-----BEGIN PRIVACY-ENHANCED MESSAGE----- Proc-Type: 2001,MIC-CLEAR Originator-Name: webmaster@www.sec.gov Originator-Key-Asymmetric: MFgwCgYEVQgBAQICAf8DSgAwRwJAW2sNKK9AVtBzYZmr6aGjlWyK3XmZv3dTINen TWSM7vrzLADbmYQaionwg5sDW3P6oaM5D3tdezXMm7z1T+B+twIDAQAB MIC-Info: RSA-MD5,RSA, S3jrUETafhMoblMVoQXhahjz5ftqLdndaWMj+u06lhAZD70rajHUJZpaCGnzNPWh kWwjK+SLeydQXyjRmbfrAw== 0000950109-99-002426.txt : 19990709 0000950109-99-002426.hdr.sgml : 19990709 ACCESSION NUMBER: 0000950109-99-002426 CONFORMED SUBMISSION TYPE: N-30D PUBLIC DOCUMENT COUNT: 1 CONFORMED PERIOD OF REPORT: 19990430 FILED AS OF DATE: 19990708 FILER: COMPANY DATA: COMPANY CONFORMED NAME: GOLDMAN SACHS TRUST CENTRAL INDEX KEY: 0000822977 STANDARD INDUSTRIAL CLASSIFICATION: UNKNOWN SIC - 0000 [0000] STATE OF INCORPORATION: MA FISCAL YEAR END: 1031 FILING VALUES: FORM TYPE: N-30D SEC ACT: SEC FILE NUMBER: 811-05349 FILM NUMBER: 99660892 BUSINESS ADDRESS: STREET 1: 4900 SEARS TWR STREET 2: C/O GOLDMAN SACHS & CO CITY: CHICAGO STATE: IL ZIP: 60606 BUSINESS PHONE: 3126554400 MAIL ADDRESS: STREET 1: 85 BROAD ST STREET 2: 85 BROARD STREET CITY: NEW YORK STATE: NY ZIP: 10004 FORMER COMPANY: FORMER CONFORMED NAME: GOLDMAN SACHS SHORT INTERMEDIATE GOVERNMENT FUND DATE OF NAME CHANGE: 19910711 FORMER COMPANY: FORMER CONFORMED NAME: SHORT INTERMEDIATE GOVERNMENT FUND DATE OF NAME CHANGE: 19900104 N-30D 1 GOLDMAN SACHS TAXABLE INVESTMENT GRADE FUNDS Goldman Sachs Funds TAXABLE INVESTMENT GRADE FUNDS Semi-Annual Report April 30, 1999 Current income potential from [LOGO OF GOLDMAN SACHS FUNDS portfolios that invest in a APPEARS HERE] variety of fixed income securities. GOLDMAN SACHS TAXABLE INVESTMENT GRADE FUNDS Market Overview Dear Shareholder, During the period under review, most overseas bond markets performed admirably in response to weak economies and interest rate cuts. But domestic fixed income securities underperformed, as signs pointed to a tightening credit policy. Market Review . The Dollar Bloc -- Over the last six months, the outlook for U.S. Treasuries has come full circle. Early in the reporting period, the Federal Reserve Board was still easing credit, as it focused on the weak global economy and few signs of domestic inflation. Since that time, sentiment has gradually changed. The Federal Reserve Board took a neutral stance for several months, as benign inflation overshadowed higher-than-expected growth rates. However, with few signs of growth abating, low unemployment and an increase in some commodity prices, the consensus is now that the Federal Reserve Board will be forced to raise rates later in the year. Elsewhere in the dollar bloc, New Zealand, Canada and Australia have all outperformed U.S. Treasuries, but with somewhat lackluster results. While each country was dragged down by the weakness in the U.S. in February, they have experienced a stronger turnaround, due to relatively lower growth rates and few pricing pressures. . Europe -- The classic "bad news is good news" for bonds was the overriding theme in the European markets during much of the reporting period. Slowing economies, declines in business and consumer confidence levels, and subdued inflation set the stage for falling yields and rising bond prices. Coordinated cuts in interest rates, sometimes by larger-than-expected margins, helped all European markets to outperform U.S. Treasuries over the last six months. . Japan -- Despite an extremely weak economy and deflationary pressures, the Japanese bond market fell sharply in November and December. The leading culprit was the volume of supply required to finance an economic stimulus package. However, the market has rallied strongly thus far in 1999. Falling growth, confidence and prices led to a surprise cut in interest rates by the Bank of Japan. Outlook . Pockets of Opportunity -- While there are still few signs of inflation, we expect that the Federal Reserve Board will remain vigilant and act swiftly if inflation trends upward. In Europe, we see a balance of moderate growth with few signs of inflation. Within this region, we particularly favor Denmark and U.K. bonds. Conversely, we have a negative outlook for Japanese bonds, as the volume of new issuance is likely to increase as further expected stimulus measures are announced by the government to try and arrest the still depressed economy. We encourage you to continue focusing on the longer term and we look forward to serving your investment needs in the years to come. Sincerely, /s/ David B. Ford /s/ John P. McNulty David B. Ford John P. McNulty Co-Head, Goldman Sachs Co-Head, Goldman Sachs Asset Management Asset Management /s/ Sharmin Mossavar-Rahmani Sharmin Mossavar-Rahmani CIO, Fixed Income Investments, Goldman Sachs Asset Management April 30, 1999 - ----------------- NOT FDIC-INSURED - ----------------- May Lose Value - ----------------- No Bank Guarantee - ----------------- Fund Basics Adjustable Rate Government Fund as of April 30, 1999 Assets Under Management $363.3 Million NASDAQ Symbols Class A Shares GSAMX Institutional Shares GSARX Administration Shares GSRAX Service Shares GSASX - -------------------------------------------------------------------------------- Performance Review - --------------------------------------------------------------------------------
October 31, 1998- Fund Total Return 30-Day 6-Month 1-Year April 30, 1999 (based on NAV)/1/ Standardized Yield/2/ U.S. Treasury/3/ U.S. Treasury/3/ - -------------------------------------------------------------------------------------------------------------- Class A 2.63% 4.64% 2.15% 1.75% Institutional 2.83% 5.50% 2.15% 1.75% Administration 2.71% 5.19% 2.15% 1.75% Service 2.68% 5.00% 2.15% 1.75% - --------------------------------------------------------------------------------------------------------------
/1/ The net asset value represents the net assets of the Fund (ex-dividend) divided by the total number of shares. /2/ The 30-Day Standardized Yield of the Fund is calculated by dividing the net investment income per share (as defined by securities industry regulations) earned by the Fund over a 30-day period (ending on the stated month-end date) by the maximum public offering price per share of the Fund on the last day of the period. This number is compounded semiannually and then annualized. This yield does not necessarily reflect income actually earned and distributed by the Fund and, therefore, may not be correlated with the dividends or other distributions paid to shareholders. /3/ The 6-Month and 1-Year U.S. Treasury securities reported by Merrill Lynch do not reflect any fees or expenses. - -------------------------------------------------------------------------------- Standardized Total Returns - --------------------------------------------------------------------------------
For the period ending 3/31/99 Class A Institutional Administration Service - -------------------------------------------------------------------------------------------------- One Year/4/ 2.40% 4.52% 4.26% 4.00% Five Years/4/ N/A 5.57% 5.30% N/A Since Inception/4/ 5.15% 5.36% 4.90% 4.82% (5/15/95) (7/17/91) (4/15/93) (3/27/97) - --------------------------------------------------------------------------------------------------
/4/ The Standardized Total Returns are average annual returns as of the most recent calendar quarter-end. They assume reinvestment of all distributions at net asset value. These returns reflect a maximum initial sales charge of 1.5% for Class A shares. Because Institutional, Administration and Service shares do not involve sales charges, such charges have not been applied to their Standardized Total Returns. - -------------------------------------------------------------------------------- Portfolio Composition as of 4/30/99/5/ - -------------------------------------------------------------------------------- Sector Allocation - -------------------------------------------------------------------------------- Adjustable Rate Mortgage Securities 80.7% Collateralized Mortgage Obligations 10.8% Fixed Rate Pass-Throughs 7.5% Agency Debentures 3.7% - -------------------------------------------------------------------------------- /5/ Figures represent a percentage of net assets and may not sum to 100%. The Fund is actively managed and, as such, its composition may differ over time. Total return figures 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. Performance reflects fee waivers and expense limitations in effect. In their absence, performance would be reduced. Performance Overview Adjustable Rate Government Fund Dear Shareholder, We are pleased to report on the performance of the Goldman Sachs Adjustable Rate Government Fund for the six-month period ended April 30, 1999. Performance Review Over the six-month period ended April 30, 1999, the Fund's A, Institutional, Administration and Service shares generated cumulative total returns, at net asset value, of 2.63%, 2.83%, 2.71% and 2.68%, respectively. These returns outperformed the Fund's benchmarks, the six-month U.S. Treasury bill and the one-year U.S. Treasury bill, which returned 2.15% and 1.75%, respectively. The Fund's outperformance was driven by the tightening of adjustable rate mortgage (ARMs) and other mortgage spreads, as concerns regarding global instability gradually diminished over the period. The ARM sector also benefited from reduced supply and a steeper yield curve (which tends to dampen prepayment expectations). Investment Objective The Fund seeks a high level of current income consistent with low volatility of principal, primarily through investments in securities issued by the U.S. government, its agencies, instrumentalities or sponsored enterprises that are adjustable rate mortgage pass-through securities and other mortgage securities with periodic interest rate resets. Portfolio Composition Our investment strategy emphasizes securities that we believe will provide solid performance relative to the overall market, regardless of the direction of interest rates. Throughout the period, we managed the Fund's duration (.79 years as of April 30, 1999), within a tight range of the 9-month U.S. Treasury security. We also employed Goldman Sachs' extensive research capabilities to identify attractive securities that offer better total return potential than Treasuries. Portfolio Highlights . Adjustable Rate Mortgages (62.3% on October 31, 1998 to 80.7% on April 30, 1999) -- The Fund's allocation to ARMs increased substantially during the period, as both fundamental and technical influences turned more positive. Specifically, we saw refinancing incentives become less compelling and new issuance activity slow. Toward the end of the period, strong investor demand provided additional support for the sector. Performance Overview Fixed Income Investment Process Overview Sector Allocation Our sector specialists work together to assess relative value among sectors and create investment strategies to meet each fund's objectives. Security Selection In selecting securities for each portfolio, our fixed income teams have access to the vast resources of Goldman Sachs. Yield Curve Strategies We adjust the term structure of our portfolios based on our expectations of the relationship between short- and long-term interest rates, while keeping each fund's duration close to its benchmark. . Collateralized Mortgage Obligations (CMOs) (12.2% on October 31, 1998 to 10.8% on April 30, 1999) -- The Fund's allocation to CMOs declined modestly during the period. Holdings were generally concentrated in floaters and short-duration planned amortization class CMOs. . Cash Equivalents -- During the period, the Fund's cash position fluctuated in response to shifts in other sectors' allocations. Portfolio Outlook We continue to believe that ARMs may outperform Treasuries going forward. This outlook is based on their spread advantage relative to other high-quality, short-term assets and to the more benign prepayment environment. We thank you for your investment and look forward to your continued confidence. Goldman Sachs U.S. Fixed Income Investment Management Team May 28, 1999 Fund Basics Short Duration Government Fund as of April 30, 1999 Assets Under Management $227.3 Million NASDAQ Symbols Class A Shares AGSSDX Class B Shares GSDGX Class C Shares GSDCX Institutional Shares GSTGX Administration Shares GSDAX Service Shares GSDSX - -------------------------------------------------------------------------------- Performance Review - --------------------------------------------------------------------------------
October 31, 1998- Fund Total Return 30-Day 2-Year U.S. April 30, 1999 (based on NAV)/1/ Standardized Yield/2/ Treasury Security/3/ - ----------------------------------------------------------------------------------------------- Class A 1.00% 4.95% 0.28% Class B 0.90% 4.43% 0.28% Class C 0.62% N/A 0.28% Institutional 1.30% 5.44% 0.28% Administration 1.28% 5.18% 0.28% Service 1.05% 4.93% 0.28%
/1/ The net asset value represents the net assets of the Fund (ex-dividend) divided by the total number of shares. /2/ The 30-Day Standardized Yield of the Fund is calculated by dividing the net investment income per share (as defined by securities industry regulations) earned by the Fund over a 30-day period (ending on the stated month-end date) by the maximum public offering price per share of the Fund on the last day of the period. This number is compounded semiannually and then annualized. This yield does not necessarily reflect income actually earned and distributed by the Fund and, therefore, may not be correlated with the dividends or other distributions paid to shareholders. /3/ The 2-Year U.S. Treasury security does not reflect any fees or expenses. - -------------------------------------------------------------------------------- Standardized Total Returns - --------------------------------------------------------------------------------
For the period ending 3/31/99 Class A Class B Class C Institutional Administration Service - ------------------------------------------------------------------------------------------------------------------------ One Year/4/ 3.09% 2.47% 3.15% 5.64% 5.27% 5.00% Five Years/4/ N/A N/A N/A 6.34% N/A N/A Ten Years/4/ N/A N/A N/A 7.03% N/A N/A Since Inception/4/ 4.83% 4.76% 4.44% 6.99% 5.86% 6.03% (5/1/97) (5/1/97) (8/15/97) (8/15/88) (2/28/96) (4/10/96)
/4/ The Standardized Total Returns are average annual returns as of the most recent calendar quarter-end. They assume reinvestment of all distributions at net asset value. These returns reflect a maximum initial sales charge of 2% for Class A shares, the assumed deferred sales charge for Class B shares (2% maximum declining to 0% after three years) and the assumed deferred sales charge for Class C shares (1% if redeemed within 12 months of purchase). Because Institutional, Administration and Service shares do not involve sales charges, such charges have not been applied to their Standardized Total Returns. - -------------------------------------------------------------------------------- Portfolio Composition as of 4/30/99/5/ - -------------------------------------------------------------------------------- Sector Allocation - -------------------------------------------------------------------------------- Collateralized Mortgage Obligations 45.2% Fixed Rate Pass-Throughs 23.9% Adjustable Rate Mortgage Securities 22.6% Cash Equivalents 3.8% U.S. Treasuries 3.7% Agency Debentures 2.6% - -------------------------------------------------------------------------------- /5/ Figures represent a percentage of net assets and may not sum to 100%. The Fund is actively managed and, as such, its composition may differ over time. Total return figures 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. Performance reflects fee waivers and expense limitations in effect. In their absence, performance would be reduced. Performance Overview Short Duration Government Fund Dear Shareholder, We are pleased to report on the performance of the Goldman Sachs Short Duration Government Fund for the six-month period ended April 30, 1999. Performance Review Over the six-month period ended April 30, 1999, the Fund's A, B, C, Institutional, Administration and Service shares generated total cumulative returns, at net asset value, of 1.00%, 0.90%, 0.62%, 1.30%, 1.28%,and 1.05%, respectively. These figures outperformed the 0.28% return of the Fund's benchmark, the two-year U.S. Treasury security. The Fund's strong performance relative to its benchmark is due to the dramatic tightening of spreads in non-Treasury sectors over the past year. Because the Fund is managed against an all-Treasury benchmark, the impact of this tightening on performance is very pronounced. Investment Objective The Fund seeks a high level of current income and, secondarily, in seeking current income, may also consider the potential for capital appreciation, primarily through investing in U.S. Government securities and repurchase agreements collateralized by such securities. Portfolio Composition We maintained our strategy of focusing on securities that we believe will perform well relative to the benchmark, regardless of the direction of interest rates. Our investment philosophy is to closely manage the Fund's duration (1.97 years as of April 30, 1999) within a tight range of that of its benchmark (1.88 years as of April 30, 1999), and to employ Goldman, Sachs & Co.'s extensive research capabilities to identify attractively valued securities within the mortgage and agency sectors. Portfolio Highlights . Collateralized Mortgage Obligations (CMOs) (39.8% on October 31, 1998 to 45.2% on April 30, 1999) -- We increased the Fund's allocation to CMOs over the period in response to the cheapening of the sector following last summer's liquidity crisis. Holdings over the period were concentrated in floaters and short-duration sequentials and PACs. . Fixed Rate Pass-Throughs (17.6% on October 31, 1998 to 23.9% on April 30, 1999) -- The Fund's position in fixed rate pass-through securities increased modestly over the six-month period. In general, we favored lower volatility securities, that is, low-coupon 15- and 30-year conventionals. Performance Overview Fixed Income Investment Process Overview Sector Allocation Our sector specialists work together to assess relative value among sectors and create investment strategies to meet each fund's objectives. Security Selection In selecting securities for each portfolio, our fixed income teams have access to the vast resources of Goldman Sachs. Yield Curve Strategies We adjust the term structure of our portfolios based on our expectations of the relationship between short- and long-term interest rates, while keeping each fund's duration close to its benchmark. . Adjustable Rate Mortgage Securities (ARMs) (12.4% on October 31, 1998 to 22.6% on April 30, 1999) -- The Fund's allocation to ARMs increased substantially during the period, as both fundamental and technical influences turned more positive: refinancing incentives became less compelling and new issuance activity slowed. Toward the end of the period, strong investor demand provided additional support for the sector. . U.S. Treasuries (19.6% on October 31, 1998 to 3.7% on April 30, 1999) and Cash Equivalents (2.9% on October 31, 1998 to 3.8% on April 30, 1999) -- During the period, the Fund's positions in U.S. Treasuries and cash fluctuated in response to shifts in other sectors. Portfolio Outlook Although current spreads in the mortgage market are providing less of a cushion against widening than they have in the recent past, solid fundamentals -- stable-to-modestly higher Treasury rates and diminished prepayment uncertainty -- argue against paring back the Fund's exposure at this time. Therefore, we will continue to emphasize lower volatility collateral within the pass-through sector, and well-structured PACs and sequentials in the CMO sector. We thank you for your investment and look forward to your continued confidence. Goldman Sachs U.S. Fixed Income Investment Management Team May 28, 1999 Fund Basics Government Income Fund as of April 30, 1999 Assets Under Management $119.3 Million NASDAQ Symbols Class A Shares GSGOX Class B Shares GSOBX Class C Shares GSOCX Institutional Shares GSOIX Service Shares GSOSX - -------------------------------------------------------------------------------- Performance Review - --------------------------------------------------------------------------------
October 31, 1998- Fund Total Return 30-Day Lehman Govt./ April 30, 1999 (based on NAV)/1/ Standardized Yield/2/ Mortgage Index/3/ - ---------------------------------------------------------------------------------------- Class A 0.02% 5.48% 0.39% Class B -0.35% 5.00% 0.39% Class C -0.35% 4.98% 0.39% Institutional 0.22% N/A 0.39% Service -0.37% N/A 0.39% - ----------------------------------------------------------------------------------------
/1/ The net asset value represents the net assets of the Fund (ex-dividend) divided by the total number of shares. /2/ The 30-Day Standardized Yield of the Fund is calculated by dividing the net investment income per share (as defined by securities industry regulations) earned by the Fund over a 30-day period (ending on the stated month-end date) by the maximum public offering price per share of the Fund on the last day of the period. This number is compounded semiannually and then annualized. This yield does not necessarily reflect income actually earned and distributed by the Fund and, therefore, may not be correlated with the dividends or other distributions paid to shareholders. /3/ The Lehman Brothers Government/Mortgage Index does not reflect any fees or expenses. - -------------------------------------------------------------------------------- Standardized Total Returns - --------------------------------------------------------------------------------
For the period ending 3/31/99 Class A Class B Class C Institutional Service - ---------------------------------------------------------------------------------------------------- One Year/4/ 0.82% -0.36% 3.84% 5.94% 4.90% Five Years/4/ 6.45% N/A N/A N/A 7.27% Since Inception/4/ 6.10% 5.89% 6.34% 7.41% 6.77% (2/10/93) (5/1/96) (8/15/97) (8/15/97) (2/10/93)/5/ - ----------------------------------------------------------------------------------------------------
/4/ The Standardized Total Returns are average annual returns as of the most recent calendar quarter-end. They assume reinvestment of all distributions at net asset value. These returns reflect a maximum initial sales charge of 4.5% for Class A shares, the assumed deferred sales charge for Class B shares (5% maximum declining to 0% after six years), and the assumed deferred sales charge for Class C shares (1% if redeemed within 12 months of purchase). Because Institutional and Service shares do not involve sales charges, such charges have not been applied to their Standardized Total Returns. /5/ Performance data for Service shares prior to 8/15/97 is that of Class A shares (excluding the impact of front-end sales charges applicable to Class A shares since Service shares are not subject to any sales charges). Performance of Class A shares in the Fund reflects the expenses applicable to the Fund's Class A shares. The fees applicable to Service shares are different from those applicable to Class A shares which impact performance ratings and rankings for a class of shares. - -------------------------------------------------------------------------------- Portfolio Composition as of 4/30/99/6/ - -------------------------------------------------------------------------------- Sector Allocation - -------------------------------------------------------------------------------- Mortgage-Backed Securities 60.5% Asset-Backed Securities 15.3% U.S. Treasuries 14.9% Cash Equivalents 13.7% Agency Debentures 6.3% Municipal Bonds 1.8% - -------------------------------------------------------------------------------- /6/ Figures represent a percentage of net assets and may not sum to 100%. The Fund is actively managed and, as such, its composition may differ over time. Total return figures 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. Performance reflects fee waivers and expense limitations in effect. In their absence, performance would be reduced. 7 Performance Overview Government Income Fund Dear Shareholder, We are pleased to report on the performance of the Goldman Sachs Government Income Fund for the six-month period ended April 30, 1999. Performance Review Over the six-month period ended April 30, 1999, the Fund's A, B, C, Institutional and Service shares generated cumulative total returns, at net asset value, of 0.02%, -0.35%, -0.35%, 0.22% and -0.37%, respectively. Over the same time period, the Fund's benchmark, the Lehman Government/Mortgage Index, generated a 0.39% return. Investment Objective The Fund seeks a high level of current income consistent with safety of principal, primarily through investing in U.S. government securities and repurchase agreements collateralized by such securities. Portfolio Composition During the period, we maintained our strategy of focusing on securities that we believe will perform well relative to the benchmark regardless of the direction of interest rates. Our investment philosophy is to closely manage the Fund's duration (4.08 years as of April 30, 1999) within a tight range of its benchmark (4.00 years), and seek excess returns over the benchmark through sector weightings and individual security selection. Portfolio Highlights Mortgage-Backed Securities (MBS) (58.1% on October 31, 1998 to 60.5% on April 30, 1999) -- We modestly increased the Fund's overweighting to mortgage securities during the period in response to the cheapening of the sector following last summer's liquidity crisis. Although spreads on both pass-throughs and collateralized mortgage obligations have tightened substantially in recent months, we believe they continue to offer attractive yields relative to Treasuries. U.S. Treasuries (16.1% on October 31, 1998 to 14.9% on April 30, 1999) and Cash Equivalents (11.3% on October 31, 1998 to 1.6% on April 30, 1999) -- During the period, the Fund's positions in U.S. Treasuries and cash equivalents remained relatively unchanged. 8 Performance Overview Fixed Income Investment Process Overview Sector Allocation Our sector specialists work together to assess relative value among sectors and create investment strategies to meet each fund's objectives. Security Selection In selecting securities for each portfolio, our fixed income teams have access to the vast resources of Goldman Sachs. Yield Curve Strategies We adjust the term structure of our portfolios based on our expectations of the relationship between short- and long-term interest rates, while keeping each fund's duration close to its benchmark. . Asset-Backed Securities (ABS) (15.8% on October 31, 1998 to 15.3% on April 30, 1999) -- The Fund's position in asset-backed securities remained relatively unchanged during the period under review. . Insured Revenue Bonds (Municipal Bonds) (1.8% on October 31, 1998 to 1.8% on April 30, 1999) -- We maintained a small position in municipal bonds during the period under review. Portfolio Outlook Although current spreads in the mortgage market are providing less of a cushion against widening than they have in the recent past, solid fundamentals -- stable-to-modestly higher Treasury rates and diminished prepayment uncertainty -- argue against paring back the Fund's exposure at this time. Therefore, we will continue to emphasize shorter duration, 15-year collateral within the pass-through sector, and well-structured PACs and sequentials in the collateralized mortgage obligations sector. In general, we believe the ABS sector is fairly valued. However, select opportunities in non-benchmark securities and sectors are likely to present themselves over the next few months. We thank you for your investment and look forward to your continued confidence. Goldman Sachs U.S. Fixed Income Investment Management Team May 28, 1999 9 Fund Basics Core Fixed Income Fund as of April 30, 1999 Assets Under Management $278.3 Million NASDAQ Symbols Class A Shares GCFIX Class B Shares GCFBX Class C Shares GCFCX Institutional Shares GSFIX Administration Shares GSFAX Service Shares GSCSX - -------------------------------------------------------------------------------- Performance Review - -------------------------------------------------------------------------------- October 31, 1998- Fund Total Return 30-Day Lehman Aggregate April 30, 1999 (based on NAV)/1/ Standardized Yield/2/ Bond Index/3/ - -------------------------------------------------------------------------------- Class A 0.10% 5.56% 0.69% Class B -0.26% 5.06% 0.69% Class C -0.26% 5.06% 0.69% Institutional 0.21% 6.24% 0.69% Administration 0.18% 5.98% 0.69% Service 0.06% 5.73% 0.69% /1/ The net asset value represents the net assets of the Fund (ex-dividend) divided by the total number of shares. /2/ The 30-Day Standardized Yield of the Fund is calculated by dividing the net investment income per share (as defined by securities industry regulations) earned by the Fund over a 30-day period (ending on the stated month-end date) by the maximum public offering price per share of the Fund on the last day of the period. This number is compounded semiannually and then annualized. This yield does not necessarily reflect income actually earned and distributed by the Fund and, therefore, may not be correlated with the dividends or other distributions paid to shareholders. /3/ The Lehman Aggregate Bond Index does not reflect any fees or expenses. - -------------------------------------------------------------------------------- Standardized Total Returns - --------------------------------------------------------------------------------
