | — | (878,760 | ) | |||||
| From share transactions: | ||||||||
| Proceeds from sales of shares |
5,378,629 | 14,135,180 | ||||||
| Reinvestment of distributions |
— | 878,760 | ||||||
| Cost of shares redeemed |
(13,907,779 | ) | (38,039,237 | ) | ||||
| Net decrease in net assets resulting from share transactions | (8,529,150 | ) | (23,025,297 | ) | ||||
| TOTAL INCREASE (DECREASE) | 59,644 | (23,145,759 | ) | |||||
| Net assets: | ||||||||
| Beginning of period |
110,928,516 | 134,074,275 | ||||||
| End of period |
$ | 110,988,160 | $ | 110,928,516 | ||||
| Undistributed net investment income | $ | 742,184 | $ | 443,217 | ||||
| 14 | The accompanying notes are an integral part of these financial statements. |
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 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
| Year - Share Class | Net asset value, beginning of period |
Net investment income |
Net realized and unrealized gain (loss) |
Total from investment operations |
From net investment income |
From net realized gains |
Total distributions |
Net asset value, end of period |
Total return(a) |
Net assets, end of period (in 000s) |
Ratio of net expenses to average net assets |
Ratio of total expenses to average net assets |
Ratio of net investment income to average net assets |
Portfolio turnover rate(k) | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||
| FOR THE SIX MONTHS ENDED JUNE 30, (UNAUDITED) | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
| 2012 - Institutional |
$ | 11.40 | $ | 0.04 | (b) | $ | 0.85 | $ | 0.89 | $ | — | $ | — | $ | — | $ | 12.29 | 7.81 | % | $ | 88,258 | 0.81 | %(c) | 0.96 | %(c) | 0.57 | %(c) | 35 | % | |||||||||||||||||||||||||||||||||||||||||
| 2012 - Service |
11.35 | 0.02 | (b) | 0.85 | 0.87 | — | — | — | 12.22 | 7.67 | 22,730 | 1.06 | (c) | 1.21 | (c) | 0.32 | (c) | 35 | ||||||||||||||||||||||||||||||||||||||||||||||||||||
| FOR THE FISCAL YEARS ENDED DECEMBER 31, | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
| 2011 - Institutional |
11.42 | 0.06 | (b)(d) | 0.02 | (e) | 0.08 | (0.10 | ) | — | (0.10 | ) | 11.40 | 0.67 | 87,956 | 0.83 | 0.99 | 0.55 | (d) | 33 | |||||||||||||||||||||||||||||||||||||||||||||||||||
| 2011 - Service |
11.37 | 0.03 | (b)(d) | 0.02 | (e) | 0.05 | (0.07 | ) | — | (0.07 | ) | 11.35 | 0.41 | 22,973 | 1.08 | 1.24 | 0.30 | (d) | 33 | |||||||||||||||||||||||||||||||||||||||||||||||||||
| 2010 - Institutional |
8.82 | 0.08 | (b)(f) | 2.58 | 2.66 | (0.06 | ) | — | (0.06 | ) | 11.42 | 30.12 | 106,646 | 0.85 | 0.97 | 0.82 | (f) | 63 | ||||||||||||||||||||||||||||||||||||||||||||||||||||
| 2010 - Service |
8.78 | 0.06 | (b)(f) | 2.56 | 2.62 | (0.03 | ) | — | (0.03 | ) | 11.37 | 29.86 | 27,428 | 1.10 | 1.22 | 0.58 | (f) | 63 | ||||||||||||||||||||||||||||||||||||||||||||||||||||
| 2009 - Institutional |
6.98 | 0.08 | (b)(g) | 1.85 | 1.93 | (0.09 | ) | — | (0.09 | ) | 8.82 | 27.67 | 95,334 | 0.86 | 1.02 | 1.03 | (g) | 212 | ||||||||||||||||||||||||||||||||||||||||||||||||||||
| 2009 - Service |
6.96 | 0.07 | (b)(g) | 1.83 | 1.90 | (0.08 | ) | — | (0.08 | ) | 8.78 | 27.26 | 23,291 | 1.11 | 1.27 | 0.83 | (g) | 212 | ||||||||||||||||||||||||||||||||||||||||||||||||||||
| 2008 - Institutional |
10.71 | 0.09 | (h) | (3.74 | ) | (3.65 | ) | (0.06 | ) | (0.02 | ) | (0.08 | ) | 6.98 | (33.95 | ) | 86,253 | 0.86 | 1.06 | 0.85 | (h) | 189 | ||||||||||||||||||||||||||||||||||||||||||||||||
| 2008 - Service |
10.71 | 0.06 | (h) | (3.73 | ) | (3.67 | ) | (0.06 | ) | (0.02 | ) | (0.08 | ) | 6.96 | (34.16 | ) | 6,464 | 1.11 | 1.31 | 1.92 | (h) | 189 | ||||||||||||||||||||||||||||||||||||||||||||||||
| 2007 - Institutional |
14.44 | 0.07 | (b)(i) | (2.42 | ) | (2.35 | ) | (0.05 | ) | (1.33 | ) | (1.38 | ) | 10.71 | (16.48 | ) | 152,896 | 0.90 | (j) | 0.95 | (j) | 0.49 | (i)(j) | 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 | ||||||||||||||||||||||||||||||||||||||||||||||
| (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 average shares outstanding methodology. |
| (c) | Annualized. |
| (d) | Reflects income recognized from non-recurring special dividends which amounted to $0.02 per share and 0.21% of average net assets. |
| (e) | Reflects an increase of $0.02 due to payments received for class action settlements received this year. |
| (f) | Reflects income recognized from non-recurring special dividends which amounted to $0.04 per share and 0.43% of average net assets. |
| (g) | Reflects income recognized from non-recurring special dividends which amounted to $0.03 per share and 0.43% of average net assets. |
| (h) | Reflects income recognized from non-recurring special dividends which amounted to $0.01 per share and 0.14% of average net assets. |
| (i) | Reflects income recognized from non-recurring special dividends which amounted to $0.02 per share and 0.14% of average net assets. |
| (j) | Includes non-recurring expense for a special shareholder meeting which amounted to approximately 0.03% of average net assets. |
| (k) | The Fund’s portfolio turnover rate is calculated in accordance with regulatory requirements, without regard to transactions involving short term investments and certain derivatives. If such transactions were included, the Fund’s portfolio turnover rate may be higher. |
| The accompanying notes are an integral part of these financial statements. | 15 |
GOLDMAN SACHS VARIABLE INSURANCE TRUST STRUCTURED SMALL CAP EQUITY FUND
Notes to Financial Statements
June 30, 2012 (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. Shares of the Trust are offered to separate accounts of participating life insurance companies for the purpose of funding variable annuity contracts and variable life insurance policies.
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 financial statements have been prepared in accordance with accounting principles generally accepted in the United States of America (“GAAP”) and require management to make estimates and assumptions that may affect the reported amounts and disclosures. Actual results may differ from those estimates and assumptions.
A. Investment Valuation — The Fund’s valuation policy is to value investments at fair value.
B. Investment Income and Investments — Investment income includes interest income and dividend income, net of any foreign withholding taxes, less any amounts reclaimable. Interest income is accrued daily and adjusted for amortization of premiums and accretion of discounts. Dividend income is recognized on ex-dividend date or, for certain foreign securities, as soon as such information is obtained subsequent to the ex-dividend date. Investment transactions are reflected on trade date. Realized gains and losses are calculated using identified cost. Investment transactions are recorded on the following business day for daily net asset value (“NAV”) calculations. Any foreign capital gains tax is accrued daily based upon net unrealized gains, and is payable upon sale of such investments. Distributions received from the Fund’s investments in United States (“U.S.”) real estate investment trusts (“REITs”) may be characterized as ordinary income, net capital gain or a return of capital. A return of capital is recorded by the Funds as a reduction to the cost of the REIT.
For derivative contracts, realized gains and losses are recorded upon settlement of the contract. For securities with paydown provisions, principal payments received are treated as a proportionate reduction to the cost basis of the securities and excess amounts are recorded as gains. For treasury inflation protected securities (“TIPS”), adjustments to principal due to inflation/deflation are reflected as increases/decreases to interest income with a corresponding adjustment to cost. Upfront payments on swaps are recorded as deferred realized gains or losses and are recognized over the contract’s term/event, with the exception of forward starting interest rate swaps whose realized gain or losses are recognized from the effective start date.
C. Class Allocations and Expenses — Investment income, realized and unrealized gain (loss), and non-class specific expenses of each Fund are allocated daily based upon the proportion of net assets of each class. Class specific expenses, where applicable, are borne by the respective share classes and include Distribution and Service and Transfer Agent fees. Non-class specific expenses directly incurred by a Fund are charged to that Fund, while such expenses incurred by the Trust are allocated across the respective Funds on a straight-line and/or pro-rata basis depending upon the nature of the expenses.
D. 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
16
GOLDMAN SACHS VARIABLE INSURANCE TRUST STRUCTURED SMALL CAP EQUITY FUND
2. SIGNIFICANT ACCOUNTING POLICIES (continued)
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.
3. INVESTMENTS AND FAIR VALUE MEASUREMENTS
The fair value of a financial instrument is the amount that would be received to sell an asset or paid to transfer a liability in an orderly transaction between market participants at the measurement date (i.e., the exit price). GAAP establishes a fair value hierarchy that prioritizes the inputs to valuation techniques used to measure fair value. The hierarchy gives the highest priority to unadjusted quoted prices in active markets for identical assets or liabilities (Level 1 measurements) and the lowest priority to unobservable inputs (Level 3 measurements). The levels used for classifying investments are not necessarily an indication of the risk associated with investing in these investments. The three levels of the fair value hierarchy are described below:
Level 1 — Unadjusted quoted prices in active markets that are accessible at the measurement date for identical, unrestricted assets or liabilities;
Level 2 — Quoted prices in markets that are not active or financial instruments for which significant inputs are observable (including, but not limited to, quoted prices for similar investments, interest rates, foreign exchange rates, volatility and credit spreads), either directly or indirectly;
Level 3 — Prices or valuations that require significant unobservable inputs (including GSAM’s assumptions in determining fair value measurement).
A. Level 1 and Level 2 Fair Value Investments — The valuation techniques and significant inputs used in determining the fair values for investments classified as Level 1 and Level 2 are as follows:
Equity Securities — Equity securities and investment companies traded on a U.S. securities exchange or the NASDAQ system, or those located on certain foreign exchanges including, but not limited to the Americas, are valued daily at their last sale price or official closing price on the principal exchange or system on which they are traded. Investments in investment companies (other than those that are exchange traded) are valued at the NAV on the valuation date. If no sale occurs, equity securities and non-exchange traded investment companies are valued at the last bid price for long positions and at the last ask price for short positions. To the extent these investments are actively traded, they are classified as Level 1 of the fair value hierarchy.
Unlisted equity securities for which market quotations are available are valued at the last sale price on the valuation date, or if no sale occurs, at the last bid price. Securities traded on certain foreign securities exchanges are valued daily at fair value determined by an independent fair value service (if available) under valuation procedures approved by the trustees and consistent with applicable regulatory guidance. The independent fair value service takes into account multiple factors including, but not limited to, movements in the securities markets, certain depositary receipts, futures contracts and foreign currency exchange rates that have occurred subsequent to the close of the foreign securities exchange. Investments applying these valuation adjustments are classified as Level 2 of the fair value hierarchy.
Debt Securities — Debt securities, for which market quotations are readily available, are valued daily on the basis of quotations supplied by dealers or an independent pricing service approved by the trustees. The pricing services may use valuation models or matrix pricing, which consider: (i) yield or price with respect to bonds that are considered comparable in characteristics such as rating, interest rate and maturity date or (ii) quotations from securities dealers to determine current value. Short-term debt obligations that mature in sixty days or less and that do not exhibit signs of credit deterioration are valued at amortized cost, which approximates fair value. With the exception of treasury securities, which are generally classified as Level 1, these investments are generally classified as Level 2 of the fair value hierarchy.
Derivative contracts — A derivative is an instrument whose value is derived from underlying assets, indices, reference rates or a combination of these factors.
17
GOLDMAN SACHS VARIABLE INSURANCE TRUST STRUCTURED SMALL CAP EQUITY FUND
Notes to Financial Statements (continued)
June 30, 2012 (Unaudited)
3. INVESTMENTS AND FAIR VALUE MEASUREMENTS (continued)
Exchange-traded derivatives, including futures contracts, typically fall within Level 1 of the fair value hierarchy. Over-thecounter (“OTC”) derivatives are valued using market transactions and other market evidence, including market-based inputs to models, calibration to market-clearing transactions, broker or dealer quotations, or other alternative pricing sources. Where models are used, the selection of a particular model to value an OTC derivative depends upon the contractual terms of, and specific risks inherent in, the instrument, as well as the availability of pricing information in the market. Valuation models require a variety of inputs, including contractual terms, market prices, yield curves, credit curves, measures of volatility, voluntary and involuntary prepayment rates, loss severity rates and correlations of such inputs. For OTC derivatives that trade in liquid markets, model inputs can generally be verified and model selection does not involve significant management judgment. OTC derivatives are classified within Level 2 of the fair value hierarchy when significant inputs are corroborated by market evidence.
i. Futures Contracts — Futures contracts are contracts to buy or sell a standardized quantity of a specified commodity or security and are valued based on exchanged settlement prices or independent market quotes. Futures contracts are valued at the last settlement price, or in the absence of a sale, the last bid price for long positions and at the last ask price for short positions, at the end of each day on the board of trade or exchange upon which they are traded. Upon entering into a futures contract, the 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.
B. Level 3 Fair Value Investments — The valuation techniques and significant inputs used in determining the fair values for investments classified as Level 3 are as follows:
To the extent that the aforementioned significant inputs are unobservable, or if quotations are not readily available, or if GSAM believes that such quotations do not accurately reflect fair value, the fair value of the Fund’s investments may be determined under valuation procedures approved by the trustees. GSAM, consistent with its procedures and applicable regulatory guidance, may make an adjustment to the most recent valuation prices of either domestic or foreign securities in light of significant events to reflect what it believes to be the fair value of the securities at the time of determining a Fund’s NAV. Significant events which could affect a large number of securities in a particular market may include, but are not limited to significant fluctuations in U.S. or foreign markets; market dislocations; market disruptions or unscheduled market closings. Significant events, which could also affect a single issuer, may include, but are not limited to corporate actions such as reorganizations, mergers and buy-outs; ratings downgrades; and bankruptcies.
C. Fair Value Hierarchy — The following is a summary of the Fund’s investments and derivatives classified in the fair value hierarchy as of June 30, 2012:
| Investment Type | Level 1 | Level 2 | Level 3 | |||||||||
| Assets | ||||||||||||
| Common Stock and/or Other Equity Investments | $ | 108,272,043 | $ | — | $ | — | ||||||
| Securities Lending Reinvestment Vehicle | 2,759,550 | — | — | |||||||||
| Total | $ | 111,031,593 | $ | — | $ | — | ||||||
| Derivative Type | ||||||||||||
| Assets(a) | ||||||||||||
| Futures Contracts | $ | 106,154 | $ | — | $ | — | ||||||
| (a) | Amount shown represents unrealized gain (loss) at period end. |
18
GOLDMAN SACHS VARIABLE INSURANCE TRUST STRUCTURED SMALL CAP EQUITY FUND
4. INVESTMENTS IN DERIVATIVES
The following table sets forth, by certain risk types, the gross value of derivative contracts as of June 30, 2012. These instruments were used to meet the Fund’s investment objectives and to obtain and/or manage exposure related to the risks below. The values in the tables below exclude the effects of cash collateral received or posted pursuant to these derivative contracts, and therefore are not representative of the Fund’s net exposure.
| Risk | Statement of Assets and Liabilities Location |
Assets(a) | ||||
| Equity | Unrealized gain on futures variation margin | $ | 106,154 | |||
| (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, 2012. These gains (losses) should be considered in the context that these derivative contracts may have been executed to economically hedge certain investments, and accordingly, certain gains (losses) on such derivative contracts may offset certain (losses) gains attributable to investments. These gains (losses) are included in “Net realized gain (loss)” or “Net change in unrealized gain (loss)” on the Statement of Operations:
| Risk | Statement of Operations Location | Net Realized Gain (Loss) |
Net Change in Unrealized Gain (Loss) |
Average Number of Contracts(a) |
||||||||||
| Equity | Net realized gain (loss) from futures contracts/Net change in unrealized gain (loss) on futures contracts | $ | 118,602 | $ | 78,052 | 33 | ||||||||
| (a) | Average number of contracts is based on the average of month end balances for the six months ended June 30, 2012. |
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, 2012, contractual and effective net management fees with GSAM were at the following rates:
| Contractual Management Rate | Effective Net Management |
|||||||||||||||||||||
| First $2 billion |
Next $3 billion |
Next $3 billion |
Over $8 billion |
Effective Rate |
||||||||||||||||||
| 0.75% | 0.68 | % | 0.65 | % | 0.64 | % | 0.75 | % | 0.70 | %* | ||||||||||||
| * | GSAM agreed to waive a portion of its management fee in order to achieve the effective net management rate shown above through April 27, 2013. Prior to such date GSAM may not terminate the arrangement without the approval of the trustees. For the six months ended June 30, 2012, GSAM waived approximately $28,700 of its 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.
19
GOLDMAN SACHS VARIABLE INSURANCE TRUST STRUCTURED SMALL CAP EQUITY FUND
Notes to Financial Statements (continued)
June 30, 2012 (Unaudited)
5. AGREEMENTS AND AFFILIATED TRANSACTIONS (continued)
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, 0.094% 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 April 27, 2013, and prior to such date GSAM may not terminate the arrangement without the approval of the trustees. For the six months ended June 30, 2012, GSAM reimbursed approximately $57,400 to the Fund. In addition, the Fund has entered into certain offset arrangements with the custodian, which may result in a reduction of the Fund’s expenses. For the six months ended June 30, 2012, custody fee credits were approximately $1,400.
As of June 30, 2012, the amounts owed to affiliates were approximately $65,800, $4,500 and $1,800 for management, distribution and service, and transfer agent fees, respectively.
E. Line of Credit Facility — As of June 30, 2012, the Fund participated in a $630,000,000 committed, unsecured revolving line of credit facility (the “facility”) together with other funds of the Trust and registered investment companies having management agreements with GSAM or its affiliates (“Other Borrowers”). Pursuant to the terms of the facility, the Fund and Other Borrowers could increase the credit amount by an additional $340,000,000, for a total of up to $970,000,000. This facility is to be used solely for temporary or emergency purposes. The interest rate on borrowings is based on the federal funds rate. The facility also requires a fee to be paid by the Fund based on the amount of the commitment that has not been utilized. For the six months ended June 30, 2012, the Fund did not have any borrowings under the facility. Prior to May 8, 2012, the amount available through the facility was $580,000,000.
F. Other Transactions with Affiliates — For the six months ended June 30, 2012, 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, 2012, were $38,765,530 and $46,754,393, 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.
20
GOLDMAN SACHS VARIABLE INSURANCE TRUST STRUCTURED SMALL CAP EQUITY FUND
7. SECURITIES LENDING (continued)
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 the 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 received compensation relating to the lending of the Fund’s securities. The amount earned by the Fund for the six months ended June 30, 2012, is reported under Investment Income on the Statement of Operations. A portion of this amount, $5,927, represents compensation earned by the Fund from lending its securities to Goldman Sachs. For the six months ended June 30, 2012, GSAL earned $2,222 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, 2012 (in thousands):
| Number of Shares Held Beginning of Period |
Shares Bought | Shares Sold | Number of Shares Held |
Value at End of Period |
||||||||||||||
| 2,056 | 13,025 | (12,321 | ) | 2,760 | $ | 2,760 | ||||||||||||
8. TAX INFORMATION
As of the Fund’s most recent fiscal year end, December 31, 2011, the Fund’s capital loss carryovers and certain timing differences, on a tax-basis were as follows:
| Capital loss carryovers:(1) | ||||
| Expiring 2016 |
$ | (10,064,202 | ) | |
| Expiring 2017 |
(17,973,195 | ) | ||
| Total capital loss carryovers | $ | (28,037,397 | ) | |
| Timing differences (late year ordinary loss deferral and certain REIT dividends) | $ | (56,852 | ) |
| (1) | Expiration occurs on December 31 of the year indicated. |
As of June 30, 2012, the Fund’s aggregate security unrealized gains and losses based on cost for U.S. federal income tax purposes were as follows:
| Tax cost | $ | 92,235,477 | ||
| Gross unrealized gain | 24,565,623 | |||
| Gross unrealized loss | (5,769,507 | ) | ||
| Net unrealized security gain | $ | 18,796,116 |
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, differences related to the tax treatment of passive foreign investment companies and partnership 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.
21
GOLDMAN SACHS VARIABLE INSURANCE TRUST STRUCTURED SMALL CAP EQUITY FUND
Notes to Financial Statements (continued)
June 30, 2012 (Unaudited)
9. OTHER RISKS
The Fund’s risks include, but are not limited to, the following:
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. OTHER MATTERS
New Accounting Pronouncement — In December 2011, Accounting Standards Update 2011-11 (ASU 2011-11), Amendments to Disclosures about Offsetting Assets and Liabilities Requirements in U.S. GAAP and International Financial Reporting Standards, was issued and is effective for interim periods and annual periods beginning on or after January 1, 2013. The amendments are the result of the work by Financial Accounting Standards Board and the International Accounting Standards Board to develop common requirements for disclosing information about offsetting and related arrangements. GSAM is currently evaluating the application of ASU 2011-11 and its impact, if any, on the Fund’s financial statements.
Other — On February 8, 2012, the Commodity Futures Trading Commission (CFTC) adopted amendments to several of its rules relating to commodity pool operators, including Rule 4.5. The Fund currently relies on Rule 4.5’s exclusion from CFTC regulation for regulated investment companies. GSAM is currently evaluating the amendments and their impact, if any, on the Fund’s financial statements.
12. 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.
22
GOLDMAN SACHS VARIABLE INSURANCE TRUST STRUCTURED SMALL CAP EQUITY FUND
13. SUMMARY OF SHARE TRANSACTIONS
Share activity is as follows:
| For the Six Months Ended June 30, 2012 (Unaudited) |
For the Fiscal Year Ended December 31, 2011 |
|||||||||||||||
| Shares | Dollars | Shares | Dollars | |||||||||||||
| Institutional Shares | ||||||||||||||||
| Shares sold | 423,491 | $ | 5,262,338 | 1,149,991 | $ | 13,642,505 | ||||||||||
| Reinvestment of distributions | — | — | 65,458 | 744,918 | ||||||||||||
| Shares redeemed | (957,906 | ) | (11,765,970 | ) | (2,834,786 | ) | (32,782,326 | ) | ||||||||
| (534,415 | ) | (6,503,632 | ) | (1,619,337 | ) | (18,394,903 | ) | |||||||||
| Service Shares | ||||||||||||||||
| Shares sold | 9,462 | 116,291 | 45,603 | 492,675 | ||||||||||||
| Reinvestment of distributions | — | — | 11,803 | 133,842 | ||||||||||||
| Shares redeemed | (173,529 | ) | (2,141,809 | ) | (445,139 | ) | (5,256,911 | ) | ||||||||
| (164,067 | ) | (2,025,518 | ) | (387,733 | ) | (4,630,394 | ) | |||||||||
| NET DECREASE | (698,482 | ) | $ | (8,529,150 | ) | (2,007,070 | ) | $ | (23,025,297 | ) | ||||||
23
GOLDMAN SACHS VARIABLE INSURANCE TRUST STRUCTURED SMALL CAP EQUITY FUND
| Fund Expenses — Six Month Period Ended June 30, 2012 (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, 2012 through June 30, 2012.
Actual Expenses — The first line under each share class in the table below provides information about actual account values and actual expenses. You may use the information in this line, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000=8.6), then multiply the result by the number in the first line under the heading entitled “Expenses Paid” to estimate the expenses you paid on your account during this period.
Hypothetical Example for Comparison Purposes — The second line under each share class in the table below provides information about hypothetical account values and hypothetical expenses based on the 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, 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.
| Share Class | Beginning Account Value 1/01/12 |
Ending Account Value 6/30/12 |
Expenses Paid for the 6 Months Ended 6/30/12* |
|||||||||
| Institutional | ||||||||||||
| Actual | $ | 1,000 | $ | 1,078.10 | $ | 4.19 | ||||||
| Hypothetical 5% return | 1,000 | 1,020.84 | + | 4.07 | ||||||||
| Service | ||||||||||||
| Actual | 1,000 | 1,076.70 | 5.47 | |||||||||
| Hypothetical 5% return | 1,000 | 1,019.59 | + | 5.32 | ||||||||
| * | Expenses 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, 2012. Expenses are calculated by multiplying the annualized net expense ratio by the average account value for the period; then multiplying the result by the number of days in the most recent fiscal half year; and then dividing that result by the number of days in the fiscal year. The annualized net expense ratios for the period were 0.81% and 1.06% 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. |
24
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, 2013 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 13, 2012 (the “Annual Meeting”).
The review process undertaken by the Trustees spans the course of the year and culminates with the Annual Meeting. To assist the Trustees in their deliberations, the Trustees have established a Contract Review Committee (the “Committee”), comprised of the Independent Trustees. The Committee held three meetings over the course of the year since the Management 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, compliance testing, market risk analysis, finance and strategy and central funding), sales and distribution support groups and others (e.g., information technology and training); |
| (iii) | trends in headcount; |
| (iv) | the Investment Adviser’s financial resources and ability to hire and retain talented personnel and strengthen its operations; and |
| (v) | the parent company’s support of the Investment Adviser and its mutual fund business, as expressed by the firm’s senior management; |
| (b) | information on the investment performance of the Fund, including comparisons to the performance of a group 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 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 levels 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 limit 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, securities lending, portfolio trading, distribution and other services; |
25
GOLDMAN SACHS VARIABLE INSURANCE TRUST STRUCTURED SMALL CAP EQUITY FUND
Statement Regarding Basis for Approval of Management Agreement (Unaudited) (continued)
| (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 and broker oversight, 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 of the Investment Adviser’s portfolio management teams that had occurred in recent periods, and the potential benefit to the Fund of the ongoing recruitment efforts aimed at bringing high quality investment talent to the Investment Adviser. The Independent Trustees concluded that the Investment Adviser continued to commit substantial financial and operational resources to the 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 investment performance of the Fund to its peers using rankings and ratings compiled by the Outside Data Provider as of December 31, 2011, and updated performance information prepared by the Investment Adviser using the peer group identified by the Outside Data Provider as of March 31, 2012. 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.
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.
26
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 the Fund placed in the top half of its peer group for the one- and three-year periods ended March 31, 2012. They further noted that the Fund outperformed its benchmark index for the one- and three-year periods ended March 31, 2012. They also noted that the Fund. The Independent Trustees observed that the Fund demonstrated strong performance in the one- and three-year periods. In addition, they noted additions to senior management of the Fund. The Independent Trustees also recognized the portfolio management team’s recent undertaking to enhance its investment models to strengthen 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 a category universe; an expense analysis which compared the Fund’s overall net and gross expenses to a peer group and a category universe; and a five-year history comparing the Fund’s net expenses to the peer and category medians. The analyses also compared the Fund’s transfer agency, custody and distribution fees, other expenses and fee waivers/reimbursements to those of other funds in the peer group and the peer group and category medians. The Trustees concluded that the comparisons provided by the Outside Data Provider were useful in evaluating the reasonableness of the management fees and total expenses paid by the Fund.
In addition, the Trustees considered the Investment Adviser’s undertakings to waive a portion of its management fees and limit certain expenses of the Fund that exceed a 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 2011 and 2010, and the Trustees considered this information in relation to the Investment Adviser’s overall profitability. The Trustees considered the Investment Adviser’s revenues and pre-tax profit margins both in absolute terms and in comparison to information on the reported pre-tax profit margins earned by certain other asset management firms.
Economies of Scale
The Trustees considered the information that had been provided regarding the Investment Adviser’s profitability. The Trustees also considered the breakpoints in the fee rate payable under the Management 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 |
27
GOLDMAN SACHS VARIABLE INSURANCE TRUST STRUCTURED SMALL CAP EQUITY FUND
Statement Regarding Basis for Approval of Management Agreement (Unaudited) (continued)
The Trustees noted that the breakpoints were meant to 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 waive certain fees and limit certain expenses of the Fund that exceed a specified level. 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 fund 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 these 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 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 risk management systems and databases), subject to certain restrictions; 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, 2013.
28
| TRUSTEES | OFFICERS | |
| Ashok N. Bakhru, Chairman | James A. McNamara, President | |
| Donald C. Burke | George F. Travers, Principal Financial Officer | |
| John P. Coblentz, Jr. | Caroline L. Kraus, Secretary | |
| Diana M. Daniels | Scott M. McHugh, Treasurer | |
| Joseph P. LoRusso | ||
| 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 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 for the 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 are as of June 30, 2012 and may not be representative of future investments. Fund holdings should not be relied on in making investment decisions and should not be construed as research or investment advice regarding particular securities.
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 Institution 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.
© 2012 Goldman Sachs. All rights reserved.
VITSCSAR12/79379.MF.MED.TMPL/8/2012
Goldman
Sachs Variable Insurance Trust
Goldman Sachs
Structured U.S. Equity Fund
Semi-Annual Report
June 30, 2012
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 primarily in a 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 Investment Adviser’s use of quantitative models to execute investment strategy may fail to produce the intended result. Different investment styles (e.g., “quantitative”) tend to shift in and out of favor, and at times the Fund may underperform other funds that invest in similar asset classes. The Fund may have a high rate of portfolio turnover, which involves correspondingly greater expenses which must be borne by the Fund, and is also likely to result in short-term capital gains taxable to shareholders.
1
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 Goldman Sachs Variable Insurance Trust — Goldman Sachs Structured U.S. Equity Fund’s (the “Fund”) performance and positioning for the six-month period ended June 30, 2012 (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 8.15% and 7.95%, respectively. These returns compare to the 9.49% 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. equity markets gained significant ground during the Reporting Period, with relatively strong performance versus many other developed markets reflecting optimism on a U.S. economic recovery and simultaneous concerns over Europe’s persistent sovereign debt crisis. Representing the U.S. equity market, the S&P® 500 Index returned 9.49% for the six months ended June 30, 2012.
During the first calendar quarter, U.S. equity markets rose on evidence that the labor market, manufacturing and retail sales were improving. News that the Federal Reserve Board (the “Fed”) reduced its outlook for near-term economic growth was offset by its commitment to keep interest rates low until at least late 2014. U.S. banks showed the biggest quarterly increase in lending in four years, while losses from loans fell to their lowest level since early 2008. As a result, financials stocks, which had lagged significantly in 2011, rallied sharply. Elsewhere, strong corporate earnings reports boosted a number of large-cap information technology stocks, and the NASDAQ reached a new 11-year high. The Dow Jones Industrial Average closed above 13,000 for the first time since May 2008.
U.S. equity markets then retreated in April and May 2012 amidst questions about the strength of the U.S. economic recovery and increasing uncertainty in Europe. The U.S. labor market, which had been reporting improvements, appeared to lose some momentum in April, as jobless claims increased for several weeks in a row, and deteriorated further in May. In addition, the initial first quarter Gross Domestic Product (“GDP”) estimate of 2.2% was lower than expected and was subsequently revised down to 1.9%. However, housing market data showed some signs of stabilization, and consumer confidence offered mixed signals. Outside of domestic economic concerns, Europe’s troubles as well as disappointing economic reports from faster growing regions of the world renewed fears of a global economic slowdown. Anticipating weaker demand, the benchmark West Texas Intermediate crude oil price slid more than 20% during the second calendar quarter to less than $80 per barrel. Markets rallied on the last day of June on the announcement of some coordinated action by European leaders following summit talks, which boosted U.S. equity market returns for the month of June overall.
For the Reporting Period overall, sector performance was widely dispersed, with no clear trend between economically-sensitive and traditional defensive sectors. Within the S&P® 500 Index, energy was the only sector to generate negative returns, in large part because of the decline in oil prices during the second calendar quarter. Other lagging sectors included utilities, materials, industrials and consumer staples. The financials sector posted amongst the strongest returns during the Reporting Period, despite a downgrade from Moody’s Investors Service of 15 international banks. Other strong sectors within the S&P® 500 Index during the Reporting Period were telecommunication services, information technology and consumer discretionary. The top-weighted information technology sector was the largest positive contributor (weight times performance) to S&P® 500 Index returns.
All segments of the U.S. equity market advanced during the Reporting Period, with large-cap stocks, as measured by the Russell 1000® Index gaining most, followed by small-cap stocks and then mid-cap stocks, as measured by the Russell 2000® Index and Russell Midcap® Index, respectively. Large-cap stocks were most successful relative to small-cap stocks in the information technology sector. From a style perspective, growth-oriented stocks outpaced value-oriented stocks across the capitalization spectrum. In the large-cap segment of the U.S. equity market, growth stock outperformed value stocks primarily due to the stronger performance of growth-oriented information technology stocks. (All as measured by the Russell Investments indices.)
2
GOLDMAN SACHS VARIABLE INSURANCE TRUST STRUCTURED U.S. 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 underperformed during the Reporting Period, with the Fund’s Valuation theme detracting the most. 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. The Management, Quality and Momentum themes also detracted, albeit to a lesser extent. The Management theme assesses the characteristics, policies and strategic decisions of company managements. The Quality theme evaluates whether the company’s earnings are coming from more persistent, cash-based sources, as opposed to accruals. The Momentum theme seeks to predict drifts in stock prices caused by delayed investor reaction to company-specific information and information about related companies.
The Profitability theme contributed most positively to the Fund’s relative performance during the Reporting Period, followed by Sentiment. 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.
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 detracted from the Fund’s relative performance.
Stock selection in the financials, information technology and consumer staples sectors detracted most from the Fund’s results relative to the S&P 500 Index. Only partially offsetting these detractors was stock selection in the energy, industrials and telecommunication services sectors, which made the biggest positive contributions to the Fund’s results relative to its benchmark index.
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 mattress and pillow manufacturer Tempur-Pedic International, managed health care company Humana and pharmaceuticals company Eli Lilly. The Fund had overweighted positions in Tempur-Pedic International and Humana due to our positive views on Momentum and Profitability. The Fund was overweight Eli Lilly because our positive views on Profitability and Value.
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 biopharmaceutical company Alexion Pharmaceuticals and software giant Microsoft and from an underweight position in fast-food retailer McDonalds. We chose to overweight Alexion Pharmaceuticals due to our positive views on Profitability and Quality. The overweight in Microsoft was the result of our positive views on Momentum and Profitability. The Fund was underweight McDonalds given our negative views on Profitability and Value.
3
GOLDMAN SACHS VARIABLE INSURANCE TRUST STRUCTURED U.S. 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. During the Reporting Period, we implemented an enhancement to our stock selection process globally, incorporating several measures to the signals within our Valuation theme. These include cash flow signals, book value signals, dividend and buyback signals, forecasted and realized earnings signals and structural valuation signals. The signal weights are customized based on the stock’s industry, sector and geographic location. We believe these additional signals will help capture the intrinsic value of a company more effectively and further add value to our process.
Additionally, we extended our price momentum timing insight to the emerging markets and the U.K. regions. This enhancement aims to capture price momentum in the markets while including a component of timing. Our research indicates that including a timing signal can improve the risk-adjusted returns of the Momentum theme and can significantly mitigate drawdown risk. We also added a new signal within our Momentum theme.
What was the Fund’s sector positioning relative to its benchmark index at the end of the Reporting Period?
As of June 30, 2012, the Fund was overweight the information technology, consumer staples and energy sectors relative to the S&P 500 Index. The Fund was underweight materials, industrials, health care, financials, utilities and telecommunication services and was rather neutrally weighted in consumer discretionary 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 about which fundamental research analysts are becoming more positive as well as profitable companies with sustainable earnings and a track record of using their 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.
4
FUND BASICS
Structured U.S. Equity Fund
as of June 30, 2012
STANDARDIZED TOTAL RETURNS1
| For the period ended 6/30/12 | One Year | Five Years | Ten Years | Since Inception | Inception Date | |||||||||||||
| Institutional | 3.95 | % | -1.91 | % | 4.49 | % | 2.92 | % | 02/13/98 | |||||||||
| Service | 3.71 | -2.10 | N/A | 0.49 | 01/09/06 | |||||||||||||
| 1 | The Standardized 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”). Because Institutional and Service Shares do not involve a sales charge, such a charge is not applied to their Standardized Total Returns. |
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 applicable fee waivers and/or expense limitations) and before waivers (gross of applicable fee waivers and/or expense limitations) are as set forth above according to the most recent publicly available Prospectus for the Fund and may differ from the expense ratios disclosed in the Financial Highlights in this report. The Fund’s waivers and/or expense limitations will remain in place through at least April 27, 2013, and prior to such date the investment adviser may not terminate the arrangements without the approval of the Fund’s Board of Trustees. If these arrangements are discontinued in the future, the expense ratios may change without shareholder approval. |
TOP TEN HOLDINGS AS OF 6/30/123
| Holding | % of Total Net Assets | Line of Business | ||||
| Apple, Inc. | 4.4% | Technology Hardware & Equipment | ||||
| Exxon Mobil Corp. | 3.7 | Energy | ||||
| Microsoft Corp. | 2.5 | Software & Services | ||||
| AT&T, Inc. | 2.4 | Telecommunication Services | ||||
| Chevron Corp. | 2.3 | Energy | ||||
| Oracle Corp. | 2.2 | Software & Services | ||||
| The Procter & Gamble Co. | 2.2 | Household & Personal Products | ||||
| Google, Inc. Class A | 2.0 | Software & Services | ||||
| JPMorgan Chase & Co. | 1.9 | Diversified Financials | ||||
| General Electric Co. | 1.8 | Capital Goods | ||||
| 3 | The top 10 holdings may not be representative of the Fund’s future investments. |
5
FUND BASICS
FUND vs. BENCHMARK SECTOR ALLOCATIONS4
As of June 30, 2012
| 4 | The Fund is actively managed and, as such, its composition may differ over time. Consequently, the Fund’s overall sector allocations may differ from percentages contained in the graph above. The graph categorizes investments using Global Industry Classification Standard (“GICS”), however, the sector classifications used by the portfolio management team may differ from GICS. The percentage shown for each investment category reflects the value of investments in that category as a percentage of market value (excluding investments in the securities lending reinvestment vehicle, if any). Investments in the securities lending reinvestment vehicle represented approximately 0.0% of the Fund’s net assets at June 30, 2012. The graph depicts the Fund’s investments but may not represent the Fund’s market exposure due to the exclusion of certain derivatives, if any, as listed in the Additional Investment Information section of the Schedule of Investments. |
6
GOLDMAN SACHS VARIABLE INSURANCE TRUST STRUCTURED U.S. EQUITY FUND
Schedule of Investments
June 30, 2012 (Unaudited)
| Shares | Description | Value | ||||||
|
|
Common Stocks – 97.6% |
| ||||||
| Automobiles & Components – 0.3% | ||||||||
| 17,529 | Harley-Davidson, Inc. | $ | 801,601 | |||||
| 16,613 | Thor Industries, Inc. | 455,363 | ||||||
|
|
|
|||||||
| 1,256,964 | ||||||||
|
|
|
|||||||
| Banks – 2.4% | ||||||||
| 11,153 | Bank of Hawaii Corp. | 512,480 | ||||||
| 6,235 | BB&T Corp. | 192,350 | ||||||
| 6,661 | City National Corp. | 323,591 | ||||||
| 14,930 | Commerce Bancshares, Inc. | 565,847 | ||||||
| 29,378 | East West Bancorp, Inc. | 689,208 | ||||||
| 31,081 | Fifth Third Bancorp | 416,485 | ||||||
| 193,509 | First Niagara Financial Group, Inc. | 1,480,344 | ||||||
| 23,237 | Fulton Financial Corp. | 232,138 | ||||||
| 12,363 | M&T Bank Corp. | 1,020,813 | ||||||
| 46,524 | PNC Financial Services Group, Inc. | 2,843,082 | ||||||
| 21,265 | Wells Fargo & Co. | 711,101 | ||||||
|
|
|
|||||||
| 8,987,439 | ||||||||
|
|
|
|||||||
| Capital Goods – 5.1% | ||||||||
| 13,473 | Alliant Techsystems, Inc. | 681,330 | ||||||
| 18,332 | Emerson Electric Co. | 853,905 | ||||||
| 34,112 | Exelis, Inc. | 336,344 | ||||||
| 317,054 | General Electric Co. | 6,607,405 | ||||||
| 5,532 | Huntington Ingalls Industries, Inc.* | 222,608 | ||||||
| 21,768 | MSC Industrial Direct Co., Inc. Class A | 1,426,892 | ||||||
| 52,729 | Northrop Grumman Corp. | 3,363,583 | ||||||
| 23,500 | The Boeing Co. | 1,746,050 | ||||||
| 47,216 | The Toro Co. | 3,460,461 | ||||||
| 6,095 | Trinity Industries, Inc. | 152,253 | ||||||
|
|
|
|||||||
| 18,850,831 | ||||||||
|
|
|
|||||||
| Commercial & Professional Services – 0.1% | ||||||||
| 11,129 | Copart, Inc.* | 263,646 | ||||||
|
|
|
|||||||
| Consumer Services – 1.8% | ||||||||
| 116,501 | Marriott International, Inc. Class A | 4,566,839 | ||||||
| 18,246 | Marriott Vacations Worldwide Corp.* | 565,261 | ||||||
| 23,072 | Starbucks Corp. | 1,230,199 | ||||||
| 7,107 | Weight Watchers International, Inc. | 366,437 | ||||||
|
|
|
|||||||
| 6,728,736 | ||||||||
|
|
|
|||||||
| Diversified Financials – 5.1% | ||||||||
| 27,256 | American Express Co. | 1,586,572 | ||||||
| 58,555 | Capital One Financial Corp. | 3,200,616 | ||||||
| 6,323 | CME Group, Inc. | 1,695,260 | ||||||
| 30,309 | Discover Financial Services | 1,048,085 | ||||||
| 18,716 | Franklin Resources, Inc. | 2,077,289 | ||||||
| 192,970 | JPMorgan Chase & Co. | 6,894,818 | ||||||
| 10,800 | Raymond James Financial, Inc. | 369,792 | ||||||
| 99,874 | SEI Investments Co. | 1,986,494 | ||||||
|
|
|
|||||||
| 18,858,926 | ||||||||
|
|
|
|||||||
|
|
Common Stocks – (continued) |
| ||||||
| Energy – 12.4% | ||||||||
| 4,149 | Apache Corp. | $ | 364,656 | |||||
| 80,005 | Chevron Corp. | 8,440,527 | ||||||
| 7,882 | Cimarex Energy Co. | 434,456 | ||||||
| 106,047 | ConocoPhillips | 5,925,906 | ||||||
| 16,719 | Devon Energy Corp. | 969,535 | ||||||
| 159,879 | Exxon Mobil Corp. | 13,680,846 | ||||||
| 48,810 | Hess Corp. | 2,120,794 | ||||||
| 30,010 | HollyFrontier Corp. | 1,063,254 | ||||||
| 59,193 | Marathon Petroleum Corp. | 2,658,950 | ||||||
| 42,936 | Murphy Oil Corp. | 2,159,251 | ||||||
| 39,263 | Occidental Petroleum Corp. | 3,367,588 | ||||||
| 13,936 | Phillips 66* | 463,233 | ||||||
| 44,876 | Tesoro Corp.* | 1,120,105 | ||||||
| 65,921 | The Williams Companies, Inc. | 1,899,843 | ||||||
| 47,234 | Valero Energy Corp. | 1,140,701 | ||||||
|
|
|
|||||||
| 45,809,645 | ||||||||
|
|
|
|||||||
| Food & Staples Retailing – 2.7% | ||||||||
| 99,816 | CVS Caremark Corp. | 4,664,402 | ||||||
| 181,059 | Walgreen Co. | 5,355,725 | ||||||
|
|
|
|||||||
| 10,020,127 | ||||||||
|
|
|
|||||||
| Food, Beverage & Tobacco – 8.4% | ||||||||
| 38,492 | Archer-Daniels-Midland Co. | 1,136,284 | ||||||
| 23,844 | Coca-Cola Enterprises, Inc. | 668,586 | ||||||
| 60,616 | Constellation Brands, Inc. Class A* | 1,640,269 | ||||||
| 142,019 | Dean Foods Co.* | 2,418,583 | ||||||
| 6,711 | Hormel Foods Corp. | 204,149 | ||||||
| 39,111 | Lorillard, Inc. | 5,160,696 | ||||||
| 21,083 | Monster Beverage Corp.* | 1,501,110 | ||||||
| 8,264 | PepsiCo, Inc. | 583,934 | ||||||
| 68,264 | Philip Morris International, Inc. | 5,956,717 | ||||||
| 113,206 | Reynolds American, Inc. | 5,079,553 | ||||||
| 25,038 | Smithfield Foods, Inc.* | 541,572 | ||||||
| 8,906 | The Coca-Cola Co. | 696,360 | ||||||
| 16,180 | The Hershey Co. | 1,165,445 | ||||||
| 243,694 | Tyson Foods, Inc. Class A | 4,588,758 | ||||||
|
|
|
|||||||
| 31,342,016 | ||||||||
|
|
|
|||||||
| Health Care Equipment & Services – 3.4% | ||||||||
| 24,611 | AmerisourceBergen Corp. | 968,443 | ||||||
| 173,324 | Boston Scientific Corp.* | 982,747 | ||||||
| 39,365 | Cardinal Health, Inc. | 1,653,330 | ||||||
| 15,738 | Coventry Health Care, Inc. | 500,311 | ||||||
| 11,886 | DENTSPLY International, Inc. | 449,410 | ||||||
| 11,898 | Express Scripts Holding Co.* | 664,265 | ||||||
| 61,978 | Humana, Inc. | 4,799,576 | ||||||
| 6,683 | SXC Health Solutions Corp.* | 663,020 | ||||||
| 31,154 | WellPoint, Inc. | 1,987,314 | ||||||
|
|
|
|||||||
| 12,668,416 | ||||||||
|
|
|
|||||||
| Household & Personal Products – 2.5% | ||||||||
| 19,036 | Herbalife Ltd. | 920,010 | ||||||
| 133,533 | The Procter & Gamble Co. | 8,178,896 | ||||||
|
|
|
|||||||
| 9,098,906 | ||||||||
|
|
|
|||||||
| The accompanying notes are an integral part of these financial statements. | 7 |
GOLDMAN SACHS VARIABLE INSURANCE TRUST STRUCTURED U.S. EQUITY FUND
Schedule of Investments (continued)
June 30, 2012 (Unaudited)
| Shares | Description | Value | ||||||
|
|
Common Stocks – (continued) |
| ||||||
| Insurance – 3.1% | ||||||||
| 2,738 | Allied World Assurance Co. | |||||||
| Holdings AG | $ | 217,589 | ||||||
| 17,345 | American Financial Group, Inc. | 680,444 | ||||||
| 3,815 | Assurant, Inc. | 132,915 | ||||||
| 62,902 | Berkshire Hathaway, Inc. Class B* | 5,241,624 | ||||||
| 7,125 | Hartford Financial Services Group, Inc. | 125,614 | ||||||
| 4,456 | Protective Life Corp. | 131,051 | ||||||
| 160,370 | Unum Group | 3,067,878 | ||||||
| 65,049 | Validus Holdings Ltd. | 2,083,519 | ||||||
|
|
|
|||||||
| 11,680,634 | ||||||||
|
|
|
|||||||
| Materials – 0.8% | ||||||||
| 12,397 | Airgas, Inc. | 1,041,472 | ||||||
| 6,267 | CF Industries Holdings, Inc. | 1,214,169 | ||||||
| 8,629 | Newmont Mining Corp. | 418,593 | ||||||
| 5,161 | Silgan Holdings, Inc. | 220,323 | ||||||
|
|
|
|||||||
| 2,894,557 | ||||||||
|
|
|
|||||||
| Media – 3.6% | ||||||||
| 113,964 | Cablevision Systems Corp. Class A | 1,514,582 | ||||||
| 30,236 | DIRECTV Class A* | 1,476,121 | ||||||
| 148,550 | DISH Network Corp. Class A | 4,241,102 | ||||||
| 31,821 | News Corp. Class A | 709,290 | ||||||
| 13,446 | Regal Entertainment Group Class A(a) | 185,017 | ||||||
| 49,288 | Time Warner, Inc. | 1,897,588 | ||||||
| 70,588 | Viacom, Inc. Class B | 3,319,048 | ||||||
|
|
|
|||||||
| 13,342,748 | ||||||||
|
|
|
|||||||
| Pharmaceuticals, Biotechnology & Life Sciences – 6.7% | ||||||||
| 5,967 | Alexion Pharmaceuticals, Inc.* | 592,523 | ||||||
| 71,405 | Amgen, Inc. | 5,215,421 | ||||||
| 24,893 | Biogen Idec, Inc.* | 3,594,051 | ||||||
| 6,507 | Charles River Laboratories International, Inc.* | 213,169 | ||||||
| 34,528 | Covance, Inc.* | 1,652,165 | ||||||
| 56,840 | Eli Lilly & Co. | 2,439,005 | ||||||
| 88,650 | Gilead Sciences, Inc.* | 4,545,972 | ||||||
| 15,195 | Johnson & Johnson | 1,026,574 | ||||||
| 175,327 | Pfizer, Inc. | 4,032,521 | ||||||
| 15,029 | United Therapeutics Corp.* | 742,132 | ||||||
| 34,741 | Warner Chilcott PLC Class A* | 622,559 | ||||||
|
|
|
|||||||
| 24,676,092 | ||||||||
|
|
|
|||||||
| Real Estate Investment Trust – 2.6% | ||||||||
| 65,489 | American Tower Corp. | 4,578,336 | ||||||
| 4,669 | AvalonBay Communities, Inc. | 660,570 | ||||||
| 96,807 | Rayonier, Inc. | 4,346,634 | ||||||
|
|
|
|||||||
| 9,585,540 | ||||||||
|
|
|
|||||||
| Retailing – 5.0% | ||||||||
| 8,644 | Amazon.com, Inc.* | 1,973,857 | ||||||
| 22,629 | Best Buy Co., Inc. | 474,304 | ||||||
| 66,811 | Big Lots, Inc.* | 2,725,221 | ||||||
| 35,006 | Dick’s Sporting Goods, Inc. | 1,680,288 | ||||||
|
|
|
|||||||
|
|
Common Stocks – (continued) |
| ||||||
| Retailing – (continued) | ||||||||
| 47,634 | Dollar Tree, Inc.* | $ | 2,562,709 | |||||
| 34,679 | Family Dollar Stores, Inc. | 2,305,460 | ||||||
| 80,294 | Lowe’s Companies, Inc. | 2,283,561 | ||||||
| 10,274 | PetSmart, Inc. | 700,481 | ||||||
| 2,918 | Priceline.com, Inc.* | 1,939,069 | ||||||
| 11,156 | Target Corp. | 649,168 | ||||||
| 14,979 | TJX Companies, Inc. | 643,049 | ||||||
| 19,308 | Urban Outfitters, Inc.* | 532,708 | ||||||
|
|
|
|||||||
| 18,469,875 | ||||||||
|
|
|
|||||||
| Semiconductors & Semiconductor Equipment – 0.8% | ||||||||
| 105,296 | Intel Corp. | 2,806,138 | ||||||
|
|
|
|||||||
| Software & Services – 12.9% | ||||||||
| 31,047 | Accenture PLC Class A | 1,865,614 | ||||||
| 117,407 | Activision Blizzard, Inc. | 1,407,710 | ||||||
| 5,470 | Adobe Systems, Inc.* | 177,064 | ||||||
| 30,108 | Amdocs Ltd.* | 894,810 | ||||||
| 5,031 | BMC Software, Inc.* | 214,723 | ||||||
| 35,300 | eBay, Inc.* | 1,482,953 | ||||||
| 13,107 | Google, Inc. Class A* | 7,602,978 | ||||||
| 22,254 | International Business Machines Corp. | 4,352,437 | ||||||
| 86,983 | Intuit, Inc. | 5,162,441 | ||||||
| 8,432 | Lender Processing Services, Inc. | 213,161 | ||||||
| 6,183 | Mastercard, Inc. Class A | 2,659,370 | ||||||
| 301,221 | Microsoft Corp. | 9,214,350 | ||||||
| 279,351 | Oracle Corp. | 8,296,725 | ||||||
| 114,890 | Symantec Corp.* | 1,678,543 | ||||||
| 14,263 | Synopsys, Inc.* | 419,760 | ||||||
| 36,821 | TIBCO Software, Inc.* | 1,101,684 | ||||||
| 5,969 | Visa, Inc. Class A | 737,948 | ||||||
| 4,871 | VMware, Inc. Class A* | 443,456 | ||||||
|
|
|
|||||||
| 47,925,727 | ||||||||
|
|
|
|||||||
| Technology Hardware & Equipment – 9.2% | ||||||||
| 28,137 | Apple, Inc.* | 16,432,008 | ||||||
| 200,397 | Cisco Systems, Inc. | 3,440,817 | ||||||
| 186,722 | Dell, Inc.* | 2,337,759 | ||||||
| 47,212 | EMC Corp.* | 1,210,044 | ||||||
| 54,348 | Hewlett-Packard Co. | 1,092,938 | ||||||
| 135,734 | Ingram Micro, Inc. Class A* | 2,371,273 | ||||||
| 21,074 | NetApp, Inc.* | 670,575 | ||||||
| 49,082 | QUALCOMM, Inc. | 2,732,886 | ||||||
| 55,388 | Seagate Technology PLC | 1,369,745 | ||||||
| 82,142 | Western Digital Corp.* | 2,503,688 | ||||||
|
|
|
|||||||
| 34,161,733 | ||||||||
|
|
|
|||||||
| Telecommunication Services – 2.9% | ||||||||
| 252,578 | AT&T, Inc.(b) | 9,006,932 | ||||||
| 109,863 | Sprint Nextel Corp.* | 358,153 | ||||||
| 34,104 | Verizon Communications, Inc. | 1,515,582 | ||||||
|
|
|
|||||||
| 10,880,667 | ||||||||
|
|
|
|||||||
| 8 | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS VARIABLE INSURANCE TRUST STRUCTURED U.S. EQUITY FUND
| Shares | Description | Value | ||||||
|
|
Common Stocks – (continued) |
| ||||||
| Transportation – 2.6% | ||||||||
| 24,014 | CSX Corp. | $ | 536,953 | |||||
| 38,657 | FedEx Corp. | 3,541,368 | ||||||
| 9,846 | Norfolk Southern Corp. | 706,647 | ||||||
| 13,287 | Union Pacific Corp. | 1,585,272 | ||||||
| 39,642 | United Parcel Service, Inc. Class B | 3,122,204 | ||||||
|
|
|
|||||||
| 9,492,444 | ||||||||
|
|
|
|||||||
| Utilities – 3.2% | ||||||||
| 135,260 | Ameren Corp. | 4,536,620 | ||||||
| 32,210 | Consolidated Edison, Inc. | 2,003,140 | ||||||
| 64,547 | Integrys Energy Group, Inc. | 3,670,788 | ||||||
| 7,373 | PG&E Corp. | 333,776 | ||||||
| 45,844 | Public Service Enterprise Group, Inc. | |||||||
| 1,489,930 | ||||||||
|
|
|
|||||||
| 12,034,254 | ||||||||
|
|
|
|||||||
| |
TOTAL INVESTMENTS BEFORE SECURITIES LENDING REINVESTMENT VEHICLE |
| ||||||
| (Cost $312,659,758) | $ | 361,836,061 | ||||||
|
|
|
|||||||
| Securities Lending Reinvestment Vehicle(c)(d) – 0.0% |
| |||||||
| Goldman Sachs Financial Square Money Market Fund — FST Shares |
||||||||
| 177,800 | 0.203 | % | $ | 177,800 | ||||
| (Cost $177,800) | ||||||||
|
|
||||||||
| TOTAL INVESTMENTS – 97.6% |
|
|||||||
| (Cost $312,837,558) | $ | 362,013,861 | ||||||
|
|
||||||||
| OTHER ASSETS IN EXCESS OF |
|
8,909,949 | ||||||
|
|
||||||||
| NET ASSETS – 100.0% |
|
$ | 370,923,810 | |||||
|
|
||||||||
| 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, 2012. | |
| (d) | Represents an affiliated issuer. | |
ADDITIONAL INVESTMENT INFORMATION
FUTURES CONTRACTS — At June 30, 2012, the Fund had the following futures contracts:
| Type | Number of Contracts Long (Short) |
Expiration Date |
Current Value |
Unrealized Gain (Loss) |
||||||||||
| S&P 500 E-mini Index | 90 | September 2012 | $ | 6,103,800 | $ | 252,068 | ||||||||
| The accompanying notes are an integral part of these financial statements. | 9 |
GOLDMAN SACHS VARIABLE INSURANCE TRUST STRUCTURED U.S. EQUITY FUND
Statement of Assets and Liabilities
June 30, 2012 (Unaudited)
| Assets: | ||||
| Investments in unaffiliated issuers, at value (cost $312,659,758)(a) |
$ | 361,836,061 | ||
| Investments in affiliated securities lending reinvestment vehicle, at value which equals cost |
177,800 | |||
| Cash |
7,078,513 | |||
| Receivables: |
||||
| Investments sold |
14,888,217 | |||
| Dividends |
326,747 | |||
| Futures variation margin |
153,000 | |||
| Fund shares sold |
75,174 | |||
| Securities lending income |
3,083 | |||
| Other assets |
2,072 | |||
| Total assets | 384,540,667 | |||
| Liabilities: | ||||
| Payables: |
||||
| Investments purchased |
12,258,657 | |||
| Fund shares redeemed |
291,653 | |||
| Amounts owed to affiliates |
209,462 | |||
| Payable upon return of securities loaned |
177,800 | |||
| Accrued expenses and other liabilities |
679,285 | |||
| Total liabilities | 13,616,857 | |||
| Net Assets: | ||||
| Paid-in capital |
501,588,735 | |||
| Undistributed net investment income |
2,980,549 | |||
| Accumulated net realized loss |
(183,073,845 | ) | ||
| Net unrealized gain |
49,428,371 | |||
| NET ASSETS | $ | 370,923,810 | ||
| Net Assets: |
||||
| Institutional |
$ | 269,991,940 | ||
| Service |
100,931,870 | |||
| Total Net Assets |
$ | 370,923,810 | ||
| Shares of beneficial interest outstanding $0.001 par value (unlimited shares authorized): |
||||
| Institutional |
23,118,851 | |||
| Service |
8,639,099 | |||
| Net asset value, offering and redemption price per share: |
||||
| Institutional |
$11.68 | |||
| Service |
11.68 | |||
(a) Includes loaned securities having a market value of $174,752.