For the period ending 3/31/99 Class A Class B Class C Institutional Administration Service - ------------------------------------------------------------------------------------------------------------------ One Year/4/ 0.87% -0.42% 3.77% 5.84% 5.68% 5.42% Since Inception/4/ 5.48% 5.08% 6.20% 6.86% 6.81% 7.11% (5/1/97) (5/1/97) (8/15/97) (1/5/94) (2/28/96) (3/13/96) - ------------------------------------------------------------------------------------------------------------------
/4/ The Standardized Total Returns are average annual returns as of the most recent calendar quarter-end. They assume reinvestment of all distributions at net asset value. These returns reflect a maximum initial sales charge of 4.5% for Class A shares, the assumed deferred sales charge for Class B shares (5% maximum declining to 0% after six years) and the assumed deferred sales charge for Class C shares (1% if redeemed within 12 months of purchase). Because Institutional, Administration and Service shares do not involve sales charges, such charges have not been applied to their Standardized Total Returns. - -------------------------------------------------------------------------------- Portfolio Composition as of 4/30/99/5/ - -------------------------------------------------------------------------------- Sector Allocation - -------------------------------------------------------------------------------- Mortgage-Backed Securities 42.9% Emerging Market Debt 3.1% Corporate Bonds 34.4% U.S. Treasuries 1.6% Cash Equivalents 13.1% Sovereign Credit 1.3% Asset-Backed Securities 11.5% Agency Debentures 0.9% - -------------------------------------------------------------------------------- /5/ Figures represent a percentage of net assets and may not sum to 100%. The Fund is actively managed and, as such, its composition may differ over time. Total return figures 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. Performance reflects fee waivers and expense limitations in effect. In their absence, performance would be reduced. 10 Performance Overview Core Fixed Income Fund Dear Shareholder, We are pleased to report on the performance of the Goldman Sachs Core Fixed Income Fund for the six-month period ended April 30, 1999. Performance Review Over the six-month period ended April 30, 1999, the Fund's A, B, C, Institutional, Administration and Service share classes generated cumulative total returns, at net asset value, of 0.10%, -0.26%, -0.26%, 0.21%, 0.18% and 0.06%, respectively. Over the same time period, the Fund's benchmark, the Lehman Brothers Aggregate Bond Index, generated a return of 0.69%. Investment Objective The Fund seeks total return consisting of capital appreciation and income that exceeds that of the Lehman Brothers Aggregate Bond Index, primarily through fixed income securities, including securities issued or guaranteed by the U.S. government, its agencies, instrumentalities or sponsored enterprises, corporate debt securities, mortgage-backed securities and asset-backed securities. Portfolio Composition Our general investment strategy de-emphasizes Treasuries in favor of higher yielding fixed income alternatives with enhanced total return potential. Therefore, during the period under review, we underweighted Treasury and agency securities relative to the benchmark, and overweighted corporate, mortgage- and asset-backed and emerging market debt securities. Portfolio Highlights . Mortgage-Backed Securities (MBS) (39.2% on October 31, 1998 to 42.9% on April 30, 1999) -- We increased the Fund's overweighting of mortgage securities during the period in response to the cheapening of the sector following last summer's liquidity crisis. Although spreads on both pass-throughs and collateralized mortgage obligations have tightened substantially in recent months, we believe that they continue to offer attractive yields relative to Treasuries. . Corporate Bonds (28.3% on October 31, 1998 to 34.4% on April 30, 1999) -- Presently the Fund maintains an overweighted allocation (on a market value basis) to corporates relative to the benchmark. As with the mortgage sector, we began increasing the Fund's allocation to corporates after spreads widened dramatically in September and October. Since then, corporates have benefited from robust earnings prospects, a strong U.S. equity market and greatly improved liquidity conditions. 11 Performance Overview Fixed Income Investment Process Overview Sector Allocation Our sector specialists work together to assess relative value among sectors and create investment strategies to meet each fund's objectives. Security Selection In selecting securities for each portfolio, our fixed income teams have access to the vast resources of Goldman Sachs. Yield Curve Strategies We adjust the term structure of our portfolios based on our expectations of the relationship between short- and long-term interest rates, while keeping each fund's duration close to its benchmark. . Asset-Backed Securities (ABS) (11.9% on October 31, 1998 to 11.5% on April 30, 1999) -- The Fund's position in asset-backed securities remained relatively unchanged during the period. . U.S. Treasuries (17.5% on October 31, 1998 to 1.6% on April 30, 1999) and Cash Equivalents (7.9% on October 31, 1998 to 13.1% on April 30, 1999) -- The Fund's positions in U.S. Treasuries and cash equivalents declined in response to increases in the Fund's allocations to both the mortgage-backed and corporate sectors. . Emerging Market Debt (EMD) (1.4% on October 31, 1998 to 3.1% on April 30, 1999) -- We chose to increase exposure to EMD as global risk factors such as Brazil, Asia and commodities prices all pointed toward a more stable outlook for spreads. Portfolio Outlook Over the near term, we expect that the fixed income environment will remain fairly friendly and that spreads will grind slowly tighter. As a result, we will continue to seek incremental return through the overweighting of non-Treasury -- in other words, higher yielding -- sectors and through relative value trading strategies. With respect to the corporate sector, we intend to maintain our current allocation relative to the benchmark. Looking ahead, we believe the fundamental environment remains favorable for the sector; however, we remain wary that new issuance activity may put pressure on spreads in the near term. Within the mortgage sector, although current spreads are providing less of a cushion against widening than they have in recent months, solid fundamentals -- stable-to-modestly higher Treasury rates and diminished prepayment uncertainty -- argue against paring back the Fund's exposure at this time. In general, we believe the ABS sector is fairly valued. However, select opportunities in non-benchmark securities and sectors are likely over the next few months. Finally, the outlook for EMD depends largely on the direction the Federal Reserve Board takes. If, as we believe, the economic environment does not necessitate aggressive Fed tightening, capital flows into emerging markets should resume, thus enabling spreads to narrow. We thank you for your investment and look forward to your continued confidence. Goldman Sachs U.S. Fixed Income Investment Management Team May 28, 1999 12 Fund Basics Global Income Fund as of April 30, 1999 Assets Under Management $561.6 Million NASDAQ Symbols Class A Shares GSGIX Class B Shares GSLBX Class C Shares GSLCX Institutional Shares GSGLX Service Shares GGISX - -------------------------------------------------------------------------------- Performance Review - -------------------------------------------------------------------------------- October 31, 1998- Fund Total Return 30-Day JPM Global Govt. April 30, 1999 (based on NAV)/1/ Standardized Yield/2/ Bond Index/3/ - -------------------------------------------------------------------------------- Class A 1.54% 3.23% 2.24% Class B 1.23% 2.88% 2.24% Class C 1.31% 2.88% 2.24% Institutional 1.86% 4.04% 2.24% Service 1.61% 3.54% 2.24% - -------------------------------------------------------------------------------- /1/ The net asset value represents the net assets of the Fund (ex-dividend) divided by the total number of shares. /2/ The 30-Day Standardized Yield of the Fund is calculated by dividing the net investment income per share (as defined by securities industry regulations) earned by the Fund over a 30-day period (ending on the stated month-end date) by the maximum public offering price per share of the Fund on the last day of the period. This number is compounded semiannually and then annualized. This yield does not necessarily reflect income actually earned and distributed by the Fund and, therefore, may not be correlated with the dividends or other distributions paid to shareholders. /3/ The composition and characteristics of the securities in the JP Morgan (JPM) Global Government Bond Index (hedged) are not identical to those of the Fund. Also, unlike the Fund's return, the Index's return does not reflect any fees or expenses. - -------------------------------------------------------------------------------- Standardized Total Returns - --------------------------------------------------------------------------------
For the period ending 3/31/99 Class A Class B Class C Institutional Service - -------------------------------------------------------------------------------------------------- One Year/4/ 2.81% 1.78% 5.98% 8.34% 7.76% Five Years/4/ 8.04% N/A N/A N/A 9.10% Since Inception/4/ 7.66% 8.06% 8.78% 10.75% 8.35% (8/2/91) (5/1/96) (8/15/97) (8/1/95) (8/2/91)/5/ - --------------------------------------------------------------------------------------------------
/4/ The Standardized Total Returns are average annual returns as of the most recent calendar quarter-end. They assume reinvestment of all distributions at net asset value. These returns reflect a maximum initial sales charge of 4.5% for Class A shares, the assumed deferred sales charge for Class B shares (5% maximum declining to 0% after six years), and the assumed deferred sales charge for Class C shares (1% if redeemed within 12 months of purchase). Because Institutional and Service shares do not involve sales charges, such charges have not been applied to their Standardized Total Returns. /5/ Performance data for Service shares prior to 3/12/97 is that of Class A shares (excluding the impact of front-end sales charges applicable to Class A shares since Service shares are not subject to any sales charges). Performance of Class A shares in the Fund reflects the expenses applicable to the Fund's Class A shares. The fees applicable to Service shares are different from those applicable to Class A shares which impact performance ratings and rankings for a class of shares. - -------------------------------------------------------------------------------- Top Positions as of 4/30/99/6/ - -------------------------------------------------------------------------------- Bonds Denomination Bonds Denomination - -------------------------------------------------------------------------------- 1. U.S. Dollar 37.8% 5. U.S. Dollar Cash Equivalents 6.9% 2. Euro Currency 22.4% 6. Swedish Krona 1.1% 3. British Pound 16.1% 7. New Zealand Dollar 0.9% 4. Japanese Yen 10.6% - -------------------------------------------------------------------------------- /6/ Figures represent a percentage of net assets and may not sum to 100%. The Fund is actively managed and, as such, its composition may differ over time. Total return figures 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. Performance reflects fee waivers and expense limitations in effect. In their absence performance would be reduced. 13 Performance Overview Global Income Fund Dear Shareholder, We are pleased to report on the performance of the Goldman Sachs Global Income Fund for the six-month period ended April 30, 1999. Performance Review Over the six-month period ended April 30, 1999, the Fund's A, B, C, Institutional and Service shares generated cumulative total returns, at net asset value, of 1.54%, 1.23%, 1.31%, 1.86%, and 1.61%, respectively. Over the same time period, the Fund's benchmark, the JP Morgan Global Government Bond Index (hedged into U.S. dollars), generated a 2.24% return. For the one-year period ended April 30, 1999, each of the Fund's share classes substantially outperformed the 2.49% return of its peers within the Lipper Global Income Funds category. Additionally, all Fund share classes ranked in the top 20% of the 143 funds in the Lipper category. During this period, the Fund's Class A, B and C shares ranked 19, 23 and 22, respectively, with returns of 7.87%, 7.35% and 7.38%. Institutional and Service shares ranked 14 and 18, respectively, with returns of 8.55% and 8.03%. Over the five year-period, the Fund's Class A shares ranked 8 out of 68 funds. The remaining share classes were not ranked because their performance records are less than five years. (Please note that Lipper rankings do not take sales charges into account and that past performance is not a guarantee of future results.) During the period under review, there were two major factors behind the Fund's return versus the index. First, the Fund's portfolio was underweight in Japan, which rallied strongly during the first quarter. Second, an overweight exposure in the Dollar Bloc was detrimental, as yields increased in the U.S. However, recent overweight positions in Norway, Denmark, Australia and New Zealand helped to offset some of the negative factors. Investment Objective The Fund seeks high total return, emphasizing current income and, to a lesser extent, providing opportunities for capital appreciation primarily through investments in fixed income securities of U.S. and foreign issuers and through transactions in foreign currencies. Portfolio Positioning In the Dollar Bloc regions, the Fund rotated a portion of its portfolio out of the U.S. in favor of stronger performing Australian and New Zealand securities. In Europe, we are now neutral overall, as we wait to see if the positives for the bond market (weak growth, declining inflation and poor business confidence) will be overshadowed by potential negative factors (employment growth and consumer demand leading to upward pressure on yields). During the period, we slowly increased our underweight exposure in Japan, to take advantage of its surging bond market. 14 Performance Overview Fixed Income Investment Process Overview Sector Allocation Our sector specialists work together to assess relative value among sectors and create investment strategies to meet each fund's objectives. Security Selection In selecting securities for each portfolio, our fixed income teams have access to the vast resources of Goldman Sachs. Yield Curve Strategies We adjust the term structure of our portfolios based on our expectations of the relationship between short- and long-term interest rates, while keeping each fund's duration close to its benchmark. Portfolio Highlights . Denmark -- The Danish authorities remain committed to keeping the krona in a very tight band versus the euro, providing a clear signal of their intention to eventually join the Euro Bloc. In order to facilitate this, monetary policy has been kept tight, ensuring inflationary pressures remain subdued. . Norway -- The recent rise in the price of oil has supported the Norwegian krona, thus allowing the Central Bank to cut interest rates in response to a deteriorating economy. This has supported the bond market, enabling the spread relative to core Europe to contract from over 125 basis points to around 80 basis points for 10-year securities. . New Zealand -- The recent policy shift away from using its Monetary Conditions Index (MCI) in favor of a official interest rate target has provided a greater degree of clarity to the operation of monetary policy. The tight policy that has been in place for some time has been effective in quelling inflationary pressures, particularly those arising from the housing market. Evidence finally began to emerge that housing was slowing, in turn, reducing the pressures on retail sales. . Euro Bloc -- The divergence in growth in Europe continued over the period with the three largest economies, Germany, France and Italy, remaining soft, while the smaller economies, such as Spain and Ireland, remain strong. However the European Central Bank's policy focus has been on the softer core, and specifically on the very favorable inflation outturns. While we do not expect a further interest rate cut by the ECB, the market has moved toward pricing this into the front end of the yield curve. Portfolio Outlook Economic data released during 1999 clearly shows that the U.S. economy has considerable momentum. As a result, we will be more cautious about this market in the coming months. Within Europe, we feel it will be vital to selectively choose investment opportunities going forward. We anticipate continuing to underweight the core EMU markets in favor of the U.K. and Denmark. We remain optimistic that inflationary pressures will continue to fall in the U.K., and that growth will remain subdued as weak manufacturing and export conditions remain a drag on economic activity. We remain negative on Japanese bonds, despite the steepness of the yield curve and the poor economic outlook. We remain committed in our belief that the volume of new issuance by the government and wholesale selling by institutions will keep upward pressure on yields. We thank you for your investment and look forward to your continued confidence. Goldman Sachs Global Fixed Income Investment Management Team May 28, 1999 15 Goldman sachs Taxable Investment Grade Funds The Goldman Sachs Advantage Founded in 1869, Goldman, Sachs & Co. is a premier financial services firm traditionally known on Wall Street and around the world for its institutional expertise. Today, the firm's Asset Management Division provides individual investors the opportunity to tap the resources of a global institutional powerhouse -- and put this expertise to work in their individual portfolios. What Sets Goldman Sachs Funds Apart? 1 Resources and Relationships Our portfolio management teams are located on-site, around the world, in New York, London, Tokyo and Singapore. Their understanding of local economies, markets, industries and cultures helps deliver what many investors want: access to global investment opportunities and consistent, risk-adjusted performance. 2 In-Depth Research Our portfolio management teams make on-site visits to hundreds of companies each month, then construct selective portfolios with an emphasis on their best ideas. Our teams also have access to Goldman, Sachs & Co.'s Global Investment Research Department. 3 Risk Management In this, our institutional heritage is clear. Institutions, as well as many individual investors, often look to us to manage the risks of global investing over time in different market environments. To learn more about the Goldman Sachs Family of Funds, call your investment professional today. 16 GOLDMAN SACHS ADJUSTABLE RATE GOVERNMENT FUND Performance Summary April 30, 1999 (Unaudited) The following graph shows the value as of April 30, 1999, of a $10,000 in- vestment made in Institutional shares on August 1, 1991 of the Adjustable Rate Government Fund. For comparative purposes, the performance of the Fund's benchmarks, the six-month and one-year U.S. Treasury Bills ("Six-Month T-Bill/One-Year T-Bill"), as well as the Lehman Brothers Mutual Fund Short (1-2) U.S. Government Index ("Lehman 1-2 Index"), are shown. This performance data represents past performance and should not be considered indicative of future performance which will fluctuate with changes in market conditions. These performance fluctuations will cause an investor's shares, when re- deemed, to be worth more or less than their original cost. Performance of Class A, Administration and Service shares will vary from Institutional shares due to differences in fees and loads. Adjustable Rate Government Fund's Lifetime Performance Growth of a $10,000 Investment, Distributions Reinvested August 1, 1991 to April 30, 1999.(a) [LINE GRAPH APPEARS HERE] Institutional Lehman One Year Six Month Class 1 - 2 Index T - Bil T - Bill ----- ----------- ------- -------- 8/1/91 10,000 10,000 10,000 10,000 Aug-91 10,074 10,120 10,083 10,060 Sep-91 10,136 10,213 10,158 10,117 Oct-91 10,208 10,316 10,236 10,174 Nov-91 10,277 10,415 10,314 10,234 Dec-91 10,333 10,554 10,407 10,300 Jan-92 10,389 10,556 10,436 10,335 Feb-92 10,441 10,588 10,463 10,365 Mar-92 10,474 10,600 10,489 10,397 Apr-92 10,522 10,694 10,550 10,450 May-92 10,588 10,777 10,592 10,489 Jun-92 10,661 10,870 10,648 10,531 Jul-92 10,724 10,979 10,726 10,583 Aug-92 10,779 11,056 10,775 10,617 Sep-92 10,833 11,149 10,844 10,665 Oct-92 10,834 11,100 10,832 10,675 Nov-92 10,843 11,092 10,841 10,698 Dec-92 10,911 11,190 10,900 10,740 Jan-93 10,947 11,288 10,957 10,780 Feb-93 10,996 11,361 10,995 10,808 Mar-93 11,020 11,393 11,027 10,841 Apr-93 11,065 11,455 11,066 10,870 May-93 11,086 11,433 11,055 10,887 Jun-93 11,148 11,505 11,109 10,920 Jul-93 11,188 11,533 11,137 10,949 Aug-93 11,238 11,610 11,187 10,984 Sep-93 11,264 11,647 11,219 11,015 Oct-93 11,282 11,672 11,240 11,039 Nov-93 11,292 11,686 11,261 11,067 Dec-93 11,323 11,728 11,301 11,106 Jan-94 11,355 11,796 11,347 11,142 Feb-94 11,375 11,746 11,334 11,152 Mar-94 11,369 11,717 11,336 11,180 Apr-94 11,352 11,688 11,326 11,197 May-94 11,359 11,709 11,341 11,228 Jun-94 11,384 11,742 11,378 11,277 Jul-94 11,441 11,836 11,448 11,324 Aug-94 11,478 11,876 11,487 11,369 Sep-94 11,485 11,866 11,504 11,400 Oct-94 11,494 11,900 11,549 11,452 Nov-94 11,492 11,861 11,543 11,486 Dec-94 11,543 11,891 11,582 11,536 Jan-95 11,659 12,036 11,698 11,611 Feb-95 11,748 12,178 11,800 11,679 Mar-95 11,804 12,248 11,869 11,739 Apr-95 11,879 12,347 11,937 11,801 May-95 11,991 12,518 12,044 11,872 Jun-95 12,006 12,585 12,113 11,935 Jul-95 12,072 12,644 12,173 11,995 Aug-95 12,139 12,713 12,231 12,054 Sep-95 12,191 12,771 12,281 12,104 Oct-95 12,270 12,865 12,355 12,164 Nov-95 12,346 12,960 12,429 12,223 Dec-95 12,424 13,051 12,498 12,291 Jan-96 12,515 13,154 12,578 12,352 Feb-96 12,549 13,125 12,593 12,396 Mar-96 12,600 13,133 12,627 12,438 Apr-96 12,662 13,158 12,671 12,489 May-96 12,740 13,198 12,716 12,540 Jun-96 12,790 13,286 12,784 12,594 Jul-96 12,855 13,338 12,832 12,649 Aug-96 12,920 13,393 12,893 12,705 Sep-96 13,023 13,500 12,980 12,771 Oct-96 13,114 13,635 13,076 12,832 Nov-96 13,191 13,722 13,140 12,889 Dec-96 13,257 13,744 13,185 12,943 Jan-97 13,323 13,808 13,250 13,000 Feb-97 13,383 13,849 13,299 13,060 Mar-97 13,436 13,854 13,332 13,111 Apr-97 13,545 13,958 13,410 13,173 May-97 13,643 14,051 13,493 13,244 Jun-97 13,712 14,140 13,572 13,308 Jul-97 13,797 14,269 13,670 13,370 Aug-97 13,853 14,297 13,712 13,424 Sep-97 13,921 14,394 13,785 13,493 Oct-97 13,992 14,489 13,861 13,554 Nov-97 14,032 14,529 13,901 13,602 Dec-97 14,087 14,621 13,966 13,665 Jan-98 14,172 14,745 14,057 13,735 Feb-98 14,207 14,769 14,094 13,786 Mar-98 14,264 14,829 14,165 13,854 Apr-98 14,289 14,899 14,232 13,915 May-98 14,346 14,975 14,442 13,976 Jun-98 14,415 15,050 14,511 14,043 Jul-98 14,457 15,121 14,579 14,110 Aug-98 14,530 15,277 14,697 14,183 Sep-98 14,583 15,451 14,817 14,268 Oct-98 14,565 15,531 14,893 14,328 Nov-98 14,558 15,526 14,894 14,366 Dec-98 14,658 15,585 14,947 14,427 Jan-99 14,728 15,643 15,000 14,482 Feb-99 14,761 15,604 15,008 14,521 Mar-99 14,908 15,707 15,099 14,588 Apr-99 14,977 15,759 15,153 14,637
Average Annual Total Return through April 30, 1999 Since Inception Five Years One Year Six Months(b) Class A (commenced May 15, 1995) Excluding sales charges 5.60% n/a 4.36% 2.63% Including sales charges 5.19% n/a 2.78% 1.06% ----------------------------------------------------------------------------- Institutional Class (commenced July 17, 1991) 5.37% 5.70% 4.82% 2.83% ----------------------------------------------------------------------------- Administration Class (commenced April 15, 1993) 4.90% 5.43% 4.56% 2.71% ----------------------------------------------------------------------------- Service Class (commenced March 27, 1997) 4.83% n/a 4.40% 2.68% -----------------------------------------------------------------------------
(a) For comparative purposes, initial investments are assumed to be made on the first day of the month following commencement of operations. (b) Not annualized. 17 GOLDMAN SACHS ADJUSTABLE RATE GOVERNMENT FUND Statement of Investments April 30, 1999 (Unaudited)
Principal Interest Maturity Amount Rate Date Value Mortgage Backed Obligations - 99.0% Adjustable Rate Federal Home Loan Mortgage Corp. (FHLMC)(a) - 27.0% $ 1,643,156 7.14% 07/01/2018 $ 1,692,714 3,548,798 8.02 11/01/2018 3,659,132 773,417 6.96 12/01/2018 798,073 5,415,408 6.71 05/01/2019 5,551,659 13,592,935(b) 7.19 11/01/2019 13,872,270 7,170,909(b) 6.94 01/01/2020 7,371,479 2,765,522 7.21 05/01/2020 2,868,787 14,040,357(b) 7.45 06/01/2020 14,346,437 21,663,873(b) 7.19 02/01/2022 22,408,677 4,107,807 6.80 06/01/2022 4,189,141 2,411,265 6.77 08/01/2022 2,476,441 3,310,600 6.73 09/01/2022 3,379,361 3,802,729 7.23 09/01/2022 3,907,913 5,546,421(b) 7.02 06/01/2024 5,702,442 2,170,897 6.44 02/01/2028 2,224,149 3,336,955 7.06 07/01/2030 3,451,679 ----------- $97,900,354 --------------------------------------------------------------------------------------------- Adjustable Rate Federal National Mortgage Association (FNMA)(a) - 50.7% $ 927,663 7.24% 04/01/2003 $ 934,917 652,739 7.40 11/01/2014 666,297 3,794,712 6.18 03/01/2017 3,844,536 2,141,486 6.82 03/01/2017 2,213,761 7,926,925 6.84 04/01/2017 8,095,293 402,770 6.40 11/01/2017 409,569 2,747,273 5.74 03/01/2018 2,748,701 671,477 6.71 03/01/2018 687,459 519,288 7.15 05/01/2018 533,729 5,438,287 6.67 06/01/2018 5,633,195 3,142,104 6.79 07/01/2018 3,205,543 3,967,801 6.81 08/01/2018 4,081,320 2,340,025 6.99 08/01/2018 2,405,335 1,265,643 6.94 10/01/2018 1,305,790 108,297 6.68 11/01/2018 110,412 3,747,739 6.96 11/01/2018 3,842,032 8,862,246 6.48 12/01/2018 9,132,987 2,028,977 6.59 06/01/2019 2,078,931 2,484,493 6.60 07/01/2019 2,552,419 1,015,745 6.76 07/01/2019 1,045,740 1,045,405 6.30 08/01/2019 1,069,910 1,677,471 7.07 03/01/2020 1,701,476 12,790,464(b) 7.36 05/01/2020 13,140,283 5,475,324 6.35 07/01/2020 5,615,657 6,051,290 5.97 12/25/2020 6,040,397 12,157,093(b) 7.08 01/01/2021 12,546,485 2,928,547 7.02 02/01/2021 3,022,963 3,273,185 6.68 04/01/2021 3,357,077 43,361,526(b) 6.92 09/01/2021 44,513,209 12,557,588(b) 7.08 02/01/2022 12,937,078 3,854,908 7.18 06/01/2022 3,986,592 1,371,715 7.08 05/20/2022 1,393,525 1,123,037 7.02 08/01/2022 1,155,672 3,993,550 7.06 09/01/2022 4,094,627 220,873 6.23 12/01/2023 222,046 9,367,457(b) 6.62 06/20/2024 9,447,175 455,939 7.04 09/01/2025 468,044 ---------------------------------------------------------------------------------------------
Principal Interest Maturity Amount Rate Date Value Mortgage Backed Obligations - (continued) Adjustable Rate Federal National Mortgage Association (FNMA)(a) - (continued) $ 2,437,629 6.68% 08/01/2027 $ 2,504,274 1,492,211 6.72 10/01/2027 1,528,069 ------------ $184,272,525 ---------------------------------------------------------------------------------------------- Adjustable Rate Government National Mortgage Association (GNMA)(a) - 3.0% $ 1,660,301 6.37% 03/20/2016 $ 1,694,287 3,311,483 6.62 08/20/2018 3,387,018 3,945,583 6.37 02/20/2021 4,033,135 1,937,677 6.87 06/20/2022 1,962,208 ------------ $ 11,076,648 ---------------------------------------------------------------------------------------------- Federal Home Loan Mortgage Corp. (FHLMC) - 2.9% $ 1,902,470 6.50% 03/01/2013 $ 1,922,674 3,849,458 6.50 04/01/2013 3,890,339 1,571,386 6.50 05/01/2013 1,588,074 3,204,301 6.50 06/01/2013 3,236,679 ------------ $ 10,637,766 ---------------------------------------------------------------------------------------------- Federal National Mortgage Association (FNMA) - 3.5% $ 6,989,508(b) 7.00% 10/01/2002 $ 7,048,010 5,259,194 8.00 11/01/2017 5,494,753 ------------ $ 12,542,763 ---------------------------------------------------------------------------------------------- Government National Mortgage Association - 1.1% $ 3,950,078 6.50% 08/15/2027 $ 3,931,552 ------------ $ 3,931,552 ---------------------------------------------------------------------------------------------- Collateralized Mortgage Obligations - 10.8% Inverse Floater(a) - 1.4% FNMA Series 1993-189, Class SA $ 4,898,817 9.75% 10/25/2023 $ 4,938,840 ------------ $ 4,938,840 ---------------------------------------------------------------------------------------------- IOette - 0.1% FNMA Remic Trust 1990-145, Class B(c) $ 14,870 5.77% 12/25/2020 $ 284,094 ------------ $ 284,094 ---------------------------------------------------------------------------------------------- Planned Amortization Class (PAC) CMOs - 2.7% FHLMC Series 2055, Class OD(b) $10,000,000 6.00% 12/15/2007 $ 9,834,300 ------------ $ 9,834,300 ---------------------------------------------------------------------------------------------- Regular Floater CMOs(a) - 0.1% FNMA Remic Trust 1997-7, Class FB $ 254,406 5.54% 03/18/2027 $ 254,388 ------------ $ 254,388 ----------------------------------------------------------------------------------------------
The accompanying notes are an integral part of these financial statements. 18 GOLDMAN SACHS ADJUSTABLE RATE GOVERNMENT FUND
Principal Interest Maturity Amount Rate Date Value Mortgage Backed Obligations - (continued) Collateralized Mortgage Backed Obligations (Continued) Sequential Fixed Rate CMOs - 6.5% FHLMC Series 2064, Class M $7,300,000 6.00% 06/15/2028 $ 6,988,655 FNMA Remic Trust 1997-A, Class C(b) 8,000,000 7.50 06/17/2024 8,099,440 FNMA Series 1998-36, Class J(b) 9,095,000 6.00 07/18/2028 8,666,716 ------------ $ 23,754,811 ----------------------------------------------------------------------------------------------- TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS $ 39,066,433 ----------------------------------------------------------------------------------------------- TOTAL MORTGAGE BACKED OBLIGATIONS (Cost $363,914,694) $359,428,041 ----------------------------------------------------------------------------------------------- Agency Debentures - 3.7% Adjustable Rate Small Business Administration (SBA) - 3.7% $ 701,443 5.87% 09/25/2016 $ 712,582 3,159,430 5.87 07/25/2017 3,180,535 3,988,362 5.87 08/25/2017 4,053,931 2,252,981 5.87 09/25/2017 2,275,159 2,533,480 5.87 10/25/2017 2,575,383 745,993 5.63 11/25/2018 749,835 ----------------------------------------------------------------------------------------------- TOTAL AGENCY DEBENTURES (Cost $13,375,710) $ 13,547,425 ----------------------------------------------------------------------------------------------- TOTAL INVESTMENTS (Cost $377,290,404)(d) $372,975,466 -----------------------------------------------------------------------------------------------
------------------------------------------------------------------------------ Futures contracts open at April 30, 1999 are as follows:
Number of Contracts Settlement Unrealized Type Long/(Short)(e) Month Gain (Loss) ------------------------------------------------------------------------------------ Euro Dollars 369 June 1999 $ (44,193) Euro Dollars 221 September 1999 (170,541) Euro Dollars 30 December 1999 (3,191) Euro Dollars (68) March 2000 49,718 5 Year U.S. Treasury Note 20 June 1999 (127) 10 Year U.S. Treasury Note (134) June 1999 65,524 20 Year Long Term Bond 6 June 1999 (18,459) ------------------------------------------------------------------------------------ $ (121,269) ------------------------------------------------------------------------------------ Federal Income Tax Information: Gross unrealized gain for investments in which value exceeds cost $ 424,514 Gross unrealized loss for investments in which cost exceeds value (4,788,454) ------------------------------------------------------------------------------------ Net unrealized loss $(4,363,940) ------------------------------------------------------------------------------------
(a) Variable rate security. Coupon rate disclosed is that which is in effect at April 30, 1999. (b) Portions of these securities are segregated for open futures contracts and futures margin requirements. (c) Represents security with notional or nominal principal amount. The rate stated is the actual effective yield of this security. (d) The aggregate cost for federal income tax purposes is $377,339,406. (e) Each Euro Dollar contract represents $1,000,000 in notional par value. Each 5-Year and 10-Year U.S. Treasury Note and each U.S. 20-Year Long Term Bond contract represents $100,000 in notional par value. The total notional amount and market value at risk are $704,000,000 and $181,512,413, respectively. The determination of notional amounts as presented here are indicative only of volume of activity and not a measure of market risk. The percentages shown for each investment category reflects the value of investments in that category as a percentage of total net assets. The accompanying notes are an integral part of these financial statements. 19 GOLDMAN SACHS SHORT DURATION GOVERNMENT FUND Performance Summary April 30, 1999 (Unaudited) The following graph shows the value as of April 30, 1999, of a $10,000 in- vestment made in Institutional shares on September 1, 1988 of the Goldman Sachs Short Duration Government Fund. For comparative purposes, the perfor- mance of the Fund's benchmark the U.S. 2-Year Treasury Bill ("Two-Year T- Bill"), as well as the Lehman Brothers Mutual Fund Short (1-3) U.S. Government Index ("Lehman Short (1-3) Gov't Index"), are shown. This perfor- mance data represents past performance and should not be considered indica- tive of future performance which will fluctuate with changes in market conditions. These performance fluctuations will cause an investor's shares, when redeemed, to be worth more or less than their original cost. Performance of Class A, Class B, Class C, Administration and Service shares will vary from Institutional shares due to differences in fees and loads. Short Duration Government Fund's Lifetime Performance Growth of a $10,000 Investment, Distributions Reinvested September 1, 1988 to April 30, 1999.(a) [LINE GRAPH APPEARS HERE] Short Duration Government Fund Lehman Short (1-3) Two-Year -- Institutional Shares Gov't Index T-Bill ----------------------- ----------- ------ 9/1/88 10,000 10,000 10,000 Sep-88 10,129 10,116 10,109 Oct-88 10,257 10,218 10,211 Nov-88 10,221 10,193 10,169 Dec-88 10,226 10,215 10,367 Jan-89 10,315 10,296 10,455 Feb-89 10,335 10,297 10,443 Mar-89 10,359 10,340 10,474 Apr-89 10,515 10,509 10,623 May-89 10,673 10,657 10,786 Jun-89 10,887 10,855 10,992 Jul-89 11,040 11,015 11,158 Aug-89 10,936 10,950 11,064 Sep-89 11,008 11,013 11,119 Oct-89 11,189 11,184 11,276 Nov-89 11,287 11,284 11,367 Dec-89 11,336 11,327 11,402 Jan-90 11,323 11,340 11,391 Feb-90 11,386 11,400 11,432 Mar-90 11,445 11,434 11,464 Apr-90 11,461 11,461 11,476 May-90 11,616 11,638 11,655 Jun-90 11,732 11,760 11,783 Jul-90 11,864 11,902 11,929 Aug-90 11,896 11,945 11,964 Sep-90 11,993 12,040 12,052 Oct-90 12,110 12,173 12,184 Nov-90 12,225 12,291 12,301 Dec-90 12,365 12,436 12,451 Jan-91 12,468 12,553 12,548 Feb-91 12,534 12,634 12,608 Mar-91 12,623 12,718 12,696 Apr-91 12,743 12,840 12,806 May-91 12,809 12,917 12,893 Jun-91 12,859 12,965 12,964 Jul-91 13,030 13,077 13,089 Aug-91 13,158 13,256 13,275 Sep-91 13,334 13,396 13,420 Oct-91 13,433 13,541 13,556 Nov-91 13,592 13,681 13,694 Dec-91 13,588 13,889 13,912 Jan-92 13,568 13,870 13,880 Feb-92 13,585 13,912 13,917 Mar-92 13,577 13,908 13,905 Apr-92 13,668 14,034 14,023 May-92 13,820 14,164 14,165 Jun-92 13,984 14,307 14,336 Jul-92 14,152 14,471 14,508 Aug-92 14,276 14,588 14,643 Sep-92 14,384 14,726 14,786 Oct-92 14,274 14,642 14,684 Nov-92 14,261 14,620 14,649 Dec-92 14,406 14,756 14,789 Jan-93 14,569 14,911 14,959 Feb-93 14,698 15,030 15,090 Mar-93 14,707 15,076 15,132 Apr-93 14,793 15,168 15,232 May-93 14,763 15,132 15,168 Jun-93 14,905 15,245 15,290 Jul-93 14,937 15,279 15,319 Aug-93 15,087 15,406 15,458 Sep-93 15,082 15,455 15,510 Oct-93 15,066 15,489 15,534 Nov-93 15,038 15,492 15,541 Dec-93 15,120 15,554 15,597 Jan-94 15,238 15,652 15,697 Feb-94 15,159 15,557 15,596 Mar-94 15,026 15,477 15,518 Apr-94 14,962 15,419 15,447 May-94 14,998 15,439 15,458 Jun-94 15,027 15,477 15,502 Jul-94 15,158 15,616 15,643 Aug-94 15,208 15,668 15,685 Sep-94 15,183 15,632 15,643 Oct-94 15,216 15,668 15,681 Nov-94 15,156 15,602 15,616 Dec-94 15,189 15,632 15,637 Jan-95 15,400 15,844 15,870 Feb-95 15,613 16,060 16,095 Mar-95 15,687 16,150 16,178 Apr-95 15,860 16,294 16,324 May-95 16,142 16,572 16,629 Jun-95 16,206 16,662 16,717 Jul-95 16,226 16,728 16,776 Aug-95 16,317 16,829 16,869 Sep-95 16,426 16,911 16,949 Oct-95 16,581 17,051 17,096 Nov-95 16,747 17,196 17,250 Dec-95 16,861 17,327 17,377 Jan-96 17,058 17,474 17,525 Feb-96 16,976 17,406 17,434 Mar-96 16,963 17,392 17,411 Apr-96 16,982 17,409 17,416 May-96 17,019 17,447 17,446 Jun-96 17,160 17,575 17,573 Jul-96 17,214 17,643 17,635 Aug-96 17,322 17,708 17,691 Sep-96 17,502 17,870 17,856 Oct-96 17,703 18,072 18,061 Nov-96 17,833 18,205 18,200 Dec-96 17,844 18,209 18,195 Jan-97 17,942 18,296 18,264 Feb-97 18,001 18,340 18,298 Mar-97 17,986 18,325 18,289 Apr-97 18,176 18,475 18,440 May-97 18,290 18,604 18,565 Jun-97 18,444 18,733 18,695 Jul-97 18,675 18,937 18,912 Aug-97 18,661 18,956 18,920 Sep-97 18,836 19,100 19,060 Oct-97 18,954 19,241 19,210 Nov-97 18,974 19,289 19,233 Dec-97 19,091 19,419 19,368 Jan-98 19,307 19,605 19,571 Feb-98 19,289 19,623 19,569 Mar-98 19,349 19,697 19,638 Apr-98 19,426 19,792 19,720 May-98 19,547 19,898 19,820 Jun-98 19,626 20,000 19,976 Jul-98 19,728 20,093 20,064 Aug-98 19,992 20,356 20,338 Sep-98 20,232 20,612 20,635 Oct-98 20,233 20,712 20,742 Nov-98 20,107 20,691 20,644 Dec-98 20,187 20,770 20,702 Jan-99 20,309 20,850 20,755 Feb-99 20,213 20,756 20,610 Mar-99 20,439 20,896 20,755 Apr-99 20,496 20,962 20,800
Average Annual Total Return through April 30, 1999 Since Inception Ten Years Five Years One Year Six Months(b) Class A (commenced May 1, 1997) Excluding sales charges 5.77% n/a n/a 4.94% 1.00% Including sales charges 4.71% n/a n/a 2.84% -1.00% ---------------------------------------------------------------------------------------- Class B (commenced May 1, 1997) Excluding contingent deferred sales charges 5.24% n/a n/a 4.42% 0.90% Including contingent deferred sales charges 4.72% n/a n/a 2.33% -1.12% ---------------------------------------------------------------------------------------- Class C (commenced Au- gust 15, 1997) Excluding contingent deferred sales charges 4.40% n/a n/a 4.05% 0.62% Including contingent deferred sales charges 4.40% n/a n/a 3.01% -0.39% ---------------------------------------------------------------------------------------- Institutional Class (commenced August 15, 1988) 6.96% 6.90% 6.49% 5.51% 1.30% ---------------------------------------------------------------------------------------- Administration Class (commenced February 28, 1996) 5.82% n/a n/a 5.25% 1.28% ---------------------------------------------------------------------------------------- Service Class (commenced April 10, 1996) 5.94% n/a n/a 4.88% 1.05% ----------------------------------------------------------------------------------------
(a) For comparative purposes, initial investments are assumed to be made on the first day of the month following commencement of operations. (b) Not annualized. 20 GOLDMAN SACHS SHORT DURATION GOVERNMENT FUND Statement of Investments April 30, 1999 (Unaudited)
Principal Interest Maturity Amount Rate Date Value Mortgage Backed Obligations - 91.7% Adjustable Rate Federal Home Loan Mortgage Corp. (FHLMC)(a) - 5.7% $1,069,085 7.12% 08/01/2017 $ 1,091,803 872,943 7.31 05/01/2018 876,461 3,215,392 6.90 06/01/2018 3,292,916 1,040,537 6.96 12/01/2018 1,073,709 4,888,666 7.19 02/01/2022 5,056,738 1,431,496 8.03 10/01/2025 1,462,831 ------------ $ 12,854,458 --------------------------------------------------------------------------------------------- Adjustable Rate Federal National Mortgage Association (FNMA)(a) - 16.9% $1,566,575 7.40% 11/01/2014 $ 1,599,112 2,595,833 7.01 11/01/2017 2,649,411 3,178,395 7.76 02/01/2018 3,245,027 2,774,762 6.75 06/01/2018 2,810,390 2,531,437 7.17 03/01/2019 2,589,913 6,343,432 7.36 05/01/2020 6,516,924 3,668,221 6.99 12/01/2020 3,751,820 4,178,555 7.08 01/01/2021 4,312,394 1,123,037 7.02 08/01/2022 1,155,672 3,255,989 8.16 01/01/2023 3,344,592 4,126,381 6.09 07/01/2028 4,184,150 2,150,038 7.03 01/01/2031 2,217,570 ------------ $ 38,376,975 --------------------------------------------------------------------------------------------- Federal Home Loan Mortgage Corp. (FHLMC) - 10.6% $6,300,000 5.00% 02/15/2001 $ 6,260,247 949,181 6.50 04/01/2013 957,781 1,923,590 6.50 05/01/2013 1,944,018 963,434 6.50 06/01/2013 972,163 876,067 7.00 08/01/2028 888,656 1,095,424 7.00 09/01/2028 1,111,165 4,608,371 8.00 01/01/2028 4,795,563 7,000,000 7.00 TBA-30 Yr(b) 7,100,590 ------------ $ 24,030,183 --------------------------------------------------------------------------------------------- Federal National Mortgage Association (FNMA) - 10.0% $4,933,771 7.00% 10/01/2002 $ 4,975,066 1,600,000 5.75 04/15/2003 1,608,122 1,213,568 8.50 05/01/2010 1,269,307 36,452 6.00 08/01/2010 36,224 32,026 6.00 11/01/2010 31,787 101,842 6.00 01/01/2011 101,078 151,916 6.00 02/01/2011 150,776 4,980,609 6.00 03/01/2011 4,943,254 2,122,679 6.00 04/01/2011 2,106,758 2,343,092 6.00 05/01/2011 2,325,518 388,453 6.00 06/01/2011 385,539 261,706 6.00 07/01/2011 259,743 682,448 6.00 09/01/2011 677,330 67,433 6.00 12/01/2011 66,927 69,373 6.00 01/01/2012 68,722 369,688 6.00 03/01/2012 366,220 281,651 6.00 04/01/2013 279,009 332,083 6.00 11/01/2013 328,968 ---------------------------------------------------------------------------------------------
Principal Interest Maturity Amount Rate Date Value Mortgage Backed Obligations - (continued) Federal National Mortgage Association (FNMA) - (continued) $ 600,653 6.00% 01/01/2014 $ 586,862 2,205,899 6.00 03/01/2014 2,180,394 ------------ $ 22,747,604 ----------------------------------------------------------------------------------------------- Government National Mortgage Association (GNMA) - 3.3% $ 149,165 9.00% 12/15/2008 $ 157,865 242,404 9.00 01/15/2009 256,541 79,017 9.00 01/15/2010 83,855 630,489 9.00 07/15/2012 666,597 4,353,507 7.00 10/15/2023 4,426,994 1,975,039 6.50 08/15/2027 1,965,776 ------------ $ 7,557,628 ----------------------------------------------------------------------------------------------- Collateralized Mortgage Obligations - 45.2% Inverse Floater(a) - 1.8% FNMA Remic Trust 1992-62, Class S $ 154,131 11.09% 05/25/1999 $ 154,501 FHLMC Series 1296, Class J 195,253 12.71 07/15/1999 196,106 FNMA Remic Trust 1993-231, Class SA 1,900,263 7.69 12/25/2008 1,870,495 FNMA Remic Trust 1990-134, Class S 1,254,558 14.19 11/25/2020 1,412,243 FNMA Remic Trust 1991-42, Class S 400,000 9.03 05/25/2021 407,108 ------------ $ 4,040,453 ----------------------------------------------------------------------------------------------- Inverse Floating Rate - Interest Only(a) - 0.0% FNMA Remic Trust 1993-110, Class SC(c) $ 582,865 5.25% 04/25/2019 $ 13,015 FHLMC Series 1684, Class JD(c) 1,418,826 5.62 08/15/2020 78,688 ------------ $ 91,703 ----------------------------------------------------------------------------------------------- Planned Amortization - Interest Only - 0.2% FHLMC Series 1587, Class HA(c) $5,979,261 6.50% 10/15/2008 $ 508,536 ----------------------------------------------------------------------------------------------- Planned Amortization - Principal Only - 0.6% FNMA Remic Trust 1989-39, Class D(c) $1,530,127 5.57% 05/25/2018 $ 1,366,587 ----------------------------------------------------------------------------------------------- Planned Amortization Class (PAC) CMOs - 23.1% Federal National Mortgage Association (FNMA) Remic Trust 1991-31, Class PJ $3,000,000 6.55% 10/25/2020 $ 3,021,150 FHLMC Series 1556, Class G 2,000,000 6.35 10/15/2010 2,018,120 FHLMC Series 1687, Class J 5,000,000 6.50 02/15/2009 5,000,550 FHLMC Series 1916, Class PC 3,700,000 6.75 12/15/2011 3,806,523 FHLMC Series 1985, Class PC 8,500,000 6.35 05/17/2018 8,582,280 FHLMC Series 1987, Class L 4,000,000 6.20 08/25/2022 3,936,880 -----------------------------------------------------------------------------------------------
The accompanying notes are an integral part of these financial statements. 21 GOLDMAN SACHS SHORT DURATION GOVERNMENT FUND Statement of Investments April 30, 1999 (Unaudited)
Principal Interest Maturity Amount Rate Date Value Mortgage Backed Obligations - (continued) Planned Amortization Class (PAC) CMOs - (continued) FHLMC Series 2055, Class OD $3,000,000 6.00% 12/15/2007 $ 2,950,290 FNMA Remic Trust 1997-70, Class AB 1,250,000 6.50 09/25/2022 1,228,225 FNMA Remic Trust Series 1997-84, Class PA 4,000,000 5.90 11/25/2021 3,920,000 FNMA Series 1992-138, Class D 3,000,000 6.50 07/25/2020 3,017,940 FNMA Series 1993-32, Class PH 3,000,000 6.50 11/25/2022 3,010,980 FHLMC Series 16, Class PG 2,500,000 6.35 03/25/2018 2,518,750 FNMA Series 4, Class C 9,310,000 7.50 06/17/2024 9,425,723 ------------ $ 52,437,411 ----------------------------------------------------------------------------------------------- Principal Only - 1.5% FNMA Remic Trust 1992 G-28, Class A(c) $4,107,858 5.32% 05/25/2007 $ 3,590,021 ----------------------------------------------------------------------------------------------- Regular Floater CMOs(a) - 1.9% FHLMC Series 1296, Class I 546,707 4.96% 07/15/1999 544,482 FHLMC Series 1684, Class JC 1,418,826 5.06 08/15/2020 1,407,291 FNMA Remic Trust 1988-12, Class B 1,871,434 3.56 02/25/2018 1,797,773 FNMA Remic Trust 1993-110, Class FC 582,865 5.26 04/25/2019 579,764 ------------ $ 4,329,310 ----------------------------------------------------------------------------------------------- Sequential Fixed Rate CMOs - 15.2% FHLMC Series 1033, Class G $1,534,373 8.00% 01/15/2006 $ 1,583,273 FHLMC Series 1812, Class D 1,608,433 6.00 07/15/2008 1,609,977 FNMA Remic Trust 1989-18, Class B 113,727 9.50 01/25/2004 113,939 FNMA Remic Trust 1989-74, Class J 2,125,672 9.80 10/25/2019 2,250,512 FNMA Remic Trust 1990-16, Class E 6,056,201 9.00 03/25/2020 6,494,730 FNMA Remic Trust 1991-133, Class Z 3,221,169 8.00 09/25/2006 3,337,936 FNMA Remic Trust 1992-44, Class CA 353,640 12.00 08/25/2020 353,750 FNMA Remic Trust Series 1988-12, Class A 2,370,483 10.00 02/25/2018 2,558,227 FNMA Remic Trust Series 1994-52, Class Z 8,555,368 7.00 04/25/2007 8,758,558 FNMA Series 1998-36, Class J 6,000,000 6.00 07/18/2028 5,717,460 GNMA Remic Trust 1995-3, Class DQ 1,669,999 8.05 06/16/2025 1,716,542 ------------ $ 34,494,904 -----------------------------------------------------------------------------------------------
Principal Interest Maturity Amount Rate Date Value Mortgage Backed Obligations - (continued) Support - 0.9% FHLMC Series 16, Class M $2,000,000 7.00% 08/25/2023 $ 1,995,660 ----------------------------------------------------------------------------------------------- TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS $102,854,585 ----------------------------------------------------------------------------------------------- TOTAL MORTGAGE BACKED OBLIGATIONS (Cost $208,997,170) $208,421,433 ----------------------------------------------------------------------------------------------- Agency Debentures - 2.6% Small Business Administration $1,411,161 7.20% 06/01/2017 $ 1,446,002 1,956,402 6.30 05/01/2018 1,951,452 2,437,225 6.30 06/01/2018 2,430,943 ----------------------------------------------------------------------------------------------- TOTAL AGENCY DEBENTURES (Cost $5,902,145) $ 5,828,397 ----------------------------------------------------------------------------------------------- U.S. Treasury Obligations - 3.7% United States Treasury Notes $8,200,000 6.63% 07/31/2001 $ 8,460,104 ----------------------------------------------------------------------------------------------- TOTAL U.S. TREASURY OBLIGATIONS (Cost $8,475,500) $ 8,460,104 ----------------------------------------------------------------------------------------------- Repurchase Agreement - 3.8% Joint Repurchase Agreement Account $8,800,000 4.95% 05/03/1999 $ 8,800,000 ----------------------------------------------------------------------------------------------- TOTAL REPURCHASE AGREEMENT (Cost $8,800,000) $ 8,800,000 ----------------------------------------------------------------------------------------------- TOTAL INVESTMENTS (Cost $232,174,815)(d)(e) $231,509,934 -----------------------------------------------------------------------------------------------
Federal Income Tax Information: Gross unrealized gain for invest- ments in which value exceeds cost $ 722,352 Gross unrealized loss for invest- ments in which cost exceeds value (1,689,011) -------------------------------- Net unrealized loss $ (966,659) --------------------------------
The accompanying notes are an integral part of these financial statements. 22 GOLDMAN SACHS SHORT DURATION GOVERNMENT FUND ------------------------------------------------------------------------------ Futures contracts open at April 30, 1999 are as follows:
Number of Contracts Settlement Unrealized Type Long/(Short)(f) Month Gain (Loss) ----------------------------------------------------------------------- Euro Dollars 82 June 1999 $ 3,829 Euro Dollars 61 September 1999 (38,362) Euro Dollars 85 December 1999 47,309 Euro Dollars 45 March 2000 5,527 Euro Dollars 130 June 2000 (228,326) Euro Dollars 120 September 2000 (205,637) 2 Year U.S. Treasury Note 286 June 1999 (173,035) 5 Year U.S. Treasury Note (171) June 1999 60,992 10 Year U.S. Treasury Note (108) June 1999 70,283 20 Year Long Term Bond (24) June 1999 9,832 ----------------------------------------------------------------------- $(447,588) -----------------------------------------------------------------------
(a) Variable rate security. Coupon rate disclosed is that which is in effect at April 30, 1999. (b) TBA (To Be Assigned) securities are purchased on a forward commitment basis with an approximate (generally +/ -2.5%) principal amount and no definite maturity date. The actual principal amount and maturity date will be determined upon settlement when the specific mortgage pools are assigned. (c) Represents security with notional or nominal principal amount. The actual effective yield of this security is different than the stated coupon due to the amortization of related premiums. (d) All of the securities in the portfolio are segregated for open TBA purchases, open futures contracts and futures margin requirements. (e) The aggregate cost for federal income tax purposes is $232,476,593. (f) Each Euro Dollar contract represents $1,000,000 in notional par value. Each 5-Year and 10-Year U.S. Treasury Note and each U.S. 20-Year Long Term Bond contract represents $100,000 in notional par value. Each 2-Year U.S. Treasury Note contract represents $200,000 in notional par value. The total notional amount and market value at risk are $610,500,000 and $217,895,472, respectively. The determination of notional amounts as presented here are indicative only of volume of activity and not a measure of market risk. The percentage shown for each investment category reflects the value of investments in that category as a percentage of net assets. The accompanying notes are an integral part of these financial statements. 23 GOLDMAN SACHS GOVERNMENT INCOME FUND Performance Summary April 30, 1999 (Unaudited) The following graph shows the value as of April 30, 1999, of a $10,000 in- vestment made (with the maximum sales charge of 4.5%) in Class A shares on March 1, 1993 of the Goldman Sachs Government Income Fund. For comparative purposes, the performance of the Fund's benchmark the Lehman Brothers Mutual Fund Government/Mortgage Index ("Lehman Gov't/MBS Index"), as well as the Lehman Brothers Mutual Fund General U.S. Government Index ("Lehman U.S. Gov't Index"), are shown. This performance data represents past performance and should not be considered indicative of future performance which will fluctu- ate with changes in market conditions. These performance fluctuations will cause an investor's shares, when redeemed, to be worth more or less than their original cost. Performance of Class B, Class C, Institutional and Serv- ice shares will vary from Class A due to differences in fees and loads. Government Income Fund's Lifetime Performance Growth of a $10,000 Investment, Distributions Reinvested March 1, 1993 to April 30, 1999.(a) [LINE GRAPH APPEARS HERE] Class A Lehman Gov't/MBS Index Lehman U.S. Gov't Index ------- ---------------------- ----------------------- 3/1/93 9,550 10,000 10,000 Mar-93 9,565 10,043 10,033 Apr-93 9,658 10,111 10,110 May-93 9,621 10,124 10,099 Jun-93 9,793 10,296 10,323 Jul-93 9,856 10,351 10,386 Aug-93 9,995 10,518 10,618 Sep-93 10,009 10,547 10,658 Oct-93 10,036 10,585 10,699 Nov-93 9,963 10,502 10,581 Dec-93 10,019 10,558 10,622 Jan-94 10,145 10,689 10,768 Feb-94 10,028 10,514 10,540 Mar-94 9,776 10,265 10,302 Apr-94 9,695 10,186 10,221 May-94 9,701 10,192 10,208 Jun-94 9,702 10,169 10,184 Jul-94 9,866 10,362 10,372 Aug-94 9,874 10,374 10,374 Sep-94 9,744 10,228 10,227 Oct-94 9,737 10,221 10,219 Nov-94 9,717 10,197 10,201 Dec-94 9,813 10,267 10,263 Jan-95 9,993 10,468 10,454 Feb-95 10,216 10,708 10,679 Mar-95 10,267 10,769 10,746 Apr-95 10,407 10,914 10,887 May-95 10,786 11,321 11,326 Jun-95 10,852 11,401 11,413 Jul-95 10,836 11,380 11,371 Aug-95 10,941 11,509 11,505 Sep-95 11,052 11,616 11,615 Oct-95 11,187 11,767 11,792 Nov-95 11,338 11,934 11,976 Dec-95 11,493 12,096 12,146 Jan-96 11,568 12,176 12,221 Feb-96 11,373 11,979 11,972 Mar-96 11,307 11,898 11,872 Apr-96 11,256 11,838 11,796 May-96 11,231 11,813 11,776 Jun-96 11,389 11,969 11,928 Jul-96 11,419 12,003 11,958 Aug-96 11,418 11,987 11,932 Sep-96 11,602 12,187 12,130 Oct-96 11,838 12,444 12,397 Nov-96 12,035 12,647 12,612 Dec-96 11,930 12,541 12,484 Jan-97 11,968 12,583 12,497 Feb-97 11,994 12,610 12,515 Mar-97 11,881 12,481 12,382 Apr-97 12,054 12,668 12,560 May-97 12,143 12,784 12,668 Jun-97 12,282 12,929 12,810 Jul-97 12,608 13,250 13,174 Aug-97 12,510 13,156 13,043 Sep-97 12,681 13,343 13,239 Oct-97 12,870 13,543 13,468 Nov-97 12,907 13,602 13,536 Dec-97 13,042 13,737 13,678 Jan-98 13,223 13,917 13,884 Feb-98 13,206 13,904 13,846 Mar-98 13,252 13,952 13,885 Apr-98 13,300 14,020 13,947 May-98 13,422 14,281 14,091 Jun-98 13,534 14,406 14,251 Jul-98 13,574 14,448 14,273 Aug-98 13,846 14,729 14,644 Sep-98 14,108 15,039 15,039 Oct-98 14,025 15,001 14,988 Nov-98 14,004 15,033 14,993 Dec-98 14,040 15,079 15,026 Jan-99 14,124 15,174 15,113 Feb-99 13,900 14,935 14,754 Mar-99 13,994 15,011 14,812 Apr-99 14,027 15,059 14,846