| 10 | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS VARIABLE INSURANCE TRUST STRUCTURED U.S. EQUITY FUND
Statement of Operations
For the Six Months Ended June 30, 2012 (Unaudited)
| Investment income: | ||||
| Dividends (net of foreign taxes withheld of $124) |
$ | 3,660,880 | ||
| Securities lending income — affiliated issuer |
10,864 | |||
| Total investment income | 3,671,744 | |||
| Expenses: | ||||
| Management fees |
1,184,845 | |||
| Distribution and Service fees — Service Class |
128,879 | |||
| Transfer Agent fees(a) |
38,217 | |||
| Professional fees |
34,749 | |||
| Printing and mailing costs |
31,976 | |||
| Custody and accounting fees |
31,006 | |||
| Trustee fees |
8,160 | |||
| Other |
6,507 | |||
| Total expenses | 1,464,339 | |||
| Less — expense reductions |
(129,937 | ) | ||
| Net expenses | 1,334,402 | |||
| NET INVESTMENT INCOME | 2,337,342 | |||
| Realized and unrealized gain (loss): | ||||
| Net realized gain from: |
||||
| Investments |
28,421,426 | |||
| Futures contracts |
570,426 | |||
| Net change in unrealized gain (loss) on: |
||||
| Investments |
(1,353,417 | ) | ||
| Futures contracts |
77,269 | |||
| Net realized and unrealized gain | 27,715,704 | |||
| NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS | $ | 30,053,046 | ||
(a) Institutional and Service Shares had Transfer Agent fees of $27,908 and $10,309, respectively.
| The accompanying notes are an integral part of these financial statements. | 11 |
GOLDMAN SACHS VARIABLE INSURANCE TRUST STRUCTURED U.S. EQUITY FUND
Statement of Changes in Net Assets
| For the Six Months Ended June 30, 2012 (Unaudited) |
For the Fiscal Year Ended December 31, 2011 |
|||||||
| From operations: | ||||||||
| Net investment income |
$ | 2,337,342 | $ | 6,659,716 | ||||
| Net realized gain |
28,991,852 | 31,578,074 | ||||||
| Net change in unrealized loss |
(1,276,148 | ) | (21,078,210 | ) | ||||
| Net increase in net assets resulting from operations | 30,053,046 | 17,159,580 | ||||||
| Distributions to shareholders: | ||||||||
| From net investment income |
||||||||
| Institutional Shares |
— | (4,875,179 | ) | |||||
| Service Shares |
— | (1,550,818 | ) | |||||
| Total distributions to shareholders | — | (6,425,997 | ) | |||||
| From share transactions: | ||||||||
| Proceeds from sales of shares |
2,740,189 | 5,654,201 | ||||||
| Reinvestment of distributions |
— | 6,425,997 | ||||||
| Cost of shares redeemed |
(35,135,111 | ) | (80,667,735 | ) | ||||
| Net decrease in net assets resulting from share transactions | (32,394,922 | ) | (68,587,537 | ) | ||||
| TOTAL DECREASE | (2,341,876 | ) | (57,853,954 | ) | ||||
| Net assets: | ||||||||
| Beginning of period |
373,265,686 | 431,119,640 | ||||||
| End of period |
$ | 370,923,810 | $ | 373,265,686 | ||||
| Undistributed net investment income | $ | 2,980,549 | $ | 643,207 | ||||
| 12 | The accompanying notes are an integral part of these financial statements. |
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 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||
| Year - Share Class | Net asset value, beginning of period |
Net investment income(a) |
Net realized and unrealized gain (loss) |
Total from investment operations |
From net investment income |
From net |
Total distributions |
Net asset value, end of period |
Total return(b) |
Net assets, period |
Ratio of net expenses to average net assets |
Ratio of total expenses to average net assets |
Ratio of net investment income to average net assets |
Portfolio turnover rate(f) |
||||||||||||||||||||||||||||||||||||||||||
| FOR THE SIX MONTHS ENDED JUNE 30, (UNAUDITED) | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||
| 2012 - Institutional |
$ | 10.80 | $ | 0.07 | $ | 0.81 | $ | 0.88 | $ | — | $ | — | $ | — | $ | 11.68 | 8.15 | % | $ | 269,992 | 0.64 | %(c) | 0.70 | %(c) | 1.28 | %(c) | 61 | % | ||||||||||||||||||||||||||||
| 2012 - Service |
10.82 | 0.06 | 0.80 | 0.86 | — | — | — | 11.68 | 7.95 | 100,932 | 0.85 | (c) | 0.95 | (c) | 1.07 | (c) | 61 | |||||||||||||||||||||||||||||||||||||||
| FOR THE FISCAL YEARS ENDED DECEMBER 31, | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||
| 2011 - Institutional |
10.57 | 0.18 | (d) | 0.25 | 0.43 | (0.20 | ) | — | (0.20 | ) | 10.80 | 4.05 | 273,555 | 0.64 | 0.70 | 1.69 | (d) | 51 | ||||||||||||||||||||||||||||||||||||||
| 2011 - Service |
10.58 | 0.16 | (d) | 0.25 | 0.41 | (0.17 | ) | — | (0.17 | ) | 10.82 | 3.90 | 99,711 | 0.85 | 0.95 | 1.48 | (d) | 51 | ||||||||||||||||||||||||||||||||||||||
| 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 | (e) | 0.72 | (e) | 1.02 | (e) | 125 | |||||||||||||||||||||||||||||||||
| 2007 - Service |
14.67 | 0.14 | (0.37 | ) | (0.23 | ) | (0.15 | ) | (1.13 | ) | (1.28 | ) | 13.16 | (1.72 | ) | 205,997 | 0.97 | (e) | 0.97 | (e) | 0.94 | (e) | 125 | |||||||||||||||||||||||||||||||||
| (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 0.17% of average net assets. |
| (e) | Includes non-recurring expense for a special shareholder meeting which amounted to approximately 0.02% of average net assets. |
| (f) | The Fund’s portfolio turnover rate is calculated in accordance with regulatory requirements, without regard to transactions involving short term investments and certain derivatives. If such transactions were included, the Fund’s portfolio turnover rate may be higher. |
| The accompanying notes are an integral part of these financial statements. | 13 |
GOLDMAN SACHS VARIABLE INSURANCE TRUST STRUCTURED U.S. EQUITY FUND
Notes to Financial Statements
June 30, 2012 (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. Shares of the Trust are offered to separate accounts of participating life insurance companies for the purpose of funding variable annuity contracts and variable life insurance policies.
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 financial statements have been prepared in accordance with accounting principles generally accepted in the United States of America (“GAAP”) and require management to make estimates and assumptions that may affect the reported amounts and disclosures. Actual results may differ from those estimates and assumptions.
A. Investment Valuation — The Fund’s valuation policy is to value investments at fair value.
B. Investment Income and Investments — Investment income includes interest income and dividend income, net of any foreign withholding taxes, less any amounts reclaimable. Interest income is accrued daily and adjusted for amortization of premiums and accretion of discounts. Dividend income is recognized on ex-dividend date or, for certain foreign securities, as soon as such information is obtained subsequent to the ex-dividend date. Investment transactions are reflected on trade date. Realized gains and losses are calculated using identified cost. Investment transactions are recorded on the following business day for daily net asset value (“NAV”) calculations. Any foreign capital gains tax is accrued daily based upon net unrealized gains, and is payable upon sale of such investments. Distributions received from the Fund’s investments in United States (“U.S.”) real estate investment trusts (“REITs”) may be characterized as ordinary income, net capital gain or a return of capital. A return of capital is recorded by the Funds as a reduction to the cost of the REIT.
For derivative contracts, realized gains and losses are recorded upon settlement of the contract. For securities with paydown provisions, principal payments received are treated as a proportionate reduction to the cost basis of the securities and excess amounts are recorded as gains. For treasury inflation protected securities (“TIPS”), adjustments to principal due to inflation/deflation are reflected as increases/decreases to interest income with a corresponding adjustment to cost. Upfront payments on swaps are recorded as deferred realized gains or losses and are recognized over the contract’s term/event, with the exception of forward starting interest rate swaps whose realized gain or losses are recognized from the effective start date.
C. Class Allocations and Expenses — Investment income, realized and unrealized gain (loss), and non-class specific expenses of each Fund are allocated daily based upon the proportion of net assets of each class. Class specific expenses, where applicable, are borne by the respective share classes and include Distribution and Service and Transfer Agent fees. Non-class specific expenses directly incurred by a Fund are charged to that Fund, while such expenses incurred by the Trust are allocated across the respective Funds on a straight-line and/or pro-rata basis depending upon the nature of the expenses.
D. 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
14
GOLDMAN SACHS VARIABLE INSURANCE TRUST STRUCTURED U.S. EQUITY FUND
2. SIGNIFICANT ACCOUNTING POLICIES (continued)
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.
3. INVESTMENTS AND FAIR VALUE MEASUREMENTS
The fair value of a financial instrument is the amount that would be received to sell an asset or paid to transfer a liability in an orderly transaction between market participants at the measurement date (i.e., the exit price). GAAP establishes a fair value hierarchy that prioritizes the inputs to valuation techniques used to measure fair value. The hierarchy gives the highest priority to unadjusted quoted prices in active markets for identical assets or liabilities (Level 1 measurements) and the lowest priority to unobservable inputs (Level 3 measurements). The levels used for classifying investments are not necessarily an indication of the risk associated with investing in these investments. The three levels of the fair value hierarchy are described below:
Level 1 — Unadjusted quoted prices in active markets that are accessible at the measurement date for identical, unrestricted assets or liabilities;
Level 2 — Quoted prices in markets that are not active or financial instruments for which significant inputs are observable (including, but not limited to, quoted prices for similar investments, interest rates, foreign exchange rates, volatility and credit spreads), either directly or indirectly;
Level 3 — Prices or valuations that require significant unobservable inputs (including GSAM’s assumptions in determining fair value measurement).
A. Level 1 and Level 2 Fair Value Investments — The valuation techniques and significant inputs used in determining the fair values for investments classified as Level 1 and Level 2 are as follows:
Equity Securities — Equity securities and investment companies traded on a U.S. securities exchange or the NASDAQ system, or those located on certain foreign exchanges including, but not limited to the Americas, are valued daily at their last sale price or official closing price on the principal exchange or system on which they are traded. Investments in investment companies (other than those that are exchange traded) are valued at the NAV on the valuation date. If no sale occurs, equity securities and non-exchange traded investment companies are valued at the last bid price for long positions and at the last ask price for short positions. To the extent these investments are actively traded, they are classified as Level 1 of the fair value hierarchy.
Unlisted equity securities for which market quotations are available are valued at the last sale price on the valuation date, or if no sale occurs, at the last bid price. Securities traded on certain foreign securities exchanges are valued daily at fair value determined by an independent fair value service (if available) under valuation procedures approved by the trustees and consistent with applicable regulatory guidance. The independent fair value service takes into account multiple factors including, but not limited to, movements in the securities markets, certain depositary receipts, futures contracts and foreign currency exchange rates that have occurred subsequent to the close of the foreign securities exchange. Investments applying these valuation adjustments are classified as Level 2 of the fair value hierarchy.
Debt Securities — Debt securities, for which market quotations are readily available, are valued daily on the basis of quotations supplied by dealers or an independent pricing service approved by the trustees. The pricing services may use valuation models or matrix pricing, which consider: (i) yield or price with respect to bonds that are considered comparable in characteristics such as rating, interest rate and maturity date or (ii) quotations from securities dealers to determine current value. Short-term debt obligations that mature in sixty days or less and that do not exhibit signs of credit deterioration are valued at amortized cost, which approximates fair value. With the exception of treasury securities, which are generally classified as Level 1, these investments are generally classified as Level 2 of the fair value hierarchy.
Derivative Contracts — A derivative is an instrument whose value is derived from underlying assets, indices, reference rates or a combination of these factors.
15
GOLDMAN SACHS VARIABLE INSURANCE TRUST STRUCTURED U.S. EQUITY FUND
Notes to Financial Statements (continued)
June 30, 2012 (Unaudited)
3. INVESTMENTS AND FAIR VALUE MEASUREMENTS (continued)
Exchange-traded derivatives, including futures contracts, typically fall within Level 1 of the fair value hierarchy. Over-the-counter (“OTC”) derivatives are valued using market transactions and other market evidence, including market-based inputs to models, calibration to market-clearing transactions, broker or dealer quotations, or other alternative pricing. Where models are used, the selection of a particular model to value an OTC derivative depends upon the contractual terms of, and specific risks inherent in, the instrument, as well as the availability of pricing information in the market. Valuation models require a variety of inputs, including contractual terms, market prices, yield curves, credit curves, measures of volatility, voluntary and involuntary prepayment rates, loss severity rates and correlations of such inputs. For OTC derivatives that trade in liquid markets, model inputs can generally be verified and model selection does not involve significant management judgment. OTC derivatives are classified within Level 2 of the fair value hierarchy when significant inputs are corroborated by market evidence.
i. Futures Contracts — Futures contracts are contracts to buy or sell a standardized quantity of a specified commodity or security and are valued based on exchanged settlement prices or independent market quotes. Futures contracts are valued at the last settlement price, or in the absence of a sale, the last bid price for long positions and at the last ask price for short positions, at the end of each day on the board of trade or exchange upon which they are traded. Upon entering into a futures contract, the 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.
B. Level 3 Fair Value Investments — The valuation techniques and significant inputs used in determining the fair values for investments classified as Level 3 are as follows:
To the extent that the aforementioned significant inputs are unobservable, or if quotations are not readily available, or if GSAM believes that such quotations do not accurately reflect fair value, the fair value of the Fund’s investments may be determined under valuation procedures approved by the trustees. GSAM, consistent with its procedures and applicable regulatory guidance, may make an adjustment to the most recent valuation prices of either domestic or foreign securities in light of significant events to reflect what it believes to be the fair value of the securities at the time of determining a Fund’s NAV. Significant events which could affect a large number of securities in a particular market may include, but are not limited to significant fluctuations in U.S. or foreign markets; market dislocations; market disruptions or unscheduled market closings. Significant events, which could also affect a single issuer, may include, but are not limited to corporate actions such as reorganizations, mergers and buy-outs; ratings downgrades; and bankruptcies.
C. Fair Value Hierarchy — The following is a summary of the Fund’s investments and derivatives classified in the fair value hierarchy as of June 30, 2012:
| Investment Type | Level 1 | Level 2 | Level 3 | |||||||||
| Assets | ||||||||||||
| Common Stock and/or Other Equity Investments | $ | 361,836,061 | $ | — | $ | — | ||||||
| Securities Lending Reinvestment Vehicle | 177,800 | — | — | |||||||||
| Total | $ | 362,013,861 | $ | — | $ | — | ||||||
| Derivatives Type | ||||||||||||
| Assets(a) | ||||||||||||
| Futures Contracts | $ | 252,068 | $ | — | $ | — | ||||||
| (a) | Amount shown represents unrealized gain (loss) at period end. |
16
GOLDMAN SACHS VARIABLE INSURANCE TRUST STRUCTURED U.S. EQUITY FUND
4. INVESTMENTS IN DERIVATIVES
The following table sets forth, by certain risk types, the gross value of derivative contracts as of June 30, 2012. These instruments were used to meet the Fund’s investment objectives and to obtain and/or manage exposure related to the risks below. The values in the tables below exclude the effects of cash collateral received or posted pursuant to these derivative contracts, and therefore are not representative of the Fund’s net exposure.
| Risk | Statement of Assets and Liabilities | Assets(a) | ||||
| Equity | Unrealized gain on futures variation margin | $ | 252,068 | |||
| (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, 2012. These gains (losses) should be considered in the context that these derivative contracts may have been executed to economically hedge certain investments, and accordingly, certain gains (losses) on such derivative contracts may offset certain (losses) gains attributable to investments. These gains (losses) are included in “Net realized gain (loss)” or “Net change in unrealized gain (loss)” on the Statement of Operations:
| Risk | Statement of Operations | Net Realized Gain (Loss) |
Net Change Unrealized |
Average Number of Contracts(a) |
||||||||||
| Equity | Net realized gain (loss) from futures contracts/Net change in unrealized gain (loss) on futures contracts | $ | 570,426 | $ | 77,269 | 97 | ||||||||
| (a) | Average number of contracts is based on the average of month end balances for the six months ended June 30, 2012. |
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, 2012, contractual management fees with GSAM were at the following rates:
| Contractual Management Rate | ||||||||||||||||||||
| First $1 billion |
Next $1 billion |
Next $3 billion |
Next $3 billion |
Over $8 billion |
Effective 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 April 27, 2013, 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, 2012, Goldman Sachs waived approximately $20,600 in distribution and service fees for the Fund’s Services Shares.
17
GOLDMAN SACHS VARIABLE INSURANCE TRUST STRUCTURED U.S. EQUITY FUND
Notes to Financial Statements (continued)
June 30, 2012 (Unaudited)
5. AGREEMENTS AND AFFILIATED TRANSACTIONS (continued)
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, 0.004% 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 April 27, 2013, and prior to such date GSAM may not terminate the arrangement without the approval of the trustees. For the six months ended June 30, 2012, GSAM reimbursed approximately $104,800 to the Fund. In addition, the Fund has entered into certain offset arrangements with the custodian, which may result in a reduction of the Fund’s expenses. For the six months ended June 30, 2012, custody fee credits were approximately $4,500.
As of June 30, 2012, the amounts owed to affiliates were approximately $186,600, $16,900 and $6,000 for management, distribution and service, and transfer agent fees, respectively.
E. Line of Credit Facility — As of June 30, 2012, the Fund participated in a $630,000,000 committed, unsecured revolving line of credit facility (the “facility”) together with other funds of the Trust and registered investment companies having management agreements with GSAM or its affiliates (“Other Borrowers”). Pursuant to the terms of the facility, the Fund and Other Borrowers could increase the credit amount by an additional $340,000,000, for a total of up to $970,000,000. This facility is to be used solely for temporary or emergency purposes. The interest rate on borrowings is based on the federal funds rate. The facility also requires a fee to be paid by the Fund based on the amount of the commitment that has not been utilized. For the six months ended June 30, 2012, the Fund did not have any borrowings under the facility. Prior to May 8, 2012, the amount available through the facility was $580,000,000.
F. Other Transactions with Affiliates — For the six months ended June 30, 2012, Goldman Sachs earned approximately $1,000 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, 2012, were $229,002,224 and $259,375,712, 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.
18
GOLDMAN SACHS VARIABLE INSURANCE TRUST STRUCTURED U.S. EQUITY FUND
7. SECURITIES LENDING (continued)
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 the 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 received compensation relating to the lending of the Fund’s securities. The amount earned by the Fund for the six months ended June 30, 2012, is reported under Investment Income on the Statement of Operations. A portion of this amount, $5,570, represents compensation earned by the Fund from lending its securities to Goldman Sachs. For the six months ended June 30, 2012, GSAL earned $1,209 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, 2012 (in thousands):
| Number of Shares Held Beginning of Period |
Shares Bought | Shares Sold | Number of Shares Held |
Value at End of Period |
||||||||||||||
| 1,106 | 8,384 | (9,312 | ) | 178 | $ | 178 | ||||||||||||
8. TAX INFORMATION
As of the Fund’s most recent fiscal year end, December 31, 2011, the Fund’s capital loss carryovers and certain timing differences, on a tax-basis were as follows:
| Capital loss carryovers:(1) | ||||
| Expiring 2016 |
$ | (68,354,723 | ) | |
| Expiring 2017 |
(139,998,215 | ) | ||
| Total capital loss carryovers | $ | (208,352,938 | ) | |
| Timing differences (post October loss deferral) | $ | (1,039,628 | ) |
| (1) | Expiration occurs on December 31 of the year indicated. |
As of June 30, 2012, the Fund’s aggregate security unrealized gains and losses based on cost for U.S. federal income tax purposes were as follows:
| Tax cost | $ | 315,335,890 | ||
| Gross unrealized gain | 54,119,915 | |||
| Gross unrealized loss | (7,441,944 | ) | ||
| Net unrealized security gain | $ | 46,677,971 |
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.
19
GOLDMAN SACHS VARIABLE INSURANCE TRUST STRUCTURED U.S. EQUITY FUND
Notes to Financial Statements (continued)
June 30, 2012 (Unaudited)
9. OTHER RISKS
The Fund’s risks include, but are not limited to, the following:
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. OTHER MATTERS
New Accounting Pronouncement — In December 2011, Accounting Standards Update 2011-11 (ASU 2011-11), Amendments to Disclosures about Offsetting Assets and Liabilities Requirements in U.S. GAAP and International Financial Reporting Standards, was issued and is effective for interim periods and annual periods beginning on or after January 1, 2013. The amendments are the result of the work by Financial Accounting Standards Board and the International Accounting Standards Board to develop common requirements for disclosing information about offsetting and related arrangements. GSAM is currently evaluating the application of ASU 2011-11 and its impact, if any, on the Fund’s financial statements.
Other — On February 8, 2012, the Commodity Futures Trading Commission (CFTC) adopted amendments to several of its rules relating to commodity pool operators, including Rule 4.5. The Fund currently relies on Rule 4.5’s exclusion from CFTC regulation for regulated investment companies. GSAM is currently evaluating the amendments and their impact, if any, on the Fund’s financial statements.
12. 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.
20
GOLDMAN SACHS VARIABLE INSURANCE TRUST STRUCTURED U.S. EQUITY FUND
13. SUMMARY OF SHARE TRANSACTIONS
Share activity is as follows:
| For the Six Months Ended June 30, 2012 (Unaudited) |
For the Fiscal Year Ended December 31, 2011 |
|||||||||||||||
| Shares | Dollars | Shares | Dollars | |||||||||||||
| Institutional Shares | ||||||||||||||||
| Shares sold | 136,833 | $ | 1,578,332 | 353,442 | $ | 3,800,085 | ||||||||||
| Reinvestment of distributions | — | — | 456,905 | 4,875,179 | ||||||||||||
| Shares redeemed | (2,342,896 | ) | (27,233,689 | ) | (5,760,949 | ) | (63,115,601 | ) | ||||||||
| (2,206,063 | ) | (25,655,357 | ) | (4,950,602 | ) | (54,440,337 | ) | |||||||||
| Service Shares | ||||||||||||||||
| Shares sold | 101,453 | 1,161,857 | 171,780 | 1,854,116 | ||||||||||||
| Reinvestment of distributions | — | — | 145,207 | 1,550,818 | ||||||||||||
| Shares redeemed | (679,951 | ) | (7,901,422 | ) | (1,606,493 | ) | (17,552,134 | ) | ||||||||
| (578,498 | ) | (6,739,565 | ) | (1,289,506 | ) | (14,147,200 | ) | |||||||||
| NET DECREASE | (2,784,561 | ) | $ | (32,394,922 | ) | (6,240,108 | ) | $ | (68,587,537 | ) | ||||||
21
GOLDMAN SACHS VARIABLE INSURANCE TRUST STRUCTURED U.S. EQUITY FUND
|
Fund Expenses — Six Month Period Ended June 30, 2012 (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, 2012 through June 30, 2012.
Actual Expenses — The first line under each share class in the table below provides information about actual account values and actual expenses. You may use the information in this line, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000=8.6), then multiply the result by the number in the first line under the heading entitled “Expenses Paid” to estimate the expenses you paid on your account during this period.
Hypothetical Example for Comparison Purposes — The second line under each share class in the table below provides information about hypothetical account values and hypothetical expenses based on the 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, 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.
| Share Class | Beginning Account Value 1/01/12 |
Ending Account Value 6/30/12 |
Expenses Paid for the 6 Months Ended 6/30/12* |
|||||||||
| Institutional | ||||||||||||
| Actual | $ | 1,000 | $ | 1,081.50 | $ | 3.31 | ||||||
| Hypothetical 5% return | 1,000 | 1,021.68 | + | 3.22 | ||||||||
| Service | ||||||||||||
| Actual | 1,000 | 1,079.50 | 4.39 | |||||||||
| Hypothetical 5% return | 1,000 | 1,020.64 | + | 4.27 | ||||||||
| * | Expenses 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, 2012. Expenses are calculated by multiplying the annualized net expense ratio by the average account value for the period; then multiplying the result by the number of days in the most recent fiscal half year; and then dividing that result by the number of days in the fiscal year. The annualized net expense ratios for the period were 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. |
22
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, 2013 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 13, 2012 (the “Annual Meeting”).
The review process undertaken by the Trustees spans the course of the year and culminates with the Annual Meeting. To assist the Trustees in their deliberations, the Trustees have established a Contract Review Committee (the “Committee”), comprised of the Independent Trustees. The Committee held three meetings over the course of the year since the Management 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, compliance testing, market risk analysis, finance and strategy and central funding), sales and distribution support groups and others (e.g., information technology and training); |
| (iii) | trends in headcount; |
| (iv) | the Investment Adviser’s financial resources and ability to hire and retain talented personnel and strengthen its operations; and |
| (v) | the parent company’s support of the Investment Adviser and its mutual fund business, as expressed by the firm’s senior management; |
| (b) | information on the investment performance of the Fund, including comparisons to the performance of a group 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 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; |
23
GOLDMAN SACHS VARIABLE INSURANCE TRUST STRUCTURED U.S. EQUITY FUND
Statement Regarding Basis for Approval of Management Agreement (Unaudited) (continued)
| (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 and Goldman, Sachs & Co. (“Goldman Sachs”), the Fund’s affiliated distributor, to limit certain expenses of the Fund that exceed a specified level and waive certain distribution and service fees, 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 trading, 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 and broker oversight, 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.
24
GOLDMAN SACHS VARIABLE INSURANCE TRUST STRUCTURED U.S. EQUITY FUND
Statement Regarding Basis for Approval of Management Agreement (Unaudited) (continued)
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 of the Investment Adviser’s portfolio management teams that had occurred in recent periods, and the potential benefit to the Fund of the ongoing recruitment efforts aimed at bringing high quality investment talent to the Investment Adviser. The Independent Trustees concluded that the Investment Adviser continued to commit substantial financial and operational resources to the 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 investment performance of the Fund to its peers using rankings and ratings compiled by the Outside Data Provider as of December 31, 2011, and updated performance information prepared by the Investment Adviser using the peer group identified by the Outside Data Provider as of March 31, 2012. 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.
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 the Fund placed in the top half of its peer group for the one-year period and in the bottom half of its peer group for the three- and five-year periods ended March 31, 2012. They further noted that the Fund outperformed its benchmark index for the one-year period and underperformed its benchmark index for the three- and five-year periods ended March 31, 2012. In addition, they noted additions to senior management of the Fund. The Independent Trustees also recognized the portfolio management team’s recent undertaking to enhance its investment models to strengthen performance.
25
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 a category universe; an expense analysis which compared the Fund’s overall net and gross expenses to a peer group and a category universe; and a five-year history comparing the Fund’s net expenses to the peer and category medians. The analyses also compared the Fund’s transfer agency, custody and distribution fees, other expenses and fee waivers/reimbursements to those of other funds in the peer group and the peer group and category medians. The Trustees concluded that the comparisons provided by the Outside Data Provider were useful in evaluating the reasonableness of the management fees and total expenses paid by the Fund.
In addition, the Trustees considered the Investment Adviser’s undertaking to limit certain expenses of the Fund that exceed a 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 2011 and 2010, and the Trustees considered this information in relation to the Investment Adviser’s overall profitability. The Trustees considered the Investment Adviser’s revenues and pre-tax profit margins both in absolute terms and in comparison to information on the reported pre-tax profit margins earned by certain other asset management firms.
26
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. 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 were meant to 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 certain expenses of the Fund that exceed a specified level and waive a portion of the distribution and service fees paid by the Fund’s Service Shares. 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 fund 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 these 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.
27
GOLDMAN SACHS VARIABLE INSURANCE TRUST STRUCTURED U.S EQUITY FUND
Statement Regarding Basis for Approval of Management Agreements (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 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 risk management systems and databases), subject to certain restrictions; 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, 2013.
28
| TRUSTEES | OFFICERS | |
| Ashok N. Bakhru, Chairman | James A. McNamara, President | |
| Donald C. Burke | George F. Travers, Principal Financial Officer | |
| John P. Coblentz, Jr. | Caroline L. Kraus, Secretary | |
| Diana M. Daniels | Scott M. McHugh, Treasurer | |
| Joseph P. LoRusso | ||
| 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 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 for the 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 are as of June 30, 2012 and may not be representative of future investments. Fund holdings should not be relied on in making investment decisions and should not be construed as research or investment advice regarding particular securities.
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 Institution 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.
© 2012 Goldman Sachs. All rights reserved.
VITUSSAR12/79377.MF.MED.TMPL/8/2012
Goldman
Sachs Variable Insurance Trust
Goldman Sachs
Money Market Fund
Semi-Annual Report
June 30, 2012
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.
An investment in the 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.
1
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 Goldman Sachs Variable Insurance Trust — Goldman Sachs Money Market Fund’s (the “Fund”) performance and positioning for the six-month period ended June 30, 2012 (the “Reporting Period”).
How did the Fund perform during the Reporting Period?
The Fund’s standardized 7-day current yield was 0.01% and its standardized 7-day effective yield was also 0.01% as of June 30, 2012. The Fund’s one-month simple average yield was 0.37% as of June 30, 2012. The Fund’s 7-day distribution yield as of June 30, 2012 was 0.01%.
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.
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, political uncertainty, Federal Reserve Board (“Fed”) policy and supply/demand conditions within the repurchase agreement and U.S. Treasury securities markets combined to push money market yields lower.
Global economic growth deteriorated somewhat as the Reporting Period progressed, with the Eurozone only avoiding an official recession with a flat Gross Domestic Product (“GDP”) reading for the first calendar quarter. During the first quarter of 2012, global economic data actually showed signs of stabilization, well supported by quantitative easing programs in Japan and the U.K. as well as by the European Central Bank’s second round of three-year loans for banks, known as its long-term refinancing operation or LTRO. In March, Greece secured a near-full participation rate among private creditors for the largest sovereign debt restructure on record. Credit default swaps were triggered without a substantial market impact. In response, the peripheral European bond markets experienced some relief as investors bought risk assets.
Yields in “safe haven” markets in the U.S., U.K. and Germany rose during the first calendar quarter. Economic data in the U.S. remained robust, with the addition of an average of 225,000 jobs, and the unemployment rate slid to a three-year low of 8.2%. Additionally, the manufacturing PMI (Purchasing Managers Index) pointed to expansion in the sector for the 32nd consecutive month — and at a faster pace. Consumer spending hit a seven-month high, and March’s consumer confidence survey was the strongest in more than a year. On the other hand, Eurozone economic reports generally reinforced the widespread view that the region was close to, or already in, recession. The Eurozone’s manufacturing sector contracted for the eighth straight month in March, and its PMI fell to 48.7 from 49.3. These figures include readings below 50 (the threshold between contraction and expansion) for the largest economies in Europe, namely Germany and France. Europe’s unemployment rate hit a record high of 10.9% in February.
The second calendar quarter saw rates for “safe haven” assets hitting historic lows on the back of political uncertainty and deterioration of global economic data. The Dutch coalition government collapsed in April, and markets focused on the broader implications of new leadership in both France and Greece. The elections reinforced the theme of a stronger political backlash against the principles of austerity dominating the European, and specifically the German, response to the sovereign debt crisis to date. Eurozone economic reports generally reinforced widespread weakness in the region. PMI readings continued to decline, indicating contraction of Europe’s manufacturing sector. To add to investor unease, manufacturing PMI readings out of China during the second quarter raised concerns about the pace of that nation’s economic growth. Here in the U.S., payrolls added just 69,000 jobs in May, less than half the expected gain, and retail sales suffered back-to-back declines in April and May. The U.S.
2
GOLDMAN SACHS VARIABLE INSURANCE TRUST MONEY MARKET FUND
manufacturing PMI registered an unexpected drop in June, declining 3.8% to reach a level of 49.7. Together, the economic data boosted market expectations for additional stimulus by the Fed.
Against this backdrop, the Fed announced in June the extension of its Operation Twist program, wherein it sells short-term U.S. Treasury holdings and buys long-term U.S. Treasuries. In Greece, New Democracy, a pro-bailout and pro-euro party won the parliamentary elections and was able to form a government. It was widely expected the new government will negotiate terms of the bailout with the International Monetary Fund, European Union and European Central Bank such that harsh austerity targets may be loosened. Spain was widely expected to receive up to $126 billion in rescue loans to recapitalize its struggling banking sector, with the money initially coming from the European Stability Mechanism (“ESM”), planned as an institution to manage a permanent rescue funding program in the Eurozone. While the rescue loan money would first count as government debt, it would not take seniority over existing bonds. Indeed, at the late June European Union summit, Eurozone leaders agreed to let the permanent rescue fund directly inject funds into Spanish banks and buy bonds in the open market to rescue the borrowing costs for struggling European Union states. Throughout the month of June, we held the belief that the European Central Bank would likely cut interest rates further. (On July 5th, just after the end of the Reporting Period, the European Central Bank did cut its benchmark interest rate by 25 basis points (a basis point is 1/100th of a percentage point) to 0.75% and its deposit rate to zero from 0.25%.)
As U.S. Treasury yields declined during the Reporting Period overall, so, too, did money market yields. The Fed continued to reinforce similar rhetoric as had been in place for more than two years — it intended to operate in an ultra-low interest rate environment for an “extended period.” Still, Fed communications following its April 2012 meeting were generally less accommodative than expected. The Fed’s statement was, on the whole, barely changed from that following the March meeting, with the committee retaining its guidance that the targeted federal funds rate would likely remain exceptionally low “at least through late 2014.” The Fed also decided to continue the ongoing maturity extension program (“MEP”) of selling short-term U.S. Treasury securities and buying longer-term U.S. Treasuries, and mentioned again that it was prepared to adjust policy “as appropriate to promote a stronger economic recovery in a context of price stability.” As indicated earlier, following further weakening in economic data, the Fed announced the extension of Operation Twist to year-end 2012, which is anticipated to result in net purchases of $300 billion in 10-year U.S. Treasuries. The program is likely to remain in U.S. Treasuries and is expected to exhaust the potential for further Twist operations, as it will likely entail the selling of all of the Fed’s holdings of short-term U.S. Treasuries. Importantly, the Fed’s statement left the door open to further easing should the economy deteriorate further.
With the Fed keeping the targeted federal funds rate unchanged at its 0% to 0.25% range and with no near-term indication of this changing, money market yields remained anchored near zero through the Reporting Period, and the taxable money market yield curve was extremely flat, meaning the difference between yields at the short-term end of the money market yield curve and the longer-term end was quite narrow.
What key factors were responsible for the Fund’s performance during the Reporting Period?
The Fund’s yields remained low during the Reporting Period due primarily to the market factors discussed above. Repurchase agreement yields were in the single-digit to low-teen range; 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.)
Throughout the Reporting Period, the Fund remained highly liquid, as the stress in the Eurozone continued to create uncertainty in the market. Indeed, we kept a healthy portion of the Fund’s assets in overnight positions. With the Fed reinforcing maintenance of its targeted federal funds rate at its near-zero level through 2014, we continued to selectively buy agency paper in the six-month and one-year part of the curve, a strategy we had begun implementing in the last several months of 2011.
We felt comfortable that the Fund was appropriately positioned given the interest rate environment during the Reporting Period. While conditions over the year did not provide bountiful opportunities to pick up yield, as interest rates remained near zero or at times securities were offered at negative rates, 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.
How did you manage the Fund’s weighted average maturity during the Reporting Period?
On December 31, 2011, the Fund’s weighted average maturity was 45 days. Throughout the Reporting Period, we maintained the Fund’s weighted average maturity in a 40 to 50 day range, making adjustments in line with our outlook on interest rates, Fed policy
3
GOLDMAN SACHS VARIABLE INSURANCE TRUST MONEY MARKET FUND
and the shape of the yield curve over the near term. The Fund’s weighted average maturity on June 30, 2012 was 50 days. 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 77 days as of June 30, 2012. 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 Securities and Exchange Commission (“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 SEC’s money market fund rule is to reinforce 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 commercial paper, asset-backed commercial paper, U.S. Treasury securities, government agency securities, repurchase agreements, government guaranteed paper, tax-exempt municipal debt obligations and certificates of deposit during the Reporting Period. We focused on securities across the maturity spectrum, from overnight to one year. We particularly made purchases in longer-dated agencies during the second calendar quarter when prices declined and we had the opportunity to lock in the higher yields then available.
With yields bound near zero, there was not a lot of dispersion in performance among securities available for purchase. Throughout, though, we stayed true to our investment discipline, favoring liquidity and high quality credits over added yield. The primary focal points for our team are consistently managing interest rate risk and credit risk. We were able to navigate interest rate risk by adjusting the Fund’s weighted average maturity longer or shorter 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 did not make any significant changes in the Fund’s portfolio during the Reporting Period. As indicated earlier, we made adjustments to the Fund’s weighted average maturity based on then-current market conditions, our near-term view, and anticipated and actual Fed monetary policy statements.
What is the Fund’s tactical view and strategy for the months ahead?
In our opinion, broad financial market volatility may continue to be elevated in the months ahead in response to macroeconomic data and to events in Europe and elsewhere, but we believe interest rates are likely to remain low into 2014 with the Fed holding the targeted federal funds rate near zero. Although money market investment flows have stabilized, we expect to keep the Fund conservatively positioned as we continue to focus on preservation of capital and daily liquidity. We do not believe there is value in sacrificing liquidity in exchange for opportunities that only modestly increase yield potential. We will continue to use our actively managed approach to seek the best possible return within the framework of the Fund’s investment guidelines and objectives. In addition, we will continue to manage interest, liquidity and credit risk daily. In our view, Fed policy risks are skewed to the side of easier monetary policy and further accommodation for the remainder of 2012.
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.