Average Annual Total Return through April 30, 1999 Since Inception Five Years One Year Six Months(b) Class A (commenced February 10, 1993) Excluding sales charges 6.85% 7.66% 5.47% 0.02% Including sales charges 6.06% 6.68% 0.70% -4.46% ----------------------------------------------------------------------------------- Class B (commenced May 1, 1996) Excluding contingent de- ferred sales charges 6.83% n/a 4.62% -0.35% Including contingent de- ferred sales charges 5.76% n/a -0.61% -5.33% ----------------------------------------------------------------------------------- Class C (commenced August 15, 1997) Excluding contingent de- ferred sales charges 6.10% n/a 4.55% -0.35% Including contingent de- ferred sales charges 6.10% n/a 3.50% -1.35% ----------------------------------------------------------------------------------- Institutional Class (com- menced August 15, 1997) 7.21% n/a 5.75% 0.22% ----------------------------------------------------------------------------------- Service Class (commenced August 15, 1997) 6.73% n/a 4.64% -0.37% -----------------------------------------------------------------------------------
(a) For comparative purposes, initial investments are assumed to be made on the first day of the month following commencement of operations. (b) Not annualized. 24 GOLDMAN SACHS GOVERNMENT INCOME FUND Statement of Investments April 30, 1999 (Unaudited)
Principal Interest Maturity Amount Rate Date Value Mortgage Backed Obligations - 60.5% Federal Home Loan Mortgage Corp. (FHLMC) - 22.0% $ 2,998,113 6.50% 08/01/2010 $ 3,034,885 777,311 6.00 12/01/2013 770,991 30,166 7.00 03/01/2024 30,637 89,406 7.00 04/01/2024 90,803 1,236,903 7.50 11/01/2027(a) 1,271,301 636,623 7.00 08/01/2028 645,771 861,112 7.00 09/01/2028 873,486 1,237,997 7.50 09/01/2028 1,272,425 675,957 6.00 10/01/2028 655,678 1,048,608 6.00 01/01/2029 1,017,150 1,586,592 6.00 02/01/2029 1,538,994 2,677,833 6.00 03/01/2029 2,597,497 998,502 6.00 04/01/2029 968,547 2,083,600 7.00 04/01/2029(a) 2,113,541 1,366,400 7.00 04/01/2029 1,386,345 4,000,000 6.00 TBA-15 Yr.(b) 3,968,750 1,000,000 6.50 TBA-30 Yr.(b) 994,370 3,000,000 7.00 TBA-30 Yr.(b) 3,043,110 ------------ $ 26,274,281 ------------------------------------------------------------------------------------------ Federal National Mortgage Association (FNMA) - 7.7% $ 956,329 6.00% 10/25/2008 $ 948,774 218,294 6.50 09/01/2025 217,202 220,855 6.50 10/01/2025 219,680 297,615 6.50 11/01/2025 296,219 404,556 6.50 08/01/2025 402,282 396,226 6.50 12/01/2025 393,909 19,656 6.50 05/01/2026 19,552 41,762 6.50 03/01/2028 41,488 784,728 6.50 04/01/2028 779,573 991,767 6.50 05/01/2028 985,251 794,224 6.50 06/01/2028 789,006 947,051 6.50 07/01/2028 940,830 101,483 6.50 08/01/2028 100,816 105,229 6.50 09/01/2028 104,537 3,000,000 6.00 TBA-30 Yr.(b) 2,976,563 ------------ $ 9,215,682 ------------------------------------------------------------------------------------------ Government National Mortgage Association (GNMA) - 12.8% $ 122,337 9.00% 10/15/2019 $ 131,282 74,405 9.00 12/15/2019 79,800 232,770 7.00 03/15/2023 236,699 173,963 7.50 04/15/2023 179,617 636,011 7.00 05/15/2023 646,746 208,498 7.00 06/15/2023 212,018 926,085 7.00 07/15/2023 941,718 357,226 7.50 07/15/2023 368,836 437,890 7.00 08/15/2023 445,281 623,428 7.00 09/15/2023 633,951 1,244,010 7.00 10/15/2023 1,265,008 542,808 7.00 11/15/2023 551,971 666,527 7.00 12/15/2023 677,778 969,461 6.50 03/15/2028 963,092 994,344 6.50 10/15/2028 987,812 3,919,165 6.50 02/15/2029 3,893,416 ------------------------------------------------------------------------------------------
Principal Interest Maturity Amount Rate Date Value Mortgage Backed Obligations - (continued) Government National Mortgage Association (GNMA) - (continued) $ 2,000,200 6.50% 04/15/2029 $ 1,987,058 1,000,000 7.00 TBA-30 Yr.(b) 1,018,438 ------------ $ 15,220,521 ------------------------------------------------------------------------------------------ Collateralized Mortgage Obligations - 18.0% Interest Only - 0.1% FNMA Interest-Only Stripped Security, Series 151, Class 2(c) $ 329,947 9.50% 07/25/2022 $ 87,436 ------------ $ 87,436 ------------------------------------------------------------------------------------------ Inverse Floater(d) - 2.0% FNMA Remic Trust 1992-62, Class S $ 51,377 11.09% 05/25/1999 $ 51,500 FNMA Remic Trust 1993-231, Class SA 1,425,197 7.69 12/25/2008 1,402,871 FNMA Series 1993-138, Class SM 921,052 10.94 12/25/2021 973,082 ------------ $ 2,427,453 ------------------------------------------------------------------------------------------ Inverse Floating Rate--Interest Only(d) - 0.3% Salomon Brothers Mortgage Securities VII Series 1996-6E, Class A2(a)(c) $11,437,361 4.10% 01/01/2001 $ 314,527 ------------ $ 314,527 ------------------------------------------------------------------------------------------ Planned Amortization Class (PAC) CMOs - 8.7% FHLMC Series 1985, Class PC $ 1,500,000 6.35% 05/17/2018 $ 1,514,520 FHLMC Series 2055, Class OD(a) 4,000,000 6.00 12/15/2007 3,933,720 FNMA REMIC Trust Series 1997-84, Class PB 2,000,000 5.50 01/25/2008 1,931,860 GE Capital Mortgage Services, Inc. Series 1997-8, Class A13 3,000,000 7.25 03/25/2027 3,032,580 ------------ $ 10,412,680 ------------------------------------------------------------------------------------------ Principal Only - 0.2% FNMA Remic Trust, Series G-35, Class N(e) $ 287,001 4.85% 10/25/2021 $ 239,573 ------------ $ 239,573 ------------------------------------------------------------------------------------------ Sequential Fixed Rate CMOs - 3.9% Citicorp. Mortgage Securities, Series 1993-11, Class A6 $ 458,372 6.25% 09/25/2008 $ 453,362 Credit Suisse First Boston Series 1997-C2, Class A2 800,000 6.52 07/17/2007 804,184 First Union-Lehman Brothers Commercial Mortgage Services Series 1997-C1, Class A2 400,000 7.30 12/18/2006 415,812 GE Capital Mortgage Services, Inc. Series 1995-1, Class A8 2,403,923 8.40 02/25/2025 2,421,808 Morgan Stanley Capital Commercial Mortgage, Inc. Series 1997-C1 500,000 7.46 05/15/2006 514,270 ------------ $ 4,609,436 ------------------------------------------------------------------------------------------
The accompanying notes are an integral part of these financial statements. 25 GOLDMAN SACHS GOVERNMENT INCOME FUND Statement of Investments April 30, 1999 (Unaudited)
Principal Interest Maturity Amount Rate Date Value Mortgage Backed Obligations - (continued) Collateralized Mortgage Obligations - (continued) Support - 2.8% FHLMC Series 16, Class M $ 1,000,000 7.00% 08/25/2023 $ 997,830 Housing Securities, Inc., Series 1994-1, Class A13 1,455,585 6.50 03/25/2009 1,417,944 Salomon Brothers Mortgage Securities VII Series 1996-6H, Class A1 1,000,000 6.00 09/25/2008 978,030 ------------ $ 3,393,804 ------------------------------------------------------------------------------------------ TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS $ 21,484,909 ------------------------------------------------------------------------------------------ TOTAL MORTGAGE BACKED OBLIGATIONS (cost $72,179,072) $ 72,195,393 ------------------------------------------------------------------------------------------ Agency Debentures - 6.3% Federal Home Loan Bank $ 1,000,000 5.68% 12/03/2007 $ 997,400 Financing Corp. Stripped Security (Principal Only)(e) 2,000,000 6.42 03/07/2013 833,800 Small Business Administration 1,551,914 7.15 03/01/2017(a) 1,602,910 1,281,532 7.50 04/01/2017 1,342,854 749,462 7.30 05/01/2017 779,381 978,201 6.30 05/01/2018 975,726 974,890 6.30 06/01/2018 972,377 ------------------------------------------------------------------------------------------ TOTAL AGENCY DEBENTURES (cost $7,390,023) $ 7,504,448 ------------------------------------------------------------------------------------------ Asset-Backed Securities - 15.3% AESOP Funding Series 1998-1, Class A(a)(f) $ 2,000,000 6.14% 05/20/2006 $ 1,985,320 AFC Series 1997-1, Class A(d) 554,013 5.16 03/25/2027 553,094 Americredit Automobile Receivables Series 1997-D, Class A3 1,300,000 6.24 09/05/2003 1,308,593 Arcadia Automobile Receivables Series 1998-C, Class A3(a) 2,500,000 5.67 01/15/2004 2,479,688 CPS Auto Grantor Trust Series 1996-3, Class A 1,396,542 6.30 08/15/2002 1,401,639 Fasco Auto Trust, Series 1996-1, Class A 365,876 6.65 11/15/2001 368,649 Fingerhut Master Trust Series 1998-2, Class A 2,750,000 6.23 02/15/2007 2,761,990 Fingerhut Master Trust, Series 1996-1, Class A 275,333 6.45 02/20/2002 276,107 ------------------------------------------------------------------------------------------
Principal Interest Maturity Amount Rate Date Value Asset-Backed Securities - (continued) First Sierra Equipment Contract Trust Series 1998-1, Class A4 $ 1,600,000 5.63% 08/12/2004 $ 1,580,496 MBNA Master Credit Card Trust Series 1998-C, Class A(a) 2,000,000 5.01 11/15/2005 1,995,620 Merrill Lynch Mortgage Investments, Inc. Series 1997-FF2, Class A(a) 1,092,939 5.18 08/25/2028 1,091,232 Merrill Lynch Mortgage Investments, Inc. Series 1997-FF3, Class A2(a) 1,492,917 5.15 11/20/2027 1,488,718 Mid State Trust, Series 4, Class A 831,261 8.33 04/01/2030 883,412 Olympic Automobile Receivables Trust, Series 1994-B, Class A2 106,914 6.85 06/15/2001 106,921 ------------------------------------------------------------------------------------------ TOTAL ASSET-BACKED SECURITIES (cost $18,305,621) $ 18,281,479 ------------------------------------------------------------------------------------------ Insured Revenue Bonds - 1.8% New Jersey Economic Development Authority Series A(a) $ 2,000,000 7.43% 02/15/2029 $ 2,188,460 ------------------------------------------------------------------------------------------ TOTAL INSURED REVENUE BONDS (cost $2,000,000) $ 2,188,460 ------------------------------------------------------------------------------------------ U.S. Treasury Obligations - 14.9% United States Treasury Bonds(a) $ 1,800,000 7.88% 02/15/2021 $ 2,224,962 United States Treasury Interest-Only Stripped Securities(e) 2,110,000 5.69 02/15/2009(a) 1,219,601 800,000 7.46 11/15/2009 440,992 2,700,000 5.95 05/15/2012 1,262,250 2,100,000 6.05 02/15/2014 872,361 United States Treasury Notes 2,200,000 5.75 10/31/2002 2,237,466 United States Treasury Principal-Only Stripped Securities(e) 1,900,000 5.49 05/15/2005(a) 1,374,821 3,900,000 5.49 08/15/2005 2,781,012 4,450,000 5.76 11/15/2009 2,419,376 5,750,000 6.13 02/15/2019 1,747,713 3,400,000 6.13 05/15/2020(a) 960,738 1,300,000 5.96 08/15/2026 262,145 ------------------------------------------------------------------------------------------ TOTAL U.S. TREASURY OBLIGATIONS (cost $18,218,429) $ 17,803,437 ------------------------------------------------------------------------------------------
The accompanying notes are an integral part of these financial statements. 26 GOLDMAN SACHS GOVERNMENT INCOME FUND
Principal Interest Maturity Amount Rate Date Value Repurchase Agreement - 13.7% Joint Repurchase Agreement Account(a) $16,300,000 4.95% 05/03/1999 $ 16,300,000 -------------------------------------------------------------------------------------------- TOTAL REPURCHASE AGREEMENT (cost $16,300,000) $ 16,300,000 -------------------------------------------------------------------------------------------- TOTAL INVESTMENTS (cost $134,393,145)(g) $134,273,217 -------------------------------------------------------------------------------------------- Federal Income Tax Information: Gross unrealized gain for investments in which value exceeds cost $ 706,739 Gross unrealized loss for investments in which cost exceeds value (1,251,633) -------------------------------------------------------------------------------------------- Net unrealized loss $ (544,894) --------------------------------------------------------------------------------------------
Futures contracts open at April 30, 1999 are as follows:
Number of Contracts Settlement Unrealized Type Long/(Short)(h) Month Gain (Loss) ----------------------------------------------------------------------- Euro Dollars 7 June 1999 (11,157) Euro Dollars (5) September 1999 3,531 Euro Dollars 10 December 1999 (12,314) Euro Dollars 10 September 2000 (1,564) 2 Year U.S. Treasury Note 5 June 1999 (3,391) 5 Year U.S. Treasury Note 34 June 1999 (24,950) 10 Year U.S. Treasury Note (5) June 1999 3,250 20 Year Long Term Bond (13) June 1999 29,449 ----------------------------------------------------------------------- (17,146) -----------------------------------------------------------------------
------------------------------------------------------------------------------ (a) Portions of these securities are segregated for open TBA purchases, forward sale contract, open futures contracts and futures margin requirements. (b) TBA (To Be Assigned) securities are purchased on a forward commitment basis with an approximate (generally +/ -2.5%) principal amount and no definite maturity date. The actual principal amount and maturity date will be determined upon settlement when the specific mortgage pools are assigned. (c) Represents security with notional or nominal principal amount. The actual effective yield of this security is different than the stated coupon due to the amortization of related premiums. (d) Variable rate security. Coupon rate disclosed is that which is in effect at April 30, 1999. (e) The interest rate disclosed for these securities represents effective yields to maturity. (f) Security is exempt from registration under Rule 144A of the Securities Act of 1933. Such securities may be resold, normally to qualified institutional buyers in transactions exempt from registration. Total market value of Rule 144A securities amounted to $1,985,320 as of April 30, 1999. (g) The aggregate cost for federal income tax purposes is $134,818,111. (h) Each Euro Dollar contract represents $1,000,000 in notional par value. Each 5-Year and 10-Year U.S. Treasury Note and each U.S. 20-Year Long Term Bond contract represents $100,000 in notional par value. Each 2-Year U.S. Treasury Note contract represents $200,000 in notional par amount. The total notional amount and market value at risk are $38,200,000 and $14,532,919, respectively. The determination of notional amounts as presented here are indicative only of volume of activity and not a measure of market risk. The percentage shown for each investment category reflects the value of investments in that category as a percentage of net assets. The accompanying notes are an integral part of these financial statements. 27 GOLDMAN SACHS CORE FIXED INCOME FUND Performance Summary April 30, 1999 (Unaudited) The following graph shows the value as of April 30, 1999, of a $10,000 in- vestment made in Institutional shares on January 5, 1994 (commencement of operations) of the Goldman Sachs Core Fixed Income Fund. For comparative pur- poses, the performance of the Fund's benchmark (the Lehman Brothers Aggregate Bond Index ("Lehman Aggregate Index")) is shown. This performance data repre- sents past performance and should not be considered indicative of future per- formance which will fluctuate with changes in market conditions. These performance fluctuations will cause an investor's shares, when redeemed, to be worth more or less than their original cost. Performance of Class A, Class B, Class C, Administration and Service shares will vary from Institu- tional shares due to differences in fees and loads. Core Fixed Income Fund's Lifetime Performance Growth of a $10,000 Investment, Distributions Reinvested January 5, 1994 to April 30, 1999. [LINE GRAPH APPEARS HERE]
Core Fixed Income Fund -- Institutional Shares Lehman Aggregate Index ---------------------------------------------- ---------------------- 1/5/94 10,000 10,000 Jan-94 10,157 10,135 Feb-94 9,964 9,959 Mar-94 9,759 9,713 Apr-94 9,678 9,635 May-94 9,672 9,634 Jun-94 9,644 9,613 Jul-94 9,825 9,804 Aug-94 9,842 9,816 Sep-94 9,710 9,672 Oct-94 9,700 9,663 Nov-94 9,680 9,642 Dec-94 9,780 9,708 Jan-95 9,957 9,900 Feb-95 10,186 10,136 Mar-95 10,248 10,198 Apr-95 10,388 10,341 May-95 10,788 10,741 Jun-95 10,862 10,819 Jul-95 10,843 10,795 Aug-95 10,979 10,926 Sep-95 11,080 11,032 Oct-95 11,224 11,175 Nov-95 11,393 11,343 Dec-95 11,550 11,502 Jan-96 11,621 11,578 Feb-96 11,424 11,376 Mar-96 11,332 11,297 Apr-96 11,276 11,233 May-96 11,268 11,211 Jun-96 11,436 11,361 Jul-96 11,464 11,392 Aug-96 11,457 11,372 Sep-96 11,653 11,570 Oct-96 11,898 11,827 Nov-96 12,120 12,029 Dec-96 12,016 11,918 Jan-97 12,057 11,955 Feb-97 12,085 11,984 Mar-97 11,955 11,851 Apr-97 12,121 12,029 May-97 12,225 12,143 Jun-97 12,380 12,288 Jul-97 12,726 12,620 Aug-97 12,615 12,512 Sep-97 12,808 12,696 Oct-97 12,991 12,880 Nov-97 13,020 12,940 Dec-97 13,159 13,070 Jan-98 13,332 13,238 Feb-98 13,320 13,227 Mar-98 13,374 13,273 Apr-98 13,430 13,342 May-98 13,568 13,469 Jun-98 13,692 13,583 Jul-98 13,722 13,612 Aug-98 13,971 13,834 Sep-98 14,258 14,157 Oct-98 14,180 14,083 Nov-98 14,138 14,162 Dec-98 14,206 14,205 Jan-99 14,305 14,307 Feb-99 14,042 14,057 Mar-99 14,155 14,135 Apr-99 14,209 14,179
Average Annual Total Return through April 30, 1999 Since Inception Five Years One Year Six Months(a) Class A (commenced May 1, 1997) Excluding sales charges 7.90% n/a 5.45% 0.10% Including sales charges 5.43% n/a 0.72% -4.37% --------------------------------------------------------------------------------- Class B (commenced May 1, 1997) Excluding contingent deferred sales charges 7.14% n/a 4.67% -0.26% Including contingent deferred sales charges 5.01% n/a -0.57% -5.25% --------------------------------------------------------------------------------- Class C (commenced August 15, 1997) Excluding contingent deferred sales charges 6.07% n/a 4.67% -0.26% Including contingent deferred sales charges 6.07% n/a 3.62% -1.26% --------------------------------------------------------------------------------- Institutional Class (com- menced January 5, 1994) 6.83% 7.98% 5.80% 0.21% --------------------------------------------------------------------------------- Administration Class (commenced February 28, 1996) 6.75% n/a 5.54% 0.18% --------------------------------------------------------------------------------- Service Class (commenced March 13, 1996) 7.03% n/a 5.28% 0.06% ---------------------------------------------------------------------------------
(a) Not annualized. 28 GOLDMAN SACHS CORE FIXED INCOME FUND Statement of Investments April 30, 1999 (Unaudited)
Principal Interest Maturity Amount Rate Date Value Corporate Bonds - 34.4% Finance Bonds - 12.9% American General Finance Corp. $1,110,000 5.50% 02/01/2002 $ 1,099,084 780,000 5.75 11/01/2003 771,069 Associates Corp. of North America 950,000 5.75 11/01/2003 938,920 1,000,000 6.00 07/15/2005 988,770 Bank of New York, Inc.(a) 1,100,000 7.88 11/15/2002 1,167,639 BankAmerica Corp. 300,000 7.75 07/15/2002 316,275 400,000 7.50 10/15/2002 418,544 730,000 7.88 12/01/2002 777,114 1,200,000 9.20(a) 05/15/2003 1,332,353 Capital One Bank 600,000 6.66 02/03/2000 602,683 400,000 6.88 04/24/2000 403,908 800,000 6.58 04/17/2001 807,592 650,000 6.15 06/01/2001 651,690 1,000,000 6.48 01/28/2002 1,005,930 330,000 7.15 09/15/2006 336,263 Capital One Financial Corp. 355,000 7.25 12/01/2003 352,590 Chrysler Financial Co. LLC 430,000 6.09 04/06/2001 434,012 Citigroup, Inc. 900,000 5.80 03/15/2004 891,945 Comdisco, Inc.(a) 2,200,000 6.13 01/15/2003 2,195,094 Conseco Inc. 840,000 7.88 12/15/2000 853,709 Countrywide Capital Corp. 1,080,000 8.05 06/15/2027 1,133,428 Countrywide Funding Corp. 125,000 6.08 07/14/1999 125,201 250,000 8.43 11/16/1999 254,090 1,000,000 6.97 03/28/2003 1,026,190 Countrywide Home Loans, Inc. 400,000 6.45 02/27/2003 403,468 Developers Diversified Realty Corp. 1,400,000 6.84 12/16/2004 1,336,692 Dime Bancorp, Inc. 810,000 6.38 01/30/2001 803,326 ERP Operating LP(b) 550,000 8.50 05/15/1999 550,473 Ford Capital Corp. 325,000 9.88 05/15/2002 360,126 Ford Motor Credit Corp. 150,000 6.00 01/14/2003 150,279 740,000 6.13 04/28/2003 742,449 General Motors Acceptance Corp. 375,000 9.63 12/15/2001 409,410 1,500,000 5.91 03/11/2002 1,500,840 ---------------------------------------------------------------------------------------------
Principal Interest Maturity Amount Rate Date Value Corporate Bonds - (continued) Finance Bonds - (continued) Homeside Lending, Inc. $ 510,000 6.20% 05/15/2003 $ 509,342 400,000 6.75 08/01/2004 404,220 Household Finance Co. 900,000 5.88 11/01/2002 897,595 Long Island Savings Bank(a) 2,650,000 6.20 04/02/2001 2,652,809 Meditrust, Inc. 750,000 7.38 07/15/2000 724,350 390,000 7.82 09/10/2026 354,155 Merita Bank 650,000 6.50 04/01/2009 640,939 MIC Finance Trust(b) 360,000 8.38 02/01/2027 350,797 NationsBank Corp. 700,000 6.38 05/15/2005 707,000 Providian National Corp. 705,000 6.65 02/01/2004 709,026 PXRE Capital Trust I 165,000 8.85 02/01/2027 142,085 Security Pacific Corp. 995,000 11.50 11/15/2000 1,078,680 Signet Banking Corp. 240,000 9.63 06/01/1999 240,629 Simon Property Group LP 345,000 6.63 06/15/2003 341,953 The Money Store, Inc. 630,000 7.30 12/01/2002 657,040 World Financial Properties(b) 481,688 6.91 09/01/2013 472,897 ------------ $ 36,024,673 ----------------------------------------------------------------------------------------------- Industrial Bonds - 18.8% 360 Communications Co. $1,015,000 7.13% 03/01/2003 $ 1,052,108 Ametek, Inc.(b) 600,000 7.20 07/15/2008 576,000 Cable & Wireless Communications 1,360,000 6.38 03/06/2003 1,362,924 Cendant Corp.(a) 1,100,000 7.50 12/01/2000 1,115,103 Comcast Cellular(a) 1,635,000 9.50 05/01/2007 1,849,594 Continental Airlines, Inc. 325,234 7.75 07/02/2014 350,156 529,965 8.56 07/02/2014 587,508 Delphi Auto Systems Corp.(i) 1,300,000 6.13 05/01/2004 1,294,384 Federated Department Stores 1,400,000 8.50 06/15/2003 1,520,092 -----------------------------------------------------------------------------------------------
The accompanying notes are an integral part of these financial statements. 29 GOLDMAN SACHS CORE FIXED INCOME FUND Statement of Investments April 30, 1999 (Unaudited)
Principal Interest Maturity Amount Rate Date Value Corporate Bonds - (continued) Industrial Bonds - (continued) Hertz Corp. $1,075,000 6.70% 06/15/2002 $ 1,092,243 1,200,000 6.00 01/15/2003 1,191,360 500,000 7.00 07/15/2003 513,475 Highwoods Realty LP 835,000 6.75 12/01/2003 819,052 Joseph E. Seagram & Sons, Inc. 850,000 6.25 12/15/2001 854,072 Liberty Property LP 115,000 7.10 08/15/2004 112,977 Nabsico, Inc.(a) 1,650,000 6.00 02/15/2011 1,640,859 News America Holdings, Inc. 1,500,000 8.50 02/15/2005 1,642,095 400,000 8.00 10/17/2016 428,884 600,000 7.13 04/08/2028 585,090 Northwest Airlines Corp. 142,820 8.26 03/10/2006 145,856 1,998,809 8.97(a) 01/02/2015 2,111,542 Oryx Energy Co. 800,000 10.00 06/15/1999 803,600 Owens Corning 745,000 7.50 05/01/2005 750,818 300,000 7.70 05/01/2008 307,935 Panamsat Corp.(a) 2,650,000 6.13 01/15/2005 2,512,465 Pep Boys--Manny, Moe & Jack 550,000 6.75 03/10/2004 524,068 100,000 6.52 07/16/2007 94,869 Philip Morris Companies, Inc. 550,000 8.75 06/01/2001 579,736 2,250,000 7.13(a) 08/15/2002 2,312,010 Raytheon Co. 250,000 6.45 08/15/2002 253,433 1,060,000 5.70 11/01/2003 1,046,994 Safeway Inc. 665,000 6.05 11/15/2003 663,530 Sears Roebuck Acceptance Corp. 500,000 6.41 11/19/2002 506,290 Tele-Communications, Inc. 100,000 7.38 02/15/2000 101,578 Time Warner, Inc. 2,850,000 9.63(a) 05/01/2002 3,137,366 400,000 7.98 08/15/2004 432,308 1,000,000 6.85 01/15/2026 1,019,540 TKR Cable Inc.(a) 4,195,000 10.50 10/30/2007 4,508,702 Tyco International Group 975,000 5.88 11/01/2004 964,616 1,850,000 6.38 06/15/2005 1,866,521 U.S. Air, Inc. 528,545 6.76 04/15/2008 523,241 --------------------------------------------------------------------------------------------
Principal Interest Maturity Amount Rate Date Value Corporate Bonds - (continued) Industrial Bonds - (continued) USI American Holdings, Inc. $ 150,000 7.25% 12/01/2006 $ 148,319 Viacom, Inc. 2,250,000 6.75(a) 01/15/2003 2,294,573 455,000 7.75 06/01/2005 483,433 Videotron Group Ltd. 835,000 10.63 02/15/2005 905,975 Westinghouse Electric 665,000 6.88 09/01/2003 676,531 Williams Communications Solutions, Inc.(a) 2,030,000 6.13 02/15/2002 2,030,995 WMX Technologies, Inc. 1,225,000 6.25 10/15/2000 1,232,338 700,000 6.38 12/01/2003 705,243 ------------ $ 52,232,401 -------------------------------------------------------------------------------------------- Utility Bonds - 2.7% CE Electric UK Funding Co.(b) $1,000,000 6.85% 12/30/2004 $ 1,013,887 Central Maine Power Co. 330,000 7.45 08/30/1999 331,502 Edison Mission Energy Funding Corp.(b) 127,554 6.77 09/15/2003 129,150 Niagara Mohawk Power Corp. 650,000 6.88 04/01/2003 668,220 400,000 7.38 08/01/2003 419,176 314,000 8.00 06/01/2004 338,313 Salton Sea Funding 100,671 7.02 05/30/2000 101,302 Sprint Capital Corp.(i) 1,440,000 5.88 05/01/2004 1,432,843 Worldcom, Inc. 1,400,000 6.25 08/15/2003 1,405,446 1,125,000 6.40 08/15/2005 1,131,829 450,000 8.88 01/15/2006 483,408 ------------ $ 7,455,076 -------------------------------------------------------------------------------------------- TOTAL CORPORATE BONDS (Cost $96,128,668) $ 95,712,150 -------------------------------------------------------------------------------------------- Agency Debentures - 0.9% Small Business Administration(a) $2,437,225 6.30% 06/01/2018 $ 2,430,943 -------------------------------------------------------------------------------------------- TOTAL AGENCY DEBENTURES (Cost $2,437,225) $ 2,430,943 -------------------------------------------------------------------------------------------- Asset-Backed Securities - 11.5% Aames Mortgage Trust Series 1998 B(a) $3,500,000 6.46% 09/15/2028 $ 3,486,875 AESOP Funding Series 1998-1, Class A(a)(b) 3,400,000 6.14 05/20/2006 3,375,044 --------------------------------------------------------------------------------------------
The accompanying notes are an integral part of these financial statements. 30 GOLDMAN SACHS CORE FIXED INCOME FUND
Principal Interest Maturity Amount Rate Date Value Asset Backed Securities - (continued) AFC Series 1997-1, Class A(c) $ 406,277 5.16% 03/25/2027 $ 405,602 Americredit Automobile Receivables Trust Series 1998-A, Class A3(a) 2,500,000 5.88 12/15/2003 2,515,300 Arcadia Automobile Receivables Trust Series 1998-E, Class A3(a) 2,750,000 5.75 10/15/2006 2,720,460 Chevy Chase Auto Receivables Trust Series 1995-2, Class A 37,394 5.80 06/15/2002 37,476 Discover Card Master Trust Series 1996-4, Class B(c) 850,000 5.48 10/16/2013 843,353 DVI Equipment Lease Trust 1996-1, Class A(b) 499,979 6.55 07/10/2004 503,424 Green Tree Financial Corp. Series 1998-6, Class M1(a) 4,250,000 6.63 06/01/2030 4,166,318 IMC Home Equity Loan Trust Series 1998-3, Class A8(a) 5,200,000 6.34 08/20/2029 5,157,568 Merrill Lynch Mortgage Investments, Inc. Series 1997-FF3, Class A2(c) 933,262 5.15 11/20/2027 930,637 Mid State Trust, Series 4, Class A(a) 2,770,870 8.33 04/01/2030 2,944,706 Olympic Automobile Receivables Trust, Series 1994-B, Class A2 62,280 6.85 06/15/2001 62,284 Union Acceptance Corp. Series 1999-A, Class A5(a)(c) 5,000,000 5.87 09/08/2006 4,996,050 -------------------------------------------------------------------------------------------- TOTAL ASSET-BACKED SECURITIES (Cost $32,411,517) $ 32,145,097 -------------------------------------------------------------------------------------------- Emerging Market Debt - 3.1% Corp. Andina de Fomento(a) $1,500,000 7.38% 07/21/2000 $ 1,501,845 Financiera Energy Nacional 100,000 9.38(b) 06/15/2006 91,000 500,000 9.38 06/15/2006 455,000 Government of Poland 310,000 4.00 10/27/2024 213,900 Pemex Finance Ltd. 200,000 8.02 05/15/2007 196,776 700,000 9.15(b) 11/15/2018 690,452 Petroleos Mexicanos(b) 400,000 8.02 05/15/2007 393,552 Republic of Colombia 150,000 7.25 02/15/2003 138,000 780,000 10.99 08/13/2005 742,950 Republic of Korea 1,530,000 8.88 04/15/2008 1,658,398 Republic of Poland(c) 1,260,000 5.00 10/27/2014 1,167,075 YPF Sociedad Anonima 80,587 7.00 10/26/2002 79,470 1,449,377 7.50 10/26/2002 1,451,195 -------------------------------------------------------------------------------------------- TOTAL EMERGING MARKET DEBT (Cost $8,869,011) $ 8,779,613 --------------------------------------------------------------------------------------------
Principal Interest Maturity Amount Rate Date Value Mortgage Backed Obligations - 42.9% Asset Securitization Corp. Series 1997 DR, Class A1D $ 900,000 7.49% 04/14/2029 $ 943,839 Chase Commercial Mortgage Securities Corp. Series 1997-2, Class A2(a) 3,100,000 6.60 11/19/2007 3,118,073 Chase Commercial Mortgage Securities Corp. Series 1998-1, Class A2(a) 3,000,000 6.56 05/18/2008 3,018,360 Collateralized Mortgage Obligation Trust Series 63, Class Z 801,359 9.00 10/20/2020 837,668 Commercial Mortgage Acceptance Corp. Series 1998-C1, Class A2(a) 2,200,000 6.49 05/15/2008 2,209,636 Credit Suisse First Boston Series 1997-C2, Class A3(a) 3,250,000 6.55 11/17/2007 3,278,113 Federal Home Loan Mortgage Corp. (FHLMC) 176,336 8.00 08/01/2010 182,093 131,875 7.00 10/01/2017 132,164 529,928 7.50 06/01/2024 544,830 3,384,360 7.50(a) 08/01/2027 3,478,480 694,262 7.00 10/01/2027 705,328 1,106,926 7.00 06/01/2028 1,122,833 1,919,051 7.00 07/01/2028 1,946,628 736,409 7.00 08/01/2028 746,991 1,025,414 6.00 11/01/2028 994,652 234,676 7.00 11/01/2028 238,048 833,121 7.50 11/01/2028 856,290 1,077,562 7.00 12/01/2028 1,093,047 2,264,917 6.00 01/01/2029 2,196,969 1,487,443 7.00 01/01/2029 1,508,818 6,438,844 6.00(a) 02/01/2029 6,245,678 3,038,039 6.00 02/01/2029 2,946,898 4,192,020 6.00 03/01/2029 4,066,258 930,000 7.00 04/01/2029 943,987 6,000,000 6.00 TBA-15 Yr(d) 5,953,125 14,000,000 6.50 TBA-30 Yr(d) 13,921,180 8,000,000 7.00 TBA-30 Yr(d) 8,114,960 Federal National Mortgage Association (FNMA) 74,986 6.50 02/01/2026 74,587 223,072 6.50 08/01/2026 221,885 164,645 6.50 09/01/2027 163,563 319,165 6.50 10/01/2027 317,068 2,048,774 6.50 11/01/2027 2,035,314 2,314,691 6.50 12/01/2027 2,299,639 775,908 6.50 02/01/2028 770,811 780,574 6.50 04/01/2028 775,446 337,309 6.50 06/01/2028 335,092 1,159,409 6.50 07/01/2028 1,151,791 172,137 6.50 08/01/2028 171,006 1,059,219 6.50 09/01/2028 1,052,259 5,000,000 6.00 TBA-15 Yr(d) 4,960,938 FHLMC Series 16, Class PG(a) 1,000,000 6.35 03/25/2018 1,007,500 ---------------------------------------------------------------------------------------------
The accompanying notes are an integral part of these financial statements. 31 GOLDMAN SACHS CORE FIXED INCOME FUND Statement of Investments April 30, 1999 (Unaudited)
Principal Interest Maturity Amount Rate Date Value Mortgage Backed Obligations - (continued) FHLMC Series 2055, Class OD $2,000,000 6.00% 12/15/2007 $ 1,966,860 First Union-Lehman Brothers Commercial Mortgage Services Series 1997-C1, Class A2 600,000 7.30 12/18/2006 623,718 First Union-Lehman Brothers Commercial Mortgage Services Series 1997-C2, Class A2 1,000,000 6.60 11/18/2029 1,005,500 FNMA Remic Trust 1991-31, Class PJ 750,000 6.55 10/25/2020 755,288 FNMA Remic Trust 1992-24, Class N(e) 18,755 19.03 03/25/2007 271,834 FNMA Remic Trust 1993-138, Class SM(a)(c) 3,000,000 10.94 12/25/2021 3,169,470 FNMA Remic Trust 1997-70, Class AB 1,250,000 6.50 09/25/2022 1,228,225 Government National Mortgage Association (GNMA) 215,915 8.00 02/15/2017 226,441 22,038 7.00 11/15/2022 22,417 816,501 7.00 12/15/2022 830,536 545,099 7.00 01/15/2023 554,769 128,713 7.00 03/15/2023 131,045 444,958 7.50 03/15/2023 459,419 1,697,111 7.00 05/15/2023 1,725,757 27,849 7.00 06/15/2023 28,319 1,800,561 7.00 07/15/2023 1,830,955 576,651 7.00 08/15/2023 586,384 84,429 7.50 08/15/2023 87,173 1,425,372 7.00 10/15/2023 1,449,432 32,377 7.00 11/15/2023 32,924 1,118,051 7.00 12/15/2023 1,136,924 293,551 6.50 06/15/2028 291,622 288,752 6.50 09/15/2028 286,855 2,989,345 6.50 01/15/2029 2,969,705 998,888 6.50 02/15/2029 992,325 1,417,896 6.50 04/15/2029 1,408,580 Merrill Lynch Mortgage Investors, Inc. Series 1998-C2, Class A2(a) 3,690,000 6.39 02/15/2030 3,680,037 Morgan Stanley Capital Commercial Mortgage, Inc. Series 1997-C1 900,000 7.46 05/15/2006 925,686 Prudential Home Mortgage Securities Corp. 1992-39 A8(c) 1,000,000 8.63 12/25/2007 1,042,180 Residential Asset Securitization Trust Series 1997-A3, Class A4(a) 3,000,000 7.75 05/25/2027 3,039,360 ----------------------------------------------------------------------------------------------- TOTAL MORTGAGE BACKED OBLIGATIONS (Cost $119,509,069) $119,441,585 -----------------------------------------------------------------------------------------------
Principal Interest Maturity Amount Rate Date Value Sovereign Credit - 1.3% Province of Quebec $ 520,000 13.25% 09/15/2014 $ 558,054 835,000 7.50 07/15/2023 908,405 320,000 5.74(c) 03/02/2026 336,666 State of Israel 370,000 6.38 12/15/2005 363,285 6,000,000 6.29(j) 05/15/2023 1,321,380 --------------------------------------------------------------------------------------------- TOTAL SOVEREIGN CREDIT (Cost $3,706,741) 3,487,790 --------------------------------------------------------------------------------------------- U.S. Treasury Obligations - 1.6% United States Treasury Principal-Only Stripped Securities(a)(f) $11,450,000 6.13% 02/15/2019 $ 3,480,228 4,200,000 5.96 08/15/2026 846,930 --------------------------------------------------------------------------------------------- TOTAL U.S. TREASURY OBLIGATIONS (Cost $4,451,426) $ 4,327,158 --------------------------------------------------------------------------------------------- Repurchase Agreement - 13.1% Joint Repurchase Agreement Account(a) $36,400,000 4.95% 05/03/1999 $ 36,400,000 --------------------------------------------------------------------------------------------- TOTAL REPURCHASE AGREEMENT (Cost $36,400,000) $ 36,400,000 --------------------------------------------------------------------------------------------- TOTAL INVESTMENTS (Cost $303,913,657)(g) $302,724,336 ---------------------------------------------------------------------------------------------
Federal Income Tax Information: Gross unrealized gain for investments in which value exceeds cost $ 1,014,326 Gross unrealized loss for investments in which cost exceeds value (2,486,088) ------------------------------- Net unrealized loss $(1,471,762) -------------------------------
Futures contracts open at April 30, 1999 are as follows:
Number of Contracts Settlement Unrealized Type Long/(Short)(h) Month Gain (Loss) --------------------------------------------------------------------------- Euro Dollars 23 June 1999 (21,634) Euro Dollars 15 September 1999 (21,470) Euro Dollars 20 December 1999 (39,502) Euro Dollars 25 March 2000 (7,596) 5 Year U.S. Treasury Note (268) June 1999 213,759 10 Year U.S. Treasury Note 28 June 1999 (30,803) 20 Year Long Term Bond 256 June 1999 (416,922) --------------------------------------------------------------------------- (324,168) ---------------------------------------------------------------------------
The accompanying notes are an integral part of these financial statements. 32 GOLDMAN SACHS CORE FIXED INCOME FUND ------------------------------------------------------------------------------ (a) Portions of these securities are segregated for open TBA purchases, when- issued securities, open futures contracts and futures margin requirements. (b) Securities are exempt from registration under Rule 144A of the Securities Act of 1933. Such securities may be resold, normally to qualified institutional buyers in transactions exempt from registration. Total market value of Rule 144A securities amounted to $8,146,676 as of April 30, 1999. (c) Variable rate security. Coupon rate disclosed is that which is in effect at April 30, 1999. (d) TBA (To Be Assigned) securities are purchased on a forward commitment basis with an approximate (generally +/ -2.5%) principal amount and no definite maturity date. The actual principal amount and maturity date will be determined upon settlement when the specific mortgage pools are assigned. (e) Represents security with notional or nominal principal amount. The actual effective yield of this security is different than the stated coupon due to amortization of related premiums. (f) The interest rate disclosed for these securities represents effective yield to maturity. (g) The aggregate cost for federal income tax purposes is $304,196,098. (h) Each Euro Dollar contract represents $1,000,000 in notional par value. Each 5-Year and 10-Year U.S. Treasury Note and each U.S. 20-Year Long Term Bond contract represents $100,000 in notional par value. The total notional amount and market value at risk are $138,200,000 and $83,422,925, respectively. The determination of notional amounts as presented here are indicative only of volume of activity and not a measure of market risk. (i) When-issued security. (j) This security is issued with a zero-coupon. The interest rate disclosed for this security represents effective yield to maturity. The percentage shown for each investment category reflects the value of investments in that category as a percentage of net assets. The accompanying notes are an integral part of these financial statements. 33 GOLDMAN SACHS GLOBAL INCOME FUND Performance Summary April 30, 1999 (Unaudited) The following graph shows the value as of April 30, 1999, of a $10,000 in- vestment made (with the maximum sales charge of 4.5%) in Class A shares on September 1, 1991 of the Goldman Sachs Global Income Fund. For comparative purposes, the performance of the Fund's benchmark (the J.P. Morgan Global Government Bond Index hedged to U.S. Dollars (the "J.P. Morgan GGB Index - $ Hedged")) is shown. This performance data represents past performance and should not be considered indicative of future performance which will fluctu- ate with changes in market conditions. These performance fluctuations will cause an investor's shares, when redeemed, to be worth more or less than their original cost. Performance of Class B, Class C, Institutional and Serv- ice shares will vary from Class A due to differences in fees and loads. Global Income Fund's Lifetime Performance Growth of a $10,000 Investment, Distributions Reinvested September 1, 1991 to April 30, 1999.(a) [CHART APPEARS HERE] Global Income J.P. Morgan GGB Global Income J.P. Morgan GGB Fund Class A Index-$ Hedged Fund Class A Index-$ Hedged ------------ -------------- ------------ -------------- 9/1/91 9,550 10,000 Jan-98 16,068 17,487 Sep-91 9,640 10,174 Feb-98 16,100 17,559 Oct-91 9,686 10,263 Mar-98 16,273 17,674 Nov-91 9,689 10,327 Apr-98 16,354 17,760 Dec-91 9,810 10,583 May-98 16,566 18,327 Jan-92 9,857 10,546 Jun-98 16,604 18,458 Feb-92 9,857 10,584 Jul-98 16,719 18,576 Mar-92 9,768 10,517 Aug-98 17,043 19,000 Apr-92 9,827 10,578 Sep-98 17,523 19,484 May-92 9,896 10,721 Oct-98 17,374 19,440 Jun-92 10,125 10,799 Nov-98 17,491 19,578 Jul-92 10,357 10,918 Dec-98 17,514 19,578 Aug-92 10,678 10,974 Jan-99 17,702 19,775 Sep-92 10,550 11,129 Feb-99 17,388 19,511 Oct-92 10,536 11,156 Mar-99 17,520 19,690 Nov-92 10,514 11,130 Apr-99 17,641 19,874 Dec-92 10,545 11,288 Jan-93 10,623 11,457 Feb-93 10,886 11,671 Mar-93 10,763 11,695 Apr-93 10,849 11,745 May-93 10,928 11,766 Jun-93 11,193 12,006 Jul-93 11,338 12,103 Aug-93 11,483 12,352 Sep-93 11,491 12,404 Oct-93 11,668 12,509 Nov-93 11,633 12,500 Dec-93 11,878 12,660 Jan-94 11,957 12,702 Feb-94 11,561 12,432 Mar-94 11,362 12,258 Apr-94 11,298 12,167 May-94 11,217 12,089 Jun-94 11,136 12,013 Jul-94 11,250 12,145 Aug-94 11,185 12,085 Sep-94 11,152 12,027 Oct-94 11,144 12,050 Nov-94 11,202 12,132 Dec-94 11,252 12,147 Jan-95 11,369 12,314 Feb-95 11,580 12,516 Mar-95 11,826 12,697 Apr-95 11,963 12,880 May-95 12,340 13,324 Jun-95 12,288 13,340 Jul-95 12,297 13,430 Aug-95 12,489 13,556 Sep-95 12,612 13,732 Oct-95 12,824 13,901 Nov-95 13,073 14,167 Dec-95 13,251 14,321 Jan-96 13,471 14,465 Feb-96 13,250 14,258 Mar-96 13,255 14,288 Apr-96 13,383 14,365 May-96 13,426 14,418 Jun-96 13,546 14,555 Jul-96 13,609 14,636 Aug-96 13,720 14,753 Sep-96 14,026 15,034 Oct-96 14,246 15,303 Nov-96 14,525 15,589 Dec-96 14,500 15,552 Jan-97 14,569 15,684 Feb-97 14,669 15,754 Mar-97 14,549 15,644 Apr-97 14,704 15,835 May-97 14,730 15,941 Jun-97 14,968 16,177 Jul-97 15,258 16,522 Aug-97 15,202 16,464 Sep-97 15,535 16,740 Oct-97 15,622 16,925 Nov-97 15,710 17,033 Dec-97 15,897 17,242
Average Annual Total Return through April 30, 1999 Since Inception Five Years One Year Six Months(b) Class A (commenced August 2, 1991) Excluding sales charges 8.32% 9.32% 7.87% 1.54% Including sales charges 7.67% 8.32% 3.01% -3.05% ----------------------------------------------------------------------------- Class B (commenced May 1, 1996) Excluding contingent deferred sales charges 9.08% n/a 7.35% 1.23% Including contingent deferred sales charges 8.06% n/a 2.05% -3.83% ----------------------------------------------------------------------------- Class C (commenced August 15, 1997) Excluding contingent deferred sales charges 8.79% n/a 7.38% 1.31% Including contingent deferred sales charges 8.79% n/a 6.32% 0.30% ----------------------------------------------------------------------------- Institutional Class (com- menced August 1, 1995) 10.72% n/a 8.55% 1.86% ----------------------------------------------------------------------------- Service Class (commenced March 12, 1997) 9.12% n/a 8.03% 1.61% -----------------------------------------------------------------------------
(a) For comparative purposes, initial investments are assumed to be made on the first day of the month following commencement of operations. (b) Not annualized. 34 GOLDMAN SACHS GLOBAL INCOME FUND Statement of Investments April 30, 1999 (Unaudited)
Principal Interest Maturity Amount(a) Rate Date Value Foreign Debt Obligations - 51.1% British Pound Sterling - 16.1% Abbey National Treasury(b) BPS 4,000,000 8.00% 04/02/2003 $ 6,937,917 Bank Nederlandse Gemeenten 2,500,000 6.38 03/30/2005 4,203,090 Standard Chartered Bank 1,500,000 6.75 04/27/2009 2,423,667 United Kingdom Treasury 23,000,000 9.50 10/25/2004 44,975,245 12,000,000 7.75 09/08/2006 22,730,639 5,100,000 7.25 12/07/2007 9,624,094 ------------ $ 90,894,652 ---------------------------------------------------------------------------------------- Euro Currency - 22.4% Baden Wuerttemberg Finance DEM 10,000,000 5.38% 02/05/2010 $ 5,864,908 Citicorp. DEM 4,500,000 6.25 09/19/2009 2,745,340 DEM 1,100,000 5.50 06/30/2010 634,306 Federal Republic of Germany EUR 13,000,000 6.00 01/04/2007 15,806,998 DEM 13,500,000 6.25 01/04/2024 17,137,527 Gallaher Group DEM 10,300,000 5.88 08/06/2008 5,764,163 Government of France EUR 27,000,000 4.50(b) 07/12/2003 30,030,377 EUR 6,300,000 5.50 10/25/2007 7,490,670 EUR 1,500,000 8.50(b) 04/25/2023 2,417,257 Halifax DEM 5,000,000 5.63 07/23/2007 2,964,097 Kingdom of Denmark DKK 95,100,000 8.00 05/15/2003 15,795,899 DKK 30,000,000 8.00 03/15/2006 5,245,855 Merrill Lynch and Co., Inc. DEM 2,500,000 5.38 01/04/2009 1,411,222 Republic of Italy EUR 8,200,000 6.75 07/01/2007 10,267,258 EUR 2,000,000 6.50 11/01/2027 2,559,024 ------------ $126,134,901 ---------------------------------------------------------------------------------------- Japanese Yen - 10.6% Asian Development Bank(b) JPY 1,300,000,000 5.63% 02/18/2002 $ 12,492,944 European Investment Bank 680,000,000 2.13 09/20/2007 6,091,170 Government of Japan 3,530,000,000 0.90 12/22/2008 27,982,212 International Bank for Reconstruction and Development 400,000,000 4.50 06/20/2000 3,514,316 350,000,000 5.25 03/20/2002 3,344,903 40,000,000 2.00 02/18/2008 357,452 Republic of Italy 550,000,000 5.13 07/29/2003 5,497,186 ------------ $ 59,280,183 ----------------------------------------------------------------------------------------
Principal Interest Maturity Amount(a) Rate Date Value Foreign Debt Obligations - (continued) New Zealand Dollar - 0.9% Government of New Zealand NZD 7,600,000 8.00% 11/15/2006 $ 4,863,321 ---------------------------------------------------------------------------------------------- Swedish Krona - 1.1% Kingdom of Sweden SEK 36,000,000 9.00% 04/20/2009 $ 5,939,279 ---------------------------------------------------------------------------------------------- TOTAL FOREIGN DEBT OBLIGATIONS (Cost $295,761,970) $287,112,336 ---------------------------------------------------------------------------------------------- Asset-Backed Securities - 2.7% American Business Financial Services Series 1998-2, Class A6 USD 2,250,000 6.46% 09/25/2029 $ 2,261,250 AESOP Funding Series 1998-1, Class A(c) 1,000,000 6.14 05/20/2006 992,660 AFC Home Equity Loan Trust Series 1997-1, Class A(d) 554,013 5.16 03/25/2027 553,094 ALAC Automobile Receivable Trust Series 1997-1, Class A(c) 183,920 6.29 12/15/2002 184,796 Americredit Automobile Receivables Series 1997-D, Class A3 450,000 6.24 09/05/2003 452,975 Arcadia Automobile Receivables Series 1997-D, Class A4 950,000 6.35 11/15/2005 960,420 Arcadia Automobile Receivables Series 1998-C, Class A3 1,000,000 5.67 08/15/2006 991,875 Bank Boston Home Equity Loan Trust Series 1998-2, Class A7 1,750,000 6.14 06/25/2013 1,726,279 CIT RV Trust Series 1995-B, Class A 145,459 6.50 04/15/2011 146,892 Citibank Credit Card Master Trust I Series 1998-3, Class A 1,000,000 5.80 02/07/2005 997,810 Fingerhut Master Trust Series 1998-2, Class A 1,000,000 6.23 02/15/2007 1,004,360 First Sierra Equipment Contract Trust Series 1998-1, Class A4 900,000 5.63 08/12/2004 889,029 Mid State Trust Series 4, Class A 1,231,504 8.33 04/01/2030 1,308,765 Nissan Auto Receivables Series 1995-A, Class A 286,054 6.10 08/15/2001 286,054 UCFC Home Equity Loan Trust Series 1997-D, Class A8(d) 602,071 5.15 12/15/2027 599,061 Union Financial Services Series 1998-A, Class A9 2,000,000 5.73 12/01/2005 1,942,680 ---------------------------------------------------------------------------------------------- TOTAL ASSET-BACKED SECURITIES (Cost $15,355,567) $ 15,298,000 ----------------------------------------------------------------------------------------------
The accompanying notes are an integral part of these financial statements. 35 GOLDMAN SACHS GLOBAL INCOME FUND Statement of Investments April 30, 1999 (Unaudited)
Principal Interest Maturity Amount(a) Rate Date Value Corporate Bonds - 18.2% 360 Communications Co. USD 300,000 7.13% 03/01/2003 $ 310,968 American General Financial 490,000 5.75 11/01/2003 484,390 Ameritech Capital Funding 4,000,000 5.88 02/19/2003 3,998,000 Ametek, Inc.(c) 130,000 7.20 07/15/2008 124,800 Associates Corp. of North America 750,000 5.75 11/01/2003 741,253 BankAmerica Corp. 900,000 7.75 07/15/2002 948,825 300,000 9.20 05/15/2003 333,088 Bayerische Landesbank Girozentrale 4,500,000 6.63 06/25/2007 4,608,720 Beneficial Corp. 500,000 6.43 04/10/2002 505,965 British Sky Broadcasting Group 1,300,000 6.88 02/23/2009 1,291,667 Cable & Wireless Communications 565,000 6.38 03/06/2003 566,215 Capital One Bank 275,000 6.39 03/05/2001 276,768 250,000 6.48 01/28/2002 251,483 CE Electric UK Funding Co.(c) 180,000 6.85 12/30/2004 182,500 Cendant Corp. 310,000 7.50 12/01/2000 314,256 Chelsea GCA Realty 250,000 7.75 01/26/2001 249,248 Chrysler Financial Co. LLC 445,000 6.09 04/06/2001 449,152 Citigroup, Inc. 300,000 5.80 03/15/2004 297,315 Comdisco, Inc. 450,000 6.13 01/15/2003 448,997 Conoco, Inc. 3,100,000 5.90 04/15/2004 3,073,247 Conseco Inc. 225,000 7.88 12/15/2000 228,672 Continental Airlines, Inc. 289,073 6.54 09/15/2009 288,790 Countrywide Home Loans, Inc. 450,000 6.45 02/27/2003 453,902 200,000 6.84 10/22/2004 204,686 Delphi Auto Systems Corp.(h) 1,175,000 6.13 05/01/2004 1,169,924 Developers Diversified Realty 125,000 6.84 12/16/2004 119,348 Dime Bancorp, Inc. 215,000 6.38 01/30/2001 213,228 Federated Department Stores, Inc. 350,000 8.13 10/15/2002 372,281 Ford Motor Credit Corp. 5,000,000 6.13 04/28/2003 5,016,550
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Principal Interest Maturity Amount(a) Rate Date Value Corporate Bonds - (continued) General Motor Acceptance Corp. USD 2,500,000 5.50% 01/14/2002 $ 2,479,875 770,000 5.75 11/10/2003 760,683 Hertz Corp. 485,000 6.70 06/15/2002 492,779 250,000 6.00 01/15/2003 248,200 Homeside Lending, Inc. 400,000 6.20 05/15/2003 399,484 Household Financial Corp. 6,000,000 6.00 05/01/2004 5,968,200 Imperial Tobacco Overseas BV 2,800,000 7.13 04/01/2009 2,780,400 Instituto de Credito Oficial 3,000,000 6.00 05/19/2008 3,021,000 International Bank for Reconstruction and Development 3,000,000 5.75 02/06/2008 2,954,667 Joseph E. Seagram & Sons, Inc. 175,000 6.25 12/15/2001 175,838 KFW International Finance 3,000,000 5.75 01/15/2008 2,975,163 Liberty Property LP 235,000 6.97 12/11/2003 250,226 Lloyds Bank 2,900,000 7.75 06/18/2007 5,238,372 Long Island Savings Bank 300,000 7.00 06/13/2002 306,411 MEPC Finance Inc. 1,500,000 7.50 05/01/2003 1,562,280 Merita Bank 200,000 6.50 04/01/2009 197,212 Merrill Lynch and Company, Inc. 3,400,000 6.00 02/12/2003 3,408,976 Nabsico, Inc. 700,000 6.00 02/15/2011 696,122 NationsBank Corp. 200,000 6.38 05/15/2005 202,000 Nederlandse Waterschapsbank 5,000,000 6.13 02/13/2008 4,996,190 News America Holdings, Inc. 400,000 8.50 02/15/2005 437,892 200,000 6.63 01/09/2008 199,838 65,000 8.00 10/17/2016 69,694 100,000 7.13 04/08/2028 97,515 Niagara Mohawk Power Corp. 250,000 6.88 04/01/2003 257,008 275,000 8.00 06/01/2004 296,293 North American Capital Corp. 1,300,000 8.25 11/17/2003 2,223,219 Northwest Airlines Corp. 237,953 8.97 01/02/2015 251,373 268,423 7.67 07/02/2016 276,548 Ontario Hydro 3,000,000 6.10 01/30/2008 3,006,000 Oryx Energy Co. 40,000 10.00 06/15/1999 40,180 155,000 9.50 11/01/1999 157,423 ---------------------------------------------------------------------------------------------
The accompanying notes are an integral part of these financial statements. 36 GOLDMAN SACHS GLOBAL INCOME FUND
Principal Interest Maturity Amount(a) Rate Date Value Corporate Bonds - (continued) Owens Corning USD 150,000 7.50% 05/01/2005 $ 151,172 75,000 7.70 05/01/2008 76,984 Panamsat Corp. 755,000 6.13 01/15/2005 715,816 Paramount Communications 300,000 7.50 01/15/2002 310,236 Pep Boys--Manny, Moe & Jack 480,000 6.75 03/10/2004 457,368 Philip Morris Companies, Inc. 180,000 9.00 01/01/2001 188,737 100,000 8.75 06/01/2001 105,407 350,000 7.00 07/15/2005 357,623 95,000 6.95 06/01/2006 97,152 Providian National Corp. 250,000 6.65 02/01/2004 251,428 Province of Quebec 235,000 7.50 07/15/2023 255,659 80,000 5.74(d) 03/02/2026 84,166 Prudential Insurance Company of America 3,500,000 6.38 07/23/2006 3,466,750 Raytheon Co. 85,000 6.30 08/15/2000 85,637 375,000 5.70 11/01/2003 370,399 Rothmans Netherlands Holdings 3,300,000 6.50 05/06/2003 3,292,410 Safeway, Inc. 315,000 5.88 11/15/2001 314,307 170,000 6.05 11/15/2003 169,624 Salton Sea Funding 127,575 7.02 05/30/2000 128,374 Sears Roebuck Acceptance Corp. 240,000 6.72 09/17/2003 245,575 Simon Property Group LP 450,000 6.63 06/15/2003 446,026 Sprint Capital Corp. 350,000 5.70 11/15/2003 343,847 7,000,000 6.38(h) 05/01/2009 6,946,100 Tele-Communications, Inc. 655,000 8.25 01/15/2003 707,400 The Money Store, Inc. 225,000 7.30 12/01/2002 234,657 Time Warner, Inc. 450,000 7.95 02/01/2000 457,974 900,000 9.63 05/01/2002 990,747 250,000 6.85 01/15/2026 254,885 TKR Cable, Inc. 220,000 10.50 10/30/2007 236,452 Tyco International Group SA 385,000 5.88 11/01/2004 380,900 190,000 6.38 06/15/2005 191,697 3,000,000 6.13 11/01/2008 2,873,100 U.S. Airways(c) 250,000 6.82 07/30/2014 221,411 Viacom, Inc. 450,000 7.75 06/01/2005 478,121 Videotron Group Ltd. 165,000 10.63 02/15/2005 179,025 ------------------------------------------------------------------------------------------------
Principal Interest Maturity Amount(a) Rate Date Value Corporate Bonds - (continued) Westinghouse Electric USD 170,000 6.88% 09/01/2003 $ 172,948 Williams Communications Solutions, Inc. 200,000 6.13 02/01/2001 200,688 390,000 6.13 02/15/2002 390,191 Worldcom, Inc. 805,000 6.13 08/15/2001 809,017 380,000 6.40 08/15/2005 382,307 ------------------------------------------------------------------------------------------------ TOTAL CORPORATE BONDS (Cost $102,642,572) $101,973,616 ------------------------------------------------------------------------------------------------ Mortgage Backed Obligations - 4.2% Asset Securitization Corp. Series 1997-D5, Class A1 USD 450,000 6.66% 02/14/2041 $ 454,311 Chase Commercial Mortgage Securities Corp. Series 1997-1, Class A2 300,000 7.37 02/19/2007 312,144 Chase Commercial Mortgage Securities Corp. Series 1997-2, Class A2 2,300,000 6.60 11/19/2007 2,313,409 CMC Securities Corp. IV Series 1997-2, Class IA13 2,450,000 6.60 11/25/2027 2,447,697 Country Wide Funding Corp. Series 1994-2, Class A 1,000,000 6.50 02/25/2009 997,810 First Union Commerial Mortgage Trust Class 1999-C1 1,500,000 6.07 10/15/2008 1,459,288 First Union-Lehman Brothers Commercial Mortgage Services Series 1997-C1, Class A2 200,000 7.30 12/18/2006 207,906 General Electric Capital Mortgage Services Series 1994-2, Class AB(d) 968,367 6.69 01/25/2009 994,387 General Electric Capital Mortgage Services Series 1994-2, Class A9 564,879 4.82 01/25/2009 519,723 General Motors Acceptance Corp. Series 1997-C1, Class A 450,000 6.85 09/15/2006 459,765 Government National Mortgage Association (GNMA) 132,307 9.00 03/15/2005 137,599 127,782 9.00 02/15/2006 133,053 454,265 9.00 02/15/2010 474,139 802,575 6.00 01/15/2011 801,572 472,683 7.50 01/15/2023 488,046 90,912 7.50 04/15/2023 93,866 75,589 7.50 05/15/2023 78,045 606,091 7.00 07/15/2023 616,321 605,017 7.00 08/15/2023 615,230 177,010 7.50 08/15/2023 182,762 313,394 7.00 09/15/2023 318,685 455,288 7.00 10/15/2023 462,973 221,573 7.00 11/15/2023 225,314 481,659 7.50 12/15/2023 497,313 1,500,586 6.00 11/15/2028 1,453,212 3,488,176 6.00 12/15/2028 3,378,054
------------------------------------------------------------------------------ The accompanying notes are an integral part of these financial statements. 37 GOLDMAN SACHS GLOBAL INCOME FUND Statement of Investments April 30, 1999 (Unaudited)
Principal Interest Maturity Amount(a) Rate Date Value Mortgage Backed Obligations - (continued) Merrill Lynch Mortgage Investors, Inc. Series 1998-C2, Class A2 USD 750,000 6.39% 02/15/2030 $ 747,975 Morgan Stanley Capital Commercial Mortgage, Inc. Series 1997-C1 650,000 7.46 05/15/2006 668,551 Structured Mortgage Securities Corp. Series 1994-1, Class A1(d) 2,000,000 6.59 05/25/2009 2,007,220 ------------------------------------------------------------------------------------------ TOTAL MORTGAGE BACKED OBLIGATIONS (Cost $23,624,985) $23,546,370 ------------------------------------------------------------------------------------------ U.S. Treasury Obligations - 12.7% United States Treasury Bonds USD 5,000,000 5.63% 10/31/1999 $ 5,019,550 11,198,220 3.63 01/15/2008 10,960,258 12,300,000 11.25(b) 02/15/2015 19,095,750 1,050,000 7.88 02/15/2021 1,297,895 3,000,000 6.75 08/15/2026 3,344,520 United States Treasury Interest-Only Stripped Securities(e) 900,000 5.69 02/15/2009 520,209 400,000 6.04 02/15/2014 166,164 United States Treasury Notes 5,000,000 5.38 01/31/2000 5,018,750 12,200,000 6.13 08/15/2007 12,760,468 6,000,000 5.63 05/15/2008 6,090,000 United States Treasury Principal-Only Stripped Securities(e) 2,700,000 5.47 08/15/2005 1,925,316 1,700,000 6.13 11/15/2018 525,164 4,950,000 6.13 02/15/2019 1,504,553 9,860,000 6.12 05/15/2020 2,786,140 1,700,000 5.96 08/15/2026 342,805 ------------------------------------------------------------------------------------------ TOTAL U.S. TREASURY OBLIGATIONS (Cost $73,093,479) $ 71,357,542 ------------------------------------------------------------------------------------------