4
GOLDMAN SACHS VARIABLE INSURANCE TRUST MONEY MARKET FUND
MONEY MARKET FUND – SECTOR ALLOCATION†
Security Type
(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. |
5
GOLDMAN SACHS VARIABLE INSURANCE TRUST MONEY MARKET FUND
Schedule of Investments
June 30, 2012 (Unaudited)
| Principal Amount |
Interest Rate |
Maturity Date |
Amortized Cost |
|||||||||
|
|
Commercial Paper and Corporate Obligations – 23.7% |
| ||||||||||
|
|
ABN Amro Funding USA LLC |
| ||||||||||
| $2,000,000 | 0.451% | 08/02/12 | $ | 1,999,200 | ||||||||
|
|
Aspen Funding Corp. |
| ||||||||||
| 1,000,000 | 0.471 | 08/09/12 | 999,491 | |||||||||
|
|
Atlantic Asset Securitization LLC |
| ||||||||||
| 1,000,000 | 0.530 | 07/02/12 | 999,985 | |||||||||
| 1,000,000 | 0.550 | 07/11/12 | 999,847 | |||||||||
| 1,000,000 | 0.751 | 08/02/12 | 999,334 | |||||||||
|
|
Atlantis One Funding Corp. |
| ||||||||||
| 1,000,000 | 0.491 | 07/25/12 | 999,673 | |||||||||
| 1,000,000 | 0.652 | 08/02/12 | 999,422 | |||||||||
| 1,000,000 | 0.521 | 08/23/12 | 999,235 | |||||||||
|
|
Barclays Bank PLC |
| ||||||||||
| 1,000,000 | 0.900 | 07/23/12 | 1,000,000 | |||||||||
|
|
Barton Capital LLC |
| ||||||||||
| 2,000,000 | 0.500 | 07/31/12 | 1,999,167 | |||||||||
|
|
Gemini Securitization Corp. LLC |
| ||||||||||
| 2,000,000 | 0.440 | 07/09/12 | 1,999,804 | |||||||||
|
|
Hannover Funding Co. LLC |
| ||||||||||
| 1,000,000 | 0.671 | 08/10/12 | 999,255 | |||||||||
| 1,000,000 | 0.671 | 08/13/12 | 999,200 | |||||||||
|
|
Kells Funding LLC |
| ||||||||||
| 1,000,000 | 0.511 | 07/10/12 | 999,872 | |||||||||
| 1,000,000 | 0.501 | 08/06/12 | 999,500 | |||||||||
|
|
LMA Americas LLC |
| ||||||||||
| 2,000,000 | 0.510 | 07/05/12 | 1,999,887 | |||||||||
|
|
Matchpoint Master Trust |
| ||||||||||
| 2,000,000 | 0.450 | 07/23/12 | 1,999,450 | |||||||||
|
|
Newport Funding Corp. |
| ||||||||||
| 1,064,000 | 0.461 | 07/30/12 | 1,063,606 | |||||||||
|
|
NRW Bank |
| ||||||||||
| 2,000,000 | 0.260 | 07/20/12 | 1,999,726 | |||||||||
|
|
Regency Markets No. 1 LLC |
| ||||||||||
| 2,000,000 | 0.230 | 07/20/12 | 1,999,757 | |||||||||
|
|
Royal Park Investments Funding Corp. |
| ||||||||||
| 1,000,000 | 0.952 | 09/24/12 | 997,756 | |||||||||
| 1,000,000 | 0.952(a) | 10/01/12 | 997,599 | |||||||||
|
|
Versailles Commercial Paper LLC |
| ||||||||||
| 2,000,000 | 0.510 | 07/02/12 | 1,999,972 | |||||||||
|
|
|
|||||||||||
|
|
TOTAL COMMERCIAL PAPER |
|
||||||||||
| AND CORPORATE OBLIGATIONS | $ | 31,050,738 | ||||||||||
|
|
|
|
|
|
|
|
||||||
|
|
Eurodollar Certificate of Deposit – 1.5% |
| ||||||||||
|
|
Mizuho Corporate Bank, Ltd. |
| ||||||||||
| $2,000,000 | 0.430% | 08/06/12 | $ | 2,000,000 | ||||||||
|
|
|
|||||||||||
|
|
Fixed Rate Municipal Debt Obligations – 2.4% |
| ||||||||||
| |
Regents of the University of California Taxable RN Series 2011 AA-1 |
| ||||||||||
| $ | 300,000 | 0.480% | 07/01/12 | $ | 300,000 | |||||||
| San Francisco County Transportation Authority CP Series 2012 | ||||||||||||
| 850,000 | 0.270 | 07/10/12 | 850,000 | |||||||||
| State of Texas TRANS Series 2011 A | ||||||||||||
| 2,000,000 | 2.500 | 08/30/12 | 2,007,374 | |||||||||
|
|
|
|||||||||||
|
|
TOTAL FIXED RATE MUNICIPAL DEBT |
|
||||||||||
| OBLIGATIONS | $ | 3,157,374 | ||||||||||
|
|
|
|
|
|
|
|
||||||
|
|
U.S. Government Agency Obligations – 14.8% |
| ||||||||||
|
|
Federal Farm Credit Bank |
| ||||||||||
| $ | 200,000 | 0.608%(b) | 11/01/12 | $ | 200,000 | |||||||
|
|
Federal Home Loan Bank |
| ||||||||||
| 1,000,000 | 0.240 | 09/28/12 | 999,991 | |||||||||
| 1,000,000 | 0.230 | 10/24/12 | 999,861 | |||||||||
| 300,000 | 0.230 | 11/07/12 | 299,975 | |||||||||
| 100,000 | 0.200 | 12/06/12 | 99,977 | |||||||||
| 100,000 | 0.300 | 12/06/12 | 100,000 | |||||||||
| 300,000 | 0.300 | 12/07/12 | 300,000 | |||||||||
| 500,000 | 0.210 | 12/10/12 | 499,903 | |||||||||
| 800,000 | 0.210 | 12/13/12 | 799,842 | |||||||||
| 800,000 | 0.300 | 12/14/12 | 800,000 | |||||||||
| 200,000 | 0.300 | 12/17/12 | 200,000 | |||||||||
| 600,000 | 0.210 | 12/19/12 | 599,870 | |||||||||
| 600,000 | 0.210 | 12/21/12 | 599,875 | |||||||||
| 300,000 | 0.200 | 12/28/12 | 299,920 | |||||||||
| 600,000 | 0.210 | 12/28/12 | 599,870 | |||||||||
| 200,000 | 0.300 | 01/11/13 | 200,000 | |||||||||
| 300,000 | 0.210 | 05/17/13 | 299,887 | |||||||||
| 350,000 | 0.200 | 05/22/13 | 349,835 | |||||||||
| 200,000 | 0.230 | 05/23/13 | 199,958 | |||||||||
| 20,000 | 0.230 | 05/24/13 | 19,995 | |||||||||
| 1,000,000 | 0.240 | 05/24/13 | 999,882 | |||||||||
| 500,000 | 0.230 | 05/29/13 | 499,894 | |||||||||
| 500,000 | 0.240 | 06/06/13 | 499,938 | |||||||||
| 100,000 | 0.230 | 06/07/13 | 99,978 | |||||||||
| 50,000 | 0.280 | 06/10/13 | 50,000 | |||||||||
| 200,000 | 0.350 | 06/10/13 | 200,181 | |||||||||
| 300,000 | 0.230 | 06/12/13 | 299,934 | |||||||||
| 350,000 | 0.230 | 06/18/13 | 349,920 | |||||||||
| 400,000 | 0.420 | 06/21/13 | 400,645 | |||||||||
| 100,000 | 1.875 | 06/21/13 | 101,572 | |||||||||
| 300,000 | 0.125 | 06/28/13 | 299,589 | |||||||||
| 600,000 | 0.240 | 06/28/13 | 599,905 | |||||||||
| 1,000,000 | 0.181(b) | 07/08/13 | 999,484 | |||||||||
| 1,000,000 | 0.182(b) | 07/15/13 | 999,474 | |||||||||
|
|
Federal Home Loan Mortgage Corporation |
| ||||||||||
| 1,000,000 | 5.500 | 08/20/12 | 1,007,202 | |||||||||
| 1,000,000 | 0.189(b) | 05/03/13 | 999,661 | |||||||||
|
|
|
|||||||||||
| 6 | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS VARIABLE INSURANCE TRUST MONEY MARKET FUND
| Principal Amount |
Interest Rate |
Maturity Date |
Amortized Cost |
|||||||||
|
|
U.S. Government Agency Obligations – (continued) |
| ||||||||||
|
|
Federal National Mortgage Association |
| ||||||||||
| $ | 1,000,000 | 0.275%(b) | 12/28/12 | $ | 999,902 | |||||||
| 1,500,000 | 0.376(b) | 05/17/13 | 1,499,594 | |||||||||
|
|
|
|||||||||||
|
|
TOTAL U.S. GOVERNMENT AGENCY |
|
||||||||||
| OBLIGATIONS | $ | 19,375,514 | ||||||||||
|
|
|
|
|
|
|
|
||||||
|
|
U.S. Treasury Obligations – 3.4% |
| ||||||||||
|
|
United States Treasury Notes |
| ||||||||||
| $ | 500,000 | 3.875% | 02/15/13 | $ | 511,427 | |||||||
| 1,000,000 | 0.625 | 02/28/13 | 1,002,769 | |||||||||
| 1,600,000 | 0.750 | 03/31/13 | 1,606,528 | |||||||||
| 1,000,000 | 2.500 | 03/31/13 | 1,016,810 | |||||||||
| 300,000 | 1.000 | 07/15/13 | 302,322 | |||||||||
|
|
|
|||||||||||
|
|
TOTAL U.S. TREASURY OBLIGATIONS |
|
$ | 4,439,856 | ||||||||
|
|
|
|
|
|
|
|
||||||
|
|
Variable Rate Municipal Debt Obligations(b) – 19.0% |
| ||||||||||
| |
BlackRock Municipal Income Trust VRDN RB Putters Series 2012-T0008 (JPMorgan Chase Bank, LIQ)(c) |
| ||||||||||
| $ | 1,000,000 | 0.380% | 01/02/15 | $ | 1,000,000 | |||||||
| |
BlackRock MuniHoldings Investment Quality Fund VRDN Tax-Exempt Preferred Series 2011 W-7-2746 (Bank of America N.A., LIQ)(c) |
| ||||||||||
| 300,000 | 0.430 | 07/01/41 | 300,000 | |||||||||
| |
BlackRock MuniVest Fund, Inc. VRDN RB Putters Series 2012-T0005 (JP Morgan Chase Bank N.A., LIQ)(c) |
| ||||||||||
| 950,000 | 0.380 | 01/02/15 | 950,000 | |||||||||
| |
BlackRock MuniYield Fund, Inc. VRDN Tax-Exempt Preferred Series 2011 W-7-2514 (Bank of America N.A., LIQ)(c) |
| ||||||||||
| 300,000 | 0.430 | 07/01/41 | 300,000 | |||||||||
| |
City of Durham, North Carolina GO VRDN for Taxable Housing Series 2000 (Bank of America N.A., SPA) |
| ||||||||||
| 1,250,000 | 0.750 | 05/01/18 | 1,250,000 | |||||||||
| |
City of Los Angeles, California Department of Airports VRDN RB for Los Angeles International Airport Putters Series 2012-4174 (JPMorgan Chase Bank N.A., LIQ)(c) |
| ||||||||||
| 1,500,000 | 0.240 | 11/15/16 | 1,500,000 | |||||||||
| |
City of Riverton, Utah VRDN RB for IHC Health Services, Inc. Series 2012-33C (Wells Fargo Bank N.A., LIQ) |
| ||||||||||
| 1,000,000 | 0.190 | 05/15/39 | 1,000,000 | |||||||||
| |
Cook County, Illinois GO VRDN Series 2002 B (Landesbank Hessen-Thueringen Girozentrale, SPA) |
| ||||||||||
| 2,000,000 | 0.310 | 11/01/31 | 2,000,000 | |||||||||
| |
Dekalb County, Georgia Development Authority VRDN RB for Emory University Series 1995 B (GO of University) |
| ||||||||||
| 4,200,000 | 0.200 | 11/01/25 | 4,200,000 | |||||||||
| |
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 | 0.320 | 11/15/40 | 1,100,000 | |||||||||
|
|
|
|||||||||||
|
|
Variable Rate Municipal Debt Obligations(b) – (continued) |
| ||||||||||
| |
Montgomery County, Virginia Industrial Development Authority VRDN RB for Virginia Tech Foundation Series 2009 B (Bank of New York Mellon, SPA) |
| ||||||||||
| $1,120,000 | 0.300% | 02/01/39 | $ | 1,120,000 | ||||||||
| |
New Jersey State Turnpike Authority VRDN RB Series 1991 D (NATL-RE FGIC) (Societe Generale, LOC) |
| ||||||||||
| 1,000,000 | 0.700 | 01/01/18 | 1,000,000 | |||||||||
| |
New York City, New York Transitional Finance Authority VRDN RB for Future Tax Secured Series 1998 A-1 (WestLB AG, SPA) |
| ||||||||||
| 1,000,000 | 0.210 | 11/15/28 | 1,000,000 | |||||||||
| |
Nuveen Municipal Market Opportunity Fund, Inc. VRDN Tax- Exempt Preferred Series 2010-1 (Deutsche Bank A.G., LIQ)(c) |
| ||||||||||
| 500,000 | 0.350 | 03/01/40 | 500,000 | |||||||||
| |
Port Authority of New York & New Jersey VRDN RB P-Floats- MT-783 Series 2011 (AGM GO of Authority) (Bank of America N.A., LIQ) |
| ||||||||||
| 3,580,000 | 0.330 | 07/07/12 | 3,580,000 | |||||||||
| |
Texas State GO VRDN Putters Series 2012-4206 (JPMorgan Chase Bank, LIQ)(c) |
| ||||||||||
| 985,000 | 0.230 | 02/01/16 | 985,000 | |||||||||
| University of Alabama VRDN RB Series 1993 B | ||||||||||||
| 1,400,000 | 0.340 | 10/01/13 | 1,400,000 | |||||||||
| |
University of Illinois VRDN COPS for Utility Infrastructure Projects Series 2004 (Bank of America N.A., SPA) |
| ||||||||||
| 1,000,000 | 0.320 | 08/15/21 | 1,000,000 | |||||||||
| |
Washington State Housing Finance Commission VRDN RB for Vintage at Spokane Senior Living Project Series 2006 A (FNMA, LIQ) |
| ||||||||||
| 795,000 | 0.210 | 08/15/40 | 795,000 | |||||||||
|
|
|
|||||||||||
|
|
TOTAL VARIABLE RATE MUNICIPAL DEBT |
|
||||||||||
| OBLIGATIONS | $ | 24,980,000 | ||||||||||
|
|
|
|
|
|
|
|
||||||
|
|
Variable Rate Obligations(b) – 10.7% |
| ||||||||||
|
|
Bank of Nova Scotia |
| ||||||||||
| $1,000,000 | 0.547% | 11/09/12 | $ | 1,000,000 | ||||||||
|
|
Commonwealth Bank of Australia |
| ||||||||||
| 2,000,000 | 0.568(c) | 09/10/12 | 1,999,979 | |||||||||
|
|
Cooperatieve Centrale Raiffeisen-Boerenleenbank BA |
| ||||||||||
| 1,000,000 | 0.606(c) | 09/14/12 | 1,000,000 | |||||||||
|
|
Deutsche Bank AG |
| ||||||||||
| 2,000,000 | 0.668 | 03/15/13 | 2,000,000 | |||||||||
|
|
JPMorgan Chase Bank NA |
| ||||||||||
| 1,000,000 | 0.536 | 06/18/13 | 1,000,000 | |||||||||
| 3,000,000 | 0.364 | 06/21/13 | 3,000,000 | |||||||||
|
|
National Bank of Canada/NY |
| ||||||||||
| 1,000,000 | 0.331 | 12/14/12 | 1,000,000 | |||||||||
|
|
Royal Bank of Canada |
| ||||||||||
| 2,000,000 | 0.369 | 09/20/12 | 2,000,000 | |||||||||
|
|
Westpac Banking Corp. |
| ||||||||||
| 1,000,000 | 0.549(c) | 11/06/12 | 1,000,000 | |||||||||
|
|
|
|||||||||||
|
|
TOTAL VARIABLE RATE OBLIGATIONS |
|
$ | 13,999,979 | ||||||||
|
|
|
|
|
|
|
|
||||||
| The accompanying notes are an integral part of these financial statements. | 7 |
GOLDMAN SACHS VARIABLE INSURANCE TRUST MONEY MARKET FUND
Schedule of Investments (continued)
June 30, 2012 (Unaudited)
| Principal Amount |
Interest Rate |
Maturity Date |
Amortized Cost |
|||||||||
|
|
Yankee Certificates of Deposit – 5.3% |
| ||||||||||
| Banco Del Estado De Chile | ||||||||||||
| $ | 1,000,000 | 0.440% | 07/23/12 | $ | 1,000,000 | |||||||
|
|
Industrial & Commercial Bank of China Ltd/New York |
| ||||||||||
| 2,000,000 | 0.750 | 09/24/12 | 2,000,000 | |||||||||
|
|
Mitsubishi UFJ Trust and Banking Corp. |
| ||||||||||
| 2,000,000 | 0.420 | 08/17/12 | 2,000,000 | |||||||||
|
|
The Norinchukin Bank |
| ||||||||||
| 2,000,000 | 0.410 | 09/21/12 | 2,000,000 | |||||||||
|
|
|
|||||||||||
|
|
TOTAL YANKEE CERTIFICATES OF DEPOSIT |
|
$ | 7,000,000 | ||||||||
|
|
|
|
|
|
|
|
||||||
|
|
TOTAL INVESTMENTS BEFORE |
|
||||||||||
|
|
REPURCHASE AGREEMENTS |
|
$ | 106,003,461 | ||||||||
|
|
|
|
|
|
|
|
||||||
|
|
Repurchase Agreements(d) – 18.9% |
| ||||||||||
|
|
ABN Amro Securities (USA) LLC |
| ||||||||||
| $ | 1,000,000 | 0.330%(b) | 07/05/12 | $ | 1,000,000 | |||||||
|
|
Maturity Value: $1,000,073 |
| ||||||||||
|
|
Settlement Date: 06/27/12 |
| ||||||||||
| |
Collateralized by various equity securities. The aggregate market value of the collateral was $1,098,539. |
| ||||||||||
|
|
|
|||||||||||
|
|
BNP Paribas Securities Corp. |
| ||||||||||
| 2,000,000 | 0.500 | 07/02/12 | 2,000,000 | |||||||||
|
|
Maturity Value: $2,000,083 |
| ||||||||||
| |
Collateralized by Flagstar Home Equity Loan Trust asset-backed obligation, 5.997%, due 01/25/35 and various corporate security issuers, 5.250% to 9.500%, due 03/15/13 to 12/28/99. The aggregate market value of the collateral, including accrued interest, was $2,241,669. |
| ||||||||||
|
|
|
|||||||||||
| 1,000,000 | 0.850(b) | 07/05/12 | 1,000,000 | |||||||||
|
|
Maturity Value: $1,000,331 |
| ||||||||||
|
|
Settlement Date: 06/21/12 |
| ||||||||||
| |
Collateralized by Federal National Mortgage Association, 0.000%, due 10/09/19 and Greenwich Capital Commercial Funding Corp. mortgage-backed security issuer, 5.447%, due 03/10/39. The aggregate market value of the collateral, including accrued interest, was $1,048,261. |
| ||||||||||
|
|
|
|||||||||||
|
|
Deutsche Bank Securities, Inc. |
| ||||||||||
| 3,000,000 | 0.450 | 07/02/12 | 3,000,000 | |||||||||
|
|
Maturity Value: $3,000,113 |
| ||||||||||
| |
Collateralized by various corporate security issuers, 0.000% to 6.000%, due 09/01/14 to 06/01/42. The aggregate market value of the collateral, including accrued interest, was $3,300,001. |
| ||||||||||
|
|
|
|||||||||||
|
|
Joint Repurchase Account III |
| ||||||||||
| 14,800,000 | 0.197 | 07/02/12 | 14,800,000 | |||||||||
|
|
Maturity Value: $14,800,243 |
| ||||||||||
|
|
|
|||||||||||
|
|
Repurchase Agreements(d) – (continued) |
| ||||||||||
|
|
RBS Securities, Inc. |
| ||||||||||
| $3,000,000 | 0.500% | 07/02/12 | $ | 3,000,000 | ||||||||
|
|
Maturity Value: $3,000,125 |
| ||||||||||
| |
Collateralized by Federal Home Loan Mortgage Corp., 3.500%, due 03/01/27 to 03/01/32. The aggregate market value of the collateral, including accrued interest, was $3,064,311. |
| ||||||||||
|
|
|
|||||||||||
|
|
TOTAL REPURCHASE AGREEMENTS |
|
$ | 24,800,000 | ||||||||
|
|
|
|
|
|
|
|
||||||
|
|
TOTAL INVESTMENTS – 99.7% |
|
$ | 130,803,461 | ||||||||
|
|
|
|
|
|
|
|
||||||
| |
OTHER ASSETS IN EXCESS OF |
|
445,579 | |||||||||
|
|
|
|||||||||||
|
|
NET ASSETS – 100.0% |
|
$ | 131,249,040 | ||||||||
|
|
|
|
|
|
|
|
||||||
| The percentage shown for each investment category reflects the value of investments in that category as a percentage of net assets. | ||
| (a) | All or a portion represents a forward commitment. | |
| (b) | Variable or floating rate security. Interest rate disclosed is that which is in effect at June 30, 2012. | |
| (c) | 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, 2012, these securities amounted to $10,534,979 or approximately 8.0% of net assets. | |
| (d) | Unless noted, all repurchase agreements were entered into on June 29, 2012. Additional information on Joint Repurchase Agreement Account III appears on page 9. | |
| 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. | ||
| Investment Abbreviations: | ||
| AGM | —Insured by Assured Guaranty Municipal Corp. | |
| COPS | —Certificates of Participation | |
| CP | —Commercial Paper | |
| FGIC | —Insured by Financial Guaranty Insurance Co. | |
| FNMA | —Insured by Federal National Mortgage Association | |
| GO | —General Obligation | |
| GTY AGMT | —Guaranty Agreement | |
| IHC | —International Health Care | |
| LIQ | —Liquidity Agreement | |
| LOC | —Letter of Credit | |
| NATL-RE | —National Reinsurance Corp. | |
| RB | —Revenue Bond | |
| RN | —Revenue Notes | |
| SPA | —Stand-by Purchase Agreement | |
| TRANS | —Tax Revenue Anticipation Notes | |
| VRDN | —Variable Rate Demand Notes | |
| 8 | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS VARIABLE INSURANCE TRUST MONEY MARKET FUND
ADDITIONAL INVESTMENT INFORMATION
JOINT REPURCHASE AGREEMENT ACCOUNT III — At June 30, 2012, the Fund had undivided interests in the Joint Repurchase Agreement Account III, with a maturity date of July 2, 2012, as follows:
| Principal Amount | Maturity Value | Collateral Value | ||||
| $14,800,000 | $ | 14,800,243 | $15,213,168 | |||
| Counterparty | Interest Rate |
Principal Amount |
||||||
| Bank of Nova Scotia (The) | 0.190 | % | $ | 459,512 | ||||
| BNP Paribas Securities Corp. | 0.190 | 3,083,976 | ||||||
| Crédit Agricole Corporate and Investment Bank | 0.210 | 7,247,343 | ||||||
| Wells Fargo Securities LLC |
0.180 | 4,009,169 | ||||||
| TOTAL | $ | 14,800,000 | ||||||
At June 30, 2012, the Joint Repurchase Agreement Account III was fully collateralized by:
| Issuer | Interest Rates |
Maturity Dates | ||||
| Federal Home Loan Mortgage Corp. | 2.500 to 5.000 | % | 02/01/26 to 06/01/42 | |||
| Federal National Mortgage Association | 2.500 to 5.000 | 09/01/21 to 07/01/42 | ||||
| Government National Mortgage Association | 3.000 to 5.500 | 09/15/26 to 06/20/42 | ||||
| The accompanying notes are an integral part of these financial statements. | 9 |
GOLDMAN SACHS VARIABLE INSURANCE TRUST MONEY MARKET FUND
Statement of Assets and Liabilities
June 30, 2012 (Unaudited)
| Assets: | ||||
| Investments based on amortized cost |
$ | 106,003,461 | ||
| Repurchase agreements based on amortized cost |
24,800,000 | |||
| Cash |
95,425 | |||
| Receivables: |
||||
| Investment securities sold |
1,500,030 | |||
| Interest |
111,919 | |||
| Fund shares sold |
64,609 | |||
| Reimbursement from investment adviser |
14,651 | |||
| Other assets |
2,332 | |||
| Total assets | 132,592,427 | |||
| Liabilities: | ||||
| Payables: |
||||
| Investments purchased |
997,599 | |||
| Fund shares redeemed |
165,622 | |||
| Amounts owed to affiliates |
38,969 | |||
| Accrued expenses |
141,197 | |||
| Total liabilities | 1,343,387 | |||
| Net Assets: | ||||
| Paid-in capital |
131,249,075 | |||
| Accumulated net realized loss from investments |
(35 | ) | ||
| NET ASSETS | $ | 131,249,040 | ||
| Total Service Shares of beneficial interest outstanding, $0.001 par value (unlimited shares authorized) |
131,249,056 | |||
| Net asset value, offering and redemption price per share |
$1.00 | |||
| 10 | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS VARIABLE INSURANCE TRUST MONEY MARKET FUND
Statement of Operations
For the Six Months Ended June 30, 2012 (Unaudited)
| Investment income: | ||||
| Interest |
$ | 251,474 | ||
| Expenses: | ||||
| Distribution and Service fees |
170,125 | |||
| Management fees |
139,502 | |||
| Professional fees |
41,057 | |||
| Custody and accounting fees |
21,583 | |||
| Printing and mailing costs |
18,197 | |||
| Transfer Agent fees |
13,609 | |||
| Trustee fees |
7,712 | |||
| Other |
2,908 | |||
| Total expenses | 414,693 | |||
| Less — expense reductions |
(167,324 | ) | ||
| Net expenses | 247,369 | |||
| NET INVESTMENT INCOME | 4,105 | |||
| NET REALIZED GAIN FROM INVESTMENT TRANSACTIONS | 12 | |||
| NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS | $ | 4,117 | ||
| The accompanying notes are an integral part of these financial statements. | 11 |
GOLDMAN SACHS VARIABLE INSURANCE TRUST MONEY MARKET FUND
Statements of Changes in Net Assets
| For the (Unaudited) |
For the Fiscal Year Ended December 31, 2011 |
|||||||
| From operations: | ||||||||
| Net investment income |
$ | 4,105 | $ | 7,497 | ||||
| Net realized gain |
12 | 1,380 | ||||||
| Net increase in net assets resulting from operations | 4,117 | 8,877 | ||||||
| Distributions to shareholders: | ||||||||
| From net investment income |
(4,105 | ) | (7,497 | ) | ||||
| From net realized gains |
(47 | ) | (1,380 | ) | ||||
| From capital |
— | (387 | ) | |||||
| Total distributions to shareholders | (4,152 | ) | (9,264 | ) | ||||
| From share transactions (at net asset value of $1.00 per share): | ||||||||
| Proceeds from sales of shares |
13,052,210 | 77,973,255 | ||||||
| Reinvestment of distributions |
4,152 | 9,264 | ||||||
| Cost of shares redeemed |
(25,980,391 | ) | (57,174,442 | ) | ||||
| Net increase (decrease) in net assets resulting from share transactions | (12,924,029 | ) | 20,808,077 | |||||
| TOTAL INCREASE (DECREASE) | (12,924,064 | ) | 20,807,690 | |||||
| Net assets: | ||||||||
| Beginning of period |
144,173,104 | 123,365,414 | ||||||
| End of period |
$ | 131,249,040 | $ | 144,173,104 | ||||
| 12 | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS VARIABLE INSURANCE TRUST MONEY MARKET FUND
Financial Highlights
Selected Data for a Share Outstanding Throughout Each Period
| Net asset value, beginning of period |
Net investment income(a) |
Distributions from net investment income(b) |
Net asset value, end of period |
Total return(c) |
Net assets, end of period (in 000's) |
Ratio of net expenses to average net assets |
Ratio of total expenses to average net assets |
Ratio of net investment income to average net assets |
||||||||||||||||||||||||||||
| FOR THE SIX MONTHS ENDED JUNE 30, (UNAUDITED) |
| |||||||||||||||||||||||||||||||||||
| 2012 |
$ | 1.00 | $ | — | (d) | $ | — | (d) | $ | 1.00 | — | %(e) | $ | 131,249 | 0.36 | %(f) | 0.61 | %(f) | 0.01 | %(f) | ||||||||||||||||
| FOR THE FISCAL YEARS ENDED DECEMBER 31, |
| |||||||||||||||||||||||||||||||||||
| 2011 |
1.00 | — | (d) | — | (d) | 1.00 | 0.01 | 144,173 | 0.30 | 0.66 | 0.01 | |||||||||||||||||||||||||
| 2010 |
1.00 | — | (d) | — | (d) | 1.00 | 0.01 | 123,365 | 0.33 | 0.68 | — | (g) | ||||||||||||||||||||||||
| 2009 |
1.00 | 0.002 | (h) | (0.002 | )(h) | 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 | ||||||||||||||||||||||||||
| (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. Total returns for periods less than one full year are not annualized. |
| (d) | Amount is less than $0.0005 per share. |
| (e) | Amount is less than 0.005%. |
| (f) | Annualized. |
| (g) | Amount is less than 0.005% of average net assets. |
| (h) | Net investment income and distributions from net investment income contain $0.0002 of net realized capital gains and distributions from net realized gains. |
| The accompanying notes are an integral part of these financial statements. | 13 |
GOLDMAN SACHS VARIABLE INSURANCE TRUST MONEY MARKET FUND
Notes to Financial Statements
June 30, 2012 (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. Shares of the Trust are offered to separate accounts of participating life insurance companies for the purpose of funding variable annuity contracts and variable life insurance policies.
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 financial statements have been prepared in accordance with accounting principles generally accepted in the United States of America (“GAAP”) and require management to make estimates and assumptions that may affect the reported amounts and disclosures. Actual results may differ from those estimates and assumptions.
A. Investment Valuation — 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 approved 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. Investment Transactions, and Investment Income — Investment 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 and may include short-term capital gains. 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.
14
GOLDMAN SACHS VARIABLE INSURANCE TRUST MONEY MARKET FUND
2. SIGNIFICANT ACCOUNTING POLICIES (continued)
The amortized cost for the Fund stated in the accompanying Statement of Assets and Liabilities also represents aggregate cost for U.S. 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. Forward Commitments — A forward commitment involves entering into a contract to purchase or sell securities, typically on an extended settlement basis, for a fixed price at a future date. The purchase of securities involves a risk of loss if the value of the security to be purchased declines before the settlement date. Conversely, the sale of securities involves the risk that the value of the securities sold may increase before the settlement date. Although the Fund will generally purchase securities on a forward commitment basis with the intention of acquiring the securities for its portfolio, the Fund may dispose of forward commitments prior to settlement which may result in a realized gain or loss.
F. Repurchase Agreements — Repurchase agreements involve the purchase of securities subject to the seller’s agreement to repurchase the securities at a mutually agreed upon date and price. During the term of a repurchase agreement, the value of the underlying securities held as collateral on behalf of the Fund, including accrued interest is required to exceed the value of the repurchase agreement, including accrued interest. The underlying securities for all repurchase agreements are held at the Fund’s custodian or designated sub-custodians under tri-party repurchase agreements.
Pursuant to exemptive relief granted by the Securities and Exchange Commission (“SEC”) and terms and conditions contained therein, the 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 maintains pro-rata credit exposure to the underlying repurchase agreements’ counterparties. With the exception of certain transaction fees, the Fund is not subject to any expenses in relation to these investments.
3. INVESTMENTS AND FAIR VALUE MEASUREMENTS
The fair value of a financial instrument is the amount that would be received to sell an asset or paid to transfer a liability in an orderly transaction between market participants at the measurement date (i.e., the exit price). GAAP establishes a fair value hierarchy that prioritizes the inputs to valuation techniques used to measure fair value. The hierarchy gives the highest priority to unadjusted quoted prices in active markets for identical assets or liabilities (Level 1 measurements) and the lowest priority to unobservable inputs (Level 3 measurements). The Levels used for classifying investments are not necessarily an indication of the risk associated with investing in those investments. The three levels of the fair value hierarchy are described below:
Level 1 — Unadjusted quoted prices in active markets that are accessible at the measurement date for identical, unrestricted assets or liabilities;
Level 2 — Quoted prices in markets that are not active or financial instruments for which significant inputs are observable (including, but not limited to, quoted prices for similar investments, interest rates, foreign exchange rates, volatility and credit spreads), either directly or indirectly;
Level 3 — Prices or valuations that require significant unobservable inputs (including GSAM’s assumptions in determining fair value measurement).
As of June 30, 2012, all investments are classified as Level 2. Please refer to the Schedule of Investments for further detail.
15
GOLDMAN SACHS VARIABLE INSURANCE TRUST MONEY MARKET FUND
Notes to Financial Statements (continued)
June 30, 2012 (Unaudited)
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 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 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 April 27, 2013, and prior to such date GSAM may not terminate the arrangement without the approval of the trustees. For the six months ended June 30, 2012, GSAM reimbursed approximately $89,000 to the Fund.
E. Contractual and Net Fund Expenses — During the six months ended June 30, 2012, Goldman Sachs, as distributor and transfer agent, voluntarily agreed to waive a portion of distribution and service plan fees and transfer agency 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 fiscal period. The Fund is not obligated to reimburse Goldman Sachs for prior fiscal year fee waivers, if any.
| Fee/Expense Type (contractual rate, if any) |
Ratio of net expenses to average net assets for the six months ended June 30, 2012* |
|||||
| Management Fee (0.205%) | 0.21 | % | ||||
| Distribution and Service Fees (0.25%) | 0.13 | |||||
| Transfer Agency Fee (0.02%) | 0.02 | |||||
| Other Expenses | — | (a) | ||||
| Net Expenses | 0.36 | % | ||||
| * | Annualized |
| (a) | Amount is less than 0.005% of average net assets. |
16
GOLDMAN SACHS VARIABLE INSURANCE TRUST MONEY MARKET FUND
4. AGREEMENTS AND AFFILIATED TRANSACTIONS (continued)
For the six months ended June 30, 2012, Goldman Sachs waived approximately $78,000 in distribution and service fees.
For the six months ended June 30 2012, the amounts owed to affiliates of the Fund were approximately $22,000, $15,000, and $2,000 for management, distribution and service fees, and transfer agent fees, respectively.
F. Line of Credit Facility — As of June 30, 2012, the Fund participated in a $630,000,000 committed, unsecured revolving line of credit facility (the “facility”) together with other funds of the Trust and registered investment companies having management agreements with GSAM or its affiliates (“Other Borrowers”). Pursuant to the terms of the facility, the Fund and Other Borrowers could increase the credit amount by an additional $340,000,000, for a total of up to $970,000,000. This facility is to be used solely for temporary or emergency purposes. The interest rate on borrowings is based on the federal funds rate. The facility also requires a fee to be paid by the Fund based on the amount of the commitment that has not been utilized. For the six months ended June 30, 2012, the Fund did not have any borrowings under the facility. Prior to May 8, 2012, the amount available through the facility was $580,000,000.
5. OTHER RISKS
The Fund’s risks include, but are not limited to, the following:
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 a significant portion of certain fees (such as distribution fees, service fees, 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.
17
GOLDMAN SACHS VARIABLE INSURANCE TRUST MONEY MARKET FUND
Notes to Financial Statements (continued)
June 30, 2012 (Unaudited)
7. OTHER MATTERS
New Accounting Pronouncement — In December 2011, Accounting Standards Update 2011-11 (ASU 2011-11), Amendments to Disclosures about Offsetting Assets and Liabilities Requirements in U.S. GAAP and International Financial Reporting Standards (“IFRS”), was issued and is effective for interim periods and annual periods beginning on or after January 1, 2013. The amendments are the result of the work by the Financial Accounting Standards Board (“FASB”) and the International Accounting Standards Board to develop common requirements for disclosing information about offsetting and related arrangements. GSAM is currently evaluating the application of ASU 2011-11 and its impact, if any, on the Fund’s financial statements.
8. 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.
18
GOLDMAN SACHS VARIABLE INSURANCE TRUST MONEY MARKET FUND
| Fund Expenses — Six Month Period Ended June 30, 2012 (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, 2012 through June 30, 2012.
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.
| Beginning Account Value 01/01/12 |
Ending Account Value 06/30/12 |
Expenses Paid for the 6 Months Ended 06/30/12* |
||||||||||
| Actual | $ | 1,000.00 | $ | 1,000.03 | $ | 1.81 | ||||||
| Hypothetical 5% return | 1,000.00 | 1,023.06 | + | 1.83 | ||||||||
| * | 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, 2012. Expenses are calculated by multiplying the annualized net expense ratio by the average account value for the period; then multiplying the result by the number of days in the most recent fiscal half year; and then dividing that result by the number of days in the fiscal year. The annualized net expense ratio for the period was 0.36%. |
| + | 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. |
19
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, 2013 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 13, 2012 (the “Annual Meeting”).
The review process undertaken by the Trustees spans the course of the year and culminates with the Annual Meeting. To assist the Trustees in their deliberations, the Trustees have established a Contract Review Committee (the “Committee”), comprised of the Independent Trustees. The Committee held three meetings over the course of the year since the Management 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, compliance testing, market risk analysis, finance and strategy and central funding), sales and distribution support groups and others (e.g., information technology and training); |
| (iii) | trends in headcount; |
| (iv) | the Investment Adviser’s financial resources and ability to hire and retain talented personnel and strengthen its operations; and |
| (v) | the parent company’s support of the Investment Adviser and its mutual fund business, as expressed by the firm’s senior management; |
| (b) | information on the investment performance of the Fund, including comparisons to the performance of a group 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; |
20
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 a positive yield for the Fund and limit 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. 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 of the Investment Adviser’s portfolio management teams that had occurred in recent periods, and the potential benefit to the Fund of the ongoing recruitment efforts aimed at bringing high quality investment talent to the Investment Adviser. The Independent Trustees concluded that the Investment Adviser continued to commit substantial financial and operational resources to the 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.
21
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 investment performance of the Fund to its peers using rankings compiled by the Outside Data Provider as of December 31, 2011. The information on the Fund’s investment performance was provided for the one-, three- and five-year periods ended December 31, 2011.
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 performance of the Fund in light of its investment objective and the credit parameters. They also considered the challenging yield environment in which the Fund had operated since 2009. They noted that despite volatility in the U.S. and global financial markets since 2009, the Investment Adviser had been able to maintain a stable net asset value and positive yield to meet the demand of the Fund’s investors, in large part as the result of voluntary fee waivers. In light of these considerations, the Independent Trustees believed that the Fund was providing investment performance within a competitive range for investors.
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 a category universe; an expense analysis which compared the Fund’s overall net and gross expenses to a peer group and a category universe; and a five-year history comparing the Fund’s net expenses to the peer and category medians. The analyses also compared the Fund’s transfer agency and custody fees, other expenses and fee waivers/reimbursements to those of other funds in the peer group and the peer group and category medians. The Trustees concluded that the comparisons provided by the Outside Data Provider were useful in evaluating the reasonableness of the management fees and total expenses paid by the Fund.
In addition, the Trustees considered the Investment Adviser’s undertaking to limit certain expenses of the Fund that exceed a specified level. They noted that the Investment Adviser and Goldman Sachs had taken a number of steps, including waiving distribution and service and transfer agency fees, in order to maintain a positive yield 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.
22
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 2011 and 2010, and the Trustees considered this information in relation to the Investment Adviser’s overall profitability. The Trustees considered the Investment Adviser’s revenues and pre-tax profit margins both in absolute terms and in comparison to information on the reported pre-tax profit margins earned by certain other asset management firms.
Economies of Scale
The Trustees considered the information that had been provided regarding the Investment Adviser’s profitability. The Trustees noted that the Fund does not have management fee breakpoints. They considered the amounts 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 certain expenses of the Fund that exceed a specified level; and the willingness of Goldman Sachs to waive certain fees on a temporary basis in order to maintain a positive Fund yield. 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 Investment Adviser’s (and its affiliates’) level of profitability had been reduced as a result of fee waivers and expense limitations.
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 these fall-out benefits.
23
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 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 risk management systems and databases), subject to certain restrictions; 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, 2013.
24
| TRUSTEES | OFFICERS | |
| Ashok N. Bakhru, Chairman | James A. McNamara, President | |
| Donald C. Burke | George F. Travers, Principal Financial Officer | |
| John P. Coblentz, Jr. | Caroline L. Kraus, Secretary | |
| Diana M. Daniels | Scott M. McHugh, Treasurer | |
| Joseph P. LoRusso | ||
| 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 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.
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.
© 2012 Goldman Sachs. All rights reserved.
79280.MF.MED.TMPL/8/2012 VITMMSAR12
Goldman
Sachs Variable Insurance Trust
Goldman Sachs
Global Markets
Navigator Fund
Semi-Annual Report
June 30, 2012
GOLDMAN SACHS VARIABLE INSURANCE TRUST GLOBAL MARKETS NAVIGATOR FUND
Principal Investment Strategies and Risks
Shares of the Goldman Sachs Variable Insurance Trust — Goldman Sachs Global Markets Navigator 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 Global Markets Navigator Fund seeks to achieve investment results that approximate the performance of the Goldman Sachs Global Markets Navigator Index (the “Index”). The Index is comprised of, and allocates exposure to, a set of underlying indices representing various global asset classes including, but not limited to, global equity, fixed income and commodity assets. The Index is constructed using a proprietary methodology developed by the index provider, and is rebalanced at least monthly. The Fund’s performance may not match, and may vary substantially from, that of the Index. There can be no assurance that the methodology used by the index provider in constructing the Index will correctly forecast certain risks or make effective tactical decisions, and the Fund’s attempt to track this Index may cause it to underperform general securities markets and/or other asset classes. Derivative investments (including swaps) 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; risk of default by a counterparty; and liquidity risk. The Fund’s use of derivatives may result in leverage, which can make the Fund more volatile. The Fund’s over-the-counter transactions are subject to less government regulation and supervision. The Fund’s equity investments are subject to market risk, which means that the value of its investments may go up or down in response to the prospects of individual companies, particular industry sectors and/or general economic conditions. The Fund’s fixed income investments are subject to the risks associated with debt securities generally, including credit, liquidity and interest rate risk. The Fund is also subject to the risk that the issuers of sovereign debt or the government authorities that control the payment of debt may be unable or unwilling to repay principal or interest when due. High yield, lower rated securities involve greater price volatility and present greater risks than higher rated fixed income securities. The value of the Fund’s treasury inflation protected securities (TIPS) generally fluctuates in response to inflationary concerns, and as inflationary concerns decrease, TIPS become less valuable. Any guarantee on U.S. government securities applies only to the underlying securities of the Fund if held to maturity and not to the value of the Fund’s shares. The Fund is subject to the risk that exposure to the commodities markets may subject the Fund to greater volatility than investments in traditional securities. The Fund currently relies on an exemption from regulation as a “commodity pool operator”, which if altered, could affect the operations and investment strategies of the Fund and increase its expenses. The Fund may also invest in foreign securities, including emerging markets 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 adverse economic or political developments. At times, the Fund may be unable to sell certain of its portfolio securities without a substantial drop in price, if at all. The Fund’s investments in other investment companies (including ETFs) subject it to additional expenses. Because the Fund may concentrate its investments in an industry (only in the event that an industry represents 20% or more of the Fund’s index), the Fund may be subject to greater risk of loss as a result of adverse economic, business
1
GOLDMAN SACHS VARIABLE INSURANCE TRUST GLOBAL MARKETS NAVIGATOR FUND
or other developments affecting that industry. The Fund is “non-diversified” and may invest more of its assets in fewer issuers than “diversified” funds. Accordingly, the Fund may be more susceptible to adverse developments affecting any single issuer held in its portfolio and to greater losses resulting from these developments.
The “GS Global Markets Navigator Index” is a trademark or service mark of Goldman, Sachs & Co. and has been licensed for use by the Investment Adviser in connection with the Fund. As the licensor of this trademark or service mark, Goldman, Sachs & Co. does not make any representation regarding the advisability of investing in the Fund.
NEITHER GOLDMAN, SACHS & CO. NOR ANY OF ITS AFFILIATES MAKES ANY REPRESENTATION OR WARRANTY, EXPRESS OR IMPLIED, TO THE SHAREHOLDERS OF THE FUND OR ANY MEMBER OF THE PUBLIC REGARDING THE ADVISABILITY OF INVESTING IN SECURITIES GENERALLY OR IN THE FUND PARTICULARLY OR THE ABILITY OF THE GS GLOBAL MARKETS NAVIGATOR INDEX (THE “INDEX”) OR THE FUND TO PERFORM AS INTENDED. GOLDMAN, SACHS & CO.’S RELATIONSHIP TO THE FUND, IN ITS CAPACITY AS LICENSOR OF THE INDEX TO GOLDMAN SACHS ASSET MANAGEMENT, L.P., IS THE LICENSING OF CERTAIN TRADEMARKS AND TRADE NAMES OF GOLDMAN, SACHS & CO. AND OF THE INDEX WHICH WAS DEVELOPED BY GOLDMAN, SACHS & CO. AND IS CALCULATED BY GOLDMAN, SACHS & CO.’S AGENTS WITHOUT REGARD TO GOLDMAN SACHS ASSET MANAGEMENT, L.P., OR THE FUND. NEITHER GOLDMAN, SACHS & CO. NOR ANY OF ITS AFFILIATES NOR AGENTS (INCLUDING ANY CALCULATION AGENT) HAS ANY OBLIGATION TO TAKE THE NEEDS OF GOLDMAN SACHS ASSET MANAGEMENT, L.P., THE FUND OR THE SHAREHOLDERS OF THE FUND INTO CONSIDERATION IN DETERMINING, COMPOSING OR CALCULATING THE INDEX. NEITHER GOLDMAN, SACHS & CO., IN ITS CAPACITY AS LICENSOR OF THE INDEX TO GOLDMAN SACHS ASSET MANAGEMENT, L.P., NOR ANY OF ITS AFFILIATES (OTHER THAN GOLDMAN SACHS ASSET MANAGEMENT, L.P.) IS RESPONSIBLE FOR NOR HAS IT, IN SUCH CAPACITY, OR HAVE THEY PARTICIPATED IN THE DETERMINATION OF THE OFFERING PRICES AND THE AMOUNT OF THE SHARES OF THE FUND OR THE TIMING OF THE ISSUANCE OR SALE OF SHARES OF THE FUND OR IN THE DETERMINATION OR CALCULATION OF THE OFFERING OR REDEMPTION PRICE PER SHARE OF THE FUND. NEITHER GOLDMAN, SACHS & CO., IN ITS CAPACITY AS LICENSOR OF THE INDEX TO GOLDMAN SACHS ASSET MANAGEMENT, L.P., NOR ANY OF ITS AFFILIATES (OTHER THAN GOLDMAN SACHS ASSET MANAGEMENT, L.P.) HAS ANY OBLIGATION OR LIABILITY IN CONNECTION WITH THE ADMINISTRATION, MARKETING OR TRADING OF THE FUND. GOLDMAN, SACHS & CO. OR ANY OF ITS AFFILIATES MAY HOLD LONG OR SHORT POSITIONS IN SECURITIES HELD BY THE FUND OR IN RELATED DERIVATIVES.
2
GOLDMAN SACHS VARIABLE INSURANCE TRUST GLOBAL MARKETS NAVIGATOR FUND
INVESTMENT OBJECTIVE
The Fund seeks to achieve investment results that approximate the performance of the Goldman Sachs Global Markets Navigator Index.
Portfolio Management Discussion and Analysis
Below, the Goldman Sachs Quantitative Investment Strategies Team discusses the Goldman Sachs Variable Insurance Trust — Goldman Sachs Global Markets Navigator Fund’s (the “Fund”) performance and positioning for the period since its inception on April 16, 2012 through June 30, 2012 (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 -1.30%. This return compares to the -0.63% cumulative total return of the Fund’s benchmark, the Goldman Sachs Global Markets Navigator Index (the “Index”), during the same time period.
Importantly, since inception, the Fund’s overall annualized volatility was 4.57%, significantly less than the S&P® 500 Index’s annualized volatility of 16.09% during the same time period.
What economic and market factors most influenced the Fund during the Reporting Period?
During April, optimism about Europe’s financial problems gave way to uncertainty and fear of a European Monetary Union (“EMU”) break-up. The changing political landscape unnerved markets. The French did not re-elect their president, who had worked closely with Germany’s chancellor since the start of the crisis, and elected a Socialist. The Dutch coalition government broke up. In addition, deepening concerns over the health of Spanish banks and Greece’s potential exit from the EMU weighed heavily on European markets, the euro and the financials sector, particularly large European banks. Despite further easing from the Bank of Japan, the yen continued to rise and pressured Japanese equities.
Meanwhile, economic data from the U.S. began to lose some momentum and called into question the U.S. recovery. The U.S. labor market, which had been reporting improvements, appeared to slow, as jobless claims increased for several weeks in a row, and deteriorated further in May. In addition, the initial first quarter U.S. Gross Domestic Product (“GDP”) estimate of 2.2% was lower than expected and was subsequently revised down to 1.9%. However, housing market data showed some signs of stabilization, and consumer confidence offered mixed signals.
In May, global equity markets declined with the S&P 500 Index falling 6.3%. International equity markets retreated even more, with the MSCI EAFE and MSCI Emerging Markets indices dropping 11.5% and 11.0%, respectively. Investors sought relative safety in less risky assets, leading to a strong rally in bonds for the month. Disappointing economic reports from faster growing regions of the world renewed fears of a global economic slowdown. The gloomy mood prevailed into June as Spain’s banking system required a bailout and Moody’s Investors Service downgraded 15 international banks. However, markets rallied on the last day of June on the announcement of some coordinated action by European leaders following summit talks.
What key factors were responsible for the Fund’s performance during the Reporting Period?
The Fund seeks to achieve its objective by investing in financial instruments that provide exposure to the various underlying global equity and fixed income indices that comprise the Goldman Sachs Global Markets Navigator Index. Using a momentum-based methodology, the Fund strives to manage risk and enhance long-term returns in changing market environments.
Momentum investing seeks growth of capital by gaining exposure to asset classes that have exhibited trends in price performance over selected time periods. In managing the Fund, we use a methodology that evaluates historical three-, six- and nine-month returns, volatilities and correlations across a range of nine global asset classes. Represented by indices, these asset classes include, within the equities category, the U.S. large cap, Europe, Asia, emerging markets, the U.K. and U.S. small-cap stocks. Within the fixed income category, the Fund may allocate assets to the U.S., Europe and Japan. The analysis of these asset classes drives the aggregate allocations of the Fund over time. We believe market price momentum — either positive or negative — has significant predictive power.
During the Reporting Period, the Fund’s positioning in equities detracted from its relative performance. This was partially offset by the positive contribution made by the Fund’s exposure to fixed income.
3
GOLDMAN SACHS VARIABLE INSURANCE TRUST GLOBAL MARKETS NAVIGATOR FUND
How was the Fund positioned during the Reporting Period?
The Fund’s allocation to fixed income increased slightly during the month of May driven by the strong momentum of the asset class. In May, we shifted the Fund away from the declining equity markets, specifically in Europe. The Fund maintained exposure to U.S. and Japanese equities largely based on the attractive returns these asset classes had seen overall during the first several months of 2012. In June, the Fund’s allocation to Japanese stocks was reduced to zero. Throughout the Reporting Period, the Fund had about 7% of its assets invested in small-cap stocks.
How did volatility affect the Fund during the Reporting Period?
As part of our investment approach, we seek to mitigate the Fund’s volatility. As mentioned earlier, during the Reporting Period, the Fund’s actual volatility (annualized, using daily returns) was 4.57% versus the S&P 500® Index’s volatility annualized of 16.09%.
How did the Fund use derivatives and similar instruments during the Reporting Period?
During the Reporting Period, the Fund used exchange-traded index futures contracts to gain exposure to U.S. small-cap equities and to non-U.S. developed market equities, including those in Europe and Japan, as well as to gain exposure to U.S. and non-U.S. fixed income.
What changes did you make within the Fund during the Reporting Period?
As the Fund launched on April 16, 2012, it was not a matter of making changes during the Reporting Period but largely of initiating trades and building the portfolio.
What is the Fund’s tactical asset allocation view and strategy for the months ahead?
At the end of the Reporting Period, the Fund had allocations to U.S. and U.K. equities as well as to U.S. small-cap stocks. It also had exposure to U.S. and European fixed income. It had no exposure at the end of the Reporting Period to Japanese fixed income or to European, Asian or emerging markets stocks.
Going forward, we intend to position the Fund to provide exposure to price momentum from among nine underlying asset classes, while dynamically managing the volatility, or risk, of the overall portfolio. When risk increases, our goal is to preserve capital by moving the Fund into less risky assets such as fixed income. When we believe the financial markets have become more stable, we expect to allocate a greater portion of the Fund to equities. There is no guarantee that the Fund’s dynamic management strategy will cause it to achieve its investment objective.
4
FUND BASICS
Global Markets Navigator Fund
as of June 30, 2012
STANDARDIZED TOTAL RETURNS1
| For the period ended 6/30/12 | One Year | Five Years | Ten Years | Since Inception | Inception Date | |||||||||||||
| Service | N/A | N/A | N/A | -1.30 | % | 4/16/12 | ||||||||||||
| 1 | Standardized Total Returns are average annual total returns or cumulative total returns (only if the performance period is one year or less) as of the most recent calendar quarter-end. They assume reinvestment of all distributions at net asset value (“NAV”). Because Institutional Shares do not involve a sales charge, such a charge is not applied to their Standardized Total Returns. |
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 | 1.09 | % | 1.41 | % | ||||
| 2 | The expense ratios of the Fund, both current (net of applicable fee waivers and/or expense limitations) and before waivers (gross of applicable fee waivers and/or expense limitations), are as set forth above according to the most recent publicly available Prospectus for the Fund and may differ from the expense ratios disclosed in the Financial Highlights in this report. The Fund’s waivers and/or expense limitations will remain in place through at least April 9, 2013, and prior to such date the investment adviser may not terminate the arrangements without the approval of the Fund’s Board of Trustees. If these arrangements are discontinued in the future, the expense ratios may change without shareholder approval. |
5
FUND BASICS
FUND COMPOSITION3
As of June 30, 2012
| 3 | The percentage shown for each investment category reflects the value of investments in that category as a percentage of net assets. Figures in the above graph may not sum to 100% due to the exclusion of other assets and liabilities. Underlying sector allocations of exchange traded funds (“ETFs”) held by the Fund are not reflected in the graph above. Consequently, the Fund’s overall sector allocations may differ from the percentages contained in the graph above. The graph depicts the Fund’s investments but may not represent the Fund’s market exposure due to the exclusion of certain derivatives, if any, as listed in the Additional Investment Information section of the Schedule of Investments. |
| 4 | “Agency Debentures” include agency securities offered by companies such as Federal National Mortgage Association and Federal Home Loan Mortgage Corporation, 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. |
6
GOLDMAN SACHS VARIABLE INSURANCE TRUST GLOBAL MARKETS NAVIGATOR FUND
Schedule of Investments
June 30, 2012 (Unaudited)
| Principal Amount |
Interest Rate |
Maturity Date |
Value | |||||||||||
| Agency Debentures(a) – 26.7% | ||||||||||||||
| FHLB | ||||||||||||||
| $451,000 | 0.000 | % | 09/28/12 | $ | 450,911 | |||||||||
| FHLMC | ||||||||||||||
| 451,000 | 0.000 | 09/24/12 | 450,916 | |||||||||||
| FNMA | ||||||||||||||
| 451,000 | 0.000 | 09/26/12 | 450,914 | |||||||||||
|
|
|
|||||||||||||
| TOTAL AGENCY DEBENTURES | ||||||||||||||
| (Cost $1,352,602) | $ | 1,352,741 | ||||||||||||
|
|
|
|||||||||||||
| Shares | Description | Value | ||||||||||||
|
|
Exchange Traded Fund – 21.1% |
| ||||||||||||
| 17,112 | Vanguard S&P 500 ETF | $ | 1,065,735 | |||||||||||
| (Cost $1,056,327) | ||||||||||||||
|
|
|
|||||||||||||
| Principal Amount |
Interest Rate |
Maturity Date |
Value | |||||||||||
| U.S. Treasury Obligation – 42.8% | ||||||||||||||
|
|
United States Treasury Notes |
|
||||||||||||
| $1,901,000 | 3.125% | 05/15/21 | $ | 2,163,909 | ||||||||||
| (Cost $2,169,659) | ||||||||||||||
|
|
|
|||||||||||||
| TOTAL INVESTMENTS – 90.6% | ||||||||||||||
| (Cost $4,578,588) | $ | 4,582,385 | ||||||||||||
|
|
|
|||||||||||||
| |
OTHER ASSETS IN EXCESS OF |
|
474,544 | |||||||||||
|
|
|
|||||||||||||
|
|
NET ASSETS – 100.0% |
|
$ | 5,056,929 | ||||||||||
|
|
|
|||||||||||||
| The percentage shown for each investment category reflects the value of investments in that category as a percentage of net assets. | ||
| (a) | Issued with a zero coupon. Income is recognized through the accretion of discount. | |
| Investment Abbreviations: | ||
| FHLB | —Federal Home Loan Bank | |
| FHLMC | —Federal Home Loan Mortgage Corp. | |
| FNMA | —Federal National Mortgage Association | |
ADDITIONAL INVESTMENT INFORMATION
FUTURES CONTRACTS — At June 30, 2012, the Fund had the following futures contracts:
| Type | Number of Contracts Long (Short) |
Expiration Date |
Current Value |
Unrealized Gain (Loss) |
||||||||||
| Euro-Bund | 6 | September 2012 | $ | 1,069,854 | $ | (24,009 | ) | |||||||
| FTSE 100 Index | 3 | September 2012 | 259,495 | 4,947 | ||||||||||
| Russell 2000 Mini Index |
5 | September 2012 | 397,700 | 17,662 | ||||||||||
| TOTAL | $ | (1,400 | ) | |||||||||||
| The accompanying notes are an integral part of these financial statements. | 7 |
GOLDMAN SACHS VARIABLE INSURANCE TRUST GLOBAL MARKETS NAVIGATOR FUND
Statement of Assets and Liabilities
June 30, 2012 (Unaudited)
| Assets: | ||||
| Investments, at value (cost $4,578,588) |
$ | 4,582,385 | ||
| Cash |
510,785 | |||
| Receivables: |
||||
| Futures variation margin(a) |
79,815 | |||
| Reimbursement from investment adviser |
29,650 | |||
| Fund shares sold |
15,413 | |||
| Interest |
7,587 | |||
| Deferred offering costs |
122,376 | |||
| Total assets | 5,348,011 | |||
| Liabilities: | ||||
| Payables: |
||||
| Investments purchased |
103,122 | |||
| Amounts owed to affiliates |
3,681 | |||
| Fund shares redeemed |
74 | |||
| Accrued expenses and other liabilities |
184,205 | |||
| Total liabilities | 291,082 | |||
| Net Assets: | ||||
| Paid-in capital |
5,085,046 | |||
| Undistributed net investment loss |
(2,358 | ) | ||
| Net realized loss |
(28,184 | ) | ||
| Net unrealized gain |
2,425 | |||
| NET ASSETS | $ | 5,056,929 | ||
| Total Service Shares of beneficial interest outstanding $0.001 par value (unlimited shares authorized): |
512,102 | |||
| Net asset value, offering and redemption price per share: |
$9.87 | |||
(a) Includes cash on deposit with counterparty relating to initial margin requirements on future transactions of $70,955.
| 8 | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS VARIABLE INSURANCE TRUST GLOBAL MARKETS NAVIGATOR FUND
Statement of Operations
For the Period Ended June 30, 2012 (Unaudited)(a)
| Investment income: | ||||
| Dividends |
$ | 4,918 | ||
| Interest |
230 | |||
| Total investment income | 5,148 | |||
| Expenses: | ||||
| Offering costs |
30,761 | |||
| Professional fees |
21,068 | |||
| Organization costs |
12,000 | |||
| Printing and mailing costs |
11,583 | |||
| Custody and accounting fees |
6,342 | |||
| Management fees |
5,799 | |||
| Trustee fees |
3,475 | |||
| Distribution and Service fees |
1,835 | |||
| Transfer Agent fees |
147 | |||
| Other |
867 | |||
| Total expenses | 93,877 | |||
| Less — expense reductions |
(86,371 | ) | ||
| Net expenses | 7,506 | |||
| NET INVESTMENT LOSS | (2,358 | ) | ||
| Realized and unrealized gain (loss): | ||||
| Net realized gain (loss) from: |
||||
| Investments |
9,150 | |||
| Futures contracts |
(36,828 | ) | ||
| Foreign currency transactions |
(506 | ) | ||
| Net unrealized gain (loss) on: |
||||
| Investments |
3,797 | |||
| Futures contracts |
(1,400 | ) | ||
| Foreign currency translation |
28 | |||
| Net realized and unrealized loss | (25,759 | ) | ||
| NET DECREASE IN NET ASSETS RESULTING FROM OPERATIONS | $ | (28,117 | ) | |
(a) Commenced operations on April 16, 2012.
| The accompanying notes are an integral part of these financial statements. | 9 |
GOLDMAN SACHS VARIABLE INSURANCE TRUST GLOBAL MARKETS NAVIGATOR FUND
Statement of Changes in Net Assets
| For the (Unaudited) |
||||
| From operations: | ||||
| Net investment loss |
$ | (2,358 | ) | |
| Net realized loss |
(28,184 | ) | ||
| Net unrealized gain |
2,425 | |||
| Net decrease in net assets resulting from operations | (28,117 | ) | ||
| From share transactions: | ||||
| Proceeds from sales of shares |
5,175,372 | |||
| Cost of shares redeemed |
(90,326 | ) | ||
| Net increase in net assets resulting from share transactions | 5,085,046 | |||
| TOTAL INCREASE | 5,056,929 | |||
| Net assets: | ||||
| Beginning of period |
— | |||
| End of period |
$ | 5,056,929 | ||
| Undistributed net investment loss | $ | (2,358 | ) | |
| Summary of share transactions: | ||||
| Shares sold |
521,292 | |||
| Shares redeemed |
(9,190 | ) | ||
| NET INCREASE | 512,102 | |||
(a) Commenced operations on April 16, 2012.
| 10 | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS VARIABLE INSURANCE TRUST GLOBAL MARKETS NAVIGATOR FUND
Financial Highlights
Selected Data for a Share Outstanding Throughout the Period
| Income (loss) from investment operations |
||||||||||||||||||||||||||||||||||||||||||||
| Year | Net asset value, beginning of period |
Net investment loss(a) |
Net realized and unrealized loss |
Total from investment operations |
Net asset value, end of period |
Total return(b) |
Net assets, end of period (in 000s) |
Ratio of net expenses to average net assets(c) |
Ratio
of total expenses to average net assets(c) |
Ratio
of net investment loss to average net assets(c) |
Portfolio turnover rate(d) |
|||||||||||||||||||||||||||||||||
| FOR THE PERIOD ENDED JUNE 30, (UNAUDITED) |
||||||||||||||||||||||||||||||||||||||||||||
| 2012 (Commenced April 16, 2012) |
$ | 10.00 | $ | (0.01 | ) | $ | (0.12 | ) | $ | (0.13 | ) | $ | 9.87 | (1.30 | )% | $ | 5,057 | 1.02 | % | 9.60 | % | (0.32 | )% | 31 | % | |||||||||||||||||||
| (a) | Calculated based on the average shares outstanding methodology. |
| (b) | Assumes investment at the net asset value at the beginning of the period, 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) | The Fund’s portfolio turnover rate is calculated in accordance with regulatory requirements, without regard to transactions involving short term investments and certain derivatives. If such transactions were included, the Fund’s portfolio turnover rate may be higher. |
| The accompanying notes are an integral part of these financial statements. | 11 |
GOLDMAN SACHS VARIABLE INSURANCE TRUST GLOBAL MARKETS NAVIGATOR FUND
Notes to Financial Statements
June 30, 2012 (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 Global Markets Navigator Fund (the “Fund”). The Fund is a non-diversified portfolio under the Act offering one class of shares — Service Shares. Shares of the Trust are offered to separate accounts of participating life insurance companies for the purpose of funding variable annuity contracts and variable life insurance policies. The Fund commenced operations on April 16, 2012.