Principal Interest Maturity Amount(a) Rate Date Value Short-term Obligations - 6.9% State Street Bank & Trust Time Deposit USD 38,860,000 4.88% 05/03/1999 $ 38,860,000 ---------------------------------------------------------------------------------------------- TOTAL SHORT-TERM OBLIGATIONS (Cost $38,860,000) $ 38,860,000 ---------------------------------------------------------------------------------------------- TOTAL INVESTMENTS (Cost $549,338,573)(f) $538,147,864 ----------------------------------------------------------------------------------------------
------------------------------------------------------------------------------ Futures contracts open at April 30, 1999 are as follows:
Number of Contracts Settlement Unrealized Type Long (Short)(g) Month Gain (Loss) ----------------------------------------------------------------------- Euro Dollars 36 June 1999 $ (3,575) Euro Dollars 5 September 1999 1,875 Euro Dollars 7 March 2000 (18,113) Euro Dollars 7 June 2000 (17,412) 5 Year U.S. Treasury Note (71) June 1999 66,203 10 Year U.S. Treasury Note (29) June 1999 33,719 20 Year Long Term Bond 98 June 1999 (263,625) ----------------------------------------------------------------------- $(200,928) -----------------------------------------------------------------------
The accompanying notes are an integral part of these financial statements. 38 GOLDMAN SACHS GLOBAL INCOME FUND - -------------------------------------------------------------------------------- Federal Income Tax Information: Gross unrealized gain for investments in which value exceeds cost $ 1,611,674 Gross unrealized loss for investments in which cost exceeds value (14,208,491) - -------------------------------------------------------------------------------- Net unrealized loss $(12,596,817) - -------------------------------------------------------------------------------- (a) The principal amount of each security is stated in the currency in which the bond is denominated. See below. BPS=British Pound Sterling DKK=Danish Krone DEM=Deutschemark EUR=Euro Currency JPY=Japanese Yen NZD=New Zealand Dollars SEK=Swedish Krona USD=United States Dollar Effective January 1, 1999, bonds denominated in DEM and DKK are valued using the Euro Currency to U.S. Dollar conversion rate. (b) A portion of this security is segregated for open futures, futures margin requirements, and when-issued securities. (c) Securities are exempt from registration under Rule 144A of the Securities Act of 1933. Such securities may be resold, normally to qualified institutional buyers in transactions exempt from registration. Total market value of Rule 144A securities amounted to $1,706,167 as of April 30, 1999. (d) Variable rate security. Coupon rate disclosed is that which is in effect at April 30, 1999. (e) The interest rate disclosed for these securities represents effective yield to maturity. (f) The aggregate cost for federal income tax purposes is $550,744,681. (g) Each Euro Dollar contract represents $1,000,000 in notional par value. Each 5-Year and 10-Year U.S. Treasury Note and each U.S. 20-Year Long Term Bond contract represents $100,000 in notional par value. The total notional amount and market value at risk are $74,800,000 and $36,038,884, respectively. The determination of notional amounts as presented here are indicative only of volume of activity and not a measure of market risk. (h) When-issued security. The percentage shown for each investment category reflects the value of investments in that category as a percentage of net assets. The accompanying notes are an integral part of these financial statements. 39 GOLDMAN SACHS TAXABLE INVESTMENT GRADE FUNDS Statements of Assets and Liabilities April 30, 1999 (Unaudited)
Adjustable Rate Government Fund Assets: Investment in securities, at value (identified cost $377,290,404, $232,174,815, $134,393,145, $303,913,657, and $549,338,573, respectively) $372,975,466 Cash, at value 356,844 Receivables: Investment securities sold 627,213 Interest, at value 4,670,393 Fund shares sold 1,336,767 Forward foreign currency exchange contracts -- Variation margin 83,363 Reimbursement from adviser -- Other assets 57,803 ----------------------------------------------------------------------------- Total assets 380,107,849 ----------------------------------------------------------------------------- Liabilities: Payables: Investment securities purchased -- Income distribution 853,573 Fund shares repurchased 15,742,295 Amounts owed to affiliates 167,027 Forward foreign currency exchange contracts -- Variation margin 127 Accrued expenses and other liabilities 55,904 ----------------------------------------------------------------------------- Total liabilities 16,818,926 ----------------------------------------------------------------------------- Net Assets: Paid-in capital 420,255,547 Accumulated undistributed (distributions in excess of) net investment income (3,582,337) Accumulated net realized gain (loss) on investment, futures and foreign currency related transactions (48,948,080) Net unrealized loss on investments, futures and translation of assets and liabilities denominated in foreign currencies (4,436,207) ----------------------------------------------------------------------------- NET ASSETS $363,288,923 ----------------------------------------------------------------------------- Net asset value, offering and redemption price per share(a) Class A $9.69 Class B -- Class C -- Institutional $9.70 Administration $9.70 Service $9.71 ----------------------------------------------------------------------------- Shares outstanding: Class A 1,793,782 Class B -- Class C -- Institutional 35,262,107 Administration 322,181 Service 65,965 ----------------------------------------------------------------------------- Total shares outstanding, $.001 par value (unlimited number of shares authorized) 37,444,035 -----------------------------------------------------------------------------
(a) Maximum public offering price per share (NAV per share multiplied by 1.0152) for Class A shares of Adjustable Rate Government, (NAV per share multiplied by 1.02041) for Class A shares of Short Duration Government, (NAV per share multiplied by 1.0471) for Class A shares of Government Income, Core Fixed Income, and Global Income is $9.84, $9.94, $14.84 $10.30, and $15.97, respectively. At redemption, Class B and Class C shares may be subject to a contingent sales charge, assessed on the amount equal to the lesser of the current net asset value or the original purchase price of the shares. The accompanying notes are an integral part of these financial statements. 40 GOLDMAN SACHS TAXABLE INVESTMENT GRADE FUNDS
Short Duration Government Core Fixed Global Government Fund Income Fund Income Fund Income Fund $231,509,934 $134,273,217 $302,724,336 $538,147,864 14,382 128,979 36,133 1,893,506 7,136,895 3,058,669 10,925,029 25,792,878 1,823,502 622,420 2,878,615 8,001,891 1,554,387 93,377 8,624,851 4,751,174 -- -- -- 8,542,568 -- -- -- -- 37,730 25,690 33,362 158,022 31,581 43,767 37,273 50,114 ------------------------------------------------------------------------------------- 242,108,411 138,246,119 325,259,599 587,338,017 ------------------------------------------------------------------------------------- 14,251,257 18,143,637 45,395,118 23,859,558 298,224 56,959 803,192 15,067 -- 566,162 234,282 620,794 128,107 110,864 137,409 459,937 -- -- -- 504,427 19,572 2,319 357,033 123,927 63,271 54,289 66,782 134,979 ------------------------------------------------------------------------------------- 14,760,431 18,934,230 46,993,816 25,718,689 ------------------------------------------------------------------------------------- 243,124,017 120,569,222 282,280,260 544,441,799 680,294 (119,535) (36,664) 5,374,766 (15,343,862) (1,000,724) (2,464,170) 15,621,225 (1,112,469) (137,074) (1,513,643) (3,818,462) ------------------------------------------------------------------------------------- $227,347,980 $119,311,889 $278,265,783 $561,619,328 ------------------------------------------------------------------------------------- $9.74 $14.17 $9.84 $15.25 $9.73 $14.18 $9.87 $15.22 $9.71 $14.17 $9.87 $15.20 $9.74 $14.16 $9.86 $15.24 $9.76 -- $9.86 -- $9.73 $14.09 $9.87 $15.24 ------------------------------------------------------------------------------------- 5,551,694 6,034,809 5,109,670 17,965,653 547,284 1,350,699 1,347,899 803,964 684,330 715,170 778,070 511,652 15,264,783 316,144 19,043,296 17,479,340 658,006 -- 1,240,837 -- 640,036 1,105 698,929 74,191 ------------------------------------------------------------------------------------- 23,346,133 8,417,927 28,218,701 36,834,800 -------------------------------------------------------------------------------------
41 GOLDMAN SACHS TAXABLE INVESTMENT GRADE FUNDS Statements of Operations For the Six Months Ended April 30, 1999 (Unaudited)
Adjustable Rate Government Fund Investment income: Interest(a) $13,399,158 ---------------------------------------------------------------------------- Total income 13,399,158 ---------------------------------------------------------------------------- Expenses: Management fees 876,319 Distribution and service fees(b) 59,236 Transfer agent fees(c) 123,174 Custodian fees 85,779 Registration fees 27,930 Professional fees 30,755 Trustee fees 5,334 Administration share fees 6,705 Service share fees 1,951 Amortization of deferred organization expenses -- Other 19,038 ---------------------------------------------------------------------------- Total expenses 1,236,221 ---------------------------------------------------------------------------- Less -- expenses reimbursed and fees waived by Goldman Sachs (50,533) ---------------------------------------------------------------------------- Net Expenses 1,185,688 ---------------------------------------------------------------------------- NET INVESTMENT INCOME 12,213,470 ---------------------------------------------------------------------------- Realized and unrealized gain (loss) on investment, futures and foreign cur- rency transactions: Net realized gain (loss) from: Investment transactions (152,307) Futures transactions 232,098 Foreign currency related transactions -- Net change in unrealized gain (loss) on: Investments 778,603 Futures (928,883) Translation of assets and liabilities denominated in foreign currencies -- ---------------------------------------------------------------------------- Net realized and unrealized loss on investment, futures and foreign currency transactions: (70,489) ---------------------------------------------------------------------------- NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS $12,142,981 ----------------------------------------------------------------------------
(a) Net of $3,647 and $43,038 in foreign withholding tax for the Core Fixed Income and Global Income Funds, respectively. (b) Class A, Class B and Class C of the following funds had distribution and service fees of: Adjustable Rate Government Fund -- $59,236 for Class A only. Short Duration Government Fund -- $66,627, $23,965, and $34,410, respectively. Government Income Fund -- $109,637, $87,025, and $49,938, respectively. Core Fixed Income Fund -- $71,482, $51,348 and $34,143, respectively. Global Income Fund -- $589,946, $47,899 and $30,190, respectively. (c) The following funds had transfer agency fees of: Adjustable Rate Government Fund -- $45,020, $76,925, $1,073 and $156 for Class A , Institutional Class, Administrative Class and Service Class, respectively. Short Duration Government Fund -- $50,637, $4,552, $6,538, $30,754, $1,461, and $1,266 for Class A, Class B, Class C, Institutional Class, Administration Class, and Service Class, respectively. Government Income Fund -- $83,324, $16,535, $9,488, $727 and $1 for Class A, Class B, Class C, Institutional Class and Service Class, respectively. Core Fixed Income Fund -- $54,326, $9,756, $6,487, $39,512, $2,523, and $1,207 for Class A, Class B, Class C, Institutional Class, Administration Class, and Service Class, respectively. Global Income Fund -- $224,180, $9,101, $5,736, $41,162 and $165 for Class A, Class B, Class C, Institutional Class and Service Class, respectively. The accompanying notes are an integral part of these financial statements. 42 GOLDMAN SACHS TAXABLE INVESTMENT GRADE FUNDS
Short Duration Government Core Fixed Global Government Fund Income Fund Income Fund Income Fund $ 7,585,073 $ 3,927,749 $ 9,296,426 $ 12,983,054 ---------------------------------------------------------------------------------------- 7,585,073 3,927,749 9,296,426 12,983,054 ---------------------------------------------------------------------------------------- 580,944 385,909 580,982 2,062,046 125,002 246,600 156,973 668,035 95,208 110,075 113,811 280,344 64,615 58,047 99,237 185,981 22,055 19,446 27,296 40,337 34,123 30,543 29,700 53,897 5,334 5,334 5,334 5,334 9,129 -- 15,766 -- 15,823 -- 15,094 2,066 -- -- 4,362 -- 28,992 19,946 35,697 33,723 ---------------------------------------------------------------------------------------- 981,225 875,900 1,084,252 3,331,763 ---------------------------------------------------------------------------------------- (154,065) (196,242) (50,571) (882,898) ---------------------------------------------------------------------------------------- 827,160 679,658 1,033,681 2,448,865 ---------------------------------------------------------------------------------------- 6,757,913 3,248,091 8,262,745 10,534,189 ---------------------------------------------------------------------------------------- (1,026,640) (177,789) (1,827,529) 8,120,807 581,365 (625,429) 16,085 (107,550) -- -- 2,624 7,697,014 (1,906,774) (2,224,631) (5,104,114) (27,624,384) (1,564,201) (213,796) (906,760) (381,792) -- -- (524) 9,758,509 ---------------------------------------------------------------------------------------- (3,916,250) (3,241,645) (7,820,218) (2,537,396) ---------------------------------------------------------------------------------------- $ 2,841,663 $ 6,446 $ 442,527 $ 7,996,793 ----------------------------------------------------------------------------------------
43 GOLDMAN SACHS TAXABLE INVESTMENT GRADE FUNDS Statements of Changes in Net Assets For the Six Months Ended April 30, 1999 (Unaudited)
Adjustable Rate Government Fund From operations: Net investment income $ 12,213,470 Net realized gain (loss) on investment, futures and foreign currency related transactions 79,791 Net change in unrealized gain (loss) on investments, futures and translation of assets and liabilities denominated in foreign currencies (150,280) ------------------------------------------------------------------------------ Net increase in net assets resulting from operations 12,142,981 ------------------------------------------------------------------------------ Distributions to shareholders: From net investment income Class A shares (1,232,891) Class B shares -- Class C shares -- Institutional shares (10,816,563) Administration shares (143,980) Service shares (20,036) In excess of net investment income Class A shares (3,171) Class B shares -- Class C shares -- Institutional shares (27,825) Administration shares (370) Service shares (52) From net realized gain on investment, futures and foreign cur- rency transactions Class A shares -- Class B shares -- Class C shares -- Institutional shares -- Administration shares -- Service shares -- ------------------------------------------------------------------------------ Total distributions to shareholders (12,244,888) ------------------------------------------------------------------------------ From share transactions: Net proceeds from sales of shares 353,904,781 Reinvestment of dividends and distributions 6,273,040 Cost of shares repurchased (505,618,202) ------------------------------------------------------------------------------ Net increase (decrease) in net assets resulting from share transactions (145,440,381) ------------------------------------------------------------------------------ TOTAL INCREASE (DECREASE) (145,542,288) ------------------------------------------------------------------------------ Net assets: Beginning of period 508,831,211 ------------------------------------------------------------------------------ End of period $363,288,923 ------------------------------------------------------------------------------ Accumulated undistributed (distributions in excess of) net investment income $ (3,582,337) ------------------------------------------------------------------------------
The accompanying notes are an integral part of these financial statements. 44 GOLDMAN SACHS TAXABLE INVESTMENT GRADE FUNDS
Short Duration Government Government Core Fixed Global Fund Income Fund Income Fund Income Fund $ 6,757,913 $ 3,248,091 $ 8,262,745 $ 10,534,189 (445,275) (803,218) (1,808,820) 15,710,271 (3,470,975) (2,438,427) (6,011,398) (18,247,667) ---------------------------------------------------------------------------------- 2,841,663 6,446 442,527 7,996,793 ---------------------------------------------------------------------------------- (1,462,046) (2,408,332) (1,558,706) (4,858,989) (117,286) (412,333) (241,582) (178,178) (159,368) (236,508) (161,059) (113,646) (4,529,183) (107,525) (5,783,911) (4,871,704) (206,144) -- (354,961) -- (170,756) (78) (162,526) (17,629) -- -- (6,916) -- -- -- (1,072) -- -- -- (715) -- -- -- (25,665) -- -- -- (1,575) -- -- -- (721) -- -- (1,930,242) (896,935) (4,887,570) -- (406,494) (144,240) (190,465) -- (228,993) (92,870) (113,513) -- (63,106) (2,576,039) (4,087,302) -- -- (181,000) -- -- (39) (84,628) (15,690) ---------------------------------------------------------------------------------- (6,644,783) (5,793,650) (12,275,121) (19,334,686) ---------------------------------------------------------------------------------- 184,449,622 196,563,623 175,090,386 209,338,538 4,182,466 4,828,196 7,933,722 12,011,171 (182,860,541) (205,715,915) (175,724,502) (57,569,953) ---------------------------------------------------------------------------------- 5,771,547 (4,324,096) 7,299,606 163,779,756 ---------------------------------------------------------------------------------- 1,968,427 (10,111,300) (4,532,988) 152,441,863 ---------------------------------------------------------------------------------- 225,379,553 129,423,189 282,798,771 409,177,465 ---------------------------------------------------------------------------------- $ 227,347,980 $ 119,311,889 $ 278,265,783 $561,619,328 ---------------------------------------------------------------------------------- $ 680,294 $ (119,535) $ (36,664) $ 5,374,766 ----------------------------------------------------------------------------------
45 GOLDMAN SACHS TAXABLE INVESTMENT GRADE FUNDS Statements of Changes in Net Assets For the Year Ended October 31, 1998
Adjustable Rate Government Fund From operations: Net investment income $ 27,751,730 Net realized gain (loss) on investment, futures and foreign currency related transactions (1,432,798) Net change in unrealized gain (loss) on investments, futures and translation of assets and liabilities denominated in foreign currencies (6,927,104) ----------------------------------------------------------------------------- Net increase in net assets resulting from operations 19,391,828 ----------------------------------------------------------------------------- Distributions to shareholders: From net investment income Class A shares (2,487,566) Class B shares -- Class C shares -- Institutional shares (25,001,833) Administration shares (234,475) Service shares (27,856) In excess of net investment income Class A shares (98,798) Class B shares -- Class C shares -- Institutional shares (992,993) Administration shares (9,313) Service shares (1,106) From net realized gain on investment, futures and foreign currency transactions Class A shares -- Class B shares -- Class C shares -- Institutional shares -- Administration shares -- Service shares -- ----------------------------------------------------------------------------- Total distributions to shareholders (28,853,940) ----------------------------------------------------------------------------- From share transactions: Net proceeds from sales of shares 480,828,950 Reinvestment of dividends and distributions 20,351,273 Cost of shares repurchased (492,929,797) ----------------------------------------------------------------------------- Net increase in net assets resulting from share transactions 8,250,426 ----------------------------------------------------------------------------- TOTAL INCREASE (DECREASE) (1,211,686) ----------------------------------------------------------------------------- Net assets: Beginning of year 510,042,897 ----------------------------------------------------------------------------- End of year $ 508,831,211 ----------------------------------------------------------------------------- Accumulated undistributed (distributions in excess of) net investment income $ (3,550,919) -----------------------------------------------------------------------------
The accompanying notes are an integral part of these financial statements. 46 GOLDMAN SACHS TAXABLE INVESTMENT GRADE FUNDS
Short Duration Government Core Fixed Global Government Fund Income Fund Income Fund Income Fund $ 9,612,953 $ 6,235,094 $ 10,922,376 $ 14,339,751 (360,410) 2,722,191 3,888,127 3,580,157 1,213,423 787,495 2,127,689 14,771,995 ----------------------------------------------------------------------------------- 10,465,966 9,744,780 16,938,192 32,691,903 ----------------------------------------------------------------------------------- (1,420,203) (5,471,980) (1,853,415) (11,773,305) (124,011) (589,599) (152,279) (310,470) (88,564) (181,328) (150,232) (116,153) (7,578,309) (126,383) (8,016,713) (6,720,480) (270,953) -- (664,748) -- (265,819) (114) (176,911) (25,498) -- (316,755) (75,186) -- -- (34,130) (6,177) -- -- (10,497) (6,094) -- -- (7,316) (325,203) -- -- -- (26,966) -- -- (7) (7,176) -- -- (336,409) (84,830) (628,833) -- (41,187) (8,016) (15,200) -- (9,732) (4,098) (4,258) -- (8,246) (459,667) (240,253) -- -- (51,390) -- -- (7) (10,588) (604) ----------------------------------------------------------------------------------- (9,747,859) (7,133,690) (12,079,689) (19,835,054) ----------------------------------------------------------------------------------- 301,176,652 174,396,555 274,106,821 254,174,010 6,473,398 5,523,470 8,519,118 13,914,727 (201,542,539) (133,099,760) (102,188,552) (103,905,121) ----------------------------------------------------------------------------------- 106,107,511 46,820,265 180,437,387 164,183,616 ----------------------------------------------------------------------------------- 106,825,618 49,431,355 185,295,890 177,040,465 ----------------------------------------------------------------------------------- 118,553,935 79,991,834 97,502,881 232,137,000 ----------------------------------------------------------------------------------- $ 225,379,553 $ 129,423,189 $ 282,798,771 $ 409,177,465 ----------------------------------------------------------------------------------- $ 567,164 $ (202,850) $ -- $ 4,880,723 -----------------------------------------------------------------------------------
47 GOLDMAN SACHS TAXABLE INVESTMENT GRADE FUNDS Notes to Financial Statements April 30, 1999 (Unaudited) 1. ORGANIZATION Goldman Sachs Trust (the "Trust") is a Delaware business trust registered un- der the Investment Company Act of 1940 (as amended) as an open-end, manage- ment investment company. The Trust includes Goldman Sachs Adjustable Rate Government Fund (Adjustable Rate Government), Goldman Sachs Short Duration Government Fund (Short Duration Government), Goldman Sachs Government Income Fund (Government Income), Goldman Sachs Core Fixed Income Fund (Core Fixed Income) and Goldman Sachs Global Income Fund (Global Income), collectively, "the Funds" or individually a "Fund." Adjustable Rate Government, Short Dura- tion Government, Government Income, and Core Fixed Income are diversified portfolios of the Trust whereas Global Income is a non-diversified portfolio. Adjustable Rate Government offers four classes of shares -- Class A, Institu- tional, Administration and Service. Government Income and Global Income offer five classes of shares -- Class A, Class B, Class C, Institutional and Serv- ice. Short Duration Government and Core Fixed Income offer six classes of shares -- Class A, Class B, Class C, Institutional, Administration and Serv- ice. 2. SIGNIFICANT ACCOUNTING POLICIES The following is a summary of significant accounting policies consistently followed by the Funds. The preparation of financial statements in conformity with generally accepted accounting principles requires management to make es- timates and assumptions that may affect the reported amounts. Actual results could differ from estimates and assumptions. A. Investment Valuation -- Portfolio securities for which accurate market quotations are readily available are valued on the basis of quotations fur- nished by a pricing service or provided by dealers in such securities. Port- folio securities for which accurate market quotations are not readily available are valued based on yield equivalents, pricing matrices or other sources, under valuation procedures established by the Trust's Board of Trustees. Short-term debt obligations maturing in sixty days or less are val- ued at amortized cost. B. Security Transactions and Investment Income -- Security transactions are recorded as of the trade date. Realized gains and losses on sales of portfo- lio securities are calculated using the identified cost basis. Interest in- come is recorded on the basis of interest accrued. Premiums on interest-only securities and on collateralized mortgage obligations with nominal principal amounts are amortized, on an effective yield basis, over the expected lives of the respective securities. Certain mortgage security paydown gains and losses are taxable as ordinary income. Such paydown gains and losses increase or decrease taxable ordinary income available for distribution and are classified as interest income in the accompanying Statements of Operations. Original issue discounts ("OID") on debt securities are amortized to interest income over the life of the se- curity with a corresponding increase in the cost basis of that security. OID amortization on mortgage backed REMIC securities is initially recorded based on estimates of principal paydowns using the most recent OID factors avail- able from the issuer. Recorded amortization amounts are adjusted when actual OID factors are received. Market discounts and market premiums on debt secu- rities, other than mortgage backed REMIC securities, are amortized to inter- est income over the life of the security with a corresponding adjustment in the cost basis of that security for Core Fixed Income. Global Income amor- tizes only market discounts on debt securities other than REMIC mortgage backed securities. 48 GOLDMAN SACHS TAXABLE INVESTMENT GRADE FUNDS C. Federal Taxes -- It is each Fund's policy to comply with the requirements of the Internal Revenue Code applicable to regulated investment companies and to distribute each year substantially all of its investment company taxable and tax- exempt income and capital gains to its shareholders. Accordingly, no federal tax provisions are required. The characterization of distributions to shareholders for financial report- ing purposes is determined in accordance with income tax rules. Therefore, the source of a Fund's distributions may be shown in the accompanying finan- cial statements as either from or in excess of net investment income or net realized gain on investment transactions, or from paid-in-capital, depending on the type of book/tax differences that may exist as well as timing differ- ences associated with having different book and tax year ends. Adjustable Rate Government and Short Duration Government, at their most re- cent tax year-ends of December 31, 1998, had approximately the following amounts of capital loss carryforward for U.S. federal tax purposes. These amounts are available to be carried forward to offset future capital gains to the extent permitted by applicable laws or regulations.
Years of Fund Amount Expiration ----------------------------------------------------------------------------------------- Adjustable Rate Government $48,164,000 2000-2006 ----------------------------------------------------------------------------------------- Short Duration Government $13,345,000 2002-2005 -----------------------------------------------------------------------------------------
D. Expenses -- Expenses incurred by the Trust that do not specifically relate to an individual Fund of the Trust are allocated to the Funds on a straight- line or pro rata basis depending upon the nature of the expense. Class A, Class B and Class C shareholders of the Funds bear all expenses and fees relating to their respective distribution and service plans. Share- holders of Service and Administration shares bear all expenses and fees paid to service organizations. Each class of shares of the Funds now separately bear its respective class-specific transfer agency fees. E. Deferred Organization Expenses -- Organization-related costs were amor- tized on a straight-line basis over a period of five years. The amortization costs of all funds are fully amortized. F. Foreign Currency Translations -- The books and records of the Funds are maintained in U.S. dollars. Amounts denominated in foreign currencies are translated into U.S. dollars on the following basis: (i) investment valua- tions, foreign currency and other assets and liabilities initially expressed in foreign currencies are converted each business day into U.S. dollars based upon current exchange rates; (ii) purchases and sales of foreign investments, income and expenses are converted into U.S. dollars based upon currency ex- change rates prevailing on the respective dates of such transactions. 49 GOLDMAN SACHS TAXABLE INVESTMENT GRADE FUNDS Notes to Financial Statements April 30, 1999 (Unaudited) Net realized and unrealized gain (loss) on foreign currency transactions will represent: (i) foreign exchange gains and losses from the sale and hold- ings of foreign currencies and sale of investments; (ii) gains and losses be- tween trade date and settlement date on investment securities transactions and forward exchange contracts; and (iii) gains and losses from the differ- ence between amounts of interest recorded and the amounts actually received. G. Forward Foreign Currency Exchange Contracts -- Core Fixed Income and Global Income may enter into forward foreign currency exchange contracts for the purchase or sale of a specific foreign currency at a fixed price on a fu- ture date as a hedge or cross-hedge against either specific transactions or portfolio positions. Core Fixed Income and Global Income may also purchase and sell forward contracts to seek to increase total return. All commitments are "marked-to-market" daily at the applicable translation rates and any re- sulting unrealized gains or losses are recorded in the Funds' financial statements. The Funds record realized gains or losses at the time a forward contract is offset by entry into a closing transaction or extinguished by de- livery of the currency. Risks may arise upon entering into these contracts from the potential inability of counterparties to meet the terms of their contracts and from unanticipated movements in the value of a foreign currency relative to the U.S. dollar. H. Futures Contracts -- The Funds may enter into futures transactions to hedge against changes in interest rates, securities prices, currency exchange rates (in the case of Core Fixed Income and Global Income) or to seek to in- crease total return. Upon entering into a futures contract, the Funds are required to deposit with a broker an amount of cash or securities equal to the minimum "initial margin" requirement of the associated futures exchange. Subsequent payments for futures contracts ("variation margin") are paid or received by the Funds daily, dependent on the daily fluctuations in the value of the contracts, and are recorded for financial reporting purposes as unrealized gains or losses. When contracts are closed, the Funds realize a gain or loss which is reported in the Statements of Operations. The use of futures contracts involve, to varying degrees, elements of mar- ket and counterparty risk which may exceed the amounts recognized in the Statements of Assets and Liabilities. Changes in the value of the futures contract may not directly correlate with changes in the value of the under- lying securities. This risk may decrease the effectiveness of the Funds' hedging strategies and potentially result in a loss. I. Option Accounting Principles -- When the Funds write call or put options, an amount equal to the premium received is recorded as an asset and as an equivalent liability. The amount of the liability is subsequently marked-to- market to reflect the current market value of the option written. When a written option expires on its stipulated expiration date or the Funds enter into a closing purchase transaction, the Funds realize a gain or loss without regard to any unrealized gain or loss on the underlying security, and the li- ability related to such option is extinguished. When a written call option is exercised, the Funds realize a gain or loss from the sale of the underlying security, and the proceeds of the sale are increased by the premium origi- nally received. When a written put option is exercised, the amount of the premium originally received will reduce the cost of the security which the Funds purchase upon exercise. There is a risk of loss from a change in value of such options which may exceed the related premiums received. 50 GOLDMAN SACHS TAXABLE INVESTMENT GRADE FUNDS Upon the purchase of a call option or a protective put option by the Funds, the premium paid is recorded as an investment and subsequently marked-to-mar- ket to reflect the current market value of the option. If an option which the Funds have purchased expires on the stipulated expiration date, the Funds will realize a loss in the amount of the cost of the option. If the Funds en- ter into a closing sale transaction, the Funds will realize a gain or loss, depending on whether the sale proceeds for the closing sale transaction are greater or less than the cost of the option. If the Funds exercise a pur- chased put option, the Funds will realize a gain or loss from the sale of the underlying security, and the proceeds from such sale will be decreased by the premium originally paid. If the Funds exercise a purchased call option, the cost of the security which the Funds purchase upon exercise will be increased by the premium originally paid. J. Mortgage Dollar Rolls -- The Funds may enter into mortgage "dollar rolls" in which the Funds sell securities in the current month for delivery and si- multaneously contract with the same counterparty to repurchase similar (same type, coupon and maturity) but not identical securities on a specified future date. For financial reporting and tax reporting purposes, the Funds treat mortgage dollar rolls as two separate transactions; one involving the pur- chase of a security and a separate transaction involving a sale. 3. AGREEMENTS Pursuant to the Investment Management Agreements (the "Agreements"), Goldman Sachs Funds Management, L.P. ("GSFM"), an affiliate of Goldman, Sachs & Co. ("Goldman Sachs"), serves as the investment adviser for Adjustable Rate Gov- ernment and Short Duration Government. Goldman Sachs Asset Management ("GSAM"), a separate operating division of Goldman Sachs, serves as the in- vestment adviser for Government Income and Core Fixed Income. Goldman Sachs Asset Management International ("GSAMI"), an affiliate of GSAM, serves as the investment adviser for Global Income. Under the Agreements, the respective adviser, subject to the general supervision of the Trust's Board of Trustees, manages the Funds' portfolios. As compensation for the services rendered pur- suant to the Agreements, the assumption of the expenses related thereto and administering the Funds' business affairs, including providing facilities, the adviser is entitled to a fee, computed daily and payable monthly at an annual rate equal to .40%, .50%, .65%, .40% and .90% of average daily net as- sets of Adjustable Rate Government, Short Duration Government, Government In- come, Core Fixed Income and Global Income, respectively. For the period ended April 30, 1999 the advisers for Government Income and Global Income voluntar- ily have agreed to waive a portion of the management fee equal annually to .11% and .25%, respectively, of each Fund's average daily net assets. The ad- viser may discontinue or modify this waiver in the future at its discretion. Each adviser has voluntarily agreed to limit "Other Expenses" (excluding management fees, distribution and service fees, transfer agent fees, taxes, interest, brokerage, litigation, Administrative and Service share fees, in- demnification costs and other extraordinary expenses) to the extent that such expenses exceeded, on an annual basis, .05%, .00%, .00%, .10% and .00% of the average daily net assets of Adjustable Rate Government, Short Duration Gov- ernment, Government Income, Core Fixed Income and Global Income, respective- ly. 51 GOLDMAN SACHS TAXABLE INVESTMENT GRADE FUNDS Notes to Financial Statements April 30, 1999 (Unaudited) Goldman Sachs serves as Distributor of the shares of the Funds pursuant to a Distribution Agreement. Goldman Sachs may receive a portion of the Class A sales load and Class B and Class C contingent deferred sales charges and has advised the Funds that it retained approximately $2,000, $26,000, $37,000, $35,000 and $119,600 for the period ended April 30, 1999 for Adjustable Rate Government, Short Duration Government, Government Income, Core Fixed Income and Global Income, respectively. The Trust, on behalf of each Fund, has adopted Distribution and Service Plans. Under the Distribution and Service Plans, Goldman Sachs and/or Autho- rized Dealers are entitled to a monthly fee from each fund for distribution services and shareholder maintenance equal, on an annual basis, to .50%, 1.00% and 1.00% for Global Income and .25%, 1.00% and 1.00% of each of the other funds' average daily net assets attributable to Class A, Class B and Class C shares, respectively. For the period ended April 30, 1999, Goldman Sachs has voluntarily agreed to waive a portion of the Distribution and Serv- ice fees equal to .15% of the average daily net assets attributable to the Class B shares of Short Duration Government. Goldman Sachs may discontinue or modify this waiver in the future at its discretion. Goldman Sachs also serves as Transfer Agent of the Funds for a fee. Fees charged for such transfer agency services are calculated daily and payable monthly at an annual rate as follows: .19% of average daily net assets for Class A, Class B and Class C shares and .04% of average daily net assets for Institutional, Service and Administration Shares. The Trust, on behalf of the Funds, has adopted Service Plans. In addition, the Trust, on behalf of Adjustable Rate Government, Short Duration Government and Core Fixed Income, has adopted Administration Plans. These plans allow for Administration shares and Service shares, respectively, to compensate service organizations for providing varying levels of account administration and shareholder liaison services to their customers who are beneficial owners of such shares. The Administration and Service Plans provide for compensation to the service organizations in an amount up to, on an annual basis, .25% and .50%, respectively, of the average daily net asset value of each share class. On or about July 15, 1999, the Administration Class shares will be terminat- ed. For the period ended April 30, 1999, the advisors and distributor have vol- untarily agreed to waive certain fees and reimburse other expenses as follows (in thousands):
Waivers -------------------------- Class B Distribution Fund Management and Service Reimbursement Total ------------------------------------------------------------------------------ Adjustable Rate Government $ -- $-- $ 51 $ 51 ------------------------------------------------------------------------------ Short Duration Government -- 4 150 154 ------------------------------------------------------------------------------ Government Income 65 -- 131 196 ------------------------------------------------------------------------------ Core Fixed Income -- -- 51 51 ------------------------------------------------------------------------------ Global Income 573 -- 310 883 ------------------------------------------------------------------------------
52 GOLDMAN SACHS TAXABLE INVESTMENT GRADE FUNDS At April 30, 1999, the amounts owed to affiliates were as follows (in thou- sands):
Distribution Transfer Over Reimbursement Fund Management and Service Agent of "Other Expenses" Total ----------------------------------------------------------------------------- Adjustable Rate Government $129 $ 6 $16 $16 $167 ----------------------------------------------------------------------------- Short Duration Government 93 20 15 -- 128 ----------------------------------------------------------------------------- Government Income 52 41 18 -- 111 ----------------------------------------------------------------------------- Core Fixed Income 90 28 19 -- 137 ----------------------------------------------------------------------------- Global Income 289 120 51 -- 460 -----------------------------------------------------------------------------
4. PORTFOLIO SECURITY TRANSACTIONS Purchases and proceeds of sales or maturities of long-term securities for the six months ended April 30, 1999, were as follows:
Sales or Sales or maturities Purchases of Purchases maturities of (excluding U.S. Government (excluding U.S. Government U.S. Government and and agency U.S. Government and and agency agency obligations agency obligations) obligations obligations) ----------------------------------------------------------------------------------- Adjustable Rate Gov- ernment $ 94,657,907 $ -- $117,546,427 $ -- ----------------------------------------------------------------------------------- Short Du- ration Gov- ernment 194,604,037 -- 162,333,420 -- ----------------------------------------------------------------------------------- Government Income 172,294,576 5,980,816 174,474,054 6,204,216 ----------------------------------------------------------------------------------- Core Fixed Income 342,456,172 76,848,720 364,662,227 52,971,141 ----------------------------------------------------------------------------------- Global In- come 151,833,424 327,131,756 172,837,837 167,185,649 -----------------------------------------------------------------------------------
53 GOLDMAN SACHS TAXABLE INVESTMENT GRADE FUNDS Notes to Financial Statements April 30, 1999 (Unaudited) At April 30, 1999, Global Income had outstanding forward foreign currency exchange contracts, both to purchase and sell foreign currencies as follows:
Open Foreign Currency Value on Unrealized Unrealized Purchase Contracts Settlement Date Current Value Gain Loss ----------------------------------------------------------------------------- Canadian Dollar expiring 5/21/1999 $ 13,324,692 $ 13,598,223 273,531 -- ----------------------------------------------------------------------------- Total Open Foreign Cur- rency Purchase Contracts $ 13,324,692 $ 13,598,223 $ 273,531 $ -- ----------------------------------------------------------------------------- Open Foreign Currency Value on Unrealized Unrealized Sale Contracts Settlement Date Current Value Gain Loss ----------------------------------------------------------------------------- British Pound expiring 6/28/1999 $101,450,843 $ 99,972,617 $1,478,226 $ -- Danish Krone expiring 7/14/1999 22,375,835 21,911,535 464,300 -- Euro Currency expiring 5/20/1999 55,722,362 53,415,155 2,307,207 -- expiring 7/26/1999 61,509,927 61,430,530 79,397 -- Japanese Yen expiring 5/12/1999 47,319,305 44,675,040 2,644,265 -- expiring 5/12/1999 15,085,687 15,345,235 -- 259,548 expiring 6/11/1999 19,218,141 19,259,311 -- 41,170 New Zealand Dollar expiring 5/13/1999 4,798,374 5,002,083 -- 203,709 Norwegian Kroner expiring 6/25/1999 5,334,271 5,323,319 10,952 -- Swiss Franc expiring 5/20/1999 13,726,925 12,787,767 939,158 -- ----------------------------------------------------------------------------- Total Open Foreign Cur- rency Sale Contracts $346,541,670 $339,122,592 $7,923,505 $504,427 -----------------------------------------------------------------------------
54 GOLDMAN SACHS TAXABLE INVESTMENT GRADE FUNDS ------------------------------------------------------------------------------
Closed but Unsettled Foreign Purchase Realized Realized Currency Contracts Value Sale Value Gain Loss ------------------------------------------------------------------------------ British Pound expiring 6/28/1999 $ 2,408,478 $ 2,412,710 4,232 -- Canadian Dollar expiring 5/21/1999 $ 1,099,708 $ 1,100,479 771 -- Euro Currency expiring 5/20/1999 $ 9,007,668 $ 9,337,299 329,631 -- Japanese Yen expiring 5/12/1999 $ 5,581,131 $ 5,592,029 10,898 -- ------------------------------------------------------------------------------ Total Closed but Unsettled Foreign Currency Contracts $18,096,985 $18,442,517 $345,532 $-- ------------------------------------------------------------------------------
The contractual amounts of forward foreign currency exchange contracts do not necessarily represent the amounts potentially subject to risk. The mea- surement of the risks associated with these instruments is meaningful only when all related and offsetting transactions are considered. At April 30, 1999, Global Income had sufficient cash and/or securities to cover any com- mitments under these contracts. Global Income has recorded a "Receivable for forward foreign currency ex- change contracts" and "Payable for forward foreign currency exchange con- tracts" resulting from open and closed but not settled forward foreign currency exchange contracts of $8,542,568 and $504,427, respectively, in the accompanying Statement of Assets and Liabilities. For the period ended April 30, 1999, Adjustable Rate Government, Short Du- ration Government, Government Income, Core Fixed Income and Global Income in- curred commission expenses of approximately $15,000, $9,000, $5,000, $7,000, and $4,000, respectively, in connection with futures contracts entered into with Goldman Sachs. At April 30, 1999, Goldman Sachs was owed approximately $20,000, $2,000, $357,000, and $124,000 from Short Duration Government, Gov- ernment Income, Core Fixed Income and Global Income, respectively, related to variation margin on futures contracts. Goldman Sachs owed approximately $83,000 to Adjustable Rate Government related to variation margin on futures contracts. 55 GOLDMAN SACHS TAXABLE INVESTMENT GRADE FUNDS Notes to Financial Statements April 30, 1999 (Unaudited) 5. REPURCHASE AGREEMENTS During the term of a repurchase agreement, the value of the underlying secu- rities, including accrued interest, is required to equal or exceed the value of the repurchase agreement. The underlying securities for all repurchase agreements are held in safekeeping at the Funds' custodian. 6. JOINT REPURCHASE AGREEMENT ACCOUNT The Funds, together with other registered investment companies having manage- ment agreements with GSFM, GSAMI and GSAM or their affiliates, transfer uninvested cash into joint accounts, the daily aggregate balance of which is invested in one or more repurchase agreements. At April 30, 1999, Short Duration Government, Government Income and Core Fixed Income had undivided interests in the repurchase agreements in the fol- lowing joint account which equaled $8,800,000, $16,300,000, and $36,400,000, respectively, in principal amount. At April 30, 1999, the following repur- chase agreements held in this joint account were fully collateralized by U.S. Treasury and agency obligations.
Principal Interest Maturity Amortized Repurchase Agreements Amount Rate Date Cost --------------------------------------------------------------------------------------- Morgan Stanley Dean Witter & Co. $500,000,000 4.94% 05/03/1999 $ 500,000,000 --------------------------------------------------------------------------------------- NationsBanc Montgomery Securities LLC 525,000,000 4.95 05/03/1999 525,000,000 --------------------------------------------------------------------------------------- Salomon Smith Barney Holdings, Inc. 518,800,000 4.95 05/03/1999 518,800,000 --------------------------------------------------------------------------------------- TOTAL JOINT REPURCHASE AGREEMENT ACCOUNT $1,543,800,000 ---------------------------------------------------------------------------------------
56 GOLDMAN SACHS TAXABLE INVESTMENT GRADE FUNDS 7. LINE OF CREDIT FACILITY The Funds participated in a $250,000,000 uncommitted, unsecured revolving line of credit facility. In addition, Global Income participated in a $50,000,000 committed, unsecured revolving line of credit facility. Under the most restrictive arrangement, each Fund must have owned securities having a market value in excess of 300% of the total bank borrowings. Effective April 30, 1999, the Funds now participate in a $250,000,000 uncommitted and a $250,000,000 committed, unsecured revolving line of credit facility. Under the most restrictive arrangement, each Fund must own securities having a mar- ket value in excess of 400% of the total bank borrowings. These facilities are to be used solely for temporary or emergency purposes. The interest rate on borrowings is based on the Federal Funds rate. The committed facility also requires a fee to be paid by the Funds based on the amount of the commitment which has not been utilized. During the six months ended April 30, 1999, the Funds did not have any borrowings under any of these facilities. 8. OTHER MATTERS As of April 30, 1999, the Goldman, Sachs & Co. Profit Sharing Master Trust was the beneficial owner of approximately 19% and 12% of the outstanding shares of Short Duration Government and Global Income, respectively. The Goldman Sachs Balanced Strategy Portfolio was the beneficial owner of approx- imately 14% of Short Duration Government. The Goldman Sachs Growth and Income Strategy Portfolio was the beneficial owner of approximately 13% and 16% of Core Fixed Income and Global Income, respectively. The Goldman Sachs Growth Strategy Portfolio was the beneficial owner of approximately 7% of Global In- come. 57 GOLDMAN SACHS TAXABLE INVESTMENT GRADE FUNDS Notes to Financial Statements April 30, 1999 (Unaudited) 10. SUMMARY OF SHARE TRANSACTIONS Share activity for the six months ended April 30, 1999 is as follows:
Adjustable Rate Short Duration Government Government ------------------------------------------------------- Shares Dollars Shares Dollars ------------------------------------------------------------------------------- Class A Shares Shares sold 29,566,992 $ 285,257,810 5,903,520 $ 57,745,997 Reinvestments of divi- dends and distributions 84,226 813,331 108,607 1,061,337 Shares repurchased (34,130,297) (329,450,936) (6,186,705) (60,526,709) ------------------------------------------------------- (4,479,079) (43,379,795) (174,578) (1,719,375) ------------------------------------------------------------------------------- Class B Shares Shares sold -- -- 220,750 2,154,377 Reinvestments of divi- dends and distributions -- -- 7,938 77,387 Shares repurchased -- -- (189,765) (1,853,347) ------------------------------------------------------- -- -- 38,923 378,417 ------------------------------------------------------------------------------- Class C Shares Shares sold -- -- 6,765,145 65,910,918 Reinvestments of divi- dends and distributions -- -- 7,983 77,676 Shares repurchased -- -- (6,547,027) (63,755,930) ------------------------------------------------------- -- -- 226,101 2,232,664 ------------------------------------------------------------------------------- Institutional Shares Shares sold 7,017,103 67,915,313 5,838,380 57,112,812 Reinvestments of divi- dends and distributions 552,103 5,340,082 269,036 2,626,176 Shares repurchased (17,809,379) (172,258,920) (5,547,906) (54,129,792) ------------------------------------------------------- (10,240,173) (99,003,525) 559,510 5,609,196 ------------------------------------------------------------------------------- Administration Shares Shares sold 58,767 568,736 44,231 433,117 Reinvestment of dividends and distributions 10,426 100,846 17,278 168,970 Shares repurchased (365,637) (3,544,225) (145,630) (1,424,744) ------------------------------------------------------- (296,444) (2,874,643) (84,121) (822,657) ------------------------------------------------------------------------------- Service Shares Shares sold 16,834 162,922 112,078 1,092,401 Reinvestment of dividends and distributions 1,940 18,781 17,527 170,920 Shares repurchased (37,581) (364,121) (119,994) (1,170,019) ------------------------------------------------------- (18,807) (182,418) 9,611 93,302 ------------------------------------------------------------------------------- NET INCREASE (DECREASE) (15,034,503) $(145,440,381) 575,446 $ 5,771,547 -------------------------------------------------------------------------------
58 GOLDMAN SACHS TAXABLE INVESTMENT GRADE FUNDS
Government Income Core Fixed Income Global Income - -------------------------------------------------------------------------------- Shares Dollars Shares Dollars Shares Shares - -------------------------------------------------------------------------------- 12,593,559 $ 181,888,425 8,688,648 $ 86,722,888 6,173,784 $ 95,168,613 255,353 3,678,329 227,208 2,269,454 519,597 7,969,707 (13,591,474) (196,793,687) (9,293,918) (92,788,128) (2,612,976) (40,346,151) - -------------------------------------------------------------------------------- (742,562) (11,226,933) (378,062) (3,795,786) 4,080,405 62,792,169 - -------------------------------------------------------------------------------- 499,554 7,224,421 875,189 8,784,439 327,402 5,024,786 40,848 588,967 23,925 239,350 19,374 296,533 (270,351) (3,902,535) (252,269) (2,521,083) (63,428) (971,018) - -------------------------------------------------------------------------------- 270,051 3,910,853 646,845 6,502,706 283,348 4,350,301 - -------------------------------------------------------------------------------- 284,798 4,112,996 473,225 4,749,917 288,214 4,429,776 28,413 409,426 15,878 158,958 11,216 171,372 (244,517) (3,529,598) (254,300) (2,546,688) (49,901) (766,148) - -------------------------------------------------------------------------------- 68,694 992,824 234,803 2,362,187 249,529 3,835,000 - -------------------------------------------------------------------------------- 232,663 3,323,781 7,087,837 71,060,594 6,822,057 104,265,874 10,542 151,390 466,343 4,661,469 230,948 3,539,689 (104,379) (1,490,095) (7,556,661) (75,373,937) (985,303) (15,097,018) - -------------------------------------------------------------------------------- 138,826 1,985,076 (2,481) 348,126 6,067,702 92,708,545 - -------------------------------------------------------------------------------- -- -- 129,869 1,325,475 -- -- -- -- 36,233 362,223 -- -- -- -- (165,835) (1,686,106) -- -- - -------------------------------------------------------------------------------- -- -- 267 1,592 -- -- - -------------------------------------------------------------------------------- 987 14,000 243,844 2,447,073 29,344 449,489 6 84 24,223 242,268 2,210 33,870 -- -- (81,077) (808,560) (25,003) (389,618) - -------------------------------------------------------------------------------- 993 14,084 186,990 1,880,781 6,551 93,741 - -------------------------------------------------------------------------------- (263,998) $ (4,324,096) 688,362 $ 7,299,606 10,687,535 $163,779,756 - --------------------------------------------------------------------------------
59 GOLDMAN SACHS TAXABLE INVESTMENT GRADE FUNDS Notes to Financial Statements April 30, 1999 10. SUMMARY OF SHARE TRANSACTIONS Share activity for the year ended October 31, 1998 is as follows:
Adjustable Rate Government Short Duration Government ------------------------------------------------------ Shares Dollars Shares Dollars ------------------------------------------------------------------------------- Class A Shares Shares sold 19,932,653 $ 194,697,319 16,985,961 $ 167,624,322 Reinvestments of divi- dends and distributions 604,097 5,945,679 120,111 1,185,808 Shares repurchased (18,654,663) (182,295,231) (12,340,018) (121,740,352) ------------------------------------------------------ 1,882,087 18,347,767 4,766,054 47,069,778 ------------------------------------------------------------------------------- Class B Shares Shares sold -- -- 603,049 5,943,625 Reinvestments of divi- dends and distributions -- -- 7,568 74,540 Shares repurchased -- -- (177,997) (1,755,511) ------------------------------------------------------ -- -- 432,620 4,262,654 ------------------------------------------------------------------------------- Class C Shares Shares sold -- -- 2,838,549 27,966,526 Reinvestments of divi- dends and distributions -- -- 4,686 46,150 Shares repurchased -- -- (2,404,324) (23,689,726) ------------------------------------------------------ -- -- 438,911 4,322,950 ------------------------------------------------------------------------------- Institutional Shares Shares sold 28,576,509 280,382,576 8,996,219 88,597,711 Reinvestments of divi- dends and distributions 1,450,779 14,219,494 476,030 4,685,919 Shares repurchased (31,436,222) (308,484,524) (5,282,160) (51,951,739) ------------------------------------------------------ (1,408,934) (13,882,454) 4,190,089 41,331,891 ------------------------------------------------------------------------------- Administration Shares Shares sold 526,967 5,168,122 643,992 6,337,403 Reinvestments of divi- dends and distributions 16,347 159,947 21,813 215,247 Shares repurchased (207,333) (2,030,808) (30,888) (304,789) ------------------------------------------------------ 335,981 3,297,261 634,917 6,247,861 ------------------------------------------------------------------------------- Service Shares Shares sold 59,251 580,933 478,854 4,707,065 Reinvestments of divi- dends and distributions 2,671 26,153 26,999 265,734 Shares repurchased (12,170) (119,234) (213,862) (2,100,422) ------------------------------------------------------ 49,752 487,852 291,991 2,872,377 ------------------------------------------------------------------------------- NET INCREASE 858,886 $ 8,250,426 10,754,582 $ 106,107,511 -------------------------------------------------------------------------------
60 GOLDMAN SACHS TAXABLE INVESTMENT GRADE FUNDS
Government Income Core Fixed Income Global Income --------------------------------------------------------------------------------- Shares Dollars Shares Dollars Shares Dollars --------------------------------------------------------------------------------- 10,117,601 $ 148,936,815 8,313,076 $ 84,205,066 6,208,388 $ 94,795,767 317,568 4,667,254 192,581 1,951,173 644,423 9,725,285 (8,375,782) (123,588,302) (3,945,813) (40,108,401) (4,034,417) (61,329,954) --------------------------------------------------------------------------------- 2,059,387 30,015,767 4,559,844 46,047,838 2,818,394 43,191,098 --------------------------------------------------------------------------------- 988,916 14,582,947 762,323 7,750,260 358,077 5,463,974 36,689 539,851 10,510 106,863 16,608 250,647 (495,310) (7,326,615) (133,282) (1,356,868) (83,968) (1,277,096) --------------------------------------------------------------------------------- 530,295 7,796,183 639,551 6,500,255 290,717 4,437,525 --------------------------------------------------------------------------------- 695,338 10,239,137 641,726 6,499,362 284,497 4,320,887 12,307 181,980 10,040 102,303 6,328 95,885 (143,057) (2,112,718) (135,503) (1,377,439) (61,616) (932,193) --------------------------------------------------------------------------------- 564,588 8,308,399 516,263 5,224,226 229,209 3,484,579 --------------------------------------------------------------------------------- 43,336 637,656 16,206,866 163,978,142 9,752,852 148,646,615 9,140 134,281 558,960 5,664,936 252,867 3,816,828 (4,930) (72,125) (5,578,137) (56,603,166) (2,632,348) (40,270,900) --------------------------------------------------------------------------------- 47,546 699,812 11,187,689 113,039,912 7,373,371 112,192,543 --------------------------------------------------------------------------------- -- -- 779,791 7,866,673 -- -- -- -- 49,361 499,933 -- -- -- -- (201,424) (2,053,871) -- -- --------------------------------------------------------------------------------- -- -- 627,728 6,312,735 -- -- --------------------------------------------------------------------------------- -- -- 375,085 3,807,318 62,146 946,767 7 104 19,089 193,910 1,707 26,082 -- -- (67,401) (688,807) (6,198) (94,978) --------------------------------------------------------------------------------- 7 104 326,773 3,312,421 57,655 877,871 --------------------------------------------------------------------------------- 3,201,823 $ 46,820,265 17,857,848 $180,437,387 10,769,346 $164,183,616 ---------------------------------------------------------------------------------
61 GOLDMAN SACHS ADJUSTABLE RATE GOVERNMENT FUND Financial Highlights Selected Data for a Share Outstanding Throughout Each Period
Income (loss) from investment operations(a) Distributions to shareholders -------------------------- -------------------------------- Net realized and unrealized Net gain (loss) increase Net asset on investment, In excess (decrease) value at Net option and From net of net in net beginning investment futures investment investment asset of period income transactions income income value FOR THE SIX MONTHS ENDED APRIL 30 (UNAUDITED), 1999 - Class A Shares $ 9.69 $0.25 $ -- $ (0.25) $ -- $ -- 1999 - Institutional Shares 9.70 0.27 -- (0.27) -- -- 1999 - Admin Shares 9.70 0.26 -- (0.26) -- -- 1999 - Service Shares 9.70 0.25 0.01 (0.25) -- 0.01 FOR THE YEARS ENDED OCTOBER 31, 1998 - Class A Shares 9.88 0.53 (0.17) (0.53) (0.02) (0.19) 1998 - Institutional Shares 9.88 0.55 (0.16) (0.55) (0.02) (0.18) 1998 - Administration Shares 9.88 0.53 (0.16) (0.53) (0.02) (0.18) 1998 - Service Shares 9.88 0.51 (0.16) (0.51) (0.02) (0.18) --------------------------------------------------------------------------------------------------------- 1997 - Class A Shares 9.83 0.57(f) 0.05 (f) (0.57) -- 0.05 1997 - Institutional Shares 9.83 0.59(f) 0.05 (f) (0.59) -- 0.05 1997 - Administration Shares 9.83 0.57(f) 0.05 (f) (0.57) -- 0.05 1997 - Service Shares (commenced March 27) 9.84 0.33(f) 0.04 (f) (0.33) -- 0.04 --------------------------------------------------------------------------------------------------------- 1996 - Class A Shares 9.77 0.55(f) 0.08 (f) (0.55) (0.02) 0.06 1996 - Institutional Shares 9.77 0.57(f) 0.08 (f) (0.57) (0.02) 0.06 1996 - Administration Shares 9.77 0.55(f) 0.08 (f) (0.55) (0.02) 0.06 --------------------------------------------------------------------------------------------------------- 1995 - Class A Shares (commenced May 15) 9.79 0.27(f) (0.01)(f) (0.27) (0.01) (0.02) 1995 - Institutional Shares 9.74 0.56(f) 0.07 (f) (0.57) (0.03) 0.03 1995 - Administration Shares 9.74 0.54(f) 0.07 (f) (0.55) (0.03) 0.03 --------------------------------------------------------------------------------------------------------- 1994 - Institutional Shares 10.00 0.43(f) (0.24)(f) (0.45) -- (0.26) 1994 - Administration Shares 10.00 0.42(f) (0.26)(f) (0.42) -- (0.26) ---------------------------------------------------------------------------------------------------------
(a)Includes the balancing effect of calculating per share amounts. (b) Assumes investment at the net asset value at the beginning of the period, reinvestment of all distributions, a complete redemption of the investment at the net asset value at the end of period and no sales charge. Total return would be reduced if a sales charge for Class A shares were taken into account. (c)Annualized. (d)Not annualized. (e)Includes the effect of mortgage dollar roll transactions. (f)Calculated based on the average shares outstanding methodology. The accompanying notes are an integral part of these financial statements. 62 GOLDMAN SACHS ADJUSTABLE RATE GOVERNMENT FUND
Ratios assuming no voluntary waiver of fees or expense limitations ---------------------- Net Ratio of Ratio of assets Ratio of net net Net asset at end net investment Ratio of investment value, of expenses income expenses income Portfolio end of Total period to average to average to average to average turnover period return(b) (in 000s) net assets net assets net assets net assets rate(e) $9.69 2.63%(d) $ 17,375 0.89%(c) 5.19%(c) 0.91%(c) 5.17%(c) 22.77%(d) 9.70 2.83(d) 342,148 0.49(c) 5.63(c) 0.51(c) 5.61(c) 22.77(d) 9.70 2.71(d) 3,126 0.74(c) 5.38(c) 0.76(c) 5.36(c) 22.77(d) 9.71 2.68(d) 640 0.99(c) 5.13(c) 1.01(c) 5.11(c) 22.77(d) 9.69 3.71 60,782 0.80 5.40 1.02 5.18 33.64 9.70 4.09 441,228 0.53 5.63 0.53 5.63 33.64 9.70 3.83 5,999 0.78 5.33 0.78 5.33 33.64 9.70 3.57 822 1.03 5.09 1.03 5.09 33.64 ----------------------------------------------------------------------------------------------- 9.88 6.43 43,393 0.74 5.60 1.02 5.32 46.58 9.88 6.70 463,511 0.49 5.99 0.52 5.96 46.58 9.88 6.43 2,793 0.74 5.73 0.77 5.70 46.58 9.88 3.81(d) 346 1.05(c) 5.64(c) 1.08(c) 5.61(c) 46.58 ----------------------------------------------------------------------------------------------- 9.83 6.60 10,728 0.70 5.59 1.01 5.28 52.36 9.83 6.86 613,149 0.45 5.85 0.51 5.79 52.36 9.83 6.60 3,792 0.70 5.59 0.76 5.53 52.36 ----------------------------------------------------------------------------------------------- 9.77 2.74(d) 15,203 0.69(c) 5.87(c) 1.01(c) 5.55(c) 24.12 9.77 6.75 657,358 0.46 5.77 0.53 5.70 24.12 9.77 6.48 3,572 0.71 5.50 0.78 5.43 24.12 ----------------------------------------------------------------------------------------------- 9.74 1.88 942,523 0.46 4.38 0.49 4.35 37.81 9.74 1.63 6,960 0.71 4.27 0.74 4.24 37.81 -----------------------------------------------------------------------------------------------
63 GOLDMAN SACHS SHORT DURATION GOVERNMENT FUND Financial Highlights Selected Data for a Share Outstanding Throughout Each Period The accompanying notes are an integral part of these financial statements.