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 financial statements have been prepared in accordance with accounting principles generally accepted in the United States of America (“GAAP”) and require management to make estimates and assumptions that may affect the reported amounts and disclosures. Actual results may differ from those estimates and assumptions.
A. Investment Valuation — The Fund’s valuation policy is to value investments at fair value.
B. Investment Income and Investments — Investment income includes interest income and dividend income, net of any foreign withholding taxes, less any amounts reclaimable. Interest income is accrued daily and adjusted for amortization of premiums and accretion of discounts. Dividend income is recognized on ex-dividend date or, for certain foreign securities, as soon as such information is obtained subsequent to the ex-dividend date. Investment transactions are reflected on trade date. Realized gains and losses are calculated using identified cost. Investment transactions are recorded on the following business day for daily net asset value (“NAV”) calculations. Any foreign capital gains tax is accrued daily based upon net unrealized gains, and is payable upon sale of such investments.
For derivative contracts, realized gains and losses are recorded upon settlement of the contract. For securities with paydown provisions, principal payments received are treated as a proportionate reduction to the cost basis of the securities and excess amounts are recorded as gains. For treasury inflation protected securities (“TIPS”), adjustments to principal due to inflation/deflation are reflected as increases/decreases to interest income with a corresponding adjustment to cost. Upfront payments on swaps are recorded as deferred realized gains or losses and are recognized over the contract’s term/event, with the exception of forward starting interest rate swaps whose realized gain or losses are recognized from the effective start date.
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. Offering and Organization Costs — Offering costs paid in connection with the offering of shares of the Fund have been amortized on a straight-line basis over 12 months from the date of commencement of operations. Organization costs paid in connection with the organization of the Fund were expensed on the first day of operations.
12
GOLDMAN SACHS VARIABLE INSURANCE TRUST GLOBAL MARKETS NAVIGATOR FUND
2. SIGNIFICANT ACCOUNTING POLICIES (continued)
E. 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.
F. Foreign Currency Translation — The accounting records and reporting currency of the Fund are maintained in United States (“U.S.”) dollars. Assets and liabilities denominated in foreign currencies are translated into U.S. dollars using the current exchange rates at the close of each business day. The effect of changes in foreign currency exchange rates on investments is included within net realized and unrealized gain (loss) on investments. Changes in the value of other assets and liabilities as a result of fluctuations in foreign exchange rates are included in the Statement of Operations within net change in unrealized gain (loss) on foreign currency transactions. Transactions denominated in foreign currencies are translated into U.S. dollars on the date the transaction occurred, the effects of which are included within net realized gain (loss) on foreign currency transactions.
3. INVESTMENTS AND FAIR VALUE MEASUREMENTS
The fair value of a financial instrument is the amount that would be received to sell an asset or paid to transfer a liability in an orderly transaction between market participants at the measurement date (i.e., the exit price). GAAP establishes a fair value hierarchy that prioritizes the inputs to valuation techniques used to measure fair value. The hierarchy gives the highest priority to unadjusted quoted prices in active markets for identical assets or liabilities (Level 1 measurements) and the lowest priority to unobservable inputs (Level 3 measurements). The levels used for classifying investments are not necessarily an indication of the risk associated with investing in these investments. The three levels of the fair value hierarchy are described below:
Level 1 — Unadjusted quoted prices in active markets that are accessible at the measurement date for identical, unrestricted assets or liabilities;
Level 2 — Quoted prices in markets that are not active or financial instruments for which significant inputs are observable (including, but not limited to, quoted prices for similar investments, interest rates, foreign exchange rates, volatility and credit spreads), either directly or indirectly;
Level 3 — Prices or valuations that require significant unobservable inputs (including GSAM’s assumptions in determining fair value measurement).
13
GOLDMAN SACHS VARIABLE INSURANCE TRUST GLOBAL MARKETS NAVIGATOR FUND
Notes to Financial Statements (continued)
June 30, 2012 (Unaudited)
3. INVESTMENTS AND FAIR VALUE MEASUREMENTS (continued)
A. Level 1 and Level 2 Fair Value Investments — The valuation techniques and significant inputs used in determining the fair values for investments classified as Level 1 and Level 2 are as follows:
Equity Securities — Equity securities and investment companies traded on a U.S. securities exchange or the NASDAQ system, or those located on certain foreign exchanges including, but not limited to the Americas, are valued daily at their last sale price or official closing price on the principal exchange or system on which they are traded. Investments in investment companies (other than those that are exchange traded) are valued at the NAV on the valuation date. If no sale occurs, equity securities and non-exchange traded investment companies are valued at the last bid price for long positions and at the last ask price for short positions. To the extent these investments are actively traded, they are classified as Level 1 of the fair value hierarchy.
Unlisted equity securities for which market quotations are available are valued at the last sale price on the valuation date, or if no sale occurs, at the last bid price. Securities traded on certain foreign securities exchanges are valued daily at fair value determined by an independent fair value service (if available) under valuation procedures approved by the trustees and consistent with applicable regulatory guidance. The independent fair value service takes into account multiple factors including, but not limited to, movements in the securities markets, certain depositary receipts, futures contracts and foreign currency exchange rates that have occurred subsequent to the close of the foreign securities exchange. Investments applying these valuation adjustments are classified as Level 2 of the fair value hierarchy.
Debt Securities — Debt securities, for which market quotations are readily available, are valued daily on the basis of quotations supplied by dealers or an independent pricing service approved by the trustees. The pricing services may use valuation models or matrix pricing, which consider: (i) yield or price with respect to bonds that are considered comparable in characteristics such as rating, interest rate and maturity date or (ii) quotations from securities dealers to determine current value. Short-term debt obligations that mature in sixty days or less and that do not exhibit signs of credit deterioration are valued at amortized cost, which approximates fair value. With the exception of treasury securities, which are generally classified as Level 1, these investments are generally classified as Level 2 of the fair value hierarchy.
Derivative contracts — A derivative is an instrument whose value is derived from underlying assets, indices, reference rates or a combination of these factors.
Exchange-traded derivatives, including futures contracts, typically fall within Level 1 of the fair value hierarchy. Over-the-counter (“OTC”) derivatives are valued using market transactions and other market evidence, including market-based inputs to models, calibration to market-clearing transactions, broker or dealer quotations, or other alternative pricing. Where models are used, the selection of a particular model to value an OTC derivative depends upon the contractual terms of, and specific risks inherent in, the instrument, as well as the availability of pricing information in the market. Valuation models require a variety of inputs, including contractual terms, market prices, yield curves, credit curves, measures of volatility, voluntary and involuntary prepayment rates, loss severity rates and correlations of such inputs. For OTC derivatives that trade in liquid markets, model inputs can generally be verified and model selection does not involve significant management judgment. OTC derivatives are classified within Level 2 of the fair value hierarchy when significant inputs are corroborated by market evidence.
14
GOLDMAN SACHS VARIABLE INSURANCE TRUST GLOBAL MARKETS NAVIGATOR FUND
3. INVESTMENTS AND FAIR VALUE MEASUREMENTS (continued)
i. Futures Contracts — Futures contracts are contracts to buy or sell a standardized quantity of a specified commodity or security and are valued based on exchanged settlement prices or independent market quotes. Futures contracts are valued at the last settlement price, or in the absence of a sale, the last bid price for long positions and at the last ask price for short positions, at the end of each day on the board of trade or exchange upon which they are traded. Upon entering into a futures contract, the 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.
B. Level 3 Fair Value Investments — The valuation techniques and significant inputs used in determining the fair values for investments classified as Level 3 are as follows:
To the extent that the aforementioned significant inputs are unobservable, or if quotations are not readily available, or if GSAM believes that such quotations do not accurately reflect fair value, the fair value of the Fund’s investments may be determined under valuation procedures approved by the trustees. GSAM, consistent with its procedures and applicable regulatory guidance, may make an adjustment to the most recent valuation prices of either domestic or foreign securities in light of significant events to reflect what it believes to be the fair value of the securities at the time of determining a Fund’s NAV. Significant events which could affect a large number of securities in a particular market may include, but are not limited to significant fluctuations in U.S. or foreign markets; market dislocations; market disruptions or unscheduled market closings. Significant events, which could also affect a single issuer, may include, but are not limited to corporate actions such as reorganizations, mergers and buy-outs; ratings downgrades; and bankruptcies.
C. Fair Value Hierarchy — The following is a summary of the Fund’s investments and derivatives classified in the fair value hierarchy as of June 30, 2012:
| Investment Type | Level 1 | Level 2 | Level 3 | |||||||||
| Assets | ||||||||||||
| Fixed Income | ||||||||||||
| Agency Debentures |
$ | — | $ | 1,352,741 | $ | — | ||||||
| U.S. Treasury Obligations and/or Other U.S. Government Agencies |
2,163,909 | — | — | |||||||||
| Exchange Traded Fund |
1,065,735 | — | — | |||||||||
| Total | $ | 3,229,644 | $ | 1,352,741 | $ | — | ||||||
| Derivative Type | ||||||||||||
| Assets(a) | ||||||||||||
| Futures Contracts | $ | 22,609 | $ | — | $ | — | ||||||
| Liabilities(a) | ||||||||||||
| Futures Contracts | $ | (24,009 | ) | $ | — | $ | — | |||||
| (a) | Amount shown represents unrealized gain (loss) at period end. |
15
GOLDMAN SACHS VARIABLE INSURANCE TRUST GLOBAL MARKETS NAVIGATOR FUND
Notes to Financial Statements (continued)
June 30, 2012 (Unaudited)
4. INVESTMENTS IN DERIVATIVES
The following table sets forth, by certain risk types, the gross value of derivative contracts as of June 30, 2012. These instruments were used to meet the Fund’s investment objectives and to obtain and/or manage exposure related to the risks below. The values in the tables below exclude the effects of cash collateral received or posted pursuant to these derivative contracts, and therefore are not representative of the Fund’s net exposure.
| Risk | Statement of Assets and Liabilities | Assets(a) | Statement of Assets and Liabilities | Liabilities(a) | ||||||||
| Equity | Unrealized gain on futures variation margin | $ | 22,609 | — | $ | — | ||||||
| Interest Rate | — | — | Unrealized loss on futures variation margin | (24,009 | ) | |||||||
| (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 period ended June 30, 2012. These gains (losses) should be considered in the context that these derivative contracts may have been executed to economically hedge certain investments, and accordingly, certain gains (losses) on such derivative contracts may offset certain (losses) gains attributable to investments. These gains (losses) are included in “Net realized gain (loss)” or “Net change in unrealized gain (loss)” on the Statement of Operations:
| Risk | Statement of Operations | Net Realized |
Net Change in Unrealized |
Average Number of Contracts(a) |
||||||||||
| Equity | Net realized gain (loss) from futures contracts/Net unrealized gain (loss) on futures contracts | $ | (77,545 | ) | $ | 22,609 | 9 | |||||||
| Interest Rate | Net realized gain (loss) from futures contracts/Net unrealized gain (loss) on futures contracts | 40,717 | (24,009 | ) | 9 | |||||||||
| (a) | Average number of contracts is based on the average of month end balances for the period ended June 30, 2012. |
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 period ended June 30, 2012, contractual management fees with GSAM were at the following rates:
| Contractual Management Rate | ||||||||||||||||||||||
| First $1 billion |
Next $1 billion |
Next $3 billion |
Next $3 billion |
Over $8 billion |
Effective Rate |
|||||||||||||||||
| 0.79% | 0.71 | % | 0.68 | % | 0.66 | % | 0.65 | % | 0.79 | % | ||||||||||||
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.
16
GOLDMAN SACHS VARIABLE INSURANCE TRUST GLOBAL MARKETS NAVIGATOR FUND
5. AGREEMENTS AND AFFILIATED TRANSACTIONS (continued)
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 of the Fund.
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 April 9, 2013, and prior to such date GSAM may not terminate the arrangement without the approval of the trustees. For the period ended June 30, 2012, GSAM reimbursed approximately $86,100 to the Fund. In addition, the Fund has entered into certain offset arrangements with the custodian, which may result in a reduction of the Fund’s expenses. For the period ended June 30, 2012, custody fee credits were approximately $300.
As of June 30, 2012, the amounts owed to affiliates were approximately $2,700, $900 and $100 for management, distribution and service, and transfer agent fees, respectively.
6. PORTFOLIO SECURITIES TRANSACTIONS
The cost of purchases and proceeds from sales and maturities of long-term securities for the period ended June 30, 2012, were as follows:
| Purchases of U.S. Government and Agency Obligations |
Purchases (Excluding U.S. Government and Agency Obligations |
Sales and Maturities of U.S. Government and Agency Obligations |
Sales and Maturities (Excluding U.S. Government and Agency Obligations |
|||||||||||
| $2,169,889 | $ | 1,509,043 | $ | — | $ | 461,867 | ||||||||
7. TAX INFORMATION
As of June 30, 2012, the Fund’s aggregate security unrealized gains and losses based on cost for U.S. federal income tax purposes were as follows:
| Tax cost | $ | 4,578,588 | ||
| Gross unrealized gain | 9,548 | |||
| Gross unrealized loss | (5,751 | ) | ||
| Net unrealized security gain | $ | 3,797 |
17
GOLDMAN SACHS VARIABLE INSURANCE TRUST GLOBAL MARKETS NAVIGATOR FUND
Notes to Financial Statements (continued)
June 30, 2012 (Unaudited)
8. OTHER RISKS
The Fund’s risks include, but are not limited to, the following:
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.
Investments in Other Investment Companies — As a shareholder of another investment company, including an exchange traded fund (“ETF”), a Fund will indirectly bear its proportionate share of any management fees and other expenses paid by such other investment companies, in addition to the fees and expenses regularly borne by the Fund. ETFs are subject to risks that do not apply to conventional funds, including but not limited to: (i) the market price of the ETF’s shares may trade at a premium or a discount to their NAV; and (ii) and active trading market for an ETF’s shares may not develop or be maintained.
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.
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.
Non-Diversification Risk — The Fund is non-diversified and is permitted to invest more of its assets in fewer issuers than a “diversified” mutual fund. Thus, the Fund may be subject to greater risks than a fund that invests in a greater number of issuers.
Industry Concentration Risk — The Fund will not invest more than 25% of the value of its total assets in the securities of one or more issuers conducting their principal business activities in the same industry, except that, to the extent that an industry represents 20% or more of the Fund’s index at the time of investment, the Fund may invest up to 35% of its assets in that industry. Concentrating Fund investments in issuers conducting business in the same industry will subject the Fund to a greater risk of loss as a result of adverse economic, business or other developments affecting that industry than if its investments were not so concentrated.
18
GOLDMAN SACHS VARIABLE INSURANCE TRUST GLOBAL MARKETS NAVIGATOR FUND
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, GSAM believes the risk of loss under these arrangements to be remote.
10. OTHER MATTERS
New Accounting Pronouncement — In December 2011, Accounting Standards Update 2011-11 (ASU 2011-11), Amendments to Disclosures about Offsetting Assets and Liabilities Requirements in U.S. GAAP and International Financial Reporting Standards, was issued and is effective for interim periods and annual periods beginning on or after January 1, 2013. The amendments are the result of the work by Financial Accounting Standards Board and the International Accounting Standards Board to develop common requirements for disclosing information about offsetting and related arrangements. GSAM is currently evaluating the application of ASU 2011-11 and its impact, if any, on the Fund’s financial statements.
Other — On February 8, 2012, the Commodity Futures Trading Commission (CFTC) adopted amendments to several of its rules relating to commodity pool operators, including Rule 4.5. The Fund currently relies on Rule 4.5’s exclusion from CFTC regulation for regulated investment companies. GSAM is currently evaluating the amendments and their impact, if any, on the Fund’s financial statements.
11. SUBSEQUENT EVENTS
Subsequent events after the balance sheet date have been evaluated through the date the financial statements were issued. GSAM has concluded that there is no impact requiring adjustment or disclosure in the financial statements.
19
GOLDMAN SACHS VARIABLE INSURANCE TRUST GLOBAL MARKETS NAVIGATOR FUND
| Fund Expenses — Period Ended June 30, 2012 (Unaudited)(a) |
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 April 16, 2012 through June 30, 2012.
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. As a shareholder of the Fund, you do not incur any transaction costs, such as sales charges, 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.
| Beginning Account Value 4/16/12 |
Ending Account Value 6/30/12 |
Expenses Paid Period Ended 6/30/12* |
||||||||||
| Actual | $ | 1,000 | $ | 987.00 | $ | 2.08 | ||||||
| Hypothetical 5% return | 1,000 | 1,019.79 | + | 5.12 | ||||||||
| (a) | Commenced operations on April 16, 2012. |
| * | Expenses are calculated using the Fund’s annualized net expense ratio, which represents the ongoing expenses as a percentage of net assets for the fiscal period ended June 30, 2012. Expenses are calculated by multiplying the annualized net expense ratio by the average account value for the period; then multiplying the result by the number of days in the most recent fiscal half year; and then dividing that result by the number of days in the fiscal year. The annualized net expense ratio for the period was 1.02%. |
| + | 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. |
20
GOLDMAN SACHS VARIABLE INSURANCE TRUST GLOBAL MARKETS NAVIGATOR FUND
Statement Regarding Basis for Approval of Management Agreement (Unaudited)
Background
The Goldman Sachs Global Markets Navigator Fund (the “Fund”) is an investment portfolio of Goldman Sachs Variable Insurance Trust (the “Trust”) that commenced operations on April 16, 2012. The Board of Trustees oversees the management of the Trust and (once available) 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, 2013 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 13, 2012 (the “Annual Meeting”). The Management Agreement was initially approved on behalf of the Fund by the Board of Trustees at a meeting held on December 14-15, 2011 (the “Initial Meeting”, and together with the Annual Meeting, the “Meetings”).
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 Trustees first considered approving the launch of the Fund. At those Committee meetings, regularly scheduled Board meetings and/or the Meetings, 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 (or to be 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, compliance testing, market risk analysis, finance and strategy and central funding), sales and distribution support groups and others (e.g., information technology and training); |
| (iii) | trends in headcount; |
| (iv) | the Investment Adviser’s financial resources and ability to hire and retain talented personnel and strengthen its operations; and |
| (v) | the parent company’s support of the Investment Adviser and its mutual fund business, as expressed by the firm’s senior management; |
| (b) | information on the 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) | projected management fee and expense information for the Fund, including the relative expense levels of the Fund as compared to those of comparable funds managed by other advisers, as provided by a third party mutual fund data provider engaged as part of the contract review process (the “Outside Data Provider”); |
| (e) | the undertaking of the Investment Adviser to limit certain expenses of the Fund that exceed a specified level; |
| (f) | whether the Fund’s existing management fee schedule adequately addressed any economies of scale; |
| (g) | a summary of the “fall-out” benefits derived (or expected to be 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 trading, distribution and other services; |
| (h) | a summary of potential benefits derived (or expected to be derived) by the Fund as a result of its relationship with the Investment Adviser; |
| (i) | information regarding commissions paid by the Trust, other information regarding portfolio trading and how the Investment Adviser carries out its duty to seek best execution; |
21
GOLDMAN SACHS VARIABLE INSURANCE TRUST GLOBAL MARKETS NAVIGATOR FUND
Statement Regarding Basis for Approval of Management Agreement (Unaudited) (continued)
| (j) | the manner in which portfolio manager compensation is determined; |
| (k) | the nature and quality of the services provided (or to be provided) to the Fund by their unaffiliated service providers, and the Investment Adviser’s general oversight and evaluation (including reports on due diligence) of those service providers as part of the administration services provided under the Management 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 Rule 12b-1 distribution and service fees paid (or to be paid) by the Fund. 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 Meetings encompassed the Fund and other mutual fund portfolios for which the Board of Trustees has responsibility. In evaluating the Management Agreement at the Meetings, 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 (or to be 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 of the Investment Adviser’s portfolio management teams that had occurred in recent periods, and the potential benefit to the Fund of 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 Investment Adviser. The Independent Trustees noted that, as of the date of the Annual Meeting, the Fund had recently commenced operations and did not yet have a meaningful performance history.
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 noted that they had reviewed information on the proposed management fees, distribution fees and projected total operating expense ratios (both gross and net of fee waivers/expense limitations) of the Fund, together with expense information provided by the Outside Data Provider with respect to comparable mutual funds advised by other, unaffiliated investment management firms. The analysis also included a comparison of the Fund’s proposed projected total expenses to those of peer group and category medians. The Trustees concluded that the comparisons provided by the Outside Data Provider were useful
22
GOLDMAN SACHS VARIABLE INSURANCE TRUST GLOBAL MARKETS NAVIGATOR FUND
Statement Regarding Basis for Approval of Management Agreement (Unaudited) (continued)
in evaluating the reasonableness of the management fees and total expenses expected to be paid by the Fund. They also noted that the Investment Adviser did not manage institutional accounts or collective investment vehicles having investment objectives and policies similar to those of the Fund, and therefore this type of fee comparison was not possible.
In addition, the Trustees considered the Investment Adviser’s undertaking to limit certain expenses of the Fund that exceed a specified level. The Trustees also 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 recognized that the Fund did not yet have profitability data to evaluate, but considered the Investment Adviser’s representations that (i) such data would be provided after the Fund had been operational for a reasonable period of time, and (ii) the Fund was not expected to be profitable to the Investment Adviser and its affiliates initially.
Economies of Scale
The Trustees 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 | 0.79 | % | ||
| Next $1 billion | 0.71 | |||
| Next $3 billion | 0.68 | |||
| Next $3 billion | 0.66 | |||
| Over $8 billion | 0.65 |
The Trustees noted that the breakpoints were meant to share potential economies of scale, if any, with the Fund and its shareholders as assets under management reach those asset levels. The Trustees noted that they had previously considered the Fund’s projected asset levels and information comparing Fund expenses to those of other funds in the peer group, as well as the Investment Adviser’s undertaking to limit certain expenses of the Fund to a specified level. Upon reviewing these matters at the Meetings, 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 (or expected to be 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) the Investment Adviser’s ability to leverage the infrastructure designed to service the Fund on behalf of its other clients; (e) the Investment Adviser’s ability to cross-market other products and services to Fund shareholders; (f) Goldman Sachs’ retention of certain fees as Fund Distributor; (g) the Investment Adviser’s ability to negotiate better pricing with custodians on behalf of its other clients, as a result of the relationship with the 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.
Other Benefits to the Fund and Its Shareholders
The Trustees also noted that the Fund receives (or is expected to receive) 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 Investment Adviser’s knowledge and experience gained from managing other accounts and products; (f) the Investment Adviser’s
23
GOLDMAN SACHS VARIABLE INSURANCE TRUST GLOBAL MARKETS NAVIGATOR FUND
Statement Regarding Basis for Approval of Management Agreement (Unaudited) (continued)
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 risk management systems and databases), subject to certain restrictions; 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 at the Meetings, 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 reasonably foreseeable asset levels. The Trustees unanimously concluded that the Investment Adviser’s management likely would benefit the Fund and its shareholders and that the Management Agreement should be approved and (with respect to its approval at the Annual Meeting) continued with respect to the Fund until June 30, 2013.
24
| 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
GOLDMAN, SACHS & CO. Distributor and Transfer Agent
|
James A. McNamara, President George F. Travers, Principal Financial Officer Caroline L. Kraus, Secretary Scott M. McHugh, Treasurer | |
| 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 for the 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 are as of June 30, 2012 and may not be representative of future investments. Fund holdings should not be relied on in making investment decisions and should not be construed as research or investment advice regarding particular securities.
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 Institution 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 Global Markets Navigator Fund.
© 2012 Goldman Sachs. All rights reserved.
VITNAVSAR12/79398.MF.MED.TMPL/8/2012
Goldman
Sachs Variable Insurance Trust
Goldman Sachs Core Fixed Income Fund
Goldman Sachs Equity Index Fund
Goldman Sachs Government Income Fund
Goldman Sachs Growth Opportunities Fund
Semi-Annual Report
June 30, 2012
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.
The Goldman Sachs Core Fixed Income Fund invests primarily in fixed income securities, including U.S. government securities, corporate debt securities, privately issued mortgage-backed securities and asset-backed securities. The Fund’s investments in fixed income securities are subject to the risks associated with debt securities generally, including credit, liquidity and interest rate risk. Any guarantee on U.S. government securities applies only to the underlying securities of the Fund if held to maturity and not to the value of the Fund’s shares. The Fund’s investments in mortgage-backed securities are also subject to prepayment risk (i.e., the risk that in a declining interest rate environment, issuers may pay principal more quickly than expected, causing the Fund to reinvest proceeds at lower prevailing interest rates). The Fund may invest in foreign and emerging markets securities, which may be more volatile and less liquid than investments in U.S. securities and will be subject to the risks of currency fluctuations and adverse economic and political developments. Derivative instruments may involve a high degree of financial risk. These risks include the risk that a small movement in the price of the underlying security or benchmark may result in a disproportionately large movement, unfavorable or favorable, in the price of the derivative instrument; risks of default by a counterparty; and liquidity risk (i.e., the risk that an investment may not be able to be sold without a substantial drop in price, if at all).
The Goldman Sachs Equity Index Fund attempts to replicate the aggregate price and yield performance of a benchmark index (i.e., the Standard & Poor’s 500 Index) that measures the investment returns of large capitalization stocks. 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 Fund is not actively managed, and therefore the Fund will not typically dispose of a security until the security is removed from the index. The Fund’s performance may vary substantially from the performance of the benchmark it tracks as a result of share purchases and redemptions, transaction costs, expenses and other factors.
The Goldman Sachs Government Income Fund invests primarily in U.S. government securities and in repurchase agreements collateralized by such securities. The Fund’s investments in fixed income securities are subject to the risks associated with debt securities generally, including credit, liquidity and interest rate risk. The Fund’s net asset value and yield are not guaranteed by the U.S. government or by its agencies, instrumentalities or sponsored enterprises. Any guarantee on U.S. government securities applies only to the underlying securities of the Fund if held to maturity and not to the value of the Fund’s shares. The Fund’s investments in mortgage-backed securities are also subject to prepayment risk (i.e., the risk that in a declining interest rate environment, issuers may pay principal more quickly than expected, causing the Fund to reinvest proceeds at lower prevailing interest rates).
1
GOLDMAN SACHS VARIABLE INSURANCE TRUST FUNDS
Derivative instruments may involve a high degree of financial risk. These risks include the risk that a small movement in the price of the underlying security or benchmark may result in a disproportionately large movement, unfavorable or favorable, in the price of the derivative instrument; the risk of default by a counterparty; and liquidity risk.
The Goldman Sachs Growth Opportunities Fund invests primarily in U.S. equity investments with a primary focus on mid-capitalization companies. 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. Different investment styles (e.g., “growth”) tend to shift in and out of favor, and at times the Fund may underperform other funds that invest in similar asset classes.
2
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, 2012 (the “Reporting Period”).
Equity Markets
U.S. equity markets gained significant ground during the Reporting Period, with relatively strong performance versus many other developed markets reflecting optimism on a U.S. economic recovery and simultaneous concerns over Europe’s persistent sovereign debt crisis. Representing the U.S. equity market, the S&P® 500 Index returned 9.49% for the six months ended June 30, 2012.
During the first calendar quarter, U.S. equity markets rose on evidence that the labor market, manufacturing and retail sales were improving. News that the Federal Reserve Board (the “Fed”) reduced its outlook for near-term economic growth was offset by its commitment to keep interest rates low until at least late 2014. U.S. banks showed the biggest quarterly increase in lending in four years, while losses from loans fell to their lowest level since early 2008. As a result, financials stocks, which had lagged significantly in 2011, rallied sharply. Elsewhere, strong corporate earnings reports boosted a number of large-cap information technology stocks, and the NASDAQ reached a new 11-year high. The Dow Jones Industrial Average closed above 13,000 for the first time since May 2008.
U.S. equity markets then retreated in April and May 2012 amidst questions about the strength of the U.S. economic recovery and increasing uncertainty in Europe. The U.S. labor market, which had been reporting improvements, appeared to lose some momentum in April, as jobless claims increased for several weeks in a row, and deteriorated further in May. In addition, the initial first quarter Gross Domestic Product (“GDP”) estimate of 2.2% was lower than expected and was subsequently revised down to 1.9%. However, housing market data showed some signs of stabilization, and consumer confidence offered mixed signals. Outside of domestic economic concerns, Europe’s troubles as well as disappointing economic reports from faster growing regions of the world renewed fears of a global economic slowdown. Anticipating weaker demand, the benchmark West Texas Intermediate crude oil price slid more than 20% during the second calendar quarter to less than $80 per barrel. Markets rallied on the last day of June on the announcement of some coordinated action by European leaders following summit talks, which boosted U.S. equity market returns for the month of June overall.
For the Reporting Period overall, sector performance was widely dispersed, with no clear trend between economically-sensitive and traditional defensive sectors. Within the S&P® 500 Index, energy was the only sector to generate negative returns, in large part because of the decline in oil prices during the second calendar quarter. Other lagging sectors included utilities, materials, industrials and consumer staples. The financials sector posted amongst the strongest returns during the Reporting Period, despite a downgrade from Moody’s Investors Service of 15 international banks. Other strong sectors within the S&P® 500 Index during the Reporting Period were telecommunication services, information technology and consumer discretionary.
All segments of the U.S. equity market advanced during the Reporting Period, with large-cap stocks, as measured by the Russell 1000® Index, gaining most, followed by small-cap stocks and then mid-cap stocks, as measured by the Russell 2000® Index and Russell Midcap® Index, respectively. From a style perspective, growth-oriented stocks outpaced value-oriented stocks across the capitalization spectrum. (All as measured by the Russell Investments indices.)
Fixed Income Markets
The U.S. fixed income market, as represented by the Barclays U.S. Aggregate Bond Index (“Barclays Index”), returned 2.37% during the Reporting Period.
Like every year since the 2008-2009 financial crisis, 2012 opened with powerful rallies across riskier asset classes. The U.S. economy strengthened at first but then hit a soft patch, leading to a drop in global growth expectations. Meanwhile, there were renewed concerns about the Eurozone’s sovereign debt crisis, and economic data from the world’s largest economies deteriorated. In this environment, a surge of demand for government debt drove the yields on U.S. and German bonds to multi-decade lows. Toward the end of the Reporting Period, risk appetite recovered somewhat, allowing spread, or non-Treasury, sectors to finish the Reporting Period ahead of U.S. Treasuries.
3
MARKET REVIEW
Looking at the Reporting Period more closely, the first quarter of 2012 was exceptionally strong for riskier asset classes. For example, investment grade corporate bonds returned 3.95% for the first calendar quarter, while high yield corporate bonds returned 7.26%. The gains were driven by robust U.S. economic data and improved sentiment about Europe’s sovereign debt crisis. Fears of a disorderly outcome subsided as Greece secured a second bailout from the European Union (“EU”), European Central Bank (“ECB”) and the International Monetary Fund (“IMF”), and then successfully carried out a massive debt restructure. The ECB also helped ease mounting concern about liquidity in the EU’s financial sector by providing low-cost three-year loans. The banks in turn deployed some of the funds from these loans in the troubled government bond markets, which helped relieve pressure on EU nations with borrowing costs that had reached unsustainable levels, such as Spain and Italy.
Meanwhile, in the U.S., the Fed updated its guidance on interest rates, stating that economic conditions warranted exceptionally low levels for the targeted federal funds rate until at least late 2014. The Fed’s statement came despite significant progress in key areas of the U.S. economy, including stabilization in the housing market and a drop in the unemployment rate during the last half of 2011 from 9.1% to 8.5%. The jobless rate fell further in 2012, hitting a low of 8.1% in April.
A far more challenging environment prevailed during the second quarter of 2012, as the decline in U.S. unemployment stalled and leading economic indicators slipped. These disappointments came against the backdrop of recessions in the Eurozone and U.K. as well as a slowdown in Chinese economic growth. As the effects of the ECB’s loans dissipated, along with hopes for a longer-term policy solution from EU leaders, the Eurozone’s sovereign debt crisis reemerged. Despite some positive developments, including Greece’s election in June of a broadly pro-austerity government (following an inconclusive vote in March) and an agreement between EU leaders on a bailout for Spain’s troubled banks, the financial markets failed to rally. In June, the Fed announced it would extend Operation Twist until the end of 2012. Through Operation Twist, the Fed is seeking to keep long-term interest rates down by selling $267 billion of the shorter-term securities in its portfolio and buying the same amount of longer-term debt.
U.S. Treasury prices had weakened during the first calendar quarter as investors sought out riskier assets. However, as the investment climate deteriorated in April and May, demand for high-quality securities such as U.S. Treasuries intensified. All told, the yield on the benchmark 10-year U.S. Treasury note began the Reporting Period at 1.88%, fell to a multi-decade low of 1.45% at the beginning of June, and climbed back to 1.64% by the end of the Reporting Period. Ultimately, most higher-yielding sectors outperformed U.S. Treasuries during the Reporting Period.
Looking Ahead
Equity Markets
At the end of the Reporting Period, we remained constructive on a U.S. economic recovery, as individual corporate balance sheets remained strong and unemployment and housing continued to improve. Several of the world’s largest companies have lowered quarterly earnings guidance1, and we believe we may indeed continue to see pockets of slowing earnings growth from U.S. companies. That said, however, we are not expecting a significant change in earnings power in the second half of 2012.
In a more gradual economic recovery, we believe it will be important to focus on companies with the ability to withstand a period of economic uncertainty or fluctuating economic indicators. We find that higher quality companies, trading at reasonable valuations, are more likely to meet these criteria and make attractive investments for the longer term.
The key risks to a U.S. economic recovery, in our view, include domestic issues, such as uncertainty surrounding the housing and labor markets and the consumer. Increased regulation, particularly for financial institutions, also remains a concern. External factors, such as a severe worsening of Europe’s sovereign debt crisis or a slowing of the global economy, also pose risks.
In our view, the decline in U.S. Treasury yields to record lows during the Reporting Period has made equities increasingly attractive for the long-term investor. Furthermore, since the beginning of 2012, equity mutual fund investment flows have been generally negative, while bond mutual fund investment flows have been positive. Once the markets have more certainty regarding the U.S. economy and Europe’s financial crisis, we believe investor sentiment and mutual fund investment flows will follow.
| 1 | “US Weekly Kickstart: What the equity market has traded and what it has overlooked” by David J. Kostin (June 22, 2012) |
4
MARKET REVIEW
Fixed Income Markets
We anticipate slower growth ahead for the global economy and thus anticipate taking a defensive approach in our fixed income investment strategies. In the near term, we see three main factors weighing on global growth. First, the European economic slowdown appears to be deepening, and we expect this could weigh on global investor sentiment. Second, we think U.S. economic growth will remain restrained ahead of the November election due to uncertainty around fiscal policy and the growth outlook for other major economies. Third, China’s transition to a more consumption-driven economy is being driven by policies to stimulate growth that are slower and less direct compared to the massive 2008 fiscal stimulus.
Increased macroeconomic challenges led us to downgrade our 2012 U.S. economic growth forecast in the second calendar quarter from 2.5% to 2.2%. In our view, economic growth is being restrained by the uncertainties surrounding Europe and the prospect of a sharp fiscal contraction in 2013. Amidst these unknowns, it appears businesses have slowed hiring and investment, and we expect U.S. consumers to become more cautious as the November election approaches and U.S. fiscal policy gains attention. While increased consumer caution seems likely to result in slower economic growth in 2012, we think the U.S. economy could surprise to the upside in 2013. We anticipate that policymakers will eventually take steps to avoid most of the fiscal drag currently set to take effect after year end. We also see significant potential energy in the U.S. economy as a result of the decline in gasoline and natural gas prices, continued signs of recovery in the housing market, and improved competiveness due to the relatively cheap U.S. dollar and low wage inflation.
5
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 U.S. Aggregate Bond Index.
Portfolio Management Discussion and Analysis
Below, the Goldman Sachs Fixed Income Investment Management Team discusses the Goldman Sachs Variable Insurance Trust — Goldman Sachs Core Fixed Income Fund’s (the “Fund”) performance and positioning for the six-month period ended June 30, 2012 (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 3.23%. This return compares to the 2.37% cumulative total return of the Fund’s benchmark, the Barclays U.S. Aggregate Bond Index (the “Barclays Index”), during the same time period.
What key factors were responsible for the Fund’s performance during the Reporting Period?
During the Reporting Period, our top-down cross-sector strategy contributed to relative returns. 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 Index. The Fund’s duration and U.S. yield curve positioning relative to the Barclays Index also added to relative performance. Duration is a measure of the Fund’s sensitivity to changes in interest rates. Yield curve indicates a spectrum of maturities.
Bottom-up individual issue selection among investment grade corporate bonds contributed positively to the Fund’s relative returns during the Reporting Period. In addition, among agency mortgage-backed securities, the Fund’s “down in coupon” focus (or, an emphasis on those securities with lower interest rates) was advantageous. Issue selection among agency bonds detracted.
Which fixed income market sectors most affected Fund performance?
The Fund’s overweighted position in non-agency mortgage-backed securities, which rallied during the first calendar quarter, added to relative performance. In addition, the Fund’s exposure to asset-backed securities (“ABS”), emerging markets debt and covered bonds proved advantageous. (Covered bonds are debt securities backed by cash flows from mortgage loans or public sector loans.) Slightly offsetting these positive contributions was the Fund’s underweighted exposure to commercial mortgage-backed securities (“CMBS”), which outperformed U.S. Treasuries during the Reporting Period.
Issue selection among financials and industrials investment grade bonds enhanced relative performance. The Fund also benefited from its bias towards “down in coupon” agency mortgage-backed securities and its holdings of non-agency mortgage-backed securities. Meanwhile, issue selection among agency bonds hampered relative results.
Did the Fund’s duration and yield curve positioning strategy help or hurt its results during the Reporting Period?
Tactical management of the Fund’s duration and yield curve positioning added to its relative returns. As mentioned in the Market Review, 10-year U.S. Treasury yields increased during the first calendar quarter in response to improved U.S. economic data and efforts by European policymakers to solve the EU’s financial problems. In this environment, the Fund benefited from a short duration position relative to that of the Barclays Index. During the second calendar quarter, 10-year U.S. Treasury yields fell sharply amidst renewed worries about the European sovereign debt crisis. We shifted the Fund to a longer duration position relative to the Barclays Index in response to the Fed’s commitment to keep short-term interest rates low and based on our outlook for subdued economic growth and deteriorating financial conditions in Europe. This positioning contributed positively as U.S. economic data weakened and concerns about Spanish and Italian debt increased.
How did the Fund use derivatives and similar instruments during the Reporting Period?
As market conditions warranted during the Reporting Period, currency transactions were carried out using primarily over-the-counter (“OTC”) forward foreign exchange contracts as well as purchased OTC options. Currency transactions were used as we sought both to enhance returns and to hedge the Fund’s portfolio against currency exchange rate fluctuations. Also, Treasury futures were used as warranted to facilitate specific duration, yield curve and country strategies. Swaptions (or options on interest rate swap contracts) were employed to express an outright term structure view and manage volatility (term structure, most often
6
GOLDMAN SACHS VARIABLE INSURANCE TRUST CORE FIXED INCOME FUND
depicted as a yield curve, refers to the term structure of interest rates, which is the relationship between the yield to maturity and the time to maturity for pure discount bonds). Overall, we employ derivatives and similar instruments for the efficient management of the Fund’s portfolio. Derivatives and similar instruments allow us to manage interest rate, credit and currency risks more effectively by allowing us both to hedge and to apply active investment views with greater versatility and to afford greater risk management precision than we would otherwise be able to implement.
Were there any notable changes in the Fund’s weightings during the Reporting Period?
As mentioned earlier, in implementing our active duration strategy, we shifted the Fund’s duration from a shorter position than that of the Barclays Index to a comparatively longer duration position. In addition, we reduced the Fund’s overweight in non-agency mortgage-backed securities. We significantly increased the Fund’s overweight in agency mortgage-backed securities.
How was the Fund positioned relative to the Barclays Index at the end of the Reporting Period?
At the end of the Reporting Period, the Fund was underweight U.S. government securities and investment grade corporate bonds relative to the Barclays Index. It was overweight quasi-government bonds, ABS, CMBS, residential mortgage-backed securities and pass-through mortgage securities. (Pass-through mortgages consist of a pool of residential mortgage loans, where homeowners’ monthly payments of principal, interest and prepayments pass from the original bank through a government agency or investment bank to investors.) In addition, the Fund had exposure to covered bonds (which are not represented in the Barclays Index) and emerging markets debt.
7
FUND BASICS
Core Fixed Income Fund
as of June 30, 2012
STANDARDIZED TOTAL RETURNS1
| For the period ended 6/30/2012 | One Year | Five Year | Since Inception | Inception Date | ||||||||||
| Service | 7.54 | % | 5.58 | % | 5.08 | % | 1/09/06 | |||||||
| 1 | The Standardized 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”). Because Service Shares do not involve a sales charge, such a charge is not applied to their Standardized Total Returns. |
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 | 0.67 | % | 0.83 | % | ||||
| 2 | The expense ratios of the Fund, both current (net of applicable fee waivers and/or expense limitations) and before waivers (gross of applicable fee waivers and/or expense limitations) are as set forth above according to the most recent publicly available Prospectus for the Fund and may differ from the expense ratios disclosed in the Financial Highlights in this report. The Fund’s waivers and/or expense limitations will remain in place through at least April 27, 2013, and prior to such date the investment adviser may not terminate the arrangements without the approval of the Fund’s Board of Trustees. If these arrangements are discontinued in the future, the expense ratios may change without shareholder approval. |
8
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. Figures in the above graph may not sum to 100% due to the exclusion of other assets and liabilities. The graph depicts the Fund’s investments but may not represent the Fund’s market exposure due to the exclusion of certain derivatives, if any, as listed in the Additional Investment Information section of the Schedule of Investments. |
| 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 | “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. |
9
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 Goldman Sachs Variable Insurance Trust – Goldman Sachs Equity Index Fund’s (the “Fund”) performance and positioning for the six-month period ended June 30, 2012 (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 9.26%. This return compares to the 9.49% 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 10 sectors in the S&P 500 Index advanced during the Reporting Period. In terms of total return, the sectors that made the strongest positive contributions to the S&P 500 Index and to the Fund were telecommunication services, financials and information technology. The largest sector by weighting in the S&P 500 Index at the end of the Reporting Period was financials at a weighting of 15.24%. The industries with the strongest performance in terms of total return were Internet and catalog retailing; health care technology; building products; computers and peripherals; and household durables.
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 information technology, financials and consumer discretionary. The industries with the strongest performance on the basis of impact were computers and peripherals; media; software; commercial banks; and pharmaceuticals.
Which sectors and industries in the S&P 500 Index were the weakest contributors to the Fund’s performance?
During the Reporting Period, only one sector — energy — of the 10 sectors in the S&P 500 Index posted negative returns. Energy, utilities and materials were the weakest performing sectors both in terms of total return and on the basis of impact. The weakest performing industries in terms of total return were diversified consumer services; metals and mining; energy equipment and services; auto components; and textiles apparel and luxury goods. On the basis of impact, the weakest performing industries were energy equipment and services; metals and mining; textiles, apparel and luxury goods; Internet software and services; and oil, gas and consumable fuels.
Which individual stocks were the top performers, and which were the greatest detractors?
On the basis of impact, the stocks that made the strongest positive contribution were Apple, Microsoft, AT&T, General Electric and Wells Fargo. The weakest performers were Google, Procter & Gamble, McDonald’s, Hewlett-Packard and Halliburton.
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 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. We also used these equity index futures to provide liquidity for daily cash flow requirements.
10
GOLDMAN SACHS VARIABLE INSURANCE TRUST EQUITY INDEX FUND
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 Progress Energy, Sara Lee, Novellus Systems, Motorola Mobility Holdings, El Paso, Supervalu, Medco Health Solutions, Alcoa, Avon Products, Entergy, Sprint Nextel, Weyerhaeuser, Xerox and Constellation Energy Group.
There were also 14 additions to the S&P 500 Index during the Reporting Period. They were Seagate Technology, Monster Beverage, Lam Research, Alexion Pharmaceuticals, Kinder Morgan, Phillips 66, Fossil, Accenture, Anadarko Petroleum, eBay, Eli Lilly, Starbucks, Simon Property Group and Crown Castle International.
11
FUND BASICS
Equity Index Fund
as of June 30, 2012
STANDARDIZED TOTAL RETURNS1
| For the period ended 6/30/12 | One Year | Five Year | Since Inception | Inception Date | ||||||||||
| Service | 4.94 | % | -0.05 | % | 2.79 | % | 1/09/06 | |||||||
| 1 | The Standardized 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”). Because Service Shares do not involve a sales charge, such a charge is not applied to their Standardized Total Returns. |
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 | % | 0.70 | % | ||||
| 2 | The expense ratios of the Fund, both current (net of applicable fee waivers and/or expense limitations) and before waivers (gross of applicable fee waivers and/or expense limitations) are as set forth above according to the most recent publicly available Prospectus for the Fund and may differ from the expense ratios disclosed in the Financial Highlights in this report. The Fund’s waivers and/or expense limitations will remain in place through at least April 27, 2013, and prior to such date the investment adviser may not terminate the arrangements without the approval of the Fund’s Board of Trustees. If these arrangements are discontinued in the future, the expense ratios may change without shareholder approval. |
TOP TEN HOLDINGS AS OF 6/30/123
| Holding | % of Total Net Assets |
Line of Business | ||||
| Apple, Inc. | 4.4% | Technology Hardware & Equipment | ||||
| Exxon Mobil Corp. | 3.2 | Energy | ||||
| Microsoft Corp. | 1.8 | Software & Services | ||||
| International Business Machines Corp. | 1.8 | Software & Services | ||||
| General Electric Co. | 1.8 | Capital Goods | ||||
| AT&T, Inc. | 1.7 | Telecommunication Services | ||||
| Chevron Corp. | 1.7 | Energy | ||||
| Johnson & Johnson | 1.5 | Pharmaceuticals, Biotechnology & Life Sciences | ||||
| The Coca-Cola Co. | 1.4 | Food, Beverage & Tobacco | ||||
| Wells Fargo & Co. | 1.4 | Banks | ||||
| 3 | The top 10 holdings may not be representative of the Fund’s future investments. |
12
FUND BASICS
FUND VS. BENCHMARK SECTOR ALLOCATIONS4
As of June 30, 2012
| 4 | The Fund’s composition may differ over time. Consequently, the Fund’s overall sector allocations may differ from the percentages contained in the graph above. The graph categorizes investments using Global Industry Classification Standard (“GICS”), however, the sector classifications used by the portfolio management team may differ from GICS. The percentage shown for each investment category reflects the value of investments in that category as a percentage of market value. The graph depicts the Fund’s investments but may not represent the Fund’s market exposure due to the exclusion of certain derivatives, if any, as listed in the Additional Investment Information section of the Schedule of Investments. |
13
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 Goldman Sachs Variable Insurance Trust — Goldman Sachs Government Income Fund’s (the “Fund”) performance and positioning for the six-month period ended June 30, 2012 (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 1.86%. This return compares to the 1.56% cumulative total return of the Fund’s benchmark, the Barclays Government/Mortgage Index (the “Barclays Index”) during the same time period.
What key factors were responsible for the Fund’s performance during the Reporting Period?
The Fund’s duration and yield curve positioning contributed positively to its 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 cross-sector strategy also added to relative returns. In our cross-sector strategy, we invest Fund assets across a variety of fixed income sectors, including some that may not be included in the Barclays Index.
Bottom-up individual issue selection among agency mortgage-backed securities boosted relative returns. Investments among government/agency bonds detracted from performance during the Reporting Period.
Which fixed income market sectors contributed the most to Fund performance?
The Fund benefited from its overweighted position in asset-backed securities (“ABS”). Its allocation to non-agency mortgage-backed securities, which are not represented in the Barclays Index, also contributed to relative performance. Issue selection among agency mortgage-backed securities, especially the Fund’s “down in coupon” focus (or, its emphasis on those securities with lower interest rates), was advantageous.
What sectors detracted from the Fund’s performance?
Issue selection within the government/agency sector, specifically the Fund’s exposure to select agency bonds, hampered relative results.
Did the Fund’s duration and yield curve positioning strategy help or hurt its results during the Reporting Period?
Tactical management of the Fund’s duration and yield curve positioning added to its relative returns. As mentioned in the Market Review, 10-year U.S. Treasury yields increased during the first calendar quarter in response to improved U.S. economic data and efforts by European policymakers to solve the EU’s financial problems. In this environment, the Fund benefited from a short duration position relative to that of the Barclays Index. During the second calendar quarter, 10-year U.S. Treasury yields fell sharply amidst renewed worries about the European sovereign debt crisis. We shifted the Fund to a longer duration position relative to the Barclays Index in response to the Fed’s commitment to keep short-term interest rates low and based on our outlook for subdued economic growth and deteriorating financial conditions in Europe. This positioning contributed positively as U.S. economic data weakened and concerns about Spanish and Italian debt increased.
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 U.S. 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, in implementing our active duration strategy, we shifted the Fund’s duration from a shorter position than that of the Barclays Index to a comparatively longer duration position. In addition, we tactically shifted the Fund’s position in agency
14
GOLDMAN SACHS VARIABLE INSURANCE TRUST GOVERNMENT INCOME FUND
mortgage-backed securities, such that at the end of the Reporting Period, the Fund was overweight agency mortgage-backed securities.
How was the Fund positioned relative to the Barclays Index at the end of the Reporting Period?
At the end of the Reporting Period, the Fund was significantly underweight U.S. government securities relative to the Barclays Index. It was overweight quasi-government bonds, ABS, residential mortgage-backed securities and pass-through mortgage securities. (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.)
15
FUND BASICS
Government Income Fund
as of June 30, 2012
STANDARDIZED TOTAL RETURNS1
| For the period ended 6/30/2012 | One Year | Five Year | Since Inception | Inception Date | ||||||||||
| Service | 6.37 | % | 5.84 | % | 5.27 | % | 1/09/06 | |||||||
| 1 | The Standardized 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”). Because Service Shares do not involve a sales charge, such a charge is not applied to their Standardized Total Returns. |
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 | 0.81 | % | 1.13 | % | ||||
| 2 | The expense ratios of the Fund, both current (net of applicable fee waivers and/or expense limitations) and before waivers (gross of applicable fee waivers and/or expense limitations) are as set forth above according to the most recent publicly available Prospectus for the Fund and may differ from the expense ratios disclosed in the Financial Highlights in this report. The Fund’s waivers and/or expense limitations will remain in place through at least April 27, 2013, and prior to such date the investment adviser may not terminate the arrangements without the approval of the Fund’s Board of Trustees. If these arrangements are discontinued in the future, the expense ratios may change without shareholder approval. |
16
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. Figures in the graph may not sum to 100% due to the exclusion of other assets and liabilities. The graph depicts the Fund’s investments but may not represent the Fund’s market exposure due to the exclusion of certain derivatives, if any, as listed in the Additional Investment Information section of the Schedule of Investments. |
| 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 | “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. |
17
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 Goldman Sachs Variable Insurance Trust — Goldman Sachs Growth Opportunities Fund’s (the “Fund”) performance and positioning for the six-month period ended June 30, 2012 (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 11.51%. This return compares to the 8.10% 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 outperformed the Russell Index largely because of effective stock selection.
Which equity market sectors contributed to 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, telecommunication services and health care sectors contributed to Fund returns. Stock selection in the industrials sector detracted from relative performance.
What individual stocks added to the Fund’s relative performance during the Reporting Period?
Equinix, a leading data center solutions company, contributed to relative returns during the Reporting Period. The company’s core business remained strong and its pricing up in the three main markets in which it operates — the U.S., Europe and Asia. Equinix also acquired data centers in Frankfurt, Hong Kong, Shanghai and Singapore to further drive growth. The company continued to evaluate the potential of converting to a real estate investment trust (“REIT”), which may provide tax and valuation benefits. In the meantime, it appears the market has begun to recognize that Equinix is trading at a discount to other data center operators that are publicly traded REITs and to appreciate the growth and stability of Equinix’s revenue stream. At the end of the Reporting Period, we maintained conviction in the company’s ability to drive revenue growth, as it benefits from several secular growth drivers, including cloud computing, growth in Internet traffic and enterprise outsourcing, and rising demand for optimized network performance.
Another notable contributor during the Reporting Period was vending machines operator Coinstar. The company raised fiscal year 2012 estimates as it looks to replace Blockbuster rental kiosks with Redbox kiosks. Coinstar also finalized its acquisition of NCR, a large DVD distribution competitor, and continues to move forward in its online streaming venture with Verizon Communications. We believe Redbox will be the primary growth driver for Coinstar as the company expands its suite of products and implements new web-based technology for online rentals that will allow it to track consumer trends.
Shares of wireless communications infrastructure operator SBA Communications outperformed as the company reported strong first quarter 2012 earnings driven by better than anticipated leasing revenues and higher 2012 fiscal year revenue guidance. We expect the company’s leasing revenues to continue to grow as wireless providers build out their 4G networks to support increasing demand for mobile data usage. Furthermore, management is evaluating the possibility of converting the company into a REIT, which we believe could unlock further shareholder value. In our view, the secular growth trends driving the wireless communication industry remain intact as the industry continues to evolve from voice to data usage and as carriers must make additional investments in their networks to support increasing demand. We believe SBA Communications is well positioned to benefit from increased data usage, network upgrades and improved coverage as well as from regulations that govern the construction of new towers, which create high barriers to entry.
Which individual stocks detracted from the Fund’s performance during the Reporting Period?
Deckers Outdoor, a footwear and apparel designer, detracted from the Fund’s relative returns during the Reporting Period as the company reported disappointing earnings guidance for 2012. The cost of raw materials, such as sheepskin for boots made by its
18
GOLDMAN SACHS VARIABLE INSURANCE TRUST GROWTH OPPORTUNITIES FUND
Ugg brand, also appeared to hurt the company’s earnings power. In our opinion, this is a transitory issue, and the company, a new purchase for the Fund during the Reporting Period, should be able to show its full earnings power later in the year.
An investment in Cameron International hampered relative returns during the Reporting Period. The company provides flow equipment products, systems and services to global oil, gas and process industries. Although Cameron International announced solid first quarter results, it issued second quarter earnings per share guidance below industry analysts’ expectations. At the end of the Reporting Period, we continued to believe that the company is a market leader across the majority of its business lines and that it is well positioned competitively to gain market share because of its attractive portfolio of product and service offerings. In addition, Cameron has operations serving both onshore and offshore drillers, which allow it to benefit from strength in either market.
Whiting Petroleum, an oil and gas exploration and production company, detracted from the Fund’s relative performance during the Reporting Period, as the energy sector lagged the broader market. Although the company released solid first quarter earnings, including strong production and significantly higher results from the company’s operations in the Bakken formation, its share price came under pressure as a result of higher capital expenditures and a small miss in earnings per share caused by lower pricing. At the same time, company management raised production guidance for 2012 and issued solid first-time results for the company’s Permian Wolfcamp acreage. At the end of the Reporting Period, we continued to believe Whiting Petroleum has attractive assets, significant potential reserves and greater operating leverage than its peers. Despite near-term pressure on the stock, we believed the company’s underlying fundamentals remained intact.
Did the Fund make any significant purchases or sales during the Reporting Period?
The Fund bought shares of Family Dollar Stores during the Reporting Period. The company operates a chain of more than 7,000 general merchandise retail discount stores in 44 states, providing consumers with a diverse array of merchandise in neighborhood stores. We have confidence in the business strategy presented by the company’s new chief executive officer, which we expect to be implemented during the next few calendar quarters.
As mentioned earlier, we added a position in footwear and apparel designer and brand manager company Deckers Outdoor. The company owns the Ugg brand, which we believe is in the initial stages of transforming into a global lifestyle brand. Furthermore, at the time of purchase, Deckers Outdoor’s shares traded at a significant discount to its global apparel peers. The company is in the process of opening its own stores, which we believe will help them better showcase its range of products, including non-boot footwear, apparel and accessories, and provide long-term growth opportunities.
During the Reporting Period, the Fund sold its positions in electronic transaction processing provider Global Payments as the ramifications of a security breach continued to unfold. While the fundamentals of the business have not materially changed, we believe Global Payments’ sterling reputation has been tarnished. In the aftermath of the security breach, we saw potential for slowing growth in the company’s important sales channels within North America, which account for 70% of its total revenue.
We liquidated the Fund’s position in Western Union, which provides global money transfer services. Though Western Union’s transaction-based business model and free cash flow generation remained attractive, we were concerned about its inability to increase revenue growth. In addition, the company issued 2012 earnings per share guidance that fell below expectations. Consequently, we eliminated the Fund’s position and reallocated the capital to higher conviction names.
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?
In keeping with its investment process, the Fund did not use derivatives during the Reporting Period.
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 telecommunication services, financials, information technology, energy and health care sectors. The Fund had smaller weightings than the Russell Index in the industrials, consumer staples, consumer discretionary, materials and utilities sectors.
19
FUND BASICS
Growth Opportunities Fund
as of June 30, 2012
STANDARDIZED TOTAL RETURNS1
| For the period ended 6/30/2012 | One Year | Five Year | Since Inception | Inception Date | ||||||||||||
| Service | 2.80 | % | 4.43 | % | 6.09 | % | 1/09/06 | |||||||||
| 1 | The Standardized 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”). Because Service Shares do not involve a sales charge, such a charge is not applied to their Standardized Total Returns. |
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 | % | 1.41 | % | ||||
| 2 | The expense ratios of the Fund, both current (net of applicable fee waivers and/or expense limitations) and before waivers (gross of applicable fee waivers and/or expense limitations) are as set forth above according to the most recent publicly available Prospectus for the Fund and may differ from the expense ratios disclosed in the Financial Highlights in this report. The Fund’s waivers and/or expense limitations will remain in place through at least April 27, 2013, and prior to such date the investment adviser may not terminate the arrangements without the approval of the Fund’s Board of Trustees. If these arrangements are discontinued in the future, the expense ratios may change without shareholder approval. |
TOP TEN HOLDINGS AS OF 6/30/123
| Holding | % of Total Net Assets |
Line of Business | ||||
| SBA Communications Corp. Class A | 3.1% | Telecommunication Services | ||||
| PVH Corp. | 2.2 | Consumer Durables & Apparel | ||||
| PetSmart, Inc. | 2.2 | Retailing | ||||
| C. R. Bard, Inc. | 2.1 | Health Care Equipment & Services | ||||
| Equinix, Inc. | 2.0 | Software & Services | ||||
| Urban Outfitters, Inc. | 2.0 | Retailing | ||||
| Scripps Networks Interactive, Inc. Class A | 2.0 | Media | ||||
| Amphenol Corp. Class A | 2.0 | Technology Hardware & Equipment | ||||
| tw telecom, inc. | 1.9 | Telecommunication Services | ||||
| Marriott International, Inc. Class A | 1.9 | Consumer Services | ||||
| 3 | The top 10 holdings may not be representative of the Fund’s future investments. |
20
FUND BASICS
FUND vs. BENCHMARK SECTOR ALLOCATIONS4
As of June 30, 2012
| 4 | The Fund is actively managed and, as such, its composition may differ over time. Consequently, the Fund’s overall sector allocations may differ from percentages contained in the graph above. The graph categorizes investments using Global Industry Classification Standard (“GICS”), however, the sector classifications used by the portfolio management team may differ from GICS. The percentage shown for each investment category reflects the value of investments in that category as a percentage of market value. The graph depicts the Fund’s investments but may not represent the Fund’s market exposure due to the exclusion of certain derivatives, if any, as listed in the Additional Investment Information section of the Schedule of Investments. |
21
GOLDMAN SACHS VARIABLE INSURANCE TRUST CORE FIXED INCOME FUND
Schedule of Investments
June 30, 2012 (Unaudited)
| Principal Amount |
Interest Rate |
Maturity Date |
Value | |||||||||
|
|
Corporate Obligations – 21.4% |
| ||||||||||
| Aerospace/Defense – 0.2% | ||||||||||||
| United Technologies Corp. | ||||||||||||
| $ 275,000 | 3.100% | 06/01/22 | $ | 288,393 | ||||||||
|
|
|
|||||||||||
|
|
Automobiles & Components(a) – 0.4% |
| ||||||||||
| Ford Motor Credit Co. LLC | ||||||||||||
| 525,000 | 3.984 | 06/15/16 | 541,553 | |||||||||
|
|
|
|||||||||||
| Banks – 5.0% | ||||||||||||
| Abbey National Treasury Services PLC | ||||||||||||
| 175,000 | 2.875 | 04/25/14 | 170,941 | |||||||||
| Bank of America Corp. | ||||||||||||
| 200,000 | 5.750 | 12/01/17 | 213,077 | |||||||||
| 450,000 | 5.700 | 01/24/22 | 495,579 | |||||||||
| Capital One Bank NA | ||||||||||||
| 300,000 | 8.800 | 07/15/19 | 376,851 | |||||||||
| CBA Capital Trust II(a)(b)(c) | ||||||||||||
| 325,000 | 6.024 | 03/14/16 | 305,892 | |||||||||
| Citigroup Capital XXI(b)(c) | ||||||||||||
| 383,000 | 8.300 | 12/21/57 | 383,383 | |||||||||
| Citigroup, Inc. | ||||||||||||
| 600,000 | 5.000 | 09/15/14 | 616,177 | |||||||||
| 275,000 | 4.450 | 01/10/17 | 287,837 | |||||||||
| Merrill Lynch & Co., Inc. | ||||||||||||
| 325,000 | 6.400 | 08/28/17 | 349,561 | |||||||||
| Mizuho Corporate Bank Ltd.(a) | ||||||||||||
| 200,000 | 2.550 | 03/17/17 | 202,918 | |||||||||
| Morgan Stanley & Co. | ||||||||||||
| 275,000 | 5.750 | 08/31/12 | 276,769 | |||||||||
| 175,000 | 5.950 | 12/28/17 | 178,439 | |||||||||
| National City Preferred Capital Trust I(b)(c) | ||||||||||||
| 350,000 | 12.000 | 12/29/49 | 361,886 | |||||||||
| Regions Financial Corp. | ||||||||||||
| 325,000 | 5.750 | 06/15/15 | 337,188 | |||||||||
| Resona Bank Ltd.(a)(b)(c) | ||||||||||||
| 650,000 | 5.850 | 09/29/49 | 668,903 | |||||||||
| Santander Holdings USA, Inc. | ||||||||||||
| 165,000 | 4.625 | 04/19/16 | 161,588 | |||||||||
| The Bear Stearns Companies LLC | ||||||||||||
| 400,000 | 7.250 | 02/01/18 | 475,908 | |||||||||
| The Royal Bank of Scotland Group PLC(a) | ||||||||||||
| 425,000 | 4.875 | 08/25/14 | 436,960 | |||||||||
| Union Bank NA | ||||||||||||
| 425,000 | 2.125 | 06/16/17 | 424,502 | |||||||||
| Wachovia Bank NA | ||||||||||||
| 300,000 | 6.600 | 01/15/38 | 375,906 | |||||||||
|
|
|
|||||||||||
| 7,100,265 | ||||||||||||
|
|
|
|||||||||||
| Chemicals – 0.9% | ||||||||||||
| CF Industries, Inc. | ||||||||||||
| 150,000 | 6.875 | 05/01/18 | 177,937 | |||||||||
| Eastman Chemical Co. | ||||||||||||
| 150,000 | 2.400 | 06/01/17 | 151,180 | |||||||||
| 150,000 | 4.800(c) | 09/01/42 | 152,136 | |||||||||
| Ecolab, Inc. | ||||||||||||
| 450,000 | 4.350 | 12/08/21 | 497,213 | |||||||||
|
|
|
|||||||||||
| Principal Amount |
Interest Rate |
Maturity Date |
Value | |||||||||
| Corporate Obligations – (continued) | ||||||||||||
| Chemicals – (continued) | ||||||||||||
| The Dow Chemical Co. | ||||||||||||
| $ 320,000 | 7.600% | 05/15/14 | $ | 356,131 | ||||||||
|
|
|
|||||||||||
| 1,334,597 | ||||||||||||
|
|
|
|||||||||||
| Diversified Manufacturing – 0.2% | ||||||||||||
| Xylem, Inc.(a) | ||||||||||||
| 250,000 | 3.550 | 09/20/16 | 263,730 | |||||||||
|
|
|
|||||||||||
| Electric – 0.5% | ||||||||||||
| PPL WEM Holdings PLC(a)(c) | ||||||||||||
| 220,000 | 5.375 | 05/01/21 | 237,030 | |||||||||
| Progress Energy, Inc. | ||||||||||||
| 350,000 | 7.000 | 10/30/31 | 467,087 | |||||||||
|
|
|
|||||||||||
| 704,117 | ||||||||||||
|
|
|
|||||||||||
| Energy – 3.4% | ||||||||||||
| Anadarko Petroleum Corp. | ||||||||||||
| 125,000 | 6.375 | 09/15/17 | 145,392 | |||||||||
| BP Capital Markets PLC | ||||||||||||
| 225,000 | 3.200 | 03/11/16 | 238,610 | |||||||||
| 500,000 | 4.500 | 10/01/20 | 562,555 | |||||||||
| Dolphin Energy Ltd.(a) | ||||||||||||
| 192,096 | 5.888 | 06/15/19 | 208,849 | |||||||||
| 200,000 | 5.500 | 12/15/21 | 222,760 | |||||||||
| Gazprom OAO Via Gaz Capital SA(d) | ||||||||||||
| 350,000 | 9.250 | 04/23/19 | 437,062 | |||||||||
| Nexen, Inc. | ||||||||||||
| 125,000 | 5.875 | 03/10/35 | 130,060 | |||||||||
| 155,000 | 6.400 | 05/15/37 | 165,066 | |||||||||
| Noble Energy, Inc.(c) | ||||||||||||
| 200,000 | 6.000 | 03/01/41 | 228,279 | |||||||||
| Pemex Project Funding Master Trust | ||||||||||||
| 150,000 | 6.625 | 06/15/35 | 179,250 | |||||||||
| Petrobras International Finance Co. | ||||||||||||
| 40,000 | 5.750 | 01/20/20 | 43,732 | |||||||||
| 190,000 | 5.375 | 01/27/21 | 204,031 | |||||||||
| PTTEP Canada International Finance Ltd.(a) | ||||||||||||
| 240,000 | 5.692 | 04/05/21 | 255,836 | |||||||||
| 210,000 | 6.350 | 06/12/42 | 220,574 | |||||||||
| Ras Laffan Liquefied Natural Gas Co. Ltd. III(a) | ||||||||||||
| 250,000 | 5.500 | 09/30/14 | 269,075 | |||||||||
| TNK-BP Finance SA | ||||||||||||
| 140,000 | 7.875 | 03/13/18 | 160,300 | |||||||||
| Transocean, Inc. | ||||||||||||
| 100,000 | 4.950 | 11/15/15 | 107,557 | |||||||||
| 775,000 | 6.500 | 11/15/20 | 878,002 | |||||||||
| Weatherford International Ltd. | ||||||||||||
| 175,000 | 9.625 | 03/01/19 | 228,959 | |||||||||
|
|
|
|||||||||||
| 4,885,949 | ||||||||||||
|
|
|
|||||||||||
| Food & Beverage – 1.6% | ||||||||||||
| Diageo Capital PLC | ||||||||||||
| 275,000 | 1.500 | 05/11/17 | 275,771 | |||||||||
| Heineken NV(a) | ||||||||||||
| 225,000 | 3.400 | 04/01/22 | 230,439 | |||||||||
|
|
|
|||||||||||
| 22 | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS VARIABLE INSURANCE TRUST CORE FIXED INCOME FUND
| Principal Amount |
Interest Rate |
Maturity Date |
Value | |||||||||
|
|
Corporate Obligations – (continued) |
| ||||||||||
| Food & Beverage – (continued) | ||||||||||||
| Kraft Foods, Inc. | ||||||||||||
| $ 275,000 | 6.125% | 08/23/18 | $ | 334,626 | ||||||||
| 200,000 | 6.500 | 02/09/40 | 257,087 | |||||||||
| Pernod-Ricard SA(a) | ||||||||||||
| 425,000 | 4.450 | 01/15/22 | 441,095 | |||||||||
| SABMiller Holdings, Inc.(a) | ||||||||||||
| 275,000 | 2.450 | 01/15/17 | 283,453 | |||||||||
| 475,000 | 3.750 | 01/15/22 | 505,140 | |||||||||
|
|
|
|||||||||||
| 2,327,611 | ||||||||||||
|
|
|
|||||||||||
| Healthcare – 0.8% | ||||||||||||
| Cigna Corp. | ||||||||||||
| 150,000 | 2.750 | 11/15/16 | 153,230 | |||||||||
| DENTSPLY International, Inc. | ||||||||||||
| 125,000 | 2.750 | 08/15/16 | 127,297 | |||||||||
| Express Scripts, Inc. | ||||||||||||
| 300,000 | 3.125 | 05/15/16 | 312,170 | |||||||||
| Life Technologies Corp. | ||||||||||||
| 225,000 | 6.000 | 03/01/20 | 263,992 | |||||||||
| PerkinElmer, Inc.(c) | ||||||||||||
| 275,000 | 5.000 | 11/15/21 | 295,172 | |||||||||
|
|
|
|||||||||||
| 1,151,861 | ||||||||||||
|
|
|
|||||||||||
| Life Insurance – 1.0% | ||||||||||||
| MetLife Capital Trust X(a)(c) | ||||||||||||
| 300,000 | 9.250 | 04/08/38 | 367,500 | |||||||||
| Metropolitan Life Global Funding I(a) | ||||||||||||
| 200,000 | 3.875 | 04/11/22 | 207,662 | |||||||||
| Prudential Financial, Inc. | ||||||||||||
| 575,000 | 3.875 | 01/14/15 | 600,013 | |||||||||
| The Northwestern Mutual Life Insurance Co.(a) | ||||||||||||
| 200,000 | 6.063 | 03/30/40 | 243,524 | |||||||||
|
|
|
|||||||||||
| 1,418,699 | ||||||||||||
|
|
|
|||||||||||
| Media Cable – 0.2% | ||||||||||||
| DIRECTV Holdings LLC/DIRECTV Financing Co., Inc. | ||||||||||||
| 325,000 | 3.800 | 03/15/22 | 327,319 | |||||||||
|
|
|
|||||||||||
| Media Non Cable – 0.6% | ||||||||||||
| NBCUniversal Media LLC | ||||||||||||
| 175,000 | 2.875 | 04/01/16 | 182,243 | |||||||||
| News America, Inc. | ||||||||||||
| 375,000 | 6.150 | 02/15/41 | 441,542 | |||||||||
| WPP Finance UK | ||||||||||||
| 275,000 | 8.000 | 09/15/14 | 311,740 | |||||||||
|
|
|
|||||||||||
| 935,525 | ||||||||||||
|
|
|
|||||||||||
| Metals and Mining – 0.2% | ||||||||||||
| Newcrest Finance Pty Ltd.(a) | ||||||||||||
| 275,000 | 4.450 | 11/15/21 | 282,193 | |||||||||
|
|
|
|||||||||||
| Noncaptive-Financial – 1.1% | ||||||||||||
| Capital One Capital III | ||||||||||||
| 125,000 | 7.686 | 08/15/36 | 125,625 | |||||||||
| Capital One Capital IV(b)(c) | ||||||||||||
| 350,000 | 6.745 | 02/17/37 | 350,437 | |||||||||
|
|
|
|||||||||||
| Principal Amount |
Interest Rate |
Maturity Date |
Value | |||||||||
| Corporate Obligations – (continued) | ||||||||||||
|
|
Noncaptive-Financial – (continued) |
|||||||||||
| Discover Bank | ||||||||||||
| $ 250,000 | 8.700% | 11/18/19 | $ | 310,624 | ||||||||
| General Electric Capital Corp. | ||||||||||||
| 300,000 | 5.875 | 01/14/38 | 344,279 | |||||||||
| International Lease Finance Corp. | ||||||||||||
| 375,000 | 5.750 | 05/15/16 | 380,625 | |||||||||
|
|
|
|||||||||||
| 1,511,590 | ||||||||||||
|
|
|
|||||||||||
| Pharmaceuticals – 0.2% | ||||||||||||
| GlaxoSmithKline Capital PLC | ||||||||||||
| 350,000 | 1.500 | 05/08/17 | 350,325 | |||||||||
|
|
|
|||||||||||
| Pipelines – 1.2% | ||||||||||||
| Energy Transfer Partners LP | ||||||||||||
| 375,000 | 5.950 | 02/01/15 | 408,037 | |||||||||
| 75,000 | 5.200(c) | 02/01/22 | 80,378 | |||||||||
| Enterprise Products Operating LLC Series A(b)(c) | ||||||||||||
| 250,000 | 8.375 | 08/01/66 | 270,625 | |||||||||
| Enterprise Products Operating LLC Series I | ||||||||||||
| 175,000 | 5.000 | 03/01/15 | 191,169 | |||||||||
| Tennessee Gas Pipeline Co. LLC | ||||||||||||
| 200,000 | 8.375 | 06/15/32 | 257,630 | |||||||||
| TransCanada Pipelines Ltd.(b)(c) | ||||||||||||
| 325,000 | 6.350 | 05/15/67 | 333,937 | |||||||||
| Western Gas Partners LP(c) | ||||||||||||
| 175,000 | 4.000 | 07/01/22 | 173,842 | |||||||||
|
|
|
|||||||||||
| 1,715,618 | ||||||||||||
|
|
|
|||||||||||
| Property/Casualty Insurance – 0.2% | ||||||||||||
| Mitsui Sumitomo Insurance Co. Ltd.(a)(b)(c) | ||||||||||||
| 150,000 | 7.000 | 03/15/72 | 155,456 | |||||||||
| Transatlantic Holdings, Inc. | ||||||||||||
| 175,000 | 8.000 | 11/30/39 | 205,603 | |||||||||
|
|
|
|||||||||||
| 361,059 | ||||||||||||
|
|
|
|||||||||||
| Real Estate Investment Trusts – 2.2% | ||||||||||||
| Camden Property Trust | ||||||||||||
| 150,000 | 5.700 | 05/15/17 | 168,396 | |||||||||
| DDR Corp.(c) | ||||||||||||
| 250,000 | 4.625 | 07/15/22 | 247,346 | |||||||||
| Developers Diversified Realty Corp. | ||||||||||||
| 375,000 | 7.500 | 04/01/17 | 431,599 | |||||||||
| Duke Realty LP(c) | ||||||||||||
| 225,000 | 4.375 | 06/15/22 | 225,829 | |||||||||
| ERP Operating LP | ||||||||||||
| 275,000 | 4.625 | 12/15/21 | 298,308 | |||||||||
| HCP, Inc. | ||||||||||||
| 275,000 | 6.000 | 01/30/17 | 306,565 | |||||||||
| Healthcare Realty Trust, Inc. | ||||||||||||
| 350,000 | 5.750 | 01/15/21 | 367,082 | |||||||||
| Kilroy Realty LP | ||||||||||||
| 275,000 | 5.000 | 11/03/15 | 292,671 | |||||||||
| ProLogis LP(c)(d) | ||||||||||||
| 175,000 | 1.875 | 01/15/13 | 174,615 | |||||||||
|
|
|
|||||||||||
| The accompanying notes are an integral part of these financial statements. | 23 |
GOLDMAN SACHS VARIABLE INSURANCE TRUST CORE FIXED INCOME FUND
Schedule of Investments (continued)
June 30, 2012 (Unaudited)
| Principal Amount |
Interest Rate |
Maturity Date |
Value | |||||||||
|
|
Corporate Obligations – (continued) |
| ||||||||||
| Real Estate Investment Trusts – (continued) | ||||||||||||
| Simon Property Group LP | ||||||||||||
| $ 350,000 | 10.350% | 04/01/19 | $ | 487,578 | ||||||||
| WEA Finance LLC(a) | ||||||||||||
| 125,000 | 7.500 | 06/02/14 | 136,386 | |||||||||
|
|
|
|||||||||||
| 3,136,375 | ||||||||||||
|
|
|
|||||||||||
| Retailers – 0.2% | ||||||||||||
| LVMH Moet Hennessy Louis Vuitton SA(a) | ||||||||||||
| 250,000 | 1.625 | 06/29/17 | 249,928 | |||||||||
|
|
|
|||||||||||
| Technology – 0.3% | ||||||||||||
| Hewlett-Packard Co. | ||||||||||||
| 250,000 | 3.000 | 09/15/16 | 257,174 | |||||||||
| 125,000 | 2.600 | 09/15/17 | 125,119 | |||||||||
|
|
|
|||||||||||
| 382,293 | ||||||||||||
|
|
|
|||||||||||
| Tobacco – 0.2% | ||||||||||||
| Altria Group, Inc. | ||||||||||||
| 175,000 | 9.700 | 11/10/18 | 241,422 | |||||||||
|
|
|
|||||||||||
| Transportation – 0.5% | ||||||||||||
| Penske Truck Leasing Co. LP / PTL Finance Corp.(a) | ||||||||||||
| 250,000 | 3.125 | 05/11/15 | 251,202 | |||||||||
| Transnet Ltd.(a) | ||||||||||||
| 400,000 | 4.500 | 02/10/16 | 417,262 | |||||||||
|
|
|
|||||||||||
| 668,464 | ||||||||||||
|
|
|
|||||||||||
| Wirelines Telecommunications – 0.3% | ||||||||||||
| AT&T, Inc. | ||||||||||||
| 425,000 | 2.950 | 05/15/16 | 450,898 | |||||||||
|
|
|
|||||||||||
|
|
TOTAL CORPORATE OBLIGATIONS |
|
||||||||||
| (Cost $28,900,892) | $ | 30,629,784 | ||||||||||
|
|
|
|||||||||||
|
|
Mortgage-Backed Obligations – 54.3% |
| ||||||||||
| Adjustable Rate Non-Agency(b) – 1.6% | ||||||||||||
| |
Bear Stearns Adjustable Rate Mortgage Trust Series 2004-1, |
| ||||||||||
| $ 22,727 | 2.736% | 04/25/34 | $ | 20,918 | ||||||||
| Countrywide Alternative Loan Trust Series 2005-38, Class A1 | ||||||||||||
| 247,561 | 1.647 | 09/25/35 | 146,009 | |||||||||
| |
Countrywide Home Loan Mortgage Pass-Through Trust |
| ||||||||||
| 94,035 | 2.668 | 02/19/34 | 82,728 | |||||||||
| |
Countrywide Home Loan Mortgage Pass-Through Trust |
| ||||||||||
| 18,095 | 2.647 | 11/20/34 | 14,525 | |||||||||
| Indymac Index Mortgage Loan Trust Series 2005-AR15, Class A1 | ||||||||||||
| 429,405 | 4.821 | 09/25/35 | 318,392 | |||||||||
| |
Indymac Index Mortgage Loan Trust Series 2006-AR4, |
| ||||||||||
| 905,995 | 0.455 | 05/25/46 | 548,795 | |||||||||
| J.P. Morgan Mortgage Trust Series 2007-A1, Class 2A2 | ||||||||||||
| 311,804 | 2.764 | 07/25/35 | 286,742 | |||||||||
|
|
|
|||||||||||
| Principal Amount |
Interest Rate |
Maturity Date |
Value | |||||||||
|
|
Mortgage-Backed Obligations – (continued) |
| ||||||||||
| Adjustable Rate Non-Agency(b) – (continued) | ||||||||||||
| Lehman XS Trust Series 2005-7N, Class 1A1A | ||||||||||||
| $ 350,432 | 0.515% | 12/25/35 | $ | 225,050 | ||||||||
| |
Master Adjustable Rate Mortgages Trust Series 2006-OA2, |
| ||||||||||
| 661,448 | 0.998 | 12/25/46 | 187,489 | |||||||||
| |
Structured Adjustable Rate Mortgage Loan Trust Series 2004-12, |
| ||||||||||
| 22,025 | 2.746 | 09/25/34 | 20,468 | |||||||||
| |
Structured Adjustable Rate Mortgage Loan Trust Series 2004-5, |
| ||||||||||
| 46,290 | 2.804 | 05/25/34 | 44,029 | |||||||||
| |
Washington Mutual Mortgage Pass-Through Certificates |
| ||||||||||
| 24,384 | 2.589 | 06/25/34 | 23,385 | |||||||||
| |
Washington Mutual Mortgage Pass-Through Certificates |
| ||||||||||
| 556,291 | 0.847 | 03/25/47 | 317,093 | |||||||||
|
|
|
|||||||||||
| 2,235,623 | ||||||||||||
|
|
|
|||||||||||
|
|
Collateralized Mortgage Obligations – 6.5% |
| ||||||||||
| Agency Multi-Family – 4.2% | ||||||||||||
| |
FHLMC REMIC Structured Pass-Through Certificates |
| ||||||||||
| $ 600,000 | 2.699% | 05/25/18 | $ | 631,843 | ||||||||
| |
FHLMC REMIC Structured Pass-Through Certificates |
| ||||||||||
| 500,000 | 2.303 | 09/25/18 | 516,662 | |||||||||
| |
FHLMC REMIC Structured Pass-Through Certificates |
| ||||||||||
| 200,000 | 2.086 | 03/25/19 | 203,531 | |||||||||
| FNMA | ||||||||||||
| 390,459 | 2.800 | 03/01/18 | 413,400 | |||||||||
| 1,084,309 | 3.740 | 05/01/18 | 1,200,721 | |||||||||
| 320,000 | 3.840 | 05/01/18 | 351,945 | |||||||||
| 800,000 | 4.506 | 06/01/19 | 904,895 | |||||||||
| 196,192 | 3.416 | 10/01/20 | 211,949 | |||||||||
| 196,310 | 3.632 | 12/01/20 | 214,676 | |||||||||
| 982,811 | 3.763 | 12/01/20 | 1,081,565 | |||||||||
| GNMA | ||||||||||||
| 178,957 | 3.950 | 07/15/25 | 194,746 | |||||||||
|
|
|
|||||||||||
| 5,925,933 | ||||||||||||
|
|
|
|||||||||||
| Covered Bond – 1.8% | ||||||||||||
| Abbey National Treasury Services PLC(b) | ||||||||||||
| GBP 200,000 | 2.608 | 02/16/15 | 312,948 | |||||||||
| Bank of Scotland PLC(a) | ||||||||||||
| $ 300,000 | 5.250 | 02/21/17 | 330,038 | |||||||||
| Sparebank 1 Boligkreditt AS(a) | ||||||||||||
| 1,200,000 | 2.625 | 05/27/16 | 1,234,848 | |||||||||
| 700,000 | 2.300 | 06/30/17 | 703,038 | |||||||||
|
|
|
|||||||||||
| 2,580,872 | ||||||||||||
|
|
|
|||||||||||
| 24 | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS VARIABLE INSURANCE TRUST CORE FIXED INCOME FUND
| Principal Amount |
Interest Rate |
Maturity Date |
Value | |||||||||
| Mortgage-Backed Obligations – (continued) | ||||||||||||
| Planned Amortization Class – 0.3% | ||||||||||||
| FNMA REMIC Series 2003-92, Class PD | ||||||||||||
| $ 461,715 | 4.500% | 03/25/17 | $ | 460,990 | ||||||||
|
|
|
|||||||||||
| Sequential Fixed Rate – 0.2% | ||||||||||||
| |
National Credit Union Administration Guaranteed Notes |
| ||||||||||
| 300,000 | 3.000 | 06/12/19 | 323,535 | |||||||||
|
|
|
|||||||||||
| |
TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS |
|
$ | 9,291,330 | ||||||||
|
|
|
|||||||||||
| Commercial Mortgage-Backed Securities – 2.7% | ||||||||||||
| Sequential Fixed Rate – 2.7% | ||||||||||||
| |
Commercial Mortgage Pass-Through Certificates |
| ||||||||||
| $150,000 | 4.063% | 12/10/44 | $ | 151,272 | ||||||||
| |
Commercial Mortgage Pass-Through Certificates |
| ||||||||||
| 125,000 | 4.934 | 12/10/44 | 128,662 | |||||||||
| |
Commercial Mortgage Pass-Through Certificates |
| ||||||||||
| 100,000 | 5.825 | 12/10/44 | 98,227 | |||||||||
|
|
LB-UBS Commercial Mortgage Trust Series 2007-C6, Class A4(b) |
| ||||||||||
| 1,100,000 | 5.858 | 07/15/40 | 1,254,922 | |||||||||
| |
Morgan Stanley Dean Witter Capital I Series 2003-TOP9, |
| ||||||||||
| 2,225,079 | 4.740 | 11/13/36 | 2,246,595 | |||||||||
|
|
|
|||||||||||
| |
TOTAL COMMERCIAL MORTGAGE-BACKED SECURITIES |
|
$ | 3,879,678 | ||||||||
|
|
|
|||||||||||
| Federal Agencies – 43.5% | ||||||||||||
| Adjustable Rate FHLMC(b) – 1.1% | ||||||||||||
| $ 1,524,759 | 2.375% | 09/01/35 | $ | 1,616,523 | ||||||||
|
|
|
|||||||||||
| Adjustable Rate FNMA(b) – 1.6% | ||||||||||||
| 473,979 | 2.342 | 05/01/33 | 494,437 | |||||||||
| 822,726 | 2.333 | 05/01/35 | 869,078 | |||||||||
| 864,068 | 2.590 | 09/01/35 | 920,512 | |||||||||
|
|
|
|||||||||||
| 2,284,027 | ||||||||||||
|
|
|
|||||||||||
| FHLMC – 2.0% | ||||||||||||
| 19,833 | 7.500 | 06/01/15 | 21,202 | |||||||||
| 30,645 | 7.000 | 07/01/16 | 32,220 | |||||||||
| 337,290 | 5.500 | 02/01/18 | 366,479 | |||||||||
| 31,424 | 5.500 | 04/01/18 | 34,144 | |||||||||
| 12,517 | 4.500 | 09/01/18 | 13,315 | |||||||||
| 54,484 | 5.500 | 09/01/18 | 59,199 | |||||||||
| 3,335 | 9.500 | 08/01/19 | 3,774 | |||||||||
| 115,891 | 6.500 | 10/01/20 | 129,767 | |||||||||
| 24,076 | 4.500 | 07/01/24 | 25,937 | |||||||||
| 150,900 | 4.500 | 11/01/24 | 163,032 | |||||||||
| 29,023 | 4.500 | 12/01/24 | 31,349 | |||||||||
| 48,060 | 6.000 | 03/01/29 | 53,719 | |||||||||
| 32,502 | 7.500 | 12/01/29 | 37,383 | |||||||||
| 283,565 | 7.000 | 05/01/32 | 328,391 | |||||||||
| 796 | 6.000 | 08/01/32 | 885 | |||||||||
|
|
|
|||||||||||
| FHLMC – (continued) | ||||||||||||
| $ 167,967 | 7.000% | 12/01/32 | $ | 194,519 | ||||||||
| 28,464 | 5.000 | 12/01/35 | 30,823 | |||||||||
| 32,987 | 6.000 | 09/01/37 | 36,543 | |||||||||
| 50,181 | 6.000 | 02/01/38 | 55,566 | |||||||||
| 134,389 | 6.000 | 07/01/38 | 148,747 | |||||||||
| 38,264 | 6.000 | 10/01/38 | 42,340 | |||||||||
| 1,000,000 | 4.000 | TBA-30yr | (e) | 1,061,250 | ||||||||
|
|
|
|||||||||||
| 2,870,584 | ||||||||||||
|
|
|
|||||||||||
| FNMA – 38.2% | ||||||||||||
| 54,831 | 7.500 | 08/01/15 | 57,773 | |||||||||
| 26,754 | 6.000 | 04/01/16 | 28,758 | |||||||||
| 47,606 | 6.500 | 05/01/16 | 51,675 | |||||||||
| 69,497 | 6.500 | 09/01/16 | 75,435 | |||||||||
| 88,255 | 6.500 | 11/01/16 | 95,797 | |||||||||
| 21,737 | 7.500 | 04/01/17 | 23,304 | |||||||||
| 374,508 | 5.500 | 02/01/18 | 406,341 | |||||||||
| 340,056 | 5.000 | 05/01/18 | 365,959 | |||||||||
| 29,658 | 6.500 | 08/01/18 | 33,392 | |||||||||
| 159,243 | 7.000 | 08/01/18 | 178,149 | |||||||||
| 4,677 | 5.000 | 06/01/23 | 5,047 | |||||||||
| 408,405 | 5.500 | 09/01/23 | 445,253 | |||||||||
| 88,881 | 5.500 | 10/01/23 | 97,033 | |||||||||
| 21,949 | 4.500 | 07/01/24 | 23,893 | |||||||||
| 319,576 | 4.500 | 11/01/24 | 347,943 | |||||||||
| 124,545 | 4.500 | 12/01/24 | 135,672 | |||||||||
| 4,468 | 7.000 | 11/01/25 | 5,277 | |||||||||
| 34,189 | 9.000 | 11/01/25 | 40,201 | |||||||||
| 144,085 | 7.000 | 08/01/26 | 165,639 | |||||||||
| 799 | 7.000 | 08/01/27 | 930 | |||||||||
| 9,778 | 7.000 | 09/01/27 | 11,387 | |||||||||
| 40,713 | 6.000 | 12/01/27 | 44,726 | |||||||||
| 370 | 7.000 | 01/01/28 | 431 | |||||||||
| 241,521 | 6.000 | 02/01/29 | 268,208 | |||||||||
| 225,865 | 6.000 | 06/01/29 | 251,104 | |||||||||
| 52,416 | 8.000 | 10/01/29 | 64,287 | |||||||||
| 16,352 | 7.000 | 12/01/29 | 19,040 | |||||||||
| 1,500 | 8.500 | 04/01/30 | 1,795 | |||||||||
| 7,440 | 8.000 | 05/01/30 | 8,476 | |||||||||
| 393 | 8.500 | 06/01/30 | 458 | |||||||||
| 19,169 | 7.000 | 05/01/32 | 22,319 | |||||||||
| 148,917 | 7.000 | 06/01/32 | 173,040 | |||||||||
| 213,435 | 7.000 | 08/01/32 | 248,010 | |||||||||
| 42,502 | 8.000 | 08/01/32 | 52,764 | |||||||||
| 13,666 | 5.000 | 08/01/33 | 14,902 | |||||||||
| 2,571 | 5.500 | 09/01/33 | 2,833 | |||||||||
| 3,377 | 5.500 | 02/01/34 | 3,721 | |||||||||
| 553 | 5.500 | 04/01/34 | 611 | |||||||||
| 30,782 | 5.500 | 12/01/34 | 33,857 | |||||||||
| 78,249 | 5.000 | 04/01/35 | 85,276 | |||||||||
| 188,464 | 6.000 | 04/01/35 | 209,443 | |||||||||
| 9,359 | 5.000 | 09/01/35 | 10,119 | |||||||||
| 4,680 | 5.500 | 09/01/35 | 5,615 | |||||||||
| 614 | 5.500 | 04/01/37 | 671 | |||||||||
|
|
|
|||||||||||
| The accompanying notes are an integral part of these financial statements. | 25 |
GOLDMAN SACHS VARIABLE INSURANCE TRUST CORE FIXED INCOME FUND
Schedule of Investments (continued)
June 30, 2012 (Unaudited)
| Principal Amount |
Interest Rate |
Maturity Date |
Value | |||||||||
| Mortgage-Backed Obligations – (continued) | ||||||||||||
| FNMA – (continued) | ||||||||||||
| $ 802 | 5.500% | 05/01/37 | $ | 876 | ||||||||
| 73,568 | 6.000 | 12/01/37 | 81,643 | |||||||||
| 1,116 | 5.500 | 03/01/38 | 1,220 | |||||||||
| 36,830 | 6.000 | 05/01/38 | 40,862 | |||||||||
| 849 | 5.500 | 06/01/38 | 932 | |||||||||
| 32,168 | 6.000 | 06/01/38 | 35,689 | |||||||||
| 1,177 | 5.500 | 07/01/38 | 1,293 | |||||||||
| 80,299 | 6.000 | 07/01/38 | 89,088 | |||||||||
| 1,075 | 5.500 | 08/01/38 | 1,180 | |||||||||
| 31,600 | 6.000 | 08/01/38 | 35,059 | |||||||||
| 642 | 5.500 | 09/01/38 | 705 | |||||||||
| 15,217 | 5.500 | 10/01/38 | 16,657 | |||||||||
| 35,155 | 6.000 | 10/01/38 | 38,991 | |||||||||
| 41,951 | 6.000 | 11/01/38 | 46,973 | |||||||||
| 314,655 | 5.000 | 01/01/39 | 344,781 | |||||||||
| 17,529 | 4.000 | 04/01/39 | 18,648 | |||||||||
| 43,168 | 4.000 | 05/01/39 | 45,924 | |||||||||
| 60,795 | 4.500 | 08/01/39 | 66,506 | |||||||||
| 948,673 | 4.500 | 05/01/40 | 1,018,083 | |||||||||
| 203,803 | 4.500 | 07/01/40 | 218,715 | |||||||||
| 176,775 | 4.000 | 08/01/40 | 188,200 | |||||||||
| 2,837,145 | 4.500 | 08/01/40 | 3,044,726 | |||||||||
| 872,085 | 4.000 | 09/01/40 | 928,449 | |||||||||
| 105,370 | 4.500 | 09/01/40 | 113,079 | |||||||||
| 138,601 | 4.000 | 10/01/40 | 147,559 | |||||||||
| 2,052,828 | 4.000 | 11/01/40 | 2,185,505 | |||||||||
| 416,039 | 4.000 | 12/01/40 | 442,929 | |||||||||
| 82,380 | 4.000 | 01/01/41 | 87,705 | |||||||||
| 312,683 | 5.000 | 02/01/41 | 340,523 | |||||||||
| 392,209 | 4.000 | 03/01/41 | 417,776 | |||||||||
| 843,583 | 4.500 | 03/01/41 | 906,984 | |||||||||
| 1,523,435 | 4.500 | 05/01/41 | 1,637,932 | |||||||||
| 259,819 | 5.000 | 05/01/41 | 281,435 | |||||||||
| 106,097 | 4.500 | 06/01/41 | 114,071 | |||||||||
| 38,550 | 5.000 | 06/01/41 | 41,757 | |||||||||
| 47,799 | 4.000 | 07/01/41 | 50,915 | |||||||||
| 920,521 | 4.500 | 07/01/41 | 989,704 | |||||||||
| 63,524 | 4.000 | 09/01/41 | 67,665 | |||||||||
| 927,248 | 4.500 | 09/01/41 | 996,936 | |||||||||
| 73,888 | 4.000 | 10/01/41 | 78,705 | |||||||||
| 1,787,366 | 5.000 | 10/01/41 | 1,940,060 | |||||||||
| 136,744 | 4.000 | 11/01/41 | 145,658 | |||||||||
| 200,000 | 4.000 | 12/01/41 | 213,038 | |||||||||
| 400,000 | 4.000 | 05/01/42 | 431,688 | |||||||||
| 1,000,000 | 4.000 | 06/01/42 | 1,079,219 | |||||||||
| 6,000,000 | 2.500 | TBA-15yr | (e) | 6,185,156 | ||||||||
| 1,000,000 | 3.500 | TBA-30yr | (e) | 1,050,937 | ||||||||
| 14,000,000 | 3.500 | TBA-30yr | (e) | 14,672,657 | ||||||||
| 1,000,000 | 4.000 | TBA-30yr | (e) | 1,064,297 | ||||||||
| 3,000,000 | 3.000 | TBA-30yr | (e) | 3,076,172 | ||||||||
| 200,000 | 4.000 | TBA-30yr | (e) | 215,984 | ||||||||
| 3,000,000 | 4.000 | TBA-30yr | (e) | 3,187,383 | ||||||||
| 2,000,000 | 3.000 | TBA-30yr | (e) | 2,045,547 | ||||||||
|
|
|
|||||||||||
| 54,590,740 | ||||||||||||
|
|
|
|||||||||||
| GNMA – 0.6% | ||||||||||||
| $ 10,475 | 7.000% | 10/15/25 | $ | 12,380 | ||||||||
| 15,042 | 7.000 | 11/15/25 | 17,779 | |||||||||
| 2,687 | 7.000 | 02/15/26 | 3,192 | |||||||||
| 10,235 | 7.000 | 04/15/26 | 12,155 | |||||||||
| 4,108 | 7.000 | 03/15/27 | 4,900 | |||||||||
| 99,357 | 7.000 | 11/15/27 | 118,515 | |||||||||
| 5,029 | 7.000 | 01/15/28 | 5,938 | |||||||||
| 35,434 | 7.000 | 02/15/28 | 41,836 | |||||||||
| 14,619 | 7.000 | 03/15/28 | 17,260 | |||||||||
| 3,962 | 7.000 | 04/15/28 | 4,677 | |||||||||
| 554 | 7.000 | 05/15/28 | 655 | |||||||||
| 10,152 | 7.000 | 06/15/28 | 11,986 | |||||||||
| 20,842 | 7.000 | 07/15/28 | 24,608 | |||||||||
| 14,549 | 7.000 | 08/15/28 | 17,178 | |||||||||