Income (loss) from investment operations(a) Distributions to shareholders ------------------------------- ------------------------------------ Net realized From net and unrealized realized gain Net Net asset gain (loss) on In excess on investment, increase value at Net investment, option From net of net option (decrease) beginning investment and futures investment investment and futures in net of period income transactions income income transactions asset value FOR THE SIX MONTHS ENDED APRIL 30 (UNAUDITED), 1999 - Class A Shares $9.91 $0.27 $(0.17) $(0.27) $-- $ -- $(0.17) 1999 - Class B Shares 9.88 0.24 (0.15) (0.24) -- -- (0.15) 1999 - Class C Shares 9.88 0.23 (0.17) (0.23) -- -- (0.17) 1999 - Institutional Shares 9.90 0.29 (0.16) (0.29) -- -- (0.16) 1999 - Admin Shares 9.91 0.28 (0.16) (0.27) -- -- (0.15) 1999 - Service Shares 9.89 0.27 (0.17) (0.26) -- -- (0.16) FOR THE YEARS ENDED OCTOBER 31, 1998 - Class A Shares 9.88 0.57 0.04 (0.58) -- -- 0.03 1998 - Class B Shares 9.86 0.51 0.03 (0.52) -- -- 0.02 1998 - Class C Shares 9.86 0.49 0.03 (0.50) -- -- 0.02 1998 - Institutional Shares 9.86 0.58 0.06 (0.60) -- -- 0.04 1998 - Administration Shares 9.89 0.55 0.05 (0.58) -- -- 0.02 1998 - Service Shares 9.86 0.55 0.04 (0.56) -- -- 0.03 ---------------------------------------------------------------------------------------------------------------- 1997 - Class A Shares (commenced May 1) 9.78 0.31(f) 0.09 (f) (0.30) -- -- 0.10 1997 - Class B Shares (commenced May 1) 9.75 0.28(f) 0.10 (f) (0.27) -- -- 0.11 1997 - Class C Shares (commenced August 15) 9.83 0.12(f) 0.02 (f) (0.11) -- -- 0.03 1997 - Institutional Shares 9.83 0.64(f) 0.03 (f) (0.64) -- -- 0.03 1997 - Administration Shares 9.85 0.62(f) 0.04 (f) (0.62) -- -- 0.04 1997 - Service Shares 9.82 0.59(f) 0.04 (f) (0.59) -- -- 0.04 ---------------------------------------------------------------------------------------------------------------- 1996 - Institutional Shares 9.82 0.63(f) 0.01 (f) (0.63) -- -- 0.01 1996 - Administration Shares(g) 9.86 0.38(f) -- (f) (0.39) -- -- (0.01) 1996 - Service Shares (Commenced April 10) 9.72 0.31(f) 0.10 (f) (0.31) -- -- 0.10 ---------------------------------------------------------------------------------------------------------------- 1995 - Institutional Shares 9.64 0.66(f) 0.17 (f) (0.65) -- -- 0.18 1995 - Administration Shares(g) 9.64 0.24(f) (0.04)(f) (0.21) -- -- (0.01) ---------------------------------------------------------------------------------------------------------------- 1994 - Institutional Shares 10.14 0.56(f) (0.46)(f) (0.56) -- (0.04) (0.50) 1994 - Administration Shares 10.14 0.53(f) (0.45)(f) (0.54) -- (0.04) (0.50) ----------------------------------------------------------------------------------------------------------------
(a) Includes the balancing effect of calculating per share amounts. (b) Assumes investment at the net asset value at the beginning of the period, reinvestment of all distributions, a complete redemption of the investment at the net asset value at the end of the period and no sales charge. Total return would be reduced if a sales or redemption charge were taken into account. (c) Annualized. (d) Not annualized. (e) Includes the effect of mortgage dollar roll transactions. (f) Calculated based on the average shares outstanding methodology. (g) Short Duration Government Fund Administration shares commenced activity on April 15, 1993, were redeemed in full on February 23, 1995 and re- commenced on February 28, 1996 at $9.86. 64 GOLDMAN SACHS SHORT DURATION GOVERNMENT FUND
Ratios assuming no voluntary waiver of fees or expense limitations ------------------------ Ratio of net Ratio of net Net asset Net assets Ratio of net investment Ratio of investment value, at end of expenses income expenses income Portfolio end of Total period to average to average to average to average turnover period return(b) (in 000s) net assets net assets net assets net assets rate(e) $9.74 1.00%(d) $54,095 0.94%(c) 5.58%(c) 1.07%(c) 5.45%(c) 72.05%(d) 9.73 0.90(d) 5,323 1.54(c) 4.98(c) 1.82(c) 4.70(c) 72.05 (d) 9.71 0.62(d) 6,643 1.69(c) 4.70(c) 1.82(c) 4.57(c) 72.05 (d) 9.74 1.30(d) 148,642 0.54(c) 5.99(c) 0.67(c) 5.86(c) 72.05 (d) 9.76 1.28(d) 6,419 0.79(c) 5.75(c) 0.92(c) 5.62(c) 72.05 (d) 9.73 1.05(d) 6,226 1.04(c) 5.50(c) 1.17(c) 5.37(c) 72.05 (d) 9.91 6.36 56,725 0.81 5.68 1.32 5.17 119.89 9.88 5.62 5,025 1.41 5.12 1.87 4.66 119.89 9.88 5.46 4,527 1.56 4.64 1.87 4.33 119.89 9.90 6.75 145,514 0.53 6.06 0.84 5.75 119.89 9.91 6.27 7,357 0.78 5.76 1.09 5.45 119.89 9.89 6.12 6,232 1.03 5.56 1.34 5.25 119.89 -------------------------------------------------------------------------------------------------- 9.88 4.14(d) 9,491 0.70(c) 6.05(c) 1.32(c) 5.43(c) 102.58 9.86 3.94(d) 747 1.30(c) 5.52(c) 1.82(c) 5.00(c) 102.58 9.86 1.44(d) 190 1.45(c) 5.52(c) 1.82(c) 5.15(c) 102.58 9.86 7.07 103,729 0.45 6.43 0.82 6.06 102.58 9.89 6.91 1,060 0.70 6.19 1.07 5.82 102.58 9.86 6.63 3,337 0.95 5.92 1.32 5.55 102.58 -------------------------------------------------------------------------------------------------- 9.83 6.75 99,944 0.45 6.44 0.71 6.18 115.45 9.85 4.00(d) 252 0.70(c) 5.97(c) 0.96(c) 5.71(c) 115.45 9.82 4.35(d) 1,822 0.95(c) 6.05(c) 1.21(c) 5.79(c) 115.45 -------------------------------------------------------------------------------------------------- 9.82 8.97 103,760 0.45 6.87 0.72 6.60 292.56 9.63 2.10(d) -- 0.70(c) 7.91(c) 0.90(c) 7.71(c) 292.56 -------------------------------------------------------------------------------------------------- 9.64 0.99 193,095 0.45 5.69 0.59 5.55 289.79 9.64 0.73 730 0.70 5.38 0.84 5.24 289.79 --------------------------------------------------------------------------------------------------
65 GOLDMAN SACHS GOVERNMENT INCOME FUND Financial Highlights Selected Data for a Share Outstanding Throughout Each Period
Income (loss) from investment operations(a) Distributions to shareholders ------------------------- ----------------------------------------------- ------- Net realized From In excess of and unrealized net realized net realized gain (loss) on gain on gain on Net asset investment, In excess investment, investment, value, Net option and From net of net option and option and beginning investment futures investment investment futures futures of period income transactions income income transactions transactions FOR THE SIX MONTHS ENDED APRIL 30 (UNAUDITED), 1999 - Class A Shares $14.91 $0.40 $(0.40) $(0.39) $ -- $(0.35) $ -- 1999 - Class B Shares 14.92 0.35 (0.40) (0.34) -- (0.35) -- 1999 - Class C Shares 14.91 0.35 (0.40) (0.34) -- (0.35) -- 1999 - Institutional Shares 14.90 0.43 (0.40) (0.42) -- (0.35) -- 1999 - Service Shares 14.88 0.39 (0.44) (0.39) -- (0.35) -- FOR THE YEARS ENDED OCTOBER 31, 1998 - Class A Shares 14.59 0.81 0.45 (0.81) (0.07) (0.06) -- 1998 - Class B Shares 14.61 0.72 0.42 (0.72) (0.05) (0.06) -- 1998 - Class C Shares 14.60 0.74 0.40 (0.74) (0.03) (0.06) -- 1998 - Institutional Shares 14.59 0.87 0.42 (0.87) (0.05) (0.06) -- 1998 - Service Shares 14.59 0.80 0.40 (0.80) (0.05) (0.06) -- ----------------------------------------------------------------------------------------------------------------- 1997 - Class A Shares 14.36 0.91 0.29 (0.90) -- (0.07) -- 1997 - Class B Shares 14.37 0.80 0.30 (0.79) -- (0.07) -- 1997 - Class C Shares (commenced August 15) 14.38 0.17 0.22 (0.17) -- -- -- 1997 - Institutional Shares (commenced August 15) 14.37 0.20 0.22 (0.20) -- -- -- 1997 - Service Shares (commenced August 15) 14.37 0.20 0.21 (0.19) -- -- -- ----------------------------------------------------------------------------------------------------------------- 1996 - Class A shares 14.47 0.92 (0.11) (0.92) -- -- -- 1996 - Class B shares (commenced May 1) 14.11 0.41 0.26 (0.41) -- -- -- ----------------------------------------------------------------------------------------------------------------- 1995 - Class A shares 13.47 0.94 1.00 (0.94) -- -- -- ----------------------------------------------------------------------------------------------------------------- 1994 - Class A shares 14.90 0.85 (1.28) (0.85) (0.02) (0.12) (0.01) -----------------------------------------------------------------------------------------------------------------
(a) Includes the balancing effect of calculating per share amounts. (b) Assumes investment at the net asset value at the beginning of the period, reinvestment of all distributions, a complete redemption of the investment at the net asset value at the end of the period and no sales charge. Total return would be reduced if a sales or redemption charge were taken into account. (c) Annualized. (d) Not annualized. (e) Includes the effect of mortgage dollar roll transactions. The accompanying notes are an integral part of these financial statements. 66 GOLDMAN SACHS GOVERNMENT INCOME FUND
Ratios assuming no voluntary waiver of fees or expense limitations -------------------------------- Ratio of Net net Ratio of net increase Net asset Net assets Ratio of investment Ratio of investment (decrease) value, at end of net expenses income expenses income Portfolio in net end of Total period to average to average to average to average turnover asset value period return(b) (in 000s) net assets net assets net assets net assets rate(e) $(0.74) $14.17 0.02%(d) $85,524 0.98%(c) 5.63%(c) 1.31%(c) 5.30%(c) 151.66%(d) (0.74) 14.18 (0.35)(d) 19,159 1.73(c) 4.88(c) 2.06(c) 4.55(c) 151.66(d) (0.74) 14.17 (0.35)(d) 10,137 1.73(c) 4.87(c) 2.06(c) 4.54(c) 151.66(d) (0.74) 14.16 0.22 (d) 4,476 0.58(c) 6.08(c) 0.91(c) 5.75(c) 151.66(d) (0.79) 14.09 (0.37)(d) 16 1.08(c) 5.72(c) 1.41(c) 5.39(c) 151.66(d) 0.32 14.91 8.98 101,015 0.76 5.53 1.53 4.76 315.43 0.31 14.92 8.09 16,125 1.51 4.76 2.05 4.22 315.43 0.31 14.91 8.09 9,639 1.51 4.59 2.05 4.05 315.43 0.31 14.90 9.19 2,642 0.51 5.82 1.05 5.28 315.43 0.29 14.88 8.53 2 1.01 5.48 1.55 4.94 315.43 - ----------------------------------------------------------------------------------------------------------------------------- 0.23 14.59 8.72 68,859 0.50 6.38 1.82 5.06 395.75 0.24 14.61 7.96 8,041 1.25 5.59 2.32 4.52 395.75 0.22 14.60 2.72 (d) 1,196 1.25(c) 5.45(c) 2.32(c) 4.38(c) 395.75 0.22 14.59 2.94 (d) 1,894 0.25(c) 7.03(c) 1.32(c) 5.96(c) 395.75 0.22 14.59 2.85 (d) 2 0.75(c) 6.49(c) 1.82(c) 5.42(c) 395.75 - ----------------------------------------------------------------------------------------------------------------------------- (0.11) 14.36 5.80 30,603 0.50 6.42 1.89 5.03 485.09 0.26 14.37 4.85 (d) 234 1.25(c) 5.65(c) 2.39(c) 4.51(c) 485.09 - ----------------------------------------------------------------------------------------------------------------------------- 1.00 14.47 14.90 29,503 0.47 6.67 2.34 4.80 449.53 - ----------------------------------------------------------------------------------------------------------------------------- (1.43) 13.47 (2.98) 14,452 0.11 6.06 2.86 3.31 654.90 - -----------------------------------------------------------------------------------------------------------------------------
67 GOLDMAN SACHS CORE FIXED INCOME FUND Financial Highlights Selected Data for a Share Outstanding Throughout Each Period
Income (loss) from investment operations(a) Distributions to shareholders --------------------------- ---------------------------------- Net realized and unrealized gain (loss) on From net investment, realized Net option, gain on increase Net asset futures and In excess investment, (decrease) value at Net foreign currency From net of net option and in net beginning investment related investment investment futures asset of period income transactions income income transactions value FOR THE SIX MONTHS ENDED APRIL 30 (UNAUDITED), 1999 - Class A Shares $10.25 $0.27 $(0.26) $(0.27) $ -- $(0.15) $(0.41) 1999 - Class B Shares 10.28 0.24 (0.26) (0.24) -- (0.15) (0.41) 1999 - Class C Shares 10.28 0.24 (0.26) (0.24) -- (0.15) (0.41) 1999 - Institutional Shares 10.28 0.29 (0.27) (0.29) -- (0.15) (0.42) 1999 - Admin Shares 10.27 0.28 (0.26) (0.28) -- (0.15) (0.41) 1999 - Service Shares 10.28 0.27 (0.26) (0.27) -- (0.15) (0.41) FOR THE YEARS ENDED OCTOBER 31, 1998 - Class A Shares 10.06 0.59 0.27 (0.59) (0.02) (0.06) 0.19 1998 - Class B Shares 10.09 0.52 0.27 (0.52) (0.02) (0.06) 0.19 1998 - Class C Shares 10.09 0.52 0.27 (0.52) (0.02) (0.06) 0.19 1998 - Institutional Shares 10.08 0.61 0.29 (0.61) (0.03) (0.06) 0.20 1998 - Administration Shares 10.07 0.57 0.29 (0.57) (0.03) (0.06) 0.20 1998 - Service Shares 10.09 0.56 0.27 (0.56) (0.02) (0.06) 0.19 ------------------------------------------------------------------------------------------------------------ 1997 - Class A Shares (commenced May 1) 9.70 0.30 0.36 (0.30) -- -- 0.36 1997 - Class B Shares (commenced May 1) 9.72 0.27 0.37 (0.27) -- -- 0.37 1997 - Class C Shares (commenced August 15) 9.93 0.11 0.16 (0.11) -- -- 0.16 1997 - Institutional Shares 9.85 0.64 0.23 (0.64) -- -- 0.23 1997 - Administration Shares 9.84 0.62 0.23 (0.62) -- -- 0.23 1997 - Service Shares 9.86 0.59 0.23 (0.59) -- -- 0.23 ------------------------------------------------------------------------------------------------------------ 1996 - Institutional Shares 10.00 0.64 (0.07) (0.64) -- (0.08) (0.15) 1996 - Administrative Shares (commenced February 28) 9.91 0.41 (0.07) (0.41) -- -- (0.07) 1996 - Service Shares (commenced March 13) 9.77 0.38 0.09 (0.38) -- -- 0.09 ------------------------------------------------------------------------------------------------------------ 1995 - Institutional Shares 9.24 0.64 0.76 (0.64) -- -- 0.76 FOR THE PERIOD ENDED OCTOBER 31, 1994 - Institutional Shares (commenced January 5) 10.00 0.46 (0.76) (0.46) -- -- (0.76) ------------------------------------------------------------------------------------------------------------
(a) Includes the balancing effect of calculating per share amounts. (b) Assumes investment at the net asset value at the beginning of the period, reinvestment of all distributions, a complete redemption of the investment at the net asset value at the end of period and no sales charge. Total return would be reduced if a sales or redemption charge were taken into account. (c) Annualized. (d) Not annualized. (e) Includes the effect of mortgage dollar roll transactions. The accompanying notes are an integral part of these financial statements. 68 GOLDMAN SACHS CORE FIXED INCOME FUND
Ratios assuming no voluntary waiver of fees or expense limitations ---------------------- Net Ratio of Ratio of assets Ratio of net net Net asset at end net investment Ratio of investment value, of expenses income expenses income Portfolio end of Total period to average to average to average to average turnover period return(b) (in 000s) net assets net assets net assets net assets rate(e) $9.84 0.10%(d) $ 50,283 0.94%(c) 5.44%(c) 0.97%(c) 5.41%(c) 147.69%(d) 9.87 (0.26)(d) 13,304 1.69(c) 4.72(c) 1.72(c) 4.69(c) 147.69(d) 9.87 (0.26)(d) 7,681 1.69(c) 4.73(c) 1.72(c) 4.70(c) 147.69(d) 9.86 0.21 (d) 187,866 0.54(c) 5.86(c) 0.57(c) 5.83(c) 147.69(d) 9.86 0.18 (d) 12,235 0.79(c) 5.63(c) 0.82(c) 5.60(c) 147.69(d) 9.87 0.06 (d) 6,897 1.04(c) 5.40(c) 1.07(c) 5.37(c) 147.69(d) 10.25 8.76 56,267 0.74 5.58 1.21 5.11 271.50 10.28 7.94 7,209 1.49 4.82 1.75 4.56 271.50 10.28 7.94 5,587 1.49 4.81 1.75 4.55 271.50 10.28 9.15 195,730 0.46 5.95 0.72 5.69 271.50 10.27 8.88 12,743 0.71 5.70 0.97 5.44 271.50 10.28 8.50 5,263 0.96 5.44 1.22 5.18 271.50 - ----------------------------------------------------------------------------------------------- 10.06 6.94 (d) 9,336 0.70(c) 6.13(c) 1.33(c) 5.50(c) 361.27 10.09 6.63 (d) 621 1.45(c) 5.28(c) 1.83(c) 4.90(c) 361.27 10.09 2.74 (d) 272 1.45(c) 4.84(c) 1.83(c) 4.46(c) 361.27 10.08 9.19 79,230 0.45 6.53 0.83 6.15 361.27 10.07 8.92 6,176 0.70 6.27 1.08 5.89 361.27 10.09 8.65 1,868 0.95 6.00 1.33 5.62 361.27 - ----------------------------------------------------------------------------------------------- 9.85 5.98 72,061 0.45 6.51 0.83 6.13 414.20 9.84 3.56 (d) 702 0.70(c) 6.41(c) 1.08(c) 6.03(c) 414.20 9.86 4.90 (d) 381 0.95(c) 6.37(c) 1.33(c) 5.99(c) 414.20 - ----------------------------------------------------------------------------------------------- 10.00 15.72 55,502 0.45 6.56 0.96 6.05 382.26 9.24 (3.00)(d) 24,508 0.45(c) 6.48(c) 1.46(c) 5.47(c) 285.25 - -----------------------------------------------------------------------------------------------
69 GOLDMAN SACHS GLOBAL INCOME FUND Financial Highlights Selected Data for a Share Outstanding Throughout Each Period
Income (loss) from investment operations(a) Distributions to shareholders --------------------------- ------------------------------------------ Net realized and unrealized gain (loss) on From investment, net realized option, futures gain on Net Net asset and foreign In excess investment, increase value, Net currency From net of net option and From (decrease) beginning investment related investment investment futures paid in in net of period income transactions income income transactions capital asset value FOR THE SIX MONTHS ENDED APRIL 30 (UNAUDITED), 1999 - Class A Shares $15.65 $0.33(e) $(0.09)(e) $(0.31) $-- $(0.33) $ -- $(0.40) 1999 - Class B Shares 15.63 0.29(e) (0.10)(e) (0.27) -- (0.33) -- (0.41) 1999 - Class C Shares 15.60 0.29(e) (0.09)(e) (0.27) -- (0.33) -- (0.40) 1999 - Institutional Shares 15.64 0.38(e) (0.09)(e) (0.36) -- (0.33) -- (0.40) 1999 - Service Shares 15.64 0.34(e) (0.09)(e) (0.32) -- (0.33) -- (0.40) FOR THE YEARS ENDED OCTOBER 31, 1998 - Class A Shares 15.10 0.72(e) 0.90 (e) (1.01) -- (0.06) -- 0.55 1998 - Class B Shares 15.08 0.63(e) 0.92 (e) (0.94) -- (0.06) -- 0.55 1998 - Class C Shares 15.06 0.63(e) 0.91 (e) (0.94) -- (0.06) -- 0.54 1998 - Institutional Shares 15.09 0.82(e) 0.90 (e) (1.11) -- (0.06) -- 0.55 1998 - Service Shares 15.09 0.74(e) 0.91 (e) (1.04) -- (0.06) -- 0.55 ------------------------------------------------------------------------------------------------------------------------- 1997 - Class A shares 14.53 0.59 0.77 (0.79) -- -- -- 0.57 1997 - Class B shares 14.53 0.72 0.56 (0.73) -- -- -- 0.55 1997 - Class C shares (commenced August 15) 14.80 0.16 0.29 (0.19) -- -- -- 0.26 1997 - Institutional Shares 14.52 0.88 0.56 (0.87) -- -- -- 0.57 1997 - Service Shares (commenced March 12) 14.69 0.53 0.39 (0.52) -- -- -- 0.40 ------------------------------------------------------------------------------------------------------------------------- 1996 - Class A shares 14.45 0.71 0.80 (1.43) -- -- -- 0.08 1996 - Class B shares (commenced May 1) 14.03 0.34 0.52 (0.36) -- -- -- 0.50 1996 - Institutional shares 14.45 1.15 0.42 (1.50) -- -- -- 0.07 ------------------------------------------------------------------------------------------------------------------------- 1995 - Class A shares 13.43 0.89 1.07 (0.94) -- -- -- 1.02 1995 - Institutional shares (commenced August 1) 14.09 0.22 0.40 (0.26) -- -- -- 0.36 ------------------------------------------------------------------------------------------------------------------------- 1994 - Class A shares 15.07 0.84 (1.49) (0.22) -- (0.16) (0.61) (1.64) -------------------------------------------------------------------------------------------------------------------------
(a) Includes the balancing effect of calculating per share amounts. (b) Assumes investment at the net asset value at the beginning of the period, reinvestment of all distributions, a complete redemption of the investment at the net asset value at the end of period and no sales charge. Total return would be reduced if a sales or redemption charge were taken into account. (c) Annualized. (d) Not annualized. (e) Calculated based on the average shares outstanding methodology. The accompanying notes are an integral part of these financial statements. 70 GOLDMAN SACHS GLOBAL INCOME FUND
Ratios assuming no voluntary waiver of fees or expense limitations --------------------------------- Ratio of net Ratio of net Net assets Ratio of investment Ratio of investment Net asset at end of net expenses income expenses income Portfolio value, Total period to average to average to average to average turnover end of period return(b) (in 000s) net assets net assets net assets net assets rate $15.25 1.54%(d) $274,029 1.34%(c) 4.33%(c) 1.73%(c) 3.94%(c) 79.70%(d) 15.22 1.23(d) 12,238 1.84(c) 3.83(c) 2.23(c) 3.44(c) 79.70(d) 15.20 1.31(d) 7,777 1.84(c) 3.83(c) 2.23(c) 3.44(c) 79.70(d) 15.24 1.86(d) 266,444 0.69(c) 4.97(c) 1.08(c) 4.58(c) 79.70(d) 15.24 1.61(d) 1,131 1.19(c) 4.47(c) 1.58(c) 4.08(c) 79.70(d) 15.65 11.21 217,362 1.31 4.71 1.75 4.27 229.91 15.63 10.66 8,135 1.83 4.19 2.24 3.78 229.91 15.60 10.65 4,090 1.83 4.20 2.24 3.79 229.91 15.64 11.95 178,532 0.66 5.40 1.07 4.99 229.91 15.64 11.43 1,058 1.16 4.92 1.57 4.51 229.91 - ----------------------------------------------------------------------------------------------------------------------- 15.10 9.66 167,096 1.17 5.19 1.60 4.76 383.72 15.08 9.04 3,465 1.71 4.76 2.10 4.37 383.72 15.06 3.03(d) 496 1.71(c) 4.98(c) 2.10(c) 4.59(c) 383.72 15.09 10.26 60,929 0.65 5.72 1.04 5.33 383.72 15.09 6.42(d) 151 1.15(c) 5.33(c) 1.54(c) 4.94(c) 383.72 - ----------------------------------------------------------------------------------------------------------------------- 14.53 11.05 198,665 1.16 5.81 1.64 5.33 232.15 14.53 6.24(d) 256 1.70(c) 5.16(c) 2.14(c) 4.72(c) 232.15 14.52 11.55 54,254 0.65 6.35 1.11 5.89 232.15 - ----------------------------------------------------------------------------------------------------------------------- 14.45 15.08 245,835 1.29 6.23 1.58 5.94 265.86 14.45 4.42(d) 31,619 0.65(c) 6.01(c) 1.08(c) 5.58(c) 265.86 - ----------------------------------------------------------------------------------------------------------------------- 13.43 (4.49) 396,584 1.28 5.73 1.53 5.48 343.74 - -----------------------------------------------------------------------------------------------------------------------
71 Goldman Sachs Fund Profile Goldman Sachs Taxable Investment Grade Funds The Goldman Sachs Advantage When you invest in Goldman Sachs Taxable Investment Grade Funds, you can capitalize on Goldman Sachs' 130-year history of excellence while benefiting from the firm's leadership in three areas: Global Resources With professionals based throughout the Americas, Europe and Asia, Goldman Sachs possesses first-hand knowledge of the world's markets and economies. Fundamental Research Goldman Sachs is recognized by the managements of corporations worldwide as a leader in investment research. As a result, we obtain face-to-face meetings with managers on a timely, regular basis. Risk Management Goldman, Sachs & Co. excels in understanding, monitoring and managing investment risk -- a process that is integrated into all Goldman Sachs investment products. Generally speaking, bond investments may help individuals mitigate overall portfolio volatility, without sacrificing attractive returns. Goldman Sachs Taxable Investment Grade Funds offer investors access to the benefits associated with fixed income investing. The Funds seek current income from portfolios that invest in a variety of fixed income securities. Target Your Needs Goldman Sachs Taxable Investment Grade Funds have distinct investment objectives and defined positions on the risk/return spectrum. As your investment objectives change, you can exchange shares within Goldman Sachs Funds without any additional charge. (Please note: in general, greater returns are associated with greater risk.)* Goldman Sachs Fixed Income Funds ------------------ HIGHER RISK/RETURN ------------------ HIGH YIELD . High Yield Fund TAXABLE . Global Income Fund . Core Fixed Income Fund . Government Income Fund . Short Duration Government Fund . Adjustable Rate Government Fund TAX-FREE . Municipal Income Fund . Short Duration Tax-Free Fund - ----------------- LOWER RISK/RETURN - ----------------- For More Information To learn more about Goldman Sachs Taxable Investment Grade Funds and other Goldman Sachs Funds, call your investment professional today. The exchange privilege is subject to termination and its terms are subject to change. GOLDMAN SACHS ASSET MANAGEMENT 32 OLD SLIP, 17TH FLOOR, NEW YORK, NEW YORK 10005 Trustees Officers Ashok N. Bakhru, Chairman Douglas C. Grip, President David B. Ford Jesse H. Cole, Vice President Douglas C. Grip James A. Fitzpatrick, Vice President John P. McNulty Anne E. Marcel, Vice President Mary P. McPherson John M. Perlowski, Treasurer Alan A. Shuch Adrien E. Deberghes, Jr., Assistant Treasurer Jackson W. Smart, Jr. Philip V. Giuca, Jr., Assistant Treasurer William H. Springer Michael J. Richman, Secretary Richard P. Strubel Howard B. Surloff, Assistant Secretary Valerie A. Zondorak, Assistant Secretary GOLDMAN, SACHS & CO. Distributor and Transfer Agent GOLDMAN SACHS ASSET MANAGEMENT Investment Adviser GOLDMAN SACHS INTERNATIONAL 133 Peterborough Court London, England EC4A 2BB Visit our internet address: www.gs.com/funds This material is not authorized for distribution to prospective investors unless preceded or accompanied by a current Prospectus. Investors should read the Prospectus carefully before investing or sending money. Goldman, Sachs & Co. is the distributor of the Funds. Goldman Sachs Government Income Fund's, Goldman Sachs Short Duration Government Fund's and Goldman Sachs Adjustable Rate Government Fund's net asset values and yields are not guaranteed by the U.S. Government or by its agencies, instrumentalities or sponsored enterprises. Goldman Sachs High Yield Fund invests primarily in high yield, fixed income securities rated below investment grade that are considered speculative and generally involve greater price volatility and greater risk of loss of principal and interest than investments in higher rated fixed income securities. Goldman Sachs Global Income Fund's, Goldman Sachs High Yield Fund's and Goldman Sachs Core Fixed Income Fund's foreign investments and active management techniques entail risks in addition to those customarily associated with investing in dollar-denominated securities of U.S. issuers. Compared with U.S. securities markets, foreign markets may be less liquid, more volatile and less subject to governmental regulation, and may make available less public information about issuers. The Funds may incur losses because of changes in securities prices expressed in local currencies, movements in exchange rates, or both. Goldman Sachs Municipal Income Fund and Goldman Sachs Short Duration Tax-Free Fund can invest up to 100% and 20%, respectively, in private activity bonds, the interest from which is subject to the federal alternative minimum tax. (C) Copyright 1999 Goldman, Sachs & Co. All rights reserved. Date of first use: June 30, 1999 FI/INVGRSAR / 30K / 6-99 -----END PRIVACY-ENHANCED MESSAGE-----