| 27,220 | 7.000 | 09/15/28 | 32,137 | |||||||||
| 4,217 | 7.000 | 11/15/28 | 4,979 | |||||||||
| 4,821 | 7.500 | 11/15/30 | 5,589 | |||||||||
| 613 | 7.000 | 12/15/31 | 723 | |||||||||
| 528,795 | 6.000 | 08/20/34 | 596,436 | |||||||||
|
|
|
|||||||||||
| 932,923 | ||||||||||||
|
|
|
|||||||||||
|
|
TOTAL FEDERAL AGENCIES |
|
$ | 62,294,797 | ||||||||
|
|
|
|||||||||||
|
|
TOTAL MORTGAGE-BACKED OBLIGATIONS |
|
||||||||||
| (Cost $77,517,635) | $ | 77,701,428 | ||||||||||
|
|
|
|||||||||||
| Agency Debentures – 4.7% | ||||||||||||
|
|
FHLMC |
| ||||||||||
| $ 300,000 | 4.375% | 01/15/14 | $ | 397,067 | ||||||||
| 1,000,000 | 1.000 | 03/08/17 | 1,004,054 | |||||||||
| 300,000 | 1.250 | 05/12/17 | 304,234 | |||||||||
| 900,000 | 1.000 | 06/29/17 | 901,137 | |||||||||
| 500,000 | 1.000 | 07/28/17 | 500,196 | |||||||||
| 800,000 | 2.375 | 01/13/22 | 821,943 | |||||||||
|
|
FNMA |
| ||||||||||
| 1,600,000 | 0.625 | 10/30/14 | 1,607,244 | |||||||||
|
|
Tennessee Valley Authority |
| ||||||||||
| 900,000 | 5.375 | 04/01/56 | 1,238,652 | |||||||||
|
|
|
|||||||||||
|
|
TOTAL AGENCY DEBENTURES |
|
||||||||||
| (Cost $6,386,055) | $ | 6,774,527 | ||||||||||
|
|
|
|||||||||||
| 26 | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS VARIABLE INSURANCE TRUST CORE FIXED INCOME FUND
| Principal Amount |
Interest Rate |
Maturity Date |
Value | |||||||||
|
|
Asset-Backed Securities – 0.9% |
| ||||||||||
| Home Equity – 0.2% | ||||||||||||
| GMAC Mortgage Corp. Loan Trust Series 2007-HE3, Class 1A1 | ||||||||||||
| $ 127,692 | 7.000% | 09/25/37 | $ | 100,460 | ||||||||
| GMAC Mortgage Corp. Loan Trust Series 2007-HE3, Class 2A1 | ||||||||||||
| 174,939 | 7.000 | 09/25/37 | 129,748 | |||||||||
|
|
|
|||||||||||
| 230,208 | ||||||||||||
|
|
|
|||||||||||
| Student Loans(b) – 0.7% | ||||||||||||
| College Loan Corp. Trust Series 2006-1, Class A3 | ||||||||||||
| 1,000,000 | 0.556 | 10/25/25 | 965,001 | |||||||||
| GCO Education Loan Funding Trust Series 2006-1, Class A11L | ||||||||||||
| 100,000 | 0.697 | 05/25/36 | 82,292 | |||||||||
|
|
|
|||||||||||
| 1,047,293 | ||||||||||||
|
|
|
|||||||||||
|
|
TOTAL ASSET-BACKED SECURITIES |
|
||||||||||
| (Cost $1,372,511) | $ | 1,277,501 | ||||||||||
|
|
|
|||||||||||
|
|
Foreign Debt Obligations – 7.5% |
| ||||||||||
| Sovereign – 7.0% | ||||||||||||
| Colombia Government International Bond | ||||||||||||
| $ 580,000 | 4.375% | 07/12/21 | $ | 653,950 | ||||||||
| Federal Republic of Brazil | ||||||||||||
| 220,000 | 8.250 | 01/20/34 | 344,850 | |||||||||
| 200,000 | 7.125 | 01/20/37 | 288,500 | |||||||||
| Indonesia Government International Bond | ||||||||||||
| 230,000 | 8.500 | 10/12/35 | 336,950 | |||||||||
| United Kingdom Gilt | ||||||||||||
| GBP 4,200,000 | 4.500 | 03/07/13 | 6,765,364 | |||||||||
| 1,000,000 | 2.750 | 01/22/15 | 1,659,899 | |||||||||
|
|
|
|||||||||||
| 10,049,513 | ||||||||||||
|
|
|
|||||||||||
| Supranational – 0.5% | ||||||||||||
| North American Development Bank | ||||||||||||
| $ 600,000 | 4.375 | 02/11/20 | 677,023 | |||||||||
|
|
|
|||||||||||
|
|
TOTAL FOREIGN DEBT OBLIGATIONS |
|
||||||||||
| (Cost $10,440,459) | $ | 10,726,536 | ||||||||||
|
|
|
|||||||||||
|
|
Municipal Debt Obligations – 1.0% |
| ||||||||||
| California – 0.2% | ||||||||||||
| California State Various Purpose GO Bonds Series 2010 | ||||||||||||
| $ 140,000 | 7.950% | 03/01/36 | $ | 165,654 | ||||||||
| 105,000 | 7.625 | 03/01/40 | 135,748 | |||||||||
|
|
|
|||||||||||
| 301,402 | ||||||||||||
|
|
|
|||||||||||
| Illinois – 0.2% | ||||||||||||
| Illinois State GO Bonds for Build America Bonds Series 2010-5 | ||||||||||||
| 250,000 | 7.350 | 07/01/35 | 290,530 | |||||||||
|
|
|
|||||||||||
| New York – 0.4% | ||||||||||||
| Rensselaer Polytechnic Institute Taxable Bonds Series 2010 | ||||||||||||
| 475,000 | 5.600 | 09/01/20 | 545,238 | |||||||||
|
|
|
|||||||||||
| Principal Amount |
Interest Rate |
Maturity Date |
Value | |||||||||
|
|
Municipal Debt Obligations – (continued) |
| ||||||||||
| Ohio – 0.2% | ||||||||||||
| |
American Municipal Power, Inc. RB Build America Bond |
| ||||||||||
| $ 250,000 | 6.270% | 02/15/50 | $ | 287,655 | ||||||||
|
|
|
|||||||||||
|
|
TOTAL MUNICIPAL DEBT OBLIGATIONS |
|
||||||||||
| (Cost $1,225,019) | $ | 1,424,825 | ||||||||||
|
|
|
|||||||||||
|
|
Government Guarantee Obligations(f) – 4.4% |
| ||||||||||
| Achmea Hypotheekbank NV(a) | ||||||||||||
| $ 791,000 | 3.200% | 11/03/14 | $ | 825,116 | ||||||||
| BRFkredit AS(a) | ||||||||||||
| 1,700,000 | 2.050 | 04/15/13 | 1,719,451 | |||||||||
| Commonwealth Bank of Australia(a) | ||||||||||||
| 700,000 | 2.500 | 12/10/12 | 705,831 | |||||||||
| FIH Erhvervsbank A/S(a) | ||||||||||||
| 1,400,000 | 1.750 | 12/06/12 | 1,407,184 | |||||||||
| Landwirtschaftliche Rentenbank | ||||||||||||
| 1,400,000 | 4.125 | 07/15/13 | 1,452,031 | |||||||||
| Swedbank AB(a) | ||||||||||||
| 200,000 | 2.900 | 01/14/13 | 202,502 | |||||||||
|
|
|
|||||||||||
| |
TOTAL GOVERNMENT GUARANTEE OBLIGATIONS |
|
||||||||||
| (Cost $6,210,816) | $ | 6,312,115 | ||||||||||
|
|
|
|||||||||||
|
|
U.S. Treasury Obligations – 18.7% |
| ||||||||||
| United States Treasury Bill(g)(h) | ||||||||||||
| $ 6,500,000 | 0.000% | 04/04/13 | $ | 6,490,998 | ||||||||
| United States Treasury Bonds | ||||||||||||
| 100,000 | 5.000 | 05/15/37 | 144,198 | |||||||||
| 500,000 | 4.250 | 11/15/40 | 653,795 | |||||||||
| 400,000 | 4.375 | 05/15/41 | 533,936 | |||||||||
| 400,000 | 3.125 | 11/15/41 | 429,732 | |||||||||
| 700,000 | 3.125 | 02/15/42 | 751,506 | |||||||||
| 100,000 | 3.000 | 05/15/42 | 104,703 | |||||||||
| United States Treasury Inflation-Protected Securities | ||||||||||||
| 963,984 | 1.625 | 01/15/15 | 1,025,284 | |||||||||
| 118,290 | 1.875 | 07/15/15 | 128,769 | |||||||||
| 305,475 | 0.750 | 02/15/42 | 321,561 | |||||||||
| United States Treasury Notes | ||||||||||||
| 7,500,000 | 0.250 | 04/30/14 | 7,490,625 | |||||||||
| 4,800,000 | 0.375 | 06/15/15 | 4,795,872 | |||||||||
| 300,000 | 0.875 | 04/30/17 | 302,289 | |||||||||
| 400,000 | 0.625 | 05/31/17 | 398,148 | |||||||||
| 1,000,000 | 0.750 | 06/30/17 | 1,000,980 | |||||||||
|
|
|
|||||||||||
| The accompanying notes are an integral part of these financial statements. | 27 |
GOLDMAN SACHS VARIABLE INSURANCE TRUST CORE FIXED INCOME FUND
Schedule of Investments (continued)
June 30, 2012 (Unaudited)
| Principal Amount |
Interest Rate |
Maturity Date |
Value | |||||||||
|
|
U.S. Treasury Obligations – (continued) |
| ||||||||||
| United States Treasury Notes – (continued) | ||||||||||||
| $ 700,000 | 1.000% | 06/30/19 | $ | 694,421 | ||||||||
| 1,400,000 | 1.750 | 05/15/22 | 1,411,270 | |||||||||
|
|
|
|||||||||||
|
|
TOTAL U.S. TREASURY OBLIGATIONS |
|
||||||||||
| (Cost $26,400,375) | $ | 26,678,087 | ||||||||||
|
|
|
|||||||||||
|
|
TOTAL INVESTMENTS – 112.9% |
|
||||||||||
| (Cost $158,453,762) | $ | 161,524,803 | ||||||||||
|
|
|
|||||||||||
| |
LIABILITIES IN EXCESS OF |
|
(18,452,773 | ) | ||||||||
|
|
|
|||||||||||
|
|
NET ASSETS – 100.0% |
|
$ | 143,072,030 | ||||||||
|
|
|
|||||||||||
| 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 $14,733,328, which represents approximately 10.3% of net assets as of June 30, 2012. | |
| (b) | Variable rate security. Interest rate disclosed is that which is in effect at June 30, 2012. | |
| (c) | Securities with “Call” features with resetting interest rates. Maturity dates disclosed are the final maturity dates. | |
| (d) | Securities with “Put” features and resetting interest rates. Maturity dates disclosed are the puttable dates. Interest rate disclosed is that which is in effect at June 30, 2012. | |
| (e) | TBA (To Be Announced) Securities are purchased/sold on a forward commitment basis with an approximate principal amount and no defined maturity date. The actual principal and maturity date will be determined upon settlement when the specific mortgage pools are assigned. Total market value of TBA securities (excluding forward sales contracts, if any) amounts to $32,559,383 which represents approximately 22.8% of net assets as of June 30, 2012. | |
| (f) | Guaranteed by a foreign government until maturity. | |
| (g) | Issued with a zero coupon. Income is recognized through the accretion of discount. | |
| (h) | All or a portion of security is segregated as collateral for initial margin requirements on futures transactions. | |
| Investment Abbreviations: | ||
| FHLMC | —Federal Home Loan Mortgage Corp. | |
| FNMA | —Federal National Mortgage Association | |
| GNMA | —Government National Mortgage Association | |
| GO | —General Obligation | |
| RB | —Revenue Bond | |
| REMIC | —Real Estate Mortgage Investment Conduit | |
| RMKT | —Remarketed | |
| UK | —United Kingdom | |
| Currency Abbreviations: | ||
| AUD | —Australian Dollar | |
| CAD | —Canadian Dollar | |
| DKK | —Danish Krone | |
| EUR | —Euro | |
| GBP | —British Pound | |
| JPY | —Japanese Yen | |
| NOK | —Norwegian Krone | |
| NZD | —New Zealand Dollar | |
| SEK | —Swedish Krona | |
| USD | —United States Dollar | |
| 28 | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS VARIABLE INSURANCE TRUST CORE FIXED INCOME FUND
ADDITIONAL INVESTMENT INFORMATION
FORWARD FOREIGN CURRENCY EXCHANGE CONTRACTS — At June 30, 2012, the Fund had the following forward foreign currency exchange contracts:
FORWARD FOREIGN CURRENCY EXCHANGE CONTRACTS WITH UNREALIZED GAIN
| Counterparty | Contracts to Buy/Sell |
Settlement Date |
Current Value |
Unrealized Gain |
||||||||||
| Bank of America NA | EUR/USD | 09/19/12 | $ | 94,788 | $ | 341 | ||||||||
| USD/EUR | 09/19/12 | 85,203 | 424 | |||||||||||
| Barclays Bank PLC | GBP/USD | 09/19/12 | 73,593 | 646 | ||||||||||
| Citibank NA | AUD/NZD | 09/19/12 | 74,166 | 28 | ||||||||||
| AUD/USD | 09/19/12 | 46,508 | 1,007 | |||||||||||
| GBP/USD | 09/19/12 | 47,368 | 342 | |||||||||||
| USD/EUR | 09/19/12 | 285,288 | 395 | |||||||||||
| USD/JPY | 09/19/12 | 357,977 | 2,023 | |||||||||||
| Deutsche Bank Securities, Inc. | AUD/USD | 09/19/12 | 143,253 | 3,049 | ||||||||||
| EUR/GBP | 09/19/12 | 101,652 | 385 | |||||||||||
| EUR/USD | 09/19/12 | 94,560 | 896 | |||||||||||
| GBP/USD | 09/19/12 | 199,698 | 855 | |||||||||||
| USD/GBP | 07/12/12 | 8,922,059 | 3,375 | |||||||||||
| HSBC Bank PLC | EUR/USD | 09/19/12 | 97,386 | 909 | ||||||||||
| SEK/EUR | 09/19/12 | 280,305 | 4,967 | |||||||||||
| JPMorgan Chase Bank NA | AUD/USD | 09/19/12 | 167,700 | 2,789 | ||||||||||
| EUR/USD | 09/19/12 | 290,864 | 2,393 | |||||||||||
| USD/GBP | 09/19/12 | 91,972 | 48 | |||||||||||
| Royal Bank of Canada | CAD/USD | 09/19/12 | 162,579 | 579 | ||||||||||
| Royal Bank of Scotland | AUD/USD | 09/19/12 | 91,438 | 1,797 | ||||||||||
| SEK/NOK | 09/19/12 | 94,087 | 1,565 | |||||||||||
| State Street Bank | NZD/JPY | 09/19/12 | 363,052 | 4,951 | ||||||||||
| USD/GBP | 09/19/12 | 88,334 | 207 | |||||||||||
| TOTAL | $ | 33,971 | ||||||||||||
FORWARD FOREIGN CURRENCY EXCHANGE CONTRACTS WITH UNREALIZED LOSS
| Counterparty | Contracts to Buy/Sell |
Settlement Date |
Current Value |
Unrealized Loss |
||||||||
| Bank of America NA | USD/EUR | 09/19/12 | $ | 94,788 | $ | (610 | ) | |||||
| Barclays Bank PLC | GBP/USD | 09/19/12 | 94,964 | (97 | ) | |||||||
| USD/GBP | 09/19/12 | 264,128 | (2,330 | ) | ||||||||
| Citibank NA | JPY/USD | 09/19/12 | 102,356 | (1,172 | ) | |||||||
| USD/AUD | 09/19/12 | 180,908 | (5,830 | ) | ||||||||
| USD/EUR | 09/19/12 | 272,292 | (2,267 | ) | ||||||||
| USD/GBP | 09/19/12 | 94,813 | (679 | ) | ||||||||
| USD/NOK | 09/19/12 | 333,606 | (4,495 | ) | ||||||||
| Credit Suisse International | USD/AUD | 09/19/12 | 182,876 | (3,950 | ) | |||||||
| USD/EUR | 09/19/12 | 185,746 | (1,743 | ) | ||||||||
| The accompanying notes are an integral part of these financial statements. | 29 |
GOLDMAN SACHS VARIABLE INSURANCE TRUST CORE FIXED INCOME FUND
Schedule of Investments (continued)
June 30, 2012 (Unaudited)
ADDITIONAL INVESTMENT INFORMATION (continued)
FORWARD FOREIGN CURRENCY EXCHANGE CONTRACTS WITH UNREALIZED LOSS (continued)
| Counterparty | Contracts to Buy/Sell |
Settlement Date |
Current Value |
Unrealized Loss |
||||||||||
| Deutsche Bank Securities, Inc. | DKK/EUR | 09/19/12 | $ | 184,780 | $ | (126 | ) | |||||||
| USD/AUD | 09/19/12 | 308,103 | (4,584 | ) | ||||||||||
| USD/CAD | 09/19/12 | 94,831 | (781 | ) | ||||||||||
| USD/EUR | 09/19/12 | 273,559 | (2,886 | ) | ||||||||||
| USD/GBP | 09/19/12 | 91,657 | (1,058 | ) | ||||||||||
| HSBC Bank PLC | USD/AUD | 09/19/12 | 54,457 | (1,619 | ) | |||||||||
| USD/GBP | 09/19/12 | 83,312 | (677 | ) | ||||||||||
| USD/NZD | 09/19/12 | 89,345 | (1,644 | ) | ||||||||||
| JPMorgan Chase Bank NA | GBP/USD | 09/19/12 | 88,334 | (389 | ) | |||||||||
| USD/EUR | 07/25/12 | 337,626 | (1,127 | ) | ||||||||||
| USD/AUD | 09/19/12 | 74,166 | (1,927 | ) | ||||||||||
| USD/EUR | 09/19/12 | 364,745 | (4,352 | ) | ||||||||||
| USD/GBP | 09/19/12 | 47,368 | (406 | ) | ||||||||||
| Royal Bank of Canada | CAD/USD | 09/19/12 | 179,785 | (215 | ) | |||||||||
| USD/CAD | 09/19/12 | 407,833 | (5,709 | ) | ||||||||||
| USD/GBP | 09/19/12 | 191,590 | (1,861 | ) | ||||||||||
| USD/JPY | 09/19/12 | 181,355 | (1,355 | ) | ||||||||||
| Royal Bank of Scotland | NOK/SEK | 09/19/12 | 253,597 | (2,850 | ) | |||||||||
| USD/AUD | 09/19/12 | 172,423 | (5,909 | ) | ||||||||||
| USD/EUR | 09/19/12 | 572,602 | (6,269 | ) | ||||||||||
| UBS AG | USD/AUD | 09/19/12 | 87,438 | (1,782 | ) | |||||||||
| USD/CAD | 09/19/12 | 91,082 | (1,082 | ) | ||||||||||
| Westpac Banking Corp. | NZD/AUD | 09/19/12 | 54,790 | (73 | ) | |||||||||
| USD/AUD | 09/19/12 | 90,422 | (883 | ) | ||||||||||
| TOTAL | $ | (72,737 | ) | |||||||||||
FORWARD SALES CONTRACTS — At June 30, 2012, the Fund had the following forward sales contracts:
| Description | Interest Rate |
Maturity Date(e) |
Settlement Date |
Principal Amount |
Value | |||||||||||||
| FNMA (Proceeds Receivable: $1,071,250) |
4.500 | % | TBA-30yr | 07/12/12 | $ | (1,000,000 | ) | $ | (1,072,734 | ) | ||||||||
| 30 | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS VARIABLE INSURANCE TRUST CORE FIXED INCOME FUND
ADDITIONAL INVESTMENT INFORMATION (continued)
FUTURES CONTRACTS — At June 30, 2012, the Fund had the following futures contracts:
| Type | Number of Contracts Long (Short) |
Expiration Date |
Current Value |
Unrealized Gain (Loss) |
||||||||||
| Eurodollars | 24 | March 2014 | $ | 5,962,200 | $ | 11,408 | ||||||||
| Eurodollars | 49 | September 2014 | 12,160,575 | 50,398 | ||||||||||
| Eurodollars | (24 | ) | March 2015 | (5,946,300 | ) | (27,414 | ) | |||||||
| Eurodollars | (49 | ) | September 2015 | (12,111,575 | ) | (88,629 | ) | |||||||
| U.S. Long Bonds | (18 | ) | September 2012 | (2,663,438 | ) | 24,786 | ||||||||
| U.S. Ultra Long Treasury Bonds | 13 | September 2012 | 2,168,969 | 22,100 | ||||||||||
| 5 Year U.S. Treasury Notes | 84 | September 2012 | 10,413,375 | 378 | ||||||||||
| 10 Year U.S. Treasury Notes |
25 | September 2012 | 3,334,375 | (11,603 | ) | |||||||||
| TOTAL | $ | (18,576 | ) | |||||||||||
| The accompanying notes are an integral part of these financial statements. | 31 |
GOLDMAN SACHS VARIABLE INSURANCE TRUST EQUITY INDEX FUND
Schedule of Investments
June 30, 2012 (Unaudited)
| Shares | Description | Value | ||||||
|
|
Common Stocks – 99.5% |
| ||||||
|
|
Automobiles & Components – 0.6% |
| ||||||
| 1,500 | BorgWarner, Inc.* | $ | 98,385 | |||||
| 52,707 | Ford Motor Co. | 505,460 | ||||||
| 3,200 | Harley-Davidson, Inc. | 146,336 | ||||||
| 9,485 | Johnson Controls, Inc. | 262,829 | ||||||
| 3,164 | The Goodyear Tire & Rubber Co.* | 37,367 | ||||||
|
|
|
|||||||
| 1,050,377 | ||||||||
|
|
|
|||||||
| Banks – 3.0% | ||||||||
| 9,620 | BB&T Corp. | 296,777 | ||||||
| 2,850 | Comerica, Inc. | 87,524 | ||||||
| 12,976 | Fifth Third Bancorp | 173,878 | ||||||
| 3,534 | First Horizon National Corp. | 30,569 | ||||||
| 7,800 | Hudson City Bancorp, Inc. | 49,686 | ||||||
| 11,645 | Huntington Bancshares, Inc. | 74,528 | ||||||
| 13,400 | KeyCorp | 103,716 | ||||||
| 1,728 | M&T Bank Corp. | 142,681 | ||||||
| 4,789 | People’s United Financial, Inc. | 55,600 | ||||||
| 7,204 | PNC Financial Services Group, Inc. | 440,236 | ||||||
| 17,798 | Regions Financial Corp. | 120,137 | ||||||
| 7,572 | SunTrust Banks, Inc. | 183,470 | ||||||
| 26,157 | U.S. Bancorp | 841,209 | ||||||
| 72,976 | Wells Fargo & Co. | 2,440,317 | ||||||
| 2,430 | Zions Bancorporation | 47,191 | ||||||
|
|
|
|||||||
| 5,087,519 | ||||||||
|
|
|
|||||||
| Capital Goods – 8.0% | ||||||||
| 9,652 | 3M Co. | 864,819 | ||||||
| 8,984 | Caterpillar, Inc. | 762,831 | ||||||
| 2,254 | Cooper Industries PLC | 153,678 | ||||||
| 2,646 | Cummins, Inc. | 256,424 | ||||||
| 7,914 | Danaher Corp. | 412,161 | ||||||
| 5,563 | Deere & Co. | 449,880 | ||||||
| 2,601 | Dover Corp. | 139,440 | ||||||
| 4,594 | Eaton Corp. | 182,060 | ||||||
| 10,177 | Emerson Electric Co. | 474,045 | ||||||
| 4,053 | Fastenal Co. | 163,376 | ||||||
| 735 | Flowserve Corp. | 84,341 | ||||||
| 2,347 | Fluor Corp. | 115,801 | ||||||
| 5,006 | General Dynamics Corp. | 330,196 | ||||||
| 146,521 | General Electric Co. | 3,053,498 | ||||||
| 1,737 | Goodrich Corp. | 220,425 | ||||||
| 10,808 | Honeywell International, Inc. | 603,519 | ||||||
| 6,690 | Illinois Tool Works, Inc. | 353,834 | ||||||
| 4,200 | Ingersoll-Rand PLC | 177,156 | ||||||
| 1,800 | Jacobs Engineering Group, Inc.* | 68,148 | ||||||
| 1,500 | Joy Global, Inc. | 85,095 | ||||||
| 1,400 | L-3 Communications Holdings, Inc. | 103,614 | ||||||
| 3,680 | Lockheed Martin Corp. | 320,454 | ||||||
| 4,800 | Masco Corp. | 66,576 | ||||||
| 3,473 | Northrop Grumman Corp. | 221,543 | ||||||
| 4,993 | PACCAR, Inc. | 195,676 | ||||||
| 1,552 | Pall Corp. | 85,065 | ||||||
| 2,070 | Parker Hannifin Corp. | 159,141 | ||||||
| 2,005 | Precision Castparts Corp. | 329,802 | ||||||
| 3,000 | Quanta Services, Inc.* | 72,210 | ||||||
|
|
|
|||||||
|
|
Common Stocks – (continued) |
| ||||||
| Capital Goods – (continued) | ||||||||
| 4,676 | Raytheon Co. | $ | 264,615 | |||||
| 2,000 | Rockwell Automation, Inc. | 132,120 | ||||||
| 2,019 | Rockwell Collins, Inc. | 99,638 | ||||||
| 1,324 | Roper Industries, Inc. | 130,520 | ||||||
| 803 | Snap-On, Inc. | 49,987 | ||||||
| 2,317 | Stanley Black & Decker, Inc. | 149,122 | ||||||
| 3,939 | Textron, Inc. | 97,963 | ||||||
| 10,359 | The Boeing Co. | 769,674 | ||||||
| 6,370 | Tyco International Ltd. | 336,654 | ||||||
| 12,656 | United Technologies Corp. | 955,908 | ||||||
| 833 | W.W. Grainger, Inc. | 159,303 | ||||||
| 2,518 | Xylem, Inc. | 63,378 | ||||||
|
|
|
|||||||
| 13,713,690 | ||||||||
|
|
|
|||||||
| Commercial & Professional Services – 0.5% | ||||||||
| 1,434 | Avery Dennison Corp. | 39,205 | ||||||
| 1,600 | Cintas Corp. | 61,776 | ||||||
| 700 | Dun & Bradstreet Corp. | 49,819 | ||||||
| 1,750 | Equifax, Inc. | 81,550 | ||||||
| 2,331 | Iron Mountain, Inc. | 76,830 | ||||||
| 2,600 | Pitney Bowes, Inc. | 38,922 | ||||||
| 2,800 | R.R. Donnelley & Sons Co. | 32,956 | ||||||
| 4,367 | Republic Services, Inc. | 115,551 | ||||||
| 1,957 | Robert Half International, Inc. | 55,911 | ||||||
| 1,204 | Stericycle, Inc.* | 110,371 | ||||||
| 6,349 | Waste Management, Inc. | 212,057 | ||||||
|
|
|
|||||||
| 874,948 | ||||||||
|
|
|
|||||||
| Consumer Durables & Apparel – 1.0% | ||||||||
| 3,969 | Coach, Inc. | 232,107 | ||||||
| 3,600 | D.R. Horton, Inc. | 66,168 | ||||||
| 700 | Fossil, Inc.* | 53,578 | ||||||
| 1,000 | Harman International Industries, Inc. | 39,600 | ||||||
| 1,721 | Hasbro, Inc. | 58,290 | ||||||
| 2,100 | Leggett & Platt, Inc. | 44,373 | ||||||
| 2,200 | Lennar Corp. Class A | 68,002 | ||||||
| 4,812 | Mattel, Inc. | 156,101 | ||||||
| 4,133 | Newell Rubbermaid, Inc. | 74,973 | ||||||
| 5,091 | NIKE, Inc. Class B | 446,888 | ||||||
| 4,513 | Pulte Group, Inc.* | 48,289 | ||||||
| 900 | Ralph Lauren Corp. | 126,054 | ||||||
| 1,242 | VF Corp. | 165,745 | ||||||
| 1,059 | Whirlpool Corp. | 64,769 | ||||||
|
|
|
|||||||
| 1,644,937 | ||||||||
|
|
|
|||||||
| Consumer Services – 2.0% | ||||||||
| 1,600 | Apollo Group, Inc. Class A* | 57,904 | ||||||
| 6,329 | Carnival Corp. | 216,895 | ||||||
| 428 | Chipotle Mexican Grill, Inc.* | 162,619 | ||||||
| 1,766 | Darden Restaurants, Inc. | 89,412 | ||||||
| 900 | DeVry, Inc. | 27,873 | ||||||
| 4,300 | H&R Block, Inc. | 68,714 | ||||||
| 4,400 | International Game Technology | 69,300 | ||||||
| 3,767 | Marriott International, Inc. Class A | 147,666 | ||||||
| 14,075 | McDonald’s Corp. | 1,246,060 | ||||||
|
|
|
|||||||
| 32 | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS VARIABLE INSURANCE TRUST EQUITY INDEX FUND
| Shares | Description | Value | ||||||
|
|
Common Stocks – (continued) |
| ||||||
| Consumer Services – (continued) | ||||||||
| 10,450 | Starbucks Corp. | $ | 557,194 | |||||
| 2,800 | Starwood Hotels & Resorts Worldwide, Inc. | 148,512 | ||||||
| 1,981 | Wyndham Worldwide Corp. | 104,478 | ||||||
| 1,100 | Wynn Resorts Ltd. | 114,092 | ||||||
| 6,372 | Yum! Brands, Inc. | 410,484 | ||||||
|
|
|
|||||||
| 3,421,203 | ||||||||
|
|
|
|||||||
| Diversified Financials – 5.6% | ||||||||
| 13,878 | American Express Co. | 807,838 | ||||||
| 3,036 | Ameriprise Financial, Inc. | 158,661 | ||||||
| 149,296 | Bank of America Corp. | 1,221,241 | ||||||
| 1,786 | BlackRock, Inc. | 303,299 | ||||||
| 7,658 | Capital One Financial Corp. | 418,586 | ||||||
| 40,745 | Citigroup, Inc. | 1,116,820 | ||||||
| 939 | CME Group, Inc. | 251,755 | ||||||
| 7,299 | Discover Financial Services | 252,399 | ||||||
| 3,050 | E*TRADE Financial Corp.* | 24,522 | ||||||
| 1,456 | Federated Investors, Inc. Class B | 31,814 | ||||||
| 1,960 | Franklin Resources, Inc. | 217,540 | ||||||
| 1,032 | IntercontinentalExchange, Inc.* | 140,331 | ||||||
| 6,093 | Invesco Ltd. | 137,702 | ||||||
| 52,771 | JPMorgan Chase & Co. | 1,885,508 | ||||||
| 1,632 | Legg Mason, Inc. | 43,036 | ||||||
| 2,900 | Leucadia National Corp. | 61,683 | ||||||
| 2,714 | Moody’s Corp. | 99,197 | ||||||
| 21,447 | Morgan Stanley | 312,912 | ||||||
| 3,298 | Northern Trust Corp. | 151,774 | ||||||
| 3,471 | NYSE Euronext | 88,788 | ||||||
| 7,171 | SLM Corp. | 112,656 | ||||||
| 6,870 | State Street Corp. | 306,677 | ||||||
| 3,485 | T. Rowe Price Group, Inc. | 219,416 | ||||||
| 16,646 | The Bank of New York Mellon Corp. | 365,380 | ||||||
| 14,642 | The Charles Schwab Corp. | 189,321 | ||||||
| 6,825 | The Goldman Sachs Group, Inc.(a) | 654,245 | ||||||
| 1,900 | The NASDAQ OMX Group, Inc. | 43,073 | ||||||
|
|
|
|||||||
| 9,616,174 | ||||||||
|
|
|
|||||||
| Energy – 10.7% | ||||||||
| 3,300 | Alpha Natural Resources, Inc.* | 28,743 | ||||||
| 6,904 | Anadarko Petroleum Corp. | 457,045 | ||||||
| 5,323 | Apache Corp. | 467,838 | ||||||
| 6,091 | Baker Hughes, Inc. | 250,340 | ||||||
| 2,949 | Cabot Oil & Gas Corp. | 116,191 | ||||||
| 3,500 | Cameron International Corp.* | 149,485 | ||||||
| 9,417 | Chesapeake Energy Corp. | 175,156 | ||||||
| 27,287 | Chevron Corp. | 2,878,778 | ||||||
| 17,492 | ConocoPhillips | 977,453 | ||||||
| 3,200 | CONSOL Energy, Inc. | 96,768 | ||||||
| 5,267 | Denbury Resources, Inc.* | 79,584 | ||||||
| 5,586 | Devon Energy Corp. | 323,932 | ||||||
| 969 | Diamond Offshore Drilling, Inc. | 57,297 | ||||||
| 3,781 | EOG Resources, Inc. | 340,706 | ||||||
| 2,017 | EQT Corp. | 108,172 | ||||||
| 64,760 | Exxon Mobil Corp. | 5,541,513 | ||||||
|
|
|
|||||||
|
|
Common Stocks – (continued) |
| ||||||
| Energy – (continued) | ||||||||
| 3,393 | FMC Technologies, Inc.* | $ | 133,107 | |||||
| 12,772 | Halliburton Co. | 362,597 | ||||||
| 1,500 | Helmerich & Payne, Inc. | 65,220 | ||||||
| 4,157 | Hess Corp. | 180,622 | ||||||
| 6,192 | Kinder Morgan, Inc. | 199,506 | ||||||
| 9,876 | Marathon Oil Corp. | 252,529 | ||||||
| 4,899 | Marathon Petroleum Corp. | 220,063 | ||||||
| 2,645 | Murphy Oil Corp. | 133,017 | ||||||
| 4,032 | Nabors Industries Ltd.* | 58,061 | ||||||
| 5,869 | National Oilwell Varco, Inc. | 378,198 | ||||||
| 1,900 | Newfield Exploration Co.* | 55,689 | ||||||
| 3,500 | Noble Corp.* | 113,855 | ||||||
| 2,433 | Noble Energy, Inc. | 206,367 | ||||||
| 11,276 | Occidental Petroleum Corp. | 967,143 | ||||||
| 3,706 | Peabody Energy Corp. | 90,871 | ||||||
| 8,824 | Phillips 66* | 293,310 | ||||||
| 1,700 | Pioneer Natural Resources Co. | 149,957 | ||||||
| 2,476 | QEP Resources, Inc. | 74,206 | ||||||
| 2,200 | Range Resources Corp. | 136,114 | ||||||
| 1,800 | Rowan Companies PLC Class A* | 58,194 | ||||||
| 18,561 | Schlumberger Ltd. | 1,204,795 | ||||||
| 4,800 | Southwestern Energy Co.* | 153,264 | ||||||
| 8,975 | Spectra Energy Corp. | 260,813 | ||||||
| 1,500 | Sunoco, Inc. | 71,250 | ||||||
| 1,900 | Tesoro Corp.* | 47,424 | ||||||
| 8,445 | The Williams Companies, Inc. | 243,385 | ||||||
| 7,592 | Valero Energy Corp. | 183,347 | ||||||
| 2,881 | WPX Energy, Inc.* | 46,615 | ||||||
|
|
|
|||||||
| 18,388,520 | ||||||||
|
|
|
|||||||
| Food & Staples Retailing – 2.4% | ||||||||
| 6,029 | Costco Wholesale Corp. | 572,755 | ||||||
| 17,698 | CVS Caremark Corp. | 827,028 | ||||||
| 3,176 | Safeway, Inc. | 57,644 | ||||||
| 8,200 | Sysco Corp. | 244,442 | ||||||
| 8,075 | The Kroger Co. | 187,259 | ||||||
| 12,076 | Walgreen Co. | 357,208 | ||||||
| 23,914 | Wal-Mart Stores, Inc. | 1,667,284 | ||||||
| 2,300 | Whole Foods Market, Inc. | 219,236 | ||||||
|
|
|
|||||||
| 4,132,856 | ||||||||
|
|
|
|||||||
| Food, Beverage & Tobacco – 6.6% | ||||||||
| 28,391 | Altria Group, Inc. | 980,909 | ||||||
| 9,324 | Archer-Daniels-Midland Co. | 275,244 | ||||||
| 2,200 | Beam, Inc. | 137,478 | ||||||
| 1,347 | Brown-Forman Corp. Class B | 130,457 | ||||||
| 2,500 | Campbell Soup Co. | 83,450 | ||||||
| 4,156 | Coca-Cola Enterprises, Inc. | 116,534 | ||||||
| 5,700 | ConAgra Foods, Inc. | 147,801 | ||||||
| 2,400 | Constellation Brands, Inc. Class A* | 64,944 | ||||||
| 2,600 | Dean Foods Co.* | 44,278 | ||||||
| 3,000 | Dr. Pepper Snapple Group, Inc. | 131,250 | ||||||
| 9,024 | General Mills, Inc. | 347,785 | ||||||
| 4,406 | H.J. Heinz Co. | 239,598 | ||||||
| 1,800 | Hormel Foods Corp. | 54,756 | ||||||
|
|
|
|||||||
| The accompanying notes are an integral part of these financial statements. | 33 |
GOLDMAN SACHS VARIABLE INSURANCE TRUST EQUITY INDEX FUND
Schedule of Investments (continued)
June 30, 2012 (Unaudited)
| Shares | Description | Value | ||||||
|
|
Common Stocks – (continued) |
| ||||||
| Food, Beverage & Tobacco – (continued) | ||||||||
| 3,372 | Kellogg Co. | $ | 166,341 | |||||
| 24,587 | Kraft Foods, Inc. Class A | 949,550 | ||||||
| 1,839 | Lorillard, Inc. | 242,656 | ||||||
| 1,900 | McCormick & Co., Inc. | 115,235 | ||||||
| 2,801 | Mead Johnson Nutrition Co. | 225,509 | ||||||
| 2,123 | Molson Coors Brewing Co. Class B | 88,338 | ||||||
| 2,100 | Monster Beverage Corp.* | 149,520 | ||||||
| 21,666 | PepsiCo, Inc. | 1,530,920 | ||||||
| 23,587 | Philip Morris International, Inc. | 2,058,202 | ||||||
| 4,579 | Reynolds American, Inc. | 205,460 | ||||||
| 31,336 | The Coca-Cola Co. | 2,450,162 | ||||||
| 2,097 | The Hershey Co. | 151,047 | ||||||
| 1,545 | The J.M. Smucker Co. | 116,678 | ||||||
| 4,081 | Tyson Foods, Inc. Class A | 76,845 | ||||||
|
|
|
|||||||
| 11,280,947 | ||||||||
|
|
|
|||||||
| Health Care Equipment & Services – 3.9% | ||||||||
| 4,895 | Aetna, Inc. | 189,779 | ||||||
| 3,660 | AmerisourceBergen Corp. | 144,021 | ||||||
| 7,750 | Baxter International, Inc. | 411,913 | ||||||
| 2,823 | Becton, Dickinson and Co. | 211,019 | ||||||
| 20,746 | Boston Scientific Corp.* | 117,630 | ||||||
| 1,167 | C. R. Bard, Inc. | 125,382 | ||||||
| 4,831 | Cardinal Health, Inc. | 202,902 | ||||||
| 3,116 | CareFusion Corp.* | 80,019 | ||||||
| 2,070 | Cerner Corp.* | 171,106 | ||||||
| 3,919 | Cigna Corp. | 172,436 | ||||||
| 1,882 | Coventry Health Care, Inc. | 59,829 | ||||||
| 6,683 | Covidien PLC | 357,541 | ||||||
| 1,300 | DaVita, Inc.* | 127,673 | ||||||
| 1,990 | DENTSPLY International, Inc. | 75,242 | ||||||
| 1,594 | Edwards Lifesciences Corp.* | 164,660 | ||||||
| 11,089 | Express Scripts Holding Co.* | 619,099 | ||||||
| 2,300 | Humana, Inc. | 178,112 | ||||||
| 547 | Intuitive Surgical, Inc.* | 302,923 | ||||||
| 1,323 | Laboratory Corp. of America Holdings* | 122,523 | ||||||
| 3,264 | McKesson Corp. | 306,000 | ||||||
| 14,282 | Medtronic, Inc. | 553,142 | ||||||
| 1,081 | Patterson Companies, Inc. | 37,262 | ||||||
| 2,150 | Quest Diagnostics, Inc. | 128,785 | ||||||
| 4,502 | St. Jude Medical, Inc. | 179,675 | ||||||
| 4,537 | Stryker Corp. | 249,989 | ||||||
| 5,750 | Tenet Healthcare Corp.* | 30,130 | ||||||
| 14,498 | UnitedHealth Group, Inc. | 848,133 | ||||||
| 1,586 | Varian Medical Systems, Inc.* | 96,381 | ||||||
| 4,517 | WellPoint, Inc. | 288,139 | ||||||
| 2,517 | Zimmer Holdings, Inc. | 161,994 | ||||||
|
|
|
|||||||
| 6,713,439 | ||||||||
|
|
|
|||||||
| Household & Personal Products – 2.3% | ||||||||
| 5,986 | Avon Products, Inc. | 97,033 | ||||||
| 6,658 | Colgate-Palmolive Co. | 693,098 | ||||||
| 5,447 | Kimberly-Clark Corp. | 456,295 | ||||||
| 1,800 | The Clorox Co. | 130,428 | ||||||
|
|
|
|||||||
|
|
Common Stocks – (continued) |
| ||||||
| Household & Personal Products – (continued) | ||||||||
| 3,200 | The Estee Lauder Companies, Inc. Class A | $ | 173,184 | |||||
| 38,081 | The Procter & Gamble Co. | 2,332,461 | ||||||
|
|
|
|||||||
| 3,882,499 | ||||||||
|
|
|
|||||||
| Insurance – 3.5% | ||||||||
| 4,660 | ACE Ltd. | 345,446 | ||||||
| 6,515 | Aflac, Inc. | 277,474 | ||||||
| 8,812 | American International Group, Inc.* | 282,777 | ||||||
| 4,467 | Aon PLC | 208,966 | ||||||
| 1,200 | Assurant, Inc. | 41,808 | ||||||
| 24,291 | Berkshire Hathaway, Inc. Class B* | 2,024,169 | ||||||
| 2,368 | Cincinnati Financial Corp. | 90,150 | ||||||
| 6,800 | Genworth Financial, Inc. Class A* | 38,488 | ||||||
| 6,101 | Hartford Financial Services Group, Inc. | 107,561 | ||||||
| 4,058 | Lincoln National Corp. | 88,748 | ||||||
| 4,346 | Loews Corp. | 177,795 | ||||||
| 7,479 | Marsh & McLennan Companies, Inc. | 241,048 | ||||||
| 14,674 | MetLife, Inc. | 452,693 | ||||||
| 4,273 | Principal Financial Group, Inc. | 112,081 | ||||||
| 6,513 | Prudential Financial, Inc. | 315,425 | ||||||
| 6,973 | The Allstate Corp. | 244,682 | ||||||
| 3,738 | The Chubb Corp. | 272,201 | ||||||
| 8,542 | The Progressive Corp. | 177,930 | ||||||
| 5,320 | The Travelers Companies, Inc. | 339,629 | ||||||
| 1,311 | Torchmark Corp. | 66,271 | ||||||
| 4,118 | Unum Group | 78,777 | ||||||
| 4,524 | XL Group PLC | 95,185 | ||||||
|
|
|
|||||||
| 6,079,304 | ||||||||
|
|
|
|||||||
| Materials – 3.4% | ||||||||
| 2,898 | Air Products & Chemicals, Inc. | 233,956 | ||||||
| 1,000 | Airgas, Inc. | 84,010 | ||||||
| 15,268 | Alcoa, Inc. | 133,595 | ||||||
| 1,487 | Allegheny Technologies, Inc. | 47,420 | ||||||
| 2,095 | Ball Corp. | 86,000 | ||||||
| 1,300 | Bemis Co., Inc. | 40,742 | ||||||
| 890 | CF Industries Holdings, Inc. | 172,429 | ||||||
| 1,971 | Cliffs Natural Resources, Inc. | 97,151 | ||||||
| 12,838 | E.I. du Pont de Nemours & Co. | 649,218 | ||||||
| 1,853 | Eastman Chemical Co. | 93,336 | ||||||
| 4,112 | Ecolab, Inc. | 281,795 | ||||||
| 2,000 | FMC Corp. | 106,960 | ||||||
| 13,236 | Freeport-McMoRan Copper & Gold, Inc. | 450,950 | ||||||
| 1,083 | International Flavors & Fragrances, Inc. | 59,348 | ||||||
| 6,108 | International Paper Co. | 176,582 | ||||||
| 2,498 | MeadWestvaco Corp. | 71,817 | ||||||
| 7,424 | Monsanto Co. | 614,559 | ||||||
| 6,887 | Newmont Mining Corp. | 334,088 | ||||||
| 4,400 | Nucor Corp. | 166,760 | ||||||
| 2,162 | Owens-Illinois, Inc.* | 41,446 | ||||||
| 2,124 | PPG Industries, Inc. | 225,399 | ||||||
|
|
|
|||||||
| 34 | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS VARIABLE INSURANCE TRUST EQUITY INDEX FUND
| Shares | Description | Value | ||||||
|
|
Common Stocks – (continued) |
| ||||||
| Materials – (continued) | ||||||||
| 4,133 | Praxair, Inc. | $ | 449,381 | |||||
| 2,616 | Sealed Air Corp. | 40,391 | ||||||
| 1,700 | Sigma-Aldrich Corp. | 125,681 | ||||||
| 16,213 | The Dow Chemical Co. | 510,709 | ||||||
| 4,100 | The Mosaic Co. | 224,516 | ||||||
| 1,218 | The Sherwin-Williams Co. | 161,202 | ||||||
| 900 | Titanium Metals Corp. | 10,179 | ||||||
| 1,968 | United States Steel Corp. | 40,541 | ||||||
| 1,800 | Vulcan Materials Co. | 71,478 | ||||||
|
|
|
|||||||
| 5,801,639 | ||||||||
|
|
|
|||||||
| Media – 3.4% | ||||||||
| 3,200 | Cablevision Systems Corp. Class A | 42,528 | ||||||
| 8,954 | CBS Corp. Class B | 293,512 | ||||||
| 37,509 | Comcast Corp. Class A | 1,199,163 | ||||||
| 9,039 | DIRECTV Class A* | 441,284 | ||||||
| 3,548 | Discovery Communications, Inc. Class A* | 191,592 | ||||||
| 3,271 | Gannett Co., Inc. | 48,182 | ||||||
| 29,086 | News Corp. Class A | 648,327 | ||||||
| 3,747 | Omnicom Group, Inc. | 182,104 | ||||||
| 1,300 | Scripps Networks Interactive, Inc. Class A | 73,918 | ||||||
| 6,071 | The Interpublic Group of Companies, Inc. | 65,870 | ||||||
| 3,813 | The McGraw-Hill Companies, Inc. | 171,585 | ||||||
| 24,887 | The Walt Disney Co. | 1,207,020 | ||||||
| 63 | The Washington Post Co. Class B | 23,551 | ||||||
| 4,396 | Time Warner Cable, Inc. | 360,912 | ||||||
| 13,435 | Time Warner, Inc. | 517,247 | ||||||
| 7,466 | Viacom, Inc. Class B | 351,051 | ||||||
|
|
|
|||||||
| 5,817,846 | ||||||||
|
|
|
|||||||
| Pharmaceuticals, Biotechnology & Life Sciences – 8.0% | ||||||||
| 21,885 | Abbott Laboratories | 1,410,926 | ||||||
| 4,896 | Agilent Technologies, Inc. | 192,119 | ||||||
| 2,600 | Alexion Pharmaceuticals, Inc.* | 258,180 | ||||||
| 4,211 | Allergan, Inc. | 389,812 | ||||||
| 10,695 | Amgen, Inc. | 781,163 | ||||||
| 3,303 | Biogen Idec, Inc.* | 476,887 | ||||||
| 23,416 | Bristol-Myers Squibb Co. | 841,805 | ||||||
| 6,075 | Celgene Corp.* | 389,772 | ||||||
| 14,166 | Eli Lilly & Co. | 607,863 | ||||||
| 3,681 | Forest Laboratories, Inc.* | 128,798 | ||||||
| 10,503 | Gilead Sciences, Inc.* | 538,594 | ||||||
| 2,290 | Hospira, Inc.* | 80,104 | ||||||
| 38,051 | Johnson & Johnson | 2,570,726 | ||||||
| 2,470 | Life Technologies Corp.* | 111,125 | ||||||
| 42,086 | Merck & Co., Inc. | 1,757,091 | ||||||
| 6,052 | Mylan, Inc.* | 129,331 | ||||||
| 1,500 | PerkinElmer, Inc. | 38,700 | ||||||
| 1,319 | Perrigo Co. | 155,550 | ||||||
| 103,640 | Pfizer, Inc. | 2,383,720 | ||||||
| 5,044 | Thermo Fisher Scientific, Inc. | 261,834 | ||||||
|
|
|
|||||||
|
|
Common Stocks – (continued) |
| ||||||
| Pharmaceuticals, Biotechnology & Life Sciences – (continued) | ||||||||
| 1,209 | Waters Corp.* | $ | 96,079 | |||||
| 1,800 | Watson Pharmaceuticals, Inc.* | 133,182 | ||||||
|
|
|
|||||||
| 13,733,361 | ||||||||
|
|
|
|||||||
| Real Estate – 2.2% | ||||||||
| 5,440 | American Tower Corp. (REIT) | 380,310 | ||||||
| 1,780 | Apartment Investment & Management Co. Class A (REIT) | 48,113 | ||||||
| 1,291 | AvalonBay Communities, Inc. (REIT) | 182,651 | ||||||
| 2,038 | Boston Properties, Inc. (REIT) | 220,858 | ||||||
| 4,500 | CBRE Group, Inc. Class A* | 73,620 | ||||||
| 4,138 | Equity Residential (REIT) | 258,046 | ||||||
| 5,700 | HCP, Inc. (REIT) | 251,655 | ||||||
| 2,700 | Health Care REIT, Inc. (REIT) | 157,410 | ||||||
| 10,052 | Host Hotels & Resorts, Inc. (REIT) | 159,023 | ||||||
| 5,700 | Kimco Realty Corp. (REIT) | 108,471 | ||||||
| 2,300 | Plum Creek Timber Co., Inc. (REIT) | 91,310 | ||||||
| 6,304 | Prologis, Inc. (REIT) | 209,482 | ||||||
| 1,994 | Public Storage (REIT) | 287,953 | ||||||
| 4,251 | Simon Property Group, Inc. (REIT) | 661,711 | ||||||
| 4,043 | Ventas, Inc. (REIT) | 255,194 | ||||||
| 2,622 | Vornado Realty Trust (REIT) | 220,196 | ||||||
| 7,555 | Weyerhaeuser Co. (REIT) | 168,930 | ||||||
|
|
|
|||||||
| 3,734,933 | ||||||||
|
|
|
|||||||
| Retailing – 4.0% | ||||||||
| 1,277 | Abercrombie & Fitch Co. Class A | 43,597 | ||||||
| 4,965 | Amazon.com, Inc.* | 1,133,758 | ||||||
| 672 | AutoNation, Inc.* | 23,708 | ||||||
| 379 | AutoZone, Inc.* | 139,157 | ||||||
| 3,315 | Bed Bath & Beyond, Inc.* | 204,867 | ||||||
| 3,850 | Best Buy Co., Inc. | 80,696 | ||||||
| 900 | Big Lots, Inc.* | 36,711 | ||||||
| 3,200 | CarMax, Inc.* | 83,008 | ||||||
| 3,264 | Dollar Tree, Inc.* | 175,603 | ||||||
| 1,300 | Expedia, Inc. | 62,491 | ||||||
| 1,602 | Family Dollar Stores, Inc. | 106,501 | ||||||
| 1,900 | GameStop Corp. Class A | 34,884 | ||||||
| 2,128 | Genuine Parts Co. | 128,212 | ||||||
| 2,000 | J.C. Penney Co., Inc. | 46,620 | ||||||
| 3,477 | Kohl’s Corp. | 158,169 | ||||||
| 3,427 | Limited Brands, Inc. | 145,750 | ||||||
| 16,202 | Lowe’s Companies, Inc. | 460,785 | ||||||
| 5,798 | Macy’s, Inc. | 199,161 | ||||||
| 800 | Netflix, Inc.* | 54,776 | ||||||
| 2,175 | Nordstrom, Inc. | 108,076 | ||||||
| 1,800 | O’Reilly Automotive, Inc.* | 150,786 | ||||||
| 690 | Priceline.com, Inc.* | 458,519 | ||||||
| 3,156 | Ross Stores, Inc. | 197,155 | ||||||
| 500 | Sears Holdings Corp.* | 29,850 | ||||||
| 9,897 | Staples, Inc. | 129,156 | ||||||
| 9,110 | Target Corp. | 530,111 | ||||||
| 4,650 | The Gap, Inc. | 127,224 | ||||||
| 21,143 | The Home Depot, Inc. | 1,120,368 | ||||||
| 1,800 | Tiffany & Co. | 95,310 | ||||||
|
|
|
|||||||
| The accompanying notes are an integral part of these financial statements. | 35 |
GOLDMAN SACHS VARIABLE INSURANCE TRUST EQUITY INDEX FUND
Schedule of Investments (continued)
June 30, 2012 (Unaudited)
| Shares | Description | Value | ||||||
|
|
Common Stocks – (continued) |
| ||||||
| Retailing – (continued) | ||||||||
| 10,186 | TJX Companies, Inc. | $ | 437,285 | |||||
| 1,200 | TripAdvisor, Inc.* | 53,628 | ||||||
| 1,600 | Urban Outfitters, Inc.* | 44,144 | ||||||
|
|
|
|||||||
| 6,800,066 | ||||||||
|
|
|
|||||||
| Semiconductors & Semiconductor Equipment – 2.3% | ||||||||
| 8,100 | Advanced Micro Devices, Inc.* | 46,413 | ||||||
| 4,570 | Altera Corp. | 154,649 | ||||||
| 4,200 | Analog Devices, Inc. | 158,214 | ||||||
| 18,122 | Applied Materials, Inc. | 207,678 | ||||||
| 6,850 | Broadcom Corp. Class A* | 231,530 | ||||||
| 780 | First Solar, Inc.* | 11,747 | ||||||
| 69,087 | Intel Corp. | 1,841,169 | ||||||
| 2,366 | KLA-Tencor Corp. | 116,525 | ||||||
| 2,785 | Lam Research Corp.* | 105,106 | ||||||
| 3,200 | Linear Technology Corp. | 100,256 | ||||||
| 7,900 | LSI Corp.* | 50,323 | ||||||
| 2,700 | Microchip Technology, Inc. | 89,316 | ||||||
| 13,543 | Micron Technology, Inc.* | 85,456 | ||||||
| 8,450 | NVIDIA Corp.* | 116,779 | ||||||
| 2,800 | Teradyne, Inc.* | 39,368 | ||||||
| 15,972 | Texas Instruments, Inc. | 458,237 | ||||||
| 3,700 | Xilinx, Inc. | 124,209 | ||||||
|
|
|
|||||||
| 3,936,975 | ||||||||
|
|
|
|||||||
| Software & Services – 9.4% | ||||||||
| 8,964 | Accenture PLC Class A | 538,647 | ||||||
| 6,793 | Adobe Systems, Inc.* | 219,889 | ||||||
| 2,600 | Akamai Technologies, Inc.* | 82,550 | ||||||
| 3,200 | Autodesk, Inc.* | 111,968 | ||||||
| 6,800 | Automatic Data Processing, Inc. | 378,488 | ||||||
| 2,200 | BMC Software, Inc.* | 93,896 | ||||||
| 5,204 | CA, Inc. | 140,976 | ||||||
| 2,592 | Citrix Systems, Inc.* | 217,573 | ||||||
| 4,177 | Cognizant Technology Solutions Corp. Class A* | 250,620 | ||||||
| 2,200 | Computer Sciences Corp. | 54,604 | ||||||
| 15,898 | eBay, Inc.* | 667,875 | ||||||
| 4,436 | Electronic Arts, Inc.* | 54,785 | ||||||
| 3,200 | Fidelity National Information Services, Inc. | 109,056 | ||||||
| 1,950 | Fiserv, Inc.* | 140,829 | ||||||
| 3,533 | Google, Inc. Class A* | 2,049,387 | ||||||
| 16,011 | International Business Machines Corp. | 3,131,431 | ||||||
| 4,132 | Intuit, Inc. | 245,234 | ||||||
| 1,475 | Mastercard, Inc. Class A | 634,412 | ||||||
| 103,437 | Microsoft Corp. | 3,164,138 | ||||||
| 53,675 | Oracle Corp. | 1,594,148 | ||||||
| 4,409 | Paychex, Inc. | 138,487 | ||||||
| 2,755 | Red Hat, Inc.* | 155,602 | ||||||
| 3,833 | SAIC, Inc. | 46,456 | ||||||
| 1,900 | Salesforce.com, Inc.* | 262,694 | ||||||
| 10,181 | Symantec Corp.* | 148,744 | ||||||
|
|
|
|||||||
|
|
Common Stocks – (continued) |
| ||||||
| Software & Services – (continued) | ||||||||
| 2,378 | Teradata Corp.* | $ | 171,240 | |||||
| 8,519 | The Western Union Co. | 143,460 | ||||||
| 2,157 | Total System Services, Inc. | 51,617 | ||||||
| 2,206 | VeriSign, Inc.* | 96,116 | ||||||
| 6,902 | Visa, Inc. Class A | 853,294 | ||||||
| 17,100 | Yahoo!, Inc.* | 270,693 | ||||||
|
|
|
|||||||
| 16,218,909 | ||||||||
|
|
|
|||||||
| Technology Hardware & Equipment – 7.9% | ||||||||
| 2,226 | Amphenol Corp. Class A | 122,252 | ||||||
| 12,971 | Apple, Inc.* | 7,575,064 | ||||||
| 74,051 | Cisco Systems, Inc. | 1,271,456 | ||||||
| 20,984 | Corning, Inc. | 271,323 | ||||||
| 20,358 | Dell, Inc.* | 254,882 | ||||||
| 28,468 | EMC Corp.* | 729,635 | ||||||
| 1,134 | F5 Networks, Inc.* | 112,901 | ||||||
| 2,100 | FLIR Systems, Inc. | 40,950 | ||||||
| 1,521 | Harris Corp. | 63,654 | ||||||
| 27,388 | Hewlett-Packard Co. | 550,773 | ||||||
| 2,583 | Jabil Circuit, Inc. | 52,512 | ||||||
| 3,425 | JDS Uniphase Corp.* | 37,675 | ||||||
| 7,500 | Juniper Networks, Inc.* | 122,325 | ||||||
| 970 | Lexmark International, Inc. Class A | 25,783 | ||||||
| 2,025 | Molex, Inc. | 48,478 | ||||||
| 4,154 | Motorola Solutions, Inc. | 199,849 | ||||||
| 5,122 | NetApp, Inc.* | 162,982 | ||||||
| 23,546 | QUALCOMM, Inc. | 1,311,041 | ||||||
| 3,296 | SanDisk Corp.* | 120,238 | ||||||
| 5,200 | Seagate Technology PLC | 128,596 | ||||||
| 5,851 | TE Connectivity Ltd. | 186,705 | ||||||
| 3,312 | Western Digital Corp.* | 100,950 | ||||||
| 18,522 | Xerox Corp. | 145,768 | ||||||
|
|
|
|||||||
| 13,635,792 | ||||||||
|
|
|
|||||||
| Telecommunication Services – 3.2% | ||||||||
| 81,232 | AT&T, Inc. | 2,896,733 | ||||||
| 8,704 | CenturyLink, Inc. | 343,721 | ||||||
| 3,431 | Crown Castle International Corp.* | 201,262 | ||||||
| 13,831 | Frontier Communications Corp. | 52,973 | ||||||
| 4,000 | MetroPCS Communications, Inc.* | 24,200 | ||||||
| 40,727 | Sprint Nextel Corp.* | 132,770 | ||||||
| 39,183 | Verizon Communications, Inc. | 1,741,293 | ||||||
| 7,681 | Windstream Corp. | 74,198 | ||||||
|
|
|
|||||||
| 5,467,150 | ||||||||
|
|
|
|||||||
| Transportation – 1.9% | ||||||||
| 2,330 | C.H. Robinson Worldwide, Inc. | 136,375 | ||||||
| 14,275 | CSX Corp. | 319,189 | ||||||
| 3,014 | Expeditors International of Washington, Inc. | 116,793 | ||||||
| 4,349 | FedEx Corp. | 398,412 | ||||||
| 4,435 | Norfolk Southern Corp. | 318,300 | ||||||
| 800 | Ryder System, Inc. | 28,808 | ||||||
| 10,418 | Southwest Airlines Co. | 96,054 | ||||||
|
|
|
|||||||
| 36 | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS VARIABLE INSURANCE TRUST EQUITY INDEX FUND
| Shares | Description | Value | ||||||
|
|
Common Stocks – (continued) |
| ||||||
| Transportation – (continued) | ||||||||
| 6,659 | Union Pacific Corp. | $ | 794,485 | |||||
| 13,333 | United Parcel Service, Inc. Class B | 1,050,107 | ||||||
|
|
|
|||||||
| 3,258,523 | ||||||||
|
|
|
|||||||
| Utilities – 3.7% | ||||||||
| 1,700 | AGL Resources, Inc. | 65,875 | ||||||
| 3,477 | Ameren Corp. | 116,619 | ||||||
| 6,657 | American Electric Power Co., Inc. | 265,614 | ||||||
| 5,895 | CenterPoint Energy, Inc. | 121,850 | ||||||
| 3,700 | CMS Energy Corp. | 86,950 | ||||||
| 4,030 | Consolidated Edison, Inc. | 250,626 | ||||||
| 7,891 | Dominion Resources, Inc. | 426,114 | ||||||
| 2,350 | DTE Energy Co. | 139,426 | ||||||
| 18,484 | Duke Energy Corp. | 426,241 | ||||||
| 4,470 | Edison International | 206,514 | ||||||
| 2,460 | Entergy Corp. | 167,009 | ||||||
| 11,789 | Exelon Corp. | 443,502 | ||||||
| 5,765 | FirstEnergy Corp. | 283,580 | ||||||
| 1,131 | Integrys Energy Group, Inc. | 64,320 | ||||||
| 5,756 | NextEra Energy, Inc. | 396,070 | ||||||
| 4,000 | NiSource, Inc. | 99,000 | ||||||
| 4,426 | Northeast Utilities | 171,773 | ||||||
| 3,400 | NRG Energy, Inc.* | 59,024 | ||||||
| 2,832 | Oneok, Inc. | 119,822 | ||||||
| 3,170 | Pepco Holdings, Inc. | 62,037 | ||||||
| 5,678 | PG&E Corp. | 257,043 | ||||||
| 1,534 | Pinnacle West Capital Corp. | 79,369 | ||||||
| 7,959 | PPL Corp. | 221,340 | ||||||
| 4,129 | Progress Energy, Inc. | 248,442 | ||||||
| 6,955 | Public Service Enterprise Group, Inc. | 226,037 | ||||||
| 1,546 | SCANA Corp. | 73,961 | ||||||
| 3,385 | Sempra Energy | 233,159 | ||||||
| 2,970 | TECO Energy, Inc. | 53,638 | ||||||
| 8,764 | The AES Corp.* | 112,442 | ||||||
| 12,017 | The Southern Co. | 556,387 | ||||||
|
|
|
|||||||
|
|
Common Stocks – (continued) |
| ||||||
| Utilities – (continued) | ||||||||
| 3,187 | Wisconsin Energy Corp. | $ | 126,110 | |||||
| 6,909 | Xcel Energy, Inc. | 196,285 | ||||||
|
|
|
|||||||
| 6,356,179 | ||||||||
|
|
|
|||||||
|
|
TOTAL COMMON STOCKS |
|||||||
| (Cost $135,812,666) | $ | 170,647,786 | ||||||
|
|
|
|||||||
| Principal Amount |
Interest Rate |
Maturity Date |
Value | |||||||
| U.S. Treasury Obligation(b)(c) – 0.1% | ||||||||||
| United States Treasury Bill | ||||||||||
| $80,000 | 0.000 | % | 08/09/12 | $ | 79,996 | |||||
| (Cost $79,994) | ||||||||||
|
|
||||||||||
| TOTAL INVESTMENTS – 99.6% |
| |||||||||
| (Cost $135,892,660) | $ | 170,727,782 | ||||||||
|
|
||||||||||
| OTHER ASSETS IN EXCESS |
765,858 | |||||||||
|
|
||||||||||
| NET ASSETS – 100.0% |
$ | 171,493,640 | ||||||||
|
|
||||||||||
| 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 a 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. | |
| Investment Abbreviation: | ||
| REIT | —Real Estate Investment Trust | |
ADDITIONAL INVESTMENT INFORMATION
FUTURES CONTRACTS — At June 30, 2012, the Fund had the following futures contracts:
| Type | Number of Contracts Long (Short) |
Expiration Date |
Current Value |
Unrealized Gain (Loss) |
||||||||||
| S&P 500 E-mini Index | 16 | September 2012 | $ | 1,085,120 | $ | 39,428 | ||||||||
| The accompanying notes are an integral part of these financial statements. | 37 |
GOLDMAN SACHS VARIABLE INSURANCE TRUST GOVERNMENT INCOME FUND
Schedule of Investments
June 30, 2012 (Unaudited)
| Principal Amount |
Interest Rate |
Maturity Date |
Value | |||||||||
|
|
Mortgage-Backed Obligations – 56.3% |
| ||||||||||
| Adjustable Rate Non-Agency(a) – 0.7% | ||||||||||||
| Harborview Mortgage Loan Trust Series 2006-6, Class 3A1A | ||||||||||||
| $ | 334,890 | 2.849% | 08/19/36 | $ | 183,417 | |||||||
| J.P. Morgan Mortgage Trust Series 2007-A1, Class 2A2 | ||||||||||||
| 311,804 | 2.764 | 07/25/35 | 286,742 | |||||||||
|
|
|
|||||||||||
| 470,159 | ||||||||||||
|
|
|
|||||||||||
| Collateralized Mortgage Obligations – 5.8% | ||||||||||||
| Agency Multi-Family – 3.9% | ||||||||||||
| |
FHLMC REMIC Structured Pass-Through Certificates |
| ||||||||||
| $ | 300,000 | 2.699% | 05/25/18 | $ | 315,921 | |||||||
| |
FHLMC REMIC Structured Pass-Through Certificates |
| ||||||||||
| 300,000 | 2.303 | 09/25/18 | 309,997 | |||||||||
| FNMA | ||||||||||||
| 195,230 | 2.800 | 03/01/18 | 206,700 | |||||||||
| 492,868 | 3.740 | 05/01/18 | 545,782 | |||||||||
| 110,000 | 3.840 | 05/01/18 | 120,981 | |||||||||
| 400,000 | 4.506 | 06/01/19 | 452,448 | |||||||||
| 98,096 | 3.416 | 10/01/20 | 105,975 | |||||||||
| 98,155 | 3.632 | 12/01/20 | 107,338 | |||||||||
| 393,125 | 3.763 | 12/01/20 | 432,626 | |||||||||
| GNMA | ||||||||||||
| 89,479 | 3.950 | 07/15/25 | 97,373 | |||||||||
|
|
|
|||||||||||
| 2,695,141 | ||||||||||||
|
|
|
|||||||||||
| Regular Floater(a) – 0.6% | ||||||||||||
| |
National Credit Union Administration Guaranteed Notes |
| ||||||||||
| 400,000 | 0.261 | 06/12/13 | 400,000 | |||||||||
|
|
|
|||||||||||
| Sequential Fixed Rate – 1.3% | ||||||||||||
| Banc of America Funding Corp. Series 2007-8, Class 2A1 | ||||||||||||
| 511,555 | 7.000 | 10/25/37 | 299,059 | |||||||||
| |
National Credit Union Administration Guaranteed Notes |
| ||||||||||
| 284,873 | 2.650 | 10/29/20 | 297,969 | |||||||||
| |
National Credit Union Administration Guaranteed Notes |
| ||||||||||
| 300,000 | 3.000 | 06/12/19 | 323,535 | |||||||||
|
|
|
|||||||||||
| 920,563 | ||||||||||||
|
|
|
|||||||||||
| |
TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS |
|
$ | 4,015,704 | ||||||||
|
|
|
|||||||||||
| Federal Agencies – 49.8% | ||||||||||||
| Adjustable Rate FHLMC(a) – 0.6% | ||||||||||||
| $ | 381,190 | 2.375% | 09/01/35 | $ | 404,131 | |||||||
|
|
|
|||||||||||
| Adjustable Rate FNMA(a) – 1.3% | ||||||||||||
| 157,993 | 2.342 | 05/01/33 | 164,812 | |||||||||
| 411,363 | 2.332 | 05/01/35 | 434,539 | |||||||||
| 251,571 | 2.627 | 12/01/35 | 268,723 | |||||||||
|
|
|
|||||||||||
| 868,074 | ||||||||||||
|
|
|
|||||||||||
|
|
Mortgage-Backed Obligations – (continued) |
| ||||||||||
| FHLMC – 0.0% | ||||||||||||
| $ | 2,423 | 10.000% | 03/01/21 | $ | 2,856 | |||||||
|
|
|
|||||||||||
| FNMA – 46.3% | ||||||||||||
| 45,166 | 5.000 | 03/01/18 | 48,606 | |||||||||
| 20,588 | 5.000 | 06/01/18 | 22,157 | |||||||||
| 453,402 | 5.500 | 03/01/19 | 492,110 | |||||||||
| 9,900 | 8.000 | 09/01/21 | 11,505 | |||||||||
| 9,516 | 5.000 | 04/01/23 | 10,268 | |||||||||
| 29,921 | 5.000 | 06/01/23 | 32,286 | |||||||||
| 496,028 | 5.500 | 05/01/25 | 539,709 | |||||||||
| 275,208 | 4.000 | 10/01/31 | 296,069 | |||||||||
| 2,561 | 6.000 | 05/01/33 | 2,846 | |||||||||
| 13,666 | 5.000 | 08/01/33 | 14,902 | |||||||||
| 1,326 | 6.000 | 12/01/33 | 1,481 | |||||||||
| 1,050 | 6.000 | 12/01/34 | 1,164 | |||||||||
| 34,104 | 5.000 | 04/01/35 | 37,167 | |||||||||
| 958 | 6.000 | 04/01/35 | 1,058 | |||||||||
| 3,522 | 6.000 | 02/01/36 | 3,889 | |||||||||
| 9,575 | 6.500 | 03/01/36 | 10,801 | |||||||||
| 69,565 | 4.000 | 04/01/39 | 74,006 | |||||||||
| 65,127 | 4.000 | 05/01/39 | 69,284 | |||||||||
| 19,425 | 4.000 | 08/01/39 | 20,665 | |||||||||
| 79,632 | 4.500 | 02/01/40 | 85,458 | |||||||||
| 99,166 | 4.500 | 04/01/40 | 106,421 | |||||||||
| 1,897,347 | 4.500 | 05/01/40 | 2,036,167 | |||||||||
| 455,109 | 4.000 | 08/01/40 | 484,523 | |||||||||
| 1,894,121 | 4.500 | 08/01/40 | 2,032,705 | |||||||||
| 415,254 | 4.000 | 09/01/40 | 442,092 | |||||||||
| 941,785 | 4.500 | 09/01/40 | 1,010,691 | |||||||||
| 290,342 | 4.000 | 10/01/40 | 309,107 | |||||||||
| 976,831 | 4.000 | 11/01/40 | 1,039,965 | |||||||||
| 923,556 | 4.000 | 12/01/40 | 983,247 | |||||||||
| 237,101 | 4.000 | 01/01/41 | 252,425 | |||||||||
| 107,355 | 5.000 | 02/01/41 | 116,913 | |||||||||
| 75,236 | 4.000 | 03/01/41 | 80,140 | |||||||||
| 783,603 | 4.500 | 05/01/41 | 842,495 | |||||||||
| 89,205 | 5.000 | 05/01/41 | 96,626 | |||||||||
| 72,113 | 4.000 | 07/01/41 | 76,814 | |||||||||
| 106,794 | 4.000 | 09/01/41 | 113,755 | |||||||||
| 306,615 | 4.000 | 10/01/41 | 326,603 | |||||||||
| 613,664 | 5.000 | 10/01/41 | 666,089 | |||||||||
| 481,230 | 4.000 | 11/01/41 | 512,601 | |||||||||
| 472,315 | 4.000 | 12/01/41 | 503,105 | |||||||||
| 33,389 | 4.000 | 01/01/42 | 35,566 | |||||||||
| 200,000 | 4.000 | 06/01/42 | 215,844 | |||||||||
| 3,000,000 | 2.500 | TBA-15yr | (b) | 3,092,578 | ||||||||
| 2,000,000 | 3.000 | TBA-30yr | (b) | 2,050,781 | ||||||||
| 10,000,000 | 3.500 | TBA-30yr | (b) | 10,483,360 | ||||||||
| 2,100,000 | 4.000 | TBA-30yr | (b) | 2,232,914 | ||||||||
|
|
|
|||||||||||
| 31,918,958 | ||||||||||||
|
|
|
|||||||||||
| 38 | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS VARIABLE INSURANCE TRUST GOVERNMENT INCOME FUND
| Principal Amount |
Interest Rate |
Maturity Date |
Value | |||||||||
|
|
Mortgage-Backed Obligations – (continued) |
| ||||||||||
| GNMA – 1.6% | ||||||||||||
| $1,000,000 | 4.000% | TBA-30yr | (b) | $ | 1,092,266 | |||||||
|
|
|
|||||||||||
|
|
TOTAL FEDERAL AGENCIES |
|
$ | 34,286,285 | ||||||||
|
|
|
|||||||||||
| TOTAL MORTGAGE-BACKED OBLIGATIONS | ||||||||||||
| (Cost $38,684,031) | $ | 38,772,148 | ||||||||||
|
|
|
|||||||||||
|
|
Agency Debentures – 17.5% |
| ||||||||||
| FFCB | ||||||||||||
| $ | 500,000 | 5.400% | 06/08/17 | $ | 599,636 | |||||||
| FHLB | ||||||||||||
| 800,000 | 1.750 | 12/14/12 | 805,462 | |||||||||
| 800,000 | 0.210 | 01/04/13 | 799,957 | |||||||||
| 3,400,000 | 0.375 | 01/29/14 | 3,401,978 | |||||||||
| 200,000 | 5.625 | 06/11/21 | 258,457 | |||||||||
| FHLMC | ||||||||||||
| 700,000 | 0.500 | 01/24/14 | 699,036 | |||||||||
| 1,000,000 | 1.375 | 02/25/14 | 1,016,844 | |||||||||
| 500,000 | 0.375 | 02/27/14 | 500,258 | |||||||||
| 1,500,000 | 4.500 | 04/02/14 | 1,606,285 | |||||||||
| 500,000 | 1.000 | 03/08/17 | 502,027 | |||||||||
| 100,000 | 1.250 | 05/12/17 | 101,411 | |||||||||
| 300,000 | 1.000 | 06/29/17 | 300,379 | |||||||||
| 200,000 | 1.000 | 07/28/17 | 200,078 | |||||||||
| 300,000 | 2.375 | 01/13/22 | 308,229 | |||||||||
| FNMA | ||||||||||||
| 500,000 | 1.125 | 04/27/17 | 504,788 | |||||||||
| Tennessee Valley Authority | ||||||||||||
| 300,000 | 5.375 | 04/01/56 | 412,884 | |||||||||
|
|
|
|||||||||||
| TOTAL AGENCY DEBENTURES | ||||||||||||
| (Cost $11,660,296) | $ | 12,017,709 | ||||||||||
|
|
|
|||||||||||
|
|
Asset-Backed Securities – 0.6% |
| ||||||||||
| Home Equity – 0.1% | ||||||||||||
| GMAC Mortgage Corp. Loan Trust Series 2007-HE3, Class 1A1 | ||||||||||||
| $ | 36,484 | 7.000% | 09/25/37 | $ | 28,703 | |||||||
| GMAC Mortgage Corp. Loan Trust Series 2007-HE3, Class 2A1 | ||||||||||||
| 49,983 | 7.000 | 09/25/37 | 37,071 | |||||||||
|
|
|
|||||||||||
| 65,774 | ||||||||||||
|
|
|
|||||||||||
| Student Loans(a) – 0.5% | ||||||||||||
| Brazos Higher Education Authority Series 2005-3, Class A14 | ||||||||||||
| 111,628 | 0.578 | 09/25/23 | 111,354 | |||||||||
| SLM Student Loan Trust Series 2012-2, Class A | ||||||||||||
| 262,815 | 0.945 | 01/25/29 | 264,681 | |||||||||
|
|
|
|||||||||||
| 376,035 | ||||||||||||
|
|
|
|||||||||||
| TOTAL ASSET-BACKED SECURITIES | ||||||||||||
| (Cost $459,118) | $ | 441,809 | ||||||||||
|
|
|
|||||||||||
|
|
Government Guarantee Obligations – 7.9% |
| ||||||||||
| Ally Financial, Inc.(c) | ||||||||||||
| $ | 1,100,000 | 1.750% | 10/30/12 | $ | 1,105,370 | |||||||
| Citigroup Funding, Inc.(c) | ||||||||||||
| 1,300,000 | 1.875 | 10/22/12 | 1,306,387 | |||||||||
| 600,000 | 1.875 | 11/15/12 | 603,802 | |||||||||
| Private Export Funding Corp.(d) | ||||||||||||
| 2,000,000 | 3.550 | 04/15/13 | 2,051,634 | |||||||||
| U.S. Central Federal Credit Union(c) | ||||||||||||
| 400,000 | 1.900 | 10/19/12 | 402,016 | |||||||||
|
|
|
|||||||||||
| TOTAL GOVERNMENT GUARANTEE OBLIGATIONS | ||||||||||||
| (Cost $5,428,514) | $ | 5,469,209 | ||||||||||
|
|
|
|||||||||||
|
|
U.S. Treasury Obligations – 22.1% |
| ||||||||||
| United States Treasury Bonds | ||||||||||||
| $ | 100,000 | 4.250% | 05/15/39 | $ | 130,500 | |||||||
| 100,000 | 4.375 | 11/15/39 | 133,087 | |||||||||
| 800,000 | 4.375 | 05/15/41 | 1,067,872 | |||||||||
| 100,000 | 3.750 | 08/15/41 | 120,512 | |||||||||
| 100,000 | 3.125 | 02/15/42 | 107,358 | |||||||||
| 100,000 | 3.000 | 05/15/42 | 104,703 | |||||||||
| United States Treasury Inflation-Protected Securities | ||||||||||||
| 488,252 | 2.000 | 07/15/14 | 517,698 | |||||||||
| 120,498 | 1.625 | 01/15/15 | 128,160 | |||||||||
| 236,580 | 1.875 | 07/15/15 | 257,539 | |||||||||
| 101,825 | 0.750 | 02/15/42 | 107,187 | |||||||||
| United States Treasury Notes | ||||||||||||
| 1,500,000 | 0.250(e) | 11/30/13 | 1,498,980 | |||||||||
| 1,000,000 | 0.750 | 12/15/13 | 1,006,460 | |||||||||
| 700,000 | 0.250 | 04/30/14 | 699,125 | |||||||||
| 300,000 | 0.625 | 07/15/14 | 301,719 | |||||||||
| 1,000,000 | 0.375 | 03/15/15 | 999,430 | |||||||||
| 4,400,000 | 1.750 | 07/31/15 | 4,574,548 | |||||||||
| 200,000 | 0.625 | 05/31/17 | 199,074 | |||||||||
| 700,000 | 0.750 | 06/30/17 | 700,686 | |||||||||
| 300,000 | 1.375 | 12/31/18 | 306,714 | |||||||||
| 500,000 | 1.125 | 05/31/19 | 500,775 | |||||||||
| 500,000 | 1.000 | 06/30/19 | 496,015 | |||||||||
| 1,100,000 | 2.000 | 11/15/21 | 1,140,282 | |||||||||
| 100,000 | 1.750 | 05/15/22 | 100,805 | |||||||||
|
|
|
|||||||||||
| TOTAL U.S. TREASURY OBLIGATIONS | ||||||||||||
| (Cost $14,945,317) | $ | 15,199,229 | ||||||||||
|
|
|
|||||||||||
| TOTAL INVESTMENTS – 104.4% | ||||||||||||
| (Cost $71,177,276) | $ | 71,900,104 | ||||||||||
|
|
|
|||||||||||
| |
LIABILITIES IN EXCESS OF |
|
(3,035,116 | ) | ||||||||
|
|
|
|||||||||||
|
|
NET ASSETS – 100.0% |
|
$ | 68,864,988 | ||||||||
|
|
|
|||||||||||
| The accompanying notes are an integral part of these financial statements. | 39 |
GOLDMAN SACHS VARIABLE INSURANCE TRUST GOVERNMENT INCOME FUND
Schedule of Investments (continued)
June 30, 2012 (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, 2012. | |
| (b) | 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 $18,951,899 which represents approximately 27.5% of net assets as of June 30, 2012. | |
| (c) | 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 December 31, 2012. | |
| (d) | Guaranteed by the Export/Import Bank of the United States. Total market value for this security amounts to $2,051,634, which represents approximately 3.0% of net assets as of June 30, 2012. | |
| (e) | All or a portion of security is segregated as collateral for initial margin requirements on futures transactions. | |
| 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 | |
| REMIC | — Real Estate Mortgage Investment Conduit | |
| 40 | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS VARIABLE INSURANCE TRUST GOVERNMENT INCOME FUND
ADDITIONAL INVESTMENT INFORMATION
FORWARD SALES CONTRACTS — At June 30, 2012, the Fund had the following forward sales contracts:
| Description | Interest Rate |
Maturity Date(b) |
Settlement Date |
Principal Amount |
Value | |||||||||||||
| FNMA (Proceeds Receivable: $3,193,438) | 4.000 | % | TBA-30yr | 07/12/12 | $ | (3,000,000 | ) | $ | (3,192,891 | ) | ||||||||
FUTURES CONTRACTS — At June 30, 2012, the Fund had the following futures contracts:
| Type | Number of Contracts Long (Short) |
Expiration Date |
Current Value |
Unrealized Gain (Loss) |
||||||||||
| Eurodollars | 16 | March 2014 | $ | 3,974,800 | $ | 7,605 | ||||||||
| Eurodollars | 32 | September 2014 | 7,941,600 | 33,162 | ||||||||||
| Eurodollars | (16 | ) | March 2015 | (3,964,200 | ) | (18,276 | ) | |||||||
| Eurodollars | (32 | ) | September 2015 | (7,909,600 | ) | (58,212 | ) | |||||||
| U.S. Ultra Long Treasury Bonds | 9 | September 2012 | 1,501,594 | 15,437 | ||||||||||
| 5 Year U.S. Treasury Notes | 41 | September 2012 | 5,082,719 | (486 | ) | |||||||||
| 10 Year U.S. Treasury Notes | 20 | September 2012 | 2,667,500 | (8,609 | ) | |||||||||
| TOTAL | $ | (29,379 | ) | |||||||||||
| The accompanying notes are an integral part of these financial statements. | 41 |
GOLDMAN SACHS VARIABLE INSURANCE TRUST GROWTH OPPORTUNITIES FUND
Schedule of Investments
June 30, 2012 (Unaudited)
| Shares | Description | Value | ||||||
| Common Stocks – 99.2% | ||||||||
|
|
Banks – 1.6% |
| ||||||
| 80,353 | First Republic Bank* | $ | 2,699,861 | |||||
|
|
|
|||||||
| Capital Goods – 6.3% | ||||||||
| 27,741 | Graco, Inc. | 1,278,305 | ||||||
| 71,906 | Kennametal, Inc. | 2,383,684 | ||||||
| 114,115 | Quanta Services, Inc.* | 2,746,748 | ||||||
| 26,724 | Rockwell Automation, Inc. | 1,765,387 | ||||||
| 25,141 | Roper Industries, Inc. | 2,478,400 | ||||||
|
|
|
|||||||
| 10,652,524 | ||||||||
|
|
|
|||||||
| Commercial & Professional Services – 1.4% | ||||||||
| 111,618 | Ritchie Bros Auctioneers, Inc. | 2,371,882 | ||||||
|
|
|
|||||||
| Consumer Durables & Apparel – 5.9% | ||||||||
| 40,866 | Deckers Outdoor Corp.* | 1,798,513 | ||||||
| 8,968 | Lululemon Athletica, Inc.* | 534,762 | ||||||
| 163,372 | Newell Rubbermaid, Inc. | 2,963,568 | ||||||
| 48,161 | PVH Corp. | 3,746,444 | ||||||
| 6,870 | Ralph Lauren Corp. | 962,212 | ||||||
|
|
|
|||||||
| 10,005,499 | ||||||||
|
|
|
|||||||
| Consumer Services – 4.2% | ||||||||
| 39,389 | Coinstar, Inc.* | 2,704,449 | ||||||
| 35,422 | Dunkin’ Brands Group, Inc. | 1,216,391 | ||||||
| 80,974 | Marriott International, Inc. Class A | 3,174,181 | ||||||
|
|
|
|||||||
| 7,095,021 | ||||||||
|
|
|
|||||||
| Diversified Financials – 8.0% | ||||||||
| 20,818 | IntercontinentalExchange, Inc.* | 2,830,832 | ||||||
| 64,939 | Lazard Ltd. Class A | 1,687,765 | ||||||
| 89,498 | MSCI, Inc. Class A* | 3,044,722 | ||||||
| 60,632 | Northern Trust Corp. | 2,790,285 | ||||||
| 59,768 | SLM Corp. | 938,955 | ||||||
| 36,335 | T. Rowe Price Group, Inc. | 2,287,651 | ||||||
|
|
|
|||||||
| 13,580,210 | ||||||||
|
|
|
|||||||
|
|
Energy – 7.4% |
| ||||||
| 72,183 | Cameron International Corp.* | 3,082,936 | ||||||
| 11,431 | Core Laboratories NV | 1,324,853 | ||||||
| 25,820 | Dril-Quip, Inc.* | 1,693,534 | ||||||
| 22,401 | Pioneer Natural Resources Co. | 1,975,992 | ||||||
| 33,594 | Rosetta Resources, Inc.* | 1,230,884 | ||||||
| 36,254 | Southwestern Energy Co.* | 1,157,590 | ||||||
| 49,346 | Whiting Petroleum Corp.* | 2,029,108 | ||||||
|
|
|
|||||||
| 12,494,897 | ||||||||
|
|
|
|||||||
| Food, Beverage & Tobacco – 1.8% | ||||||||
| 18,217 | The Hain Celestial Group, Inc.* | 1,002,664 | ||||||
| 32,822 | TreeHouse Foods, Inc.* | 2,044,482 | ||||||
|
|
|
|||||||
| 3,047,146 | ||||||||
|
|
|
|||||||
| Health Care Equipment & Services – 8.1% | ||||||||
| 32,968 | C. R. Bard, Inc. | 3,542,082 | ||||||
| 93,905 | CareFusion Corp.* | 2,411,480 | ||||||
| 16,761 | Edwards Lifesciences Corp.* | 1,731,411 | ||||||
| 36,093 | Henry Schein, Inc.* | 2,832,940 | ||||||
|
|
|
|||||||
| Common Stocks – (continued) | ||||||||
| Health Care Equipment & Services – (continued) | ||||||||
| 30,612 | HMS Holdings Corp.* | $ | 1,019,686 | |||||
| 56,423 | St. Jude Medical, Inc. | 2,251,842 | ||||||
|
|
|
|||||||
| 13,789,441 | ||||||||
|
|
|
|||||||
| Household & Personal Products – 1.6% | ||||||||
| 79,148 | Avon Products, Inc. | 1,282,989 | ||||||
| 12,619 | Church & Dwight Co., Inc. | 699,976 | ||||||
| 12,030 | The Estee Lauder Companies, Inc. Class A | 651,064 | ||||||
|
|
|
|||||||
| 2,634,029 | ||||||||
|
|
|
|||||||
| Insurance – 0.8% | ||||||||
| 50,514 | Principal Financial Group, Inc. | 1,324,982 | ||||||
|
|
|
|||||||
| Materials – 3.8% | ||||||||
| 28,608 | Airgas, Inc. | 2,403,358 | ||||||
| 37,622 | Ecolab, Inc. | 2,578,236 | ||||||
| 26,675 | International Flavors & Fragrances, Inc. | 1,461,790 | ||||||
|
|
|
|||||||
| 6,443,384 | ||||||||
|
|
|
|||||||
| Media – 3.3% | ||||||||
| 28,184 | Discovery Communications, Inc. Class A* | 1,521,936 | ||||||
| 59,000 | Pandora Media, Inc.* | 641,330 | ||||||
| 59,024 | Scripps Networks Interactive, Inc. Class A | 3,356,105 | ||||||
|
|
|
|||||||
| 5,519,371 | ||||||||
|
|
|
|||||||
| Pharmaceuticals, Biotechnology & Life Sciences – 6.1% | ||||||||
| 69,497 | Agilent Technologies, Inc. | 2,727,062 | ||||||
| 11,366 | Alexion Pharmaceuticals, Inc.* | 1,128,644 | ||||||
| 42,899 | Amylin Pharmaceuticals, Inc.* | 1,211,039 | ||||||
| 21,959 | BioMarin Pharmaceutical, Inc.* | 869,137 | ||||||
| 7,140 | Mettler-Toledo International, Inc.* | 1,112,769 | ||||||
| 16,313 | Shire PLC ADR | 1,409,280 | ||||||
| 35,200 | Vertex Pharmaceuticals, Inc.* | 1,968,384 | ||||||
|
|
|
|||||||
| 10,426,315 | ||||||||
|
|
|
|||||||
| Real Estate – 1.6% | ||||||||
| 166,726 | CBRE Group, Inc. Class A* | 2,727,637 | ||||||
|
|
|
|||||||
| Retailing – 8.2% | ||||||||
| 27,626 | Bed Bath & Beyond, Inc.* | 1,707,287 | ||||||
| 37,494 | Dick’s Sporting Goods, Inc. | 1,799,712 | ||||||
| 30,864 | Family Dollar Stores, Inc. | 2,051,839 | ||||||
| 54,818 | PetSmart, Inc. | 3,737,491 | ||||||
| 24,069 | Tiffany & Co. | 1,274,454 | ||||||
| 121,728 | Urban Outfitters, Inc.* | 3,358,475 | ||||||
|
|
|
|||||||
| 13,929,258 | ||||||||
|
|
|
|||||||
| Semiconductors & Semiconductor Equipment – 4.7% | ||||||||
| 49,307 | Altera Corp. | 1,668,549 | ||||||
| 48,336 | Linear Technology Corp. | 1,514,367 | ||||||
| 130,650 | NVIDIA Corp.* | 1,805,583 | ||||||
| 87,758 | Xilinx, Inc. | 2,946,036 | ||||||
|
|
|
|||||||
| 7,934,535 | ||||||||
|
|
|
|||||||
| 42 | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS VARIABLE INSURANCE TRUST GROWTH OPPORTUNITIES FUND
| Shares | Description | Value | ||||||
| Common Stocks – (continued) | ||||||||
| Software & Services – 11.9% | ||||||||
| 25,746 | Citrix Systems, Inc.* | $ | 2,161,119 | |||||
| 13,203 | Cognizant Technology Solutions Corp. Class A* | 792,180 | ||||||
| 19,350 | Equinix, Inc.* | 3,398,828 | ||||||
| 48,801 | FleetCor Technologies, Inc.* | 1,709,987 | ||||||
| 110,052 | Genpact Ltd.* | 1,830,165 | ||||||
| 45,003 | MICROS Systems, Inc.* | 2,304,154 | ||||||
| 66,045 | Rackspace Hosting, Inc.* | 2,902,017 | ||||||
| 37,890 | Rovi Corp.* | 743,402 | ||||||
| 18,190 | Salesforce.com, Inc.* | 2,514,949 | ||||||
| 54,357 | VeriFone Systems, Inc.* | 1,798,673 | ||||||
|
|
|
|||||||
| 20,155,474 | ||||||||
|
|
|
|||||||
| Technology Hardware & Equipment – 5.3% | ||||||||
| 60,715 | Amphenol Corp. Class A | 3,334,468 | ||||||
| 83,886 | Juniper Networks, Inc.* | 1,368,181 | ||||||
| 83,202 | NetApp, Inc.* | 2,647,487 | ||||||
| 107,303 | RealD, Inc.* | 1,605,253 | ||||||
|
|
|
|||||||
| 8,955,389 | ||||||||
|
|
|
|||||||
| Telecommunication Services – 6.6% | ||||||||
| 46,837 | Crown Castle International Corp.* | 2,747,458 | ||||||
| 91,404 | SBA Communications Corp. Class A* | 5,214,598 | ||||||
| 128,095 | tw telecom, inc.* | 3,286,918 | ||||||
|
|
|
|||||||
| 11,248,974 | ||||||||
|
|
|
|||||||
| Transportation – 0.6% | ||||||||
| 18,742 | C.H. Robinson Worldwide, Inc. | 1,096,969 | ||||||
|
|
|
|||||||
|
|
TOTAL INVESTMENTS – 99.2% |
|||||||
| (Cost $150,604,363) | $ | 168,132,798 | ||||||
|
|
|
|||||||
| |
OTHER ASSETS IN EXCESS |
1,350,784 | ||||||
|
|
|
|||||||
|
|
NET ASSETS – 100.0% |
$ | 169,483,582 | |||||
|
|
|
|||||||
| 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. | |
| Investment Abbreviation: | ||
| ADR | —American Depositary Receipt | |
| The accompanying notes are an integral part of these financial statements. | 43 |
GOLDMAN SACHS VARIABLE INSURANCE TRUST FUNDS
Statements of Assets and Liabilities
June 30, 2012 (Unaudited)
| Core Fixed Income Fund |
Equity Index Fund |
Government Fund |
Growth Opportunities Fund |
|||||||||||||
| Assets: | ||||||||||||||||
| Investments, at value (cost $158,453,762, $135,892,660, $71,177,276 and $150,604,363) |
$ | 161,524,803 | $ | 170,727,782 | $ | 71,900,104 | $ | 168,132,798 | ||||||||
| Cash |
16,147,986 | 254,973 | 16,122,062 | 1,209,481 | ||||||||||||
| Receivables: |
||||||||||||||||
| Investments sold on an extended-settlement basis |
59,364,240 | — | 24,264,943 | — | ||||||||||||
| Interest and dividends |
816,773 | 221,819 | 192,173 | 83,981 | ||||||||||||
| Investments sold |
348,594 | 647,311 | — | 1,624,129 | ||||||||||||
| Unrealized gain on forward foreign currency exchange contracts |
33,971 | — | — | — | ||||||||||||
| Fund shares sold |
16,318 | 54,186 | 119,168 | 2,578 | ||||||||||||
| Futures variation margin |
— | 27,200 | — | — | ||||||||||||
| Other assets |
1,844 | 1,075 | 593 | 1,058 | ||||||||||||
| Total assets | 238,254,529 | 171,934,346 | 112,599,043 | 171,054,025 | ||||||||||||
| Liabilities: | ||||||||||||||||
| Payables: |
||||||||||||||||
| Investments purchased on an extended-settlement basis |
91,919,750 | — | 39,157,102 | — | ||||||||||||
| Investments purchased |
1,835,523 | 272,646 | 1,197,411 | 1,245,222 | ||||||||||||
| Forward sale contracts, at value (proceeds receivable $1,071,250, $0, $3,193,438 and $0) |
1,072,734 | — | 3,192,891 | — | ||||||||||||
| Amounts owed to affiliates |
94,248 | 82,783 | 65,201 | 169,809 | ||||||||||||
| Fund shares redeemed |
77,668 | 30,306 | 14,501 | 87,754 | ||||||||||||
| Unrealized loss on forward foreign currency exchange contracts |
72,737 | — | — | — | ||||||||||||
| Futures variation margin |
30,553 | — | 42,499 | — | ||||||||||||
| Accrued expenses |
79,286 | 54,971 | 64,450 | 67,658 | ||||||||||||
| Total liabilities | 95,182,499 | 440,706 | 43,734,055 | 1,570,443 | ||||||||||||
| Net Assets: | ||||||||||||||||
| Paid-in capital |
147,339,259 | 153,638,794 | 66,831,472 | 140,189,534 | ||||||||||||
| Undistributed (distributions in excess of) net investment income (loss) |
(370,202 | ) | 1,765,408 | (121,208 | ) | (371,713 | ) | |||||||||
| Accumulated net realized gain (loss) |
(6,907,877 | ) | (18,785,112 | ) | 1,460,728 | 12,137,326 | ||||||||||
| Net unrealized gain |
3,010,850 | 34,874,550 | 693,996 | 17,528,435 | ||||||||||||
| NET ASSETS | $ | 143,072,030 | $ | 171,493,640 | $ | 68,864,988 | $ | 169,483,582 | ||||||||
| Total Service Shares of beneficial interest outstanding $0.001 par value (unlimited shares authorized): |
13,469,872 | 16,890,424 | 6,354,615 | 23,957,656 | ||||||||||||
| Net asset value, offering and redemption price per share: |
$10.62 | $10.15 | $10.84 | $7.07 | ||||||||||||
| 44 | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS VARIABLE INSURANCE TRUST FUNDS
Statements of Operations
For the Six Months Ended June 30, 2012 (Unaudited)
| Core Fixed Income Fund |
Equity Index Fund |
Government Fund |
Growth Opportunities Fund |
|||||||||||||
| Investment income: | ||||||||||||||||
| Interest |
$ | 1,732,362 | $ | — | $ | 447,726 | $ | — | ||||||||
| Dividends (net of foreign taxes withheld of $4,659 for the Growth Opportunities Fund) |
— | 1,898,339 | — | 582,008 | ||||||||||||
| Total investment income | 1,732,362 | 1,898,339 | 447,726 | 582,008 | ||||||||||||
| Expenses: | ||||||||||||||||
| Management fees |
290,440 | 261,386 | 181,544 | 860,175 | ||||||||||||
| Distribution and Service fees |
181,524 | 217,822 | 84,048 | 215,044 | ||||||||||||
| Professional fees |
42,952 | 37,077 | 37,734 | 38,581 | ||||||||||||
| Custody and accounting fees |
29,225 | 22,468 | 15,075 | 21,242 | ||||||||||||
| Transfer Agent fees |
14,521 | 17,424 | 6,723 | 17,202 | ||||||||||||
| Trustee fees |
7,795 | 7,822 | 7,707 | 7,822 | ||||||||||||
| Printing and mailing costs |
5,100 | 4,890 | 4,072 | 5,356 | ||||||||||||
| Other |
877 | 15,328 | 2,284 | 3,642 | ||||||||||||
| Total expenses | 572,434 | 584,217 | 339,187 | 1,169,064 | ||||||||||||
| Less — expense reductions |
(86,832 | ) | (162,889 | ) | (72,539 | ) | (177,376 | ) | ||||||||
| Net expenses | 485,602 | 421,328 | 266,648 | 991,688 | ||||||||||||
| NET INVESTMENT INCOME (LOSS) | 1,246,760 | 1,477,011 | 181,078 | (409,680 | ) | |||||||||||
| Realized and unrealized gain (loss): | ||||||||||||||||
| Net realized gain from: |
||||||||||||||||
| Investments (including commissions recaptured of $6,329 for the Growth Opportunities Fund) |
1,361,048 | 3,165,827 | 640,381 | 9,018,397 | ||||||||||||
| Futures contracts |
772,476 | 110,603 | 409,630 | — | ||||||||||||
| Forward foreign currency exchange contracts |
25,316 | — | — | — | ||||||||||||
| Foreign currency transactions |
32,941 | — | — | — | ||||||||||||
| Net change in unrealized gain (loss) on: |
||||||||||||||||
| Investments |
1,398,772 | 10,741,471 | 65,585 | 9,968,688 | ||||||||||||
| Futures contracts |
(132,396 | ) | 36,359 | (85,486 | ) | — | ||||||||||
| Forward foreign currency exchange contracts |
(25,907 | ) | — | — | — | |||||||||||
| Foreign currency translation |
497 | — | — | — | ||||||||||||
| Net realized and unrealized gain | 3,432,747 | 14,054,260 | 1,030,110 | 18,987,085 | ||||||||||||
| NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS | $ | 4,679,507 | $ | 15,531,271 | $ | 1,211,188 | $ | 18,577,405 | ||||||||
| The accompanying notes are an integral part of these financial statements. | 45 |
GOLDMAN SACHS VARIABLE INSURANCE TRUST FUNDS
Statements of Changes in Net Assets
| Core Fixed Income Fund | ||||||||
| For the Six Months Ended June 30, 2012 (Unaudited) |
For the Fiscal Year Ended December 31, 2011 |
|||||||
| From operations: | ||||||||
| Net investment income (loss) |
$ | 1,246,760 | $ | 3,537,938 | ||||
| Net realized gain |
2,191,781 | 6,930,049 | ||||||
| Net change in unrealized gain (loss) |
1,240,966 | 159,539 | ||||||
| Net increase in net assets resulting from operations | 4,679,507 | 10,627,526 | ||||||
| Distributions to shareholders: | ||||||||
| From net investment income |
(1,980,897 | ) | (3,977,951 | ) | ||||
| From net realized gains |
— | — | ||||||
| Total distributions to shareholders | (1,980,897 | ) | (3,977,951 | ) | ||||
| From share transactions: | ||||||||
| Proceeds from sales of shares |
5,827,926 | 9,969,434 | ||||||
| Reinvestment of distributions |
1,980,897 | 3,977,951 | ||||||
| Cost of shares redeemed |
(15,549,878 | ) | (43,202,836 | ) | ||||
| Net increase (decrease) in net assets resulting from share transactions | (7,741,055 | ) | (29,255,451 | ) | ||||
| TOTAL INCREASE (DECREASE) | (5,042,445 | ) | (22,605,876 | ) | ||||
| Net assets: | ||||||||
| Beginning of period |
148,114,475 | 170,720,351 | ||||||
| End of period |
$ | 143,072,030 | $ | 148,114,475 | ||||
| Undistributed (distributions in excess of) net investment income (loss) | $ | (370,202 | ) | $ | 363,935 | |||
| Summary of share transactions: | ||||||||
| Shares sold |
552,766 | 972,726 | ||||||
| Shares issued on reinvestment of distributions |
187,878 | 391,617 | ||||||
| Shares redeemed |
(1,474,860 | ) | (4,224,590 | ) | ||||
| NET INCREASE (DECREASE) | (734,216 | ) | (2,860,247 | ) | ||||
| 46 | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS VARIABLE INSURANCE TRUST FUNDS
| Equity Index Fund | Government Income Fund | Growth Opportunities Fund | ||||||||||||||||||||
| For the Six Months Ended June 30, 2012 (Unaudited) |
For the Fiscal Year Ended December 31, 2011 |
For the Six Months Ended June 30, 2012 (Unaudited) |
For the December 31, 2011 |
For the Six Months Ended June 30, 2012 (Unaudited) |
For the Fiscal Year Ended December 31, 2011 |
|||||||||||||||||
| $ | 1,477,011 | $ | 2,920,878 | $ | 181,078 | $ | 564,744 | $ | (409,680 | ) | $ | (704,148 | ) | |||||||||
| 3,276,430 | 4,710,923 | 1,050,011 | 3,524,061 | 9,018,397 | 12,953,975 | |||||||||||||||||
| 10,777,830 | (4,327,577 | ) | (19,901 | ) | 179,428 | 9,968,688 | (18,317,287 | ) | ||||||||||||||
| 15,531,271 | 3,304,224 | 1,211,188 | 4,268,233 | 18,577,405 | (6,067,460 | ) | ||||||||||||||||
| — | (2,889,650 | ) | (367,922 | ) | (645,189 | ) | — | — | ||||||||||||||
| — | — | — | (2,563,808 | ) | — | (2,777,378 | ) | |||||||||||||||
| — | (2,889,650 | ) | (367,922 | ) | (3,208,997 | ) | — | (2,777,378 | ) | |||||||||||||
| 1,029,097 | 3,698,155 | 7,586,189 | 14,330,295 | 2,952,201 | 42,131,646 | |||||||||||||||||
| — | 2,889,650 | 367,922 | 3,208,997 | — | 2,777,378 | |||||||||||||||||
| (14,777,845 | ) | (31,165,262 | ) | (7,259,065 | ) | (23,583,089 | ) | (11,370,045 | ) | (22,643,830 | ) | |||||||||||
| (13,748,748 | ) | (24,577,457 | ) | 695,046 | (6,043,797 | ) | (8,417,844 | ) | 22,265,194 | |||||||||||||
| 1,782,523 | (24,162,883 | ) | 1,538,312 | (4,984,561 | ) | 10,159,561 | 13,420,356 | |||||||||||||||
| 169,711,117 | 193,874,000 | 67,326,676 | 72,311,237 | 159,324,021 | 145,903,665 | |||||||||||||||||
| $ | 171,493,640 | $ | 169,711,117 | $ | 68,864,988 | $ | 67,326,676 | $ | 169,483,582 | $ | 159,324,021 | |||||||||||
| $ | 1,765,408 | $ | 288,397 | $ | (121,208) | $ | 65,636 | $ | (371,713 | ) | $ | 37,967 | ||||||||||
| 102,796 | 389,956 | 704,701 | 1,330,747 | 429,107 | 6,377,019 | |||||||||||||||||
| — | 315,120 | 34,159 | 300,542 | — | 441,554 | |||||||||||||||||
| (1,476,885 | ) | (3,306,547 | ) | (675,793 | ) | (2,190,027 | ) | (1,608,319 | ) | (3,395,728 | ) | |||||||||||
| (1,374,089 | ) | (2,601,471 | ) | 63,067 | (558,738 | ) | (1,179,212 | ) | 3,422,845 | |||||||||||||
| The accompanying notes are an integral part of these financial statements. | 47 |
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 |
||||||||||||||||||||||||||||||||||||||||||||||||
| Year | Net asset value, beginning of period |
Net investment income(a) |
Net realized and unrealized gain (loss) |
Total from investment operations |
Distributions to shareholders from net investment income |
Net asset value, end of period |
Total return(b) |
Net assets, end of period (in 000s) |
Ratio of net expenses to average net assets |
Ratio of total expenses to average net assets |
Ratio of net investment income to average net assets |
Portfolio turnover rate(e) |
||||||||||||||||||||||||||||||||||||
| FOR THE SIX MONTHS ENDED JUNE 30, (UNAUDITED) | ||||||||||||||||||||||||||||||||||||||||||||||||
| 2012 |
$ | 10.43 | $ | 0.09 | $ | 0.24 | $ | 0.33 | $ | (0.14 | ) | $ | 10.62 | 3.23 | % | $ | 143,072 | 0.67 | %(c) | 0.79 | %(c) | 1.72 | %(c) | 338 | % | |||||||||||||||||||||||
| FOR THE FISCAL YEARS ENDED DECEMBER 31, | ||||||||||||||||||||||||||||||||||||||||||||||||
| 2011 |
10.00 | 0.23 | 0.46 | 0.69 | (0.26 | ) | 10.43 | 6.96 | 148,114 | 0.67 | 0.83 | 2.22 | 644 | |||||||||||||||||||||||||||||||||||
| 2010 |
9.62 | 0.28 | 0.41 | 0.69 | (0.31 | ) | 10.00 | 7.18 | 170,720 | 0.67 | 0.81 | 2.80 | 399 | |||||||||||||||||||||||||||||||||||
| 2009 |
8.81 | 0.39 | 0.87 | 1.26 | (0.45 | ) | 9.62 | 14.68 | 183,178 | 0.67 | 0.79 | 4.29 | 187 | |||||||||||||||||||||||||||||||||||
| 2008 |
10.13 | 0.47 | (1.31 | ) | (0.84 | ) | (0.48 | ) | 8.81 | (8.56 | ) | 182,978 | 0.67 | 0.77 | 4.92 | 140 | ||||||||||||||||||||||||||||||||
| 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 | ||||||||||||||||||||||||||||||||
| (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. |
| (e) | The Fund’s portfolio turnover rate is calculated in accordance with regulatory requirements, without regard to transactions involving short term investments and certain derivatives. If such transactions were included, the Fund’s portfolio turnover rate may be higher. |
| The accompanying notes are an integral part of these financial statements. | 48 |
GOLDMAN SACHS VARIABLE INSURANCE TRUST EQUITY INDEX FUND
Financial Highlights
Selected Data for a Share Outstanding Throughout Each Period
| Income (loss) from investment operations |
Distributions to shareholders | |||||||||||||||||||||||||||||||||||||||||||||||||||||||
| Year | Net asset value, beginning of period |
Net investment income(a) |
Net realized and unrealized gain (loss) |
Total from investment operations |
From net investment income |
From net realized gains |
Total distributions |
Net asset value, end of period |
Total return(b) |
Net assets, end of period (in 000s) |
Ratio of net expenses to average net assets |
Ratio of total expenses to average net assets |
Ratio of net investment income to average net assets |
Portfolio turnover rate(e) |
||||||||||||||||||||||||||||||||||||||||||
| FOR THE SIX MONTHS ENDED JUNE 30, (UNAUDITED) | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||
| 2012 |
$ | 9.29 | $ | 0.08 | $ | 0.78 | $ | 0.86 | $ | — | $ | — | $ | — | $ | 10.15 | 9.26 | % | $ | 171,494 | 0.48 | %(c) | 0.67 | %(c) | 1.70 | %(c) | 1 | % | ||||||||||||||||||||||||||||
| FOR THE FISCAL YEARS ENDED DECEMBER 31, | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||
| 2011 |
9.29 | 0.15 | 0.01 | 0.16 | (0.16 | ) | — | (0.16 | ) | 9.29 | 1.75 | 169,711 | 0.48 | 0.70 | 1.59 | 3 | ||||||||||||||||||||||||||||||||||||||||
| 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 | |||||||||||||||||||||||||||||||||||||
| (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. |
| (e) | The Fund’s portfolio turnover rate is calculated in accordance with regulatory requirements, without regard to transactions involving short term investments and certain derivatives. If such transactions were included, the Fund’s portfolio turnover rate may be higher. |
| The accompanying notes are an integral part of these financial statements. | 49 |
GOLDMAN SACHS VARIABLE INSURANCE TRUST GOVERNMENT INCOME FUND
Financial Highlights
Selected Data for a Share Outstanding Throughout Each Period
| Income (loss) from investment operations |
Distributions to shareholders | |||||||||||||||||||||||||||||||||||||||||||||||||||||||
| Year | Net asset value, beginning of period |
Net investment income(a) |
Net realized and unrealized gain (loss) |
Total from investment operations |
From net investment income |
From net realized gains |
Total distributions |
Net asset value, end of period |
Total return(b) |
Net assets, end of period (in 000s) |
Ratio of net expenses to average net assets |
Ratio of total expenses to average net assets |
Ratio of net investment income to average net assets |
Portfolio turnover rate(e) |
||||||||||||||||||||||||||||||||||||||||||
| FOR THE SIX MONTHS ENDED JUNE 30, (UNAUDITED) | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||
| 2012 |
$ | 10.70 | $ | 0.03 | $ | 0.17 | $ | 0.20 | $ | (0.06 | ) | $ | — | $ | (0.06 | ) | $ | 10.84 | 1.86 | % | $ | 68,865 | 0.79 | %(c) | 1.01 | %(c) | 0.54 | %(c) | 492 | % | ||||||||||||||||||||||||||
| FOR THE FISCAL YEARS ENDED DECEMBER 31, | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||
| 2011 |
10.56 | 0.09 | 0.57 | 0.66 | (0.10 | ) | (0.42 | ) | (0.52 | ) | 10.70 | 6.35 | 67,327 | 0.81 | 1.13 | 0.81 | 960 | |||||||||||||||||||||||||||||||||||||||
| 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 | |||||||||||||||||||||||||||||||||||||||
| 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 | |||||||||||||||||||||||||||||||||||||||
| 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 | |||||||||||||||||||||||||||||||||||||||
| 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 | |||||||||||||||||||||||||||||||||||||
| (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 0.03% of average net assets. |
| (e) | The Fund’s portfolio turnover rate is calculated in accordance with regulatory requirements, without regard to transactions involving short term investments and certain derivatives. If such transactions were included, the Fund’s portfolio turnover rate may be higher. |
| The accompanying notes are an integral part of these financial statements. | 50 |
GOLDMAN SACHS VARIABLE INSURANCE TRUST GROWTH OPPORTUNITIES FUND
Financial Highlights
Selected Data for a Share Outstanding Throughout Each Period
| Income (loss) from investment operations |
||||||||||||||||||||||||||||||||||||||||||||||||
| Year | Net asset value, beginning of period |
Net investment loss(a) |
Net realized and unrealized gain (loss) |
Total from investment operations |
Distributions to from net |
Net asset value, end of period |
Total return(b) |
Net assets, (in 000s) |
Ratio of net expenses to average net assets |
Ratio of total expenses to average net assets |
Ratio of net investment loss to average net assets |
Portfolio turnover rate |
||||||||||||||||||||||||||||||||||||
| FOR THE SIX MONTHS ENDED JUNE 30, (UNAUDITED) | ||||||||||||||||||||||||||||||||||||||||||||||||
| 2012 |
$ | 6.34 | $ | (0.02 | ) | $ | 0.75 | $ | 0.73 | $ | — | $ | 7.07 | 11.51 | % | $ | 169,484 | 1.15 | %(c) | 1.36 | %(c) | (0.48 | )%(c) | 25 | % | |||||||||||||||||||||||
| FOR THE FISCAL YEARS ENDED DECEMBER 31, | ||||||||||||||||||||||||||||||||||||||||||||||||
| 2011 |
6.72 | (0.03 | ) | (0.24 | ) | (0.27 | ) | (0.11 | ) | 6.34 | (3.97 | ) | 159,324 | 1.17 | 1.41 | (0.46 | ) | 53 | ||||||||||||||||||||||||||||||
| 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 | |||||||||||||||||||||||||||||||
| (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. |
| The accompanying notes are an integral part of these financial statements. | 51 |
GOLDMAN SACHS VARIABLE INSURANCE TRUST FUNDS
Notes to Financial Statements
June 30, 2012 (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, each offering one class of shares — Service Shares. Shares of the Trust are offered to separate accounts of participating life insurance companies for the purpose of funding variable annuity contracts and variable life insurance policies.
Goldman Sachs Asset Management, L.P. (“GSAM”), an affiliate of Goldman, Sachs & Co. (“Goldman Sachs”), serves as investment adviser to the Funds pursuant to management agreements (the “Agreements”) with the Trust.
2. SIGNIFICANT ACCOUNTING POLICIES
The financial statements have been prepared in accordance with accounting principles generally accepted in the United States of America (“GAAP”) and require management to make estimates and assumptions that may affect the reported amounts and disclosures. Actual results may differ from those estimates and assumptions.
A. Investment Valuation — The Funds’ valuation policy is to value investments at fair value.
B. Investment Income and Investments — Investment income includes interest income and dividend income, net of any foreign withholding taxes, less any amounts reclaimable. Interest income is accrued daily and adjusted for amortization of premiums and accretion of discounts. Dividend income is recognized on ex-dividend date or, for certain foreign securities, as soon as such information is obtained subsequent to the ex-dividend date. Investment transactions are reflected on trade date. Realized gains and losses are calculated using identified cost. Investment transactions are recorded on the following business day for daily net asset value (“NAV”) calculations. Any foreign capital gains tax is accrued daily based upon net unrealized gains, and is payable upon sale of such investments. Distributions received from the Funds’ investments in United States (“U.S.”) real estate investment trusts (“REITs”) may be characterized as ordinary income, net capital gain or a return of capital. A return of capital is recorded by the Funds as a reduction to the cost of the REIT.
For derivative contracts, realized gains and losses are recorded upon settlement of the contract. For securities with paydown provisions, principal payments received are treated as a proportionate reduction to the cost basis of the securities and excess amounts are recorded as gains. For treasury inflation protected securities (“TIPS”), adjustments to principal due to inflation/deflation are reflected as increases/decreases to interest income with a corresponding adjustment to cost. Upfront payments on swaps are recorded as deferred realized gains or losses and are recognized over the contract’s term/event, with the exception of forward starting interest rate swaps whose realized gain or losses are recognized from the effective start date.
C. Expenses — Expenses incurred by the Funds, which may not specifically relate to the Funds, may be shared with other registered investment companies having management agreements with GSAM or its affiliates, as appropriate. These expenses are allocated to the Funds on a straight-line and/or pro-rata basis depending upon the nature of the expenses and are accrued daily.
52
GOLDMAN SACHS VARIABLE INSURANCE TRUST FUNDS
2. SIGNIFICANT ACCOUNTING POLICIES (continued)
D. Federal Taxes and Distributions to Shareholders — It is each Fund’s policy to comply with the requirements of the Internal Revenue Code of 1986, as amended (the “Code”), applicable to regulated investment companies (mutual funds) and to distribute each year substantially all of its investment company taxable income and capital gains to its shareholders. Accordingly, the Funds are not required to make any provisions for the payment of federal income tax. Distributions to shareholders are recorded on the ex-dividend date. Income and capital gains distributions, if any, are declared and paid according to the following schedule:
| Fund | Income Distributions Declared/Paid |
Capital Gains Distributions 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.
E. Foreign Currency Translation — The accounting records and reporting currency of the Funds are maintained in U.S. dollars. Assets and liabilities denominated in foreign currencies are translated into U.S. dollars using the current exchange rates at the close of each business day. The effect of changes in foreign currency exchange rates on investments is included within net realized and unrealized gain (loss) on investments. Changes in the value of other assets and liabilities as a result of fluctuations in foreign exchange rates are included in the Statements of Operations within net change in unrealized gain (loss) on foreign currency transactions. Transactions denominated in foreign currencies are translated into U.S. dollars on the date the transaction occurred, the effects of which are included within net realized gain (loss) on foreign currency transactions.
F. 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.
3. INVESTMENTS AND FAIR VALUE MEASUREMENTS
The fair value of a financial instrument is the amount that would be received to sell an asset or paid to transfer a liability in an orderly transaction between market participants at the measurement date (i.e., the exit price). GAAP establishes a fair value hierarchy that prioritizes the inputs to valuation techniques used to measure fair value. The hierarchy gives the highest priority to unadjusted quoted prices in active markets for identical assets or liabilities (Level 1 measurements) and the lowest priority to
53
GOLDMAN SACHS VARIABLE INSURANCE TRUST FUNDS
Notes to Financial Statements (continued)
June 30, 2012 (Unaudited)
3. INVESTMENTS AND FAIR VALUE MEASUREMENTS (continued)
unobservable inputs (Level 3 measurements). The levels used for classifying investments are not necessarily an indication of the risk associated with investing in these investments. The three levels of the fair value hierarchy are described below:
Level 1 — Unadjusted quoted prices in active markets that are accessible at the measurement date for identical, unrestricted assets or liabilities;
Level 2 — Quoted prices in markets that are not active or financial instruments for which significant inputs are observable (including, but not limited to, quoted prices for similar investments, interest rates, foreign exchange rates, volatility and credit spreads), either directly or indirectly;
Level 3 — Prices or valuations that require significant unobservable inputs (including GSAM’s assumptions in determining fair value measurement).
A. Level 1 and Level 2 Fair Value Investments — The valuation techniques and significant inputs used in determining the fair values for investments classified as Level 1 and Level 2 are as follows:
Equity Securities — Equity securities and investment companies traded on a U.S. securities exchange or the NASDAQ system, or those located on certain foreign exchanges including, but not limited to the Americas, are valued daily at their last sale price or official closing price on the principal exchange or system on which they are traded. Investments in investment companies (other than those that are exchange traded) are valued at the NAV on the valuation date. If no sale occurs, equity securities and non-exchange traded investment companies are valued at the last bid price for long positions and at the last ask price for short positions. To the extent these investments are actively traded, they are classified as Level 1 of the fair value hierarchy.
Unlisted equity securities for which market quotations are available are valued at the last sale price on the valuation date, or if no sale occurs, at the last bid price. Securities traded on certain foreign securities exchanges are valued daily at fair value determined by an independent fair value service (if available) under valuation procedures approved by the trustees and consistent with applicable regulatory guidance. The independent fair value service takes into account multiple factors including, but not limited to, movements in the securities markets, certain depositary receipts, futures contracts and foreign currency exchange rates that have occurred subsequent to the close of the foreign securities exchange. Investments applying these valuation adjustments are classified as Level 2 of the fair value hierarchy.
Debt Securities — Debt securities, for which market quotations are readily available, are valued daily on the basis of quotations supplied by dealers or an independent pricing service approved by the trustees. The pricing services may use valuation models or matrix pricing, which consider: (i) yield or price with respect to bonds that are considered comparable in characteristics such as rating, interest rate and maturity date or (ii) quotations from securities dealers to determine current value. Short-term debt obligations that mature in sixty days or less and that do not exhibit signs of credit deterioration are valued at amortized cost, which approximates fair value. With the exception of treasury securities, which are generally classified as Level 1, these investments are generally classified as Level 2 of the fair value hierarchy.
i. Mortgage-Backed and Asset-Backed Securities — Mortgage-backed securities represent direct or indirect participations in, or are collateralized by and payable from, mortgage loans secured by residential and/or commercial real estate property. Asset-backed securities include securities whose principal and interest payments are collateralized by pools of assets. The value of certain mortgage-backed and asset-backed securities (including adjustable rate mortgage loans) may be particularly sensitive to changes in prevailing interest rates. The value of these securities may also fluctuate in response to the market’s perception of the creditworthiness of the issuers.
54
GOLDMAN SACHS VARIABLE INSURANCE TRUST FUNDS
3. INVESTMENTS AND FAIR VALUE MEASUREMENTS (continued)
Asset-backed securities may present credit risks that are not presented by mortgage-backed securities because they generally do not have the benefit of a security interest in collateral that is comparable to mortgage assets. Some asset-backed securities may only have a subordinated claim on collateral.
Stripped mortgage-backed securities are usually structured with two different classes: one that receives substantially all interest payments (interest-only, or “IO” and/or high coupon rate with relatively low principal amount, or “IOette”), and the other that receives substantially all principal payments (principal-only, or “PO”) from a pool of mortgage loans. Little to no principal will be received at the maturity of an IO; as a result, periodic adjustments are recorded to reduce the cost of the security until maturity. These adjustments are included in interest income.
ii. Mortgage Dollar Rolls — Mortgage dollar rolls are transactions where by the Funds sell mortgage-backed securities and simultaneously contract with the same counterparty to repurchase similar securities on a specified future date. During the settlement period, the Funds will not be entitled to accrue interest and principal payments on the securities sold.
iii. Treasury Inflation Protected Securities — TIPS are treasury securities in which the principal amount is adjusted daily to keep pace with inflation, as measured by the U.S. Consumer Pricing Index for Urban Consumers. The repayment of the original bond principal upon maturity is guaranteed by the full faith and credit of the U.S. Government.
iv. When-Issued Securities and Forward Commitments — When-issued securities, including TBA (“To Be Announced”) securities, are securities that are authorized but not yet issued in the market and purchased in order to secure what is considered to be an advantageous price or yield to the Fund. A forward commitment involves entering into a contract to purchase or sell securities, typically on an extended settlement basis, for a fixed price at a future date. The purchase of securities on a when-issued or forward commitment basis involves a risk of loss if the value of the security to be purchased declines before the settlement date. Conversely, the sale of securities on a forward commitment basis involves the risk that the value of the securities sold may increase before the settlement date. Although the Funds will generally purchase securities on a when-issued or forward commitment basis with the intention of acquiring the securities for their portfolios, the Funds may dispose of when-issued securities or forward commitments prior to settlement which may result in a realized gain or loss.
Derivative Contracts — A derivative is an instrument whose value is derived from underlying assets, indices, reference rates or a combination of these factors.
Exchange-traded derivatives, including futures contracts, typically fall within Level 1 of the fair value hierarchy. Over-the-counter (“OTC”) derivatives are valued using market transactions and other market evidence, including market-based inputs to models, calibration to market-clearing transactions, broker or dealer quotations, or other alternative pricing. Where models are used, the selection of a particular model to value an OTC derivative depends upon the contractual terms of, and specific risks inherent in, the instrument, as well as the availability of pricing information in the market. Valuation models require a variety of inputs, including contractual terms, market prices, yield curves, credit curves, measures of volatility, voluntary and involuntary prepayment rates, loss severity rates and correlations of such inputs. For OTC derivatives that trade in liquid markets, model inputs can generally be verified and model selection does not involve significant management judgment. OTC derivatives are classified within Level 2 of the fair value hierarchy when significant inputs are corroborated by market evidence.
i. Forward Foreign Currency Exchange Contracts — In a forward foreign currency contract, the Funds agree to receive or deliver a fixed quantity of one currency for another, at a pre-determined price at a future date. All forward foreign currency exchange contracts are marked to market daily at the applicable forward rate.
55
GOLDMAN SACHS VARIABLE INSURANCE TRUST FUNDS
Notes to Financial Statements (continued)
June 30, 2012 (Unaudited)
3. INVESTMENTS AND FAIR VALUE MEASUREMENTS (continued)
ii. Futures Contracts — Futures contracts are contracts to buy or sell a standardized quantity of a specified commodity or security and are valued based on exchanged settlement prices or independent market quotes. Futures contracts are valued at the last settlement price, or in the absence of a sale, the last bid price for long positions and at the last ask price for short positions, at the end of each day on the board of trade or exchange upon which they are traded. Upon entering into a futures contract, the Funds deposit cash or securities in an account on behalf of the broker in an amount sufficient to meet the initial margin requirement. Subsequent payments are made or received by the Funds equal to the daily change in the contract value and are recorded as variation margin receivable or payable with a corresponding offset in unrealized gains or losses.
B. Level 3 Fair Value Investments — The valuation techniques and significant inputs used in determining the fair values for investments classified as Level 3 are as follows:
To the extent that the aforementioned significant inputs are unobservable, or if quotations are not readily available, or if GSAM believes that such quotations do not accurately reflect fair value, the fair value of the Funds’ investments may be determined under valuation procedures approved by the trustees. GSAM, consistent with its procedures and applicable regulatory guidance, may make an adjustment to the most recent valuation prices of either domestic or foreign securities in light of significant events to reflect what it believes to be the fair value of the securities at the time of determining a Fund’s NAV. Significant events which could affect a large number of securities in a particular market may include, but are not limited to significant fluctuations in U.S. or foreign markets; market dislocations; market disruptions or unscheduled market closings. Significant events, which could also affect a single issuer, may include, but are not limited to corporate actions such as reorganizations, mergers and buy-outs; ratings downgrades; and bankruptcies.
C. Fair Value Hierarchy — The following is a summary of the Funds’ investments and derivatives classified in the fair value hierarchy as of June 30, 2012:
| CORE FIXED INCOME | ||||||||||||
| Investment Type | Level 1 | Level 2 | Level 3 | |||||||||
| Assets | ||||||||||||
| Fixed Income | ||||||||||||
| Corporate Obligations |
$ | — | $ | 30,629,784 | $ | — | ||||||
| Mortgage-Backed Obligations |
— | 77,701,428 | — | |||||||||
| U.S. Treasury Obligations and/or Other U.S. Government Agencies |
26,678,087 | 6,774,527 | — | |||||||||
| Asset-Backed Securities |
— | 1,277,501 | — | |||||||||
| Foreign Debt Obligations |
8,425,263 | 2,301,273 | — | |||||||||
| Municipal Debt Obligations |
— | 1,424,825 | — | |||||||||
| Government Guarantee Obligations |
— | 6,312,115 | — | |||||||||
| Total | $ | 35,103,350 | $ | 126,421,453 | $ | — | ||||||
| Liabilities | ||||||||||||
| Fixed Income | ||||||||||||
| Mortgage-Backed Obligations — Forward Sales Contracts |
$ | — | $ | (1,072,734 | ) | $ | — | |||||
56
GOLDMAN SACHS VARIABLE INSURANCE TRUST FUNDS
3. INVESTMENTS AND FAIR VALUE MEASUREMENTS (continued)
| CORE FIXED INCOME (continued) | ||||||||||||
| Derivative Type | Level 1 | Level 2 | Level 3 | |||||||||
| Assets(a) | ||||||||||||
| Futures Contracts | $ | 109,070 | $ | — | $ | — | ||||||
| Forward Foreign Currency Exchange Contracts | — | 33,971 | — | |||||||||
| Liabilities(a) | ||||||||||||
| Futures Contracts | $ | (127,646 | ) | $ | — | $ | — | |||||
| Forward Foreign Currency Exchange Contracts | — | (72,737 | ) | — | ||||||||
| EQUITY INDEX | ||||||||||||
| Investment Type | Level 1 | Level 2 | Level 3 | |||||||||
| Assets | ||||||||||||
| Common Stock and/or Other Equity Investments | $ | 170,647,786 | $ | — | $ | — | ||||||
| U.S. Treasury Obligations and/or Other U.S. Government Agencies | 79,996 | — | — | |||||||||
| Total | $ | 170,727,782 | $ | — | $ | — | ||||||
| Derivative Type | ||||||||||||
| Assets(a) | ||||||||||||
| Futures Contracts | $ | 39,428 | $ | — | $ | — | ||||||
| GOVERNMENT INCOME | ||||||||||||
| Investment Type | Level 1 | Level 2 | Level 3 | |||||||||
| Assets | ||||||||||||
| Fixed Income | ||||||||||||
| Mortgage-Backed Obligations |
$ | — | $ | 38,772,148 | $ | — | ||||||
| U.S. Treasury Obligations and/or Other U.S. Government Agencies |
15,199,229 | 12,017,709 | — | |||||||||
| Asset-Backed Securities |
— | 441,809 | — | |||||||||
| Government Guarantee Obligations |
— | 5,469,209 | — | |||||||||
| Total | $ | 15,199,229 | $ | 56,700,875 | $ | — | ||||||
| Liabilities | ||||||||||||
| Fixed Income | ||||||||||||
| Mortgage-Backed Obligations — Forward Sales Contracts |
$ | — | $ | (3,192,891 | ) | $ | — | |||||
57
GOLDMAN SACHS VARIABLE INSURANCE TRUST FUNDS
Notes to Financial Statements (continued)
June 30, 2012 (Unaudited)
3. INVESTMENTS AND FAIR VALUE MEASUREMENTS (continued)
| GOVERNMENT INCOME (continued) | ||||||||||||
| Derivative Type | Level 1 | Level 2 | Level 3 | |||||||||
| Assets(a) | ||||||||||||
| Futures Contracts | $ | 56,204 | $ | — | $ | — | ||||||
| Liabilities(a) | ||||||||||||
| Futures Contracts | $ | (85,583 | ) | $ | — | $ | — | |||||
| GROWTH OPPORTUNITIES | ||||||||||||
| Investment Type | Level 1 | Level 2 | Level 3 | |||||||||
| Assets | ||||||||||||
| Common Stock and/or Other Equity Investments | $ | 168,132,798 | $ | — | $ | — | ||||||
| (a) | Amount shown represents unrealized gain (loss) at period end. |
4. INVESTMENTS IN DERIVATIVES
The following tables set forth, by certain risk types, the gross value of derivative contracts as of June 30, 2012. These instruments were used to meet the Funds’ investment objectives and to obtain and/or manage exposure related to the risks below. The values in the tables below exclude the effects of cash collateral received or posted pursuant to these derivative contracts, and therefore are not representative of the Funds’ net exposure.
Core Fixed Income
| Risk | Statements of Assets and Liabilities | Assets | Statements of Assets and Liabilities | Liabilities | ||||||||
| Interest Rate | Unrealized gain on futures variation margin | $ | 109,070 | (a) | Unrealized loss on futures variation margin | $ | (127,646 | )(a) | ||||
| Currency | Receivables for unrealized gain on forward foreign currency exchange contracts | 33,971 | Payable for unrealized loss on forward foreign currency exchange contracts | (72,737 | ) | |||||||
| Total | $ | 143,041 | $ | (200,383 | ) | |||||||
| Fund | Risk | Statements of Assets and Liabilities | Assets(a) | Statements of Assets and Liabilities | Liabilities(a) | |||||||||
| Equity Index |
Equity |
Unrealized gain on futures variation margin | $ | 39,428 | — | $ | — | |||||||
| Government Income | Interest Rate | Unrealized gain on futures variation margin | 56,204 | Unrealized loss on futures variation margin |
(85,583 | ) | ||||||||
| (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. |
58
GOLDMAN SACHS VARIABLE INSURANCE TRUST FUNDS
4. INVESTMENTS IN DERIVATIVES (continued)
The following tables set forth, by certain risk types, the Funds’ gains (losses) related to these derivatives and their indicative volumes for the six months ended June 30, 2012. These gains (losses) should be considered in the context that these derivative contracts may have been executed to economically hedge certain investments, and accordingly, certain gains (losses) on such derivative contracts may offset certain (losses) gains attributable to investments. These gains (losses) are included in “Net realized gain (loss)” or “Net change in unrealized gain (loss)” on the Statements of Operations:
Core Fixed Income
| Risk | Statements of Operations | Net Realized Gain (Loss) |
Net Change in Unrealized Gain (Loss) |
Average Number of Contracts(a) |
||||||||||
| Interest rate |
Net realized gain (loss) from futures contracts/Net change in unrealized gain (loss) on future contracts | $ | 772,476 | $ | (132,396 | ) | 267 | |||||||
| Currency |
Net realized gain (loss) from forward foreign currency exchange contracts/Net change in unrealized gain (loss) on forward foreign currency exchange contracts | 25,316 | (25,907 | ) | 223 | |||||||||
| Total | $ | 797,792 | $ | (158,303 | ) | 490 | ||||||||
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 Statement of Operations:
| Risk | Fund | Net Realized Gain (Loss) |
Net Change in Unrealized Gain (Loss) |
Average Number of Contracts(a) |
||||||||||||
| Equity |
Equity Index | $ | 110,603 | $ | 36,359 | 23 | ||||||||||
| Interest rate | Government Income | 409,630 | (85,486 | ) | 158 | |||||||||||
| (a) | Average number of contracts is based on the average of month end balances for the six months ended June 30, 2012. |
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.
59
GOLDMAN SACHS VARIABLE INSURANCE TRUST FUNDS
Notes to Financial Statements (continued)
June 30, 2012 (Unaudited)
5. AGREEMENTS AND AFFILIATED TRANSACTIONS (continued)
For the six months ended June 30, 2012, contractual and effective net management fees with GSAM were at the following rates:
| Contractual Management Rate | ||||||||||||||||||||||||||||
| Fund | First $1 billion |
Next $1 billion |
Next $3 billion |
Next $3 billion |
Over $8 billion |
Effective Rate |
Effective Net Management 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 | 0.97 | * | ||||||||||||||||||||
| * | GSAM agreed to waive a portion of its management fee in order to achieve the effective net management rate shown above through April 27, 2013. Prior to such date GSAM may not terminate the arrangement without the approval of the trustees. |
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, 2012, GSAM agreed to waive a portion of its management fee in order to achieve the following effective annual rates which will remain in effect through April 27, 2013 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, 2012.
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 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 April 27, 2013, 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.
60
GOLDMAN SACHS VARIABLE INSURANCE TRUST FUNDS
5. AGREEMENTS AND AFFILIATED TRANSACTIONS (continued)
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 April 27, 2013, and prior to such date GSAM may not terminate the arrangements without the approval of the trustees. In addition, the Funds have entered into certain offset arrangements with the custodian, which may result in a reduction of the Funds’ expenses.
For the six months ended June 30, 2012, these expense reductions, including any fee waivers and Other Expense reimbursements, were as follows (in thousands):
| Fund | Management Fee Waiver |
Distribution and Service Fee Waiver |
Custody Fee Credits |
Other Expense Reimbursement |
Total Expense Reductions |
|||||||||||||||
| Core Fixed Income | $ | — | $ | — | $ | 4 | $ | 83 | $ | 87 | ||||||||||
| Equity Index | 78 | — | 1 | 84 | 163 | |||||||||||||||
| Government Income | — | — | 7 | 66 | 73 | |||||||||||||||
| Growth Opportunities | 26 | 77 | 1 | 73 | 177 | |||||||||||||||
As of June 30, 2012, the amounts owed to affiliates of the Funds were as follows (in thousands):
| Fund | Management Fees |
Distribution and Service Fees |
Transfer Agent Fees |
Total | ||||||||||||
| Core Fixed Income | $ | 62 | $ | 30 | $ | 2 | $ | 94 | ||||||||
| Equity Index | 46 | 34 | 3 | 83 | ||||||||||||
| Government Income | 50 | 14 | 1 | 65 | ||||||||||||
| Growth Opportunities | 145 | 22 | 3 | 170 | ||||||||||||
E. Line of Credit Facility — As of June 30, 2012, the Funds participated in a $630,000,000 committed, unsecured revolving line of credit facility (the “facility”) together with other funds of the Trust and registered investment companies having management agreements with GSAM or its affiliates (“Other Borrowers”). Pursuant to the terms of the facility, the Funds and Other Borrowers could increase the credit amount by an additional $340,000,000, for a total of up to $970,000,000. This facility is to be used solely for temporary or emergency purposes. The interest rate on borrowings is based on the federal funds rate. The facility also requires a fee to be paid by the Funds based on the amount of the commitment that has not been utilized. For the six months ended June 30, 2012, the Funds did not have any borrowings under the facility. Prior to May 8, 2012, the amount available through the facility was $580,000,000.
61
GOLDMAN SACHS VARIABLE INSURANCE TRUST FUNDS
Notes to Financial Statements (continued)
June 30, 2012 (Unaudited)
6. PORTFOLIO SECURITIES TRANSACTIONS
The cost of purchases and proceeds from sales and maturities of long-term securities for the six months ended June 30, 2012, were as follows:
| Fund | Purchases of U.S. Government and Agency Obligations |
Purchases (Excluding U.S. Government and Agency Obligations) |
Sales and Maturities of U.S. Government and Agency Obligations |
Sales and Maturities (Excluding U.S. Government and Agency Obligations) |
||||||||||||
| Core Fixed Income | $ | 482,456,382 | $ | 20,247,531 | $ | 475,076,893 | $ | 28,448,671 | ||||||||
| Equity Index | — | 1,421,037 | — | 13,362,685 | ||||||||||||
| Government Income | 331,370,292 | 775,000 | 320,794,985 | 2,073,988 | ||||||||||||
| Growth Opportunities | — | 42,622,591 | — | 49,949,483 | ||||||||||||
7. TAX INFORMATION
As of the Funds’ most recent fiscal year end, December 31, 2011, the Funds’ capital loss carryovers and certain timing differences on a tax-basis were as follows:
| Core Fixed Income |
Equity Index |
Government Income |
Growth Opportunities |
|||||||||||||
| Capital loss carryovers:(1) | ||||||||||||||||
| Expiring 2012 |
$ | — | $ | (2,961,297 | ) | $ | — | $ | — | |||||||
| Expiring 2017 |
(4,144,705 | ) | (4,133,732 | ) | — | — | ||||||||||
| Expiring 2018 |
(4,488,774 | ) | — | — | — | |||||||||||
| Total capital loss carryovers | $ | (8,633,479 | ) | $ | (7,095,029 | ) | $ | — | $ | — | ||||||
| Timing differences (Post October losses and straddle loss deferrals) | $ | (296,873 | ) | $ | (52,400 | ) | $ | (255,283 | ) | $ | — | |||||
| (1) | Expiration occurs on December 31 of the year indicated. |
As of June 30, 2012, the Funds’ aggregate security unrealized gains and losses based on cost for U.S. federal income tax purposes were as follows:
| Core Fixed Income |
Equity Index |
Government Income |
Growth Opportunities |
|||||||||||||
| Tax cost | $ | 158,516,825 | $ | 150,770,884 | $ | 71,192,507 | $ | 151,529,264 | ||||||||
| Gross unrealized gain | 4,765,680 | 54,294,952 | 1,153,088 | 27,366,857 | ||||||||||||
| Gross unrealized loss | (1,757,702 | ) | (34,338,054 | ) | (445,491 | ) | (10,763,323 | ) | ||||||||
| Net unrealized security gain | $ | 3,007,978 | $ | 19,956,898 | $ | 707,597 | $ | 16,603,534 | ||||||||
62
GOLDMAN SACHS VARIABLE INSURANCE TRUST FUNDS
7. TAX INFORMATION (continued)
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 fund investments, real estate investment trust investments, partnership investments and securities on loan.
GSAM has reviewed the Funds’ tax positions for all open tax years (the current and prior three years, as applicable) and has concluded that no provision for income tax is required in the Funds’ financial statements. Such open tax years remain subject to examination and adjustment by tax authorities.
8. OTHER RISKS
The Funds’ risks include, but are not limited to, the following:
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 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.
63
GOLDMAN SACHS VARIABLE INSURANCE TRUST FUNDS
Notes to Financial Statements (continued)
June 30, 2012 (Unaudited)
10. OTHER MATTERS
New Accounting Pronouncement — In December 2011, Accounting Standards Update 2011-11 (ASU 2011-11), Amendments to Disclosures about Offsetting Assets and Liabilities Requirements in U.S. GAAP and International Financial Reporting Standards, was issued and is effective for interim periods and annual periods beginning on or after January 1, 2013. The amendments are the result of the work by Financial Accounting Standards Board and the International Accounting Standards Board to develop common requirements for disclosing information about offsetting and related arrangements. GSAM is currently evaluating the application of ASU 2011-11 and its impact, if any, on the Funds’ financial statements.
Other — On February 8, 2012, the Commodity Futures Trading Commission (CFTC) adopted amendments to several of its rules relating to commodity pool operators, including Rule 4.5. The Funds currently rely on Rule 4.5’s exclusion from CFTC regulation for regulated investment companies. GSAM is currently evaluating the amendments and their impact, if any, on the Funds’ financial statements.
11. SUBSEQUENT EVENTS
Subsequent events after the balance sheet date have been evaluated through the date the financial statements were issued. GSAM has concluded that there is no impact requiring adjustment or disclosure in the financial statements.
64
GOLDMAN SACHS VARIABLE INSURANCE TRUST FUNDS
| Fund Expenses — Six Month Period Ended June 30, 2012 (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, 2012 through June 30, 2012.
Actual Expenses — The first line under each share class in the table below provides information about actual account values and actual expenses. You may use the information in this line, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000=8.6), then multiply the result by the number in the first line under the heading entitled “Expenses Paid” to estimate the expenses you paid on your account during this period.
Hypothetical Example for Comparison Purposes — The second line under each share class in the table below provides information about hypothetical account values and hypothetical expenses based on the Funds’ actual net expense 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, 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 Account Value 01/01/12 |
Ending Account Value 06/30/12 |
Expenses Paid for the 6 Months Ended 06/30/12* |
Beginning Account Value 01/01/12 |
Ending Account Value 06/30/12 |
Expenses Paid for the 6 Months Ended 06/30/12* |
Beginning Account Value 01/01/12 |
Ending Account Value 06/30/12 |
Expenses Paid for the 6 Months Ended 06/30/12* |
Beginning Account Value 01/01/12 |
Ending Account Value 06/30/12 |
Expenses Paid for the 6 Months Ended 06/30/12* |
|||||||||||||||||||||||||||||||||||||
| Actual | $ | 1,000 | $ | 1,032.30 | $ | 3.39 | $ | 1,000 | $ | 1,092.60 | $ | 2.50 | $ | 1,000 | $ | 1,018.60 | $ | 3.96 | $ | 1,000 | $ | 1,115.10 | $ | 6.05 | ||||||||||||||||||||||||
| Hypothetical 5% return | 1,000 | 1,021.53 | + | 3.37 | 1,000 | 1,022.48 | + | 2.41 | 1,000 | 1,020.93 | + | 3.97 | 1,000 | 1,019.14 | + | 5.77 | ||||||||||||||||||||||||||||||||
| * | 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, 2012. Expenses are calculated by multiplying the annualized net expense ratio by the average account value for the period; then multiplying the result by the number of days in the most recent fiscal half year; and then dividing that result by the number of days in the fiscal year. The annualized net expense ratios for the period were as follows: |
| Fund | Service | |||
| Core Fixed Income |
0.67 | % | ||
| Equity Index |
0.48 | % | ||
| Government Income |
0.79 | % | ||
| Growth Opportunities |
1.15 | % | ||
| + | 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. |
65
GOLDMAN SACHS VARIABLE INSURANCE TRUST FUNDS
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, 2013 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 13, 2012 (the “Annual Meeting”).
The review process undertaken by the Trustees spans the course of the year and culminates with the Annual Meeting. To assist the Trustees in their deliberations, the Trustees have established a Contract Review Committee (the “Committee”), comprised of the Independent Trustees. The Committee held three meetings over the course of the year since the Agreements were last approved. At those Committee meetings, regularly scheduled Board meetings and/or the Annual Meeting, the Board, or the Independent Trustees, as applicable, considered matters relating to the Management Agreements, including:
| (a) | the nature and quality of the advisory, administrative and other services provided to the Funds by the Investment Adviser and its affiliates, including information about: |
| (i) | the structure, staff and capabilities of the Investment Adviser and its portfolio management teams; |
| (ii) | the groups within the Investment Adviser and its affiliates that support the portfolio management teams or provide other types of necessary services, including fund services groups (e.g., accounting and financial reporting, tax, shareholder services and operations), controls and risk management groups (e.g., legal, compliance, valuation oversight, credit risk management, internal audit, compliance testing, market risk analysis, finance and strategy and central funding), sales and distribution support groups and others (e.g., information technology and training); |
| (iii) | trends in headcount; |
| (iv) | the Investment Adviser’s financial resources and ability to hire and retain talented personnel and strengthen its operations; and |
| (v) | the parent company’s support of the Investment Adviser and its mutual fund business, as expressed by the firm’s senior management; |
| (b) | information on the investment performance of the Funds, including comparisons to the performance of a group 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 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 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; |
66
GOLDMAN SACHS VARIABLE INSURANCE TRUST FUNDS
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 limit 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 trading, distribution and other services; |
| (j) | a summary of potential benefits derived by the Funds as a result of their relationship with the Investment Adviser; |
| (k) | information regarding commissions paid by the Growth Opportunities and Equity Index Funds (the “Equity Funds”) and broker oversight, 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.
67
GOLDMAN SACHS VARIABLE INSURANCE TRUST FUNDS
Statement Regarding Basis for Approval of Management Agreements (Unaudited) (continued)
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 of the Investment Adviser’s portfolio management teams that had occurred in recent periods, and the potential benefit to the Funds of the ongoing recruitment efforts aimed at bringing high quality investment talent to the Investment Adviser. The Independent Trustees concluded that the Investment Adviser continued to commit substantial financial and operational resources to the Funds and expressed confidence that the Investment Adviser would continue to do so in the future. The Trustees also observed that the Investment Adviser had made significant commitments to address regulatory compliance requirements applicable to the Funds and the Investment Adviser.
Investment Performance
The Trustees also considered the investment performance of the Funds and the Investment Adviser. In this regard, they compared the investment performance of each Fund to its peers using rankings and ratings compiled by the Outside Data Provider as of December 31, 2011, and updated performance information prepared by the Investment Adviser using the peer groups identified by the Outside Data Provider as of March 31, 2012. The information on each Fund’s investment performance was provided for the one-, three- 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, market conditions and (in the case of the Core Fixed Income and Government Income Funds (the “Fixed Income Funds”)) credit and duration parameters. The Trustees also received information comparing the Growth Opportunities and Core Fixed Income Funds’ performance to that of comparable institutional composites managed by the Investment Adviser.
In addition, the Trustees considered materials prepared and presentations made by the Investment Adviser’s senior management and portfolio management personnel, in which Fund performance was assessed. The Trustees also considered the Investment Adviser’s periodic reports with respect to the Funds’ risk profiles, and how the Investment Adviser’s approach to risk monitoring and management influences portfolio management.
The Independent Trustees observed that the Growth Opportunities Fund placed in the top half of its peer group for the one-, three-, and five-year periods ended March 31, 2012. They observed that the Growth Opportunities Fund outperformed its benchmark index for the one- and five-year periods and underperformed its benchmark index for the three-year period ended March 31, 2012. They also observed that the portfolio management team had been consolidated in New York at the end of 2011, which was expected to facilitate greater interaction and cooperation among the members of the team. The Independent Trustees observed that the Core Fixed Income Fund placed in the top half of its peer group during the one- and three-year periods, and in the bottom half of its peer group during the 5-year period ended March 31, 2012. The Government Income Fund placed in the top half of its peer group for the three-year period and in the bottom half of its peer group for the one- and five-year periods ended March 31, 2012. The Fixed Income Funds outperformed their respective benchmark indexes for the three-year period, and underperformed their respective benchmark indexes for the one- and five-year periods ended March 31, 2012. The Independent Trustees also noted the addition of certain key hires to the Fixed Income team in 2011. They noted that the Fixed Income team had adjusted its investment process and scenario analysis in 2011 in an effort to provide stronger investment performance. They considered the Sub-Adviser’s solid record in tracking the performance of the Fund’s benchmark in line with the investment objective of the Fund and noted that, gross of fees and expenses, the Fund slightly outperformed its benchmark (before expenses) in 2011, and matched the performance of its benchmark (before expenses) for the one-year period ended March 31, 2012, due in large part to the receipt of class action settlement proceeds.
68
GOLDMAN SACHS VARIABLE INSURANCE TRUST FUNDS
Statement Regarding Basis for Approval of Management Agreements (Unaudited) (continued)
Costs of Services Provided and Competitive Information
The Trustees considered the contractual fee rates payable by each Fund under its respective Management Agreement 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 overall net and gross expenses to a peer group and a category universe; and a five-year history comparing each Fund’s net expenses to the peer and category medians. The analyses also compared each Fund’s transfer agency, custody and distribution fees, other expenses and fee waivers/reimbursements to those of other funds in the peer group and the peer group and category medians. The Trustees concluded that the comparisons provided by the Outside Data Provider were useful in evaluating the reasonableness of the management fees and total expenses paid by the Funds.
In addition, the Trustees considered the Investment Adviser’s undertakings to waive a portion of the contractual management fees paid by the Equity Index Fund and Growth Opportunities Fund and to limit certain expenses of each of the Funds that exceed specified levels, as well as Goldman Sachs’ undertaking to waive a portion of the distribution and service fees paid by the Growth Opportunities 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 Funds, comparative fee information for services provided by the Investment Adviser to those accounts, and information that indicated that services provided to the Funds differed in various significant respects from the services provided to institutional accounts, which generally operated under less stringent legal and regulatory structures, required fewer services from the Investment Adviser to a smaller number of client contact points, were less time-intensive and paid lower fees. By contrast, the Trustees noted that the Investment Adviser provides substantial administrative services to the Funds under the terms of the 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 2011 and 2010, and the Trustees considered this information in relation to the Investment Adviser’s overall profitability. The Trustees considered the Investment Adviser’s revenues and pre-tax profit margins both in absolute terms and in comparison to information on the reported pre-tax profit margins earned by certain other asset management firms.
69
GOLDMAN SACHS VARIABLE INSURANCE TRUST FUNDS
Statement Regarding Basis for Approval of Management Agreements (Unaudited) (continued)
Economies of Scale
The Trustees considered the information that had been provided regarding the Investment Adviser’s profitability. The Trustees also considered the breakpoints in the fee rate payable under the Management 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 Income Fund |
Government Fund |
Growth Opportunities 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 were meant to share potential economies of scale, if any, with the Funds and their shareholders as assets under management reach those asset levels. The Trustees considered the amounts of assets in the Funds; the Funds’ recent share purchase and redemption activity; the information provided by the Investment Adviser relating to the costs of the services provided by the Investment Adviser and its affiliates and their realized profits; information comparing fee rates charged by the Investment Adviser with fee rates charged to other funds in the peer groups; and the Investment Adviser’s undertakings to waive certain fees (with respect to the Equity Index Fund and Growth Opportunities Fund) and limit certain expenses of each of the Funds that exceed specified levels. Upon reviewing these matters at the Annual Meeting, the Trustees concluded that the fee breakpoints represented a means of assuring that benefits of scalability 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 funds in the peer group. The Trustees noted that, in addition to the Investment Adviser’s management fee waiver mentioned above, the Fund’s total expenses were further reduced by the Investment Adviser’s undertaking to limit certain expenses of the Fund that exceed a specified level.
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 | |||
With respect to the Equity Index Fund, the Independent Trustees also considered the relationship between the advisory and subadvisory fee rate schedules and an explanation of asymmetrical waivers and breakpoints that had been provided by the Investment Adviser.
70
GOLDMAN SACHS VARIABLE INSURANCE TRUST FUNDS
Statement Regarding Basis for Approval of Management Agreements (Unaudited) (continued)
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 each 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 these 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 Investment Adviser’s knowledge and experience gained from managing other accounts and products; (f) the Investment Adviser’s ability to hire and retain qualified personnel to provide services to the Funds because of the reputation of the Goldman Sachs organization; (g) the Funds’ access, through the Investment Adviser, to certain firmwide resources (e.g., proprietary risk management systems and databases), subject to certain restrictions; and (h) the Funds’ access to certain affiliated distribution channels. The Trustees noted the competitive nature of the mutual fund marketplace, and noted further that many of the Funds’ shareholders invested in the Funds in part because of the Funds’ relationship with the Investment Adviser and that those shareholders have a general expectation that the relationship will continue.
Approval of the Sub-Advisory Agreement
The Independent 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 solid record in tracking the performance of the Fund’s benchmark in line with the investment objective of the Fund. They 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. They also considered the Sub-Adviser’s experience in index investing and its compliance policies and procedures and code of ethics. After deliberation and consideration of the information provided, the Independent 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, 2013.
71
GOLDMAN SACHS VARIABLE INSURANCE TRUST FUNDS
Statement Regarding Basis for Approval of Management Agreements (Unaudited) (continued)
Conclusion
In connection with their consideration of the 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 Fund until June 30, 2013.
72
| TRUSTEES | OFFICERS | |
| Ashok N. Bakhru, Chairman | James A. McNamara, President | |
| Donald C. Burke | George F. Travers, Principal Financial Officer | |
| John P. Coblentz, Jr. | Caroline L. Kraus, 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 for the 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 are as of June 30, 2012 and may not be representative of future investments. Fund holdings should not be relied on in making investment decisions and should not be construed as research or investment advice regarding particular securities.
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 Institution 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.
© 2012 Goldman Sachs. All rights reserved.
VITSVCSAR12/79387.MF.MED.TMPL/8/2012
| ITEM 2. | CODE OF ETHICS. |
| The information required by this Item is only required in an annual report on this Form N-CSR |
| ITEM 3. | AUDIT COMMITTEE FINANCIAL EXPERT. |
| The information required by this Item is only required in an annual report on this Form N-CSR |
| ITEM 4. | PRINCIPAL ACCOUNTANT FEES AND SERVICES. |
| The information required by this Item is only required in an annual report on this Form N-CSR |
| ITEM 5. | AUDIT COMMITTEE OF LISTED REGISTRANTS. |
Not applicable.
| ITEM 6. | SCHEDULE OF INVESTMENTS |
Schedule of Investments is included as part of the Reports to Shareholders filed under Item 1.
| ITEM 7. | DISCLOSURE OF PROXY VOTING POLICIES AND PROCEDURES FOR CLOSED-END MANAGEMENT INVESTMENT COMPANIES. |
Not applicable.
| ITEM 8. | PORTFOLIO MANAGERS OF CLOSED-END MANAGEMENT INVESTMENT COMPANIES |
Not applicable.
| ITEM 9. | PURCHASES OF EQUITY SECURITIES BY CLOSED-END MANAGEMENT INVESTMENT COMPANY AND AFFILIATED PURCHASERS |
Not applicable.
| ITEM 10. | SUBMISSION OF MATTERS TO A VOTE OF SECURITY HOLDERS. |
There have been no material changes to the procedures by which shareholders may recommend nominees to the registrant’s board of trustees.
| ITEM 11. | CONTROLS AND PROCEDURES. |
| (a) | The registrant’s principal executive and principal financial officers or persons performing similar functions have concluded that the registrant’s disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940, as amended (the “1940 Act”)) are effective as of a date within 90 days of the filing 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 has materially affected, or is reasonably likely to materially affect the registrant’s internal control over financial reporting. |
| ITEM 12. | EXHIBITS. |
| (a)(1) |
Goldman Sachs Variable Insurance Trust’s Code of Ethics for Principal Executive and Senior Financial Officers filed herewith |
| (a)(2) |
Exhibit 99.CERT | Certifications pursuant to Section 302 of the Sarbanes-Oxley Act of 2002 filed herewith | ||
| (b) |
Exhibit 99.906CERT | Certifications pursuant to Section 906 of the Sarbanes-Oxley Act of 2002 filed herewith | ||
SIGNATURES
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.
| Goldman Sachs Variable Insurance Trust |
||
| /s/ James A. McNamara |
||
| By: James A. McNamara |
||
| Chief Executive Officer of |
||
| Goldman Sachs Variable Insurance Trust |
||
| Date: August 24, 2012 |
||
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the 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 |
||
| Chief Executive Officer of |
||
| Goldman Sachs Variable Insurance Trust |
||
| Date: August 24, 2012 |
||
| /s/ George F. Travers |
||
| By: George F. Travers |
||
| Chief Financial Officer of |
||
| Goldman Sachs Variable Insurance Trust |
||
| Date: August 24, 2012 |
||